# EDGAR Filing Document

**Accession Number:** 0001002788
**File Stem:** 0001104659-25-066019
**Filing Date:** 2025-7
**Character Count:** 8664193
**Document Hash:** 9fba2f8367f3d1343f2f60e6f09c8998
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001104659-25-066019.hdr.sgml**: 20250707

**ACCESSION NUMBER**: 0001104659-25-066019

**CONFORMED SUBMISSION TYPE**: CB

**PUBLIC DOCUMENT COUNT**: 430

**FILED AS OF DATE**: 20250707

**DATE AS OF CHANGE**: 20250707

**SUBJECT COMPANY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Mediobanca - Banca di Credito Finanziario SpA
- **CENTRAL INDEX KEY:** 0001379481
- **ORGANIZATION NAME:** International Corp Fin
- **EIN:** 000000000
- **STATE OF INCORPORATION:** L6
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** CB
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 005-83841
- **FILM NUMBER:** 251107397

**BUSINESS ADDRESS:**
- **STREET 1:** PIAZZETTA ENRICO CUCCIA, 1
- **CITY:** MILAN
- **STATE:** L6
- **ZIP:** 20121
- **BUSINESS PHONE:** 011 39 02 88291

**MAIL ADDRESS:**
- **STREET 1:** PIAZZETTA ENRICO CUCCIA, 1
- **CITY:** MILAN
- **STATE:** L6
- **ZIP:** 20121
**FILED BY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BANCA MONTE DEI PASCHI DI SIENA SPA
- **CENTRAL INDEX KEY:** 0001002788
- **STANDARD INDUSTRIAL CLASSIFICATION:** UNKNOWN SIC - 8880 [8880]
- **ORGANIZATION NAME:** International Corp Fin
- **EIN:** 000000000

**FILING VALUES:**
- **FORM TYPE:** CB

**BUSINESS ADDRESS:**
- **STREET 1:** PIAZZA SALIMBENI, 3 - 53100
- **CITY:** SIENA (SI)
- **STATE:** L6
- **ZIP:** 53100
- **BUSINESS PHONE:** 39 0577 293135

**MAIL ADDRESS:**
- **STREET 1:** PIAZZA SALIMBENI, 3 - 53100
- **CITY:** SIENA (SI)
- **STATE:** L6
- **ZIP:** 53100

**UNITED STATES<br> SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM CB**

TENDER OFFER/RIGHTS OFFERING NOTIFICATION FORM

Please place an X in the box(es) to designate the appropriate rule provision(s) relied upon to file this Form:

---

| | |
|:---|:---|
| Securities Act Rule 801 (Rights Offering) | ¨ |
| Securities Act Rule 802 (Exchange Offer) | x |
| Exchange Act Rule 13e-4(h)(8) (Issuer Tender Offer) | ¨ |
| Exchange Act Rule 14d-1(c) (Third Party Tender Offer) | ¨ |
| Exchange Act Rule 14e-2(d) (Subject Company Response) | ¨ |

---

---

| |
|:---|
| **Mediobanca – Banca di Credito Finanziario Società per Azioni** |
| (Name of Subject Company) |
| **N/A** |
| (Translation of Subject Company's Name into English (if applicable)) |
| **Republic of Italy** |
| (Jurisdiction of Subject Company's Incorporation or Organization) |
| **Banca Monte dei Paschi di Siena S.p.A.** |
| (Name of Person(s) Furnishing Form) |
| **Ordinary Shares** |
| (Title of Class of Subject Securities) |
| **N/A** |
| (CUSIP Number of Class of Securities (if applicable)) |
| **Renzo Filippo Riccardo Quagliana<br> General Counsel**<br> **Banca Monte dei Paschi di Siena S.p.A.**<br> **Piazza Salimbeni, 3<br> 53100 Siena (SI)**<br> **Republic of Italy**<br> **Tel: +39 0577294111** |
| (Name, Address (including zip code) and Telephone Number (including area code)<br> of Person(s) Authorized to Receive Notices and Communications on Behalf of the Filer) |
| <br> Copies to:<br>**Michael Immordino<br> White & Case LLP<br> Piazza Diaz, 2<br> 20123 Milan, Italy<br> Telephone: +39 349 974 4892** |
| **July 3, 2025** |
| (Date Tender Offer/Rights Offering Commenced) |

---

**PART I - INFORMATION SENT TO SECURITY HOLDERS**

**Item 1. Home Jurisdiction Documents**

(a) The following documents are attached as exhibits to this Form CB:

---

| | |
|:---|:---|
| **<u>Exhibit<br> Number</u>** |  |
| [99.1](tm2518026d1_ex99-1.htm) | [Offer Document, Dated July 3, 2025.](tm2518026d1_ex99-1.htm) |
| [99.2](tm2518026d1_ex99-2.htm) | [Exemption Document, Dated July 3, 2025.](tm2518026d1_ex99-2.htm) |
| [99.3](tm2518026d1_ex99-3.htm) | [Acceptance Form.](tm2518026d1_ex99-3.htm) |

---

(b) Not applicable.

**Item 2. Informational Legends**

A legend complying with Rule 802(b) under the U.S. Securities Act of 1933, as amended, is included in each of the documents referred to in Item 1.

**PART II - INFORMATION NOT REQUIRED TO BE SENT TO SECURITY HOLDERS**

---

| | |
|:---|:---|
| **<u>Exhibit<br> Number</u>** |  |
| [99.4](tm2518026d1_ex99-4.htm) | [Consolidated Annual Report of Banca Monte dei Paschi di Siena S.p.A. as at December 31, 2024.](tm2518026d1_ex99-4.htm) |
| [99.5](tm2518026d1_ex99-5.htm) | [Consolidated Interim Report of Mediobanca – Banca di Credito Finanziario Società per Azioni for the Six Months Ended December 31, 2024.](tm2518026d1_ex99-5.htm) |
| [99.6](tm2518026d1_ex99-6.htm) | [Consolidated Annual Accounts and Report of Mediobanca – Banca di Credito Finanziario Società per Azioni as at June 30, 2024.](tm2518026d1_ex99-6.htm) |
| [99.7](tm2518026d1_ex99-7.htm) | [Consolidated Interim Report of Banca Monte dei Paschi di Siena S.p.A. as at March 31, 2025.](tm2518026d1_ex99-7.htm) |
| [99.8](tm2518026d1_ex99-8.htm) | [Press Release Relating to the Interim Financial Results of Mediobanca – Banca di Credito Finanziario Società per Azioni for the Nine Months Ended March 31, 2025, Dated May 8, 2025.](tm2518026d1_ex99-8.htm) |
| [99.9](tm2518026d1_ex99-9.htm) | [Explanatory Report of the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. on the Proposal to Grant the Board with the Power to Increase the Share Capital of the Company, in Connection with the Voluntary Public Exchange Offer Relating to All Ordinary Shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, Dated April 17, 2025.](tm2518026d1_ex99-9.htm) |
| [99.10](tm2518026d1_ex99-10.htm) | [Supplementary Note to the Explanatory Report of the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. Dated April 17, 2025, Issued Following a Request for Disclosure of Information from Consob Pursuant to Article 114, Paragraph 5, of Legislative Decree No. 58 of 24 February 1998.](tm2518026d1_ex99-10.htm) |
| [99.11](tm2518026d1_ex99-11.htm) | [Information Document Pursuant to Article 70, Paragraph 6, of the Issuers' Regulation Approved by Consob with Resolution No. 11971 of 14 May 1999, and Subsequent Amendments, in Accordance with Schedule No. 3 of Annex 3B to the Same Issuers' Regulation, Issued by Banca Monte dei Paschi di Siena S.p.A., Dated April 2, 2025, to Which is Attached the Appraisal Issued by KPMG Advisory S.p.A., in its Capacity as Independent Expert Pursuant to Article 2343-*ter*, Paragraph 2, Letter B), of the Italian Civil Code.](tm2518026d1_ex99-11.htm) |
| [99.12](tm2518026d1_ex99-12.htm) | [Information Document on Related Party Transactions of Major Importance, Pursuant to Article 5 of the Regulation on Related Parties Approved by Consob with Resolution No. 17221 of March 12, 2010, and in Accordance with Annex 4 to the Said Regulation, as well as Pursuant to Paragraph 4.6.1 of the BMPS Regulations on Related Parties, in Relation to the Capital Increase Reserved to the Offer, Issued by Banca Monte dei Paschi di Siena S.p.A., Dated January 30, 2025.](tm2518026d1_ex99-12.htm) |
| [99.13](tm2518026d1_ex99-13.htm) | [Explanatory Report of the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. Prepared Pursuant to Articles 2441, Paragraph 6, of the Italian Civil Code and 70, Paragraph 7, Letter A) of the Issuers' Regulation Approved by Consob with Resolution No. 11971 of 14 May 1999, and Subsequent Amendments, Relating to the Exercise of the Delegation Granted by the Shareholders' Meeting of Banca Monte dei Paschi di Siena S.p.A., in Extraordinary Session, on April 17, 2025, Pursuant to Article 2443 of the Italian Civil Code, Issued by Banca Monte dei Paschi di Siena S.p.A., Dated June 26, 2025.](tm2518026d1_ex99-13.htm) |
| [99.14](tm2518026d1_ex99-14.htm) | [Auditor's Report Pursuant to Article 2441, Paragraph 4, Sentence 1, and Paragraph 6 of the Italian Civil Code, and Article 158, Paragraph 1, of Legislative Decree No. 58/1998 on the Issue Price of Shares in the Share Capital Increase With Exclusion of Option Rights, Dated June 26, 2025.](tm2518026d1_ex99-14.htm) |
| [99.15](tm2518026d1_ex99-15.htm) | [Report Pursuant to Article 2343-*ter*, Letter B) of the Italian Civil Code with Reference to Maximum No. 833,279,689 Ordinary Shares of Mediobanca – Banca di Credito Finanziario S.p.A. Subject to Possible Contribution in Kind within the Framework of the Voluntary Total Public Exchange Offer Promoted by Banca Monte dei Paschi di Siena S.p.A., Dated June 26, 2025.](tm2518026d1_ex99-15.htm) |
| [99.16](tm2518026d1_ex99-16.htm) | [BMPS Group 2024-2028 Business Plan, Dated August 6, 2024.](tm2518026d1_ex99-16.htm) |
| [99.17](tm2518026d1_ex99-17.htm) | [Mediobanca Group 2025-2028 Business Plan, Dated June 27, 2025.](tm2518026d1_ex99-17.htm) |
| [99.18](tm2518026d1_ex99-18.htm) | [Press Release Relating to the Approval of the Offer Document by CONSOB, Dated July 2, 2025.](tm2518026d1_ex99-18.htm) |
| [99.19](tm2518026d1_ex99-19.htm) | [Press Release Relating to the Obtainment of the Antitrust Authorization, Dated July 2, 2025.](tm2518026d1_ex99-19.htm) |
| [99.20](tm2518026d1_ex99-20.htm) | [Press Release Relating to the Publication of the Offer Document, the Exemption Document and the Acceptance Form, Dated July 3, 2025.](tm2518026d1_ex99-20.htm) |

---

**PART III - CONSENT TO SERVICE OF PROCESS**

Banca Monte dei Paschi di Siena S.p.A. submitted to the Securities and Exchange Commission a written irrevocable consent and power of attorney on Form F-X dated July 7, 2025.

**PART IV - SIGNATURES**

After due inquiry and to the best of my knowledge and belief, I certify that the information set forth in this statement is true, complete and correct.

---

| | |
|:---|:---|
| **Banca Monte dei Paschi di Siena S.p.A.** | **Banca Monte dei Paschi di Siena S.p.A.** |
| /s/ Renzo Filippo Riccardo Quagliana | /s/ Renzo Filippo Riccardo Quagliana |
| Name: | Renzo Filippo Riccardo Quagliana |
| Title: | General Counsel |

---

Date: July 7, 2025

## Exhibit 99.1

**Exhibit 99.1**

***English translation for courtesy purposes only. In case of discrepancies between the Italian version<br> and the English version, the Italian version shall prevail***

**OFFER DOCUMENT**

**VOLUNTARY PUBLIC EXCHANGE OFFER**

pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented

**concerning the ordinary shares of**

**ISSUER**

![](tm2518026d1_ex99-2sp1img001.jpg)

**OFFEROR**

![](tm2518026d1_montedei1472.jpg)

**Financial Instruments subject to the Offer**

maximum of No. 833,279,689 ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni, as well as maximum of No. 16,178,862 additional shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni which may be allocated under certain existing incentive plans

**Unit consideration offered**

No. 2.533 newly issued ordinary shares of Banca Monte dei Paschi di Siena S.p.A. admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. for each ordinary share of Mediobanca – Banca di Credito Finanziario Società per Azioni tendered in acceptance of the Offer, subject to any further adjustments as set out in Section E of this Offer Document

**Duration of the Offer acceptance period agreed with Borsa Italiana S.p.A.**

from 8:30 a.m. (Italian time) on 14 July 2025 to 5:30 p.m. (Italian time) on 8 September 2025, both dates inclusive (unless the acceptance period is extended)

**Consideration payment date**

15 September 2025, unless the acceptance period is extended

**Financial advisors to the Offeror**

![](tm2518026d1_ex99-1sp1img001.jpg)

**Intermediaries appointed to coordinate the collection of acceptances**

![](tm2518026d1_ex99-1sp1img002.jpg)

**Global Information Agent**

![](tm2518026d1_ex99-1sp1img003.jpg)

The approval of the Offer Document, issued with CONSOB resolution No. 23623 on 2 July 2025, does not entail any opinion by CONSOB on the advisability to accept the Offer and regarding the data and information contained in this document.

**3 July 2025**

**Disclaimer**

*The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") or pursuant to a valid exemption from registration.*

*The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies.*

*It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since the Offeror and the Issuer are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.*

*The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Act**") provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws.*

*To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage in*

*ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities.*

*Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans.*

*These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.*

---

| | |
|:---|:---|
| **INDEX** |  |
| **LIST OF MAIN DEFINITIONS** | **9** |
| **RECITALS** | **21** |

---

1. Subject of the Offer 21

2. Legal assumptions and characteristics of the Offer 22

3. The voluntary public exchange offer promoted by Mediobanca
 on Banca Generali S.p.A. 25

4. Reasons for the Offer and overview of future plans 26

5. Table of key events relating to the Offer 32

6. Markets on which the Offer is promoted 38

**A.** **WARNINGS** **39** 

A.1. Conditions of Effectiveness of the Offer 39

---

| | | |
|:---|:---|:---|
| A.1.1. | Conditions of Effectiveness | 39 |
| A.1.2. | Preliminary Authorizations and Other Authorizations | 41 |
| A.1.3. | Antitrust Condition | 48 |
| A.1.4. | Threshold Condition and Minimum Threshold Condition | 48 |
| A.1.5. | Relevant Acts Condition | 50 |
| A.1.6. | MAE Condition | 51 |
| A.1.7. | Amendment or Waiver to the Conditions of Effectiveness | 51 |
| A.2. | Financial reports and interim financial statements of the Issuer | 52 |
| A.3. | Related Parties | 53 |
| A.4. | Evaluation criteria underlying the determination of the Consideration | 54 |
| A.5. | The Capital Increase Reserved to the Offer | 58 |

---

A.5.1. Corporate procedure applicable to the Capital Increase Reserved to the Offer 58 <br> A.5.2. Absence of effects on the Offer Consideration 61 <br> A.5.3. Possible unavailability of MPS Shares offered as Consideration 62

---

| | | |
|:---|:---|:---|
| A.6. | Treatment of fractions of MPS Shares offered as Consideration | 62 |
| A.7. | Reasons for the Offer and summary of the Offeror's future plans in relation to the Issuer | 63 |
| A.8. | Transactions upon completion of the Offer | 66 |
| A.9. | Communications and authorizations for the carrying out of the Offer | 67 |
| A.10. | Reopening of the Acceptance Period | 67 |
| A.11. | Declaration by the Offeror regarding the possible restoration of the free float and the sell-out pursuant to Article 108, paragraph 2, of the TUF | 68 |
| A.12. | Declaration by the Offeror regarding the fulfilment of the sell-out pursuant to Article 108, paragraph 1, of the TUF and the simultaneous squeeze-out pursuant to Article 111 of the TUF | 69 |
| A.13. | Possible shortage of the free float | 71 |
| A.14. | Potential conflicts of interest | 72 |

---

A.15. Possible alternative scenarios for Mediobanca shareholders 74

A.15.1. Scenarios in case of completion of the Offer 74

A.15.1.1. Acceptance of the Offer 74 <br> A.15.1.2. Non-acceptance of the Offer 75

---

| | | |
|:---|:---|:---|
| (A) | Achievement of a shareholding equal to or less than 90% of the Issuer's share capital | 75 |
| (B) | Achievement of a shareholding of more than 90% but less than 95% of the Issuer's share capital | 75 |
| (C) | Achievement of a shareholding of at least 95% of the Issuer's ordinary share capital | 76 |
| (D) | Transaction upon completion of the Offer | 76 |
| A.15.2 | Scenarios in the event of failure of the Offer | 78 |
| A.16. | Rights of Mediobanca shareholders who tendered in acceptance of the Offer the Shares Subject to the Offer | 78 |
| A.17. | The voluntary public exchange offer promoted by Mediobanca on Banca Generali S.p.A. | 79 |
| A.18. | Issuer's Communication | 80 |
| A.19. | Critical issues related to the national and international macroeconomic context | 80 |

---

**B.** **PARTIES INVOLVED IN THE TRANSACTION** **82** 

---

| | | |
|:---|:---|:---|
| B.1. | The Offeror | 82 |
| B.1.1. | Name, legal form, registered office and trading market | 82 |
| B.1.2. | Incorporation and lifetime | 82 |
| B.1.3. | Applicable law and jurisdiction | 82 |
| B.1.4. | Corporate purpose | 82 |
| B.1.5. | Share Capital | 83 |
| B.1.6. | Major shareholders | 83 |
| B.1.7. | Management and control bodies | 84 |
| B.1.8. | Activities of the Offeror and brief description of the MPS Group | 88 |
| B.1.9. | Accounting Standards | 90 |
| B.1.10. | Consolidated financial information | 91 |
| B.1.11. | Recent trend | 91 |
| B.2. | Issuer of the financial instruments subject to the Offer | 105 |

---

---

| | | |
|:---|:---|:---|
| B.2.1. | Name, legal form, registered office and trading market | 105 |
| B.2.2. | Share Capital | 105 |
| B.2.3. | Significant shareholders and shareholders' agreements | 114 |
| B.2.4. | Management and control bodies | 115 |
| B.2.5. | Activities of the Issuer and brief description of the Mediobanca Group | 119 |
| B.2.6. | Key financial information | 122 |
| B.2.6.1. | Balance sheet and income statement of Mediobanca as of 30 June 2024 | 123 |
| B.2.6.2. | Mediobanca's balance sheet and income statement as of 31 December 2024 | 129 |

---

B.2.7. Recent trend and outlooks 135

B.3. Intermediaries 135 <br> B.4. Global Information Agent 136

**C.** **CATEGORIES AND QUANTITIES OF THE FINANCIAL INSTRUMENTS SUBJECT TO THE OFFER** **137** 

---

| | | |
|:---|:---|:---|
| C.1. | Category of the financial instruments subject to the Offer and related quantities and percentages | 137 |
| C.2. | Authorizations | 137 |

---

**D.** **FINANCIAL INSTRUMENTS OF THE ISSUER OR HAVING AS UNDERLYING ASSETS SUCH INSTRUMENTS HELD BY THE OFFEROR, INCLUDING THROUGH TRUST COMPANIES OR INDERMEDIARIES** **146** 

---

| | | |
|:---|:---|:---|
| D.1. | Number and categories of financial instruments of the Issuer held by the Offeror (including through trust companies or intermediaries) and by persons acting in concert | 146 |
| D.2. | Repurchase agreements, securities lending agreements, usufruct and pledge rights, or other commitments with the Issuer's shares as underlying asset | 146 |

---

**E.** **UNIT CONSIDERATION FOR THE FINANCIAL INSTRUMENTS AND RELATED JUSTIFICATION** **147** 

---

| | | |
|:---|:---|:---|
| E.1. | Indication of the unit Consideration and related determination | 147 |
| E.2. | Total countervalue of the Offer | 153 |
| E.3. | Comparison of the Pre-Adjustment Consideration with certain indicators relating to the Issuer | 154 |
| E.4. | Monthly arithmetic and weighted average of the official prices recorded by the Issuer's shares in the twelve months prior to the promotion of the Offer | 155 |
| E.5. | Indication of the values attributed to the Issuer's shares in financial transactions carried out in the last financial year and in the current financial year | 161 |
| E.6. | Indication of the values at which the Offeror and the parties acting in concert with it have carried out transactions involving the sale and purchase of the shares subject to the Offer in the last twelve months, indicating the number of financial instruments sold and purchased | 161 |

---

**F.** **TERMS AND CONDITIONS FOR ACCEPTING THE OFFER, DATES AND METHODS OF PAYMENT OF THE CONSIDERATION AND RETURN OF THE SECURITIES SUBJECT TO THE OFFER** **162** 

F.1. Terms and conditions for accepting the Offer and for depositing the Shares Subject to the Offer 162

F.1.1. Acceptance Period and possible reopening of the acceptance period 162 <br> F.1.2. Methods of acceptance and deposit of the Shares Subject to the Offer 163

F.2. Ownership and exercise of administrative and economic rights relating to the Shares tendered in acceptance of, and during, the Offer 165 <br> F.3. Communications regarding the progress and results of the Offer 165 <br> F.4. Markets on which the Offer is promoted 166

F.4.1. Italy 166 <br> F.4.2. United States of America 167 <br> F.4.3. Other countries 168

F.4.4. Canada 169 <br> F.4.5. Japan 170 <br> F.4.6. Australia 170

---

| | | |
|:---|:---|:---|
| F.5. | Consideration Payment Date | 171 |
| F.6. | Methods of payment of the Consideration | 172 |
| F.7. | Indication of the governing law of the contracts entered into between the Offeror and the holders of the Issuer's financial instruments and relevant jurisdiction | 173 |
| F.8. | Methods and terms for the return of the Shares Subject to the Offer tendered in acceptance of the Offer in the event the Offer being ineffective and/or allocation | 173 |

---

**G.** **METHODS OF FINANCING, PERFORMANCE GUARANTEE AND OFFEROR'S FUTURE PLANS** **174** 

G.1. Methods of financing of the Offer and performance guarantee 174 <br> G.2. Rationale of the Offer and future plans drawn up in relation to the Issuer 174

---

| | | |
|:---|:---|:---|
| G.2.1. | Rationale of the Offer | 174 |
| G.2.2. | Programmes relating to the management of activities | 176 |
| G.2.2.1. | Strategic and Industrial objectives of the integration of the Issuer into the MPS Group | 176 |
| G.2.2.2. | Synergies resulting from the Issuer's strategic and business objectives within the MPS Group upon completion of the Offer | 178 |

---

---

| | | |
|:---|:---|:---|
| G.2.3. | Investments and future sources of financing | 181 |
| G.2.4. | Transaction upon completion of the Offer | 181 |
| G.2.5. | Planned changes in the composition of the corporate bodies and related remuneration | 182 |
| G.2.6. | Amendments to the By-laws | 182 |
| G.3. | Restoration of the free float | 182 |

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**H.** **ANY AGREEMENTS AND TRANSACTIONS BETWEEN THE OFFEROR, PARTIES ACTING IN CONCERT WITH THE OFFEROR AND THE ISSUER OR ITS SHAREHOLDERS OR MEMBERS OF THE ISSUER'S MANAGEMENT AND CONTROL BODIES** **185** 

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|:---|:---|:---|
| H.1. | Financial and/or commercial agreements and transactions that have been executed or approved in the twelve months prior to the publication of the Offer, which may have or have had a significant effect on the business of the Offeror and/or the Issuer | 185 |
| H.2. | Agreements concerning the exercise of voting rights or the transfer of Shares and/or other financial instruments of the Issuer | 185 |

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**I.** **FEES TO INTERMEDIARIES** **186** 

**L.** **ALLOCATION HYPOTHESIS** **187** 

**M.** **ANNEXES** **188** 

M.1. Offeror's Communication 188

**N.** **DOCUMENTS MADE AVAILABLE BY THE OFFEROR TO THE PUBLIC AND PLACES WHERE SUCH DOCUMENTS ARE AVAILABLE** **189** 

N.1. Documents relating to the Offeror 189 <br> N.2. Documents relating to the Issuer 189

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| **DECLARATION OF RESPONSIBILITY** | **190** |

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**LIST OF MAIN DEFINITIONS**

Below is a list of the main definitions used in this Offer Document. Where the context requires, terms defined in the singular shall have the same meaning in the plural and vice versa.

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| **Mediobanca** **Interim Dividend** | The interim dividend based on the results as of 31 December 2024, which Mediobanca's Board of Directors, on 8 May 2025, resolved to distribute, amounting to Euro 0.56 per each Mediobanca shares outstanding and entitled to the dividend payment, with ex-dividend date on 19 May 2025, record date on 20 May and payment date on 21 May 2025. |
| **Tendering Shareholders** | The holders of the Shares Subject to the Offer who are entitled to accept the Offer and have validly tendered in acceptance of the Offer the Shares Subject to the Offer in accordance with the Offer Document. |
| **AGCM** | The Italian Competition and Market Authority, with headquarters in Rome, Piazza G. Verdi No. 6/a. |
| **Offeror's** **Shareholder Meeting** | The Offeror's shareholders' meeting of 17 April 2025 which granted the Delegation to the Board of Directors of the Offeror for the execution of the Capital Increase Reserved to the Offer. |
| **Capital Increase Reserved to the Offer** | The paid share capital increase of MPS reserved to the Offer, in divisible form and also in one or more tranches, to be paid-in through (and in exchange for) the contribution in kind of the Issuer's Shares (and any Additional Shares) tendered in acceptance of the Offer (or otherwise transferred to MPS in execution of the Reopening of the Acceptance Period and/or the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, where applicable), therefore excluding the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code, resolved by the Offeror's Board of Directors on 26 June 2025 – in exercise of the Delegation granted to it by the Offeror's Shareholder's Meeting on 17 April 2025, pursuant to Article 2443 of the Italian Civil Code – to be carried out through the issuance of a maximum of No. 2,230,000,000 MPS Shares, to be paid-in through the contribution in kind of the Shares Subject to the Offer tendered in acceptance of the Offer, even as possibly revised and/or modified. |
| **Additional Shares** | The maximum No. 16,178,862 shares that may be issued by Mediobanca prior to completion of the Offer in favour of the beneficiaries of certain Incentive Plans |

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|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (as defined below), if such Incentive Plans are revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Incentive Plans, even though some of them envisage the possibility of using – instead of the Additional Shares – even Mediobanca's treasury shares held in portfolio and without prejudice to the underlying limitations on the issue of Additional Shares under the Plans.<br>|
| **Mediobanca Shares** *or* **Issuer's Shares** | Each of the No. 833,279,689 ordinary shares of Mediobanca (including the Treasury Shares), without nominal value and admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A., with ISIN Code IT0000062957, in dematerialised form pursuant to Article 83-*bis* of the TUF and representing the entire share capital of the Issuer as of the Offer Document Date. |
| **Shares Subject to the Offer** | Each of the maximum No. 833,279,689 Mediobanca Shares (including the Treasury Shares) and the maximum No. 16,178,862 Additional Shares (in the event that they are issued), subject to the Offer, amounting to a total of No. 849,458,551 ordinary shares of the Issuer, representing its entire share capital. |
| **MPS Shares** | The maximum No. 2,230,000,000 newly issued ordinary shares of MPS resulting from the Capital Increase Reserved to the Offer, without nominal value, with regular dividend rights, and having the same features as the ordinary shares of MPS outstanding at the issue date, which will be listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A.. The above number was calculated as a matter of extreme caution and in accordance with a highly conservative approach and, therefore, as better specified in this Offer Document, without prejudice to any restructuring and/or changes to the content and/or structure of the Offer and/or possible further adjustments of the Consideration, it will not be necessary to issue all the MPS Shares. |
| **Treasury Shares** | The treasury shares of the Issuer, which - as of the Offer Document Date - amount to No. 26,914,597 treasury shares, equal to approximately 3.2% of the share capital of the Issuer as of the Offer Document Date. |

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|:---|:---|
| **Banca Akros** | Banca Akros S.p.A. – Banco BPM Group, with registered office in Milan, Viale Eginardo 29, share capital equal to Euro 39,433,803 fully paid-in, registered with the Companies' Register of Milan-Monza-Brianza-Lodi, tax code No. 03064920154, listed in the Register of Banks under No. 5328, member of the Interbank Deposit Protection Fund and the National Guarantee Fund, part of the Banco BPM Banking Group, and subject to the management and coordination of Banco BPM S.p.A., pursuant to Articles 2497 *et seq.* of the Italian Civil Code. |
| **Bank of Italy** | The Bank of Italy, with headquarters in Rome, Via Nazionale No. 91. |
| **European Central Bank** *or **ECB*** | The European Central Bank, with headquarters in Frankfurt (Germany), Sonnemannstrasse No. 20. |
| **Borsa Italiana** | Borsa Italiana S.p.A., the company that organizes and manages the regulated market Euronext Milan, with registered office in Milan, Piazza degli Affari No. 6. |
| **Italian Civil Code** | The Italian Civil Code, approved by Royal Decree No. 262 of March 1942, as subsequently amended and supplemented. |
| **Corporate** **Governance Code** | The Corporate Governance Code for listed companies published in January 2020 by the Corporate Governance Committee, in the version in force as of the Offer Document Date. |
| **Committee for Related Parties Transactions** *or* **Committee** | The Committee for Related Parties Transactions of MPS, established pursuant to the MPS Regulation. |
| **Common Equity Tier 1** *or* **CET1** | Pursuant to Article 26 of Regulation (EU) 575/2013, the elements of entities' common equity tier 1 are the following: (a) capital instruments, as long as the conditions set out in Article 28 of Regulation (EU) 575/2013 or, where applicable, Article 29 are met; (b) share premium reserves relating to instruments referred to in item (a); (c) undistributed profits; (d) other cumulative components of total income; (e) other reserves; and (f) provisions for general banking risks.<br>Items from (c) to (f) are recognised as Common Equity Tier 1 only if they can be used without restriction and without delay by the entity to cover risks or losses when such risks or losses occur. In general, as clarified by Article 50 of Regulation (EU) 575/2013, an entity's common equity tier 1 consists of the elements of its <br>|

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|:---|:---|
|  | common equity tier 1 after the application of the adjustments prescribed in Articles 32 to 35 of Regulation (EU) 575/2013, the deductions pursuant to Article 36 of Regulation (EU) 575/2013 and the exemptions and alternatives referred to in Articles 48, 49 and 79 of Regulation (EU) 575/2013. |
| **CET1 Ratio** or **Common Equity Tier 1 Ratio** | Solvency coefficient expressed by the ratio between Common Equity Tier I and RWA calculated pursuant to the provisions of Regulation (EU) 575/2013, Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 and Bank of Italy Circular No. 285 of 17 December 2013, as subsequently amended and supplemented. |
| **Issuer's Communication** | The press release that the Board of Directors of the Issuer will be required to publish, pursuant to the provisions of Article 103, paragraphs 3 and 3-*bis*, of the TUF and Article 39 of the Issuers' Regulation, containing all useful information for the assessment and evaluation of the Offer. |
| **Communication on the Final Results of the Offer** | The press release relating to the final results of the Offer, which will be disseminated, pursuant to Article 41, paragraph 6, of the Issuers' Regulation. |
| **Communication on the Final Results of the Reopening of the Acceptance Period** | The press release relating to the final results following the possible Reopening of the Acceptance Period, which will be disseminated by the Offeror pursuant to Article 41, paragraph 6, of the Issuers' Regulation in the event of a Reopening of the Acceptance Period, as voluntarily applied by the Offeror. |
| **Communication on the Provisional Results of the Offer** | The press release relating to the provisional results of the Offer, which will be disseminated by the Offeror pursuant to Article 36, paragraph 3 of the Issuers' Regulation. |
| **Communication of the Provisional Results of the Reopening of the Acceptance Period** | The press release relating to the provisional results of the Offer following the possible Reopening of the Acceptance Period, which will be disseminated pursuant to Article 36, paragraph 3, of the Issuers' Regulation, in the event of the Reopening of the Acceptance Period, as voluntarily applied by the Offeror. |
| **Communication 102** *or* **Offeror's Communication** | The Offeror's press release required by Articles 102, paragraph 1 of the TUF and 37, paragraph 1, of the Issuers' Regulation, disseminated on the Communication Date and published on the Offeror's |

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|  | website, attached to this Offer Document as Annex M.1. |
| **Conditions** **of Effectiveness of the Offer** | The conditions described in Section A, Paragraph A.1, of this Offer Document, upon whose fulfilment (or waiver by the Offeror, of all or some of them, if provided) the completion of the Offer is conditional. |
| **Financial Advisors** | J.P. Morgan Securities plc, with registered office at 25 Bank Street, Canary Wharf, London, United Kingdom; UBS Europe SE, with registered office at Bockenheimer Landstrasse 2-4, Frankfurt, Germany; and Jefferies GmbH, with registered office at Bockenheimer Landstrasse 24, 60323 Frankfurt, Germany. |
| **Consob** | The National Commission for Listed Companies and the Stock Exchange, with headquarters in Rome, Via G.B. Martini No. 3. |
| **Consideration** | The unit consideration that will be paid by the Offeror to the Tendering Shareholders for each Mediobanca Share (or Additional Share) tendered in acceptance of the Offer, equal to, based on the Exchange Ratio, if there are no further adjustments, No. 2.533 MPS Shares for each Share Subject to the Offer tendered in acceptance of the Offer. |
| **Pre-Adjustment Consideration** | The unit consideration as determined by the Offeror and indicated in the Offeror's Communication, prior to adjustment, equal to 2.300 MPS Shares for each Share Subject to the Offer tendered in acceptance of the Offer. |
| **Full Cash Consideration** | The cash consideration referred to in Article 50-*ter* of the Issuers' Regulation, which will be offered by the Offeror, as an alternative to the Consideration, in the event that, within the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, one or more shareholders of Mediobanca request, pursuant to Article 108, paragraph 5, of the TUF, the payment of a full cash consideration, which will be determined: (i) by valuing the MPS Shares based on the weighted average of the official prices recorded in the five Open Market Days preceding the Consideration Payment Date, in the event that, within the Sell-Out pursuant to Article 108, paragraph 1, of the TUF or the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the purchase price of the Shares Subject to the Offer is equal to the Consideration pursuant to Article 108, paragraph 3, of |

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|  | the TUF and Article 50-*ter* of the Issuers' Regulation; or (ii) in an amount equal to the monetary valuation made by Consob, in the event that, within the Sell-Out pursuant to Article 108, paragraph 1, of the TUF or the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the purchase price of the Shares Subject to the Offer is determined by Consob pursuant to Article 108, paragraph 4, of the TUF and Articles 50 and 50-*bis* of the Issuers' Regulation. |
| **Offer Document Date** | 3 July 2025, *i.e.*, the date of publication of the Offer Document. |
| **Communication Date** | 24 January 2025, the date on which the Offeror's Communication was disseminated. |
| **Payment Date** | The date on which the Consideration will be paid to the Tendering Shareholders for each Share Subject to the Offer tendered in acceptance of the Offer and on which the transfer of the Shares Subject to the Offer to the Offeror will take place, corresponding to the fifth Trading Day following the last day of the Acceptance Period, and, therefore, 15 September 2025 (subject to any extension of the Acceptance Period, in accordance with applicable law), without prejudice to the provisions relating to any Fractional Shares and the related payment of the Fractional Cash Amount (as defined in Section F, Paragraph F.6, of the Offer Document). |
| **Payment Date of the Reopening** **of the Acceptance Period** | The date on which the Consideration will be paid to the Tendering Shareholders who have accepted the Offer during the possible Reopening of the Acceptance Period, corresponding to the fifth Trading Day following the end of the Reopening of the Acceptance Period, and, therefore, 29 September 2025 (unless the Acceptance Period is extended, in accordance with applicable law), without prejudice to the provisions regarding any Fractional Shares and the related payment of the Fractional Cash Amount. |
| **Delegation** | The delegation granted, pursuant to Article 2443 of the Italian Civil Code, to the Board of Directors of MPS by the Offeror's Shareholders' Meeting for the purpose of executing the Capital Increase Reserved to the Offer. |
| **Delisting** | The delisting of the Shares Subject to the Offer from Euronext Milan. |
| **Squeeze-Out** | The right of the Offeror to purchase the remaining Shares Subject to the Offer, pursuant to Article 111, |

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|  | paragraph 1, of the TUF, in the event that the Offeror were to hold – as a result of the acceptances of the Offer and/or purchases potentially made outside the Offer itself in accordance with applicable regulations, during the Acceptance Period, as possibly extended, and/or during the possible Reopening of the Acceptance Period, as well as during, and/or in accordance with, the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF – a total shareholding of at least 95% of the Issuer's share capital. |
| **MPS Dividend** | The dividend approved by the ordinary shareholders' meeting of MPS on 17 April 2025, equal to Euro 0.86 per MPS share outstanding and entitled to the dividend payment, with ex-dividend date on 19 May 2025, record date on 20 May 2025 and payment date on 21 May 2025. |
| **Exemption Document** | The exemption document pursuant to Article 34-*ter*, paragraph 02, letter a), of the Issuers' Regulation, prepared by the Offeror for the purposes of the exemption from the obligation to publish the prospectus referred to in Article 1, paragraph 4, letter f) and paragraph 6-*bis*, letter a) of Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017, and published on 3 July 2025. |
| **Offer Document** | This offer document, prepared by the Offeror pursuant to Articles 102 *et seq.* of the TUF, and the applicable provisions of the Issuers' Regulation. |
| **Issuer** *or* **Mediobanca** | MEDIOBANCA – Banca di Credito Finanziario Società per Azioni, an Italian joint stock company, with registered office in Milan, Piazzetta Enrico Cuccia, 1, Registration number at the Companies' Register of Milan and Tax Code No. 00714490158, listed in the Register of Banks held by the Bank of Italy under number 4753, data processing code 10631 and, as the parent company of the Mediobanca Banking Group, in the Register of Banking Groups under number 10631, and a member of the Interbank Deposit Protection Fund (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*). |
| **Euronext Milan** | The Italian regulated market Euronext Milan, organized and managed by Borsa Italiana S.p.A. |

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| **Trading Day** | Each day on which the Italian regulated markets are open according to the trading calendar established by Borsa Italiana S.p.A. on an annual basis. |

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| **Global Information Agent** | Georgeson S.r.l., with registered office in Rome, Via Emilia 88, in its capacity as the entity responsible for providing the information relating to the Offer to all Mediobanca shareholders. |

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| **Mediobanca Group** | The "Mediobanca Banking Group" registered with the Register of Banking Groups with the number 10631, headed by the Issuer. |

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| **MPS Group** | The "Monte dei Paschi di Siena Banking Group" registered with the Register of Banking Groups with the number 1030, headed by the Offeror. |

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| **Depositary Intermediaries** | The authorized depositary intermediaries participating in the centralized management system at Monte Titoli (as banks, securities brokerage firms, investment companies, stockbrokers) with which the Shares Subject to the Offer are deposited from time to time. |

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| **Appointed Intermediaries** | The intermediaries in charge of collecting the acceptances of the Offer, as indicated in Section B, Paragraph B.3, of the Offer Document. |

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| **Intermediaries Appointed to Coordinate the Collection of Acceptances** | Banca Monte dei Paschi di Siena S.p.A., together with Banca Akros S.p.A. |

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| **Stock** **Exchange Instructions** | The instructions to the Stock Exchange Regulations, in force as of the Offer Document Date. |

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| **MAR** | The Regulation (EU) No. 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse, as subsequently amended, in force as of the Offer Document Date. |

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| **Monte Titoli** | Monte Titoli S.p.A., with registered office in Piazza degli Affari No. 6, Milan (Italy). |

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| **Sell-Out pursuant to Article 108, paragraph 1, of the TUF** | The obligation of the Offeror to purchase the remaining Shares Subject to the Offer from those who request it, pursuant to Article 108, paragraph 1, of the TUF, in the event that the Offeror were to hold – as a result of the acceptances of the Offer, and/or purchases potentially made outside the Offer itself in accordance with applicable regulations during the Acceptance Period, as possibly extended, and/or the possible Reopening of the Acceptance Period, as well as during, and/or in accordance with, the procedure for complying with the |

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Sell-Out pursuant to Article 108, paragraph 2, of the TUF – a total shareholding equal to at least 95% of the Issuer's share capital.

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| **Sell-Out** **pursuant to Article 108, paragraph 2, of the TUF** | The obligation of the Offeror to purchase the remaining Shares Subject to the Offer from those who request it, pursuant to Article 108, paragraph 2, of the TUF, in the event that the Offeror were to hold – as a result of the acceptances of the Offer and/or purchases potentially made outside the Offer itself in accordance with applicable regulations during the Acceptance Period, as possibly extended, and/or during the possible Reopening of the Acceptance Period – a total shareholding exceeding 90%, but less than 95% of the Issuer's share capital. |

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| **Offeror** *or* **MPS** *or* **BMPS** | Banca Monte dei Paschi di Siena S.p.A., an Italian joint stock company, with registered office in Piazza Salimbeni, 3, Siena, registration number at the Companies' Register of Arezzo – Siena and Tax Code No. 00884060526, listed in the Register of Banks held by the Bank of Italy under number 5274, data processing code 1030 and, as the parent company of the Monte dei Paschi di Siena Banking Group, in the Register of Banking Groups under number 1030, and a member of the Interbank Deposit Protection Fund (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*). |

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| **Offer** | The voluntary public exchange offer concerning all the Mediobanca Shares and any Additional Shares, promoted by the Offeror, pursuant to Articles 102 and 106, paragraph 4, of the TUF, as well as the applicable implementing provisions contained in the Issuers' Regulation, as described in this Offer Document. |

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| **Excluded Countries** | Japan, Canada, Australia and any other country where the promotion of the Offer or the participation therein would not comply with financial markets laws and regulations or other local laws and regulations or would not be permitted without prior registration, approval or filing with the relevant supervisory authorities. |

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| **Fractional Share** | The fractional share of decimal numbers resulting from the application of the Exchange Ratio to the Shares Subject to the Offer tendered in acceptance of the Offer by individual Tendering Shareholders. |

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| **Acceptance Period** | The period for the acceptance of the Offer, which will be agreed upon with Borsa Italiana, corresponding to |

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No. 40 (forty) Trading Days, which shall commence at 8:30 a.m. (Italian time) on 14 July 2025 and shall end at 5:30 p.m. (Italian time) on 8 September 2025, both dates inclusive, unless extended in accordance with applicable law.

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| **Incentive Plans** | The following incentive plans approved by Mediobanca: |

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- 2015 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2015 (and updated by the ordinary shareholders' meeting on 28 October 2019);

- 2019-2023 Long Term Incentive Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2019;

- 2021-2025 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2020 (and partially revoked by the ordinary shareholders' meeting on 28 October 2021);

- 2022 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2021;

- 2023 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2022;

- 2023-2024 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023;

- 2024-2025 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2024;

- 2023-2026 Long Term Incentive Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023; and

- 2023-2026 Broad-based Share Ownership and Co-investment Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023.

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| **Joint Procedure** | The joint procedure for (i) complying with the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, and (ii) exercising the Squeeze-Out, agreed upon with Consob and Borsa Italiana pursuant to Article 50-*quinquies*, paragraph 1, of the Issuers' Regulation. |

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| **Exchange Ratio** | Means the ratio of No. 2.533 MPS Shares for each Share Subject to the Offer, following the adjustment of the Pre-Adjustment Exchange Ratio due to the detachment |

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of the MPS Dividend coupon and the detachment of the Mediobanca Interim Dividend coupon, as better described in Section E, Paragraph E.1, of the Offer Document.

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| **Pre-Adjustment Exchange Ratio** | Means the ratio of No. 2.300 MPS Shares for each Share Subject to the Offer tendered in acceptance of the Offer, set forth in the Offeror's Communication, before the adjustment, as better described in Section E, Paragraph E.1, of the Offer Document. |

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| **Stock Exchange Regulations** | The Regulations of the Markets Organized and Managed by Borsa Italiana and in force as of the Offer Document Date. |

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|:---|:---|
| **Issuers' Regulation** | The Regulation adopted by Consob by resolution No. 11971 of 14 May 1999, as subsequently amended and integrated, in force as of the Offer Document Date. |

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|:---|:---|
| **MPS Regulation** | The "Group Regulation on the management of prescriptive requirements relating to related parties, related subjects and Bank officers' obligations" adopted by the Board of Directors of BMPS and in force as of the Offer Document Date. |

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| **Related Parties Regulation** | Consob Regulation No. 17221 of 12 March 2010, as amended and supplemented, in force as of the Offer Document Date. |

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|:---|:---|
| **Regulation (EU) 575/2013** | The Regulation (EU) No. 575/2013 of the European Parliament and the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms, as subsequently amended and supplemented, in force as of the Offer Document Date. |

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|:---|:---|
| **Reopening of the**<br> **Acceptance Period** | The possible reopening of the Acceptance Period for 5 Trading Days (specifically, unless the Acceptance Period is extended, for the trading sessions of 16, 17, 18, 19 and 22 September 2025) pursuant to Article 40-*bis*, paragraph 1, letter a), of the Issuers' Regulation, as voluntarily applied by the Offeror and described more in detail in Section F, Paragraph F.1.1, of the Offer Document. |

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| **RWA** | Risk-weighted assets (including credit risks, operational risks and other risks), in accordance with banking regulations issued by supervisory authorities for the calculation of solvency coefficients. |

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|:---|:---|
| **Acceptance Form** | The acceptance form for the Offer, which the Tendering Shareholders must sign and deliver to an Appointed Intermediary, duly completed in all its parts, while |

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simultaneously depositing the Mediobanca Shares (and any Additional Shares) with the said Appointed Intermediary.

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| **TUB** *or* **Consolidated Law on Banking** | Legislative Decree No. 385 of 1 September 1993 – Consolidated Law on Banking and Credit, as subsequently amended and supplemented, in force as of the Offer Document Date. |

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| **TUF** *or* **Consolidated Law on Finance** | Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented, in force as of the Offer Document Date. |

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|:---|:---|
| **Unit Market Value of the MPS Share Prior to the Offer Document Date** | Euro 7.036 attributed (for illustrative purposes only in the Offer Document) to each MPS Share and corresponding to the official price of MPS ordinary shares on the last Trading Day prior to the Offer Document Date. |

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| **Unit Market Value of the Pre-Adjustment Consideration Prior to the Communication Date** | Euro 15.992 attributed (for illustrative purposes only in the Offer Document) to each Mediobanca Share and corresponding to the official price of MPS ordinary shares on the last Trading Day prior to the Communication Date (i.e., 23 January 2025), namely Euro 6.953 multiplied by 2.300 (corresponding to the Pre-Adjustment Exchange Ratio). |

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| **Unit Market Value of the Pre-Adjustment Consideration Prior to the Offer Document Date** | Euro 16.184 attributed (for illustrative purposes only in the Offer Document) to the Consideration payable for each Share Subject to the Offer tendered in acceptance of the Offer, equal to the Unit Market Value of the MPS Share Prior to the Offer Document Date multiplied by 2.300 (corresponding to the Pre-Adjustment Exchange Ratio). |

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**RECITALS**

The following Recitals briefly describe the transaction which is the subject matter of this offer document (the "**Offer Document**").

For a complete assessment of the terms and conditions of the transaction, please read Section A "Warnings" carefully and, in any case, the entire Offer Document.

The Offer Document must be read in conjunction with (ad as a mutual integration of) the Exemption Document available, *inter alia*, on the Offeror's website.

The data and information relating to the Issuer (and the Mediobanca Group) contained in this Offer Document are exclusively based on data and information available to the public on the Offer Document Date (including those available on Mediobanca's website, <u>www.mediobanca.com/en</u>).

**1.** **Subject of the Offer**

The transaction described in the Offer Document consists of a voluntary public exchange offer (the "**Offer**" or the "**Transaction**"), promoted by Banca Monte dei Paschi di Siena S.p.A. (the "**Offeror**" or "**MPS**" or "**BMPS**") – pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**TUF**"), as well as the applicable implementing provisions contained in the regulation on issuers, adopted by Consob with Resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented (the "**Issuers' Regulation**") – on all the ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), a joint stock company with shares listed on Euronext Milan ("**Euronext Milan**"), a regulated market organized and managed by Borsa Italiana S.p.A. ("**Borsa Italiana**"), and namely a total maximum of:

&nbsp;&nbsp;&nbsp;&nbsp;*(i)* No. 833,279,689 ordinary shares of Mediobanca (the "**Mediobanca Shares**" or the "**Issuer's Shares** "), *i.e.*, all of the ordinary shares issued by Mediobanca as of the Offer Document Date, including the No. 26,914,597 treasury
shares held by the Issuer on the Offer Document Date, corresponding to approximately 3.2% of the Issuer's share capital as of the
Offer Document Date (the "**Treasury Shares** "), as well as

&nbsp;&nbsp;&nbsp;&nbsp;*(ii)* No. 16,178,862 ordinary shares of Mediobanca (the "**Additional Shares**") that the Issuer may issue prior to the completion of the Offer in favour of the beneficiaries
of certain Incentive Plans, as a result of the review by the competent bodies of Mediobanca to provide for their acceleration, where envisaged
by the individual Incentive Plans, even though some of them envisage the possibility of using – instead of the Additional Shares
 – Mediobanca's Treasury Shares held in portfolio, (collectively, the "**Shares Subject to the Offer** ").

Therefore, as of the Offer Document Date, the Offer – assuming the issuance of all Additional Shares – covers a maximum of No. 849,458,551 shares of the Issuer.

As of the Offer Document Date, the Offeror directly holds No. 31,996 Issuer's shares, representing 0.004% of the Issuer's share capital as of the Offer Document Date. It should be noted that, this calculation does not include Mediobanca Shares held by investment funds and/or other collective investment undertakings managed by companies of the MPS Group

in full autonomy from the latter and in the interests of their clients. For further details on the Shares Subject to the Offer, see Section C, Paragraph C.1, of the Offer Document.

Without prejudice to the Offeror's decisions regarding the fulfilment (or non-fulfilment) of the Threshold Condition within the terms set out in Section A, Paragraph A.1.4 below, the objective of the Offer, in light of the reasons and future plans relating to the Issuer, as further specified in Section G, Paragraph G.2.1, of the Offer Document, is to acquire the entire share capital of the Issuer and to delist the Shares Subject to the Offer from Euronext Milan. The Offeror believes that Delisting will help MPS and Mediobanca to achieve their goals of integration, creation of synergies, and growth.

The Offer was announced by means of a communication issued by the Offeror on 24 January 2025 (the "**Communication Date**"), pursuant to Articles 102, paragraph 1, of the TUF and 37, paragraph 1, of the Issuers' Regulation and Article 17 of the MAR (the "**Communication 102**" or the "**Offeror's Communication**").

In particular, the Communication 102 announced, among other things, the Offeror's decision to proceed with the Offer, pursuant to the resolution passed by the Offeror's Board of Directors on 23 January 2025 (subject to the issuance, on the same date, of a favourable, reasoned and binding opinion by the Committee for Related Parties Transactions), which simultaneously approved, *inter alia*, to convene the extraordinary shareholders' meeting of MPS on 17 April 2025 to resolve on the proposal to delegate to the administrative body of MPS, pursuant to Article 2443 of the Italian Civil Code, the execution of the Capital Increase Reserved to the Offer.

Furthermore, on 24 January 2025, MPS published a presentation to the market regarding the Offer, available on the Offeror's website (<u>www.gruppomps.it/en</u>, Investor Relations section).

**2.** **Legal assumptions and characteristics of the Offer**

The Offer is being promoted in Italy pursuant to Articles 102 and 106, paragraph 4, of the TUF.

On 23 January 2025, the Board of Directors of the Offeror (subject to the issue on the same date of a favourable, reasoned and binding opinion by the Committee for Related Parties Transactions) decided to promote the Offer. This decision was therefore communicated to Consob and to the market on 24 January 2025, before the opening of the markets, through the Offeror's Communication.

Furthermore, on 24 January 2025, pursuant to and for the purposes of Article 102, paragraph 2, of the TUF, the Offeror informed the workers' representatives of the publication of the Offeror's Communication.

On 13 February 2025, pursuant to and for the purposes of Article 16 of Law No. 287 of 10 October 1990, the Offeror filed an application for antitrust authorization with the Italian Competition and Market Authority ("**AGCM**"), as it could potentially give rise to a concentration transaction subject to notification. On the same date, the Offeror also submitted the notification to the European Commission pursuant to and for the purposes of Regulation (EU) 2022/2560 on foreign subsidies distorting the internal market.

Also on 13 February 2025, the Offeror filed with the Presidency of the Council of Ministers the notification required by Article 2 of Decree Law No. 21 of 15 March 2012, on the exercise of special powers in relation to investments in strategic sectors, converted with amendments

by Law No. 56 of 11 May 2012, as amended, supplemented and/or modified from time to time (the "**Golden Power Decree**"), concerning the Offer and the acquisition of exclusive control of the Issuer following completion of the Offer. On the same date, the Offeror filed a request for authorization with the Directorate General for International Trade and Investments – Ministry of Economy, Trade and Enterprise (*Direccion General de Comercio Internacional e Inversiones* – *Ministerio de Economía, Comercio y Empresa*) in accordance with Spanish legislation on foreign investments, pursuant to Article 7-*bis* of Law 19/2003 on the legal regime governing capital movements (*Ley 19/2003 sobre régimen jurídico de los movimientos de capitales*).

On 12 and 13 February 2025, the Offeror also filed applications with the competent authorities to obtain the Preliminary Authorizations. For further details, please refer to Section A.1.2 of the Offer Document.

On 13 February 2025, the Offeror filed the Offer Document with Consob pursuant to Article 102, paragraph 3, of the TUF and notified the market by means of a press release pursuant to Article 37-*ter*, paragraph 3, of the Issuers' Regulation.

The Offer is subject to the Condition of Effectiveness as described in Section A, Paragraph A.1, of the Offer Document and is addressed to all shareholders of the Issuer, without distinction and on equal terms, without prejudice to the provisions of Section F, Paragraph F.4, of the Offer Document.

The Offeror will pay each Tendering Shareholder a unit consideration consisting of No. 2.533 newly issued ordinary shares of MPS resulting from the Capital Increase Reserved to the Offer, with no nominal value, with regular dividend rights and the same characteristics as the ordinary shares of MPS already outstanding as of the issue date, which will be listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana (the "**MPS Shares**"), for each Share Subject to the Offer tendered in acceptance of the Offer (the "**Consideration**"). In this regard, it should be noted that (as better explained below), the Pre-Adjustment Exchange Ratio, originally provided for in the Offeror's Communication, was equal to 2.300 MPS Shares for each Share Subject to the Offer. The Offeror's Communication indeed provided as follows "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay(s) a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the ex coupon (cedola) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS shares, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed*".

Therefore, on 20 May 2025, MPS announced to the market that, following the detachment of the coupons and the subsequent payments of the MPS Dividend and the Mediobanca Interim Dividend, it had made the resulting technical adjustment to the Pre-Adjustment Exchange Ratio, equal to 0.233 MPS Shares. As of the Offer Document Date, the Consideration (following the mentioned technical adjustment) - without prejudice to any further adjustments based on the provisions of the Communication 102 and/or any restructuring and/or changes to the content and/or structure of the Offer - is therefore equal to 2.533 MPS Shares for each Share Subject to the Offer tendered in acceptance of the Offer.

As a result, by way of example, for every No. 1,000 (one thousand) Shares Subject to the Offer tendered in acceptance of the Offer, No. 2,533 (two thousand five hundred and thirty-three)

MPS Shares will be exchanged. Acceptance of the Offer may take place, as further specified in Section F of the Offer Document, even if the number of Shares Subject to the Offer tendered in acceptance of the Offer is less than 1,000 (one thousand) or the number of Shares Subject to the Offer is not a whole multiple of 1,000 (one thousand).

Any further adjustments to the Consideration as a result of the provisions of the Communication 102 will be disclosed in the manner and within the time frames required by applicable law. For further details on the additional circumstances that would trigger a further adjustment to the Consideration, please refer to the Offeror's Communication.

The MPS Shares issued in connection with the Offer derive from the Capital Increase Reserved to the Offer approved by the Board of Directors of the Offeror on 26 June 2025, in exercise of the Delegation granted by the Extraordinary Shareholders' Meeting of the Offeror held on 17 April 2025. For further details on the resolutions passed by the Shareholders' Meeting of the Offeror and by the Board of Directors, please refer to the press releases issued by the Offeror to the market on 17 April 2025 and on 26 June 2025, respectively, available on the MPS website, as well as the shareholders' meeting and board of directors' meeting documentation made available to the public on the MPS website at <u>www.gruppomps.it/en</u>, Investor Relations section.

In the event of full acceptance of the Offer, *i.e.*, if all Mediobanca Shares and any Additional Shares are tendered in acceptance of the Offer, even during the Reopening of the Acceptance Period (or in any case transferred to MPS in execution of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, where applicable) and without prejudice to any further adjustments based on the provisions of the Communication 102 and/or any restructuring and/or changes to the content and/or structure of the Offer, a total of No. 2,151,678,510 MPS Shares resulting from the Capital Increase Reserved to the Offer will be allocated to the Tendering Shareholders, based on the Consideration, corresponding to – as of the Offer Document Date – approximately 63% of the shares of the Offeror on the basis of the shares of MPS issued as of the Offer Document Date. Alternatively, in the event that the percentage of acceptances of the Offer would be equal to the Threshold Condition (*i.e.*, 66.67% of Mediobanca's share capital), the dilution for MPS' shareholders would be equal to 53%.

It should be noted that the Capital Increase Reserved to the Offer is subject to the provisions of Articles 2440 and 2343-*ter*, *et seq.*, of the Italian Civil Code, concerning capital increases to be paid by contributions in kind.

The Offeror has therefore appointed KPMG Corporate Finance, a division of KPMG Advisory S.p.A., as an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code (the "**Independent Expert**") to prepare the valuation of the Shares Subject to the Offer.

On 14 March 2025, the Independent Expert issued its appraisal on the valuation of the Shares Subject to the Offer (the "**Appraisal**"). In the Appraisal, the Independent Expert concluded that, as of 14 March 2025, based on the financial and equity position as of 31 December 2024 and the elements and methods described in its appraisal, the fair value of the shares of Mediobanca is not less than Euro 16.406 per Mediobanca share, cum dividend, or Euro 15.852 per Mediobanca share, ex dividend.

Subsequently, on 26 June 2025, the Independent Expert, upon request of the Offeror, issued the Appraisal updated taking into account the data and information available as of 31 March 2025, which therefore constitutes the new reference date. Specifically, in the updated Appraisal, the Independent Expert concluded that, as of 26 June 2025, based on the economic and financial position as of 31 March 2025, and the elements and methods described in the update Appraisal, the fair value of the shares of Mediobanca is not less than Euro 17.395 per each share of Mediobanca, ex dividend, *i.e.,* net of Mediobanca's Interim Dividend.

In accordance with the law, the value attributed, for the purpose of determining the share capital and the share premium, to the Shares Subject to the Offer tendered in acceptance of the Offer must be equal to or less than the value indicated in the aforementioned updated Appraisal of the Independent Expert.

For further information on the Capital Increase Reserved to the Offer, please refer to Section A, Paragraph A.5, of the Offer Document.

For the sake of completeness, it should be noted that the above will apply, *mutatis mutandis*, if the conditions for the Reopening of the Acceptance Period and/or for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or for the fulfilment of the Joint Procedure are met.

**3.** **The voluntary public exchange offer promoted by Mediobanca on Banca Generali S.p.A.**

On 28 April 2025, pursuant to and for the purposes of Article 102, paragraph 1, of the TUF, as well as Article 37 of the Issuers' Regulation, Mediobanca notified the market that, on 27 April 2025 it had decided to promote a voluntary public exchange offer pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF for all the ordinary shares of Banca Generali S.p.A. ("**Banca Generali**") admitted to trading on Euronext Milan, organised and managed by Borsa Italiana (the "**Mediobanca-Banca Generali Offer**").

The Mediobanca-Banca Generali Offer therefore concerns the maximum No. 116,851,637 ordinary shares of Banca Generali (*i.e.*, all the shares issued by Banca Generali as of that date), including treasury shares held by Banca Generali itself (equal to No. 2,907,907 as reported in Banca Generali's financial statements as of 31 December 2024).

Mediobanca will pay – for each share of Banca Generali tendered in acceptance of the Mediobanca-Banca Generali Offer – a unit consideration equal to No. 1.70 ordinary shares of Assicurazioni Generali S.p.A. ("**Assicurazioni Generali**") held by Mediobanca (the "**Mediobanca-Banca Generali Offer Consideration**").

Considering the pending Offer, on 27 April 2025, Mediobanca's Board of Directors resolved, *inter alia*, to submit to the ordinary shareholders' meeting of Mediobanca – convened for 16 June 2025 – a proposal to approve the Mediobanca-Banca Generali Offer pursuant to and for the purposes of Article 104 of the TUF, which allows the shareholders' meeting to grant power to the Board of Directors in derogation from the provisions of that Article.

On 15 June 2025, Mediobanca's Board of Directors resolved to postpone the date of the ordinary shareholders' meeting for the approval of the Mediobanca-Banca Generali Offer, originally convened for 16 June 2025, in accordance with Article 104 of the TUF, to 25

September 2025. For further details, please refer to the press release made available to the market by Mediobanca on 15 June 2025.

It should be noted that – in the event that the Offer and the Mediobanca-Banca Generali Offer are completed – taking into account that the Mediobanca-Banca Generali Offer provides, as the Mediobanca-Banca Generali Offer Consideration, the allocation to the tendering shareholders of ordinary shares of Assicurazioni Generali held by Mediobanca in portfolio, depending on the scenarios of acceptance of the Mediobanca-Banca Generali Offer, Mediobanca could reduce (or even sell completely) its interest in Assicurazioni Generali held as of the Offer Document Date.

In terms of timing, based on the information provided by Mediobanca in the press release issued on the date of announcement of the Mediobanca-Banca Generali Offer (the "**Mediobanca Communication 102**") and confirmed in the aforementioned press release published on 15 June 2025, the execution of this offer is expected to be completed by October 2025, therefore after the completion of the Offer, based on the information available as of the Offer Document Date.

As described in this Offer Document, the Offer promoted by MPS on Mediobanca is aimed at creating the third largest national banking operator in terms of total assets, customer loans, direct deposits and financial assets, leveraging Mediobanca's distinctive expertise in Wealth Management, Corporate & Investment Banking and Consumer Finance, and MPS' experience in Retail and Commercial Banking, areas characterized by strong complementarities.

Given the above objective, Mediobanca's interest in Assicurazioni Generali has always been considered a financial investment to be evaluated over time according to a risk/return approach. Following completion of the Transaction, this interest will reduce its weight on the overall profitability of the new group.

Therefore, since not all the terms of the Mediobanca-Banca Generali Offer have been disclosed to the market as of the Offer Document Date, also considering the postponement of Mediobanca's ordinary shareholders' meeting pursuant to Article 104 of the TUF, the Offeror reserves the right to fully evaluate the Mediobanca-Banca Generali Offer in light of all relevant information that will made available from time to time. It should also be noted that, while the Mediobanca-Banca Generali Offer would potentially appear to be consistent with the strategic rationale of the Offer, the information currently available to the Offeror is not sufficient to allow for a comprehensive analysis, given that Mediobanca's shareholders' meeting has been postponed due to the incomplete nature of the available information.

**4.** **Reasons for the Offer and overview of future plans**

Over the last three years, MPS has consistently strengthened its fundamentals, consolidating the sustainability of its business model and improving its risk profile, thereby achieving solid levels of profitability. Furthermore, the MPS Group has managed to exceed most of the targets set out in its 2022-2026 business plan two years ahead of schedule and with one of the strongest balance sheets in Europe, laying solid foundations to play an active role in the broader consolidation of the Italian banking sector.

The aggregation between MPS and Mediobanca, which will be carried out in accordance with the principles of sound and prudent management, business continuity and risk control, aims to create a New National Champion, combining two leading brands in the financial services

market, with the objective of strengthening the sustainability of its business model, ensuring solid levels of profitability in the medium/long-term.

MPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and offers significant value creation for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets, and a highly diversified, resilient player with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full optimisation of existing human capital.

In a market undergoing consolidation, MPS intends to play an active role, and this proposed aggregation represents a unique opportunity to strengthen its position in certain key areas and sectors, also to better seize future growth opportunities. This will increase support for households and businesses, strengthening overall support for the former, both in terms of financing needs and the protection and management of savings, and supporting the latter in capturing growth opportunities at domestic and international level. The benefits will also extend to local communities and the Italian economy.

The new group will be able to rely on Mediobanca's distinctive expertise in Wealth Management, Corporate & Investment Banking and Consumer Finance, and MPS' expertise in Retail and Commercial Banking. Furthermore, the shareholding held in Assicurazioni Generali will also positively contribute to the diversification of the new MPS Group's revenues and will be managed in the same way as the other business lines, in accordance with a careful capital optimization policy and a strong risk-adjusted profitability approach. In light of the Mediobanca-Banca Generali Offer recently announced to the market, the Offeror reserves the right to fully evaluate it once any further relevant information becomes available.

The aggregation will also offer employees of each institution the opportunity to develop their careers in a larger organization, enhancing their talent thanks to opportunities for mutual enrichment and integration.

At the same time, it will help attract new high-profile resources, enhancing their skills and professionalism to consolidate a sustainable and competitive growth model.

The combination is fully consistent with MPS' strategic guidelines set out in its 2024-2028 business plan (the "**2024-28 Business Plan**") and will generate significant revenue growth and important cost and funding synergies, with an effective implementation path.

With regard to the revenues, the Transaction will generate synergies of approximately Euro 0.3 billion per year, thanks to the enrichment of the product and service offering for households and businesses, the development of an integrated offering across the respective customer bases and increased penetration and expansion of the reference markets. In particular, through:

&nbsp;&nbsp;&nbsp;&nbsp;▪ Retail Banking – introducing MPS products to the customer base of Compass Banca S.p.A. ()"**Compass** ")
and Mediobanca Premier S.p.A. ()"**Mediobanca Premier** "), making the MPS branch network
available to facilitate scalable service delivery and deeper market penetration. Examples of growth drivers include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Accounts and Cards – for the so-called daily banking;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Mortgages – leveraging the proven commercial capabilities of the MPS network, including in meeting
the needs of customers for related insurance products;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Bancassurance – extension of the insurance offering to Mediobanca Premier customers;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Consumer Finance – expanding the distribution by making the MPS branch network available, enriching
the offering with insurance products and internationalizing the value proposition towards new markets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Private Banking – extending
Mediobanca's best practices to MPS customers, including through Mediobanca's asset management products (*e.g.*,
alternative investments);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Asset Gathering (<sup>1</sup>) –
integration of Mediobanca Premier and Banca Widiba S.p.A. ()"**Widiba** ")
to create a network of financial advisors already comprehensively structured to compete with key players, supported by a distinctive digital
platform, with the introduction of an integrated offering of asset management products and enhancement of MPS' capabilities in the
insurance sector;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ Corporate & Investment Banking –
combining MPS' balance sheet potential with Mediobanca's Investment Banking business and launching an intensive development
programme to support the growth of companies throughout the country. Similarly, leveraging Mediobanca's specialized experience in
Advisory and Markets to extend its reach to MPS' corporate customers.

The Transaction will also generate significant cost synergies in terms of administrative expenses and enable targeted optimization of overlapping functions. This will be complemented by savings from the rationalization of the combined investment plans of the two banks, thereby avoiding duplication of investments in areas affected by the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· centralization of procurement from large suppliers
and extension of best practices in terms of cost governance;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· optimization of IT investments and digital transformation
for common areas, such as the MPS consumer finance platform;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· optimization of wealth management support activities
for both Private Banking and Asset Gathering;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· combined development of the platform
for corporate customers and optimization of product factories (*e.g.*,
MBFACTA and MPS Factoring);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· optimization of duplication of central functions,
both in operational and resource terms.

Furthermore, the aggregation will enable funding synergies of approximately Euro 0.1 billion per year to be achieved thanks to a more balanced funding mix, leveraging MPS' commercial funding capacity and optimizing the combined entity's wholesale funding position.

<sup>1</sup> *i.e.*, the activity carried out by a financial institution with the aim of providing advice, collection, administration, and management services in respect of client assets through specific networks of financial advisors.

It should also be noted that if, upon completion of the Offer, the Offeror comes to hold a shareholding in Mediobanca's share capital equal to or greater than the Threshold Condition (*i.e.*, 66.67% of the Issuer's share capital), it is expected that approximately 50% of the total synergies will be achieved in 2026, increasing to approximately 85% in 2027 and fully implemented in 2028.

The business project, which stands out for the significant complementarity of the two business models (which significantly reduces the execution risk), will be implemented through a simple integration, with one-off integration costs estimated at approximately Euro 0.6 billion before tax, which can be expensed in the first year.

It should be noted that, the cost and funding synergies, the expansion of revenue sources and related synergies, and the advantages deriving from the complementary nature of the business models of MPS and Mediobanca, as well as the strategic objectives of the Offer, will be achievable not only through the acquisition of legal control, but also in scenarios other than the acquisition of legal control (*de facto* control), albeit with possible variations and delays in their implementation, all as further specified in Section A, Paragraph A.1.4.

The Transaction also aims to accelerate the utilization of Deferred Tax Assets ("**DTAs**") held by MPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTAs (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTAs will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

For the sake of completeness, it should be noted that, the aforementioned acceleration in the use of DTAs is subject to the Offeror acquiring a shareholding of more than 50% in the share capital of Mediobanca. By relying on the provisions of Articles 117 *et seq.* of the Consolidated Law on Income Tax (Presidential Decree No. 917 of 22 December 1986), Mediobanca may join the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A., starting from the tax period following that in which such shareholding was acquired (<sup>2</sup>). As a result, the consequent increase in the MPS Group's future consolidated tax base will allow for the immediate recording in the financial statements of almost all DTAs from past consolidated tax losses, up to Euro 2.9 billion, and, compared to the current situation, will accelerate the utilization process of these DTAs with the related benefit in capital terms.

Otherwise, in the event that, upon completion of the Offer and following the potential waiver of the Threshold Condition, the Offeror comes to hold a shareholding equal to or less than 50% of the share capital of Mediobanca, the latter, even in a *de facto* control scenario, may not be included in the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A.; in such a case, MPS may continue to use the past consolidated tax losses to compensate the taxable income generated by the companies currently participating in the national tax consolidation scheme and, both the recording of Euro 1.3 billion of DTAs (currently off-balance sheet) as assets and the benefits deriving from the use of the DTAs will still be achieved, even if over a longer period of time. Specifically, the expected benefits would be achieved in 2036 with an average annual use of DTAs equal to approximately Euro 0.3

<sup>2</sup> In accordance with the requirement set forth in Article 119, paragraph 1, letter "a" of the Consolidated Law on Income Tax ("alignment of the financial year of each subsidiary with that of the parent company or controlling entity"), Mediobanca's financial year (which, on the Offer Document Date, ends on 30 June) shall be aligned with that of the Offeror.

billion, also due to the projected increase in the tax base resulting from the synergies generated by the Transaction.

The combined group will be strengthened, with a diversified revenue stream and strong resilience to successfully compete in different scenarios, also enabling significant value creation for all shareholders, supported by higher profitability than the standalone businesses and capable of generating double-digit growth in earnings per share.

Shareholders will benefit from a sustainable dividend policy over time, with a payout ratio of up to 100% of the net profit, with growth in dividends per share, while confirming MPS' solid capital position (projected consolidated fully loaded Common Equity Tier 1 ratio as of 31 March 2025 for the resulting Group following completion of the Offer equal to 17.8% (<sup>3</sup>) upon completion of the transaction in the event of 100% acceptance of the Offer).

Finally, the two banks' sustainability strategies will be consolidated, leveraging their respective ESG capabilities to strengthen the combined entity's positioning and promote its commitment to the communities and territories where they are based.

MPS' high governance standards will be maintained throughout the integration and post-integration process, ensuring transparency, accountability and a balanced approach towards all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

*<u>Industrial and strategic aspects</u>*

The acquisition of Mediobanca allows to accelerate the implementation of the strategic guidelines of MPS' 2024-28 Business Plan, which focuses on: (i) the growth of specialized, high-fee-generating businesses; (ii) the development of new service models for value-added activities; (iii) the expansion of financing solutions for households and the development of new services for SMEs; (iv) the renewal and optimization of distribution platforms; and (v) the adaptation of a zero-based risk approach for more effective risk management.

MPS and Mediobanca operate with specialized business models and have many complementary elements, which will enable the creation of a New National Champion with a distinctive and resilient business model, capable of responding to the needs of households and businesses. This will be characterized by a wide range of banking products, a balanced funding mix and a solid capital and liquidity position.

In particular, the following strategic development guidelines are envisaged for various business lines covered by the two entities.

**<u>Retail Banking</u>**

The expertise gained by MPS over decades will enable the expansion of Mediobanca's Retail business, particularly the customer bases of Compass and Mediobanca Premier, through the offering of MPS' core products, such as accounts, credit cards, and mortgages.

<sup>3</sup> Figures derived from internal projections prepared by the Bank based on financial information available as of 31 March 2025. These projections take into account the impacts of the preliminary Purchase Price Allocation (PPA) process, including any fair value adjustments.

Additionally, MPS will be able to leverage its nationwide branch network, allowing Compass, Mediobanca Premier and potentially all Mediobanca customers to benefit from its extensive presence to meet their financial needs.

**<u>Wealth & Asset Management</u>**

The Transaction will enable the creation of a leading player in Wealth Management, due to the combination of MPS and Mediobanca's expertise in Private Banking, with the contribution from certain companies and product companies, as well as in asset gathering, through the integration of over 1,200 financial advisors active in Widiba and Mediobanca Premier, and about 500 bankers, allowing:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the strengthening of the distribution networks
in the market, maintaining the current portfolio size and profitability standards, thanks to accelerated growth facilitated by the immediate
achievement of a critical mass in the financial advisor networks;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the
 increased profitability and customer penetration, through the promotion of alternative products
 (*e.g.*, investment funds, OEIC) and alignment with Mediobanca's best practices
 also to MPS' customers.

**<u>Corporate & Investment Banking</u>**

The Transaction will enable MPS' balance sheet potential to be combined with Mediobanca's Investment Banking business and launch an intensive development programme to support the growth of companies throughout the country.

The complementarity between the customer segments served (SMEs and Large Corporates) and the range of products offered by MPS and Mediobanca to corporate clients will enable the creation of a leading operator in Corporate & Investment Banking (CIB). This will result in a broad and comprehensive offering, covering all major products, including the commercial banking services strictly linked to financial advisory, Capital Markets, Structured Finance CIB, access and execution in financial markets, and specialty finance services such as factoring.

The combined entity will assume a leadership position in Equity Capital Markets and M&A, allowing the MPS Group to capture growth opportunities in the mid-market segment, where MPS has a consolidated presence and is experiencing significant development, through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the enhancement of the Mediobanca's vertical
expertise in the areas of M&A, Equity & Debt Capital Markets, improving penetration of the combined customer base through
cross-selling and up-selling strategies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the offering of Advisory services, particularly
M&A, to medium and large corporate clients;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the strengthening of the offer of structured and
specialty finance for the corporate sector, also supported by a more balanced funding mix, leveraging MPS' commercial funding capacity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the access for the Mediobanca Premier clients
to MPS' branch network across Italy.

**<u>Consumer Finance</u>**

The unique positioning of Compass in the consumer credit sector will benefit from a further boost through the enhancement of the existing partnership with MPS and increased penetration in the retail customer base through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the leverage of the consolidated expertise of
both banks – specifically Mediobanca – in providing consumer credit solutions, expanding the range of available products and
improving access to credit for a diversified clientele;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the optimization of products' offering such
as personal loans, financing solutions, and salary-backed loans, promoting an efficient and competitive service model that integrates
the resources and distribution networks of both groups.

**<u>Insurance</u>**

Besides additional revenue synergies in the core segments of both entities, MPS will have the chance to expand its bancassurance offering through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the introduction of Credit Protection Insurance
(CPI) policies on newly issued personal loans, increasing penetration of Mediobanca's customer base by capitalizing on MPS'
existing offering;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;▪ the enhancement of customer penetration, by integrating
banking products with existing insurance products in the portfolio.

Finally, for the sake of clarity, it should be noted that any reference to the abovementioned effects arising out from the integration, combination, and aggregation of MPS and Mediobanca as a result of the Offer do not require a potential merger by incorporation of Mediobanca into MPS or into another company of the MPS Group and refer, on one hand, to a scenario where MPS exercises legal control over the Issuer and, on the other hand, to a scenario where MPS exercises *de facto* control over Mediobanca, with the clarifications set out below regarding the so-called DTAs.

**5.** **Table of key events relating to the Offer**

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
| &nbsp;&nbsp;23 January 2025 | &nbsp;&nbsp;Issuance of the reasoned and binding opinion of the Committee for Related Parties Transaction on the substantive and procedural fairness and appropriateness of the Offer and, in particular, of the Capital Increase Reserved to the Offer. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;23 January 2025 | &nbsp;&nbsp;Resolution of the Board of Directors of the Offeror concerning the decision to promote the Offer. | &nbsp;&nbsp;Communication by the Offeror to the market pursuant to Article 17 of Regulation (EU) No. 596/2014 on market abuse, as subsequently modified ("**MAR**"). |
| &nbsp;&nbsp;24 January 2025 | &nbsp;&nbsp;Communication by the Offeror to Consob and to the market on the decision to promote the Offer. | &nbsp;&nbsp;Communication by the Offeror pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the Issuers' Regulation. |
| &nbsp;&nbsp;24 January 2025 | &nbsp;&nbsp;Call for the extraordinary shareholders' meeting of the Offeror to resolve on the granting of the Delegation for the Capital Increase Reserved to the Offer. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;24 January 2025 | &nbsp;&nbsp;Communication by the Offeror to its workers' representatives pursuant to Article 102, paragraph 2, of | &nbsp;&nbsp;- |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
|  | &nbsp;&nbsp;the TUF. |  |
| &nbsp;&nbsp;13 February 2025 | &nbsp;&nbsp;Communication by the Offeror to the AGCM in accordance with applicable regulations. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;13 February 2025 | &nbsp;&nbsp;Communication by the Offeror to the European Commission pursuant to the rules on foreign subsidies distorting the internal market. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;12/13 February 2025 | &nbsp;&nbsp;Submission of applications to the competent authorities for the purpose of obtaining the Preliminary Authorizations. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;13 February 2025 | &nbsp;&nbsp;Submission to the Presidency of the Council of Ministers of the notification required by Article 2 of Decree Law No. 21 of 15 March 2012, concerning the Offer and the acquisition of exclusive control of the Issuer upon completion of the Offer. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;13 February 2025 | &nbsp;&nbsp;Submission to the Directorate General for International Trade and Investments – Ministry of Economy, Trade and Enterprise (*Direccion General de Comercio Internacional e Inversiones — Ministerio de Economía, Comercio y Empresa*) of the application for authorization in accordance with Spanish legislation on foreign investments. |  |
| &nbsp;&nbsp;13 February 2025 | &nbsp;&nbsp;Filing of the Offer Document and the Acceptance Form with Consob. | &nbsp;&nbsp;Communication by the Offeror to the market, pursuant to Articles 102, paragraph 3, of the TUF and 37-*ter*, paragraph 3, of the Issuers' Regulation. |
| &nbsp;&nbsp;14 March 2025 | &nbsp;&nbsp;Obtaining the Authorization in accordance with Spanish legislation on foreign investments from the Directorate General for International Trade and Investments – Ministry of Economy, Trade and Enterprise (*Direccion General de Comercio Internacional e Inversiones — Ministerio de Economía, Comercio y Empresa*). |  |
| &nbsp;&nbsp;18 March 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;With reference to the resolutions to be adopted by the extraordinary shareholders' meeting on 17 April 2025, pursuant to Article 2443 of the Italian Civil Code in relation to the Delegation, made available to the public by the Offeror:<br>- the explanatory report of the Board of Directors of the Offeror relating to the Capital Increase Reserved to the Offer, pursuant to Article 125-*ter* of the TUF and Article 72 of the Issuers' Regulation;<br>- the Independent Expert's appraisal certifying the value of the Shares Subject to the Offer, prepared pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code; and | &nbsp;&nbsp;- |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - the voluntary report issued by the independent auditor in relation to the criteria used by the Board of Directors to determine the Exchange Ratio in the context of the Offer. |  |
| &nbsp;&nbsp;2 April 2025 | &nbsp;&nbsp; Public disclosure by the Offeror of the information document pursuant to Article 70 of the Issuers' Regulation. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;8 April 2025 | &nbsp;&nbsp; Obtaining the Preliminary Authorization from the European Central Bank for amendments to the By-laws relating to the Capital Increase Reserved to the Offer and the eligibility of the new shares issued as part of the aforementioned Capital Increase Reserved to the Offer as the Offeror's own funds as Tier 1 capital. | &nbsp;&nbsp;Offeror's press release to the market pursuant to Article 36 of the Issuers' Regulation. |
| &nbsp;&nbsp;14 April 2025 | &nbsp;&nbsp;Obtaining the authorization from the Presidency of the Council of Ministers for the purposes of golden power. | &nbsp;&nbsp;Offeror's press release to the market pursuant to Article 36 of the Issuers' Regulation. |
| &nbsp;&nbsp;17 April 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholders' meeting of the Offeror which:<br>- in ordinary session, approves – *inter alia* – the financial statements for the year ended 31 December 2024;<br>- in extraordinary session, approves the Delegation to the Board of Directors to carry out the Capital Increase Reserved to the Offer. | &nbsp;&nbsp;Communication by the Offeror to the market pursuant to Article 17 of the MAR. |
| &nbsp;&nbsp;26 June 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In execution of the Delegation, resolution by the Board of Directors of the Offeror of the Capital Increase Reserved to the Offer.<br>The Offeror shall make available to the public:<br>- the explanatory report of the Board of Directors of the Offeror relating to the Capital Increase Reserved to the Offer, pursuant to Article 2441, paragraph 6, of the Italian Civil Code, Article 158 of the TUF and Article 70, paragraphs 4 and 7, of the Issuers' Regulation;<br>- the update of the Independent Expert's appraisal certifying the value of the Shares Subject to the Offer, prepared pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code; and<br>- the fairness opinion of the independent auditor pursuant to Article 2441, paragraph 6, of the Italian Civil Code, Article 158 of the TUF and Article 70, paragraphs 4 and 7, of the Issuers' Regulation. | &nbsp;&nbsp;Communication by the Offeror to the market pursuant to Article 17 of the MAR. |
| &nbsp;&nbsp;27 June 2025 | &nbsp;&nbsp;Registration with the Companies' Register of Arezzo – Siena of the resolution of the Board of Directors of the Capital Increase Reserved to the Offer containing, among other things, the declarations referred to in letters a), b), c) and e) of Article 2343-*quater*, paragraph 3, of the Italian Civil Code. | &nbsp;&nbsp;- |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
|  | &nbsp;&nbsp;Making available to the public of the minutes of the Board of Directors that exercised the Delegation, pursuant to Article 70, paragraph 7, letter b) of the Issuers' Regulation. |  |
| &nbsp;&nbsp;2 July 2025 | &nbsp;&nbsp;Approval of the Offer Document by Consob. | &nbsp;&nbsp;Communication by the Offeror pursuant to Article 36 of the Issuers' Regulation. |
| &nbsp;&nbsp;3 July 2025 | &nbsp;&nbsp;Publication of the Offer Document, the Exemption Document and the Acceptance Form. | &nbsp;&nbsp;Communication by the Offeror pursuant to Article 38, paragraph 2, of the Issuers' Regulation. <br>Dissemination of the Offer Document pursuant to Articles 36, paragraph 3, and 38, paragraph 2, of the Issuers' Regulation. |
| &nbsp;&nbsp;By 11 July 2025, *i.e.*, by the Trading Day preceding the start of the Acceptance Period. | &nbsp;&nbsp;Approval by the Issuer's Board of Directors of the Issuer's Communication. | &nbsp;&nbsp;Communication by the Issuer pursuant to Article 103 of the TUF and Article 39 of the Issuers' Regulation. |
| &nbsp;&nbsp;14 July 2025 | &nbsp;&nbsp;Start of the Acceptance Period. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;28 July 2025 | &nbsp;&nbsp;Expiry of the term set forth in Article 2443, paragraph 3, of the Italian Civil Code for the potential request by one or more shareholders of the Offeror representing at least one-twentieth of the share capital of MPS to proceed with a new valuation of the Shares Subject to the Offer by means of a sworn appraisal prepared by an expert appointed by the competent Court. |  |
| &nbsp;&nbsp;At least 5 Trading Days prior to the end of the Acceptance Period, *i.e.*, by 1 September 2025, unless the Acceptance Period is extended. | &nbsp;&nbsp;Any communication regarding the fulfilment, or the waiver, of the Threshold Condition for the purposes of the non-applicability of the potential Reopening of the Acceptance Period pursuant to Article 40-*bis*, paragraph 1, letter a) of the Issuers' Regulation. | &nbsp;&nbsp;Press release issued by the Offeror pursuant to Article 40-*bis*, paragraph 3, letter a) of the Issuers' Regulation. |
| &nbsp;&nbsp;8 September 2025 (unless the Acceptance period is extended in accordance with applicable law) | &nbsp;&nbsp;End of the Acceptance Period. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;By the evening of the last day of the Acceptance Period and in any case by 7:29 a.m. (Italian time) on the first Trading Day following the end of the Acceptance Period, *i.e.*, | &nbsp;&nbsp;Communication on the Provisional Results of the Offer, which will also indicate: (i) the fulfilment/non-fulfilment of the Threshold Condition (as defined below) and of the Minimum Threshold Condition or the waiver of the Threshold Condition, (ii) the potential existence of the conditions for the Reopening of the Acceptance Period or the potential existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF or the | &nbsp;&nbsp;Communication by the Offeror to the market pursuant to Article 36 of the Issuers' Regulation. |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
| &nbsp;&nbsp;9 September 2025, (unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 1, of the TUF and the Squeeze-Out, as well as (iii) the methods and timing relating to the subsequent Delisting (where applicable). |  |
| &nbsp;&nbsp;By 7:29 a.m. (Italian time) on the Trading Day prior to the Payment Date, *i.e.*, (unless the Acceptance Period is extended in accordance with applicable law) by 12 September 2025 | &nbsp;&nbsp;Communication on the Final Results of the Offer, which: (i) will confirm the fulfilment/non-fulfilment or waiver of the Threshold Condition (as defined below) and of the Minimum Threshold Condition, (ii) will communicate the fulfilment/non-fulfilment or waiver of the Conditions of Effectiveness of the Offer (as defined below), other than the Threshold Condition, (iii) will confirm the potential existence of the conditions for the Reopening of the Acceptance Period, and (iv) will confirm the potential existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF or the existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 1, of the TUF and the Squeeze-Out, as well as the methods and timing relating to the subsequent Delisting, where applicable. | &nbsp;&nbsp;Publication of the communication pursuant to Article 41, paragraph 6, of the Issuers' Regulation. |
| &nbsp;&nbsp;By the Trading Day following the date on which the non-fulfilment of the Conditions of Effectiveness was first announced | &nbsp;&nbsp;Return of the Shares Subject to the Offer tendered in acceptance of the Offer in the event that the Conditions of Effectiveness of the Offer have not been met, and the Offeror has not waived them. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;The fifth Trading Day following the end of the Acceptance Period, *i.e.*, 15 September 2025 (unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;Registration with the Companies' Register of Arezzo – Siena of the certificate pursuant to Article 2444 of the Italian Civil Code, as well as the declaration by the directors of the Offeror pursuant to Article 2343-*quater*, paragraph 3, letter d) of the Italian Civil Code (unless the procedure for evaluating the contribution in kind pursuant to Article 2343 of the Italian Civil Code is commenced).<br>Payment of the Consideration to the holders of the Shares Subject to the Offer tendered in acceptance of the Offer.<br>Immediate availability of the MPS Shares assigned as Consideration for the Offer (unless the process for evaluating the contribution in kind pursuant to Article 2343 of the Italian Civil Code is commenced).<br>The MPS Shares will be issued on the Consideration Payment Date and will be traded on Euronext Milan from that date. | &nbsp;&nbsp;- |
| &nbsp;&nbsp;16 September 2025 (unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;Start of the Reopening of the Acceptance Period (where applicable). | &nbsp;&nbsp;- |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
| &nbsp;&nbsp;22 September 2025 (unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;End of the Reopening of the Acceptance Period (where applicable). | &nbsp;&nbsp;- |
| &nbsp;&nbsp;By the evening of the last day of the Reopening of the Acceptance Period or, at the latest, by 7:29 a.m. on the first Trading Day following the end of the Reopening of the Acceptance Period (*i.e.*, 23 September 2025, respectively, unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;Communication on the Provisional Results of the Reopening of the Acceptance Period concerning (i) the possible existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF or for the Joint Procedure, as well as (ii) the methods and timing of the subsequent Delisting (where applicable). | &nbsp;&nbsp;Press release of the Offeror pursuant to Article 36 of the Issuers' Regulation. |
| &nbsp;&nbsp;By 7:29 a.m. on the Trading Day prior to the Payment Date of the Reopening of the Acceptance Period, *i.e.*, by 26 September 2025 (unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;Communication on the Final Results of the Reopening of the Acceptance Period, which will indicate (a) the final results of the Offer following the possible Reopening of the Acceptance Period, (b) confirmation of the potential existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF or for the Joint Procedure, and (c) the methods and timing relating to the subsequent Delisting, where applicable. | &nbsp;&nbsp;Press release of the Offeror pursuant to Article 41 of the Issuers' Regulation. |
| &nbsp;&nbsp;The fifth Trading Day following the end of the Reopening of the Acceptance Period, i.e., 29 September 2025 (unless the Acceptance Period is extended in accordance with applicable law) | &nbsp;&nbsp;Registration with the Companies' Register of Arezzo – Siena of the certification pursuant to Article 2444 of the Italian Civil Code, as well as the declaration by the directors of the Offeror pursuant to Article 2343-*quater*, paragraph 3, letter d) of the Italian Civil Code (unless the procedure for the assessment of the contribution in kind pursuant to Article 2343 of the Italian Civil Code is commenced).<br>Payment of the Consideration to the holders of the Shares Subject to the Offer tendered during the Reopening of the Acceptance Period.<br>Immediate availability of the MPS Shares assigned as Consideration to the holders of the Shares Subject to the Offer tendered during the Reopening of the Acceptance Period (unless the procedure for the assessment of the contribution in kind pursuant to Article 2343 of the Italian Civil Code is commenced).<br>The MPS Shares will be issued on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law, and will be traded on Euronext Milan from that date. | &nbsp;&nbsp;- |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;***Date*** | &nbsp;&nbsp;***Event*** | &nbsp;&nbsp;***Method of communication to<br> the market*** |
| &nbsp;&nbsp;From the date on which the legal requirements are met | &nbsp;&nbsp;If the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF are met, publication of a communication containing the information necessary for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF (including, among other things, the amount in Euro of the Full Cash Consideration), as well as the relevant indication of the timing of the Delisting of the Shares Subject to the Offer. | &nbsp;&nbsp;Communication by the Offeror pursuant to Article 50-*quinquies* of the Issuers' Regulation. |
| &nbsp;&nbsp;From the date on which the legal requirements are met | &nbsp;&nbsp;If the conditions for the Sell-Out pursuant to Article 108, paragraph 1, of the TUF and for the Squeeze-Out are met, publication of a press release containing the information necessary for the fulfilment of the obligation relating to the Squeeze-Out and, at the same time, the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, initiating the Joint Procedure (including, among other things, the amount in Euro of the Full Cash Consideration), as well as the relevant indication of the timing of the Delisting of the Shares Subject to the Offer. | &nbsp;&nbsp;Communication by the Offeror pursuant to Article 50-*quinquies* of the Issuers' Regulation. |

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**6.** **Markets on which the Offer is promoted**

The Offer is promoted exclusively in Italy (except as described in Section F, paragraph F.4, of the Offer Document), as the Shares Subject to the Offer are listed only on Euronext Milan, and is addressed, on a non-discriminatory basis and on equal terms, to all shareholders of the Issuer.

The Offer has not been and will not be promoted in Canada, Japan, Australia and in any other country in which the promotion of the Offer and acceptance of the same would not comply with the laws and regulations governing financial markets or other local laws and regulations, or would not be otherwise permitted without prior registration, approval or filing with the relevant supervisory authority.

Such countries, including Canada, Japan, Australia, and any other country mentioned above, are collectively referred to in the Offer Document as the "**Excluded Countries**". Furthermore, the Offer has not been and will not be promoted using national or international communication or trade instruments of the Excluded Countries (including, but not limited to, the postal network, fax, telex, email, telephone and the internet), nor through any structure of any financial intermediary in the Excluded Countries, nor in any other way. No actions have been or will be taken to allow the promotion of the Offer in any of the Excluded Countries.

Acceptance of the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions under the applicable laws or regulations of those countries. It is the sole responsibility of the recipients of the Offer to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their legal and other advisors. The Offeror assumes no responsibility for any violation by any person of the above restrictions.

For further information, please refer to Section F, Paragraph F.4, of the Offer Document.

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| | |
|:---|:---|
| **A.** | **WARNINGS** |
| **A.1.** | **Conditions of Effectiveness of the Offer** |
| **A.1.1.** | **Conditions of Effectiveness** |

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The effectiveness of the Offer is subject to the fulfilment (or waiver by the Offeror as provided below) of each of the following conditions (the "**Conditions of Effectiveness**" and, each, a "**Condition of Effectiveness**", acknowledging that they are indicated below in a chronological order that is not binding):

(i) that the obtained Preliminary Authorizations are not revoked and/or amended for the purpose of including
prescriptions, conditions or limitations which are not indicated as of the Offer Document Date (the "**Preliminary Authorizations Condition** ");

(ii) that
 the Offeror has obtained the unconditional approval (*i.e.*, without conditions,
 limitations or prescriptions) of the transaction promoted by MPS with the Offer by the competent
 antitrust authorities (the "**Antitrust Condition** ");

(iii) that the additional Other Authorizations (as defined below) are granted without any prescriptions, conditions
or limitations (the "**Other Authorizations Condition** ");

(iv) that no competent authority, including any court or tribunal, shall issue any resolutions or measures
which would preclude, restrict or render more onerous the possibility for MPS and/or Mediobanca to realise the Offer or its objectives;

(v) that, between the date of the Offeror's Communication and the second Trading Day prior to the Consideration
Payment Date, no facts, events or circumstances occurring that would prevent MPS from carrying out with the Offer in accordance with the
Authorizations (as defined below) received in respect to the Offer and the provisions contained therein;

(vi) that, upon completion of the Offer – as a result of acceptances to the Offer and/or any purchases
made outside the Offer in accordance with applicable law – the Offeror holds a shareholding equal to at least 66.67% of the voting
rights exercisable at the Issuer's shareholders' meeting (the "**Threshold Condition** "). However, the Offeror
reserves the right to waive this Condition of Effectiveness and proceed with the purchase of all the Shares Subject to the Offer tendered
in acceptance of the Offer, even if the number of Mediobanca shares is lower than that indicated above, provided that the shareholding
held by the Offeror upon completion of the Offer – as a result of acceptances of the Offer and/or purchases made outside the Offer
in accordance with the applicable regulations during the Acceptance Period (as possibly extended) – is at least equal to 35% of
the voting rights that can be exercised at the Issuer's shareholders' meetings (the latter threshold being non-waivable) (the
 "**Minimum Threshold Condition** ");

(vii) that, between the date of the Offeror's Communication and the second Trading Day prior to the Consideration
Payment Date, the corporate bodies of the Issuer (and/or one of its directly or indirectly controlled or affiliated companies) not resolving
upon, not carrying out, even if resolved upon prior to the date of the Offeror's Communication, nor undertaking to carry out or
otherwise causing the completion of (including through conditional agreements and/or partnerships with third parties) acts or transactions
that exceed the limits of the Issuer's ordinary course of business:

(x) that may result in a significant change, even prospectively, in the capital, assets, economic, prudential and/or financial situation and/or activities of the Issuer (and/or one of its directly or indirectly controlled or affiliated companies) as represented in the Issuer's half-year financial report as of 31 December 2024; (*y*) that restrict the free operation of branches, subsidiaries and networks in the placement of products to customers (including through the renewal, extension – also due to lack of notice – or renegotiation of existing and/or expiring distribution agreements); or (*z*) that are in any case inconsistent with the Offer and the underlying business and commercial motivations, unless due to compliance with legal obligations and/or following a request from supervisory authorities, without prejudice to what is provided for by the condition under point (viii) below (the "**Significant Events Condition**");

(viii) that, between the date of the Offeror's Communication and the second Trading Day prior to the Consideration
Payment Date, the Issuer and/or its directly or indirectly controlled subsidiaries and/or affiliated companies not resolving upon, and
in any case nor carrying out, even if resolved before the date of the Offeror's Communication, nor undertaking to carry out, acts
or transactions that may counteract the achievement of the Offer's objectives pursuant to Article 104 of the TUF, even if such
acts or transactions have been authorized by the Issuer's shareholders' meeting in ordinary or extraordinary session or are
decided and implemented independently by the shareholders' meeting in ordinary or extraordinary session and/or by the management
bodies of the Issuer's controlled subsidiaries and/or affiliated companies (the "**Defensive Measures Condition** ");

(ix) that, by the second Trading Day prior to the Consideration Payment Date, (*x*) no extraordinary
circumstances or events have occurred at the national and/or international level (a) that entail or may entail significant adverse
changes in the political, health, financial, economic, currency, regulatory (including accounting and supervisory) or market situation
or (b) that have or may have substantially adverse effects on the Offer and/or the financial, asset, economic or income situation
of the Issuer (and/or its controlled and/or affiliated companies) and/or MPS (and/or its controlled and/or affiliated companies) as represented
in the Issuer's half-year financial report as of 31 December 2024 and in the Offeror's annual financial report as of
31 December 2024, and/or (*y*) no facts or situations regarding the Issuer (and/or its controlled and/or affiliated companies),
not known to the market at the Communication Date, having emerged that have the effect of adversely altering the operations or the financial,
asset, income, or operational situation of the Issuer's (and/or its controlled and/or affiliated companies) as represented in the
Issuer's half-year financial report as of 31 December 2024 (the "**MAE Condition** "). It is understood that
this MAE Condition includes, among other things, all events listed in points (*x*) and (*y*) above that may occur
in the markets where the Issuer, the Offeror or their respective subsidiaries and/or affiliates operate as a result of, or in connection
with, ongoing international political crises, and/or the imposition of trade tariffs which, although in the public domain as of the date
of this Offer Document, could have adverse consequences for the Offer and/or the financial, economic or operating position of the Issuer
or the Offeror and their respective subsidiaries and/or affiliates.

With reference to the possible non-fulfilment of the Conditions of Effectiveness, the Offeror reserves the right to make any assessment and take any decision permitted under the Offer in accordance with the applicable provisions of law and the terms described in this Offer Document.

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| | |
|:---|:---|
| **A.1.2.** | **Preliminary Authorizations and Other Authorizations** |

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The Offeror has obtained, prior to the Offer Document Date, all the authorizations required by sector regulations in relation to the Offer, as indicated below (the "**Preliminary Authorizations**"). In particular:

a. on 13 February 2025, an application was submitted to the European Central Bank and to the Bank of
Italy for preliminary authorizations to acquire direct control of the Issuer, as well as indirect control of Mediobanca Premier and Compass,
pursuant to Articles 19 and 22 of the TUB. The relevant authorizations were obtained on 24 June 2025;

b. on 13 February 2025, a preliminary notification was submitted to the Bank of Italy for preliminary
authorizations/clearance to acquire indirect controlling shareholdings in Mediobanca SGR S.p.A., MBCredit Solutions S.p.A., MBFACTA S.p.A.,
SelmaBipiemme Leasing S.p.A. and Spafid S.p.A., as well as an indirect qualified shareholding in Generali Asset Management S.p.A. SGR
and General Real Estate S.p.A. SGR, pursuant to, as applicable, Articles 19 and 22 of the TUB, as referred to in Article 110 of the
TUB and Article 15 of the TUF. The relevant authorizations were obtained on 24 June 2025;

c. on 13 February 2025, an application was submitted to the European Central Bank and to the Bank of
Italy for (a) preliminary verification that the amendments to the By-laws of the Offeror in relation to the Capital Increase Reserved
to the Offer (and the related Delegation) do not conflict with the sound and prudent management of the Offeror, pursuant to Articles 56
and 61 of the TUB, (b) preliminary authorization for the classification of the new shares issued in the context of the aforementioned
Capital Increase Reserved to the Offer among the Offeror's own funds as Tier 1 capital, pursuant to Articles 26 and 28 of Regulation
(EU) 575/2013 of the European Parliament and the Council of 26 June 2013. The relevant authorization was obtained on 1 April 2025;

d. on 13 February 2025, an application was submitted to the European Central Bank and to the Bank of
Italy for (a) authorization of the Offeror to acquire direct and indirect shareholding which, in aggregate, exceed 10% of the consolidated
own funds of the Offeror's banking group, pursuant to Articles 53 and 67 of the TUB, as implemented in Part Three, Chapter
I, Section V, of the Bank of Italy Circular No. 285 of 17 December 2013, (b) authorization to acquire controlling
shareholdings, or allowing the exercise of significant influence, over financial or instrumental companies in non-EU countries (other
than the United States, Japan, Canada and Switzerland). The relevant authorization was obtained on 24 June 2025;

e. on 13 February 2025, an application was submitted to IVASS for the authorization to acquire a qualified
indirect shareholding in Assicurazioni Generali, pursuant to Articles 68 *et seq.* of Legislative Decree No. 209 of 7 September 2005.
The relevant authorization was obtained on 20 May 2025;

f. on 13 February 2025, an application was submitted to the *"Finanzmarktaufsichtsbehörde* "
(Austrian Supervisory Authority) for the authorization to acquire a qualified indirect shareholding in Europäische Reiseversicherung
AG, Generali Versicherung AG, and BAWAG P.S.K. Versicherung AG pursuant to Article 24, paragraph 1, of the *Versicherungsaufsichtsgesetz* 2016 (Austrian Insurance Supervision Act). The relevant authorization was obtained on 25 June 2025;

g. on 13 February 2025, an application was submitted to the European Central
Bank and the "*Finanzmarktaufsichtsbehörde*" (Austrian Supervisory Authority)
for the authorization to acquire a qualified indirect shareholding in Generali Bank AG pursuant to Article 20, paragraph 1, of the *Bankwesengesetz* (Austrian Banking Act). The relevant authorization was obtained on 24 June 2025;

h. on 13 February 2025, an application was submitted to the Bulgarian Supervisory Authority (Financial
Supervision Commission), as subsequently supplemented on 18 June 2025, for the authorization to acquire a qualified indirect shareholding
in Generali Insurance AD, GP Reinsurance EAD e United Health Insurance Fund Doverie Insurance AD EAD pursuant to Article 68, paragraph
1, of the Bulgarian Insurance Code. The relevant authorization was obtained on 24 June 2025;

i. on 13 February 2025, an application was submitted to the "*Hrvatska agencija za nadzor financijskih usluga*" (Croatian Supervisory Authority) for the authorization
to acquire a qualified indirect shareholding in Generali Osiguranje d.d. pursuant to Article 36, paragraph 1, of the *Zakon o osiguranju* (Croatian Insurance Act). The relevant authorization was obtained on 26 June 2025;

j. on 13 February 2025, an application was submitted to the "*Magyar Nemzeti Bank*" (Hungarian Supervisory Authority *)* for
the authorization to acquire a qualified indirect shareholding in Generali Biztosító Zrt., Európai Utazási
Biztosító Zrt., and Genertel Biztosító Zrt. pursuant to Articles 237, paragraph 1, 258 and 260, paragraph
2, of Act LXXXVIII of 2014 (Hungarian Insurance Act). The relevant authorization was obtained on 23 June 2025;

k. on 13 February 2025, an application was submitted to the "*Agencija za nadzor osiguranja*" (Supervision Agency of Montenegro) for the authorization to acquire a qualified
indirect shareholding in Akcionarsko društvo za osiguranje Generali Osiguranje Montenegro pursuant to Article 23, paragraph
1, of the *Zakon o osiguranju* (Montenegro Insurance Act). The relevant authorization was obtained
on 25 June 2025;

l. on 13 February 2025, an application was submitted to the "*Autoritatea de Supraveghere Financiară*" (Romanian Supervisory Authority) for the authorization to acquire
a qualified indirect shareholding in Generali Romania Asigurare Reasigurare S.A. pursuant to Article 43, paragraph 1, of Law 237/2015
and Article 10, paragraph 1, of the RoFSA Regulation 3/2016. The relevant authorization was obtained on 23 June 2025;

m. on 13 February 2025, an application was submitted to the Serbian
Supervisory Authority (National Bank of Serbia) for the authorization to acquire a qualified indirect shareholding in Akcionarsko društvo
za osiguranje Generali Osiguranje Srbija, Beograd and Akcionarsko društvo za reosiguranje Generali Reosiguranje

Srbija, Beograd pursuant to Articles 31 and 69 of the *Zakon o osiguranju* (Serbian Insurance Act). The relevant authorization was obtained on 24 June 2025;

n. on 13 February 2025, an application was submitted to the Serbian Supervisory Authority (National
Bank of Serbia) for the authorization to acquire a qualified indirect shareholding in Akcionarsko društvo za upravljanje dobrovoljnim
penzijskim fondom Generali Beograd pursuant to Article 14 of the Serbian Voluntary Pension Funds Act. The relevant authorization
was obtained on 24 June 2025;

o. on 13 February 2025, an application was submitted to the "*Agencija Za Zavarovalni Nadzor*" (Slovenian Supervisory Authority) for the authorization to acquire a qualified
indirect shareholding in Generali zavarovalnica d.d. Ljubljana pursuant to Article 31 of the Slovenian Insurance Act. The proceeding
was concluded following the issuance of a no-action notice by the Authority, dated 10 March 2025;

p. on 13 February 2025, an application was submitted to the "*Agencija Za Trg Vrednostnih Papirjev"* (Slovenian Supervisory Authority) for the authorization to acquire
a qualified indirect shareholding in Generali Investments, družba za upravljanje, d.o.o. pursuant to Article 35 of the Slovenian
Investment Funds and Management Companies Act. The relevant authorization was obtained on 24 June 2025;

q. on 13 February 2025, an application was submitted to the Danish Supervisory
Authority (Danish Financial Supervisory Authority) for the authorization to acquire a qualified indirect shareholding in Global Evolution
Asset Management AS, Global Evolution Financial ApS, and Global Evolution Holding ApS pursuant to Article 61 of the *Lov om Finansiel Virksomhed* (Danish Financial Business Act). The proceedings were concluded following the
issuance of a no-action notice by the Authority, dated 29 April 2025;

r. on 13 February 2025, an application was submitted to the Greek Supervisory Authority (Bank of Greece
 – Department of Private Insurance Supervision) for the authorization to acquire a qualified indirect shareholding in Generali Hellas
Insurance S.A. pursuant to the Law No. 4364/2016 and the Bank of Greece Executive Committee Act No. 120/11.7.2017. The relevant
authorization was obtained on 20 June 2025;

s. on 13 February 2025, an application was submitted to the Supervisory Authority of the Principality
of Liechtenstein (Liechtenstein Financial Market Authority) for the authorization to acquire a qualified indirect shareholding in Fortuna
Lebens-Versicherungs AG pursuant to Articles 92 to 98 of the Liechtenstein Insurance Supervision Act and of the FMA Guidelines 2017/20
 – Prudential Assessment of Qualifying Holdings. The relevant authorization was obtained on 25 June 2025;

t. on 13 February 2025, an application was submitted to the "*Autorité de Contrôle Prudentiel et de Résolution*" (ACPR) (French supervisory authority) and
to the "*Commission de Contrôle des Activités Fianancières* "
(Monegasque supervisory authority) for the authorization to acquire a qualified indirect shareholding in CMB Monaco S.A.M. pursuant
to Article 2 of the French Decree No. 2010-1599 of 20 December 2010, and Article 8 of the Principality of Monaco Law
No. 1.338 of 7 September 2007, as subsequently amended, respectively. The relevant authorizations were obtained on 25 June 2025
and 26 June 2025;

u. on 13 February 2025, an application was submitted to the "*Commission de Contrôle des Activités Financières*" (Monegasque supervisory authority)
for the authorization to acquire a qualified indirect shareholding in CMG Monaco S.A.M. pursuant to Article 8 of the Principality
of Monaco Law No. 1.338 of 7 September 2007, as subsequently amended. The relevant authorization was obtained on 26 June 2025;

v. on 13 February 2025, an application was submitted to the Portuguese Supervisory Authority (Portuguese
Insurance and Pension Funds Supervisory Authority) for the authorization to acquire a qualified indirect shareholding in Generali Seguros
S.A. pursuant to Articles 6, paragraph 1(f), 162 to 169, 172 to 174-A, paragraph 1 of the Legal Framework for access to and exercise of
insurance and reinsurance activities approved by Law No. 147/2015, as subsequently amended, and pursuant to Articles 2, 3, and 9,
and Annexes III, IV, and V of the Regulatory Standard of the Portuguese Insurance and Pension Funds Supervisory Authority No. 3/2021
of 13 April. The relevant authorization was obtained on 17 June 2025;

w. on 13 February 2025, an application was submitted to the Czech Supervisory Authority (Czech National
Bank) for the authorization to acquire a qualified indirect shareholding in Generali Česká pojišťovna a.s.
pursuant to Section 24 and following of Act No. 277/2009 Coll. (Insurance Act) and Section 12 of Decree No. 307/2016
Coll. The proceeding was concluded following the issuance of a no-action notice by the Authority, dated 20 March 2025;

x. on 13 February 2025, an application was submitted to the Czech Supervisory Authority (Czech National
Bank) for the authorization to acquire a qualified indirect shareholding in Generali Investments CEE, investiční společnost,
a.s. pursuant to Section 520 and following of Act No. 240/2013 Coll. and Sections 16 and 18 of Decree No. 247/2013 Coll.
The proceeding was concluded following the issuance of a no-action notice by the Authority, dated 20 March 2025;

y. on 13 February 2025, an application was submitted to the Czech Supervisory Authority (Czech National
Bank) for the authorization to acquire a qualified indirect shareholding in Generali penzijní společnost, a.s. pursuant
to Section 41 and following of Act No. 427/2011 Coll. and Section 6 of Decree No. 199/2020 Coll. The proceeding was
concluded following the issuance of a no-action notice by the Authority, dated 20 March 2025;

z. on 13 February 2025, an application was submitted to the "*Autorité de contrôle prudentiel et de résolution*" (ACPR) (French Supervisory Authority) for
the authorization to acquire a qualified indirect shareholding in Europ Assistance S.A., Generali France, Generali IARD S.A., Generali
Retraite S.A., Generali Vie S.A., L'Equité S.A., Prudence Créole, and GFA Caraïbes pursuant to Article R.322-11-1
of the French Insurance Code. The relevant authorization was obtained on 18 June 2025;

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|:---|:---|
| aa. | on 13 February 2025, an application was submitted to the "*Autorité des marchés financiers*" (AMF) (French Supervisory Authority) for the authorization to acquire a qualified indirect shareholding in Generali Wealth Solutions pursuant to Article 317-10 of the *Autorité des marchés financiers General Regulation*. The relevant authorization was obtained on 9 May 2025; |

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bb. on 12 February 2025, an application was submitted to the "*Bundesanstalt für Finanzdienstleistungsaufsicht*" (BaFin) (German Supervisory Authority) for the authorization to acquire a qualified indirect shareholding in ADVOCARD

Rechtsschutzversicherung AG, Cosmos Lebensversicherungs-Aktiengesellschaft, Cosmos Versicherung Aktiengesellschaft, Dialog Lebensversicherungs- Aktiengesellschaft, Dialog Versicherung Aktiengesellschaft, ENVIVAS Krankenversicherung Aktiengesellschaft, Generali Deutschland AG, Generali Deutschland Versicherung AG, Generali Deutschland Krankenversicherung AG, Generali Deutschland Lebensversicherung AG, Generali Beteiligungs-GmbH and Generali Pensionsfonds AG pursuant to the German Insurance Supervision Act. The relevant authorization was obtained on 12 June 2025;

cc. on 12 February 2025, an application was submitted to the "*Bundesanstalt für Finanzdienstleistungsaufsicht*" (BaFin) (German Supervisory Authority), the Bundesbank
(German Central Bank), and the European Central Bank for authorization to acquire a qualified indirect shareholding in Deutsche Bausparkasse
Badenia Aktiengesellschaft pursuant to the German Banking Act. The relevant authorization was obtained on 24 June 2025;

dd. on 13 February 2025, an application was submitted to the European Central
Bank and the "*Commission de Surveillance du Secteur Financier*" (CSSF) (Luxembourg
Supervisory Authority) for the authorization to acquire a qualified indirect shareholding in Mediobanca International (Luxembourg) S.A.
pursuant to Article 6, paragraph 5 and following of the Law of 5 April 1993, the Joint guidelines on the prudential assessment
of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory
Authorities, as adopted by CSSF Circular 17/669, and the Law of 11 January 2008. The relevant authorization was obtained on 24 June 2025;

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|:---|:---|
| ee. | on 13 February 2025, an application was submitted to the "*Commission de Surveillance du Secteur Financier*" (CSSF) (Luxembourg Supervisory Authority) for authorization to acquire a qualified indirect shareholding in Mediobanca Management Company S.A. pursuant to the Law of 17 December 2010, CSSF Circular 18/698, and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669, and the Law of 11 January 2008. The relevant authorization was obtained on 25 June 2025; |

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|:---|:---|
| ff. | on 13 February 2025, an application was submitted to the "*Commission de Surveillance du Secteur Financier*" (CSSF) (Luxembourg Supervisory Authority) for authorization to acquire a qualified indirect shareholding in Generali Investments Luxembourg S.A. pursuant to the Law of 17 December 2010, the Law of 12 July 2013, CSSF Circular 18/698, and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669. The relevant authorization was obtained on 26 June 2025; |

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|:---|:---|
| gg. | on 13 February 2025, an application was submitted to the "*Commissariat aux Assurances*" (CAA) (Luxembourg Supervisory Authority) for authorization to acquire a qualified indirect shareholding in Compass RE (Luxembourg) S.A. and Generali Luxembourg S.A. pursuant to the Law of 7 December 2015 (Insurance Supervision Law) and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, |

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issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669. The relevant authorization was obtained on 11 June 2025;

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|:---|:---|
| hh. | on 13 February 2025, an application was submitted to the "*Commissariat aux Assurances*" (CAA) (Luxembourg Supervisory Authority) for authorization to acquire a qualified indirect shareholding in Generali Employee Benefits Network S.A. pursuant to the Law of 7 December 2015 (Insurance Supervision Law). The relevant authorization was obtained on 11 June 2025; |

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ii. on 13 February 2025, an application was submitted to the "*Dirección General de Seguros y Fondos de Pensiones*" (Spanish Supervisory Authority) for authorization to
acquire a qualified indirect shareholding in Generali España, S.A. de Seguros y Reaseguros and Generali Seguros y Reaseguros, S.A.
pursuant to Article 85, paragraph 2 of Law No. 20/2015. The proceedings were concluded with the perfection of the Authority's
tacit consent on 14 May 2025;

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|:---|:---|
| jj. | on 13 February 2025, an application was submitted to the "Financial Conduct Authority" (FCA) (UK Supervisory Authority) for authorization to acquire a qualified indirect shareholding in Arma Partners LLP, Polus Capital Management Limited and Conning Asset Management Limited pursuant to Part XII of the Financial Services and Markets Act 2000. The relevant authorization was obtained on 21 May 2025; |

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|:---|:---|
| kk. | On 13 February 2025, an application was submitted to the "Financial Conduct Authority" (FCA) (the UK Supervisory Authority) for authorization to acquire an indirect qualified shareholding in Lumyna Investments Limited pursuant to Part XII of the Financial Services and Markets Act 2000. The proceeding was concluded following the issuance of a no-action notice by the Authority, dated 21 May 2025; |

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ll. on 13 February 2025, an application was submitted to the Malaysian Supervisory Authority (Central
Bank of Malaysia) for authorization to acquire a qualified indirect shareholding in Generali Insurance Malaysia Berhad and Generali Life
Insurance Malaysia Berhad pursuant to Section 87, paragraph 1 of the Malaysian Financial Services Act 2013 and the Policy Document
on the Application Procedures for Acquisition of Interest in Shares and to be a Financial Holding Company issued by the Central Bank of
Malaysia. The relevant authorization was obtained on 17 June 2025;

mm. on 13 February 2025, an application was submitted to the Mozambican Supervisory Authority (Ministry
of Finance) for authorization to acquire a qualified indirect shareholding in Tranquilidade Moçambique Companhia de Seguros, S.A.
and Tranquilidade Moçambique Companhia de Seguros Vida, S.A. pursuant to Decree Law No. 1/2010 of 31 December 2010, and
Decree No. 30/2011 of 11 August 2011. The proceedings were concluded following the issuance of two no-action notices by the
Authority, dated, respectively, 10 April 2025 and 28 May 2025; and

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|:---|:---|
| nn. | on 13 February 2025, an application was submitted to the "New York State Department of Financial Services" (NYDFS) (New York State Supervisory Authority) for an exemption pursuant to Section 1502(b) of the Insurance Law with respect to the authorization to acquire control of Generali USA Insurance Company and Generali U.S. Branch as otherwise required by Section 1506 of the aforementioned law. The above exemption was obtained on 24 June 2025. |

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Furthermore, prior to the Offer Document Date, the Offeror also issued the following additional preliminary notifications. In particular:

&nbsp;&nbsp;&nbsp;&nbsp;a. on 13 February 2025, a preliminary notification was sent to the Swiss supervisory authority (Swiss
Financial Market Supervisory Authority) regarding the acquisition of a qualified indirect shareholding in RAM Active Investments pursuant
to Article 11, paragraph 5 of the Swiss Financial Institutions Act and Article 10 of the Swiss Financial Institutions Ordinance.
Pursuant to applicable regulations, no prior authorization is required to be granted to the Offeror;

&nbsp;&nbsp;&nbsp;&nbsp;b. on 13 February 2025, a preliminary notification was sent to the Swiss supervisory authorities (Swiss
Financial Market Supervisory Authority) regarding the acquisition of a qualified indirect shareholding in Europ Assistance (Suisse) Assurance
SA, Fortuna Rechtsschutz-Versicherung-Gesellschaft AG, Generali Assurances Générales SA, and Generali Personenversicherungen
AG pursuant to Articles 5, paragraph 2 and 21, paragraph 2 of the Swiss Insurance Supervision Act and Article 5 of the Swiss Insurance
Supervision Ordinance. Pursuant to applicable regulations, no prior authorization is required to be granted to the Offeror;

&nbsp;&nbsp;&nbsp;&nbsp;c. on 13 February 2025, a preliminary notification was sent to the Swiss Supervisory Authority (Swiss
Financial Market Supervisory Authority) regarding the acquisition of a qualified indirect shareholding in Generali Investments Schweiz
AG pursuant to Article 11, paragraph 5 of the Swiss Financial Institutions Act and Article 10 of the Swiss Financial Institutions
Ordinance. Pursuant to applicable regulations, no prior authorization is required to be granted to the Offeror; and

&nbsp;&nbsp;&nbsp;&nbsp;d. on 12 February 2025, a preliminary notification was sent to the "Financial Industry Regulatory
Authority, Inc." (FINRA) (US Supervisory Authority) regarding a change in control of, or a qualified shareholding in, Mediobanca
Securities USA LLC pursuant to FINRA Rule 1017. FINRA has acknowledged the notification; no prior authorization is required to be
granted to the Offeror before completion of the Offer.

It is also noted that, the Offeror has submitted the following additional applications for the authorization required for the completion of the Transaction (the "**Other Authorizations**" and, together with the Preliminary Authorizations, the "**Authorizations**"). In particular:

(i) on 13 February 2025, an antitrust authorization application was submitted to the AGCM, pursuant to
and for the purposes of Article 16 of Law No. 287 of 10 October 1990, as it constitutes a concentration transaction subject
to the notification obligation under Article 16, paragraph 5, of Law No. 287/90. The Transaction has been approved by the AGCM
on 2 July 2025;

(ii) on 13 February 2025, a notification was submitted to the Presidency of the Council of Ministers pursuant
to and for the purposes of Article 2 of the Golden Power Decree. On 9 April 2025, the Presidency of the Council of Ministers
announced its decision that it would not exercise the special powers provided for in the Golden Power Decree;

(iii) on 13 February 2025, an authorization request was submitted to the
Directorate General of International Trade and Investments – Ministry of Economy, Trade and Enterprise (*Direccion General de Comercio Internacional e Inversiones — Ministerio de Economía, Comercio y Empresa*)
in accordance with the Spanish regulations on foreign investments, pursuant to Article 7- *bis* of
Law 19/2003 on the legal regime of capital movements (*Ley 19/2003 sobre régimen jurídico de los movimientos de capitales*). The relevant authorization was obtained on 14 March 2025;

(iv) on 13 February 2025, a notification was submitted to the
European Commission pursuant to and for the purposes of Regulation
(EU) 2022/2560 on foreign subsidies distorting the internal market. The relevant authorization was obtained on 20 March 2025.

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|:---|:---|
| **A.1.3.** | **Antitrust Condition** |

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With regard to the Antitrust Condition, it should be noted that on 13 February 2025, the Offeror submitted, pursuant to Law No. 287 of 10 October 1990, an application for authorization in relation to antitrust matters to the AGCM.

On 2 July 2025, the AGCM has notified the Offeror of its decision not to initiate an investigation pursuant to Article 16, paragraph 4, of Law No. 287/1990.

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|:---|:---|
| **A.1.4.** | **Threshold Condition and Minimum Threshold Condition** |

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Taking into account the objectives of the Offer and the Offeror's future plans for the Issuers, as well as the Issuer's current shareholding structure, if the Threshold Condition is not met, the Offeror reserves the right to waive this Condition of Effectiveness and to proceed with the purchase of all the Shares Subject to the Offer tendered in acceptance of the Offer, even if the number of the Shares Subject to the Offer is lower than that indicated above. It should be noted that any waiver of this Condition of Effectiveness will be decided by the Offeror only if, upon completion of the Offer – as a result of acceptances of the Offer and/or purchases made outside the Offer in accordance with applicable law – the Offeror comes to hold a total shareholding in the Issuer's share capital at least equal to the threshold set out in the Minimum Threshold Condition.

The Offeror believes that – based on the Issuer's shareholding structure as of the Offer Document Date and the attendance rates recorded so far at Mediobanca's ordinary shareholders' meetings – the purchase of a shareholding included between the 35% and 50% of Mediobanca's voting share capital would enable the Offeror to obtain *de facto* control of the Issuer, by exercising a dominant influence at the ordinary shareholders' meeting of Mediobanca and impacting the general course of management. The Offeror reserves the right to consolidate its controlling position, in accordance with the procedures and timing permitted by the market, in accordance with applicable law.

In particular, the cost and funding synergies, the expansion of revenue sources and related synergies, and the advantages deriving from the complementary nature of the business models of MPS and Mediobanca, as well as the strategic objectives of the Offer, will be achievable not only through the acquisition of legal control, but also in scenarios other than the acquisition of legal control (*de facto* control), albeit with possible variations and delays in their implementation. In particular, with regard to the maximum time frames and possible variations, it should be noted that the synergies, the expansion of revenue sources and the benefits and strategic objectives of the Offer would still be achievable in the amounts expected when fully implemented, albeit over a longer time frame of approximately 12-18 months, with at least approximately 50% of the projected synergies being achieved in the three years following the completion of the Offer and their full achievement expected in the first half of 2030.

In terms of revenues, certain areas such as Consumer Credit, where a collaboration agreement is already in place, will benefit from an increased commercial effectiveness across the entire territory, as well as an active collaboration can be implemented in the Corporate & Investment Banking area by combining Mediobanca's investment banking advisory services with MPS' financing services.

These synergies could be achieved in all scenarios where the companies of the new Group are capable of establishing enhanced cooperation through the Offeror's *de facto* control over Mediobanca.

Likewise, synergies can be achieved through joint procurement strategies, the integration of operational and IT processes, as well as the operational integration of the two Groups' vertical businesses.

Finally, MPS, as the parent company, will be able to centralise treasury management, facilitating the achievement of funding synergies.

The occurrence of potential delays in achieving these synergies, in the event that the Offer is accepted and MPS gains *de facto* control over Mediobanca, can therefore be attributed to possible slowdowns, assumed on a prudent basis, related to the implementation of potential integration activities in the absence of a majority in Mediobanca's extraordinary Shareholders' Meeting.

The implementation of synergies will yield increasing benefits as the parent company strengthens its role in directing and coordinating activities through the relevant functions. Therefore, the level of acceptance of the Offer may only affect the timing of synergy realization, as it is tied to the pace at which the parent company's management and coordination activities are implemented.

Finally, the projected consolidated fully loaded CET1 ratio levels as of 31 March 2025 (<sup>4</sup>) for the resulting group following completion of the Offer under different offer acceptance scenarios, including the scenario with 35% acceptance (*de facto* control):

17.8% in the event of 100% acceptance of the Offer;

16.6% in the event of 66.67% acceptance of the Offer;

16.2% in the event of 50% acceptance of the Offer;

15.6% in the event of 35% acceptance of the Offer.

The Transaction also aims to accelerate the utilization of DTAs held by MPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTAs (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTAs will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

For the sake of completeness, it should be noted that, the aforementioned acceleration in the use of DTAs is subject to the Offeror acquiring a shareholding of more than 50% in the share capital of Mediobanca. By relying on the provisions of Articles 117 *et seq.* of the Consolidated

<sup>4</sup> Figures derived from internal projections prepared by the Bank based on financial information available as of 31 March 2025. These projections take into account the impacts of the preliminary Purchase Price Allocation (PPA) process, including any fair value adjustments.

Law on Income Tax (Presidential Decree No. 917 of 22 December 1986), Mediobanca may join the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A., starting from the tax period following that in which such shareholding was acquired (<sup>5</sup>). As a result, the consequent increase in the MPS Group's future consolidated tax base will allow for the immediate recording in the financial statements of almost all DTAs from past consolidated tax losses, up to Euro 2.9 billion, and, compared to the current situation, will accelerate the utilization process of these DTAs with the related benefit in capital terms.

Otherwise, in the event that, upon completion of the Offer and following the potential waiver of the Threshold Condition, the Offeror comes to hold a shareholding equal to or less than 50% of the share capital of Mediobanca, the latter, even in a *de facto* control scenario, may not be included in the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A.; in such a case, MPS may continue to use the past consolidated tax losses to compensate the taxable income generated by the companies currently participating in the national tax consolidation scheme and, both the recording of Euro 1.3 billion of DTAs (currently off-balance sheet) as assets and the benefits deriving from the use of the DTAs will still be achieved, even if over a longer period of time. Specifically, the expected benefits would be achieved in 2036 with an average annual use of DTAs equal to approximately Euro 0.3 billion, also due to the projected increase in the tax base resulting from the synergies generated by the Transaction.

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|:---|:---|
| **A.1.5.** | **Relevant Acts Condition** |

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With regard to significant acts and/or transactions (or the omission of significant acts and/or transactions) that are considered to be included in the Relevant Acts Condition, the following are indicated in general terms and by way of example only: capital increases (including those carried out in execution of delegations granted to the board of directors pursuant to Article 2443 of the Italian Civil Code), capital reductions, distributions of reserves, payment of extraordinary dividends (*i.e.*, those exceeding the profit resulting from the last financial statements approved at the time of distribution), use of own funds, purchases or disposals of treasury shares for any purpose, mergers, demergers, transformations, amendments to the By-laws in general, cancellation or consolidation of shares, disposals, acquisition, contributions, exercise of squeeze-out, or transfers, even on a temporary basis, of assets, interests (or related equity or participation rights), service contracts, commercial contracts or distribution contracts for banking, financial or insurance products, companies or business units (including, by way of example, those operating in the insurance sector), bond issues or debt undertaking and, in general, acts and/or transactions that do not amount to Mediobanca's ordinary course of business as currently carried out.

It should be noted that, the above examples are provided for illustrative purposes only and are not exhaustive and are based on information publicly available in relation to the Issuer and/or the Mediobanca Group as of the Offer Document Date.

It should also be noted that, in the event of the completion of one or more of the acts (including omissions) or transactions listed above (as well as any other act falling within the

<sup>5</sup> In accordance with the requirement set forth in Article 119, paragraph 1, letter "a" of the Consolidated Law on Income Tax ("alignment of the financial year of each subsidiary with that of the parent company or controlling entity"), Mediobanca's financial year (which, on the Offer Document Date, ends on 30 June) shall be aligned with that of the Offeror.

Relevant Acts Condition), the Offeror will have the right to modify, invoke or waive, at its discretion, in whole or in part, such Condition of Effectiveness as better specified in Paragraph A.1.7 below (which is in the sole interest of the Offeror).

At present, with regard to the Mediobanca-Banca Generali Offer, the Offeror acknowledges the information available (as set out in the Mediobanca Communication 102 and in the recent press release dated 15 June 2025, which announced the postponement of the shareholders' meeting for the relevant authorization pursuant to Article 104 of the TUF, initially convened for 16 June 2025, to 25 September 2025) and, in spite of the uncertainty caused by the effects of such postponement of the shareholders' meeting, does not believe that, based on this information, the events referred to in the "Significant Events Condition" and "Defensive Measures Condition" sections have already occurred as of the Offer Document Date.

In this context, which is subject to numerous uncertainties, if more comprehensive information becomes available – as stated by the Issuer itself – the Offeror reserves the right to analyse any developments in the matter and/or any information that will be provided or made available by the parties involved in the Mediobanca-Banca Generali Offer that could have impacts on the aforementioned Conditions of Effectiveness.

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|:---|:---|
| **A.1.6.** | **MAE Condition** |

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With regard to the MAE Condition, it should be noted that, by way of example and without limitation, the extraordinary circumstances or events and related effects whose occurrence could be invoked by the Offeror as non-fulfilment of this Condition of Effectiveness include, among others, all the events listed in items (x) and (y) of Paragraph A.1.1, number (ix) above, which may occur in the markets where the Issuer, MPS or their respective subsidiaries and/or affiliates operate as a result of, or in connection with, ongoing international political crises, including those in Ukraine and the Middle East, the introduction of trade tariffs between the United States of America, the European Union, and the People's Republic of China, which, although in the public domain as of the Communication Date, could have adverse consequences for the Offer and/or the financial, economic, capital or operating position of the Issuer or MPS and their respective subsidiaries and/or affiliates, such as, by way of example, the temporary suspension and/or closure of financial and production markets and/or commercial activities relating to the markets in which the Issuer, MPS or their respective subsidiaries and/or affiliates operate, MPS or their respective subsidiaries and/or affiliates, which would have adverse effects on the Offer and/or changes in the financial, economic or operating position of the Issuer, the Bank or their respective subsidiaries and/or affiliates.

As specified in Paragraph A.1.7 below, the MAE Condition is established as a Condition of Effectiveness that can be modified, invoked or waived only by the Offeror (and is therefore in the exclusive interest of the Offeror) if the "*extraordinary circumstances or events*" determine the effects considered for the purposes of the MAE Condition and, therefore, have resulted in the non-fulfilment of the same "*by 7:29 a.m. on the Trading Day prior to the Payment Date (...), unless the Acceptance Period is extended (...)*".

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|:---|:---|
| **A.1.7.** | **Amendment or Waiver to the Conditions of Effectiveness** |

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MPS, pursuant to the provisions of Article 43, paragraph 1, of the Issuers' Regulation, reserves the right to modify and/or waive, in whole or in part, or invoke the non-fulfilment of one or

more of the Conditions of Effectiveness (save for the Minimum Threshold Condition), only expressly, by giving communication in the forms provided for in Article 36 of the Issuers' Regulation.

The Offeror shall notify the fulfilment or non-fulfilment of the Conditions of Effectiveness or, if one or more Conditions of Effectiveness have not been fulfilled, any waiver thereof, pursuant to Article 36 of the Issuers' Regulation, within the following deadlines:

(i) for the Threshold Condition (and for the Minimum
 Threshold Condition), in the Communication on the Provisional Results of the Offer to be published by the evening of the last
 Trading Day of the Acceptance Period – and, in any case, by 7:29 a.m. on the first Trading Day following the end of the
 Acceptance Period (*i.e.*, 9 September 2025, unless the Acceptance Period is extended in accordance with applicable law)
 – and which must be confirmed by the Communication on the Final Results of the Offer, which will be published by 7:29 a.m. on
 the Trading Day prior to the Payment Date (*i.e* *.*,
 12 September 2025, unless the Acceptance Period is extended in accordance with applicable law);

(ii) with
 regard to all other Conditions of Effectiveness, with the Communication on the Final Results
 of the Offer, which will be published by 7:29 a.m. on the Trading Day prior to the Payment
 Date (*i.e* *.*,
 12 September 2025, unless the Acceptance Period is extended in accordance with applicable
 law).

If even one of the Conditions of Effectiveness is not met and the Offeror does not exercise its right to waive it, in accordance with applicable law, the Offer will not be completed and will be deemed to have failed. In such case, the Shares Subject to the Offer will be returned to their respective owners on the first Trading Day following the date on which the failure of the Offer is first announced through the Depositary Intermediaries, without any charges or expenses being levied on them.

For further information, please refer to Section F of the Offer Document.

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|:---|:---|
| **A.2.** | **Financial reports and interim financial statements of the Issuer** |

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On 19 September 2024, the Board of Directors of the Issuer approved the draft financial statements and consolidated financial statements as of 30 June 2024.

On 28 October 2024, the Issuer's shareholders' meeting approved the draft consolidated financial statements for the year ended 30 June 2024, available to the public at the registered office and on the website <u>www.mediobanca.com/en</u> (the "**2024 Annual Financial Report**").

In particular, the Issuer's shareholders' meeting in ordinary session, *inter alia*, (i) approved the financial statements as of 30 June 2024, including the balance sheet, income statement and supplementary note, which closed with a net profit for the year equal to Euro 1,243,992,400.81, of which Euro 69,135.00 will be allocated to the legal reserve, Euro 124,330,105.08 to the statutory reserve, Euro 320,000,000.00 to the restricted reserve pursuant to Articles 1, paragraphs 87 to 95 of the 2023 Budget Law, and Euro 16,288,256.97 to the non-distributable reserve pursuant to Article 6 of Legislative Decree No. 38 of 28 February 2005; (ii) resolved to distribute a gross dividend of Euro 1.07 per Mediobanca Share (payout ratio of 70%) which, taking into account the interim dividend paid in May 2024 (equal to Euro 0.51), corresponds to a balance as of November 2024 equal to Euro 0.56 per Mediobanca Share, for a total amount equal to Euro 464,046,606.80, after withdrawal of Euro

101,892,019.38 from the statutory reserve. The minutes of the Issuers' Shareholders' Meeting are available to the public at the registered office and published on the Issuer's website <u>www.mediobanca.com/en</u>.

On 10 February 2025, the Issuer's Board of Directors approved Mediobanca's half-year report as of 31 December 2024 (the "**2024 Half-Year Report**"), available to the public at <u>www.mediobanca.com/en</u>.

On 8 February 2025, the Issuer's Board of Directors approved the interim management report as of 31 March 2025, available to the public at its registered office and on the website <u>www.mediobanca.com/en</u> (the "**2025 Interim Report**").

For further information on the recent performance of the Issuer and the Mediobanca Group, please refer to Section B, Paragraph B.2.7, of the Offer Document.

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|:---|:---|
| **A.3.** | **Related Parties** |

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To the best of the Offeror's knowledge, as of the Offer Document Date, the following significant shareholders of MPS and members of the Board of Directors of MPS are also related parties of the Issuer, in light of the definition of "related party" contained in the relevant procedure adopted by the Board of Directors of Mediobanca:

Delfin S.à r.l. ("**Delfin**"), as holder of a 19.390% stake in Mediobanca's share capital;

Mr. Francesco Gaetano Caltagirone ("**Caltagirone**"), as holder (indirectly, through a series of subsidiaries) of a total stake of 5.499% in Mediobanca's share capital;

- Mr. Alessandro Caltagirone, member of the Board of Directors of MPS, as a direct relative of the shareholder Mr. Caltagirone.

In this regard, and for the sake of completeness, it should be noted that, Delfin and Mr. Caltagirone are also related parties of the Offeror, pursuant to the definition of "related party" contained in the MPS Regulation. This is because Delfin holds a 9.780% stake in MPS' share capital and Mr. Caltagirone holds (indirectly, through a series of subsidiaries) a total stake of 5.026% in MPS' share capital (<sup>6</sup>).

It should be noted that, in relation to the proposed Capital Increase Reserved to the Offer, the measures and safeguards set out in the Related Parties Regulation and the MPS Regulation have been applied.

This is because, as indicated above, certain entities with a stake of more than 3% in Mediobanca also hold a significant stake (*i.e.*, more than 3%) in MPS and therefore fall within the definition of "discretionary" related parties as identified by CONSOB on a discretionary basis (Article 4.1.1 of the MPS Regulation).

The procedure set out in the Related Parties Regulation and the MPS Regulation was duly completed and concluded with the issuance of a favourable opinion on the substantive and procedural fairness and appropriateness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, by the MPS' Committee for Related Parties Transactions, composed of independent directors.

<sup>6</sup> The shareholding percentages indicated in the text have been taken from information publicly available on the Consob website based on the communications received pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I, of the Issuers' Regulation.

For a complete description of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the Related Parties Regulation, available to the public at the Bank's registered office in Siena, Piazza Salimbeni No. 3, on the Bank's website (<u>www.gruppomps.it/en</u>) under the section "Corporate Governance – Related Parties Transactions", and on the authorized storage mechanism "eMarketSTORAGE" at <u>www.emarketstorage.it/en</u>.

In addition to the aforementioned opinion, the Committee for Related Parties Transactions was then consulted again with regard to the proposed Capital Increase Reserved the Offer to be submitted to the Shareholders' Meeting on 17 April 2025 as well as the proposal to exercise the Delegation by the MPS Board of Directors on 26 June 2025, in order, among other things, to verify its consistency with the terms and conditions of the Offeror's Communication. During this discussion, it was pointed out that, as of that date, there had been no changes to the opinion issued on 23 January 2025.

\* \* \* \*

Without prejudice to the foregoing, the Offeror specifies that the Offer has been structured, evaluated and approved by MPS in accordance with its independent judgement, with the support of leading advisors. The Offeror has not had any contact with its significant shareholders (*i.e.*, shareholders holding more than 3% of MPS' share capital) regarding their acceptance or non-acceptance of the Offer, nor are there any agreements between the Bank and such significant shareholders regarding the stake that may be held by MPS in Mediobanca and its subsidiaries, including Assicurazioni Generali, upon completion of the Offer.

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|:---|:---|
| **A.4.** | **Evaluation criteria underlying the determination of the Consideration** |

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Without prejudice to the below, the Offeror's Communication provided that, for each Mediobanca share tendered in acceptance of the Offer, MPS would offer a unit consideration consisting of No. 2.300 MPS Shares resulting from the Capital Increase Reserved to the Offer (the "**Pre-Adjustment Consideration**"). Furthermore, as indicated in the Offeror's Communication, "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay(s) a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the ex coupon (cedola) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS shares, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed*".

It should be noted that the Offeror's Communication provides for further adjustments to the Consideration, namely any transaction involving the Issuer's share capital and/or Mediobanca shares, without prejudice to the Offeror's right to exercise (or waive) the relevant Condition of Effectiveness, where applicable, in relation to such individual event. For further details, please refer to the Offeror's Communication.

In this regard, it should be noted that on 17 April 2025, the ordinary Shareholders' Meeting of MPS resolved to distribute the MPS Dividend (equal to Euro 0.86 per share). The MPS Dividend was paid on 21 May 2025, with ex-dividend date on 19 May 2025 (record date on 20 May 2025).

Furthermore, on 8 May 2025, the Board of Directors of Mediobanca resolved to distribute the Mediobanca Interim Dividend (equal to Euro 0.56 per share). The Mediobanca Interim

Dividend was paid on 21 May 2025, with ex-dividend date on 19 May 2025 (record date on 20 May 2025).

As certain circumstances requiring an adjustment to the Pre-Adjustment Consideration have arisen, on 20 May 2025, MPS announced to the market that, following the detachment of the coupons and the related payments of the MPS Dividend and the Mediobanca Interim Dividend, it had made the resulting technical adjustment of the Pre-Adjustment Consideration, equal to 0.233 MPS shares.

Therefore, as of the Offer Document Date, the unit Consideration (following the adjustment) is equal to No. 2.533 newly issued MPS Shares in execution of the Capital Increase Reserved to the Offer. As a result, by way of example, for every No. 1,000 Shares Subject to the Offer tendered in acceptance of the Offer, No. 2,533 newly issued ordinary MPS Shares will be exchanged.

In any case, it should be noted that, the Consideration – without prejudice to any restructuring and/or changes to the content and/or structure of the Offer – may be further adjusted upon the occurrence of the additional events indicated in the Offeror's Communication and summarized above. Accordingly, if Mediobanca's Board of Directors, in execution of the delegation granted to it by the Issuer's extraordinary Shareholders' Meeting of 28 October 2024, proceeds – prior to the Payment Date – to cancel the Treasury Shares purchased in execution of the authorization of the same Mediobanca's ordinary Shareholders' Meeting of 28 October 2024, and/or any transactions to reduce the number of Mediobanca shares outstanding and/or the payment of the relevant balance of the 2025 dividend, further adjustments will be made to the Consideration, without prejudice to any restructuring and/or changes to the content and/or structure of the Offer.

In view of the nature of the Consideration, represented by the newly issued MPS Shares offered in exchange of the Shares Subject to the Offer tendered in acceptance of the Offer, the valuation analyses underlying the determination of the Exchange Ratio, and therefore of the Consideration, were carried out by the Offeror in order to express a comparative estimate of the economic values of the Mediobanca Group, on the one hand, and the MPS Group, on the other.

Therefore, in accordance with a principle established in valuation practice, the approach adopted by the Offeror has given priority to the principle of relative homogeneity and comparability of the valuation methods applied, in order to identify ranges of relative values that are homogeneous and comparable for the Issuer and the Offeror. The estimates of the economic value of the Issuer and the Offeror underlying the determination of the Pre-Adjustment Consideration are therefore meaningful only in relative terms.

The valuations carried out by the MPS' Board of Directors refer to the economic and market conditions as of 23 January 2025, corresponding to the Trading Day prior to the Communication Date (the "**Reference Date**") and to the economic, financial and equity position of MPS and Mediobanca as reported in the consolidated interim management reports as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for MPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results addressed to the financial community.

The choice of the methodologies and the results of the valuation analyses carried out by the

Offeror as of the Reference Date for the purpose of determining the Pre-Adjustment Exchange Ratio presented the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the Offeror used exclusively public data and information of the Issuer for its analysis;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Offeror did not perform any financial, legal, commercial, tax, industrial or any other due diligence
activities on the Issuer;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) as of the Reference Date, an updated business plan for Mediobanca with a time horizon consistent with
that of MPS is not publicly available. Accordingly, where relevant to the application of the valuation methods, the projections of future
economic performance used for the Offeror were inferred on the basis of the estimates of the 2024-28 Business Plan, while for the Issuer
were derived from the estimates provided by research analysts;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

Therefore, taking into account the above limitations and valuation difficulties, and in particular the fact that the Offeror did not have access to information and forecasts that would have allowed it to prepare analytical financial valuations of the Mediobanca Shares for the purpose of determining the Pre-Adjustment Exchange Ratio, the Offeror used a valuation approach based on market methodologies, in line with national and international best practices.

In particular, the Offeror's Board of Directors decided to use the following valuation methods, all with equal significance:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the Stock Market Price Method;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the market multiples method in the variant of the stock market price of comparable listed companies on
their prospective earnings; and

&nbsp;&nbsp;&nbsp;&nbsp;(iii) the target price methodology highlighted by research analysts.

It should be noted that the above valuation methods were applied prior to the payment of the MPS Dividend and the Mediobanca Interim Dividend and, therefore, the adjustment of the Consideration, as announced to the market on 20 May 2025, is a technical adjustment of a purely numerical nature aimed at maintaining the economic terms of the Offer unchanged.

The table below shows a comparison between (i) the implied Pre-Adjustment Consideration offered (rounded to the third decimal number), calculated taking into account the Pre-Adjustment Exchange Ratio, the official price of MPS ordinary shares as of the Reference Date (*i.e.*, 23 January 2025, corresponding to the last Trading Day prior to the Communication Date) and the volume-weighted averages of the official prices of MPS ordinary shares for the 1, 2, 3 and 6 months and 1 year prior to the Reference Date (included), and (ii) the official price of the Mediobanca Shares recorded as of the Reference Date, the volume-weighted averages of the official prices of the Mediobanca Shares for the 1, 2, 3 and 6 months and 1 year prior to the Reference Date (included), as well as the related implied premiums.

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|:---|:---|:---|:---|:---|
| <br>**Reference period** | <br>**MPS market prices**<br>**(Euro)**<br>**(a)** | **Implied Pre-**<br>**Adjustment**<br>**Consideration**<br>**offered (Euro)** | <br>**Mediobanca market**<br>**prices (Euro)**<br>**(c)** | <br>**Implied premium vs.**<br>**market prices**<br>**(d=b/c-1)** |
|  | **(b=a\*2,300x)** | **(b=a\*2,300x)** | **(b=a\*2,300x)** | **(b=a\*2,300x)** |
| Values based on prices as of 23 January 2025 | 6.953 | 15.992 | 15.227 | 5.03% |
| Values based on weighted average of 1-month prices (including 23 January 2025) | 6.954 | 15.995 | 14.795 | 8.11% |
| Values based on the weighted average of 2-month prices (including 23 January 2025) | 6.547 | 15.057 | 14.363 | 4.84% |
| Values based on the weighted average of 3-month prices (including 23 January 2025) | 6.099 | 14.027 | 14.508 | (3.31)% |
| Values based on the weighted average of 6-month prices (including 23 January 2025) | 5.567 | 12.805 | 14.703 | (12.91)% |
| Values based on the weighted average of 12-month prices (including 23 January 2025) | 4.724 | 10.865 | 13.928 | (21.99)% |

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Source: FactSet VWAP

Since Mediobanca shares and MPS shares are listed on the regulated market of Euronext Milan, the Pre-Adjustment Offer Consideration was determined by reference to the above stock market values, incorporating a premium of 5.03% over the official price of Mediobanca shares as of 23 January 2025 (equal to Euro 15.227<sup>7</sup>).

It should be noted that, the Pre-Adjustment Consideration has been determined on the assumption that, prior to the Payment Date: (i) Mediobanca and/or MPS do not approve or implement any ordinary or extraordinary distribution of dividends drawn from profits and/or other reserves; and (ii) Mediobanca does not approve or implement any transaction on its share capital (including, by way of example, capital increases or reductions) and/or on the Shares Subject to the Offer (including, by way of example, the consolidation or cancellation of shares).

Taking into account the payment of the MPS Dividend and the Mediobanca Interim Dividend, the Offeror has consequently adjusted the Pre-Adjustment Exchange Ratio accordingly and, therefore, on the Offer Document Date, the unit Consideration is represented by No. 2.533 newly issued MPS Shares in execution of the Capital Increase Reserved to the Offer for each Share Subject to the Offer tendered in acceptance of the Offer.

If, prior to the Payment Date, further adjustment conditions arise, the Consideration will be subject to further adjustments to take account of such further events (if MPS waives the Relevant Acts Condition referred to in Paragraphs A.1.1 and A.1.5 of this Offer Document, where applicable, in relation to that single event).

<sup>7</sup> Source: FactSet VWAP

Any further adjustment to the Consideration as a result of the above will be disclosed in the manner and within the time frames required by applicable law.

For further information, please refer to Section E, Paragraph E.1, of the Offer Document.

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| **A.5.** | **The Capital Increase Reserved to the Offer** |

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|:---|:---|
| **A.5.1.** | **Corporate procedure applicable to the Capital Increase Reserved to the Offer** |

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The Offer Consideration consists of MPS Shares to be issued in execution of the Capital Increase Reserved to the Offer, approved by the Board of Directors of the Offeror on 26 June 2025, on the basis of the Delegation granted to it by the Offeror's Shareholders' Meeting.

As set out in the explanatory report and in the information document prepared pursuant to and for the purposes of Article 70 of the Issuers' Regulation, made available to the public for the Offeror's Shareholders' Meeting, the Delegation concerns a maximum of No. 2,230,000,000 MPS Shares, to be paid-in by contribution in kind of the Shares Subject to the Offer tendered in acceptance of the Offer. The maximum number of MPS Shares subject to the Delegation has been calculated by MPS, as indicated in the explanatory report and in the information document prepared pursuant to and for the purposes of Article 70 of the Issuers' Regulation, on the basis of the contents of the Offer and as a matter of extreme caution and in accordance with a highly conservative approach.

Taking into account that the MPS Dividend and the Mediobanca Interim Dividend have been paid and that, therefore, the Pre-Adjustment Exchange Ratio has been adjusted and, without prejudice to any further adjustments to the Consideration and/or any restructuring and/or changes to the content and/or structure of the Offer, it will not be necessary to issue all of the No. 2,230,000,000 MPS Shares reserved to the Offer.

The Capital Increase Reserved to the Offer is subject to the provisions of Articles 2440 and 2343-*ter*, *et seq.*, of the Italian Civil Code, concerning capital increases to be paid-in through contribution in kind.

In particular, the Offeror has resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to act in compliance with the provisions of Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code for purposes of the valuation of the Shares Subject to the Offer, which, through a simplified procedure, exempts from the requirement for a sworn appraisal of the assets subject to the contribution prepared by an expert appointed by the Court in the district where the company subject to contribution has its registered office (*i.e.*, the Court of Siena), if the value attributed to the assets subject to contribution, for the purpose of determining the share capital and any share premium, "*is equal to or less than*" the value resulting from a valuation referring to a date not more than six months prior to the contribution, and in accordance with the principles and criteria generally recognized for the valuation of assets being contributed, provided that such valuation is carried out by an independent expert (independent from those who make the contribution, the company subject to contribution and the shareholders exercising control individually or jointly over the contributor or the company itself) and with adequate or proven professional experience (for further details, please refer to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code).

The Offeror has therefore appointed KPMG Corporate Finance, a division of KPMG Advisory S.p.A., as Independent Expert, to prepare the valuation of the Shares Subject to the Offer. In

this regard, KPMG Corporate Finance, a division of KPMG Advisory S.p.A., as an Independent Expert pursuant Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code, on 14 March 2025 issued its Appraisal. In its Appraisal, KPMG Corporate Finance, a division of KPMG Advisory S.p.A., concluded that, as of 14 March 2025, based on the economic and financial position as of 31 December 2024 and the factors and methods described in its appraisal, the fair value of the shares of Mediobanca is not less than Euro 16.406 per Mediobanca share, cum dividend, or Euro 15.852 per Mediobanca share, ex dividend.

Subsequently, on 26 June 2025, the Independent Expert, upon request of the Offeror, issued the Appraisal updated taking into account the data and information available as of 31 March 2025, which therefore constitutes the new reference date. Specifically, in the updated Appraisal, the Independent Expert concluded that as of 26 June 2025, based on the economic and financial position as of 31 March 2025, and the elements and methods described in the update Appraisal, the fair value of the shares of Mediobanca is not less than Euro 17.395 per each share of Mediobanca, ex dividend, *i.e.,* net of Mediobanca's Interim Dividend.

In accordance with the law, the value attributed, for the purpose of determining the share capital and the share premium, to the Shares Subject to the Offer tendered in acceptance of the Offer must be equal to or less than the value indicated in the aforementioned updated Appraisal of the Independent Expert.

It should be noted that, MPS' Board of Directors has appointed the company responsible for the statutory audit of MPS, PricewaterhouseCoopers Advisory S.p.A., to prepare, on a voluntary basis and in accordance with the criteria set out in ISAE "3000 revised – limited assurance engagement" a report regarding the adequacy, in so far as is reasonable and nondiscretionary, in the case in question, of the criteria adopted by the same Board of Directors for determining the Pre-Adjustment Exchange Ratio, with respect to national and international valuation practices and professional techniques applicable to transactions of this nature.

On 26 June 2025, PricewaterhouseCoopers Advisory S.p.A. issued its fairness opinion on the issue price of the MPS Shares in the Offer, as determined by the Board of Directors of the Offeror, pursuant to the combined provisions of Articles 2441, paragraph 4, first sentence, and paragraph 6, of the Italian Civil Code and Article 158, paragraph 1, of the TUF.

It should be noted that, Article 2443, paragraph 4, of the Italian Civil Code provides that, in cases (such as the one in question) where the company subject to contribution has opted for the valuation of the contributed assets pursuant to the special provisions of Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code, one or more shareholders representing, and who represented at the date of the board of directors' resolution for the capital increase, at least one-twentieth of the share capital prior to the increase, may request, within 30 (thirty) days from the filing in the Companies' Register of the board of directors' resolution for the capital increase (*i.e.*, by 28 July 2025), that, on the initiative of the directors and pursuant to and for the purposes of Article 2343 of the Italian Civil Code, a new valuation of the contributed assets be carried out through a sworn appraisal by an expert appointed by the competent Court (*i.e.*, the Court of Siena).

Furthermore, the aforementioned provisions of Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code, applied together with the rules governing the capital increase delegated by the Shareholders' Meeting to the Board of Directors (and, in particular, Article 2443,

paragraph 4, first sentence, of the Italian Civil Code), provide that the Board of Directors of the Offeror, pursuant to the combined provisions of Articles 2343-*quater* and 2440 of the Italian Civil Code, must issue, within 30 days from the execution of the contribution or, if later, from the date of filing in the Companies' Register of Arezzo – Siena of the board of directors' resolution on the Capital Increase Reserved to the Offer, a declaration containing the information referred to in letters a), b), c) and e) of Article 2343-*quater*, paragraph 3, of the Italian Civil Code; namely: a) the description of the contributed assets (in this case, the Shares Subject to the Offer) for which the appraisal referred to in Article 2343, paragraph 1, of the Italian Civil Code has not been prepared; b) the value attributed to such assets, the source of such valuation and, if applicable, the valuation method; c) a statement that this value is at least equal to the value attributed to them for the purpose of determining the share capital and any share premium; and e) the declaration of the adequacy of the expertise and independence requirements of the expert referred to in Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code.

Regarding the declaration containing the information referred to in the aforementioned letters a), b), c) and e) of Article 2343-*quater*, paragraph 3, of the Italian Civil Code, it should be noted that this declaration was issued by the Offeror's Board of Directors on 26 June 2025 and is contained in the board of directors' resolution on the Capital Increase Reserved to the Offer registered with the Companies' Register of Arezzo – Siena on 27 June 2025.

As for letter d) of Article 2343*-quater*, paragraph 3, of the Italian Civil Code, Article 2443, paragraph 4, last sentence, of the Italian Civil Code provides that "*the declaration that no exceptional or significant events have occurred that affect the valuation referred to in letter b)*" will be filed by the directors of the company subject to the contribution with the Companies' Register only after the 30-day period described above, granted to the qualified minority of the company subject to the contribution to request a new valuation pursuant to Article 2343 of the Italian Civil Code, has elapsed.

Furthermore, it should be noted that, taking into account the provisions of Article 2343*-quater*, paragraph 4, of the Italian Civil Code, until the declaration of the directors of MPS with the contents referred to in letter d) of the said provision is not registered with the Companies' Register of Arezzo – Siena, the MPS Shares issued in execution of the Capital Increase Reserved to the Offer and which will be allocated to the Tendering Shareholders as Offer Consideration will be unavailable (and therefore cannot be sold) and must remain deposited with the Offeror.

It is also expected that the registration of such declaration by the directors of MPS with the competent Companies Register' will occur in a timely manner prior to the Payment Date to allow the free availability to the Tendering Shareholders of the MPS Shares, that will be assigned to them as Offer Consideration on the Payment Date itself. In this regard, until the declarations of the directors of MPS referred to in Article 2343*-quater*, paragraph 3, of the Italian Civil Code are registered with the Companies' Register of Arezzo – Siena, the MPS Shares issued in execution of the Capital Increase Reserved to the Offer and which will be allocated to the Tendering Shareholders as Offer Consideration will be unavailable (and therefore cannot be sold) and must remain deposited with the Offeror.

The MPS Shares resulting from the Capital Increase Reserved to the Offer will be traded on the same market on which the Offeror's shares already in circulation will be traded at the

time of their issue. Please note that in relation to the MPS Shares, the Offeror has published the Exemption Document available to the public at the Offeror's registered office and on the Offeror's website.

It should be noted that, if, prior to the Consideration Payment Date, the Board of Directors of the Offeror finds that exceptional events or new facts have occurred that could significantly alter the value of the assets contributed (*i.e.*, the value attributed to the Shares Subject to the Offer for the purposes of the Capital Increase Reserved to the Offer) and, therefore, such as to prevent the issuance of the declaration by the directors of MPS pursuant to Article 2343*-quater*, paragraph 3, letter d) of the Italian Civil Code, the Board of Directors of the Offeror shall proceed with a new valuation of the contributions in kind (*i.e.*, the Shares Subject to the Offer) pursuant to Article 2343 of the Italian Civil Code and then initiate the ordinary procedure for the valuation of contributions in kind, requesting the competent Court to appoint an expert who will prepare, in compliance with applicable regulations, a sworn appraisal estimating the value of the assets contributed. Furthermore, also pursuant to Article 2343 of the Italian Civil Code, if the Board of Directors' review of the sworn appraisal reveals that the value of the assets contributed is less than 1/5 of the value at which they were contributed, MPS shall apply the provisions of Article 2343, paragraph 4, of the Italian Civil Code (including, where applicable, the reduction of the nominal share capital of the Capital Increase Reserved to the Offer).

Without prejudice to the above, it should be noted that, as of the Offer Document Date, the Offeror's Board of Directors has not identified any exceptional events or significant new events that would require a further update of the report prepared pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code or, in any case, to require the commencement, as of the Offer Document Date, of the ordinary procedure for the valuation of contributions in kind, which requires a sworn appraisal by an expert appointed by the competent Court pursuant to Article 2343 of the Italian Civil Code.

For the sake of completeness, it should be noted that the above will apply, *mutatis mutandis*, if the conditions for the Reopening of the Acceptance Period and/or for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or for the fulfilment of the Joint Procedure are met.

For further information on the Capital Increase Reserved to the Offer and the procedure referred to in Articles 2440 and 2343*-ter*, *et seq.*, of the Italian Civil Code, please refer to the Recitals of the Offer Document.

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| | |
|:---|:---|
| **A.5.2.** | **Absence of effects on the Offer Consideration** |

---

It should be noted that, considering that the Offeror's shares (including the MPS Shares issued in execution of the Capital Increase Reserved to the Offer) have no nominal value, any recourse to the ordinary procedure for the valuation of contributions in kind pursuant to Article 2343 of the Italian Civil Code – both following a request by minority shareholders pursuant to Article 2443, paragraph 4, of the Italian Civil Code, or following the failure of the MPS directors to issue the declaration pursuant to Article 2343*-quater*, paragraph 3, letter d) of the Italian Civil Code (for further information, please refer to Section A, Paragraph A.5, of the Offer Document) – will have no impact on the Exchange Ratio and, consequently, on the Consideration, as well as on the right of the Tendering Shareholders to be assigned the corresponding number of MPS Shares as Offer Consideration; and this even if, following the

ordinary valuation process referred to in Article 2343 of the Italian Civil Code, it should emerge that the value attributed to the Shares Subject to the Offer and subject to contribution in kind is lower than that indicated in the Appraisal of the Independent Expert prepared pursuant to Article 2343*-ter*, paragraph 2, letter b) of the Italian Civil Code, as amended, given that in the hypothetical scenario mentioned above, in accordance with the fairness opinion issued by the independent auditor, this would result, if applicable, considering that the ordinary shares of the Offeror have no nominal value, in a reduction in the amount of the share premium and of the nominal share capital of the Capital Increase Reserved to the Offer, but not of the number of MPS Shares to be issued as Offer Consideration, or consideration of the Reopening of the Acceptance Period, and/or consideration for the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or consideration of the Joint Procedure.

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| | |
|:---|:---|
| **A.5.3.** | **Possible unavailability of MPS Shares offered as Consideration** |

---

In view of the rules applicable to the Capital Increase Reserved to the Offer and the procedure set forth in Articles 2440 and 2343-*ter*, *et seq.*, of the Italian Civil Code (for further information, please refer to Section A, Paragraph A.5.1 above, of the Offer Document), it should be noted that, in the event of recourse to the ordinary procedure for valuing the Shares Subject to the Offer pursuant to Article 2343 of the Italian Civil Code by means of a sworn appraisal by an expert appointed by the competent Court – either following a request by the MPS minority shareholders pursuant to Article 2443, paragraph 4, of the Italian Civil Code, or following the failure of the MPS directors to issue the declaration pursuant to Article 2343-*quater*, paragraph 3, letter d) of the Italian Civil Code – if such valuation procedure is not completed by the Payment Date or by the Payment Date of the Reopening of the Acceptance Period and/or by the payment date of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the payment date of the Joint Procedure, the MPS Shares that will be allocated to the Tendering Shareholders as Offer Consideration on the Payment Date or on the Payment Date of the Reopening of the Acceptance Period and/or on the payment date of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or on the payment date of the Joint Procedure will be unavailable until completion of the ordinary procedure for the valuation of the Shares Subject to the Offer pursuant to Article 2343 of the Italian Civil Code, noting, however, that such date cannot be determined in advance.

For further information, please refer to Section F of the Offer Document.

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| | |
|:---|:---|
| **A.6.** | **Treatment of fractions of MPS Shares offered as Consideration** |

---

Considering that for each Share Subject to the Offer tendered in acceptance of the Offer, No. 2.533 MPS Shares will be allocated based on the Exchange Ratio, the result of applying the Exchange Ratio to the Shares Subject to the Offer tendered in acceptance of the Offer by a Tendering Shareholder may not be a whole number of MPS Shares (*i.e.*, where a Tendering Shareholder does not tender to the Offer at least No. 1,000 Shares Subject to the Offer, or a number of Shares Subject to the Offer equal to a whole multiple of 1,000).

Such fractional parts of MPS Shares will be treated in accordance with Section F of the Offer Document.

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| | |
|:---|:---|
| **A.7.** | **Reasons for the Offer and summary of the Offeror's future plans in relation to the Issuer** |

---

Over the last three years, MPS has consistently strengthened its fundamentals, consolidating the sustainability of its business model and improving its risk profile, thereby achieving solid levels of profitability. Furthermore, the MPS Group has managed to exceed most of the targets set out in its 2022-2026 business plan two years ahead of schedule and with one of the strongest capital positions in Europe, laying solid foundations to play an active role in the broader consolidation of the Italian banking sector.

The aggregation between MPS and Mediobanca, which will be carried out in accordance with the principles of sound and prudent management, operational continuity and risk control, aims to create a New National Champion, combining two leading brands in the financial services market, with the objective of strengthening the sustainability of the business model, ensuring solid levels of profitability in the medium/long-term.

MPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and offers significant value creation for the shareholders of both companies and all stakeholders.

The aggregation with Mediobanca, if completed, will create the third largest national banking operator in terms of total assets, customer loans, direct deposits and total financial assets, and a highly diversified, resilient player with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the potential to compete with the leading Italian and European banks by fully leveraging existing human capital.

In a market that is undergoing consolidation, MPS intends to play an active role, and this proposed aggregation represents a unique opportunity to strengthen its position in certain key areas and sectors, also to better seize future growth opportunities. This will increase support for households and businesses, strengthening overall support for the former, both in terms of financing needs and in the protection and management of savings, and assisting the latter in capturing growth opportunities at domestic and international level. The benefits will also extend to local communities and the Italian economy.

The new group will be able to count on Mediobanca's distinctive expertise in Wealth Management, Corporate & Investment Banking and Consumer Finance, and MPS' expertise in Retail and Commercial Banking. Furthermore, if the Mediobanca-Banca Generali Offer is not successful and Mediobanca retains its interest in Assicurazioni Generali, this will also positively contribute to the diversification of the new MPS Group's revenues.

The aggregation will also offer the employees of each institution the opportunity to develop their careers in a larger organization, enhancing their talent thanks to opportunities for mutual enrichment and integration.

At the same time, it will help attract new high-profile resources, leveraging their skills and professionalism to consolidate a sustainable and competitive growth model.

Finally, the two banks' sustainability strategies will be consolidated, leveraging their respective ESG capabilities to strengthen the combined entity's positioning and promote its commitment to the communities and territories where they are based.

MPS' high governance standards will be maintained throughout the integration process and beyond, ensuring transparency, accountability and a balanced approach towards all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

*<u>Industrial and strategic aspects</u>*

The acquisition of Mediobanca allows to accelerate the implementation of the strategic guidelines of 2024-28 Business Plan, which focuses on: i) the growth of specialized, high-fee-generating businesses; ii) the development of new service models for value-added activities; iii) the expansion of financing solutions for households and the development of new services for SMEs; iv) the renewal and optimization of distribution platforms; v) the adaptation of a zero-based risk approach for more effective risk management.

MPS and Mediobanca operate with specialized business models and have many complementary elements, which will enable the creation of a New National Champion with a distinctive and resilient business model, capable of responding to the needs of households and businesses. This will be characterized by a wide range of banking products, a balanced funding mix and a solid capital and liquidity position.

In particular, the following strategic development guidelines are envisaged for various business lines covered by the two entities.

**<u>Retail Banking</u>**

The expertise gained by MPS over decades will enable the expansion of Mediobanca's Retail business, particularly the customer bases of Compass and Mediobanca Premier, through the offering of MPS' core products, such as accounts, credit cards, and mortgages.

Additionally, MPS will be able to leverage its nationwide branch network, allowing Compass, Mediobanca Premier and potentially all Mediobanca customers to benefit from its extensive presence to meet their financial needs.

**<u>Wealth & Asset Management</u>**

The Transaction will enable the creation of a leading player in Wealth Management, due to the combination of MPS and Mediobanca's expertise in Private Banking, with the contribution from certain companies and product companies, as well as in Asset Gathering, through the integration of over 1,200 financial advisors active in Widiba and Mediobanca Premier, and about 500 bankers, allowing:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 strengthening of the distribution networks in the market, maintaining the current portfolio
 size and profitability standards, thanks to accelerated growth facilitated by the immediate
 achievement of a critical mass in the financial advisor networks;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 increased profitability and customer penetration, through the promotion of alternative products
 (*e.g.*, investment funds, OEIC) and alignment with Mediobanca's best practices
 also to MPS' customers.

**<u>Corporate & Investment Banking</u>**

The Transaction will enable MPS' balance sheet potential to be combined with Mediobanca's Investment Banking business and launch an intensive development programme to support the growth of companies throughout the country.

The complementarity between the customer segments served (SMEs and Large Corporates) and the range of products offered by MPS and Mediobanca to corporate clients will enable the creation of a leading operator in Corporate & Investment Banking (CIB). This will result in a broad and comprehensive offering, covering all major products, including the commercial banking services strictly linked to financial advisory, Capital Markets, Structured Finance CIB, access and execution in financial markets, and specialty finance services such as factoring.

The combined entity will assume a leadership position in Equity Capital Markets and M&A, allowing the MPS Group to capture growth opportunities in the mid-market segment, where MPS has a consolidated presence and is experiencing significant development, through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 enhancement of Mediobanca's vertical expertise in the areas of M&A, Equity &
 Debt Capital Markets, improving penetration of the combined customer base through cross-selling
 and up-selling strategies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 offering of Advisory services, particularly M&A, to medium and large corporate clients;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 strengthening of the offer of structured and specialty finance for the corporate sector,
 also supported by a more balanced funding mix, leveraging MPS' commercial funding capacity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 access for the Mediobanca Premier clients to MPS' branch network across Italy.

**<u>Consumer Finance</u>**

The unique positioning of Compass in the consumer credit sector will benefit from a further boost through the enhancement of the existing partnership with MPS and increased penetration in the retail customer base through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 leverage of the consolidated expertise of both banks – specifically Mediobanca –
 in providing consumer credit solutions, expanding the range of available products and improving
 access to credit for a diversified clientele;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 optimization of products' offering such as personal loans, financing solutions, and
 salary-backed loans, promoting an efficient and competitive service model that integrates
 the resources and distribution networks of both groups.

**<u>Insurance</u>**

Besides additional revenue synergies in the core segments of both entities, MPS will have the chance to expand its bancassurance offering through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 introduction of Credit Protection Insurance (CPI) policies on newly issued personal loans,
 increasing penetration of Mediobanca's customer base by capitalizing on MPS'
 existing offering;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 enhancement of customer penetration, by integrating banking products with existing insurance
 products in the portfolio.

For further information on the reasons for the Offer and future plans relating to the Issuer, please refer to Section G, Paragraph G.2, of the Offer Document.

Finally, it should be noted that, given the nature of the Transaction, as of the Offer Document Date, MPS has prepared economic and financial projections in relation to the acquisition of Mediobanca based on the estimates contained in MPS' 2024-28 Business Plan and publicly available information for Mediobanca. These projections were prepared taking into account

the business rationale for the initiative, the synergies that can be achieved by combining the two entities and the estimated integration costs. Upon completion of the Offer, MPS will prepare a Business Plan for the entity resulting from the integration with Mediobanca, which will be subject to approval by the competent bodies.

Finally, for the sake of clarity, it should be noted that any reference to the abovementioned effects arising out from the integration, combination, and aggregation of MPS and Mediobanca as a result of the Offer do not require a potential merger by incorporation of Mediobanca into MPS or into another company of the MPS Group and refer, on one hand, to a scenario where MPS exercises legal control over the Issuer and, on the other hand, to a scenario where MPS exercises *de facto* control over Mediobanca, with the clarifications set out below regarding the so-called DTAs.

\* \* \* \*

As of the Offer Document Date, the Offeror does not intend to unilaterally make any substantial changes to the employment contracts of the employees of MPS, Mediobanca and the companies belonging to the respective groups. Therefore, the Offer is not expected to have any direct negative impact on the overall workforce of the MPS Group and the Mediobanca Group in terms of working or employment conditions. Given the complementary nature (and absence of overlap) of the businesses of MPS and Mediobanca, as of the Offer Document Date, it is reasonable to believe that, in case of completion of the Offer, there will be no impact on the human capital and existing operating sites of MPS and Mediobanca.

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| | |
|:---|:---|
| **A.8.** | **Transactions upon completion of the Offer** |

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If the Offer is completed, the Offeror intends to proceed with the Delisting, *i.e .*, the delisting of the Issuer's shares from trading on Euronext Milan, in accordance with the terms and conditions described in the Offer Document.

As indicated in Section A, Paragraph A.1, of the Offer Document, the effectiveness of the Offer is subject to the fulfilment of the Threshold Condition, *i.e .*, the Offeror acquiring, upon completion of the Offer, ownership of at least 66.67% of the Issuer's share capital, in order to allow the Offeror to hold an absolute majority at the extraordinary shareholders' meeting of the Issuer, without prejudice to the Minimum Threshold Condition.

Regardless of the potential Delisting of Mediobanca, the Offeror does not exclude the option of evaluating in the future, at its discretion, the implementation of any other extraordinary transactions and/or corporate and business reorganizations that may be deemed appropriate, in line with the objectives and rationale of the Offer, including the potential merger by incorporation of the Issuer into the Offeror or into another company of the MPS Group, without prejudice to the commencement of the necessary corporate, authorization and regulatory procedures, also for the purposes of the potential Delisting. With regard to the potential merger, the Offeror specifies that if the Threshold Condition is not met and the Offeror decides to waive it (without prejudice to the Minimum Threshold Condition), the Offeror may not be able, following the Offer, to approve the potential merger with the only favourable vote of the Offeror itself. Regarding the potential merger, it should be noted that, in such a hypothetical situation, a proposal will be presented to the competent bodies of both the Issuer and the Offeror to proceed with this transaction so that they may convene the

relevant extraordinary shareholders' meetings and, consequently, activate all customary safeguards as mandated by applicable laws and regulations.

As of the Offer Document Date, the Offeror has not taken any decision regarding any extraordinary transactions and/or corporate and business reorganizations of the MPS Group (including the potential merger by incorporation of the Issuer into the Offeror or into another company of the MPS Group) following the aggregation with the Mediobanca Group, as a result of the completion of the Offer.

For further information provided to Mediobanca shareholders in relation to possible alternative scenarios regarding acceptance or non-acceptance of the Offer, please refer to Section A, Paragraph A.15 below, of the Offer Document.

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| | |
|:---|:---|
| **A.9.** | **Communications and authorizations for the carrying out of the Offer** |

---

The promotion of the Offer is not subject to obtaining any authorization *per se*.

However, it should be noted that the effectiveness of the Offer is conditional, among other things, upon the fulfilment of the Authorizations Condition and the Other Authorizations Condition. In this regard, please refer to the information provided in Paragraph A.1.2 of this Offer Document.

For the sake of completeness, it should be noted that all Preliminary Authorizations were obtained prior to the Offer Document Date. For further details, please refer to Section C, Paragraph C.2, of the Offer Document.

For further information on the operational recommendations and reporting requirements requested by the ECB in the authorizations issued on 24 June 2025, please refer to Section C, Paragraph C.2, of the Offer Document.

Based on the information available as of the Offer Document Date, the Offeror has not identified any further authorizations, approvals or clearances under applicable law that are necessary for the completion of the Offer.

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| | |
|:---|:---|
| **A.10.** | **Reopening of the Acceptance Period** |

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The Offeror will apply to the Offer, on a voluntary basis, the provisions relating to the mandatory reopening of the Acceptance Period referred to in Article 40-*bis*, paragraph 1, letter a) of the Issuers' Regulation. Therefore, as indicated in Section F, Paragraph F.1.1, of the Offer Document, pursuant to Article 40-*bis*, paragraph 1, letter a), of the Issuers' Regulation, by the Trading Day following the Payment Date, the Acceptance Period shall be reopened for 5 Trading Days (in particular, without prejudice to any extensions of the Acceptance Period, for the trading sessions of 16, 17, 18, 19, and 22 September 2025) if, following the publication of the Communication on the Final Results of the Offer (see Section F, Paragraph F.3, of the Offer Document), the Offeror announces the occurrence of the Threshold Condition or the waiver of the Threshold Condition (in the latter case, where the Offeror comes to hold a total stake in the Issuer's share capital equal to at least the threshold specified in the Minimum Threshold Condition).

If the conditions for the Reopening of the Acceptance Period are met, the Offeror will pay the Consideration to each Mediobanca shareholder who has accepted the Offer during the Reopening of the Acceptance Period on the fifth Trading Day following the end of the

Reopening of the Acceptance Period and therefore, unless the Acceptance Period is extended, on 29 September 2025.

However, the Reopening of the Acceptance Period will not take place if:

(i) the Offeror, at least 5 Trading Days prior to the closing of the Acceptance Period, as possibly extended,
announces to the market that the Threshold Condition has been met or waived (in the latter case, where the Offeror comes to hold a total
stake in the Issuer's share capital equal to at least the threshold specified in the Minimum Threshold Condition); or

(ii) at the end of the Acceptance Period, as possibly extended, the conditions for the fulfilment of the Sell-Out
pursuant to Article 108, paragraph 2, of the TUF or for the Joint Procedure are met; or

(iii) the Shares Subject to the Offer are subject to one or more competing offers.

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| | |
|:---|:---|
| **A.11.** | **Declaration by the Offeror regarding the possible restoration of the free float and the sell-out pursuant to Article 108, paragraph 2, of the TUF** |

---

Since the Offer is aimed at the Delisting, if, at the end of the Offer, the Offeror comes to hold – as a result of the acceptances of the Offer and/or any purchases made outside the Offer in accordance with applicable law during the Acceptance Period, as may be extended and/or reopened – a total stake of more than 90% but less than 95% of the Issuer's share capital, the Offeror hereby declares its intention not to restore a free float sufficient to ensure the regular trading of the Shares Subject to the Offer.

It should be noted that, for the purpose of calculating the thresholds provided for in Article 108 of the TUF, the Treasury Shares held by the Issuer will be included in the Offeror's shareholding (numerator) without being deducted from the Issuer's share capital (denominator).

If the conditions are met, the Offeror will fulfil its obligation to purchase the remaining Shares Subject to the Offer from the Issuer's shareholders who so request, pursuant to Article 108, paragraph 2, of the TUF (the "**Sell-Out pursuant to Article 108, paragraph 2, of the TUF**"), with the consequent Delisting.

The Sell-Out pursuant to Article 108, paragraph 2, of the TUF will be fulfilled by the Offeror by paying the Issuer's shareholders who so request a consideration for each Share Subject to the Offer determined in accordance with Article 108, paragraphs 3 or 4 and 5, of the TUF, and Articles 50, 50-*bis* and 50*-ter* of the Issuers' Regulation (as applicable). Therefore:

(i) if, following the Offer, the Offeror has acquired at least 90% of the share capital with voting rights
included in the Offer, the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF will be identical to the
Offer Consideration in accordance with the provisions of Article 108, paragraph 3, of the TUF, it being understood that the holder
of the Mediobanca Shares may demand, in accordance with Article 108, paragraph 5, of the TUF and Article 50 *-ter* of the
Issuers' Regulation, payment of the Full Cash Consideration; or

(ii) in all other cases, the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the
TUF will be determined in the amount established by Consob pursuant to Article 108, paragraph 4, of the TUF and Articles 50 and 50- *bis* of the Issuers' Regulation,

it being understood that the holder of the Mediobanca Shares may demand, in accordance with Article 108, paragraph 5, of the TUF and Article 50*-ter* of the Issuers' Regulation, payment of the Full Cash Consideration.

The Offeror will announce whether the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF have been met in the Communication on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication on the Final Results of the Reopening of the Acceptance Period). In the event that the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF are met, the Communication on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication on the Final Results of the Reopening of the Acceptance Period) will contain, among other things, information about (a) the number of remaining Shares Subject to the Offer (in absolute terms and as a percentage), (b) the manner and timing with which the Offeror will fulfil the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, and (c) the manner and timing of the subsequent Delisting. Before fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the Offeror will publish, through the appropriate procedure, a press release containing information on the determination of the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, as well as the calculation and value of the Full Cash Consideration that will be offered as an alternative in cash in this procedure pursuant to the above provisions.

It should be noted that, following the occurrence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, in accordance with Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, Borsa Italiana will delist the Issuer's ordinary shares from Euronext Milan with effect from the Trading Day following the day of payment of the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, except as indicated below in relation to the Joint Procedure referred to in Section A, Paragraph A.12, of the Offer Document.

Therefore, please note that, following the occurrence of the events indicated in the previous paragraph (Delisting), the holders of the Shares Subject to the Offer who have not accepted the Offer and who have not requested the Offeror to purchase, in execution of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the Shares Subject to the Offer held by them (without prejudice to the provisions of Section A, Paragraph A.12 below, of the Offer Document), will be holders of financial instruments not traded on any regulated market, with the consequent difficulty of liquidating their investment (without prejudice to the provisions of Section A, Paragraph A.7 above, of the Offer Document).

For further information, please refer to Section G, Paragraph G.3, of the Offer Document.

In addition, for further information provided to Mediobanca shareholders in relation to possible alternative scenarios regarding acceptance or non-acceptance of the Offer, please refer to Section A, Paragraph A.15 below, of the Offer Document.

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| | |
|:---|:---|
| **A.12.** | **Declaration by the Offeror regarding the fulfilment of the sell-out pursuant to Article 108, paragraph 1, of the TUF and the simultaneous squeeze-out pursuant to Article 111 of the TUF** |

---

If, following the Offer – as a result of the acceptances of the Offer and/or purchases made outside the Offer in accordance with applicable law during the Acceptance Period, as may be

extended in accordance with applicable law, and/or reopened, as well as during and/or in accordance with, the procedure for complying with Sell-Out pursuant to Article 108, paragraph 2, of the TUF – the Offeror comes to hold a total stake of 95% or more of the Issuer's share capital, the Offeror hereby declares its intention to exercise its right to purchase the remaining Shares Subject to the Offer pursuant to Article 111 of the TUF (the "**Squeeze-Out**").

In this case, the Offeror shall be obliged, pursuant to Article 108, paragraph 1, of the TUF, to purchase from anyone who so requests the Shares Subject to the Offer not tendered in acceptance of the Offer and/or not purchased by the Offeror during the Reopening of the Acceptance Period and/or not purchased by the Offeror during and/or in accordance with, the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF (the "**Sell-Out pursuant to Article 108, paragraph 1, of the TUF**").

Therefore, by exercising the Squeeze-Out, the Offeror will simultaneously fulfil the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, thus initiating a single procedure (the "**Joint Procedure**").

It should be noted that, for the purpose of calculating the thresholds provided for in Articles 108 and 111 of the TUF, the Treasury Shares held by the Issuer will be included in the Offeror's shareholding (numerator) without being deducted from the Issuer's share capital (denominator).

The consideration due for the Shares Subject to the Offer purchased following the exercise of the Squeeze-Out and the fulfilment of the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, in execution of the Joint Procedure, will be determined in accordance with the provisions of Article 108, paragraphs 3 or 4 and 5, of the TUF, as referred to in Article 111 of the TUF, as well as the provisions of Articles 50, 50-*bis* and 50*-ter* of the Issuers' Regulation as referred to in Article 50*-quater* of the Issuers' Regulation. Therefore:

&nbsp;&nbsp;&nbsp;&nbsp;(iii) if, following the Offer, the Offeror has acquired at least 90% of the voting share capital included in
the Offer, the consideration for the Shares Subject to the Offer acquired following the Joint Procedure will be identical to the Consideration
in accordance with the provisions of Articles 108, paragraphs 3 and 5, of the TUF. In this case, pursuant to Article 108, paragraph
5, of the TUF and Article 50 *-ter*, paragraph 1, letter a) of the Issuers' Regulation, the remaining shareholders of Mediobanca
may request to receive, as an alternative to the Consideration, the Full Cash Consideration determined pursuant to Article 50 *-ter*,
paragraph 1, letter a) of the Issuers' Regulation, valuing the MPS Shares on the basis of the weighted average of the official prices
recorded on the five Trading Days prior to the Payment Date; or

&nbsp;&nbsp;&nbsp;&nbsp;(iv) in all other cases, the consideration for the Shares Subject to the Offer purchased following the Joint
Procedure will be determined in the amount established by Consob in accordance with Article 108, paragraph 4, of the TUF and Articles
50 and 50- *bis* of the Issuers' Regulation. In this case, pursuant to Article 108, paragraph 5, of the TUF and Article 50 *-ter*,
paragraph 1, letter b) of the Issuers' Regulation, the remaining Mediobanca shareholders may request to receive, as an alternative
to the Consideration, the Full Cash Consideration.

The Offeror will announce whether or not the legal conditions for exercising the Squeeze-Out have been met and, therefore, for the execution of the Joint Procedure in the Communication

on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication on the Final Results of the Reopening of the Acceptance Period), or in the press release relating to the results of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF. In the event that the conditions for the execution of the Joint Procedure are met, the Communication on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication on the Final Results of the Reopening of the Acceptance Period), or the press release relating to the results of the procedure for fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, will contain information about (a) the number of remaining Shares Subject to the Offer (both in absolute terms and as a percentage), (b) the manner and timing with which the Offeror will exercise the Squeeze-Out and simultaneously fulfil the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, initiating the Joint Procedure, and (c) the manner and timing of the Delisting. Before initiating the Joint Procedure, the Offeror will publish a press release containing information on the determination of the relevant consideration, as well as the Full Cash Consideration.

The Offeror will initiate the Joint Procedure as soon as possible after the conclusion of the Offer or any procedure to fulfil the Sell-Out pursuant to Article 108, paragraph 2, of the TUF.

It should be noted that, following the occurrence of the conditions for the Squeeze-Out and the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, Borsa Italiana will suspend and/or revoke the listing of the Issuer's ordinary shares on Euronext Milan, taking into account the time required for the exercise of the Squeeze-Out.

For further information provided to Mediobanca shareholders in relation to possible alternative scenarios regarding acceptance or non-acceptance of the Offer, please refer to Section A, Paragraph A.15 below, of the Offer Document.

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| | |
|:---|:---|
| **A.13.** | **Possible shortage of the free float** |

---

Without prejudice to the provisions of Section A, Paragraphs A.11 and A.12, of the Offer Document, if, upon completion of the Offer, there is a shortage of free float such as to prevent the regular trading of the Issuer's ordinary shares, also in consideration of the possible continued presence in the Issuer's shareholding structure of shareholders with significant interest pursuant to applicable provisions, Borsa Italiana may suspend and/or revoke the listing of the Issuer's ordinary shares pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, unless the Offeror decides to restore a free float sufficient to ensure the regular course of trading.

In the event that such a shortage of free float should arise, the Offeror declares that it does not intend to take any measures, in terms of timing and methods, to restore the minimum free float conditions for a regular course of trading of the Issuer's ordinary shares, as there is no obligation to do so under applicable law. In the event of the delisting of the Issuer's ordinary shares (*i.e .*, Delisting pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations), the holders of Shares Subject to the Offer who have not accepted the Offer will hold financial instruments that are not traded on any regulated market, with the consequent difficulty of liquidating their investment.

For further information provided to Mediobanca shareholders in relation to possible alternative scenarios regarding acceptance or non-acceptance of the Offer, please refer to Section A, Paragraph A.15 below, of the Offer Document.

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| | |
|:---|:---|
| **A.14.** | **Potential conflicts of interest** |

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With regard to the relationship between the parties involved in the Offer, the following should be noted:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the Offeror and its subsidiaries, in the normal course of their business, have provided, are providing
or may provide in the future or on an ongoing basis lending, advisory, investment banking, corporate finance and/or investment services
to the parties directly or indirectly involved in the Transaction and/or their respective shareholders and/or their respective subsidiaries
and/or other companies operating in the same sector of activity, or may at any time hold short or long positions and, if permitted by
applicable law, negotiate or otherwise engage in transactions, on their own behalf or on behalf of their clients, in equity or debt instruments,
loans or other financial instruments (including derivative securities) of the Offeror, the Issuer or other parties involved in the Offer,
or companies controlling, controlled by or affiliated with the same;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Offeror, in the context of the Offer, together with Banca Akros, acts as the Intermediary Appointed
to Coordinate the Collection of Acceptances in connection with the Offer, but for these purposes will not receive any commission for the
service provided;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) Banca Akros acts, together with the Offeror, as the Intermediary Appointed to Coordinate the Collection
of Acceptances and, therefore, will receive commissions in relation to the services provided in the context of the Offer. In the course
of its business, Banca Akros, Banco BPM and the other companies of the Banco BPM Group provide and may provide in the future financial
advisory, corporate finance or investment banking services, as well as they grant and may grant in the future loans or provide various
services to the parties directly or indirectly involved in the Offer, including the Issuer, the companies belonging to the Group and/or
the shareholders of the Issuer and the Offeror and the companies belonging to its group. Furthermore, in their ordinary portfolio management,
trading, brokerage and financing business, Banca Akros and the other companies of the Banco BPM Group may, at any time, hold upward or
downward positions, financial instruments as pledges and trade or otherwise carry out, on their own behalf or on behalf of their customers,
investments in equity and/or debt securities listed on any regulated market and/or unlisted, or grant loans to companies that may be involved
in the Offer. It should be noted that, Banco BPM is a related party of the Offeror and currently holds a shareholding equal to 8.996%
of the Offeror's share capital, namely 5.004% held directly and 3.992% held through Anima Holding S.p.A., which is 89.949% controlled
by the Banco BPM Group;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) J.P. Morgan Securities plc ()"**J.P. Morgan** ")
is acting as Financial Advisor to the Offeror in relation to the Offer and will therefore receive fees in relation to the services provided
in connection with the Offer. In addition, J.P. Morgan and its parent companies, subsidiaries and affiliates, in the course of their ordinary
business, have provided, are providing and/or may provide in the future or on an ongoing basis lending, advisory, corporate finance and/or
investment services to the parties directly

or indirectly involved in the Offer and/or their respective shareholders and/or their respective subsidiaries and/or other companies operating in the same sector of activity or may at any time hold long/short positions and, if permitted by applicable law, negotiate or otherwise enter into transactions, on its own behalf or on behalf of their clients, in equity or debt instruments, loans or other financial instruments (including derivatives) of the Offeror, the Issuer, the parties directly or indirectly involved in the Offer and/or their respective shareholders and/or their respective subsidiaries and/or other companies operating in the same sector of activity. J.P. Morgan Securities plc is authorized and regulated in the United Kingdom by the Prudential Regulation Authority (PRA) and the Financial Conduct Authority, acts as financial advisor exclusively to the Offeror and no one else in connection with the Offer and will not consider any other person as a client in connection with the Offer and will not be liable to anyone other than the Offeror for providing the protections guaranteed to clients of J.P. Morgan and its affiliates or for providing advice in relation to the Offer to any transaction or arrangement referred to in this Offer Document;

&nbsp;&nbsp;&nbsp;&nbsp;(v) UBS Europe SE ()"**UBS** ")
is acting as Financial Advisor to the Offeror in relation to the Offer and will therefore receive fees in relation with the services provided
in connection with the Offer. The aforementioned Financial Advisor, UBS, as well as its parent companies, subsidiaries or affiliates,
may have provided, may provide and/or may provide in the future, in the ordinary course of their business, financial advisory, lending,
advisory, investment banking and corporate finance services and/or investment or other financial, banking or fiduciary services to the
Offeror, the Issuer and/or their respective shareholders and/or other persons directly or indirectly involved in the Offer, and/or their
respective parent companies, subsidiaries or affiliates, or may at any time hold short or long positions and, if permitted by applicable
law, trade or otherwise engage in transactions, on their own behalf or on behalf of their clients, in equity or debt instruments, loans
or other financial instruments (including derivative securities) of the Offeror, the Issuer or other entities directly or indirectly involved
in the Offer and/or their respective shareholders and/or their respective parent companies, subsidiaries or affiliates. UBS is authorized
and regulated by the *Bundesanstalt für Finanzdienstleistungaufsicht* (BaFin) and the European
Central Bank (ECB), acts exclusively for the Offeror and no one else in relation to the Offer and the matters referred to in this document,
will not consider any other person (whether or not a recipient of this document) as its client in relation to the Offer and will not be
liable to anyone other than the Offeror for providing the protections guaranteed to its clients or for providing advice in relation to
the Offer or any transaction or arrangement referred to in this Offer Document;

&nbsp;&nbsp;&nbsp;&nbsp;(vi) Jefferies GmbH ()"**Jefferies** ")
is acting as Financial Advisor to the Offeror in connection with the Offer and, as such, will receive fees in connection with the services
provided in connection with the Offer. The aforementioned Financial Advisor, Jefferies, as well as its parent companies, subsidiaries
or affiliates, may have provided, may provide and/or may provide in the future, in the ordinary course of their business, financial advisory,
lending, advisory, investment banking and corporate finance services and/or investment or other financial, banking or fiduciary services
to the Offeror, the Issuer and/or their respective shareholders and/or other persons directly or indirectly involved in the Offer, and/or
their respective parent companies, subsidiaries or

affiliates, or may at any time hold long or short positions and, if permitted by applicable law, trade or otherwise engage in transactions, on their own behalf or on behalf of their clients, in equity or debt instruments, loans or other financial instruments (including derivative securities) of the Offeror, the Issuer or other entities directly or indirectly involved in the Offer and/or their respective shareholders and/or their respective parent companies, subsidiaries or affiliates. Jefferies is authorized and regulated by the *Bundesanstalt für Finanzdienstleistungaufsicht* (BaFin), acts exclusively for the Offeror and no one else in relation to the Offer and the matters referred to in this document, will not consider any other person (whether or not a recipient of this document) as its client in relation to the Offer and will not be liable to anyone other than the Offeror for providing the protections guaranteed to its clients or for providing advice in relation to the Offer or any transaction or arrangement referred to in this Offer Document.

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| | |
|:---|:---|
| **A.15.** | **Possible alternative scenarios for Mediobanca shareholders** |

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Below are the possible alternative scenarios for the Issuer's shareholders in relation to the assumption that the Offer:

(i) is completed (a) as a result of the fulfilment of the Conditions of Effectiveness of the Offer, or
(b) if one or more Conditions of Effectiveness are not fulfilled, as a result of the Offeror's waiver of the same, distinguishing
between the case of acceptance of the Offer and the case of non-acceptance of the Offer; or

(ii) is not completed due to the non-fulfilment of one or more of the Conditions of Effectiveness of the Offer
without the Offeror having waived them.

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| | |
|:---|:---|
| **A.15.1.** | **Scenarios in case of completion of the Offer** |

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A.15.1.1. <u>Acceptance of the Offer</u>

If the Conditions of Effectiveness are met (or if the Offeror waives all or some of the Conditions of Effectiveness) and, therefore, the Offer is completed, the Issuer's shareholders who have accepted the Offer will receive the Consideration equal to No. 2.533 MPS Shares for each Share Subject to the Offer held by them and tendered in acceptance of the Offer, and will therefore become shareholders of MPS.

If the Offer is completed, the MPS Shares will be allocated to the Tendering Shareholders on the Payment Date (or, if the acceptance occurs during the Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law). For information regarding the possible unavailability of the MPS Shares offered as Consideration in the event of recourse to the ordinary procedure for the valuation of MPS Shares pursuant to Article 2343 of the Italian Civil Code, please refer to Section A, Paragraph A.5.3, of the Offer Document. For information on the treatment of fractions of MPS Shares resulting from the application of the Exchange Ratio, please refer to Section F, Paragraph F.6, of the Offer Document.

Mediobanca shareholders are also reminded that tendering their Mediobanca Shares in acceptance of the Offer, if the latter is completed, will result in an investment in MPS, which, like the Issuer, is a bank incorporated under Italian law with shares listed on Euronext Milan.

A.15.1.2. <u>Non-acceptance of the Offer</u>

If the Conditions of Effectiveness are met (or if the Offeror waives all or some of the Conditions of Effectiveness) and, therefore, the Offer is completed, the Issuer's shareholders who have not accepted the Offer will be faced with one of the possible scenarios described below, it being specified that the alternative scenarios described in items (A), (B) and (C) below may each occur in conjunction with scenario (D) described below.

&nbsp;&nbsp;&nbsp;&nbsp;*(A)* *<u>Achievement of a shareholding equal to or less than 90% of the Issuer's share capital</u>* 

If, upon completion of the Offer – as a result of the acceptances of the Offer and/or purchases of Shares Subject to the Offer potentially made outside the Offer pursuant to applicable law during the Acceptance Period, as may be extended pursuant to applicable law and/or reopened in the event of a Reopening of the Acceptance Period – the Offeror comes to hold a total shareholding equal to or less than 90% of the Issuer's share capital, where there is a shortage of free float such as to prevent the regular trading of the shares (also in consideration of the possible continued presence among the Issuer's shareholders of shareholders with significant shareholdings pursuant to applicable provisions), Borsa Italiana may suspend and/or revoke the listing of the Issuer's ordinary shares pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, unless the Offeror decides to restore a free float sufficient to ensure regular trading.

In the event that such a shortage of free float should arise, the Offeror reiterates that it does not intend to take any measures, in terms of timing and methods, to restore the minimum free float conditions for regular trading of the Issuer's ordinary shares, as there is no obligation to do so under applicable law. In the event of the delisting of the Issuer's ordinary shares (*i.e.*, in the event of Delisting pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations), the holders of such Shares Subject to the Offer who have not accepted the Offer will be holders of financial instruments not traded on any regulated market, with the consequent difficulty of liquidating their investment.

&nbsp;&nbsp;&nbsp;&nbsp;*(B)* *<u>Achievement of a shareholding of more than 90% but less than 95% of the Issuer's share capital</u>* 

If, upon completion of the Offer – as a result of acceptances of the Offer and/or purchases of Shares Subject to the Offer made outside the Offer in accordance with applicable law during the Acceptance Period, as extended in accordance with applicable law and/or reopened in the event of a Reopening of the Acceptance Period – the Offeror comes to hold a total stake of more than 90% but less than 95% of the Issuer's share capital, the Offeror, not wishing to restore a free float sufficient to ensure the regular trading of the shares, will be subject to the Sell-Out pursuant to Article 108, paragraph 2, of the TUF. In this case, therefore, the holders of Shares Subject to the Offer who have not accepted the Offer will be entitled to request the Offeror to purchase their Shares Subject to the Offer, pursuant to Article 108, paragraph 2, of the TUF, at the price determined pursuant to Article 108, paragraphs 3 or 4 and 5, of the TUF and Articles 50, 50-*bis* and 50*-ter* of the Issuers' Regulation (as applicable). For further information, please refer to Section A, Paragraph A.11, of the Offer Document.

Following the occurrence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, Borsa Italiana, pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, will arrange for the delisting of the Issuer's ordinary shares from Euronext Milan

with effect from the Trading Day following the payment date of the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, except as indicated in relation to the Joint Procedure referred to in point (C) below.

In this case, the holders of Shares Subject to the Offer who have not accepted the Offer and who have not requested the Offeror to purchase, in execution of the procedure for fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the Shares Subject to the Offer held by them (except as indicated in point (C) below), will be holders of financial instruments not traded on any regulated market, with the consequent difficulty of liquidating their investment.

&nbsp;&nbsp;&nbsp;&nbsp;*(C)* *<u>Achievement of a shareholding of at least 95% of the Issuer's ordinary share capital</u>* 

If, upon completion of the Offer – as a result of the acceptances of the Offer and/or purchases of Shares Subject to the Offer made outside the Offer in accordance with applicable law during the Acceptance Period, as extended pursuant to applicable law and/or reopened in the event of a Reopening of the Acceptance Period, as well as during and/or in accordance with, the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF – the Offeror comes to hold a total stake equal to or greater than 95% of the Issuer's share capital, the Offeror will initiate the Joint Procedure for the exercise of the Squeeze-Out and the fulfilment of the Sell-Out pursuant to Article 108, paragraph 1, of the TUF.

In this case, the holders of Shares Subject to the Offer who have not accepted the Offer will be obliged to transfer the ownership of the Shares Subject to the Offer held by them to the Offeror and, as a result, will receive for each Share Subject to the Offer hold by them, a consideration determined in accordance with the provisions of Article 108, paragraphs 3 or 4 and 5, of the TUF, as referred to in Article 111 of the TUF, as well as the provisions of Articles 50, 50-*bis* and 50*-ter* of the Issuers' Regulation as referred to in Article 50*-quater* of the Issuers' Regulation. For further information, please refer to Section A, Paragraph A.12, of this Offer Document.

Following the occurrence of the conditions for the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, and the Squeeze-Out, Borsa Italiana, pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, will order the suspension and/or revocation of the Issuer's ordinary shares from listing on Euronext Milan, taking into account the time required for the exercise of the Squeeze-Out.

&nbsp;&nbsp;&nbsp;&nbsp;*(D)* *<u>Transaction upon completion of the Offer</u>* 

With regard to the future plans drawn up by the Offeror in relation to the Issuer referred to in Section G, Paragraph G.2, of the Offer Document, it should be noted that, if the Offer is completed, the Offeror's objective is, among other things, to achieve the Delisting of the Issuer, promoting the objectives of integration, the creation of synergies and growth of the MPS Group, it being understood that, as of the Offer Document Date, the Offeror has not taken any decision regarding any future extraordinary transactions relating to the Issuer.

\*\*\*\*

For illustrative purposes only, the following table summarizes the main alternative scenarios for the Issuer's shareholders in the event that the Offer is completed.

The scenarios below are based, among other things, on certain assumptions regarding potential future events that may occur and potential actions that the Offeror may decide to take; there is no guarantee that such potential events will actually occur or that such potential actions will actually be taken. Accordingly, potential investors should not place undue reliance on the scenarios described below.

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|:---|:---|:---|
| &nbsp;&nbsp;**Outcome of the Offer** | &nbsp;&nbsp;**Acceptance of the Offer** | &nbsp;&nbsp;**Non-acceptance of the Offer** |
| &nbsp;&nbsp;Shareholding of the Offeror less than 66.67% of the share capital and waiver by the Offeror of the Threshold Condition (in the latter case, where the Offeror comes to hold a total shareholding in the Issuer's share capital equal to at least the threshold specified in the Minimum Threshold Condition) | &nbsp;&nbsp;Mediobanca shareholders will receive the Consideration (plus any Fractional Cash Amount) on the Payment Date or on the Payment Date of the Reopening of the Acceptance Period. | &nbsp;&nbsp;Maintenance of the listing of the Shares Subject to the Offer upon completion of the Offer, as reopened, except in the event of a shortage of free float such as to prevent the regular trading of the Issuer's ordinary shares. |
| &nbsp;&nbsp;Shareholding of the Offeror equal to at least 66.67% of the Issuer's share capital but equal to or less than 90% of the Issuer's share capital | &nbsp;&nbsp;Mediobanca shareholders will receive the Consideration (plus any Fractional Cash Amount) on the Payment Date or on the Payment Date of the Reopening of the Acceptance Period. | &nbsp;&nbsp;Maintenance of the listing of the Shares Subject to the Offer upon completion of the Offer, as reopened, except in the event of a shortage of free float such as to prevent the regular trading of the Issuer's ordinary shares |
| &nbsp;&nbsp;Shareholding of the Offeror greater than 90% of the Issuer's share capital pursuant to Article 108, paragraph 2, of the TUF but less than 95% of the Issuer's share capital pursuant to Articles 108, paragraph 1, and 111 of the TUF | &nbsp;&nbsp;Mediobanca shareholders will receive the Consideration (plus any Fractional Cash Amount) on the Payment Date. | &nbsp;&nbsp;Sell-Out pursuant to Article 108, paragraph 2, of the TUF with the consequent purchase of the Shares Subject to the Offer from Mediobanca shareholders who so request so at a price equal to (as applicable): |

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| | |
|:---|:---|
| &nbsp;&nbsp;(i) | <u>if the Offeror has acquired at least 90% of the voting share capital included in the Offer</u>: Consideration or, alternatively, Full Cash Consideration <sup>(\*)</sup>; |
| &nbsp;&nbsp;(ii) | <u>in other cases</u>: consideration determined by Consob or, alternatively, Full Cash Consideration determined by Consob. |
| &nbsp;&nbsp;Delisting of the Issuer. | &nbsp;&nbsp;Delisting of the Issuer. |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;Shareholding of at least 95% of the Issuer's share capital pursuant to Articles 108, paragraph 1, and 111 of the TUF | &nbsp;&nbsp;Mediobanca shareholders will receive the Consideration (plus any Fractional Cash Amount) on the Payment Date. | &nbsp;&nbsp;Joint Procedure resulting in the purchase of all the Shares Subject to the Offer owned by the Issuer's remaining minority shareholders for a consideration equal to (as applicable): |

---

(i) <u>if the Offeror has acquired at least 90% of the voting share capital included in the Offer</u>: Consideration or,

alternatively, Full Cash Consideration <sup>(\*)</sup>;

(ii) <u>in other cases</u>: consideration determined by Consob, or, alternatively, Full Cash Consideration determined by Consob.

    <u>Delisting of the Issuer.</u>

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| | |
|:---|:---|
| (\*) | In this case, the Full Cash Consideration will be determined by valuing the MPS Shares on the basis of the weighted average of the official prices recorded on the five Trading Days prior to the Consideration Payment Date of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure. |

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| | |
|:---|:---|
| **A.15.2** | **Scenarios in the event of failure of the Offer** |

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In the event of communication by the Offeror of its decision to invoke the non-fulfilment of one or more of the Conditions of Effectiveness, the Offer will not be completed and will be deemed to have failed.

In such a case, the Shares Subject to the Offer tendered in acceptance of the Offer will be returned, through the Depositary Intermediaries, to the respective Tendering Shareholders, without any charges or expenses being levied on them, by the first Trading Day following the Offeror's communication in which it will be disclosed, for the first time, the non-fulfilment of the Conditions of Effectiveness and the Offeror's failure to waive them, as specified in Section F, Paragraph F.8, of the Offer Document.

Therefore, in this case, the Shares Subject to the Offer would remain admitted to trading on Euronext Milan and the Issuer's shareholders would remain holders of financial instruments traded on a regulated market.

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| | |
|:---|:---|
| **A.16.** | **Rights of Mediobanca shareholders who tendered in acceptance of the Offer the Shares Subject to the Offer** |

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If the Conditions of Effectiveness are met (or if the Offeror waives all or some of the Conditions of Effectiveness) and, therefore, the Offer is completed, the Shares Subject to the Offer tendered in acceptance of the Offer will be transferred to the Offeror on the Payment Date (or, with reference to the Shares Subject to the Offer tendered during the possible Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law).

Until the Payment Date (or, with reference to the Shares Subject to the Offer tendered during the possible Reopening of the Acceptance Period, the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law), the Issuer's shareholders who tender their Shares Subject to the Offer will retain and be able to exercise the property and administrative rights deriving from the ownership of the Shares Subject to the Offer tendered in acceptance of the Offer, but may not transfer or dispose of any of such Shares Subject to the Offer tendered in acceptance of the Offer, except for acceptance of any competing offers or increased offers pursuant to Article 44 of the Issuers' Regulation.

For further information, please refer to Section F, Paragraphs F.2 and F.8, of the Offer Document.

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|:---|:---|
| **A.17.** | **The voluntary public exchange offer promoted by Mediobanca on Banca Generali S.p.A.** |

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On 28 April 2025, pursuant to and for the purposes of Article 102, paragraph 1, of the TUF, as well as Article 37 of the Issuers' Regulation, Mediobanca notified the market that on 27 April 2025 it had decided to promote the Mediobanca-Banca Generali Offer.

The Mediobanca-Banca Generali Offer therefore concerns all the shares issued by Banca Generali, including its treasury shares.

Mediobanca will pay – for each share of Banca Generali tendered in acceptance of the Mediobanca-Banca Generali Offer – the Mediobanca-Banca Generali Offer Consideration.

Considering the pending Offer, on 27 April 2025, Mediobanca's Board of Directors resolved, *inter alia*, to submit to the ordinary shareholders' meeting of Mediobanca – convened for 16 June 2025 – a proposal to approve the Mediobanca-Banca Generali Offer pursuant to and for the purposes of Article 104 of the TUF, which allows the shareholders' meeting to grant power to the Board of Directors in derogation from the provisions of that Article.

On 15 June 2025, Mediobanca's Board of Directors resolved to postpone the date of the ordinary Shareholders' Meeting for the approval of the Mediobanca-Banca Generali Offer, originally convened for 16 June 2025, in accordance with Article 104 of the TUF, to 25 September 2025. For further details, please refer to the press release made available to the market by Mediobanca on 15 June 2025.

It should be noted that – in the event that the Offer and the Mediobanca-Banca Generali Offer are completed – taking into account that the Mediobanca-Banca Generali Offer provides, as the Mediobanca-Banca Generali Offer Consideration, the allocation to the tendering shareholders of ordinary shares of Assicurazioni Generali held by Mediobanca in portfolio, depending on the scenarios of acceptance of the Mediobanca-Banca Generali Offer, Mediobanca could reduce (or even sell completely) its interest in Assicurazioni Generali held as of the Offer Document Date.

In terms of timing, based on the information provided by Mediobanca in the Mediobanca Communication 102 issued on the date of announcement of the Mediobanca-Banca Generali Offer and confirmed in the aforementioned press release published on 15 June 2025, the execution of this offer is expected to be completed by October 2025, therefore after the completion of the Offer, based on the information available as of the Offer Document Date.

As described in this Offer Document, the Offer promoted by MPS on Mediobanca is aimed at creating the third largest national banking operator in terms of total assets, customer loans, direct deposits and financial assets, leveraging Mediobanca's distinctive expertise in Wealth Management, Corporate & Investment Banking and Consumer Finance, and MPS' experience in Retail and Commercial Banking, areas characterized by strong complementarities.

Given the above objective, Mediobanca's interest in Assicurazioni Generali has always been considered a financial investment to be evaluated over time according to a risk/return approach. Following completion of the Transaction, this interest will reduce its weight on the overall profitability of the new group.

Therefore, since not all the terms of the Mediobanca-Banca Generali Offer have been disclosed to the market as of the Offer Document Date, also considering the postponement of Mediobanca's ordinary shareholders' meeting pursuant to Article 104 of the TUF, the Offeror reserves the right to fully evaluate the Mediobanca-Banca Generali Offer in light of all relevant information that will made available from time to time. It should also be noted that, while the Mediobanca-Banca Generali Offer would potentially appear to be consistent with the strategic rationale of the Offer, the information currently available to the Offeror is not sufficient to allow for a comprehensive analysis, given that Mediobanca's shareholders' meeting has been postponed due to the incomplete nature of the available information.

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| | |
|:---|:---|
| **A.18.** | **Issuer's Communication** |

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Pursuant to Article 103, paragraph 3, of the TUF and Article 39 of the Issuers' Regulation, the Issuer's Board of Directors is required to publish, by the Trading Day prior to the first day of the Acceptance Period, a press release containing all information necessary for the assessment of the Offer and its own assessment thereof (the "**Issuer's Communication**").

Pursuant to Article 103, paragraph 3-*bis*, of the TUF, the Issuer's Communication shall also contain an assessment of the effects that the success of the Offer will have on the interests of the company, as well as on employment and the location of production sites.

At the same time as its publication, the Issuer's Communication will be sent to the Issuer's workers' representatives, who, pursuant to Articles 103, paragraph 3-*bis*, of the TUF and 39 of the Issuers' Regulation, will have the right to publish an independent opinion on the impact of the Offer on employment.

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| | |
|:---|:---|
| **A.19.** | **Critical issues related to the national and international macroeconomic context** |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(A) TRADE PROTECTIONISM*

In a phase of relative slowdown in the global cycle and high uncertainty linked to the evolution of geopolitical tensions, the return to protectionist trade policies by the United States could have negative impacts on global growth in the medium term. The extension by the new U.S. administration of tariffs on imports from abroad and the consequent response from the economies affected by the tariffs could result in a "trade war" with negative impacts on international trade, jeopardizing the continuity of the global expansion cycle and the process of rebalancing international commodity prices, as well as fueling currency market volatility.

The Offeror, taking into account the current circumstances and considering the objectives of the Offer, believes that the reasons for the Offer are not directly affected by the possible implications of protectionist trade policies. Furthermore, the Offeror believes that the impact of this risk on MPS and Mediobanca is negligible, given the limited weight of the sectors most exposed to tariff risks, thus significantly reducing the potential vulnerability of the broader portfolio.

However, in light of the uncertainties surrounding the evolution of the aforementioned trade policies and the possibility that the extension of tariffs may also involve Italy among countries of the European Union (whose exports qualify the United States as one its main markets after Germany), as well as in light of the possible financial imbalances and/or recessionary effects that could result from the escalation of the tariff war, as of the Offer Document Date, no

significant impacts on the economic, equity and/or financial conditions of the Offeror and/or the Issuer and/or the MPS Group and/or the Mediobanca Group is expected at this time.

It should be noted that the Offer is subject to the MAE Condition referred to in Section A, Paragraph A.1.6, of the Offer Document.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(B) THE RUSSIAN – UKRAINIAN CONFLICT*

As of the Offer Document Date, the national and international macroeconomic environment is affected by the ongoing conflict between the Russian Federation and Ukraine and, therefore, there remains considerable uncertainty regarding the evolution and effects of the economic sanctions imposed on Russian economy.

The MPS Group, taking into account the current circumstances, believes that the Issuer's activities and the reasons for the Offer are not affected by the current context.

With regard to the Issuer's future management plans (as described in Section G, Paragraph G.2, of the Offer Document), the Offeror, considering the circumstances existing and reasonably foreseeable as of the Offer Document Date, does not expect any significant changes related to the impact of the Russian – Ukrainian Conflict.

Notwithstanding the above, in light of the uncertainties surrounding the evolution of the conflict between Russia and Ukraine, the possible tightening of the aforementioned sanctions and restrictive measures fueling volatility in the commodity markets and, with regard to relations between China and the United States, a possible escalation of political and military tensions and the possible financial crisis and/or economic recession that could result, as of the Offer Document Date, it is not possible to predict whether the occurrence of the above events may affect: (i) the Offer; and/or (ii) the economic, equity and/or financial situation of the Issuer.

It should be noted that the Offer is subject to the MAE Condition referred to in Section A, Paragraph A.1.6, of the Offer Document.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(C) THE ISRAELI* – *PALESTINIAN CONFLICT*

The Israeli – Palestinian conflict is a long-standing conflict involving territorial, political, religious and cultural issues, characterized by cyclical violence, tensions and disputes between Israelis and Palestinians in the territories that include Israel, the West Bank and the Gaza Strip. The conflict has had a significant impact on the macroeconomic environment, both locally and internationally, leading to regional political and economic instability with global consequences, affecting financial markets, commodity prices and international trade relations. The Offeror believes, in view of the objectives of the Offer, that the reasons for the Offer are not directly affected by the current geopolitical context. However, in light of the uncertainties surrounding the evolution of the abovementioned conflicts and a possible escalation of political and military tensions, as well as the possible financial crisis and/or economic recession that could result, as of the Offer Document Date, it is not possible to predict whether the occurrence of the above events may have an impact on the economic, equity and/or financial conditions of the Offeror and/or the Issuer.

It should be noted that the Offer is subject to the MAE Condition referred to in Section A, Paragraph A.1.6, of the Offer Document.

**B.** **PARTIES INVOLVED IN THE TRANSACTION** 

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| | |
|:---|:---|
| **B.1.** | **The Offeror** |

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| | |
|:---|:---|
| **B.1.1.** | **Name, legal form, registered office and trading market** |

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The Offeror's registered name is "Banca Monte dei Paschi di Siena S.p.A.".

The Offeror is a joint stock company incorporated under the laws of Italy, with registered office in Siena, Piazza Salimbeni No. 3, registered with the Companies' Register of Arezzo – Siena and tax code No. 00884060526.

The Offeror is also registered with the Register of Banks held by the Bank of Italy under number 5274, data processing code number 1030.6 and, as the parent company of the MPS Group, in the Register of Banking Groups with the parent company data processing code number 1030.6, as well as a member of the Interbank Deposit Protection Fund and the National Guarantee Fund.

The ordinary shares of the Offeror are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana.

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| | |
|:---|:---|
| **B.1.2.** | **Incorporation and lifetime** |

---

The Offeror was incorporated following the transfer of the banking business of Monte dei Paschi di Siena, a public law credit institution (approval decree of the Minister of the Treasury dated 8 August 1995, No. 721602), by deed executed before Notary Giovanni Ginanneschi of Siena on 14 August 1995 and supplementary deed executed before Notary Ginanneschi of Siena on 17 August 1995, deeds filed and registered with the Court of Siena on 23 August 1995 under No. 6679.

Pursuant to Article 5.1 of the Offeror's By-laws, the lifetime of the Offeror is set at 2100 and may be further extended by resolution of the Extraordinary Shareholders' Meeting.

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| | |
|:---|:---|
| **B.1.3.** | **Applicable law and jurisdiction** |

---

The Offeror is a joint stock company incorporated under Italian law and operates in accordance with Italian law.

The jurisdiction to settle disputes between the Offeror and its shareholders lies with the courts of the place where the Offeror has its registered office, in accordance with applicable legislation.

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| | |
|:---|:---|
| **B.1.4.** | **Corporate purpose** |

---

Pursuant to Article 3 of the Offeror's By-laws, MPS' corporate purpose is to collect savings and provide credit in its various forms in Italy and abroad, including all activities that the transferring Institution was authorized to carry out under laws or administrative provisions.

It may carry out, in compliance with applicable regulations, all permitted banking and financial transactions and services, establish and manage supplementary pension schemes, and carry out any other transaction instrumental or otherwise connected with the pursuit of its corporate purpose. It may also grant advances against pledges of valuable and commonly used items.

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| | |
|:---|:---|
| **B.1.5.** | **Share Capital** |

---

As of the Offer Document Date, the Offeror's subscribed and fully paid-up share capital amounts to Euro 7,453,450,788.44, divided into No. 1,259,689,706 ordinary shares with no nominal value.

The Offeror's shares are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana with ISIN code IT0005508921 and in dematerialised form pursuant to Article 83-*bis* of the TUF.

In the twelve months prior to the Offer Document Date, no significant transactions involving the Offeror's share capital were carried out or approved.

It should be noted that, as of the Offer Document Date, the Offeror has not issued any convertible, exchangeable or warrant-bearing debt instruments.

As of the Offer Document Date, the Offeror does not hold any treasury shares, either directly or indirectly.

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| | |
|:---|:---|
| **B.1.6.** | **Major shareholders** |

---

As of the Offer Document Date, based on the communications received pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I, of the Issuers' Regulation, on the findings of the shareholders' register, as well as on other information available to the Offeror, the shareholders holding a stake of the share capital or voting rights exceeding 3% of the ordinary share capital of the Offeror are indicated in the following table.

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Declarant or subject at the <br> top of the ownership chain** | &nbsp;&nbsp;**Direct shareholder** | &nbsp;&nbsp;**% of share capital and voting <br> rights** |
| &nbsp;&nbsp;Delfin S.A.R.L. | &nbsp;&nbsp;Delfin S.A.R.L. | &nbsp;&nbsp;9.780% (\*) |
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;5.004% |
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;Anima Holding S.p.A. | &nbsp;&nbsp;3.992% |
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**8.996%** |
| &nbsp;&nbsp;Ministero dell'Economia e delle Finanze | &nbsp;&nbsp;Ministero dell'Economia e delle Finanze | &nbsp;&nbsp;11.731% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Ausonia S.r.l. | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Esperia 15 S.r.l. | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;MK 87 S.r.l. | &nbsp;&nbsp;0.040% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Istituto Finanziario 2012 S.p.A. | &nbsp;&nbsp;0.556% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Gamma S.r.l. | &nbsp;&nbsp;0.992% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Azufin S.p.A. | &nbsp;&nbsp;1.191% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;VM 2006 S.r.l. | &nbsp;&nbsp;1.746% |

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| | |
|:---|:---|
| &nbsp;&nbsp;Mantegna 87 S.r.l. | &nbsp;&nbsp;0.103% |
| &nbsp;&nbsp;Calt 2004 S.r.l. | &nbsp;&nbsp;0.127% |
| &nbsp;&nbsp;Finanziaria Italia 2005 S.r.l. | &nbsp;&nbsp;0.159% |
| &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**5.026% (\*)** |

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(\*) Please note that, based on the communications made to the Offeror by the depositary intermediaries for the purpose of exercising voting rights at the ordinary and extraordinary Shareholders' Meeting of MPS held on 17 April 2025, the shareholder Delfin S.A.R.L. has notified that, as on that date, it holds shares with voting rights equal to 9.866% of the Offeror's share capital, and the shareholder Mr. Francesco Gaetano Caltagirone has notified that he holds shares with voting rights equal to 9.963% of the Offeror's share capital.

The percentages shown in the table above, as published on the Consob website and resulting from the communications made by shareholders pursuant to Article 120 of the TUF, may not be up to date and/or consistent with the data processed and published by other sources (including the Offeror's website), in the event that subsequent changes in shareholdings have not triggered any shareholders' disclosure obligations.

As of the Offer Document Date, the Offeror has only issued ordinary shares and no shares conferring special voting rights or other rights, other than ordinary shares, have been issued.

As of the Offer Document Date, and to the best of the Offeror's knowledge, no entity exercises control over the Offeror pursuant to Article 93 of the TUF.

As of the Offer Document Date, and to the best of the Offeror's knowledge, there are no shareholders' agreements concerning the Offeror that are relevant pursuant to Article 122 of the TUF.

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| | |
|:---|:---|
| **B.1.7.** | **Management and control bodies** |

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The Offeror has adopted the traditional management and control system.

***Board of Directors of the Offeror***

Pursuant to Article 15 of the Offeror's By-laws, the Offeror's Board of Directors is composed of a number of directors ranging from a minimum of 9 to a maximum of 15 members, appointed by the shareholders' meeting, which determines the number from time to time. The Board of Directors is appointed on the basis of lists submitted by the shareholders in accordance with the procedures specified in Article 15 of the By-laws and the provisions of law, regulations and the Corporate Governance Code in force at the time, including the rules on gender balance.

The directors shall remain in office for three financial years and shall expire on the date of the shareholders' meeting of the Offeror called to approve the financial statements for the last financial year of their term of office. Members of the Board of Directors may be re-elected for a maximum of two consecutive terms following the first, with the exception of the Chief Executive Officer/Chief Executive Officers, to whom the limitations on the maximum number of terms do not apply.

The Board of Directors of the Offeror in office as of the Offer Document Date is composed of 15 members:

&nbsp;&nbsp;&nbsp;&nbsp;(i) 9 of whom were elected by the ordinary shareholders' meeting of the Offeror held on 20
 April 2023, for the renewal of the entire Board of Directors, namely Mr. Nicola Maione, Mr. Gianluca Brancadoro,
 Mr. Luigi Lovaglio, Mrs. Alessandra Giuseppina Barzaghi, Mrs. Paola De Martini, Mr. Stefano Di Stefano,
 Mr. Domenico Lombardi, Mrs. Paola Lucantoni, Mr. Renato Sala,

&nbsp;&nbsp;&nbsp;&nbsp;(ii) 1 appointed by the shareholders' meeting on 11 April 2024, namely, Mr. Raffaele Oriani,
to replace the resigning director, and

&nbsp;&nbsp;&nbsp;&nbsp;(iii) 5 appointed by the ordinary shareholders' meeting of the Offeror held on 17 April 2025 following
their previous appointment by co-optation, pursuant to Article 2386 of the Italian Civil Code, resolved by the Board of Directors
on 27 December 2024, namely Mr. Alessandro Caltagirone, Mrs. Elena De Simone, Mrs. Marcella Panucci, Mrs. Francesca
Paramico Renzulli and Mrs. Barbara Tadolini, following the resignation of directors Mr. Paolo Fabris de Fabris, Mrs. Lucia
Foti Belligambi, Mrs. Laura Martiniello, Mrs. Annapaola Negri-Clementi and Mrs. Donatella Visconti, tendered on 17 December 2024.

The directors will remain in office for a period of three financial years from the start of their term of office and, therefore, until the approval of the financial statements for the year ending 31 December 2025.

The following table shows the composition of the Offeror's Board of Directors as of the Offer Document Date:

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Name and surname** | &nbsp;&nbsp;**Position held** | &nbsp;&nbsp;**End of current term of office** |
| &nbsp;&nbsp;Nicola Maione | &nbsp;&nbsp; Chairman –<br> Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Gianluca Brancadoro | &nbsp;&nbsp;Vice-Chairman – Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Luigi Lovaglio | &nbsp;&nbsp;Chief Executive Officer – General Manager | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Alessandra Giuseppina Barzaghi | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Alessandro Caltagirone | &nbsp;&nbsp;Director | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Paola De Martini | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Elena De Simone | &nbsp;&nbsp;Director | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Stefano Di Stefano | &nbsp;&nbsp;Director | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;Domenico Lombardi | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Paola Lucantoni | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements |
| &nbsp;&nbsp;Raffaele Oriani | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Marcella Panucci | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Francesca Paramico Renzulli | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Renato Sala | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Barbara Tadolini | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |

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(\*) Independent director pursuant to the combined provisions of the By-laws, Ministerial Decree 169/2020, the TUF and the Corporate Governance Code.

The directors are domiciled for the purposes of their office at the address listed in the Companies' Register of Arezzo – Siena.

To the best of the Offeror's knowledge, as of the Offer Document Date, none of the members of the Offeror's Board of Directors hold offices or positions with the Issuer or other companies of the Mediobanca Group or hold shares and/or other economic interests in the Issuer and/or companies of the Mediobanca Group.

***Internal committees of the Offeror's Board of Directors***

Pursuant to Article 17.4 of the Offeror's By-laws, and in compliance with the provisions of law, the Offeror's Board of Directors has set up the following internal committees, which have advisory and consultative functions provided for by the Corporate Governance Code, the regulations on related parties transactions and the Supervisory Provisions of the Bank of Italy, and are composed of between three (3) and five (5) non-executive directors:

(a) <u>Remuneration Committee</u>: performs the duties set out in the Corporate Governance Code, the Supervisory Provisions of the Bank of Italy, and the By-laws. In particular: (i) it submits proposals to the Board of Directors for the remuneration of the chief executive officers and other directors holding specific positions, as well as the General Manager, monitoring the implementation of the decisions adopted by the Board; (ii) it periodically assesses the criteria adopted for the remuneration of executives with strategic responsibilities, monitors their application and makes general recommendations to the Board of Directors on the matter. The Remuneration Committee also performs the additional duties assigned to it by current legislation and by the Board of Directors.

As of the Offer Document Date, the Remuneration Committee is composed of the following members: Mr. Gianluca Brancadoro (Chairman), Mr. Alessandro Caltagirone, Mrs. Elena De Simone, Mrs. Marcella Panucci and Mr. Renato Sala.

<u>(b)</u> <u>Risk and Sustainability Committee</u>: performs the duties required
by applicable legislation, supporting the Board of Directors in matters relating to risk governance and management and the internal control
system, in matters relating to sustainability and for the approval of periodic financial and non-financial reports. In particular, it
assists the Board of Directors: (i) in carrying out tasks relating to the definition of guidelines for the internal control and risk
management system, assessing their adequacy, effectiveness and actual functioning, and approving policies and processes for evaluating
the company's activities; (ii) in assessments and decisions on sustainability, in the analysis of issues relevant to long-term
value creation, in evaluating the suitability of periodic financial and non-financial information to accurately represent the Company's
business model, strategies, the impact of its activities and the performance achieved; (iii) for the approval of periodic financial
and non-financial reports. As of the Offer Document Date, the Committee is composed of the following members: Mrs. Alessandra Giuseppina
Barzaghi (Chair), Mr. Stefano Di Stefano, Mr. Domenico Lombardi, Mrs. Paola Lucantoni and Mrs. Barbara Tadolini.

<u>(c)</u> <u>Nominations Committee</u>: whose duties are (i) to
 support the Board of Directors in the appointment of directors, proposing candidates for the position of director in the case
 provided for in Article 2386, first paragraph, of the Italian Civil Code; (ii) to support the Board of Directors in the
 self-assessment and verification of the existence of the requirements and compliance with the suitability criteria, as well as
 defining succession plans for top management positions; (iii) submitting proposals to the Board of Directors for the
 appointment of the Chief Executive Officer. The Nominations Committee also performs the additional duties assigned to it by
 applicable legislation and by the Board of Directors. As of the Offer Document Date, the Committee is composed of the following
 members: Mr. Domenico Lombardi (Chairman), Mr. Renato Sala, Mr. Alessandro Caltagirone, Mrs. Paola De Martini,
 and Mrs. Francesca Paramico Renzulli.

<u>(d)</u> <u>Committee for Related Parties Transactions</u>: performs advisory
functions on transactions with related parties and associated entities, providing support to the Board of Directors and other competent
decision-making functions and/or bodies, and is composed exclusively of independent directors. As of the Offer Document Date, the Committee
is composed of the following members: Mrs. Marcella Panucci (Chair), Mr. Domenico Lombardi, Mr. Raffaele Oriani, Mr. Renato
Sala and Mrs. Barbara Tadolini.

<u>(e)</u> <u>IT and Digitalisation Committee</u>: established on a voluntary
basis by the Board of Directors of MPS, performs advisory, investigative and support functions for the Board of Directors with regard
to issues and strategies relating to information technology and the digital sector in accordance with statutory, corporate governance,
regulatory and supervisory provisions (including Bank of Italy Circular No. 285/2013 and subsequent amendments, Part I, Title
IV, Chapter 4). As of the Offer Document Date, the Committee consists of the following members: Mr. Raffaele Oriani (Chairman), Mrs. Alessandra
Giuseppina Barzaghi, Mrs. Elena De Simone, Mrs. Paola Lucantoni and Mrs. Francesca Paramico Renzulli.

***Board of Statutory Auditors of the Offeror***

Article 25 of the Offeror's By-laws provides that the Board of Statutory Auditors shall consist of three standing auditors and two alternate auditors.

The Board of Statutory Auditors of the Offeror in office as of the Offer Document Date was appointed on 20 April 2023 (with the exception of Giacomo Granata and Paola Lucia Isabella Giordano, appointed on 11 April 2024) and will expire on the date of the Offeror's Shareholders' Meeting called to approve the financial statements for the year ending 31 December 2025.

The following table shows the composition of the Offeror's Board of Statutory Auditors as of the Offer Document Date:

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Name and surname** | &nbsp;&nbsp;**Position held** | &nbsp;&nbsp;**End of current term of office** |
| &nbsp;&nbsp;Enrico Ciai | &nbsp;&nbsp;Chairman of the Board of Statutory Auditors | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Lavinia Linguanti | &nbsp;&nbsp; Standing Statutory<br> Auditor | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Giacomo Granata | &nbsp;&nbsp; Standing Statutory<br> Auditor | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Pierpaolo Cotone | &nbsp;&nbsp; Alternate Statutory<br> Auditor | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Paola Lucia Isabella Giordano | &nbsp;&nbsp; Alternate Statutory<br> Auditor | &nbsp;&nbsp; Shareholders' meeting called to approve the financial statements as of 31 December 2025 |

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To the best of the Offeror's knowledge, as of the Offer Document Date, none of the members of the Offeror's Board of Statutory Auditors hold positions or have economic interests in the Issuer or companies of the Mediobanca Group.

***Entity responsible for statutory audit***

The ordinary shareholders' meeting of the Offeror held on 11 April 2019 appointed the auditing firm PricewaterhouseCoopers S.p.A., with registered office in Milan, Piazza Tre Torri No. 2, as independent auditor for the financial years 2020-2028, until the date of the shareholders' meeting called to approve the financial statements for the financial year ending 31 December 2028.

**B.1.8. Activities of the Offeror and brief description of the MPS Group**

The Offeror is authorized by the Bank of Italy to carry out the banking business in accordance with Italian law.

MPS carries out the banking business through the collection of savings and the granting of credit in various forms, mainly in Italy, both directly and through subsidiaries. To this end, it may, in compliance with the provisions in force and after obtaining the necessary authorizations, carry out, either directly or through subsidiaries, all banking and financial transactions and services, set up and manage supplementary pension schemes, and carry out any other activity permitted to credit institutions, including the issue of bonds and the granting of loans governed by special laws, instrumental and in any case connected with the pursuit of the corporate purpose.

The Offeror is the parent company of the MPS Group and, in addition to the banking business, performs the functions of guidance, governance and unified control over the financial and instrumental subsidiaries.

In particular, the Offeror, as the parent bank, exercises – pursuant to Article 61, paragraph 4, of the TUB – the management and coordination of the companies belonging to the MPS Group, issuing specific provisions for this purpose, including for the execution of instructions issued by the supervisory authorities and in the interest of the stability of the MPS Group.

MPS is the company heading the banking group conventionally known as the Montepaschi Group.

MPS is listed on the regulated market Euronext Milan organized and managed by Borsa Italiana S.p.A., with registered office in Piazza Salimbeni 3, Siena.

The Montepaschi Group's activities are mainly focused on traditional retail and commercial banking services, primarily for family customers and small and medium-sized enterprises. The Montepaschi Group is also directly active in business areas such as factoring and corporate finance, including specialized activities such as structured finance.

The Montepaschi Group also operates through a strategic partnership with AXA in the bancassurance sector, in the life, non-life and supplementary pension fields, while its asset management business consists of offering investment products from independent third parties, including, in particular, Anima Holding S.p.A.

The Montepaschi Group integrates traditional business models and operates through its network of branches and specialist centers, with an innovative system of digital and self-service services, enhanced by the expertise of the network of financial advisors of Widiba (an online bank part of the Montepaschi Group).

The Montepaschi Group's foreign operations focus on supporting the internationalization processes of corporate customers.

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Company** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Activities** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_montedei1472.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Banca Monte dei Paschi di Siena operates in various segments of the banking and financial sector, from traditional banking, including factoring products, to special-purpose loans, asset management, bancassurance and investment banking. The Bank performs management, coordination and control functions over the companies of the Group, within the general guidelines established by the Board of Directors in accordance with the instructions provided by the Bank of Italy in the interest of the stability of the Banking Group. |

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_ex99-2sp1img002.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Monte Paschi Fiduciaria offers its services to private individuals and companies seeking the highest levels of confidentiality in relation to their interests and business through the use of fiduciary mandates. In addition, Montepaschi Fiduciaria can also act as a trust company for the management of the assets of a trustee or guardian. |

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_ex99-2sp1img003.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Widiba (WIse-DIalog-Bank) is the Group's bank that integrates a self-service offering with the expertise of the MPS network of financial advisors. |

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| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_ex99-2sp1img004.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Monte Paschi Banque S.A. is the Group's bank that supports the trade and investments of Italian companies abroad. In June 2025, MPS entered into a binding agreement for the sale of its subsidiary Monte Paschi Banque S.A. to a private equity fund. |

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In addition to the above, there are companies operating in the agricultural sector, both in wine production and agri-food, with a real estate component for agritourism and accommodation activities (MPS Tenimenti Poggio Bonelli and Chigi Saracini Società Agricola S.p.A.) and food storage and warehousing services for third parties (Magazzini Generali Fiduciari di Mantova S.p.A.).

Intercompany relations are managed on the basis of a "Group Operating Regulation" that governs and coordinates the activities of the MPS Group and ensures the achievement of results through defined rules and clear mechanisms for the allocation of management responsibilities, in compliance with the instructions issued by the supervisory authorities in the interest of the stability of the MPS Group.

Intercompany transactions mainly concern financial support provided by the Parent Company to other companies, mostly in the form of deposits and outsourcing services relating to ancillary activities provided by the Parent Company (administrative services and property management).

The following chart shows the MPS Group as of the Offer Document Date.

![](tm2519575d43_fwpimg008.jpg)

**B.1.9. Accounting Standards**

The Offeror's financial statements, including those for the year ended 31 December 2024 (the latest financial statements approved and available on the Offeror's website, <u>www.gruppomps.it/en</u>), are governed by the provisions of Legislative Decree No. 38 of 28 February 2005 and Bank of Italy Circular No. 262 of 22 December 2005, as well as prepared in accordance with the international accounting standards IAS/IFRS applicable at the end of the relevant financial years, as recognized by the European Community pursuant to Regulation

(EC) No. 1606/2002 of the European Parliament and of the Council of 19 July 2002, and the related interpretations of the International Financial Reporting Interpretations Committee (IFRIC).

**B.1.10. Consolidated financial information**

The consolidated financial statements of the MPS Group, including those for the year ended 31 December 2024 (the last financial statements approved and available on the Offeror's website, <u>www.gruppomps.it/en</u>), are governed by the provisions of Legislative Decree No. 38 of 28 February 2005 and the Bank of Italy Circular No. 262 of 22 December 2005, as well as prepared in accordance with the accounting standards IAS/IFRS applicable at the end of the relevant reporting periods, as recognized by the European Commission pursuant to Regulation (EC) No. 1606/2002 of the European Parliament and of the Council of 19 July 2002, and the related interpretations of the International Financial Reporting Interpretations Committee (IFRIC).

**B.1.11. Recent trend**

<u>Reclassified consolidated balance sheet</u>

**(millions of Euros)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified consolidated balance sheet – Assets** | **31 12 2024** | **31 12 2023** | **Variations** | **Variations %** |
| Cash and cash equivalents | 14030 | 14317 | (287) | -2.0% |
| Loans to central banks | 565 | 527 | 39 | 7.3% |
| Loans to banks | 2068 | 2582 | (514) | -19.9% |
| Loans to customers | 77310 | 76816 | 494 | 0.6% |
| Securities assets | 17447 | 17277 | 171 | 1.0% |
| Derivatives | 2406 | 2776 | (370) | -13.3% |
| Equity investments | 672 | 727 | (54) | -7.5% |
| Property, plant and equipment/Intangible assets | 2298 | 2483 | (185) | -7.5% |
| of which: goodwill | 8 | 8 |  | 0.0% |
| Tax assets | 2538 | 2151 | 387 | 18.0% |
| Other assets | 3267 | 2958 | 308 | 10.4% |
| **Total assets** | **122602** | **122614** | **(12)** | **0.0%** |

---

**(millions of Euros)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified consolidated balance sheet – Liabilities and Net Equity** | **31 12 2024** | **31 12 2023** | **Variations** | **Variations %** |
| Direct funding | 93972 | 90639 | 3333 | 3.7% |
| &nbsp;&nbsp;&nbsp;a) Due to Customers | 84049 | 80558 | 3491 | 4.3% |
| &nbsp;&nbsp;&nbsp;b) Securities issued | 9923 | 10081 | (158) | -1.6% |
| Due to central banks | 8511 | 13148 | (4637) | -35.3% |
| Due to banks | 1301 | 1351 | (50) | -3.7% |
| On-balance-sheet financial liabilities held for trading | 1618 | 1823 | (205) | -11.3% |
| Derivatives | 1346 | 1362 | (16) | -1.1% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Provisions for specific use | 1007 | 1050 | (44) | -4.2% |
| &nbsp;&nbsp;&nbsp;a) Provision for staff severance indemnities | 72 | 72 | 0 | 0.6% |
| &nbsp;&nbsp;&nbsp;b) Provision related to guarantees and other commitments given | 150 | 154 | (4) | -2.9% |
| &nbsp;&nbsp;&nbsp;c) Pension and other post-retirement benefit obligations | 3 | 3 | (0) | -2.9% |
| &nbsp;&nbsp;&nbsp;d) Other provisions | 781 | 821 | (40) | -4.8% |
| Tax liabilities | 7 | 9 | (2) | -27.5% |
| Other liabilities | 3191 | 3252 | (61) | -1.9% |
| Group net equity | 11649 | 9979 | 1670 | 16.7% |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 60 | 28 | 32 | *n.s.* |
| &nbsp;&nbsp;&nbsp;d) Reserves | 2184 | 445 | 1739 | *n.s.* |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7454 | 7454 |  | 0.0% |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the year | 1951 | 2052 | (101) | -4.9% |
| Non-controlling interests | 0 | 1 | (0) | -57.1% |
| **Total Liabilities and Shareholders' Equity** | **122602** | **122614** | **(12)** | **0.0%** |

---

<u>Reclassified consolidated income statement</u>

**(millions of Euros)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified consolidated income statement** | **31 12 2024** | **31 12 2023** | **Variations** | **Variations %** |
| Net interest income | 2356 | 2292 | 64 | 2.8% |
| Net fee and commission income | 1465 | 1322 | 143 | 10.8% |
| **Income from banking activities** | **3821** | **3614** | **207** | **5.7%** |
| Dividends, similar income and gains (losses) on investments | 93 | 107 | (14) | -13.4% |
| Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases | 115 | 67 | 48 | 71.2% |
| Net profit (loss) from hedging | (1) | (4) | 3 | -77.3% |
| Other operating income (expenses) | 6 | 13 | (7) | -55.5% |
| **Total Revenues** | **4034** | **3797** | **237** | **6.2%** |
| Administrative expenses: | (1698) | (1667) | (31) | 1.8% |
| &nbsp;&nbsp;&nbsp;a) personnel expenses | (1229) | (1180) | (49) | 4.2% |
| &nbsp;&nbsp;&nbsp;b) other administrative expenses | (469) | (488) | 19 | -3.8% |
| Net value adjustments to property, plant and equipment and intangible assets | (171) | (176) | 4 | -2.5% |
| **Operating Expenses** | **(1869)** | **(1843)** | **(26)** | **1.4%** |
| **Pre-Provision Operating Profit** | **2165** | **1954** | **211** | **10.8%** |
| **Cost of customer credit** | **(410)** | **(440)** | **31** | **-7.0%** |
| **Net impairment (losses)/reversals on securities and loans to banks** | **(7)** | **(3)** | **(4)** | **n.s.** |
| **Net operating income** | **1748** | **1511** | **238** | **15.7%** |
| Other net provisions for risks and charges | (68) | 471 | (540) | n.s. |
| Other gains (losses) on equity investments | (1) | (3) | 2 | -66.7% |
| Restructuring costs/One-off costs | (72) | (23) | (49) | n.s. |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Risks and charges related to SRF, DGS and similar schemes | (78) | (134) | 56 | -42.0% |
| DTA Fee | (61) | (63) | 2 | -2.5% |
| Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | (27) | (53) | 26 | -48.4% |
| Gains (losses) on disposal of investments | 4 | 0 | 3 | n.s. |
| **Profit (Loss) for the year before tax** | **1445** | **1707** | **(262)** | **-15.4%** |
| Income tax for the year | 506 | 345 | 161 | 46.7% |
| **Profit (Loss) after tax** | **1951** | **2052** | **(101)** | **-4.9%** |
| **Profit (Loss) for the period** | **1951** | **2052** | **(101)** | **-4.9%** |
| Net profit (loss) attributable to non-controlling interests | (0) | (0) |  | 0.0% |
| **Parent company's net profit (loss) for the year** | **1951** | **2052** | **(101)** | **-4.9%** |

---

**<u>Balance sheet aggregates</u>**

Below are details of the most significant balance sheet items as of 31 December 2024, compared with the figures as of 31 December 2023.

<u>Loans to Customers</u>

Loans to customers amounted to Euro 77.3 billion as of 31 December 2024, showing an increase compared with the previous year (Euro +0.5 billion). Among the various technical forms, this trend was particularly influenced by the increase in repurchase agreements (Euro +0.8 billion) and other loans (Euro +0.8 billion), partly offset by a slowdown in demand for mortgages and current accounts (Euro –1.2 billion).

<u>Credit quality</u>

Non-performing loans to Customers, net of value adjustments, amounted to Euro 1.9 billion as of 31 December 2024, slightly increased compared to the previous year (Euro 1.8 billion as of 31 December 2023) and representing approximately 2.4% of total loans to customers (2.3% as of 31 December 2023).

As of 31 December 2024, the coverage ratio for impaired loans stood at 48.5%, showing a decrease compared to 49.1% in the previous year, mainly due to the deconsolidation of a portfolio of loans with above-average coverage levels in the last quarter of 2024. This trend was mainly influenced by the decline in the coverage of non-performing loans, which fell from 68.1% to 66.5%, while the coverage ratios for probable Defaults and past due impaired Loans increased from 37.6% to 38.8% and from 21.7% to 26.2%, respectively.

<u>Total funding</u>

Total funding as of 31 December 2024 amounted to Euro 197.2 billion, showing an increase of Euro 9.7 billion (+5.2%) compared to 31 December 2023, mainly concentrated in the indirect funding segment (Euro +6.4 billion) and to a lesser extent, in the direct funding segment (Euro +3.3 billion). The positive trend in indirect deposits was mainly due to growth in savings under administration (Euro +3.4 billion) and, to a lesser extent, growth in savings under management (Euro +3.0 billion), fueled by a positive market effect. The trend in direct deposits was mainly linked to an increase in the aggregate of current accounts (Euro +1.7 billion), term deposits (Euro +1.2 billion) and repurchase agreements and other forms of direct deposits (Euro +0.5 billion). The bond portfolio declined slightly (Euro –0.2 billion).

<u>Net interbank position</u>

As of 31 December 2024, the Group's net interbank position stood at approximately Euro 6.1 billion in loans, significantly higher than Euro 2.2 billion as of 31 December 2023. This change is mainly attributable to the evolution of relations with central Banks; the trend in 2024 was characterized by the maturity of TLTRO tranches amounting to Euro 5.5 billion and access to MRO and LTRO auctions for approximately Euro 1.0 billion.

<u>Securities assets</u>

Securities assets amounted to Euro 17.4 billion as of 31 December 2024, substantially stable compared to the balance as of 31 December 2023 (Euro 17.3 billion). The aggregate amount consists of: debt securities measured at amortized cost for approximately Euro 11 billion, financial assets held for trading for approximately Euro 3.8 billion, financial assets mandatorily measured at fair value for Euro 0.3 billion and, lastly, financial assets measured at fair value with an impact on overall profitability for Euro 2.3 billion.

<u>Net equity</u>

The Group's total net equity as of 31 December 2024 amounted to Euro 11.6 billion, of which Euro 0.3 million attributable to non-controlling interests. Compared to 31 December 2023, total equity increased by approximately Euro 1.7 billion, mainly due to the profit earned in the 2024 financial year, amounting to Euro 1.9 billion, partially offset by the distribution, in May 2024, of the dividend on 2023 profits, amounting to Euro 0.3 billion.

**<u>Economic aggregates</u>**

Below are details of the most significant economic items as of 31 December 2024, compared with the figures as of 31 December 2023.

<u>Net interest income</u>

The net interest income amounted to Euro 2,356 million, showing an increase of 2.8% on the comparative figure (Euro +64.0 million). The growth was mainly driven by the higher contribution from relations with central banks (Euro +0.2 billion compared to 31 December 2023), hedging derivatives (Euro +0.1 billion compared to 31 December 2023) and the securities portfolio (Euro +0.07 billion compared to 31 December 2023). In particular, a net profit of Euro 143 million was recorded in relationships with central banks; in the previous year, a net cost of Euro 70 million was recorded. This was mainly due to the net position with the ECB, which went from an average liability of Euro 1.5 billion in 2023 to an average asset of Euro 4.9 billion in 2024. The above positive developments more than offset the higher cost of bond issuances, mainly due to renewed recourse to the institutional market, and higher interest rates on customer deposits, especially in the first half of 2024.

<u>Net fee and commission income</u>

Net fee and commission income amounted to Euro 1,465 million, showing an increase compared to the previous year (+10.8%). The positive trend was mainly attributable to management/brokerage and advisory activities (+19.0%) and, to a lesser extent, commercial banking (+4.1%). In detail, in the first commission area, the contribution of distribution and portfolio management increased (+30.1%, equal to Euro +109.7 million) and insurance products (+8.5%, equal to Euro +16.3 million). In commercial banking, commissions on guarantees (Euro +28.9 million) and other net commissions (Euro +12.4 million) performed

well, partly offset by current accounts (Euro –16.4 million) in relation to the Bank's reduction in account maintenance fees charged to customers, and by ATM and credit card services (Euro –10.1 million).

<u>Other income from financial operations</u>

Other income from financial operations, amounting to Euro 207 million, increased by 21.6% compared to the previous year. This was mainly due to the growth in trading income, thanks to the contribution of business volumes from transactions with institutional and corporate customers, market making activities and a favourable market environment.

<u>Operating Expenses</u>

Operating Expenses amounted to Euro 1,869 million, showing an increase compared to 31 December 2023 (+1.4%) due to the impact of the renewal of the national collective labour agreement on personnel expenses, partially offset by the continued optimization of Other Administrative Expenses (–3.8% compared to 2023). In particular, within the aggregate, Personnel Expenses, amounting to Euro 1,229 million, were higher than in the previous year (+4.2%), following the higher costs resulting from the renewal of the National Collective Labor Agreement for bank employees in November 2023. Other Administrative Expenses, amounting to Euro 469 million, were down compared to 31 December 2023 (–3.8%), thanks in part to the implementation of a rigorous expenditure control process and a focus on cost optimization measures. Net Adjustments to losses on tangible and intangible assets, amounting to Euro 171 million, decreased by 2.5% compared to the previous year.

<u>Cost of Consumer Credit</u>

The Cost of Customer Credit amounted to Euro 410 million, showing a decrease from Euro 440 million in the previous year. As of 31 December 2024, the Provisioning Ratio, expressed as the ratio of annualized Customer Credit Cost to the sum of Customer Loans and the value of securities resulting from the sale/securitization of non-performing loans, was 53 bps, resulting in an improvement compared to 57 bps as of 31 December 2023.

<u>Net operating income</u>

Net Operating Income as of 31 December 2024 amounted to Euro 1,748 million, showing a sharp increase compared to Euro 1,511 million recorded as of 31 December 2023.

<u>Non-operating items</u>

The above economic aggregates are supplemented by non-operating items, which amounted to Euro -304 million as of 31 December 2024 (Euro +196 million in the 2023 financial year). The main non-operating items are illustrated below:

- Other net Provisions for risks and charges, amounting to Euro –68 million as of 31 December 2024, compared with Euro +471 million as of 31 December 2023, almost entirely attributable to the improvement in the risk profile of the litigation relating to the financial information disclosed in the period 2015-2018, following the positive rulings in the last quarter of 2023;

- Other gains/losses on equity investments, amounting to Euro –1.0 million (Euro –3.0 million as of 31 December 2023);

Restructuring Costs/one-off Costs, amounting to Euro –72 million (Euro –23 million as of 31 December 2023); this item also includes the discounting effect of charges related to exits through early retirement or access to the Solidarity Fund and the expected impact of the disposal of the subsidiary MP Banque, the latter for an amount of Euro –36 million;

costs related to SRF, DGS and similar schemes, amounting to Euro –78 million (Euro – 134 million as of 31 December 2023); the aggregate includes the 2024 portion of the contribution recognised to the Deposit Guarantee Fund for Italian banks (DGS); the portion of the newly established Life Insurance Guarantee Fund, amounting to Euro – 2.0 million, payable by the Group's policy distribution companies, is also included. As of 31 December 2023, an additional charge of Euro –59 million had been recorded as a contribution to the Single Resolution Fund (SRF) not due for the 2024 financial year;

- DTA Fee, amounting to Euro –61 million (Euro –63 million as of 31 December 2023);

Result of the fair value measurement of tangible and intangible assets, amounting to Euro –27 million (Euro –53 million as of 31 December 2023) following the update of property evaluations;

- Gains/losses on disposal of investments, amounting to Euro +4 million (Euro +0.4 million as of 31 December 2023), mainly attributable to the completion of the sale of certain properties in the fourth quarter of 2024.

As a result of these trends, combined with the positive impact of Income taxes of Euro 506 million (compared to a positive contribution of Euro 345 million as of 31 December 2023), the Group recorded a Profit for the period attributable to the Parent Company of Euro 1,951 million, compared to a profit of Euro 2,052 million in the same period of 2023.

*<u>Own funds and supervisory ratios</u>*

With the issuance of the SREP Decision 2023 in December 2023, the ECB requested that, starting from 1 January 2024, a TSCR of 10.75% be maintained on a consolidated basis which includes a minimum Pillar 1 requirement of 8% and an additional Pillar 2 requirement (P1R) of 2.75%, of which at least 56.25% must be met with CET1 and 75% with Tier 1.

With regard to the Pillar II Capital Guidance (P2G), the ECB expects the Parent Company to comply on a consolidated basis with a requirement of 1.15%, to be met entirely with Common Equity Tier 1 capital in addition to the overall capital requirement (OCR).

Finally, it should be noted that, as of 1 January 2019, the Capital Conservation Buffer (CCB) is equal to 2.5%, and that, starting from 1 January 2024, the Group is no longer required to comply with the O-SII Buffer, as it has not been identified by the Bank of Italy as a nationally significant institution authorized in Italy for the years 2024 and 2025. Furthermore, starting from 31 December 2024, the Group must comply with the Systemic Risk Buffer (SyRB), equal to 1% of credit and counterparty risk-weighted exposures to Italian residents, which must be achieved gradually by establishing a reserve equal to 0.5% of relevant exposures by 31 December 2024 and the remaining 0.5% by 30 June 2025.

Consequently, the Group must comply with the following requirements at consolidated level as of 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• 8.93% CET1 Ratio;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· 10.95% Tier 1 Ratio;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· 13.64% Total Capital Ratio.

The CET1 ratio as of 31 December 2024 was determined taking into account the profit for the year, for the portion attributable to equity, amounting to Euro 867 million, following, for the purposes of its calculation, the procedure set out in Article 3 of Decision (EU) 656/2015 of the European Central Bank of 4 February 2015 and Article 26, paragraph 2, of Regulation (EU No. 575/2013 CRR).

**(millions of Euros)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31 12 2024** | **31 12 2023** | **Variations** | **Variations %** |
| **Own Funds** |  |  |  |  |
| Common Equity tier 1 (CET1) | 8847 | 8727 | 120 | 1.4% |
| Tier 1 (T1) | 8847 | 8727 | 120 | 1.4% |
| Tier 2 (T2) | 1112 | 1680 | (568) | -33.8% |
| **Total capital (TC)** | **9959** | **10407** | **(448)** | **-4.3%** |
| **Total risk-weighted assets (RWA)** | **48390** | **48099** | **291** | **0.6%** |
| **Capital ratios** |  |  |  |  |
| CET1 Capital ratio | 18.28% | 18.14% | 0.14% |  |
| Tier1 Capital ratio | 18.28% | 18.14% | 0.14% |  |
| Total Capital ratio | 20.58% | 21.64% | -1.06% |  |

---

*<u>MPS balance sheet and income statement as of 31 December 2024</u>*

***Consolidated balance sheet of MPS as of 31 December 2024 and 2023***

The latest statutory audit report on the financial statements of the MPS Group and Banca MPS was issued by the independent auditor PricewaterhouseCoopers S.p.A. on 24 March 2025, with reference to the consolidated financial statements of the Group and the separate financial statements of the parent company for the year ended 31 December 2024. The independent auditor issued an audit opinion without reservations or inquiries.

The consolidated financial statements as of 31 December 2024 are shown below, compared with the figures as of 31 December 2023.

It should be noted that, the consolidated economic values have been restated with respect to those published as of the reference date, due to the reclassification – starting from the second half of 2024 – of the subsidiary MP Banque SA as "discontinued operations" in accordance with IFRS 5.

**(millions of Euros)**

---

| | | |
|:---|:---|:---|
| **Asset items** | **31 December 2024** | **31 December 2023** |
| 10. Cash and cash equivalents | 13249 | 14317 |
| 20. Financial assets measured at fair value through profit or loss | 6533 | 6252 |
| a) financial assets held for trading | 6077 | 5883 |
| c) other financial assets mandatorily measured at fair value | 456 | 369 |
| 30. Financial assets measured at fair value through other comprehensive income | 2337 | 2477 |
| 40. Financial assets measured at amortised cost | 90526 | 90544 |
| a) Loans to banks | 3366 | 3791 |
| b) Loans to customers | 87160 | 86753 |
| 50. Hedging derivatives | 94 | 704 |
| 60. Change in value of macro-hedged financial assets (+/-) | (411) | (561) |
| 70. Equity investments | 672 | 727 |
| 90. Property, plant and equipment | 2109 | 2229 |
| 100. Intangible assets | 156 | 178 |
| 110. Tax assets | 2537 | 2151 |
| a) current | 104 | 308 |
| b) deferred | 2433 | 1843 |
| 120. Non-current assets held for sale and disposal groups | 1129 | 76 |
| 130. Other assets | 3671 | 3520 |
| **Total assets** | **122602** | **122614** |

---

**(millions of Euros)**

---

| | | |
|:---|:---|:---|
| **Total Liabilities and Shareholders' Equity** | **31 December 2024** | **31 December 2023** |
| 10. Financial liabilities measured at amortised cost | 102751 | 105027 |
| a) due to banks | 9811 | 14499 |
| b) due to customers | 82632 | 80422 |
| c) debts securities issued | 10308 | 10106 |
| 20. Financial liabilities held for trading | 2606 | 2855 |
| 30. Financial liabilities designated at fair value | 120 | 111 |
| 40. Hedging derivatives | 358 | 330 |
| 50. Change in value of macro-hedged financial liabilities (+/-) | (1) | (16) |
| 60. Tax liabilities | 6 | 9 |
| a) current | 1 | 4 |
| b) deferred | 5 | 5 |

---

---

| | | |
|:---|:---|:---|
| 70. Liabilities associated with non-current assets held for sale and discontinued operations | 977 |  |
| 80. Other liabilities | 3132 | 3269 |
| 90. Provision for employees severance pay | 70 | 72 |
| 100. Provisions for risks and charges: | 934 | 978 |
| a) financial guarantees and other commitments | 150 | 154 |
| b) post-employment benefits | 3 | 3 |
| c) other provisions | 781 | 821 |
| 120. Valuation reserves | 61 | 28 |
| 150. Reserves | 2184 | 445 |
| 170. Share Capital | 7453 | 7453 |
| 190. Non-controlling interests (+/-) |  | 1 |
| 200. Profit (loss) (+/-) | 1951 | 2052 |
| **Total Liabilities and Shareholders' Equity** | **122602** | **122614** |

---

***Consolidated income statement of MPS for the financial years ended 31 December 2024 and 2023***

**(millions of Euros)**

---

| | | |
|:---|:---|:---|
| **Consolidated income statement** | **31 December 2024** | **31 December 2023** |
| 10. Interest income and similar revenues | 4678 | 4329 |
| of which interest income calculated applying the effective interest rate method | 3845 | 3619 |
| 20. Interest expense and similar charges | (2357) | (2070) |
| **30. Net interest income** | **2321** | **2259** |
| 40. Fee and commission income | 1688 | 1546 |
| 50. Fee and commission expense | (233) | (230) |
| **60. Net fee and commission income** | **1455** | **1316** |
| 70. Dividends and similar income | 23 | 26 |
| 80. Net profit (loss) from trading | 128 | 55 |
| 90. Net profit (loss) from hedging | (1) | (4) |
| 100. Gains/(losses) on disposal/repurchase of: | (9) | 10 |
| a) financial assets measured at amortised cost | (8) | 9 |
| b) financial assets measured at fair value through other comprehensive income | 0 | 1 |
| c) financial liabilities | (1) | 1 |
| 110. Net profit (loss) from financial assets and liabilities measured at fair value through profit or loss | (10) | 6 |
| a) financial assets and liabilities designated at fair value | 1 | (3) |
| b) other financial assets mandatorily measured at fair value | (11) | 9 |
| **120. Net interest and other banking income** | **3907** | **3668** |

---

---

| | | |
|:---|:---|:---|
| 130. Net impairment (losses)/reversals for credit risk on: | (407) | (419) |
| a) financial assets measured at amortised cost | (406) | (419) |
| b) financial assets measured at fair value through other comprehensive income | (1) |  |
| 140. Modification gains/(losses) | (10) | (7) |
| **150. Net income from banking activities** | **3490** | **3242** |
| **180. Net income form banking and insurance activities** | **3490** | **3242** |
| 190. Administrative expenses: | (2073) | (2066) |
| a) personnel expenses | (1247) | (1182) |
| b) other administrative expenses: | (826) | (884) |
| 200. Net provisions for risks and charges | (64) | 452 |
| a) commitments and guarantees issued | 4 | (15) |
| b) other net provisions | (68) | 467 |
| 210. Net adjustments to/recoveries on property, plant and equipment | (101) | (106) |
| 220. Net adjustments to/recoveries on intangible assets | (68) | (67) |
| 230. Other operating income/expenses | 231 | 216 |
| **240. Operating expenses** | **(2075)** | **(1571)** |
| 250. Gains (losses) on investments | 74 | 84 |
| 260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | (27) | (53) |
| 280. Gains (losses) on disposal of investments | 3 | 0 |
| **290. Profit (loss) before tax from continuing operations** | **1465** | **1702** |
| 300. Tax (expense)/recovery on income from continuing operations | 508 | 345 |
| **310. Profit (loss) after tax from continuing operations** | **1973** | **2047** |
| 320. Profit (loss) after tax from discontinued operations | (22) | 4 |
| **330. Profit (loss) for the year** | **1951** | **2052** |
| 340. Net Profit (loss) attributable to non-controlling interests |  |  |
| **350. Parent company's net profit (loss) for the year** | **1951** | **2052** |

---

---

| | | |
|:---|:---|:---|
|  | **31 December 2024** | **31 December 2023** |
| **Basic Earnings per Share (Basic EPS)** | **1.549** | **1.629** |
| of continuing operations | 1.566 | 1.625 |
| of groups of assets held for sale and discontinued operations | -0.017 | 0.003 |
| **Diluted Earnings per Share (Diluted EPS)** | **1.549** | **1.629** |
| of continuing operations | 1.566 | 1.625 |
| of groups of assets held for sale and discontinued operations | -0.017 | 0.003 |

---

***Consolidated cash flow statement of MPS for the years ended 31 December 2024 and 2023***

**(millions of Euros)**

---

| | | |
|:---|:---|:---|
|  | **31 December 2024** | **31 December 2023** |
| **A. OPERATING ACTIVITIES** | | |
| **1. Cash flow from operations** | **2019** | **1872** |
| - Profit (loss) (+/-) for the year | 1951 | 2052 |
| - Capital gains/losses on financial assets held for trading and on assets/liabilities designated at fair value (+/-) | (140) | (120) |
| - Net gains (losses) on hedging activities | 1 | 4 |
| - Net impairment losses/reversals | 563 | 583 |
| - Net adjustments/recoveries on property, plant and equipment and intangible assets (+/-) | 197 | 229 |
| - Net provisions for risks and charges and other costs/revenues (+/-) | 72 | (443) |
| - Unpaid charges, taxes and tax credit | (508) | (345) |
| - Net adjustments to/recoveries on discontinued operations, after tax (+/-) | 6 |  |
| - Other adjustments | (123) | (88) |
| **2. Cash flow from (used in) financial assets** | **(994)** | **(526)** |
| - Financial assets held for trading | (44) | 567 |
| - Other financial assets mandatorily measured at fair value | (100) | 90 |
| - Financial assets measured at fair value through other comprehensive income | 126 | 2282 |
| - Financial assets measured at amortised cost | (827) | (2810) |
| - Other assets | (149) | (656) |
| **3. Cash flow from (used in) financial liabilities** | **(1817)** | **429** |
| - Financial liabilities measured at amortised cost | (1451) | 1626 |
| - Financial liabilities held for trading | (248) | (1163) |
| - Financial liabilities designated at fair value | 5 | 7 |
| - Other liabilities | (123) | (40) |
| **- Net cash flow from (used in) operating activities** | **(792)** | **1774** |
| **B. INVESTMENT ACTIVITIES** |  |  |
| **1. Cash flow from** | **107** | **118** |
| - Dividends collected on equity investments | 35 | 116 |
| - Sales of property, plant and equipment | 72 | 2 |
| **2. Cash flow used in** | **(68)** | **(111)** |
| - Purchase of property, plant and equipment | (31) | (28) |
| - Purchase of intangible assets | (37) | (83) |
| **Net cash flow from (used in) investment activities** | **39** | **7** |
| **C. FUNDING ACTIVITIES** |  |  |
| - Issue/purchase of treasury shares |  | (3) |
| - Dividend distribution and other | (315) |  |
| **Net cash flow from (used in) funding activities** | **(315)** | **(3)** |

---

---

| | | |
|:---|:---|:---|
| **NET CASH FLOW FROM (USED IN) OPERATING, INVESTMENT AND FUNDING ACTIVITIES during the year** | **(1068** | **1779** |

---

**(millions of Euros)**

---

| | | |
|:---|:---|:---|
| **Reconciliation** | **31 December 2024** | **31 December 2023** |
| **Accounts** | | |
| - Cash and cash equivalents at beginning of the year | 14317 | 12538 |
| - Net increase (decrease) in cash and cash equivalents | (1068) | 1779 |
| - Cash and cash equivalents at end of the year | 13249 | 14317 |

---

***Statement of changes in consolidated net equity of MPS for the year ended 31 December 2024***

**(millions of Euros)**

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | Change during the year | Change during the year | Change during the year | Change during the year | Change during the year | Change during the year | Change during the year | Change during the year | | | | |
|  | | | | Allocation of profit from prior year | Allocation of profit from prior year | | Shareholders' equity transactions | Shareholders' equity transactions | Shareholders' equity transactions | Shareholders' equity transactions | Shareholders' equity transactions | Shareholders' equity transactions | Shareholders' equity transactions | | | | |
|  | <br>Balances as at 31 12 2023 | <br>Change in opening balances | <br>Balances as at 01 01 2024 | Reserves | Dividends and other payout | <br>Change on reserves\ | Issue of new shares | Purchase of treasury shares | Extraordinary distribution of dividends | Change in equity instruments | Treasury share derivatives | Stock options | Change in equity Investments | <br>Total comprehensive income as at 31 12 2024  | <br>Total net equity as of 31 12 2024 | <br>Group' s net equity as at 31 12 2024 | <br>Third-parties' net equity as at 31 12 2024 |
| Share capital: | 7454 |  | 7454 |  |  |  |  |  |  |  |  |  |  |  | 7454 | 7454 | 1 |
| a) ordinary shares | 7454 |  | 7454 |  |  |  |  |  |  |  |  |  |  |  | 7454 | 7454 |  |
| b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Reserves: | 444 |  | 444 | 1737 |  | 2 |  |  |  |  |  |  |  |  | 2183 | 2184 | (1) |
| a) from profit | 576 |  | 576 | 1609 |  | 1 |  |  |  |  |  |  |  |  | 2186 | 2187 | (1) |
| b) other | (132) |  | (132) | 128 |  | 1 |  |  |  |  |  |  |  |  | (3) | (3) |  |
| Valuation reserves | 29 |  | 29 |  |  |  |  |  |  |  |  |  |  | 32 | 62 | 60 | 1 |
| Profit (Loss) | 2052 |  | 2052 | (1737) | (315) |  |  |  |  |  |  |  |  | 1951 | 1951 | 1951 |  |
| Total net equity | 9979 |  | 9979 |  | (315) | 2 |  |  |  |  |  |  |  | 1983 | 11649 | 11649 |  |
| Group's net equity | 9978 |  | 9978 |  | (315) | 2 |  |  |  |  |  |  |  | 1983 | 11649 | 11649 | X |
| Third-parties' net equity | 1 |  | 1 |  |  |  |  |  |  |  |  |  |  |  |  | X |  |

---

***Relationships with related parties***

Transactions with related parties are part of normal business operations and were settled at normal market conditions.

The following tables summarize the MPS Group's financial position and results for the years ended 31 December 2024 and 31 December 2023 arising from transactions with related parties:

(millions of Euros)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 |
| BALANCE SHEET | Joint<br> venture | Associated<br> companies | Executives with <br>strategic<br> responsibility | Other related<br> parties | MEF<br> Scope | Total | % of FS<br> items | % of FS<br> items |
| Financial assets held for trading |  | 3 |  |  | 3172 | 3176 |  | 52.3% |
| Other financial assets mandatorily measured at fair value |  |  |  |  | 16 | 16 | 3.4 | 3.4% |
| Financial assets measured at fair value through other comprehensive income |  |  |  |  | 1484 | 1484 | 63.5 | 63.5% |
| Loans to banks at amortized cost |  |  |  |  | 66 | 66 | 1.9 | 1.9% |
| Lonas to banks measured at amortised cost | 42 | 63 | 2 | 0 | 9719 | 9826 | 11.3 | 11.3% |
| Other assets |  |  |  |  | 1845 | 1845 | 50.3 | 50.3% |
| **Total Assets** | **42** | **66** | **2** | **0** | **16302** | **16412** |  |  |
| Financial liabilities measured at amortised cost | 5 | 61 | 3 | 33 | 2643 | 2745 | 2.7 | 2.7% |
| Financial liabilities held for trading |  | 2 |  |  | 83 | 85 | 3.2 | 3.2% |
| Other liabilities |  | 1 |  |  | 2 | 3 | 0.1 | 0.1% |
| **Total Liabilities** | **5** | **64** | **3** | **33** | **2728** | **2833** |  |  |
| Guaranties issued and Commitments | 41 | 26 | -0 |  | 1695 | 1762 | n.a | n.a |

---

(millions of Euros)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 | As of 31 December 2024 |
| INCOME STATEMENT | Joint<br> venture | Associated<br> companies | Executives with<br> strategic<br> responsibility | Other related<br> parties | MEF<br> Scope | Total | % of FS<br> items |
| Interest income and similar revenues | 2 | 3 |  |  | 430 | 435 | 9.2% |
| Interest costs and similar charges |  |  |  | (4) | (67) | (71) | 3.0% |
| Fee and commission income |  | 200 |  |  | 289 | 489 | 29.0% |
| Fee and commission expense |  |  |  |  | (16) | (16) | 1.9% |
| Net profit (loss) from financial assets and liabilities measured at fair value through other comprehensive income |  |  |  |  | (12) | (12) | n.s |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Net adjustments/impairments | (28) |  |  | 5 | (23) | 5.7 |
| Dividends |  |  |  | 8 | 8 | 34.9% |
| Operating costs |  | (2) | (10) | (20) | (32) | 1.5% |

---

(millions of Euros)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 |
| BALANCE SHEET | Joint<br> venture | Associated<br> companies | Executives with strategic <br>responsibility | Other <br> related <br> parties | MEF<br> Scope | Total | % of FS<br> items |
| Financial assets held for trading |  | 31 |  |  | 3063 | 3094 | 52.6% |
| Other financial assets mandatorily measured at fair value |  |  |  |  | 28 | 28 | 7.7% |
| Financial assets measured at fair value through other comprehensive income |  |  |  |  | 1689 | 1689 | 68.2% |
| Loans to banks at amortized cost |  |  |  |  | 14 | 14 | 0.4% |
| Lonas to banks measured at amortised cost | 61 | 62 | 2 | 1 | 8992 | 9119 | 10.5% |
| Other assets |  |  |  |  | 1675 | 1675 | 47.6% |
| **Total Assets** | **61** | **93** | **2** | **1** | **15461** | **15619** |  |
| Financial liabilities measured at amortised cost | 2 | 51 | 2 | 116 | 2584 | 2755 | 2.6% |
| Financial liabilities held for trading |  | 34 |  |  | 1878 | 1912 | 66.9% |
| Other liabilities |  | 15 |  |  | 19 | 34 | 1.0% |
| **Total Liabilities** | **2** | **100** | **2** | **116** | **4482** | **4701** |  |
| Guaranties issued and Commitments | 14 | 26 |  |  | 1950 | 1990 | n.a |

---

(millions of Euros)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 | As of 31 December 2023 |  |
| INCOME STATEMENT | Joint<br> venture | Associated<br> companies | Executives with strategic responsibility | Other <br> related <br> parties | MEF<br> Scope | Total | % of FS<br> items |
| Interest income and similar revenues | 4 | 3 |  |  | 298 | 3305 | 6.9% |
| Interest costs and similar charges |  | (1) |  | (3) | (59) | (63) | 3.0% |
| Fee and commission income |  | 185 |  |  | 205 | 390 | 29.0% |
| Fee and commission expense |  |  |  |  | (18) | (18) | 7.9% |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Net profit (loss) from financial assets and liabilities measured at fair value through other comprehensive income |  |  | (1) | (1) | 18.1% |
| Net adjustments/impairments |  |  | (4) | (4) | 1.0% |
| Dividends |  |  |  |  |  |
| Operating costs | (3) | (8) | (22) | (33) | 2.0% |

---

**B.2.** **Issuer of the financial instruments subject to the Offer**

**B.2.1. Name, legal form, registered office and trading market**

The Issuer's registered name is "MEDIOBANCA – Banca di Credito Finanziario Società per Azioni".

Mediobanca is a joint stock company incorporated under the laws of Italy, with registered office in Milan, Piazzetta Enrico Cuccia No. 1, tax code and Companies' Register of Milan-Monza-Brianza-Lodi No. 00714490158.

The Issuer is also registered with the Register of Banks held by the Bank of Italy under No. 4753, with data processing code No. 10631 and, as the parent company of the Mediobanca Group, in the Register of Banking Groups with parent company data processing code No. 10631, as well as a member of the Interbank Deposit Protection Fund and the National Guarantee Fund.

The Issuer's ordinary shares are listed on Euronext Milan, a regulated market organised and managed by Borsa Italiana.

**B.2.2. Share Capital**

As of the Offer Document Date, the Issuer's share capital amounts to Euro 444,680,575.00, fully subscribed and paid-in, divided into No. 833,279,689 ordinary shares with no nominal value.

It should be noted that, based on publicly available documentation, and in particular the ordinary company's registration report extracted on 27 January 2025 from the Companies' Register of Milan-Monza-Brianza-Lodi, the Issuer's authorized share capital amounts to Euro 524,568,377.00.

The Issuer's Shares are admitted to trading on Euronext Milan, a regulated market organised and managed by Borsa Italiana with ISIN code IT0000062957 and in dematerialised form pursuant to Article 83-*bis* of the TUF.

Based on the information provided by Mediobanca, the Issuer holds, as of the Offer Document Date, No. 26,914,597 Treasury Shares, equal to 3.2% of the Issuer's share capital as of the Offer Document Date.

As of the Offer Document Date, and to the best of the Offeror's knowledge, the Issuer has not issued any shares other than ordinary shares nor bonds convertible into shares.

As of the Offer Document Date, the Offeror directly holds No. 31,996 Issuer's shares, representing 0.004% of the Issuer's share capital as of the Offer Document Date. It should be noted that this calculation does not include Mediobanca Shares held by investment funds and/or other collective investment undertakings managed by companies of the MPS Group in full autonomy from the latter and in the interests of their clients.

*<u>Delegations to the Board of Directors</u>*

As of the Offer Document Date, based on publicly available documentation and pursuant to Article 4.3 of the Issuer's By-laws, the Issuer's shareholders' meeting has resolved to grant the following delegations to the Issuer's Board of Directors:

(i) on 24 November 2020, the Issuer's shareholders' meeting
granted the Issuer's Board of<br>
Directors the power, pursuant to Article 2443 of the Italian Civil Code, to increase the share capital, against payment and/or free
of charge, in one or more tranches, by 28 October 2025, for a maximum amount of Euro 100 million, including through warrants, by
issuing a maximum of No. 200 million ordinary shares, to be offered as an option or assigned to those entitled and, consequently,
the power to determine, from time to time, the issue price of the shares, including the share premium and dividend rights, as well as
the possible allocation of the shares issued in service of warrants and the power, pursuant to Article 2420 *-ter* of
the Italian Civil Code, to issue, in one or more tranches, by 28 October 2025, bonds convertible into ordinary shares and/or warrant
bonds, for a maximum amount of Euro 2 billion, to be offered as an option to eligible shareholders, it being understood that the exercise
of the aforementioned delegations may not in any way result in the issue of a total number of shares exceeding 200 million (the "**2020 Delegation** ");

(ii) on 24 November 2020, the Issuer's shareholders' meeting granted the Issuer's Board
of Directors the power, pursuant to Article 2443 of the Italian Civil Code, to increase the share capital against payment, in one
or more tranches, by 28 October 2025, for a maximum amount of Euro 40 million, including through warrants, by issuing a maximum of
No. 80 million ordinary shares, to be reserved for subscription by Italian and foreign professional investors, with the exclusion
of the option right, pursuant to and in compliance with the provisions of Article 2441, paragraph 4, second sentence, of the Italian
Civil Code, in accordance with the procedure and conditions set forth therein;

(iii) on 28 October 2023, the Issuer's shareholders' meeting granted the Issuer's Board
of Directors the power, pursuant to Article 2443 of the Italian Civil Code, to resolve, in one or more tranches, by 28 October 2028,
to increase the share capital free of charge, pursuant to Article 2349 of the Italian Civil Code, of a maximum of No. 3 million
ordinary shares, to be allocated to employees of the Mediobanca Group who are beneficiaries of the 2023-2026 Long-Term Incentive Plan.
If the above delegation is exercised, the share capital will be increased by an amount equal to the implied nominal value of the shares
issued at the time of the exercise of the delegation (the "**2023-2026 LTI Delegation** ");

(iv) on 28 October 2023, the Issuer's shareholders' meeting granted the Issuer's Board
of Directors the power, pursuant to Article 2443 of the Italian Civil Code, to resolve, in one or more tranches, by 28 October 2028,
to increase the share capital free of charge, pursuant to Article 2349 of the Italian Civil Code, of a maximum of No. 1 million
ordinary

shares, to be allocated to employees of the Mediobanca Group in execution of the "2023-2026 Share Ownership and Co-investment Plan". If the above delegation is exercised, the share capital will be increased by an amount equal to the implied nominal value of the shares issued at the time of the exercise of the delegation (the "**2023-2026 ESOP Delegation**").

*<u>Incentive Plans</u>*

As part of the equity instruments to be used for the remuneration of employees, Mediobanca has adopted various incentive plans involving financial instruments, with the twofold objective of complying with banking regulations requiring the payment of a portion of variable remuneration in equity instruments over a multi-year period, subject to performance conditions, and aligning the interests of Mediobanca's management with those of shareholders in the creation of medium/long-term value.

In particular, Mediobanca has adopted both "performance share" plans, which provide for the free allocation of Mediobanca shares under certain conditions at the end of a vesting and/or holding period, and long-term incentive plans ("LTI – long term incentive") linked to the achievement of the objectives of the strategic plan.

The beneficiaries of the incentive plans are identified as those employees who, based on the regulations and remuneration policies of the Mediobanca Group, are entitled to receive a variable portion of their remuneration in equity instruments, included in the scope of "key personnel" or otherwise considered significant for the achievement of the Mediobanca Group's strategic objectives, as well as those who have regular access to inside information directly or indirectly concerning the issuer and who have the power to take management decisions that may affect its future development and prospects, *i.e.*, the "strategic executives" referred to in Article 3 of EU Regulation 596/2014, as periodically identified by the Board of Directors.

As of the Offer Document Date, based on publicly available documentation, the following incentive plans are in place.

&nbsp;&nbsp;&nbsp;&nbsp;(i) <u>2015 Performance Shares Plan</u> (the "**2015 Performance Shares Plan** "),
approved by Mediobanca shareholders' meeting on 28 October 2015 (and updated on 28 October 2019), applicable to the variable
remuneration for the years 2018-2020 in favour of Mediobanca Group personnel.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2015 Performance Shares Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 20 million. As of 19 September 2019, 5,140,540 Mediobanca shares were available, while 6,676,384 Mediobanca shares had already been allocated but not awarded as they were subject to a vesting/holding period*.*

It should also be noted that, based on publicly available information and in accordance with Article 4 of Mediobanca's By-laws: (i) on 20 September 2018, Mediobanca's Board of Directors resolved to increase the share capital free of charge, pursuant to Articles 2443 and 2349 of the Italian Civil Code, by a maximum nominal amount of Euro 935,542, by allocating to share capital an

amount of the same value taken from the statutory reserve, with the issue of a maximum of No. 1,871,084 ordinary shares, with regular dividend rights, to be allocated to employees who are entitled to them in accordance with the provisions of the existing performance share plans. Of these, No. 456,697 Mediobanca Shares have been issued; (ii) the Board of Directors of Mediobanca on 19 September 2019 resolved to increase the share capital free of charge, pursuant to Articles 2443 and 2349 of the Italian Civil Code, for a maximum nominal amount of Euro 858,098.50, by allocating to share capital an amount of the same value taken from the statutory reserve, with the issue of a maximum of No. 1,716,197 ordinary shares, with regular dividend rights, to be allocated to employees who are entitled to them under the provisions of the existing performance share plans. Of these, No. 880,123 Mediobanca shares have been issued; (iii) the Board of Directors of Mediobanca on 16 September 2020 resolved to increase the share capital free of charge, pursuant to Articles 2443 and 2349 of the Italian Civil Code, for a maximum nominal amount of Euro 681,976.50, by charging to capital an amount of the same amount taken from the statutory reserve, with the issue of a maximum of No. 1,363,953 ordinary shares, with regular dividend rights, to be allocated to eligible employees in accordance with the provisions of the existing performance share plans. Of these, No. 562,577 Mediobanca Shares have been issued.

Based on the documentation available, the capital increases approved by the Board of Directors of Mediobanca, as described above in (i) and (ii), should have been carried out by 31 December 2022 and 31 December 2024, respectively;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the shares may be allocated through a reserved
capital increase or through freely transferable treasury shares. In particular, in light of the information available, the 2015 Performance
Share Plan could be served through the exercise of the 2020 Delegation;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan</u>: the 2015 Performance
Share Plan provides that, in the event of extraordinary events with a significant impact on the financial/economic performance of the
Mediobanca Group, the plan may be revised and/or abolished at the discretion of the Board of Directors, after consulting the Remuneration
Committee. In the event of extraordinary transactions involving share capital, the allocation of performance shares not yet delivered
will be adjusted accordingly;

(ii) <u>Long Term Incentive Plan</u> (the "**2019-2023 LTI Plan**") reserved for the Chief Executive Officer and General Manager
of Mediobanca and for the Chief Executive Officer of Compass and Mediobanca Premier, linked to the achievement of the targets set in
the 2019/2023 plan. It should be noted that, as provided for in Article 4 of Mediobanca's By-laws, the Board of Directors
of 19 December 2019 resolved to increase the share capital free of charge, pursuant to Articles 2443 and 2349 of the Italian Civil
Code, for a maximum nominal amount of Euro 169,420.50, by allocating a corresponding amount from the statutory reserve to share capital,
with the issue of a maximum of No. 338,841 ordinary shares, with regular dividend rights, to be allocated to eligible

employees in accordance with the provisions of the existing performance share plans. Of these, No. 127,866 Mediobanca Shares have been issued. However, it should be noted that no additional information or documents relating to the 2019-2023 LTI Plan are publicly available, and that the information contained in this point (ii) has been taken from Mediobanca's half-year report as of 31 December 2024;

(iii) <u>2021-2025 Performance Shares Plan</u> (the "**2021-2025 Performance Shares Plan** "),
approved by the Shareholders' Meeting on 28 October 2020 in favour of Mediobanca Group personnel.

It should be noted that the 2021-2025 Performance Shares Plan was partially revoked by Mediobanca shareholders' meeting on 28 October 2021.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2021-2025 Performance Shares Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 20 million;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the shares may be allocated through a capital increase reserved for allocation to Mediobanca
Group employees or through freely transferable treasury shares;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan</u>: the 2021-2025 Performance Share Plan provides that, in the
event of extraordinary events with a significant impact on the Mediobanca Group's financial/economic performance, the plan may be
revised and/or abolished at the discretion of the Board of Directors, after consulting the Remuneration Committee. In the event of extraordinary
transactions involving the share capital, the allocation of performance shares not yet delivered will be adjusted accordingly;

(iv) <u>2022 Performance Shares Plan</u> (the "**2022 Performance Shares Plan** "),
approved by the Shareholders' Meeting on 28 October 2021 (partially revoking the 2021-2025 Performance Shares Plan), applicable
to the variable remuneration of Mediobanca Group personnel for the 2021-2022 financial year.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2022 Performance Shares Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 4 million;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the plan will be serviced through the use of treasury shares already held or purchased
on the market;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan/change of control</u>: the 2022 Performance Share Plan provides
that any revision and/or cancellation of the performance share plan will be carried out in accordance with applicable regulations. No
specific procedures are envisaged. In the event of extraordinary events with a significant impact on the financial/economic performance
of the Mediobanca Group and/or in the event of a substantial

change in the Mediobanca Group's shareholding structure (change of control), the performance share plan may be revised and/or abolished at the discretion of the Board of Directors, after consulting the Remuneration Committee and any other relevant committees. In the event of a change of control, the following options may also be considered, depending on the Board of Directors' classification of the transaction, such as: i) hostile: early settlement on a pro rata basis and in cash in the event of a successful takeover; ii) nonhostile: settlement at the end of the plan in shares of the new Entity. In the event of extraordinary transactions on the share capital, the number of performance shares allocated but not yet delivered will be adjusted accordingly;

(v) <u>2023 Performance Shares Plan</u> (the "**2023 Performance Shares Plan** "),
approved by the Shareholders' Meeting on 28 October 2022.

Based on publicly available information (in particular, as indicated in Mediobanca's half-year report as of 31 December 2024), on 27 September 2023, as part of the variable remuneration for the 2023 financial year, 1,403,351 performance shares were allocated under the 2023 Performance Share Plan, which will be made available in tranches in November 2024 (maximum No. 619,191), in November 2025 (maximum No. 211,397), in November 2026 (maximum No. 329,932), in November 2027 (maximum No. 122,465) and in November 2028 (maximum No. 120,366).

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes the following main features of the 2023 Performance Share Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 3 million;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the plan will be serviced through the use of treasury shares already held in the portfolio
or purchased on the market;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan/change of control</u>: the 2023 Performance Share Plan provides
that any revision and/or cancellation of the performance share plan will be carried out in accordance with applicable legislation. No
specific procedures are envisaged. In the event of extraordinary events with a significant impact on the financial/economic performance
of the Mediobanca Group and/or in the event of a substantial change in the Mediobanca Group's shareholding structure (change of
control), the performance share plan may be revised and/or abolished at the discretion of the Board of Directors, after consulting the
Remuneration Committee and any other relevant committees. In the event of a change of control, the following options may also be considered,
depending on the Board of Directors' classification of the transaction, such as: i) hostile: early settlement on a pro rata basis
and in cash in the event of a successful takeover; ii) non-hostile: settlement at the end of the plan in shares of the new Entity. In
the event of extraordinary transactions on the share capital, the number of performance shares allocated but not yet delivered will be
adjusted accordingly;

(vi) <u>2023-2024 Performance Shares Plan</u> (the "**2023-2024 Performance Shares Plan** "),
approved by the Shareholders' Meeting on 28 October 2023 for the financial year ending 30 June 2024 in favour of Mediobanca
Group personnel through the allocation of a maximum of 3 million Mediobanca shares.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2023-2024 Performance Shares Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 3 million;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the plan will be serviced through the use of treasury shares already held in the portfolio
or purchased on the market;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan/change of control</u>: the 2023-2024 Performance Share Plan provides
that any revision and/or cancellation of the performance share plan will be carried out in accordance with applicable legislation. No
specific procedures are envisaged. In the event of extraordinary events with a significant impact on the financial/economic performance
of the Mediobanca Group and/or in the event of a substantial change in the Mediobanca Group's shareholding structure (change of
control), the performance share plan may be revised and/or abolished at the discretion of the Board of Directors, after consulting the
Remuneration Committee and any other relevant committees. In the event of a change of control, the following options may also be considered,
depending on the Board of Directors' classification of the transaction, such as: i) hostile: early settlement on a pro rata and
in cash in the event of a successful takeover; ii) non-hostile: settlement at the end of the plan in shares of the new Entity. In the
event of extraordinary transactions on the share capital, the number of performance shares allocated but not yet delivered will be adjusted
accordingly;

(vii) <u>Long Term Incentive Plan</u> (the "**2023-2026 LTI Plan** "):
the 2023-2026 LTI Plan linked to Mediobanca's 2023/2026 strategic plan was approved by the Shareholders' Meeting on 28 October 2023.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2023-2026 LTI Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 3 million. It should
be noted that, based on publicly available information (in particular, as indicated in Mediobanca's 2024 Financial Statements),
between January and February 2024, 2,514,786 shares were allocated, of which 2,177,135 for the 2023-2026 LTI Plan.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the shares may be allocated through the capital increase reserved for the allotment
to employees of the Mediobanca Group in execution of the 2023-2026 LTI Delegation, or through freely available treasury shares. Considering
that, to the best of the Offeror's knowledge, the 2023-2026 LTI

Delegation has not yet been exercised, a maximum of No. 3,000,000 Additional Shares may be issued to service the 2023-2026 LTI Plan;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) <u>Revisions and amendments to the plan/change of control</u>: any revision and/or cancellation of the 2023-2026 LTI Plan will be carried
out in accordance with applicable legislation. No specific procedures are envisaged. In the event of extraordinary events with a significant
impact on the financial/economic performance of the Mediobanca Group and/or in the event of a substantial change and redefinition of
the strategic plan and/or in the event of a substantial change in the shareholding structure of the Mediobanca Group (including the so-called
 "change of control" event), the Board of Directors, subject to the favourable opinion of the Remuneration Committee and any
other competent committees, may cancel or revise the plan, its characteristics and the management of its impact on the beneficiaries.
In the event of a change of control, the following options may also be considered, depending on the Board of Directors' classification
of the transaction, such as: i) hostile: early settlement on a pro rata and in cash in the event of a successful takeover; ii) non-hostile:
settlement at the end of the plan in shares of the new Entity. In the event of extraordinary transactions on the share capital, the number
of performance shares allocated but not yet delivered will be adjusted accordingly;

(viii) <u>2024-2025 Performance Shares Plan</u> (the "**2024-2025 Performance Shares Plan** "), approved by Mediobanca Shareholders'
Meeting on 28 October 2024.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2024-2025 Performance Shares Plan:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries
is set at 3 million;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the plan will be serviced through the use of treasury
shares already held in the portfolio or purchased on the market;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan/change of control</u>: any
revision and/or cancellation of the performance share plan will be carried out in accordance with applicable legislation. No specific
procedures are envisaged. In the event of extraordinary events with a significant impact on the Mediobanca Group's financial/economic
performance and/or in the event of a substantial change in the Mediobanca Group's shareholding structure (change of control), the
performance share plan may be revised and/or abolished at the discretion of the Board of Directors, after consulting the Remuneration
Committee and any other relevant committees. In the event of a change of control, the following options may also be considered, depending
on the Board of Directors' classification of the transaction, such as: i) hostile: early settlement on a pro rata and in cash in
the event of a successful takeover; ii) non-hostile: settlement at the end of the plan in shares of the new Entity. In the event of extraordinary
transactions on the share capital, the number of performance shares allocated but not yet delivered will be adjusted accordingly;

(ix) <u>2023-2026 Broad-based Share Ownership and Co-investment Plan</u> (the "**2023-2026 ESOP** "), approved by Mediobanca Shareholders'
 Meeting on 28 October 2023.

Mediobanca has prepared and published the information document pursuant to Article 84-*bis*, paragraph 1, of the Issuers' Regulation, which describes, among other things, the following main features of the 2023-2026 ESOP:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>a)</u> <u>Shares</u>: the maximum number of shares to be allocated to beneficiaries is set at 1 million.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>b)</u> <u>Provision</u>: the shares may be allocated through the capital increase reserved for the allotment
to employees of the Mediobanca Group in execution of the 2023-2026 ESOP Delegation, or through freely transferable treasury shares. Considering
that, to the best of the Offeror's knowledge, the 2023-2026 ESOP Delegation has not yet been exercised, a maximum of No. 1,000,000
Additional Shares may be issued to service the 2023-2026 ESOP Plan;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>c)</u> <u>Revisions and amendments to the plan/change of control</u>: any revision and/or cancellation of the
ESOP 2023-2026 Plan will be carried out in accordance with applicable legislation. No specific procedures are envisaged. In the event
of extraordinary events with a significant impact on the Mediobanca Group's financial/economic performance and/or in the event of
a substantial change in the strategic plan and/or in the event of a substantial change in the shareholding structure of the Group (including
the so-called "change of control" event), the Board of Directors, subject to the favourable opinion of the Remuneration Committee
and any other competent committees, may cancel or revise the plan, its characteristics and the management of its impact on the beneficiaries.

*<u>Treasury Shares</u>*

On 28 October 2023, Mediobanca Shareholders' Meeting approved a share buyback programme for No. 17,000,000 shares, equal to 2% of Mediobanca's share capital, for a total value of Euro 197,959,090.60. This plan was completed in February 2024. The shares purchased under the share buyback programme were cancelled in June 2024 without any reduction in share capital.

On 28 October 2024, Mediobanca Shareholders' Meeting approved the launch of a new share buyback and cancellation programme (the "**2024 Buy-Back Plan**"), for a total value of approximately Euro 385 million. The transaction was authorized by the ECB. As also provided for in Article 4.11 of Mediobanca's By-laws, the Issuer's Extraordinary Shareholders' Meeting of 28 October 2024 therefore approved the cancellation of a maximum of No. 30,000,000 Mediobanca treasury shares, delegating to the Board of Directors, and on its behalf to the Chief Executive Officer and the General Manager, acting either jointly or separately, the power to carry out such cancellation, including in several instalments, by 28 April 2026.

Based on the information provided by Mediobanca, as of the Offer Document Date, Mediobanca holds No. 26,914,597 Treasury Shares, equal to 3.2% of the Issuer's share capital as of the Offer Document Date.

**B.2.3. Significant shareholders and shareholders' agreements**

As of the Offer Document Date, based on the communications disclosed pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I of the Issuers' Regulation, as published on the Consob website, the shareholders holding a percentage of the Issuer's share capital or voting rights exceeding 3% of the Issuer's ordinary share capital are indicated in the following table.

---

| | | |
|:---|:---|:---|
| **Declarant or subject at <br> the top of the <br> ownership chain** | **Direct shareholder** | **% of share capital and voting rights of the direct <br> shareholder** |
| Francesco Gaetano <br> Caltagirone | Fincal S.p.A. | 1.880% |
| Francesco Gaetano <br> Caltagirone | Istituto Finanziario <br> 2012 S.p.A. | 3.203% |
| Francesco Gaetano <br> Caltagirone | Gamma S.r.l. | 0.416% |
| Francesco Gaetano <br> Caltagirone | **Total** | **5.499%** |
| Delfin S.A.R.L. | Delfin S.A.R.L. | 19.390% |

---

The percentages listed in the table above, as published on CONSOB's website and resulting from the communications made by the shareholders pursuant to Article 120 of the TUF, may not be updated and/or consistent with the data processed and published by other sources (including the Issuer's website), in cases where subsequent changes in the shareholding did not trigger any communication obligation by the shareholders. For the sake of completeness, it should be noted that in a press release issued on 30 June 2025 pursuant to Article 41, paragraph 2, letter c) of the Issuers' Regulation, Banca Mediolanum S.p.A., also on behalf of Mediolanum Vita S.p.A., announced to the market that on the same date, certain transactions for the sale of Mediobanca shares had been completed through an accelerated bookbuilding process, with settlement of the sale set for 3 July 2025. Specifically, the sale involved, with regard to Banca Mediolanum S.p.A., No. 22,644,712 Mediobanca Shares and, with regard to Mediolanum Vita S.p.A., No. 6,450,398 Mediobanca Shares, for a total of approximately 3.5% of Mediobanca's share capital. As of the Offer Document Date, the updated communication pursuant to Article 120 of the TUF is not yet available and, therefore, as of the Offer Document Date, based on the information published on the CONSOB website, Banca Mediolanum S.p.A. still holds a shareholding equal to 3.343% in Mediobanca's share capital.

As of the Offer Document Date, a consultation agreement is in force among certain shareholders of Mediobanca, falling within the scope of Article 122, paragraph 5, letter a) of the TUF. The agreement does not appear to provide for any lock-up or voting commitments on the Mediobanca Shares subject to contribution, but regulates the modalities of meetings to share thoughts and considerations regarding the performance of the Mediobanca Group, in a context of equal information compared to the market. As of the Offer Document Date, shareholders holding No. 96,712,118 shares of the Issuer, corresponding to 11.61% of the share capital (updated as of 20 June 2025), are part of the agreement.

**B.2.4. Management and control bodies**

Mediobanca has adopted the traditional management and control system.

***Board of Directors of the Issuer***

Pursuant to Article 15 of Mediobanca's By-laws, the Issuer's Board of Directors consists of a number of directors ranging from a minimum of 9 to a maximum of 15 members. The Board of Directors is appointed on the basis of lists submitted by shareholders in accordance with the procedures specified in the By-laws and applicable law, including rules on gender balance.

Directors remain in office for the period determined by the shareholders' meeting at the time of their appointment and, in any case, for no more than three financial years, and their term of office ends on the date of the Issuer's shareholders' meeting called to approve the financial statements for the last financial year of their term of office. Directors may be re-elected.

The Board of Directors of the Issuer in office as of the Offer Document Date was appointed by the ordinary shareholders' meeting of Mediobanca held on 28 October 2023 and consists of 15 members. The directors will remain in office for a period of three financial years and therefore until the approval of the financial statements as of 30 June 2026.

The following table shows the composition of the Issuer's Board of Directors as of the Offer Document Date:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Name and surname** | &nbsp;&nbsp;**Position held** | &nbsp;&nbsp;**End of current term of office** |
| &nbsp;&nbsp;Renato Pagliaro | &nbsp;&nbsp;Chairman | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Sabrina Pucci | &nbsp;&nbsp;Independent Vice- Chairman (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Vittorio Pignatti – Morano Campori | &nbsp;&nbsp;Independent Vice- Chairman (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Alberto Nagel | &nbsp;&nbsp;Chief Executive Officer | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Francesco Saverio Vinci | &nbsp;&nbsp;Director – General Manager | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Mana Abedi | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Virginie Banet | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Laura Cioli | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Angela Gamba | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Marco Giorgino | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;Valérie Hortefeux | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Maximo Ibarra | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Sandro Panizza | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Laura Penna | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Angel Vilà Boix | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |

---

(\*) Independent director pursuant to the combined provisions of the By-laws, Ministerial Decree 169/2020, the TUF and the Corporate Governance Code.

The directors are domiciled for the purposes of their office at the address listed in the relevant Companies' Register.

To the best of the Offeror's knowledge, as of the Offer Document Date, none of the members of the Issuer's Board of Directors hold any other offices or positions with the Issuer or other companies of the Mediobanca Group, with the exception of:

- Mr. Alberto Nagel, who holds the office of Chairman of Messier Associés; <br> - Mr. Francesco Saverio Vinci, who holds the office of Chairman of Mediobanca SGR and Deputy Chairman of Mediobanca Premier; <br> - Mrs. Laura Penna, who holds the office of director of Compass.

The equity interests held in Mediobanca and in companies controlled by members of the administrative and control bodies and general managers, as well as other executives with strategic responsibilities at Mediobanca, are listed below, as disclosed by the Issuer in the Report on Remuneration Policy and Remuneration Paid on 28 October 2024 (with regard to data as of 30 June 2023) and on the Issuer's website <u>www.mediobanca.com/en</u>, Internal Dealing Section – Individual Holdings (with regard to data as of 30 June 2024).

---

| | | | |
|:---|:---|:---|:---|
| **Name and <br> surname** | **Participated <br> company** | **Number of shares held at the<br> end of the financial year as of<br> 30/6/2023** | **Number of shares held at the<br> end of the financial year as of<br> 30/6/2024** |
| &nbsp;&nbsp;Renato Pagliaro | &nbsp;&nbsp;Mediobanca | &nbsp;&nbsp;2000000 | &nbsp;&nbsp;2000000 |
| &nbsp;&nbsp;Alberto Nagel | &nbsp;&nbsp;Mediobanca | &nbsp;&nbsp;3153850 | &nbsp;&nbsp;3153850 |
| &nbsp;&nbsp;Francesco <br> Saverio Vinci | &nbsp;&nbsp;Mediobanca | &nbsp;&nbsp;1353700 | &nbsp;&nbsp;1353700 |
| &nbsp;&nbsp;Angel Vilà Boix | &nbsp;&nbsp;Mediobanca | &nbsp;&nbsp;250000 | &nbsp;&nbsp;25000 |
| &nbsp;&nbsp;Maurizio <br> Carfagna | &nbsp;&nbsp;Mediobanca | &nbsp;&nbsp;81,000 (\*) | &nbsp;&nbsp;81000 |

---

8 officers with Mediobanca 230,053 230,053 <br> <u>strategic responsibilities</u>      

(\*) Of which 80,000 Mediobanca Shares held through subsidiaries and 1,000 Mediobanca Shares held through spouse.

***Internal committees of the Issuer's Board of Directors***

As provided for in Article 20 of the Issuer's By-laws and in compliance with the provisions of law, the Issuer's Board of Directors has established the following committees within its structure:

<u>(a)</u> <u>Risk Committee</u>: The Risk Committee supports the Board of Directors in matters relating to risks
(including the assessment and monitoring of ESG risks), the internal control system and the accounting information system. The Risk Committee
also performs the additional tasks assigned to it by applicable legislation and by the Board of Directors. As of the Offer Document Date,
the Committee is composed of the following members: Mr. Marco Giorgino (Chairman), Mrs. Laura Cioli, Mr. Sandro Panizza,
Mrs. Laura Penna, Mr. Vittorio Pignatti-Morano Campori.

<u>(b)</u> <u>Remuneration Committee</u>: The Remuneration Committee performs advisory and investigative functions
on remuneration policies, the determination of remuneration for senior management, employee remuneration and incentive and retention plans.
The Remuneration Committee also performs the additional duties assigned to it by applicable law and by the Board of Directors. As of the
Offer Document Date, the Committee is composed of the following members: Mr. Vittorio Pignatti-Morano Campori (Chairman), Mr. Mana
Abedi, Mr. Maximo Ibarra, Mrs. Sabrina Pucci, Mr. Angel Vilà Boix.

<u>(c)</u> <u>Appointments Committee</u>: The Appointments Committee supports the Board of Directors in the process
of appointing directors (in the event of the co-opting of new members), in the process of submitting the list of directors by the expiring
Board of Directors, in the self-assessment process of the Board of Directors and in the preparation of succession plans for senior positions.
The Nomination Committee also performs the additional duties assigned to it by applicable law and by the Board of Directors. As of the
Offer Document Date, the Committee is composed of the following members: Mrs. Angela Gamba (Chair), Mrs. Laura Cioli, Mrs. Valérie
Hortefeux, Mr. Renato Pagliaro, Mrs. Sabrina Pucci.

<u>(d)</u> <u>Related Parties Committee</u>: The Related Parties Committee monitors the implementation of transactions
between related parties in accordance with the Related Parties Regulation and, therefore, *inter alia*, expresses reasoned opinions
on the bank's interest in carrying out such transactions. The Related Parties Committee also performs the additional duties assigned
to it by applicable legislation and by the Board of Directors. As of the Offer Document Date, the Committee consists of the following
members: Mr. Vittorio Pignatti-Morano Campori (Chairman), Mrs. Virginie Banet, Mrs. Laura Penna, Mr. Sandro Panizza,
and Mr. Angel Vilà Boix.

<u>(e)</u> <u>Sustainability Committee</u>: The Sustainability Committee has an advisory role on matters of social
responsibility and on proposals to be submitted to the Board of Directors for approval, including, in particular, the Group's sustainability
policies and the Non-

Financial Statement. It also has advisory powers on ESG matters. The Sustainability Committee also performs the additional duties assigned to it by applicable legislation and by the Board of Directors. As of the Offer Document Date, the Committee is composed of the following members: Mr. Alberto Nagel (Chairman), Mrs. Virginie Banet, Mr. Angelo Gamba, Mrs. Valérie Hortefeux, Mr. Maximo Ibarra, Mrs. Sabrina Pucci.

(f) <u>Committee pursuant to Article 18 of the By-laws</u>: The Committee decides on the

decisions to be taken regarding the appointment of corporate bodies at the shareholders' meetings of listed investee companies in which the shareholding is equal to at least 10% of the share capital of the investee company and exceeds 5% of the Group's consolidated regulatory capital. As of the Offer Document Date, the Committee includes the following members: Mr. Alberto Nagel (Chairman), Mr. Marco Giorgino, Mrs. Valérie Hortefeux, Mr. Angel Vilà Boix, Mr. Francesco Saverio Vinci.

***Board of Statutory Auditors of the Issuer***

Article 28 of the Issuer's By-laws provides that the Board of Statutory Auditors shall consist of three standing members and three alternate members, appointed by the Issuer's Shareholders' Meeting on the basis of lists in compliance with the regulations in force on gender balance pursuant to Article 148, paragraph 1-*bis*, of the TUF, whose term of office shall be three financial years. The members of the Issuer's Board of Statutory Auditors may be re-elected.

The Board of Statutory Auditors of the Issuer in office as of the Offer Document Date was appointed by the Shareholders' Meeting of the Issuer on 28 October 2023 for the three-year period 2024-2026 and will remain in office until the date of approval of the Issuer's financial statements for the financial year ending 30 June 2026.

The following table shows the composition of the Issuer's Board of Statutory Auditors as of the Offer Document Date:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Name and surname** | &nbsp;&nbsp;**Position held** | &nbsp;&nbsp;**End of current term of office** |
| &nbsp;&nbsp;Mario Matteo Busso | &nbsp;&nbsp;Chairman | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Elena Pagnoni | &nbsp;&nbsp;Standing Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Ambrogio Virgilio | &nbsp;&nbsp;Standing Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Angelo Rocco Bonissoni | &nbsp;&nbsp;Alternate Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Vieri Chimenti | &nbsp;&nbsp;Alternate Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| &nbsp;&nbsp;Anna Rita De Mauro | &nbsp;&nbsp;Alternate Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 30 June 2026 |

---

To the best of the Offeror's knowledge, as of the Offer Document Date, none of the members of the Issuer's board of statutory auditors hold any other positions or roles with the Issuer or other companies of the Mediobanca Group, nor do they hold any shares and/or other economic interests in the Issuer and/or companies of the Mediobanca Group.

***Entity responsible for statutory audit***

The ordinary shareholders' meeting of the Issuer held on 28 October 2020 appointed Ernst & Young S.p.A., with registered office in Milan, Via Meravigli No. 12, as the independent auditor for the statutory audit of the accounts until the date of the shareholders' meeting called to approve the financial statements for the financial year ending 30 June 2030.

**B.2.5. Activities of the Issuer and brief description of the Mediobanca Group**

The Issuer is authorized by the Bank of Italy to carry out the banking business in accordance with Italian law.

Pursuant to Article 3 of its By-laws, Mediobanca's corporate purpose consists of the collection of savings and the granting credit in all its forms, with particular reference to medium/long-term loans to businesses.

In compliance with current regulations, Mediobanca may carry out banking, financial and intermediation transactions and provide banking, financial and intermediation services, as well as any other activity instrumental or connected with the pursuit of its corporate purpose.

Mediobanca's main activities are divided into the following segments:

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Wealth Management (WM)*** :
which includes asset management activities for various categories of customers and asset management, as described on page 198 of
Mediobanca's half-year financial report as of 31 December 2024;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Corporate & Investment Banking (CIB):*** includes services for corporate customers in the areas of Wholesale Banking (lending, Capital
Market activities, Advisory, Trading on behalf of customers and proprietary trading, as described on page 198 of Mediobanca's
half-year financial report as of 31 December 2024);

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Consumer Finance (CF):*** includes
a range of consumer credit products as described on page 198 of Mediobanca's half-year financial report as of 31 December 2024;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Insurance – Principal Investing (PI):*** includes the Group's portfolio of equity investments and shares as described on page 198
of Mediobanca's half-year financial report as of 31 December 2024; and

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Holding Functions:*** include
all activities described on page 199 of the Mediobanca's half-year financial report as of 31 December 2024.

The Issuer is the parent bank of the Mediobanca Group and, as such, in addition to the banking business, it performs, pursuant to Article 61, paragraph 5, of the TUB, the functions of management and coordination as well as unified control over the banking, financial and instrumental subsidiaries that are part of the Mediobanca Group.

Within the scope of its management and coordination powers, the Issuer provides instructions to the members of the Mediobanca Group, including for the implementation of

instructions issued by the supervisory authorities and in the interests of the stability of the Mediobanca Group itself.

The Issuer also exercises management and coordination activities pursuant to Articles 2497 *et seq.* of the Italian Civil Code with respect to Italian companies belonging to the Mediobanca Group and directly or indirectly controlled by the Issuer.

The table below lists the companies directly or indirectly controlled by or affiliated with the Issuer and included in the Mediobanca Group's scope of consolidation, extracted from the Mediobanca's half-year financial report as of 31 December 2024, indicating their names and registered offices.

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| | |
|:---|:---|
| **Name** | **Registered Office** |
| **Spafid S.p.A.** | Foro Buonaparte, 10 20121, Milan, Italy |
| **Mediobanca Innovation Services – S.c.p.A.** | Via Siusi, 7 20132, Milan, Italy |
| **CMB Monaco S.A.M.** | 17 Avenue des Spélugues, 98000 Monaco |
| **CMG Monaco S.A.M.** | 17 Avenue des Spélugues, 98000 Monaco |
| **Mediobanca International (Luxembourg)** | 4, Boulevard Joseph II, L – 1840, Luxembourg, |
| **S.A.** | Grand Duchy of Luxembourg |
| **Compass Banca S.p.A.** | Via Caldera, 21 20153, Milan, Italy |
| **Mediobanca Premier S.p.A.** | Viale Luigi Bodio, 37 20158, Milan, Italy |
| **MBCredit Solutions S.p.A.** | Via Caldera, 21 20153, Milan, Italy |
| **Selmabipiemme Leasing S.p.A.** | Via Siusi, 7 20132, Milan, Italy |
| **MB Funding Luxembourg S.A.** | 28, Boulevard F. W. Raiffeisen, L – 2411, Luxembourg, Grand Duchy of Luxembourg |
| **Mediobanca Securities USA L.L.C.** | National Registered Agents, Inc., 1209 Orange Street, Wilmington, DE 19801 |
| **Mb Facta S.p.A.** | Via Siusi, 7 20132, Milan, Italy |
| **Quarzo S.r.l.** | Via Filippo Turati, 29 20121, Milan, Italy |
| **Mediobanca Covered Bond S.r.l.** | Via Filippo Turati, 29 20121, Milan, Italy |
| **Compass Re (Luxembourg) S.A.** | 4, Boulevard Joseph II, L – 1840, Luxembourg, Grand Duchy of Luxembourg |
| **Mediobanca International Immobiliere S. A R.L.** | 4, boulevard Joseph II, L – 1840, Luxembourg, Grand Duchy of Luxembourg |
| **Polus Capital Management Group Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |
| **Polus Capital Management Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |

---

---

| | |
|:---|:---|
| **Polus Capital Management (US) Inc.** | The Corporation Trust Company, Corporation Trust Center 1209 Orange St., Wilmington, DE 19801 |
| **Polus Capital Management Investments Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |
| **Polus Investment Managers Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |
| **Bybrook Capital Burton Partnership (GP) Limited** | South Church Street, Ugland House, P. O. Box 309, C/O Maples Corporate Services Limited, South Church Street, George Town, Grand Cayman Ky1-1104, Cayman Islands |
| **Spafid Trust S.r.l.** | Foro Buonaparte, 10 20121, Milan, Italy |
| **Mediobanca Management Company S.A.** | 2, Boulevard de la Foire, L – 1528, Luxembourg, Grand Duchy of Luxembourg |
| **Mediobanca Sgr S.p.A.** | Foro Buonaparte, 10 20121, Milan, Italy |
| **RAM Active Investments S.A.** | Rue du Rhône 8, 1204 Geneve, Switzerland |
| **Messier et Associes S.A.S.** | 23 Avenue D'Iéna – 75116 Paris, France |
| **Messier et Associes L.L.C.** | 1450 Broadway Avenue, 38th Floor, New-York, NY 10018, USA |
| **MBContact Solutions S.r.l.** | Via Caldera, 21 20153, Milan, Italy |
| **Compass Rent S.r.l.** | Via Brennero, 43 38122, Trento, Italy |
| **Compass Link S.r.l.** | Via Caldera, 21 20153, Milan, Italy |
| **RAM Active Investments Limited (UK) (*in winding up*)** | 35 Berkeley Square, London, United Kingdom, W1J 5BF |
| **CMB Real Estate Development S.A.M.** | 17 Avenue des Spélugues, 98000 Monaco |
| **Arma Partners LLP** | The Shard, London Bridge Street, London, United Kingdom, SE1 9SG |
| **Arma Partners Corporate Finance Ltd** | The Shard, London Bridge Street, London, United Kingdom, SE1 9SG |
| **Arma Deutschland GmbH** | Nymphenburger Str. 14, D-80335 München, Germany |
| **Heylight S.A.** | Rue du Nant 8, c/o Berney Associés SA, 1207, Geneve, Switzerland |

---

The chart below, as published on the Issuer's website, shows the main companies of the Mediobanca Group as of the Offer Document Date, and has been updated as of 3 April 2025, that is the date closest to the Offer Document Date.

![](tm2518026d1_ex99-1sp08img1.jpg)

**B.2.6. Key financial information**

The information below is based from information available to the public as of the Offer Document Date and contained in particular: (i) in the consolidated annual financial report of the Mediobanca Group as of 30 June 2024 (the "**Mediobanca Annual Financial Report**") (compared with the figures for the previous financial year); and (ii) in the half-year financial report of the Mediobanca Group as of 31 December 2024 (the "**Mediobanca Half-Year Financial Report**").

In this regard, it should be noted that the Offeror has not carried out any further and/or independent verification of the data and information relating to the Mediobanca Group.

For these reasons, the Offeror may not be aware of any current or potential, contingent or past liabilities and/or management issues relating to the Mediobanca Group and will be exposed to the risks of assuming unforeseen liabilities and/or recognizing lower values of the Mediobanca Group's assets (*e.g*., higher impaired loans) than those recorded in the Mediobanca Group's financial statements, due, for example, to incorrect valuations carried out prior to the Offer.

The Mediobanca Annual Financial Report, prepared in accordance with IAS/IFRS international accounting standards, was approved by the by the Shareholders' Meeting of Mediobanca on 28 October 2024 and audited by the independent auditor Ernst & Young S.p.A., which issued

its report pursuant to Articles 14 and 16 of Legislative Decree No. 39 of 27 January 2010. In this regard, Ernst & Young S.p.A. issued its positive opinion without reservations or inquiries.

Mediobanca Half-Year Financial Report, prepared in accordance with international accounting standards, was approved by the Issuer's Board of Directors on 10 February 2025.

Mediobanca Annual Financial Report and Mediobanca Half-Year Financial Report, including (where applicable) the related reports issued by the independent auditor and the management reports of the Issuer and the Mediobanca Group, to which reference should be made for further information, are available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

The following tables present the consolidated balance sheet, consolidated income statement, consolidated cash flow statement and statement of changes in consolidated net equity as of and for the years ended 30 June 2024 and 30 June 2023. The figures in the following tables have been extracted from the Financial Statements as of 30 June 2024 and compared with the figures for the previous financial year.

**B.2.6.1. Balance sheet and income statement of Mediobanca as of 30 June 2024**

***Consolidated balance sheet of Mediobanca as of 30 June 2024 and 2023***

---

| | | | |
|:---|:---|:---|:---|
| **Asset items** | **Asset items** |<br>**30 June 2024** | (thousands of Euros)<br>**30 June 2023<sup>1</sup>** |
| 10. | Cash and cash equivalents | 3361150 | 4236982 |
| 20. | Financial assets measured at fair value through profit or loss | 16787866 | 10654399 |
|  | a) financial assets held for trading | 15409451 | 9546212 |
|  | b) financial assets designated at fair value | 719215 | 538590 |
|  | c) other financial assets mandatorily measured at fair value | 659200 | 569597 |
| 30. | Financial assets measured at fair value through other comprehensive income | 6905703 | 6042119 |
| 40. | Financial assets measured at amortized cost | 64158936 | 62555709 |
|  | a) due from banks | 5527291 | 4478644 |
|  | b) due from customers | 58631645 | 58077065 |
| 50. | Hedging derivatives | 705549 | 1321883 |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |
| 70. | Equity investments | 3789216 | 3563831 |
| 80. | Insurance Business |  |  |
|  | a) issued insurance contracts that constitute assets |  |  |
|  | b) reinsurance contracts ceded that constitute assets |  |  |
| 90. | Tangible assets | 549617 | 530742 |
| 100. | Intangible assets | 1045432 | 796700 |
|  | of which: goodwill | 827313 | 574550 |
| 110. | Tax assets | 754812 | 769127 |
|  | a) current | 350699 | 244746 |
|  | b) prepaid | 404113 | 524381 |
| 120. | Non-current assets and asset groups held for sale |  | 251987 |
| 130. | Other assets | 1167993 | 900345 |
| **Total assets** | **Total assets** | **99226274** | **91623824** |

---

Note:

1 The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

---

| | | | |
|:---|:---|:---|:---|
| **Liabilities and net equity** | **Liabilities and net equity** |<br>**30 June 2024** | (thousands of Euros)<br>**30 June 2023<sup>1</sup>** |
| 10. | Financial liabilities measured at amortized cost | 70321563 | 64903066 |
|  | a) due to banks | 10962115 | 13275089 |
|  | b) due to customers | 34104548 | 30750602 |
|  | c) securities in issue | 25254900 | 20877375 |
| 20. | Trading financial liabilities | 9504710 | 9436672 |
| 30. | Financial liabilities designated at fair value | 4239199 | 1580956 |
| 40. | Hedging derivatives | 1431642 | 2069542 |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities | 749647 | 867359 |
|  | a) current | 359882 | 416935 |
|  | b) deferred | 389765 | 450424 |
| 70. | Liabilities associated with assets held for sale |  | 8134 |
| 80. | Other liabilities | 1488427 | 1050513 |
| 90. | Provision for statutory end-of-service payments | 20445 | 20584 |
| 100. | Provisions for risks and charges: | 137691 | 161127 |
|  | a) commitments and guarantees issued | 21396 | 22166 |
|  | b) post-employment and similar benefits |  |  |
|  | c) other provisions for risks and charges | 116295 | 138961 |
| 110. | Insurance liabilities | 89765 | 96294 |
|  | a) issued insurance contracts that constitute liabilities | 89765 | 96294 |
|  | b) reinsurance contracts ceded that constitute liabilities |  |  |
| 120. | Revaluation reserves | (68578) | 62127 |
| 130. | Redeemable shares |  |  |
| 140. | Equity instruments | – | – |
| 150. | Reserves | 7380974 | 7676422 |
| 160. | Share premium | 2195606 | 2195606 |
| 170. | Capital | 444515 | 444169 |
| 180. | Treasury shares (-) | (68828) | (78876) |
| 190. | Equity attributable to minority interests (+/-) | 86114 | 104143 |
| 200. | Profit (Loss) for the year (+/-) | 1273382 | 1025986 |
|  | **Total liabilities and net equity** | **99226274** | **91623824** |

---

Note:

1 The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

***Consolidated income statement of Mediobanca for the financial years ended 31 June 2024 and 2023***

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** |<br>**30 June 2024** | (thousands of Euros)<br>**30 June 2023<sup>1</sup>** |
| 10. | Interest and similar income | 3973022 | 2834084 |
|  | of which: interest income calculated according to the effective interest method | 3237324 | 2394371 |
| 20. | Interest and similar charges | (2025489) | (1026491) |
| **30.** | **Net interest income** | **1947533** | **1807593** |
| 40. | Commission income | 992546 | 835972 |
| 50. | Commission expense | (181406) | (158005) |
| **60.** | **Net fee income** | **811140** | **677967** |
| 70. | Dividends and similar income | 138027 | 78758 |
| 80. | Net trading income (expense) | 39684 | 99411 |
| 90. | Net hedging income (expense) | 2083 | 1439 |
| 100. | Gains (losses) on disposal/repurchase of: | 8090 | 4827 |
|  | a) financial assets measured at amortized cost | 606 | 4427 |
|  | *b) financial assets measured at fair value through other comprehensive income* | *6431* | *(6739*) |
|  | *c) financial liabilities* | *1053* | *7139* |
| 110. | Net income (expense) from other financial assets and liabilities measured at Fair Value through profit or loss | 34129 | 9674 |
|  | a) financial assets and liabilities designated at fair value | *12041* | *15055* |
|  | b) financial assets and liabilities designated at fair value | 22088 | (5381) |
| **120.** | **Total revenues** | **2980686** | **2679669** |
| 130. | Net write-offs (write-backs) for credit risk: | (248274) | (231373) |
|  | *a) financial assets measured at amortized cost* | (246276) | (232089) |
|  | b) financial assets measured at fair value through other comprehensive income | (1998) | 716 |
| 140. | Gains (losses) from contractual modifications without derecognition | (159) | (617) |
| **150.** | **Net income (expense) from financial operations** | **2732253** | **2447679** |
| 160. | Income (expense) from insurance services | 21365 | 28978 |
|  | a) insurance revenues from insurance contracts issued | 30851 | 35536 |
|  | b) costs for insurance services arising from insurance contracts issued | (9486) | (6558) |
|  | c) insurance revenues from insurance contracts ceded |  |  |
|  | d) costs for insurance services arising from insurance contracts ceded |  |  |
| 170. | Other income / charges from insurance activities | (143) | (220) |
|  | a) net financial costs/revenues relating to insurance contracts issued | (143) | (220) |
|  | b) net financial costs / revenues relating to insurance contracts ceded | – | – |
| **180.** | **Net profit (loss) from financial and insurance activities** | **2753475** | **2476437** |
| 190. | Administrative expenses: | (1592999) | (1487108) |
|  | a) personnel costs | (807070) | (731643) |
|  | b) other administrative expenses | (785929) | (755465) |
| 200. | Net transfers to provisions for risks and charges | (2968) | (35817) |
|  | a) commitments and guarantees issued | 765 | 2134 |
|  | b) other net provisions | (3733) | (37951) |
| 210. | Net value adjustments to /write-backs of tangible assets | (71112) | (62144) |
| 220. | Net value adjustments to /write-backs of intangible assets | (80474) | (30192) |
| 230. | Other operating expense / income | 195683 | 173635 |
| **240.** | **Operating costs** | **(1551870)** | **(1441627)** |
| 250. | Gains (losses) on equity investments | 510406 | 453860 |
| 260. | Net income (expense) from Fair Value measurement of tangible and intangible assets | (1610) | (1253) |
| 270. | Value adjustments to goodwill |  | (49536) |
| 280. | Gains (losses) on disposal of investments | 90 | (14385) |
| **290.** | **Profit (loss) on ordinary operations before tax** | **1710491** | **1423496** |
| 300. | Income tax for the year on ordinary operations | (433972) | (394476) |
| **310.** | **Profit (loss) on ordinary operations after tax** | **1276519** | **1029020** |
| 320. | Gains (losses) of ceded operating assets, after tax |  |  |
| **330.** | **Profit (loss) for the year** | **1276519** | **1029020** |
| 340. | Profit (loss) for the period attributable to minority interests | (3137) | (3034) |
| **350.** | **Net profit (loss) for the period attributable to the Parent Company** | **1273382** | **1025986** |

---

Note:

1 The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

***Consolidated cash flow statements of Mediobanca for the years ended 30 June 2024 and 2023***

---

| | | | |
|:---|:---|:---|:---|
| | | | (thousands of Euros) |
| | | **Amounts** | **Amounts** |
| | | **30 June 2024** | **30 June 2023<sup>1</sup>** |
| **A.** | **Cash flow from operating activities** |  |  |
| **1.** | **Operating activities** | **1915072** | **695630** |
|  | interest received (+) | 6130322 | 2977529 |
|  | interest paid (–) | (3367714) | (1359051) |
|  | dividends and similar income (+) | 131426 | 77658 |
|  | net fees and commission income (+/–) | 437141 | 507467 |
|  | personnel costs (–) | (620371) | (552436) |
|  | net revenues collected and costs paid on insurance contracts issued and ceded (+/–) | (9943) | (150626) |
|  | other costs (–) | (395420) | (832059) |
|  | other revenues (+) | 108893 | 284545 |
|  | taxes and duties (–) | (499262) | (257397) |
|  | expenses/income from asset groups held for sale after tax effect (+/–) | – | – |
| **2.** | **Cash inflow/outflow from financial assets** | **(5607851)** | **(1871607)** |
|  | financial assets held for trading | (4854086) | 376596 |
|  | financial assets designated at fair value | (112950) | 16345 |
|  | financial assets mandatorily measured at fair value | (70780) | 58885 |
|  | financial assets measured at fair value through other comprehensive income | (734747) | (1883759) |
|  | financial assets measured at amortized cost | 1096627 | 282581 |
|  | other assets | (931915) | (722255) |
| **3.** | **Cash inflow/outflow from financial liabilities** | **4106320** | **(2019567)** |
|  | financial liabilities measured at amortized cost | 3339104 | (1835890) |
|  | financial liabilities held for trading | (745520) | 183423 |
|  | financial liabilities designated at fair value | 1446306 | 850676 |
|  | other liabilities | 66430 | (1217776) |
| **4.** | **Cash inflow/outflow arising from insurance contracts issues and ceded** | **25967** | **34584** |
|  | insurance contracts issued that constitute assets/liabilities(+/–) | 25967 | 34584 |
|  | insurance contracts ceded that constitute assets/liabilities(+/–) |  |  |
|  | **Net cash inflow/outflow from operating activities** | **439508** | **(3160960)** |
| **B.** | **Cash flows from investing activities** |  |  |
| **1.** | **Cash generated from:** | **371626** | **253890** |
|  | disposal of shareholdings | 100001 |  |
|  | dividends received in respect of equity investments | 271497 | 243847 |
|  | disposals of tangible assets | 128 | 9702 |
|  | disposals of intangible assets |  | 95 |
|  | disposals of subsidiaries or business units | – | 246 |
| **2.** | **Cash outflows arising from:** | **(352578)** | **(83598)** |
|  | purchases of shareholdings | (264967) | (7400) |
|  | purchases of tangible assets | (51161) | (39751) |
|  | purchases of intangible assets | (36505) | (36447) |
|  | purchases of subsidiaries or business units | 55 | – |
|  | **Net cash inflow/outflow from investing activities** | **19048** | **170292** |
| **C.** | **Cash flows from funding activities** |  |  |
|  | issue/purchase of treasury shares | (187595) |  |
|  | issue/ purchase of capital instruments | 6252 |  |
|  | distribution of dividends and other purposes | (1153045) | (633951) |
|  | sales/acquisition of control by minority interests | – | – |
|  | **Net cash inflow/outflow from funding activities** | **(1334388)** | **(633951)** |
|  | **Net cash inflow/outflow during the period** | **(875832)** | **(3624619)** |

---

Note:

1 The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts. This change had no impact on cash inflows / outflows during the year under review.

***Statement of changes in consolidated net equity of Mediobanca for the year ended 30 June 2024 and 2023***

(thousands of Euros)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Allocation of profit** | **Allocation of profit** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | **Change for the year** | | | |
|  | | **(loss) for previous period** | **(loss) for previous period** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | | | | |
|  | <br>**Total net**<br>**equity at**<br>**30/06/2023<sup>1</sup>** | <br>**Reserves** | <br>**Dividends**<br>**and other**<br>**allocations** | <br>**Changes in**<br>**reserves** | <br>**Newly**<br>**issued**<br>**shares** | <br>**Purchase of**<br>**treasury**<br>**shares** | <br>**Interim**<br>**dividends** | <br>**Extraordinary**<br>**dividend**<br>**payouts** | <br>**Changes**<br>**to equity**<br>**instruments** | <br>**Treasury**<br>**shares**<br>**derivatives** | <br>**Stock**<br>**Options** **<sup>2</sup>** | <br>**Changes in**<br>**equity**<br>**investments** | <br>**Other**<br>**comprehensive**<br>**income**<br>**for the year** | <br>**Total net**<br>**equity at**<br>**30/06/2024** | <br>**Net equity**<br>**attributable**<br>**to the Group**<br>**at**<br>**30/06/2024** | <br>**Net equity**<br>**attributable**<br>**to minority**<br>**interests at**<br>**30/06/2024** |
| Share Capital: | 460798 |  |  |  | 346 |  |  |  |  |  |  |  |  | 461144 | 444515 | 16629 |
| a) ordinary shares | 460798 |  |  |  | 346 |  |  |  |  |  |  |  |  | 461144 | 444515 | 16629 |
| b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium | 2197454 |  |  |  |  |  |  |  |  |  |  |  |  | 2197454 | 2195606 | 1848 |
| Reserves: | 7759051 | 1029020 | (713361) | (24879) | (346) | (198548) | (421150) |  |  |  | 15703 |  |  | 7445489 | 7380973 | 64516 |
| a) retained earnings | 7914545 | 1029020 | (713361) | (32817) | (346) |  | (421150) |  |  |  |  |  |  | 7775891 | 7712002 | 63889 |
| b) other | (155494) |  |  | 7938 |  | (198548) |  |  |  |  | 15703 |  |  | (330402) | (331029) | 627 |
| Revaluation reserves | 62130 |  |  | (7938) |  |  |  |  |  |  |  |  | (122786) | (68594) | (68578) | (16) |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares | (78876) |  |  |  |  | 10048<sup>3</sup> |  |  |  |  |  |  |  | (68828) | (68828) |  |
| Profit (Loss) for the year | 1029020 | (1029020) |  |  |  |  |  |  |  |  |  |  | 1276519 | 1276519 | 1273382 | 3137 |
| Total net equity | 11429577 |  | (713361) | (32817) |  | (188500) | (421150) |  |  |  | 15703 |  | 1153733 | 11243185 | X | X |
| Net equity attributable to the Group | 11325434 |  | (713361) | (11670) |  | (188500) | (421150) |  |  |  | 15703 |  | 1150615 | X | 11157071 | X |
| Net equity attributable to minority interests | 104143 |  |  | (21147) |  |  |  |  |  |  |  |  | 3118 | X | X | 86114 |

---

Notes:

---

| | |
|:---|:---|
| 1 | The figures relating to the previous financial year were restated following the retrospective adoption of the accounting standard IFRS 17 – Insurance Contracts. |
| 2 | This represents the effects of performance shares. |
| 3 | This concerns the cancellation (on 11 June 2024, by resolution dated 28 October 2023) of 17,000,000 treasury shares without reduction of the share capital. |

---

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | **Changes for the year** | **Changes for the year** | **Changes for the year** | **Changes for the year** | **Changes for the year** | **Changes for the year** | **Changes for the year** | **Changes for the year** | **Changes for the year** | | | |
|  | | | | **Allocation of profit**<br> **(loss) for the previous**<br> **period** | **Allocation of profit**<br> **(loss) for the previous**<br> **period** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | | | | |
|  |<br>**Total net<br> equity at<br> 30/06/2022<sup>1</sup>** |<br>**Changes<br> in<br> Opening<br> amounts<br> Total<sup>1</sup>** |<br>**Total<br> amounts at<br> 1/07/2022** | **Reserves** | **Dividends<br> and other<br> allocations** | **Changes<br> in<br> reserves** | **Newly<br> issued<br> shares** | **Treasury<br> shares<br> purchased** | **Extraordinary<br> dividend<br> payouts** | **Changes to<br> equity<br> instruments** | **Treasury<br> share<br> derivatives** | **Stock<br> Options<sup>2</sup>** | **Changes in<br> equity<br> investments** |<br>**Other<br> comprehensive<br> income for the<br> year** |<br>**Total net<br> equity as of<br> 30/06/2023** |<br>**Net equity<br> attributable<br> to the<br> Group at<br> 30/06/2023** |<br>**Net equity<br> attributable<br> to minority<br> interests at<br> 30/06/2023** |
| Share Capital: | 460269 |  | 460269 |  |  |  | 529 |  |  |  |  |  |  |  | 460798 | 444169 | 16629 |
| a) ordinary shares | 460269 |  | 460269 |  |  |  | 529 |  |  |  |  |  |  |  | 460798 | 444169 | 16629 |
| b) other shares | – | – | – | – | – | – | – | – |  |  |  | – |  | – | – | – | – |
| Share premium | 2197454 | – | 2197454 | – | – | – | – | – |  |  |  | – |  | – | 2197454 | 2195606 | 1848 |
| Reserves: | 6989271 | 259 | 6989530 | 909654 | (629164) | 635810 | (529) | (160713) |  |  |  | 13583 |  |  | 7759051 | 7676422 | 82629 |
| a) retained earnings | 7060452 |  | 7060452 | 909654 | (629164) | 573252 | (529) |  |  |  |  |  |  |  | 7914545 | 7832543 | 82002 |
| b) other | (71181) | 259 | (70922) | – | – | 62558 | – | (160713) |  |  |  | 13583 |  | – | (155494) | (156121) | 627 |
| Revaluation reserves | 433001 | – | 433001 | – | – | (62558) | – | – |  |  |  | – |  | (308313) | 62130 | 62127 | 3 |
| Equity instruments | – | – | – | – | – | – | – | – |  |  |  | – |  | – | – | – | – |
| Treasury shares | (240807) | – | (240807) | – | – | – | – | 161931<sup>3</sup> |  |  |  | – |  | – | (78876) | (78876) | – |
| Profit (loss) for the year | 909654 | 880 | 910534 | (909654) | – | – | – | – |  |  |  | – |  | 1029020 | 1029020 | 1025986 | 3034 |
| Total net equity | 10748842 | 1139 | 10749981 | – | (629164) | 573252 | – | 1218 |  |  |  | 13583 |  | 720707 | 11429577 | X | X |
| Net equity attributable to the Group | 10647271 | 1139 | 10648410 | – | (629164) | 574308 | – | 1218 |  |  |  | 13583 |  | 717079 | X | 11325434 | X |
| Net equity attributable to minority interests | 101571 | – | 101571 | – | – | (1056) | – | – |  |  |  | – |  | 3628 | X | X | 104143 |

---

Notes:

---

| | |
|:---|:---|
| 1 | Changes entirely due to the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts. |
| 2 | This represents the effects of performance shares. |
| 3 | Effect of the repurchase of RAM Active Investments shares against Group reserves and the cancellation (on 2 September 2022, pursuant to the resolution of 28 October 2021) of 16,500,000 treasury shares without reduction of share capital. |

---

**B.2.6.2. Mediobanca's balance sheet and income statement as of 31 December 2024**

***Consolidated balance sheet of Mediobanca as of 31 December 2024 and 2023***

---

| | | | |
|:---|:---|:---|:---|
| **Assets** | **Assets** |<br>**31 December 2024** | (thousands of Euros)<br>**31 December 2023** |
| 10. | Cash and cash equivalents | 2086067 | 4743344 |
| 20. | Financial assets at fair value with impact taken to profit and loss | 16314194 | 12412639 |
|  | a) financial assets held for trading | 14638267 | 11132017 |
|  | b) Financial assets designated at fair value | 1021306 | 677710 |
|  | c) Other financial assets mandatorily at fair value | 654621 | 602912 |
| 30. | Financial assets at fair value with impact taken to comprehensive income | 6635852 | 6341673 |
| 40. | Financial assets at amortized cost | 66810007 | 63607667 |
|  | a) Due from banks | 5574379 | 5553809 |
|  | b) Due from customers | 61235628 | 58053858 |
| 50. | Hedging derivatives | 233252 | 688283 |
| 60. | Adjustment of hedging financial assets (+/-) |  |  |
| 70. | Equity investments | 4092183 | 3692611 |
| 80. | Insurance assets |  |  |
|  | a) issued insurance contracts that constitute assets |  |  |
|  | b) reinsurance contracts ceded that constitute assets |  |  |
| 90. | Property, plant and equipment | 578029 | 541520 |
| 100. | Intangible assets | 1061161 | 1104711 |
|  | of which: goodwill | 833749 | 882608 |
| 110. | Tax assets | 452118 | 557931 |
|  | a) current | 143423 | 147855 |
|  | b) deferred | 308695 | 410076 |
| 120. | Assets classified as held for sale |  |  |
| 130. | Other assets | 1648791 | 1219962 |
|  | **Total assets** | **99911654** | **94910341** |

---

---

| | | | |
|:---|:---|:---|:---|
| **Liabilities and net equity** | **Liabilities and net equity** |<br>**31 December 2024** | (thousands of Euros)<br>**31 December 2023** |
| 10. | Financial liabilities at amortized cost | 71606983 | 67559615 |
|  | a) due to banks | 11596182 | 12593376 |
|  | b) due to customers | 33427969 | 32980703 |
|  | c) Debt securities in issue | 26582832 | 21985536 |
| 20. | Trading financial liabilities | 9095372 | 9348982 |
| 30. | Financial liabilities designated at fair value | 4718565 | 3384323 |
| 40. | Hedging derivatives | 1111317 | 1391260 |
| 50. | Adjustment of hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities | 534397 | 551679 |
|  | a) current | 151458 | 163087 |
|  | b) deferred | 382939 | 388592 |
| 70. | Liabilities included in disposal groups classified as held for sale |  |  |
| 80. | Other liabilities | 1290300 | 1348581 |
| 90. | Staff severance indemnity provision | 19853 | 21265 |
| 100. | Provisions: | 128977 | 156504 |
|  | a) commitments and financial guarantees | 22123 | 19875 |
|  | b) post-employment and similar benefits | 730 |  |
|  | c)other provisions | 106124 | 136629 |
| 110. | Insurance liabilities | 84698 | 94014 |
|  | a) issued insurance contracts that constitute liabilities | 84698 | 94014 |
|  | b) reinsurance contracts ceded that constitute liabilities |  |  |
| 120. | Revaluation reserves | (152312) | (114917) |
| 130. | Redeemable shares repayable on demand |  |  |
| 140. | Equity instruments repayable on demand |  |  |
| 150. | Reserves | 8347917 | 7957842 |
| 160. | Share premium reserve | 2080830 | 2195606 |
| 170. | Share capital | 444681 | 444510 |
| 180. | Treasury shares (-) | (145822) | (136444) |
| 190. | Minority interests (+/-) | 86161 | 96342 |
| 200. | Profit (Loss) for the period (+/-) | 659737 | 611179 |
|  | **Total liabilities and net equity** | **99911654** | **94910341** |

---

***Consolidated income statement of Mediobanca for the years ended 31 December 2024 and 2023***

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | | | (thousands of Euros) | (thousands of Euros) |
| **Items** | **Items** | **31 December 2024** | **31 December 2024** | **31 December 2023** | **31 December 2023** |
| 10. | &nbsp;&nbsp;Interest and similar income |  | 2015320 |  | 1956429 |
| | *of which: interest calculated using the effective interest method* | | *1678699* | | *1587765* |
| 20. | Interest expense and similar charges |  | (1093434 |  | (963934 |
| **30.** | **Net interest income** |  | **921886** |  | **992495** |
| 40. | Fee and commission income |  | 587547 |  | 440793 |
| 50. | Fee and commission expense |  | (100109 |  | (85848 |
| **60.** | **Net fee and commission income** |  | **487438** |  | **354945** |
| 70. | Dividends and similar income |  | 52159 |  | 28029 |
| 80. | Net trading income |  | 88112 |  | 37592 |
| 90. | Net hedging income (expense) |  | 6663 |  | (2354) |
| 100. | Gain (loss) on disposal/repurchase: |  | 24254 |  | 13754 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | a) financial assets measured at amortized cost | 423 | 8652 |
|  | *b) financial assets valued at fair value with impact taken to comprehensive income* | *24572* | *4402* |
|  | *c) financial liabilities* | *(741)* | *700* |
| 110. | Net result from other financial assets and liabilities measured at fair value with impact taken to profit and loss | (67501) | 36821 |
|  | *a) financial assets and liabilities designated at fair value* | *(76674)* | *24672* |
|  | b) other financial assets mandatorily valued at fair value | 9173 | 12149 |
| **120.** | **Total income** | **1513011** | **1461282** |
| 130. | Net write-offs (write-backs) for credit risk: | (131531) | (139794) |
|  | *a) financial assets measured at amortized cost*<br>| (133828) | (137789) |
|  | *b) financial assets valued at fair value with impact taken to comprehensive *income* | 2297 | (2005) |
| 140. | Gains (losses) from contractual modifications without derecognition | (110) | (46) |
| **150.** | **Net income from financial operations** | **1381370** | **1321442** |
| 160. | Premiums earned (net) | 10904 | 10978 |
|  | a) insurance revenues from insurance contracts issued | 14927 | 13462 |
|  | b) costs for insurance services arising from insurance contracts issued | (4023) | (2484) |
|  | c) insurance revenues from insurance contracts ceded |  |  |
|  | d) costs for insurance services arising from insurance contracts ceded |  |  |
| 170. | Other income / charges from insurance activities | (24) | (83) |
|  | a) net financial costs/revenues relating to insurance contracts issued | (24) | (83) |
|  | b) net financial costs / revenues relating to insurance contracts ceded | – | – |
| **180.** | **Net profit from financial and insurance activities** | **1392250** | **1332337** |
| 190. | Administrative expenses: | (778473) | (754816) |
|  | a) personnel costs | (421339) | (381690) |
|  | b) other administrative expenses | (357134) | (373126) |
| 200. | Net transfers to provisions: | (9737) | (2414) |
|  | a) commitments and financial guarantees | (729) | 2332 |
|  | b) other sums set aside (net) | (9008) | (4746) |
| 210. | Net adjustments to tangible assets | (38836) | (34440) |
| 220. | Net adjustments to intangible assets | (13979) | (15039) |
| 230. | Other operating income (expense) | 111666 | 88293 |
| **240.** | **Operating costs** | **(729359)** | **(718416)** |
| 250. | Gain (loss) on equity investments | 230307 | 218615 |
| 260. | Net result from fair value valuation of tangible and intangible assets | (373) | (1610) |

---

270. Goodwill write-offs – –

280. Gain (loss) on disposal of investments 1 96

**290.** **Profit (loss) on ordinary activity before tax** **892,826** **831,022** 

300. Income tax for the year on ordinary activities (231,407) (218,029)

**310.** **Profit (loss) on ordinary activities after tax** **661,419** **612,993** 

320. Gain (loss) of ceded operating assets, net of tax – –

**330.** **Net profit (loss) for the period** **661,419** **612,993** 

340. Net profit (loss) for the period attributable to minorities (1,682) (1,814)

**350.** **Net profit (loss) for the period attributable to the Parent Company** **659,737** **611,179** 

***Consolidated cash flow statement of Mediobanca for the years ended 31 December 2024 and 2023***

(thousands of Euros)

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Amount** | **Amount** |
|  |  | **31 December 2024** | **31 December 2023** |
| **A.** | **Cash flows from operating activity** | | |
| **1.** | **Operating activity** | **(103406)** | **1047219** |
|  | – interest received (+) | 2682152 | 3714201 |
|  | – interest paid (–) | (1974054) | (1878404) |
|  | – dividends and similar income (+) | 46994 | 27658 |
|  | – net fees and commission income (+/–) | 160950 | 248842 |
|  | – cash payments to employees (–) | (358960) | (349329) |
|  | – net receipts and paid costs of insurance contracts issued and reinsurance disposals (+/–) | (4695) | (4545) |
|  | – other expenses paid (–) | (560995) | (715687) |
|  | – other income received (+) | 113010 | 122583 |
|  | – income taxes paid (–) | (207808) | (118100) |
|  | – Expenses/income from group of assets being sold (+/–) | – | – |
| **2.** | **Cash generated/absorbed by financial assets** | **(1012242)** | **(1024819)** |
|  | – financial assets held for trading | 569674 | (819341) |
|  | – financial assets valued at fair value | (260739) | (85078) |
|  | – financial assets mandatorily valued at fair value | 9008 | (28252) |
|  | – financial assets valued at fair value with impact taken to profit and loss | 379147 | (211634) |
|  | – financial assets valued at amortized cost | (1168042) | (283245) |

---

---

| | | | |
|:---|:---|:---|:---|
|  | – other assets | (541290) | 402731 |
| **3.** | **Cash generated/absorbed by financial liabilities** | **459486** | **1199415** |
|  | – financial liabilities valued at amortized cost | 839991 | 1011833 |
|  | – financial liabilities held for trading | (368870) | (420727) |
|  | – financial liabilities designated at fair value | 287213 | 784799 |
|  | – other liabilities | (298848) | (176490) |
| **4.** | – **Net cash flow (outflow) from operating activities** | **11244** | **13573** |
|  | – issued insurance contracts constituting liabilities/assets (+/–) | 11244 | 13573 |
|  | – reinsurance disposals that constitute assets/liabilities (+/–) |  |  |
|  | – **Net cash flow (outflow) from operating activities** | **(644918)** | **1235388** |
| **B.** | – **Cash flows from investment activity** |  |  |
| **1.** | – **Cash generated from:** | **12466** | **104618** |
|  | – disposal of shareholdings |  | 100001 |
|  | – dividends received in respect of equity investments | 5647 | 4617 |
|  | – disposals of tangible assets | 6819 |  |
|  | – disposals of intangible assets |  |  |
|  | – disposals of subsidiaries or business units | – | – |
| **2.** | – **Cash absorbed by:** | **(62058)** | **(42175)** |
|  | – purchases of shareholdings |  | (3168) |
|  | – purchases of tangible assets | (41423) | (25744) |
|  | – purchases of intangible assets | (20635) | (13208) |
|  | – purchases of subsidiaries and business units | – | (55) |
|  | – **Net cash flow (outflow) from investment activity** | **(49592)** | **62443** |
| **C.** | – **Cash flows from funding activity** | **(580573)** | **(791469)** |
|  | – issuance/acquisition of treasury shares | (114776) | (68975) |
|  | – issuance/acquisition of capital instruments |  |  |
|  | – distribution of dividends and other purposes | (465797) | (722494) |
|  | – purchases/acquisition of minorities | – | – |
|  | – **Net cash flow (outflow) from funding activities** | **(580573)** | **(791469)** |
|  | – **Net cash flow (outflow) during the period** | **(1275083)** | **506362** |

---

***Statement of changes in Mediobanca's net equity for the years ended 31 December and 2023***

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | | | |
|  | | **Allocation of profit for the** | **Allocation of profit for the** | | | | | | | | | | | | | |
|  | | **previous period** | **previous period** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** |  | | | |
|  | | | | | | | | | | | | | **Comprehensive** | | | |
|  | | | | | | | | | | | | | i**ncome for the** | | | |
|  | <br>**Total**<br>**net equity**<br>**at 30/06/2024** | <br>**Reserves** | **Dividends and**<br>**other fund**<br>**applications** | **Changes**<br>**to**<br>**reserves** | **Newly**<br>**issued**<br>**shares** | **Treasury**<br>**shares**<br>**purchased** | <br>**Interim**<br>**dividends** | **Extraordinary**<br>**dividend**<br>**payouts** | **Changes to**<br>**equity**<br>**instruments** | **Treasury**<br>**shares**<br>**derivates** | **Stock**<br>**Options**<br>**<sup>2</sup>** | **Changes in**<br>**equity**<br>**investments** | **year** | <br>**Total net**<br>**equity at**<br>**31/12/2024** | <br>**Net equity**<br>**attributable**<br>**to the Group**<br>**31/12/2024** | <br>**Net equity**<br>**attributable**<br>**to the**<br>**minorities at**<br>**31/12/2024** |
| Share Capital: | 461144 |  |  |  | 166 |  |  |  |  |  |  |  |  | 461310 | 444681 | 16629 |
| a) ordinary shares | 461144 |  |  |  | 166 |  |  |  |  |  |  |  |  | 461310 | 444681 | 16629 |
| b) other shares | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Share premium | 2197454 | – | – | – | – | (114776) | – | – | – | – | – | – | – | 2082678 | 2080830 | 1848 |
| Reserves: | 7445490 | 1276519 | (463007)<sup>1</sup> | 49045 |  | 98943 |  |  |  |  | 7019 |  |  | 8414009 | 8347917 | 66092 |
| a) retained earnings | 7775891 | 1276519 | (463007)<sup>1</sup> | 47532 |  |  |  |  |  |  |  |  |  | 8636935 | 8571470 | 65465 |
| b) other | (330402) | – | – | 1513 | – | 98943 | – | – | – | – | 7019 | – | – | (222927) | (223554) | 627 |
| Revaluation reserves | (68594) | – | – | (1513) | – | – | – | – | – | – | – | – | (82295) | (152402) | (152312) | (90) |
| Equity instruments | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Treasury shares | (68828) | – | – | – | – | (76994) | – | – | – | – | – | – | – | (145822) | (145822) | – |
| Profit (loss) for the year | 1276519 | (1276519) | – | – | – | – | – | – | – | – | – | – | 661419 | 661419 | 659737 | 1682 |
| Total net equity | 11243185 | – | (463007) | 47532 | 166 | (92827) | – | – | – | – | 7019 | – | 579124 | 11321192 | X | X |
| Net equity attributable to the Group | 11157071 | – | (463007) | 49093 | 166 | (92827) | – | – | – | – | 7019 | – | 577516 | X | 11235031 | X |
| Net equity attributable to minority interests | 86114 | – | – | (1561) | – | – | – | – | – | – | – | – | 1608 | X | X | 86161 |

---

Notes:

1 Dividend amount (Euro 884.2 million) after the interim dividend of Euro 421.2 million distributed last May.

(thousands of Euros)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | | | |
|  | | **Allocation of profit** | **Allocation of profit** | | | | | | | | | | | | | |
|  | | **for the previous period** | **for the previous period** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** |  | | | |
|  | | | | | | | | | | | | | **Comprehensive** | | | |
|  | | | | | | | | | | | | | **income for the** | | | |
|  | <br>**Total** **net**<br> **equity at**<br> **30/06/2023<sup>1</sup>** | <br>**Reserves** | **Dividends and**<br>**other fund**<br>**applications** | **Changes**<br>**to**<br>**reserves** | **Newly**<br>**issued**<br>**shares** | **Treasury** <br>**shares**<br>**purchased** | <br>**Interim**<br>**dividends** | **Extraordinary**<br>**dividend**<br>**payouts** | **Changes**<br>**to equity**<br>**instruments** | **Treasury**<br>**shares**<br>**derivates** | <br>**Stock**<br>**Options** **** | **Changes in**<br>**equity**<br>**investments** | **year** | <br>**Total net**<br>**equity at**<br>**31/12/2023** | <br>**Net equity**<br>**attributable**<br>**to the Group**<br> **31/12/2023** | <br>**Net equity**<br>**attributable**<br>**to the**<br>**minorities at**<br>**31/12/2023** |
| Share Capital: | 460798 |  |  |  | 341 |  |  |  |  |  |  |  |  | 461139 | 444510 | 16629 |
| a) ordinary shares | 460798 |  |  |  | 341 |  |  |  |  |  |  |  |  | 461139 | 444510 | 16629 |
| b) other shares | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Share premium | 2197454 | – | – | – | – | – | – | – | – | – | – | – | – | 2197454 | 2195606 | 1848 |
| Reserves: | 7759051 | 1029020 | (713361) | (34620) | (341) | (11407) |  |  |  |  | 5668 |  |  | 8034010 | 7957842 | 76168 |
| a) retained earnings | 7914545 | 1029020 | (713361) | (34630) | (341) |  |  |  |  |  |  |  |  | 8195233 | 8119692 | 75541 |
| b) other | (155494) | – | – | 10 | – | (11407) | – | – | – | – | 5668 | – | – | (161223) | (161850) | 627 |
| Revaluation reserves | 62130 | – | – | (10) | – | – | – | – | – | – | – | – | (177154) | (115034) | (114917) | (117) |
| Equity instruments | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Treasury shares | (78876) | – | – | – | – | (57568) | – | – | – | – | – | – | – | (136444) | (136444) | – |
| Profit (loss) for the year | 1029020 | (1029020) | – | – | – | – | – | – | – | – | – | – | 612993 | 612993 | 611179 | 1814 |
| Total net equity | 11429577 | – | (713361) | (34630) | – | (68975) | – | – | – | – | 5668 | – | 435839 | 11054118 | X | X |
| Net equity attributable to the Group | 11325434 | – | (713361) | (25135) | – | (68975) | – | – | – | – | 5668 | – | 434145 | X | 10957776 | X |
| Net equity attributable to minority interests | 104143 | – | – | (9495) | – | – | – | – | – | – | – | – | 1694 | X | X | 96342 |

---

Notes:

1 The figures relating to the previous financial year were restated following the retrospective adoption of the accounting standard IFRS 17 – Insurance Contracts.

---

| | |
|:---|:---|
| **B.2.7.** | **Recent trend and outlooks** |

---

As indicated in the Mediobanca Half-Year Financial Report *"No other events requiring an adjustment to be made, under IAS 10, to the data shown in the half-yearly consolidated financial statements at 31 December 2024 occurred after such date"*.

---

| | |
|:---|:---|
| **B.3.** | **Intermediaries** |

---

Banca Monte dei Paschi di Siena S.p.A., with registered office in Piazza Salimbeni, 3, Siena, and Banca Akros S.p.A., with registered office in Viale Eginardo 29, Milan, are the entities appointed to coordinate the collection of acceptances of the Offer (the "**Intermediary Appointed to Coordinate the Collection of Acceptances**").

The intermediaries appointed for collecting acceptances of the Offer authorized to carry out their activities by subscription and delivery of the Acceptance Forms (the "**Appointed Intermediaries**") are:

(i) Banca Monte dei Paschi di Siena S.p.A.;

(ii) Banca Akros S.p.A. – Banco BPM Group;

(iii) BNP Paribas, Italian Branch;

(iv) BPER Banca S.p.A. – Corporate & Investment Banking
Division;

(v) Crédit Agricole Italia S.p.A.;

(vi) Iccrea Banca S.p.A..

The Acceptance Forms may also be delivered to the Appointed Intermediaries through any depositary intermediary (such as banks, securities brokerage firms, investment companies, stockbrokers) authorized to provide financial services and member of the centralized management system of Monte Titoli S.p.A. (the "**Depositary Intermediaries**") within the terms specified in Section F, Paragraph F.1.2, of the Offer Document.

The Appointed Intermediaries will collect the Acceptance Forms and hold in escrow the Shares Subject to the Offer tendered in acceptance of the Offer. Acceptances of the Offer will be received by the Appointed Intermediaries: (a) directly through the collection of the Acceptance Forms from the Tendering Shareholders, or (b) indirectly through the Depositary Intermediaries, which will collect the Acceptance Forms from the Tendering Shareholders.

The Appointed Intermediaries or, in the cases referred to in point (b) above, the Depositary Intermediaries will check that the Acceptance Forms and the related Shares Subject to the Offer are correct and consistent with the terms and conditions of the Offer and will pay the Consideration in accordance with Section F, Paragraphs F.5 and F.6, of the Offer Document.

On the Payment Date (or, with reference to the Shares Subject to the Offer tendered in acceptance of the Offer during the possible Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law) or, where applicable, on the payment date of the procedure for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or on the payment date of the Joint Procedure, the Intermediaries Appointed to Coordinate the Collection of Acceptances will transfer the Shares Subject to the Offer tendered in acceptance of the Offer to a securities account in the name of the Offeror.

Please note that the Offer Document, the related annexes and the Acceptance Form, as well as the documents indicated in Section N of the Offer Document, will be available for public consultation at the registered office of the Offeror, the Intermediaries Appointed to Coordinate the Collection of Acceptances and the Appointed Intermediaries, as well as in the manner set forth in Section N of the Offer Document.

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|:---|:---|
| **B.4.** | **Global Information Agent** |

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Georgeson S.r.l., with registered office in Rome, Via Emilia 88, has been appointed by the Offeror as global information agent (the "**Global Information Agent**") to provide information relating to the Offer to all the shareholders of the Issuer.

To this end, the Global Information Agent has set up a dedicated email address (<u>ops-mediobanca@gerogeson.com</u>) and a telephone number 800 189 911. This telephone number will be active for the entire duration of the Acceptance Period, on weekdays, from 9:00 a.m. (Central European Time) to 6:00 p.m. (Central European Time). For those calling from abroad, the number +39 06 45212909 is available.

The Global Information Agent's website is <u>www.georgeson.com/en</u>.

**C.** **CATEGORIES AND QUANTITIES OF THE FINANCIAL INSTRUMENTS SUBJECT TO THE OFFER** 

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|:---|:---|
| **C.1.** | **Category of the financial instruments subject to the Offer and related quantities and percentages** |

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The Offer covers a total of up to No. 849,458,551 Shares Subject to the Offer, including No. 26,914,597 Treasury Shares held by the Issuer, equal to 3.2% of the Issuer's share capital as of the Offer Document Date, in addition to the maximum No. 16,178,862 Additional Shares (if issued) – representing the entire share capital of the Issuer as of the Offer Document Date.

It should be noted that, the Shares Subject to the Offer that are owned, directly or indirectly (including through trust companies or intermediaries) by the Offeror may not be tendered in acceptance of the Offer and, therefore, such shares will not be considered subject to the Offer.

As of the Offer Document Date, the Offeror directly holds No. 31,996 Issuer's shares, representing 0.004% of the Issuer's share capital as of the Offer Document Date. It should be noted that, this calculation does not include shares of Mediobanca held by investment funds and/or other collective investment undertakings managed by companies of the MPS Group in full autonomy from the latter and in the interests of their clients.

The Offeror reserves the right to purchase the Mediobanca shares to the extent permitted by applicable law and provided that any such purchases are notified to Consob and the market within one day pursuant to Article 41, paragraph 2, letter c) of the Issuers' Regulation.

The Offer is addressed, within the limits specified in Section F, Paragraph F.4, of the Offer Document, on a non-discriminatory basis and on equal terms, to all shareholders of the Issuer.

As of the Offer Document Date, and to the best of the Offeror's knowledge, the Issuer has not issued convertible bonds, warrants and/or financial instruments that confer voting rights, even limited to specific matters, at ordinary and extraordinary shareholders' meetings, and/or other financial instruments that may confer on third parties the right to purchase or subscribe shares of the Issuer or even only the voting right, even limited, in relation to the Shares Subject to the Offer.

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|:---|:---|
| **C.2.** | **Authorizations** |

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For the sake of completeness, it should be noted that the Offeror obtained the following authorizations prior to the Offer Document Date:

a. Resolution with protocol No. ECB-SSM-2025-ITMPS-8 - QLF-2025-0020 - QLF-2025-0021 - QLF-2025-0022
of 24 June 2025, pursuant to which the European Central Bank granted BMPS the authorization to acquire direct control of the Issuer,
as well as indirect control of Mediobanca Premier and Compass, pursuant to Articles 19 and 22 of the Legislative Decree No. 385 of
1 September 1993;

b. Resolution with protocol No. 1293052/25 of 24 June 2025, pursuant to which the Bank of Italy
granted the preliminary authorizations to acquire indirect controlling shareholdings in MBCredit Solutions S.p.A., MBFACTA S.p.A. and
SelmaBipiemme Leasing S.p.A., pursuant to Articles 19 and 22 of the TUB, as referred to in Article 110 of the TUB;

c. Resolution with
protocol No. 1294067/25 of 24 June 2025, pursuant to which the Bank of Italy granted the preliminary authorization to acquire
an indirect controlling shareholding in Spafid S.p.A., pursuant to Articles 19 and 22 of the TUB, as referred to in Article 110 of
the TUB;

d. Resolution with protocol No. 1294074/25 of 24 June 2025, pursuant to which the Bank of Italy
granted clearance to acquire an indirect controlling shareholding in Mediobanca SGR S.p.A., as well as an indirect qualified shareholding
in Generali Asset Management S.p.A. SGR and Generali Real Estate S.p.A. SGR, pursuant to Articles 19 and 22 of the TUB, as referred to
in Article 15 of the TUF;

e. Resolution with protocol No. ECB-SSM-2025-ITMPS-5 - OGS-2025-ITMPS-0273144 of 1 April 2025,
pursuant to which the European Central Bank granted the authorization for the preliminary verification that the amendments to the By-laws
of the Offeror in relation to the Capital Increase Reserved to the Offer (and the related Delegation) do not conflict with the sound and
prudent management of the Offeror, pursuant to Articles 56 and 61 of the TUB;

f. Resolution with protocol No. ECB-SSM-2025-ITMPS-4 - OGS-2025-ITMPS-0273144 of 1 April 2025,
pursuant to which the European Central Bank granted the preliminary authorization for the classification of the new shares issued in the
context of the Capital Increase Reserved to the Offer among the Offeror's own funds as Tier 1 capital, pursuant to Articles 26 and
28 of Regulation (EU) 575/2013 of the European Parliament and the Council of 26 June 2013;

g. Resolution with protocol No. ECB-SSM-2025-ITMPS-12 - OGS-2025-ITMPS-0276432 of 24 June 2025,
pursuant to which the European Central Bank granted the Offeror (a) the authorization to acquire direct and indirect shareholdings
which, in aggregate, exceed 10% of the consolidated own funds of the Offeror's banking group, pursuant to Articles 53 and 67 of
the TUB, as implemented in Part Three, Chapter I, Section V, of the Bank of Italy Circular No. 285 of 17 December 2013,
(b) the authorization to acquire controlling shareholdings, or allowing the exercise of significant influence, over financial or
instrumental companies in non-EU countries (other than the United States, Japan, Canada and Switzerland);

h. Resolution with protocol No. 102692/25 of 20 May 2025, pursuant
to which IVASS granted the authorization to acquire a qualified indirect shareholding in Assicurazioni Generali, pursuant to Articles
68 *et seq.* of Legislative Decree No. 209 of 7 September 2005;

i. Resolution with protocol No. 9110020375710 of 25 June 2025, pursuant
to which the "*Finanzmarktaufsichtsbehörde*" (Austrian Supervisory Authority)
granted the authorization to acquire a qualified indirect shareholding in Europäische Reiseversicherung AG, Generali Versicherung
AG, and BAWAG P.S.K. Versicherung AG pursuant to Article 24, paragraph 1, of the *Versicherungsaufsichtsgesetz 2016* (Austrian
Insurance Supervision Act);

j. Resolution with protocol No. ECB-SSM-2025-ITMPS-11 - QLF-2025-0026
of 24 June 2025, pursuant to which the European Central Bank granted the authorization to acquire a qualified indirect shareholding
in Generali Bank AG pursuant to Article 20, paragraph 1, of the *Bankwesengesetz* (Austrian
Banking Act);

k. Resolution with protocol No. 385 - 03 of 24 June 2025, pursuant to which the Bulgarian Supervisory
Authority (Financial Supervision Commission) granted the authorization to

acquire a qualified indirect shareholding in Generali Insurance AD, GP Reinsurance EAD and United Health Insurance Fund Doverie Insurance AD EAD, pursuant to Article 68, paragraph 1, of the Bulgarian Insurance Code;

l. Resolution with protocol No. 326-01-22-25-20 of 26 June 2025, pursuant to which the "*Hrvatska agencija za nadzor financijskih usluga*" (Croatian Supervisory Authority) granted the authorization to acquire a qualified indirect
shareholding in Generali Osiguranje d.d. pursuant to Article 36, paragraph 1, of the *Zakon o osiguranju* (Croatian Insurance
Act);

m. Resolutions with protocol No. 79158-29/2025, 79106-29/2025 and 79108-60/2025 of 23 June 2025,
pursuant to which the "*Magyar Nemzeti Bank*" (Hungarian Supervisory Authority) granted the authorization to acquire
a qualified indirect shareholding in Generali Biztosító Zrt., Európai Utazási Biztosító Zrt.,
and Genertel Biztosító Zrt. pursuant to Articles 237, paragraph 1, 258 and 260, paragraph 2, of Act LXXXVIII of 2014 (Hungarian
Insurance Act);

n. Resolution with protocol No. 03-107/7-20 of 25 June 2025, pursuant to which the "*Agencija za nadzor osiguranja*" (Supervisory Authority of Montenegro) granted the authorization to acquire a qualified indirect shareholding
in Akcionarsko dru š tvo za osiguranje Generali Osiguranje Montenegro pursuant to Article 23,
paragraph 1, of the *Zakon o osiguranju* (Montenegro Insurance Act);

o. Resolution with protocol No. 591 of 23 June 2025, pursuant to which the "*Autoritatea de Supraveghere Financiară*" (Romanian Supervisory Authority) granted the authorization to acquire a qualified indirect
shareholding in Generali Romania Asigurare Reasigurare S.A. pursuant to Article 43, paragraph 1, of Law 237/2015 and Article 10,
paragraph 1, of the RoFSA Regulation 3/2016;

p. Resolutions with protocol No. 7267 and 7268 of 24 June 2025, pursuant to which the Serbian Supervisory
Authority (National Bank of Serbia) granted the authorization to acquire a qualified indirect shareholding in Akcionarsko dru š tvo
za osiguranje Generali Osiguranje Srbija, Beograd and Akcionarsko dru š tvo za reosiguranje
Generali Reosiguranje Srbija, Beograd pursuant to Articles 31 and 69 of the *Zakon o osiguranju* (Serbian Insurance Act);

q. Resolution with protocol No. 7266 of 24 June 2025, pursuant to which the Serbian Supervisory
Authority (National Bank of Serbia) granted the authorization to acquire a qualified indirect shareholding in Akcionarsko dru š tvo
za upravljanje dobrovoljnim penzijskim fondom Generali Beograd pursuant to Article 14 of the Serbian Voluntary Pension Funds Act;

r. Communication with protocol No. 40100-1/2025-4 of 10 March 2025, pursuant to which the "*Agencija Za Zavarovalni Nadzor*" (Slovenian Supervisory Authority) concluded that no determination was necessary (*non luogo a provvedere*)
with regard to the acquisition of a qualified indirect shareholding in Generali zavarovalnica d.d. Ljubljana pursuant to Article 31
of the Slovenian Insurance Act;

s. Resolution with protocol No. 40220-2/2025-15 of 24 June 2025, pursuant to which the "*Agencija Za Trg Vrednostnih Papirjev"* (Slovenian Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding
in Generali Investments, dru ž ba za upravljanje, d.o.o. pursuant to Article 35 of the
Slovenian Investment Funds and Management Companies Act;

t. Resolution with protocol No. 25-011834 of 29 April 2025, pursuant to which the Danish Supervisory
Authority (Danish Financial Supervisory Authority) concluded that no determination was necessary (*non luogo a provvedere*) with
regard to the acquisition of a qualified indirect shareholding in Global Evolution Asset Management AS, Global Evolution Financial ApS,
and Global Evolution Holding ApS pursuant to Article 61 of the *Lov om Finansiel Virksomhed* (Danish Financial Business Act);

u. Resolution with protocol No. 5100 of 20 June 2025, pursuant to which the Greek Supervisory Authority
(Bank of Greece – Department of Private Insurance Supervision) granted the authorization to acquire a qualified indirect shareholding
in Generali Hellas Insurance S.A. pursuant to the Law No. 4364/2016 and the Bank of Greece Executive Committee Act No. 120/11.7.2017;

v. Resolution with protocol No. 902201/39000 of 25 June 2025, pursuant to which the Supervisory
Authority of the Principality of Liechtenstein (Liechtenstein Financial Market Authority) granted the authorization to acquire a qualified
indirect shareholding in Fortuna Lebens-Versicherungs AG pursuant to Articles 92 to 98 of the Liechtenstein Insurance Supervision Act
and of the FMA Guidelines 2017/20 – Prudential Assessment of Qualifying Holdings;

w. Resolution with protocol No. D-25-01910 of 25 June 2025 of the "*Autorité de Contrôle Prudentiel et de Résolution*" (ACPR) (French Supervisory Authority) and resolution protocol No. MV
2025 00086/MVE of 26 June 2025 of the "*Commission de Contrôle des Activités Financières*" (Monegasque
Supervisory Authority), pursuant to which such authorities granted the authorization to acquire a qualified indirect shareholding in CMB
Monaco S.A.M. pursuant to Article 2 of the French Decree No. 2010-1599 of 20 December 2010 and Article 8 of the
Principality of Monaco Law No. 1.338 of 7 September 2007, as subsequently amended, respectively;

x. Resolution with protocol No. MV 2025 00086/MVE of 26 June 2025, pursuant to which the "*Commission de Contrôle des Activités Financières*" (Monegasque Supervisory Authority) granted the authorization to acquire
a qualified indirect shareholding in CMG Monaco S.A.M. pursuant to Article 8 of the Principality of Monaco Law No. 1.338
of 7 September 2007, as subsequently amended;

y. Resolution with protocol No. SAI-CA/2025/431 of 17 June 2025, pursuant to which the Portuguese
Supervisory Authority (Portuguese Insurance and Pension Funds Supervisory Authority) granted the authorization to acquire a qualified
indirect shareholding in Generali Seguros S.A. pursuant to Articles 6, paragraph 1(f), 162 to 169, 172 to 174-A, paragraph 1 of the Legal
Framework for access to and exercise of insurance and reinsurance activities approved by Law No. 147/2015, as subsequently amended,
and pursuant to Articles 2, 3, and 9, and Annexes III, IV, and V of the Regulatory Standard of the Portuguese Insurance and Pension
Funds Supervisory Authority No. 3/2021 of 13 April;

z. Resolution with protocol No. S-Sp-2025/00039/CNB/581 of 20 March 2025, pursuant to which the
Czech Supervisory Authority (Czech National Bank) concluded that no determination was necessary (*non luogo a provvedere*) with regard
to the acquisition of a qualified indirect shareholding in Generali Česká pojišťovna a.s. pursuant to Section 24
and following of Act No. 277/2009 Coll. (Insurance Act) and Section 12 of Decree No. 307/2016 Coll.;

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|:---|:---|
| aa. | Resolution with protocol No. S-Sp-2025/00015/CNB/657 of 20 March 2025, pursuant to which the Czech Supervisory Authority (Czech National Bank) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding in Generali Investments CEE, investiční společnost, a.s. pursuant to Section 520 and following of Act No. 240/2013 Coll. and Sections 16 and 18 of Decree No. 247/2013 Coll.; |

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|:---|:---|
| bb. | Resolution with protocol No. S-Sp-2025/00040/CNB/581 of 20 March, pursuant to which the Czech Supervisory Authority (Czech National Bank) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding in Generali penzijní společnost, a.s. pursuant to Section 41 and following of Act No. 427/2011 Coll. and Section 6 of Decree No. 199/2020 Coll.; |

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cc. Communications of 18 June 2025 in relation to the proceedings No. ACT-25-093791,
ACT-25-093797, ACT-25-093798, ACT-25-093799, ACT-25-093794, ACT-25-093802, ACT-25-093804 and ACT-25-093801, pursuant to which the "*Autorité de contrôle prudentiel et de résolution*" (ACPR) (French Supervisory Authority) granted
the authorization to acquire a qualified indirect shareholding in Europ Assistance S.A., Generali France, Generali IARD S.A., Generali
Retraite S.A., Generali Vie S.A., L'Equité S.A., Prudence Créole, and GFA Caraïbes pursuant to Article R.322-11-1
of the French Insurance Code;

dd. Resolution with protocol No. SUIVT013335
of 9 May 2025, pursuant to which the "*Autorité des marchés financiers* "
(AMF) (French Supervisory Authority) granted the authorization with regard to the acquisition of a qualified indirect shareholding in
Generali Wealth Solutions pursuant to Article 317-10 of the *Autorité des marchés financiers General Regulation*;

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|:---|:---|
| ee. | Resolution of 12 June 2025 in relation to the proceedings with protocol No. VA 42-I 5061/00441#00728, pursuant to which the "*Bundesanstalt für Finanzdienstleistungsaufsicht*" (BaFin) (German Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in ADVOCARD Rechtsschutzversicherung AG, Cosmos Lebensversicherungs-Aktiengesellschaft, Cosmos Versicherung Aktiengesellschaft, Dialog Lebensversicherungs- Aktiengesellschaft, Dialog Versicherung Aktiengesellschaft, ENVIVAS Krankenversicherung Aktiengesellschaft, Generali Deutschland AG, Generali Deutschland Versicherung AG, Generali Deutschland Krankenversicherung AG, Generali Deutschland Lebensversicherung AG, Generali Beteiligungs-GmbH and Generali Pensionsfonds AG pursuant to the German Insurance Supervision Act; |

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|:---|:---|
| ff. | Resolution with protocol No. ECB-SSM-2025-ITMPS-10 - QLF-2025-0023 of 24 June 2025, pursuant to which the European Central Bank granted the authorization to acquire a qualified indirect shareholding in Deutsche Bausparkasse Badenia Aktiengesellschaft pursuant to the German Banking Act and the German Ordinance on qualifying holdings; |

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|:---|:---|
| gg. | Resolution with protocol No. ECB-SSM-2025-ITMPS-9 - QLF-2025-0019 of 24 June 2025, pursuant to which the European Central Bank granted the authorization to acquire a qualified indirect shareholding in Mediobanca International (Luxembourg) S.A. pursuant to Article 6, paragraph 5 and following of the Law of 5 April 1993, the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669, and the Law of 11 January 2008; |

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|:---|:---|
| hh. | Resolution with protocol No. OPC.25/90515-VKE/SNA S-790 GFIOT-AVGFI_A of 25 June 2025, pursuant to which the "*Commission de Surveillance du Secteur Financier*" (CSSF) (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Mediobanca Management Company S.A. pursuant to the Law of 17 December 2010, CSSF Circular 18/698, and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669, and the Law of 11 January 2008; |

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ii. Resolution with protocol No. OPC.25/90722-HOM/SAW S-988 GFIOT-AVGFI_C of 26 June 2025, pursuant
to which the "*Commission de Surveillance du Secteur Financier*" (CSSF) (Luxembourg Supervisory Authority) granted the
authorization to acquire a qualified indirect shareholding in Generali Investments Luxembourg S.A. pursuant to the Law of 17 December 2010,
the Law of 12 July 2013, the CSSF Circular 18/698, and the Joint guidelines on the prudential assessment of acquisitions and increases
of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted
by CSSF Circular 17/669;

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|:---|:---|
| jj. | Resolution of 11 June 2025, pursuant to which the "*Commissariat aux Assurances*" (CAA) (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Compass RE (Luxembourg) S.A. and Generali Luxembourg S.A. pursuant to the Law of 7 December 2015 (Insurance Supervision Law) and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669; |

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|:---|:---|
| kk. | Resolution of 11 June 2025, pursuant to which the "*Commissariat aux Assurances*" (CAA) (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Generali Employee Benefits Network S.A. pursuant to the Law of 7 December 2015 (Insurance Supervision Law); |

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ll. Resolution with protocol No. CIC/211407499 of 21 May 2025, pursuant to which the "Financial
Conduct Authority" (FCA) (UK Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Arma
Partners LLP, Polus Capital Management Limited and Conning Asset Management Limited pursuant to Part XII of the Financial Services
and Markets Act 2000;

mm. Communication of 21 May 2025, pursuant to which the "Financial
Conduct Authority" (FCA) (UK Supervisory Authority) concluded that no determination was necessary (*non luogo a provvedere*)
with regard to the acquisition of an indirect shareholding in Lumyna Investments Limited pursuant to Part XII of the Financial Services
and Markets Act 2000;

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|:---|:---|
| nn. | Resolution with protocol No. JP3/OPI/7364/4 and JP3/OPI/7324/4 of 17 June 2025, pursuant to which the Malaysian Supervisory Authority (Central Bank of Malaysia) granted the authorization to acquire a qualified indirect shareholding in Generali Insurance Malaysia Berhad and Generali Life Insurance Malaysia Berhad pursuant to Section 87, paragraph 1 of the Malaysian Financial Services Act 2013 and the Policy Document on the Application Procedures for Acquisition of Interest in Shares and to be a Financial Holding Company issued by the Central Bank of Malaysia; |

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|:---|:---|
| oo. | Communication with protocol No. 30/816/ISSM-ADM/090.4/2025 of 10 April 2025 and No. 42/1152/ISSM-DS/090.4/2025 of 28 May 2025, pursuant to which the Mozambican Supervisory Authority (Ministry of Finance) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding in Tranquilidade Moçambique Companhia de Seguros, S.A. and Tranquilidade Moçambique Companhia de Seguros Vida, S.A. pursuant to Decree Law No. 1/2010 of 31 December 2010, and Decree No. 30/2011 of 11 August 2011; |

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|:---|:---|
| pp. | Resolution of 24 June 2025, pursuant to which the "New York State Department of Financial Services" (NYDFS) (New York State Supervisory Authority) granted the Offeror the exemption pursuant to Section 1502(b) of the Insurance Law with respect to the obligation to obtain the authorization to acquire control of Generali USA Insurance Company and Generali U.S. Branch, as otherwise required by Section 1506 of the aforementioned law; |

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|:---|:---|
| qq. | by virtue of the tacit consent of the "*Dirección General de Seguros y Fondos de Pensiones*" (Spanish Supervisory Authority) which took effect on 14 May 2025, authorization with regard to a qualified indirect shareholding in Generali España, S.A. de Seguros y Reaseguros and Generali Seguros y Reaseguros, S.A.; |

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Furthermore, prior to the Offer Document Date, the Offeror also issued the following preliminary notifications:

a. preliminary notification on 13 February 2025 to the Swiss Financial Market Supervisory Authority
(FINMA) (Swiss Supervisory Authority) regarding the acquisition of an indirect qualified shareholding in RAM Active Investments SA, Europ
Assistance (Suisse) Assurance SA, Fortuna Rechtsschutz-Versicherung-Gesellschaft AG, Generali Assurances Générales SA, Generali
Investments Schweiz AG, Generali Personenversicherungen AG pursuant to Article 11, paragraph 5 of the Swiss Financial Institutions
Act, Article 10 of the Swiss Financial Institutions Ordinance, Articles 5, paragraph 2 and 21, paragraph 2 of the Swiss Insurance
Supervision Act and pursuant to Article 5 of the Swiss Insurance Supervision Ordinance; and

b. preliminary notification to the "Financial Industry Regulatory Authority, Inc." (FINRA)
(US Supervisory Authority) regarding a change in control of, or a qualified shareholding in, Mediobanca Securities USA LLC pursuant to
FINRA Rule 1017.

It should be noted that also the Other Authorizations have been granted to the Offeror.

With reference to the ECB's requests contained in the authorization dated 24 June 2025 (protocol No. ECB-SSM-2025-ITMPS-8 - QLF-2025-0020 - QLF-2025-0021 - QLF-2025-0022), the following shall be noted.

As announced to the market on 25 June 2025 by means of a press release, pursuant to the provisions of the authorization, the Offeror is required, within six months from the date of the acquisition of Mediobanca's control, to submit to the ECB an integration plan including the following information:

(i) the impacts on capital, funding strategies and digitalisation/IT security, highlighting any deviations
from the initial assumptions as described in the context of the application for the authorization, in terms of, among other things, synergies,
integration costs, operating loss forecasts and goodwill valuations. The updated capital plan shall include, in addition to a base scenario,
also an adverse scenario, together with the related

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|:---|:---|
|  | management mitigation measures, as well as an assessment of the actual feasibility and timing for its implementation; |
| (ii) | the ICT system organization, specifying the transitional and target architectures, data flows, agreements with third parties, together with the processes and the controls relating to the ICT system, data quality, business continuity measures, including in terms of third-party management, and changes to be made to internal plans and procedures; |

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(iii) the corporate governance structure of the new group with reference to:

&nbsp;&nbsp;&nbsp;&nbsp;i. the organizational structure and regulations necessary to ensure strategic and operational coordination
between the Offeror and all its subsidiaries;

&nbsp;&nbsp;&nbsp;&nbsp;ii. the governance structure of the subsidiaries;

&nbsp;&nbsp;&nbsp;&nbsp;iii. the internal control system, ensuring that it is consistent with the size and complexity of the new group as well as with its risk
profile;

&nbsp;&nbsp;&nbsp;&nbsp;iv. the changes to the remuneration structure, also for the purpose of developing proper retention policies for Mediobanca's key
professionals;

&nbsp;&nbsp;&nbsp;&nbsp;v. the changes to be made to the methods for aggregating and reporting risk information.

The Plan shall include a timetable for all integration activities, as well as a defined governance framework for the regular monitoring of the integration process. In addition, in the event that the Offer records an acceptance rate of less than 50%, the Offeror shall provide the ECB, within three months from the closing date of the Transaction:

- a report approved by the Board of Directors and shared with the independent auditor of the Offeror confirming the existence of *de facto* control;

alternatively, in the absence of *de facto* control, a plan approved by the Board of Directors indicating the strategic approach to the acquired shareholding in Mediobanca, the criteria for maintaining or disposing of such shareholding together with the related objectives, timelines and main operational milestones; and

a statement certifying whether it is expected to acquire a shareholding of more than 50% and the related estimated impact in terms of assets.

It should be noted that the same requirements are also referred to in the resolution with protocol No. ECB-SSM-2025-ITMPS-12 - OGS-2025-ITMPS-0276432.

However, with reference to the requests of the Bank of Italy contained in the authorizations of 24 June 2025, the following shall be noted.

With reference to the resolutions with protocol No. 1293052/25 and 1294067/25, relating to the acquisition of indirect controlling shareholdings in MBCredit Solutions S.p.A., MBFACTA S.p.A., SelmaBipiemme Leasing S.p.A., and Spafid S.p.A., the Offeror is required, within six months from the date of the acquisition of control over the aforementioned intermediaries, to submit to the Bank of Italy information regarding:

(i) the strategic/operational outlooks of the intermediaries, providing an updated business plan;

(ii) the methods meant to be adopted for the purposes of the full integration of the intermediaries into the
new corporate structure, in terms of governance, organizational and control arrangements.

With reference to the resolution with protocol No. 1294074/25, relating to the acquisition of an indirect controlling shareholding in Mediobanca SGR S.p.A. as well as an indirect qualified shareholding in Generali Asset Management S.p.A. SGR and Generali Real Estate S.p.A. SGR, the Offeror is required, within six months from the date of completion of the Offer and with specific reference to the acquisition of the controlling shareholding in Mediobanca SGR S.p.A., to submit to the Bank of Italy a disclosure document including:

(i) any changes to the SGR's business plan, with particular regard to the outlooks relating to the delegated
asset management activities and the distribution and placement strategies for collective investment undertakings;

(ii) any plans to maintain/reallocate the high-profile staff currently employed by the SGR;

(iii) plans relating to the appointment/replacement of members of the Board of Directors and senior management,
as well as the measures that will be implemented to integrate the current control functions framework of the SGR into the MPS Group.

With reference to the exemption obtained on 24 June 2025 from the "New York State Department of Financial Services" (NYDFS) regarding the authorization to acquire control of Generali USA Insurance Company and Generali U.S. Branch, it should be noted that the Offeror agreed, among other things, with the aforementioned authority, following completion of the Offer, to employ its reasonable efforts to ensure that the Issuer, without prejudice to the authority's consent, refrains from (i) increasing its shareholding in Assicurazioni Generali beyond the threshold of 15% of the share capital of Assicurazioni Generali and/or (ii) entering into agreements of any kind with third parties concerning the exercise of voting rights in Assicurazioni Generali.

The aforementioned commitment is undertaken solely by the Offeror, does not impact the execution of the Offer and, in any case, does not directly limit the Issuer, nor does it preclude the Offeror from potentially submitting a new application to the competent authority for the purpose of making direct or indirect purchases of shares in Assicurazioni Generali above the aforementioned 15% threshold or from entering into any agreements of any kind with third parties concerning the exercise of voting rights in Assicurazioni Generali.

For further details, please refer to Section A, Paragraph A.1, of the Offer Document.

**D.** **FINANCIAL INSTRUMENTS OF THE ISSUER OR HAVING AS UNDERLYING ASSETS SUCH INSTRUMENTS HELD BY THE OFFEROR, INCLUDING THROUGH TRUST COMPANIES OR INDERMEDIARIES** 

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| | |
|:---|:---|
| **D.1.** | **Number and categories of financial instruments of the Issuer held by the Offeror (including through trust companies or intermediaries) and by persons acting in concert** |

---

As of the Offer Document Date, the Offeror directly holds No. 31,996 Issuer's shares, representing 0.004% of the Issuer's share capital as of the Offer Document Date. It should be noted that, this calculation does not include Mediobanca shares held by investment funds and/or other collective investment undertakings managed by companies of the MPS Group in full autonomy from the latter and in the interests of their clients.

The Offeror does not hold, directly or through trust companies or intermediaries, any other financial instruments issued by the Issuer or having as their underlying ordinary shares of the Issuer, nor any derivative financial instruments conferring a long position in the Issuer.

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| | |
|:---|:---|
| **D.2.** | **Repurchase agreements, securities lending agreements, usufruct and pledge rights, or other commitments with the Issuer's shares as underlying asset** |

---

As of the Offer Document Date, except as indicated below, the Offeror has not entered into any repurchase or securities lending agreements, established any usufruct or pledge rights or assumed any other commitments of any kind having the Issuer's shares as underlying assets (such as, for example, option agreements, futures, swaps, forward agreements on such financial instruments) directly or through trust companies or intermediaries or through subsidiaries.

**E.** **UNIT CONSIDERATION FOR THE FINANCIAL INSTRUMENTS AND RELATED JUSTIFICATION** 

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| | |
|:---|:---|
| **E.1.** | **Indication of the unit Consideration and related determination** |

---

For each Share Subject to the Offer tendered in acceptance of the Offer, the Offeror will pay a unit Consideration, not subject to adjustment (except as indicated below), consisting of No. 2.533 newly issued shares of the Offeror in execution of the Capital Increase Reserved to the Offer.

Therefore, by way of example, for every No. 1,000 (one thousand) Shares Subject to the Offer tendered in acceptance of the Offer, No. 2,533 (two thousand five hundred and thirty-three) newly issued MPS Shares will be paid.

The newly issued MPS Shares resulting from the Capital Increase Reserved to the Offer will have regular dividend rights and, therefore, will confer on their holders the same rights as the ordinary shares of MPS already outstanding on the issue date, and will be listed on Euronext Milan in dematerialised form pursuant to Article 83-*bis* of the TUF.

The Consideration will be paid on the Payment Date, *i.e.*, 15 September 2025 (unless the Acceptance Period is extended in accordance with applicable regulations), or, with reference to the Shares Subject to the Offer tendered in acceptance of the Offer during the possible Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period (unless the Acceptance Period is extended in accordance with applicable law), *i.e.*, 29 September 2025.

The Consideration is net of stamp duty, expenses, fees and commissions, which shall be borne by the Offeror, while capital gains tax, if due, shall be borne by the Tendering Shareholders.

The Pre-Adjustment Consideration has been determined by the Offeror's Board of Directors, as of 23 January 2025, on the basis of its own analyses and assumptions, carried out with the advice and support of J.P. Morgan and UBS.

It should be noted that, for the purposes of the determination of the Pre-Adjustment Consideration, no appraisals prepared by independent entities or aimed at assessing the fairness of the Pre-Adjustment Consideration were obtained and/or used.

As indicated in the Offeror's Communication, such Pre-Adjustment Consideration was equal, as of the Announcement Date, to 2.300 MPS Shares for each Share Subject to the Offer tendered in acceptance of the Offer and has been determined on the assumption that, prior to the Payment Date:

&nbsp;&nbsp;&nbsp;&nbsp;i) the Issuer and/or the Offeror do not approve or implement any ordinary distribution (including interim
dividends), or extraordinary distribution of dividends taken from profits and/or other reserves; and

ii) the Issuer does not approve or implement any transaction on its share capital (including, by way of example, capital increases or reductions) and/or on the Shares Subject to the Offer (including, by way of example, the consolidation or cancellation of shares).

It should be noted that, in accordance with the Offeror's Communication, MPS has adjusted the Pre-Adjustment Consideration to reflect the payment of the MPS Dividend and the Mediobanca Interim Dividend.

Considering that the Offeror's Communication provides for further adjustments to the Consideration, without prejudice to the Offeror's right to exercise (or waive) the relevant Condition of Effectiveness, where applicable, in relation to that individual event, the Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above. Therefore, if the Board of Directors of Mediobanca, in execution of the delegation granted to it by the Issuer's extraordinary Shareholders' Meeting of 28 October 2024, proceeds – prior to the Payment Date – to cancel its Treasury Shares purchased in execution of the authorization of the same ordinary Shareholders' Meeting of Mediobanca of 28 October 2024, and/or any transactions to reduce the number of Mediobanca shares outstanding and/or the payment of the relevant balance of the 2025 dividend, further adjustments will be made to the Consideration, without prejudice to any restructuring and/or changes to the content and/or structure of the Offer.

Pursuant to the Offer, considering the nature of the Consideration, represented by newly issued ordinary shares of the Offeror, offered in exchange for ordinary shares of the Issuer tendered in acceptance of the Offer, the Board of Directors of MPS has carried out a valuation of the shares of Mediobanca and MPS with a view to expressing a relative estimate of their values, based on publicly available data and information. The assumptions and estimates made should therefore be understood in relative terms and with limited reference to the Offer. The valuation analyses carried out by the Board of Directors to determine the Pre-Adjustment Exchange Ratio were carried out on a comparative basis, giving priority to the principle of relative homogeneity and comparability of the valuation methods applied.

The valuation methods and the resulting economic values of the shares of Mediobanca and MPS were identified for the purpose of determining the number of MPS shares reserved to the Offer to be issued, based on the outcome of the Offer. Under no circumstances should these valuations be considered as possible indications of the market price or value, current or prospective, in a context other than that under consideration.

The valuations carried out by the Offeror's Board of Directors refer to the economic and market conditions as of the Reference Date (*i.e.*, on 23 January 2025, corresponding to the Trading Day prior to the Communication Date) and to the economic, financial and equity position of the Offeror and the Issuer as reported in the consolidated interim management reports as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for MPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In particular, for the purpose of determining the Pre-Adjustment Consideration, the Board of Directors of the Offeror elected to use the following valuation methods with equal weighting:

a. the Stock Market Price Method;

b. the market multiples method in the variant of the stock market price of comparable listed companies on
their prospective earnings; and

c. the target price methodology highlighted by research analysts.

The choice of methodologies and the results of the valuation analyses carried out by MPS as of the Reference Date for the purpose of determining the Pre-Adjustment Exchange Ratio must be read in light of the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the Offeror only used publicly available data and information of the Issuer for the purposes of its analyses;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Offeror did not carry out any financial, legal, commercial, tax, industrial or any other due diligence
on Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) as of the Reference Date, no updated business plan for Mediobanca with a time horizon consistent with
that of MPS is publicly available. Consequently, where relevant for the application of the valuation methods, the projections relating
to future economic performance used for MPS were derived from the estimates in the 2024-28 Business Plan, while for Mediobanca were derived
from the estimates provided by research analysts;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) the analyses conducted reflect the peculiarities of the valuation methodologies, the reliability of which
is limited by a number of factors inherent to the methodologies themselves.

The following is a summary description of each of the methodologies used to determine the Pre-Adjustment Consideration:

*a.* *Stock Market Price Method*: the Stock Market Price Method uses market prices as the relevant information
for estimating the economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals
of time deemed significant and on the assumption that there is a correlation between the prices expressed by the market for the shares
of the companies being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing
in relative terms the relationship existing between the values of the companies in question as perceived by the market.

In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of MPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the Announcement Date;

*b.* *Market Multiples Method*: according to the Market Multiples Method, the value of a company is determined
by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company
being valued.

The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the

multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time).

The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations.

Below is a brief description of each company in the reference sample:

● **Intesa Sanpaolo**: a company listed on Borsa Italiana, operating mainly in retail banking, corporate and investment banking, private banking, asset management and insurance services; it also operates in Central and Eastern Europe and Egypt;

● **UniCredit**: a company listed on Borsa Italiana, operating mainly in retail banking, corporate and investment banking, private banking and insurance services (including through bancassurance partnerships); it also operates in Central and Eastern Europe, including Germany and Austria;

● **Banco BPM**: a company listed on Borsa Italiana, resulting from the merger between Banco Popolare and Banca Popolare di Milano in 2017, operates in Italy mainly in retail banking, corporate and investment banking, private banking, consumer credit and offers insurance services (also through bancassurance partnerships);

● **BPER**: a company listed on Borsa Italiana, it operates mainly in retail banking, corporate banking, wealth management, leasing and factoring, and offers insurance services (including through bancassurance partnerships);

● **Credito Emiliano**: a company listed on Borsa Italiana, it operates in Italy mainly in retail banking, wealth management and factoring, and offers insurance services (including through bancassurance partnerships);

● **Banca Popolare di Sondrio**: a company listed on Borsa Italiana, it operates in Italy mainly in retail banking, factoring and leasing, and offering insurance services (including through bancassurance partnerships);

● **FinecoBank**: a company listed on Borsa Italiana, it operates in Italy as a fintech bank with a network of financial advisors, offering banking, trading and investment services;

● **Banca Generali**: a company listed on Borsa Italiana, it operates in Italy, with a network of financial advisors, in financial planning and asset protection for clients;

● **Banca Mediolanum**: a company listed on the Italian Stock Exchange, it operates in asset management and investment advice with a network of financial advisors; it also operates in Spain and Germany.

It should be noted that, given the differences between the business models of the Offeror and of the Issuer, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purposes of the evaluation of the Offeror, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purposes of the evaluation of the Issuer, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration.

The market multiples were applied, for the Offeror, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date).

For the purposes of the valuation analysis of the Issuer, in light of the fact that a significant portion of the Issuer's profitability is generated by the indirect qualified shareholding in Assicurazioni Generali (equal to 13.02% as of 30 June 2024), and considering that the latter company has its own market valuation, the following approach was followed:

● Mediobanca's prospective profit (based on consensus net profit estimates by research analysts for 2025 and 2026, as provided by the info provider FactSet as of the Reference Date) was reduced by the amount relating to the contribution of Assicurazioni Generali (also based on the same source as of the Reference Date) (the "**Prospective Profit Excluding Assicurazioni Generali** ");

● the average multiple of the companies belonging to the reference sample relating to Mediobanca (Intesa Sanpaolo, UniCredit, Finecobank, Banca Generali and Banca Mediolanum) was applied to the Prospective Profit Excluding Assicurazioni Generali, resulting in a valuation of Mediobanca that consequently excludes the value of the investment in Assicurazioni Generali (the "**Valuation Excluding Assicurazioni Generali** ");

● the market value of the stake in Assicurazioni Generali (calculated by multiplying the market capitalization of Assicurazioni Generali as of 23 January 2025 by the stake held by Mediobanca, equal to 13.02% as of 30 June 2024) was added to the Valuation Excluding Assicurazioni Generali, in order to obtain the overall valuation of Mediobanca (the "**Overall Valuation** ").

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| | |
|:---|:---|
| c. | *Research analysts' target price method*: the target price method determines the value of a company based on the target prices that financial analysts publish on the company. Target prices are indications of value that express an assumption about the price that a share can reach on the stock market and are derived from multiple valuation methodologies used at the discretion of the individual research analyst. |
|  | For the purpose of applying the target price methodology, the target prices of Offeror's and Issuer's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of Offeror's and Issuer's preliminary results as of 30 September 2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used. |

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The valuation methodologies described above have been applied on an individual and

business continuity basis for both Offeror and Issuer and also taking into account the specific features of the Offer.

In order to determine the Pre-Adjustment Exchange Ratio, ranges of values were identified for each valuation method, *i.e*.: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and Offeror and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and Offeror.

The range used in relation to the market multiples method (P/E 2025 and P/E 2026), equal to +/-15% of the Pre-Adjustment Exchange Ratio calculated on the Reference Date, was estimated taking into account the fluctuations of the ratio itself in the twelve months prior to the Reference Date.

In particular, in the above time window, the deviation from the average minimum/maximum exchange ratio is +/- 12% using the P/E 2025 method and +/- 15% using the P/E 2026 method, respectively. Therefore, the range applied in the methodology presented in the Explanatory Report of the Board of Directors (+/- 15%) reflects the higher value between the two methods mentioned above.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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| | | | |
|:---|:---|:---|:---|
| | **Implied Pre-Adjustment <br> Exchange Ratio** | **Implied Pre-Adjustment <br> Exchange Ratio** | **Implied Pre-Adjustment <br> Exchange Ratio** |
| <br>**Methodology** | **Minimum** |  | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |  |
| &nbsp;&nbsp;&nbsp;Spot |  | 2.190x |  |
| &nbsp;&nbsp;&nbsp;1 months |  | 2.127x |  |
| &nbsp;&nbsp;&nbsp;2 months |  | 2.194x |  |
| &nbsp;&nbsp;&nbsp;3 months |  | 2.379x |  |
| &nbsp;&nbsp;&nbsp;6 months |  | 2.641x |  |
| &nbsp;&nbsp;&nbsp;12 months |  | 2.948x |  |
| <u>Market Multiples Method</u> |  |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x (\*) | 2.279x | 2.621x(\*) |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x (\*) | 2.211x | 2.543x(\*) |
| <u>Target price method highlighted by research analysts</u> | 2.046x |  | 2.433x |

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(\*) The figure reported has been calculated by applying a range of +/- 15% compared to the average value of 2.279x for the 2025 P/E and of 2.211x for the 2026 P/E.

In light of the above and based on the valuation approach used, the Board of Directors of the Offeror has identified, within the range determined by applying the methodologies outlined above, the Pre-Adjustment Exchange Ratio (MPS Shares for each Mediobanca Share) equal to No. 2.300, including a premium that it has opted to recognize with respect to the official price of the Issuer's shares as of 23 January 2025. This specific value was determined taking into account (i) the ranges identified through the application of the methodologies highlighted in the Explanatory Report of the Board of Directors, (ii) the overall characteristics of the transaction in question, and (iii) the premium implied in the Pre-Adjustment Exchange Ratio

that it was decided to recognize, also in light of points (i) and (ii) above, compared to the official price of Mediobanca shares as of the Reference Date.

It should be noted that for the purposes of the Capital Increase Reserved to the Offer, PricewaterhouseCoopers Advisory S.p.A., the company appointed to audit the Offeror's accounts, has prepared, on a voluntary basis and in accordance with the criteria set out in ISAE "3000 revised – limited assurance engagement", a report regarding the adequacy, in so far as is reasonable and nondiscretionary, in the case in question, of the criteria adopted by the same Board of Directors for determining the Pre-Adjustment Exchange Ratio, with respect to national and international valuation practices and professional techniques applicable to transactions of this nature. This report was made available to the Offeror's Shareholders' Meeting of 17 April 2025.

*<u>Monetary valuation of the Consideration</u>*

For the purposes of this Offer Document, it should be noted that, for illustrative purposes only, a "monetary" value has been attributed to the Pre-Adjustment Consideration offered for each Share Subject to the Offer that will be tendered in acceptance of the Offer (equal to No. 2.300 MPS Shares for each Share Subject to the Offer), the following "monetary" values have been assigned:

(i) Euro 7.036 assigned (for illustrative purposes only in the Offer Document) to each MPS Share and corresponding
to the official price of MPS ordinary shares on the last Trading Day prior to the Offer Document Date (the "**Unit Market Value of the MPS Share Prior to the Offer Document Date** ");

(ii) Euro 16.184 assigned (for illustrative purposes only in the Offer Document) to the Pre-Adjustment Consideration
due for each Share Subject to the Offer tendered in acceptance of the Offer, equal to the Unit Market Value of the MPS Share Prior to
the Offer Document Date multiplied by 2.300 (corresponding to the Pre-Adjustment Exchange Ratio) (the "**Unit Market Value of the Pre-Adjustment Consideration Prior to the Offer Document Date** ");

(iii) Euro 15.992 allocated (for illustrative purposes only in the Offer Document)
to each Mediobanca Share and corresponding to the official price of MPS ordinary shares on the last Trading Day prior to the Communication
Date (*i.e.*, 23 January 2025), namely, Euro 6.953 multiplied by 2.300 (corresponding
to the Pre-Adjustment Exchange Ratio) (the "**Unit Market Value of the Pre-Adjustment Consideration Prior to the Communication Date** ").

In view of the above, it should be noted that, the official stock market prices of the MPS Shares may vary (including during the Acceptance Period and up to the Payment Date) with respect to the price of the MPS ordinary shares used to determine, respectively, the Unit Market Value of the MPS Share Prior to the Offer Document Date, the Unit Market Value of the Pre-Adjustment Consideration Prior to the Offer Document Date and the Unit Market Value of the Pre-Adjustment Consideration Prior to the Communication Date.

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| | |
|:---|:---|
| **E.2.** | **Total countervalue of the Offer** |

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In the event of full acceptance of the Offer, *i.e.*, all of No. 849,458,551 Shares Subject to the Offer are tendered in acceptance of the Offer, and without prejudice to any further

adjustments to the Consideration as indicated in the Offeror's Communication and/or any restructuring and/or changes to the content and/or structure of the Offer, a total of No. 2,151,678,510 newly issued MPS Shares, resulting from the Capital Increase Reserved to the Offer, and representing approximately 63% of MPS' share capital, will be allocated to the Tendering Shareholder as total Consideration, on the basis of the Exchange Ratio, as described in Section E, Paragraph E.1, of the Offer Document.

Therefore, without prejudice to any further adjustments to the Consideration as indicated in the Offeror's Communication and/or any restructuring and/or changes to the content and/or structure of the Offer, in the event of full acceptance of the Offer – *i.e.*, in the event that all No. 849,458,551 Shares Subject to the Offer are tendered in acceptance of the Offer (or in any case transferred to MPS in execution of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, where applicable) – based on the official price of the Offeror's shares recorded at the close of trading on 23 January 2025 (the last Trading Day prior to the Communication Date) equal to Euro 6.953, the total value of the Offer will be approximately Euro 13.6 billion, the latter amount being equal to the "monetary" value of the Pre-Adjustment Consideration (*i.e.*, Euro 15.992 per Issuer's Share).

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| | |
|:---|:---|
| **E.3.** | **Comparison of the Pre-Adjustment Consideration with certain indicators relating to the Issuer** |

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The table below shows the main economic and financial indicators relating to the Issuer for the financial years ended 30 June 2023 and 30 June 2024.

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| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| Total number of shares at the end of the financial year (a) | 832948824 | 849257474 |
| Number of treasury shares at end of year (b) | 6299458 | 8454929 |
| Number of shares outstanding (c=a-b) | 826649366 | 840802545 |
| Weighted average number of shares outstanding | 826608063 | 840761242 |
| Dividends | 885196923 | 714682163 |
| Dividends per share - Euro | 1.06 | 0.84 |
| Net profit attributable to shareholders of the Issuer | 1273382000 | 1025986000 |
| Net profit attributable to shareholders of the Issuer per share - Euro | 1.53 | 1.21 |
| Mediobanca net equity | 11157071000 | 11325434000 |
| Mediobanca net equity per share – Euro | 13.39 | 13.34 |

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With reference to the multipliers analysed, for the sake of completeness, it should be noted that: (i) in relation to the Price/Earnings multiplier, prospective earnings (2025 and 2026 in this specific case), and not historical earnings, represent the fundamental benchmark commonly used in the valuation practice for financial and business companies, and (ii) the

Price/Cash Flow, Enterprise Value/Revenue, Enterprise Value/EBITDA and Enterprise Value/EBIT – commonly used in the valuation practice for industrial sectors – have not been represented and considered for valuation purposes as they are not significant due to the banking sector to which they belong, the business model and the economic and financial profile of the Offeror and the Issuer.

The prices used for the calculation of multiples refer to the market prices recorded as of the Reference Date, *i.e.*, on 23 January 2025, the Trading Day prior to the Communication Date.

With reference to the table below, the prospective Price/Prospective Earnings multiples at the Pre-Adjustment Offer Consideration are at a premium compared to Intesa Sanpaolo and UniCredit and at a discount compared to FinecoBank, Banca Generali and Banca Mediolanum.

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| | | | |
|:---|:---|:---|:---|
| | **Price/Prospective Earnings** | **Price/Prospective Earnings** | **Price/Net Equity** |
| <br>**Comparable companies** | **2025** | **2026** | **September 2024 <br> (latest available data)** |
| Intesa Sanpaolo | 8.2x | 8.1x | 1.27x |
| UniCredit | 7.5x | 7.6x | 1.15x |
| FinecoBank | 18.6x | 17.8x | 5.94x |
| Banca Generali | 15.3x | 14.7x | 4.54x |
| Banca Mediolanum | 10.7x | 10.7x | 2.47x |
| **Average** | **12.0x** | **11.8x** | 3.08x |
| **Median** | **10.7x** | **10.7x** | 2.47x |
| **Mediobanca** | **9.6x** | **9.2x** | **1.15x** |
| **Mediobanca at the Pre-Adjustment Offer Consideration** | **10.0x** | **9.7x** | **1.21x** |

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For illustrative purposes only, Price/Net Equity multiples ("*P/BV*") are also shown, where the Group's net equity used, net of equity instruments, is the latest figure available as of the Reference Date.

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| | |
|:---|:---|
| **E.4.** | **Monthly arithmetic and weighted average of the official prices recorded by the Issuer's shares in the twelve months prior to the promotion of the Offer** |

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The following table shows the monthly arithmetic averages, weighted by daily trading volumes, of the official prices of the Mediobanca Shares recorded on the respective Trading Days in each of the twelve months prior to the Reference Date (inclusive) (*i.e.*, 23 January 2025):

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| | | | | |
|:---|:---|:---|:---|:---|
| **Reference period** | **Average price**<br> *(Euro)* | **Weighted <br> average price<sup>8</sup>** <br> *(Euro)* | **Total volumes** <br> *(shares)* | **Total<br> countervalues** <br> *(Euro)* |
| 24 – 31 January 2024 | 12.193 | 12.200 | 16236627 | 198083883 |
| February 2024 | 12.068 | 12.184 | 89319764 | 1088276879 |
| March 2024 | 13.125 | 13.114 | 48131989 | 631226149 |
| April 2024 | 13.595 | 13.583 | 47940316 | 651160172 |
| May 2024 | 14.447 | 14.488 | 56720521 | 821780280 |
| June 2024 | 13.959 | 13.872 | 48633937 | 674667826 |
| July 2024 | 14.440 | 14.460 | 30473846 | 440663485 |
| August 2024 | 14.475 | 14.389 | 33655034 | 484251442 |
| September 2024 | 15.127 | 15.147 | 39519232 | 598578206 |
| October 2024 | 15.413 | 15.445 | 39500183 | 610070594 |
| November 2024 | 14.503 | 14.456 | 71108306 | 1027967543 |
| December 2024 | 14.090 | 14.066 | 42511160 | 597948396 |
| 2 – 23 January 2025 | 14.803 | 14.881 | 35517927 | 528540984 |

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The official price of the Mediobanca Shares recorded as of the Reference Date (*i.e.*, 23 January 2025) was equal to Euro 15.227.

The table below shows a comparison between (i) the implied Pre-Adjustment Consideration offered (rounded to the third decimal number), calculated taking into account the Pre-Adjustment Exchange Ratio, the official price of MPS ordinary shares as of the Reference Date (*i.e.*, 23 January 2025) and the volume-weighted averages of the official prices of MPS ordinary shares for the 1, 2, 3 and 6 months and 1 year prior to the Reference Date (inclusive), (ii) the official price of the Mediobanca Shares recorded as of the Reference Date, the volume-weighted averages of the official prices of the Mediobanca Shares for the 1, 2, 3 and 6 months and 1 year prior to the Reference Date (inclusive) and the related implied premiums.

<sup>8</sup> Weighted Average Price for Volumes

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| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Reference period** |<br>**MPS market prices<br> (Euro)<br> (a)** | **Implied Pre-**<br>**Adjustment<br> Consideration <br> Offered (Euro) <br> (b=a\*2,300x)** |<br>**Mediobanca's<br> market prices<br> (Euro)<br> (c)** |<br>**Implied premium vs.<br> market prices<br> (d=b/c-1)** |
| Values based on prices as of 23 January 2025 | 6.953 | 15.992 | 15.227 | 5.03% |
| Values based on weighted average of 1-month prices (including 23 January 2025) | 6.954 | 15.995 | 14.795 | 8.11% |
| Values based on weighted average of 2-months prices (including 23 January 2025) | 6.547 | 15.057 | 14.363 | 4.84% |
| Values based on weighted average of 3-months prices (including 23 January 2025) | 6.099 | 14.027 | 14.508 | (3.31)% |
| Values based on weighted average of 6-months prices (including 23 January 2025) | 5.567 | 12.805 | 14.703 | (12.91)% |
| Values based on weighted average of 12-months prices (including 23 January 2025) | 4.724 | 10.865 | 13.928 | (21.99)% |

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Source: FactSet VWAP

For information purposes only, the table below shows the volume-weighted average of the official prices of MPS ordinary shares, the total countervalues as well as the total volumes for each of the twelve months prior to the Reference Date (inclusive) (*i.e.,* 23 January 2025):

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| | | | | |
|:---|:---|:---|:---|:---|
| **Reference period** | **Average price**<br> *(Euro)* | **Weighted <br> average price<sup>9</sup>** <br> *(Euro)* | **Total volumes** <br> *(shares)* | **Total<br> countervalues** <br> *(Euro)* |
| 24 – 31 January 2024 | 3.273 | 3.277 | 119565670 | 391813283 |
| February 2024 | 3.572 | 3.566 | 593213020 | 2115449939 |
| March 2024 | 4.106 | 4.132 | 615446806 | 2543290783 |
| April 2024 | 4.192 | 4.200 | 456900640 | 1919186668 |
| May 2024 | 4.892 | 4.878 | 538753663 | 2628126547 |
| June 2024 | 4.616 | 4.586 | 341144440 | 1564602082 |
| July 2024 | 4.957 | 4.961 | 298171145 | 1479111780 |
| August 2024 | 5.073 | 4.965 | 290348961 | 1441661264 |
| September 2024 | 5.016 | 5.038 | 254001876 | 1279579751 |
| October 2024 | 5.132 | 5.143 | 293279376 | 1508237838 |
| November 2024 | 5.713 | 5.721 | 431090420 | 2466196453 |
| December 2024 | 6.505 | 6.490 | 195288963 | 1267380998 |
| 2 – 23 January 2025 | 6.980 | 6.995 | 169783832 | 1187632871 |

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<sup>9</sup> Weighted Average Price for Volumes

The official price of the Offeror's ordinary shares recorded as of the Reference Date (*i.e.*, 23 January 2025) was equal to Euro 6.953.

The following charts show the performance of the official prices of MPS ordinary shares and the official prices of Mediobanca Shares in the 12 months prior to the Reference Date (inclusive) (23 January 2025), *i.e.*, for the period between 23 January 2024 and 23 January 2025.

![](tm2518026d1_ex99-1sp11img01.jpg)

The following chart illustrates the trend in the implied Pre-Adjustment Exchange Ratio (*i.e.,* the ratio between the official prices of Mediobanca Shares and the official prices of MPS ordinary shares) in the 12 months prior to the Reference Date (inclusive) (23 January 2025), *i.e.*, for the period between 23 January 2024 and 23 January 2025, compared to the Pre-Adjustment Exchange Ratio.

![](tm2518026d1_ex99-1sp11img02.jpg)

The following charts show the performance of the official prices of MPS ordinary shares, the official prices of Mediobanca Shares and the implied Pre-Adjustment Exchange Ratio (*i.e.*, the ratio between the official prices of Mediobanca Shares and the official prices of MPS ordinary shares) in the months following the Communication Date (24 January 2025, announcement made before the opening of the markets), *i.e.*, for the period between 24 January 2025 and 2 July 2025 (the last Trading Day prior to the Offer Document Date), with respect to the Pre-Adjustment Exchange Ratio.

![](tm2518026d1_ex99-1sp11img03.jpg)

![](tm2518026d1_ex99-1sp11img04.jpg)

The chart below shows the performance of the official prices of MPS ordinary shares, Mediobanca Shares and the FTSE Italia Banche index recalculated on the basis of 100 in the 12 months prior to the Reference Date (inclusive) (23 January 2025), *i.e.*, for the period between 23 January 2024 and 23 January 2025. The respective performance during the period analysed was +112% for MPS and +28% for Mediobanca, compared to +58% for the FTSE Italia Banche index.

![](tm2518026d1_ex99-1sp11img05.jpg)

The official stock exchange price of the MPS ordinary shares and the official stock exchange price of the Mediobanca Shares recorded as of the Reference Date (*i.e.*, 23 January 2025) are Euro 6.953 and Euro 15.227, respectively.

The chart below shows the performance of the official prices of MPS ordinary shares, Mediobanca shares and the FTSE Italia Banche index recalculated on the basis of 100 in the months following the Communication Date (24 January 2025, announcement made before the opening of the markets), *i.e.*, for the period between 24 January 2025 and 2 July 2025 (last Trading Day prior to the Offer Document Date). The respective performance of MPS and Mediobanca during the period analysed was +1% and +23%.

![](tm2518026d1_ex99-1sp11img06.jpg)

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| | |
|:---|:---|
| **E.5.** | **Indication of the values attributed to the Issuer's shares in financial transactions carried out in the last financial year and in the current financial year** |

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To the best of the Offeror's knowledge, no financial transactions (such as mergers, demergers, capital increases, public offers) involving a valuation of the Issuer's shares were carried out in the last financial year and in the current financial year, nor, to the best of the Offeror's knowledge, were there any transfers of significant blocks of the Issuer's shares.

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| | |
|:---|:---|
| **E.6.** | **Indication of the values at which the Offeror and the parties acting in concert with it have carried out transactions involving the sale and purchase of the shares subject to the Offer in the last twelve months, indicating the number of financial instruments sold and purchased** |

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Over the last twelve months, the Offeror has not carried out any transactions involving the purchase and/or sale of the Issuer's Shares, except as indicated below.

On 20 June 2025, the Offeror exercised a call option and therefore purchased 70,000 shares of the Issuer (see press release published on the same date pursuant to Article 41, paragraph 2, letter c) of the Issuers' Regulation). The purchase price of these shares of the Issuer was Euro 14.50 per share.

To hedge the risk arising from the aforementioned call option, the Offeror short-sold 38,004 shares of the Issuer and entered into a "securities lending" agreement for the same amount. Therefore, following the exercise of the call option, the Offeror, on the same date, terminated the securities lending agreement for 38,004 shares of the Issuer, with settlement on 24 June 2025. As a consequence, as of the Offer Document Date, the Offeror directly holds 31,996 shares of the Issuer, representing 0.004% of the Issuer's share capital as of the Offer Document Date.

**F.** **TERMS AND CONDITIONS FOR ACCEPTING THE OFFER, DATES AND METHODS OF PAYMENT OF THE CONSIDERATION AND RETURN OF THE SECURITIES SUBJECT TO THE OFFER** 

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| | |
|:---|:---|
| **F.1.** | **Terms and conditions for accepting the Offer and for depositing the Shares Subject to the Offer** |

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| | |
|:---|:---|
| **F.1.1.** | **Acceptance Period and possible reopening of the acceptance period** |

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The Acceptance Period, agreed with Borsa Italiana, pursuant to Article 40, paragraph 2, of the Issuers' Regulation, will begin at 8:30 a.m. (Italian time) on 14 July 2025 and will end at 5:30 p.m. (Italian time) on 8 September 2025, included, unless the Acceptance Period is extended in accordance with applicable regulations.

The date 8 September 2025 will therefore represent, unless the Acceptance Period is extended in accordance with applicable regulations, the closing date of the Offer, and the Payment Date for the Shares subject to the Offer tendered in acceptance of the Offer will be the fifth Trading Day following the closing date of the Acceptance Period, *i.e.,* 15 September 2025, unless extended.

The Offeror will communicate any changes to the Offer in accordance with applicable laws and regulations.

In addition, pursuant to Article 40-*bis*, paragraph 1, letter a) of the Issuers' Regulation, by the Trading Day following the Payment Date, the Acceptance Period must be reopened for 5 Trading Days (and specifically, unless the Acceptance Period is extended, for the trading sessions of 16, 17, 18, 19 and 22 September 2025) if the Offeror, upon publication of the Communication on the Final Results of the Offer (see Section F, Paragraph F.3, of the Offer Document), announces the fulfilment or waiver of the Threshold Condition (in the latter case, if the Offeror comes to hold a total shareholding in the Issuer's share capital equal to or greater than the threshold specified in the Minimum Threshold Condition).

If the conditions for the Reopening of the Acceptance Period are met, the Offeror will pay the Consideration to each Mediobanca shareholder who has accepted the Offer during the Reopening of the Acceptance Period, on the fifth Trading Day following the end of the Reopening of the Acceptance Period and therefore, unless the Acceptance Period is extended, on 29 September 2025.

However, the Reopening of the Acceptance Period will not take place if:

(i) the Offeror, at least 5 Trading Days prior to the end of the Acceptance Period, as possibly extended,
announces to the market that the Threshold Condition has been met or waived (in the latter case, if the Offeror comes to hold a total
shareholding in the Issuer's share capital equal to or greater than the threshold specified in the Minimum Threshold Condition);
or

(ii) at the end of the Acceptance Period, as possibly extended, the conditions for the Sell-Out pursuant to
Article 108, paragraph 2, of the TUF or for the Joint Procedure are met; or

(iii) the Shares Subject to the Offer are subject to one or more competing offers.

**F.1.2. Methods of acceptance and deposit of the Shares Subject to the Offer**

Acceptances of the Offer during the Acceptance Period (as extended in accordance with applicable law), or during the Reopening of the Acceptance Period, by the holders of the Shares Subject to the Offer (or their representatives authorized to act on their behalf) are irrevocable, with the consequence that, following acceptance of the Offer, it will not be possible to transfer or dispose of the Shares Subject to the Offer in any other way for as long as they remain subject to the Offer. However, acceptances already made may be revoked by the accepting party who communicates its intention to revoke the acceptance in the cases of revocation permitted by applicable legislation in order to accept any competing offers or increased offers, pursuant to Article 44 of the Issuers' Regulation.

Acceptance of the Offer must be made by signing and delivering to an Appointed Intermediary the Acceptance Form duly completed in all its parts, with simultaneous deposit of the Shares Subject to the Offer with the said Appointed Intermediary.

Shareholders of the Issuer who intend to accept the Offer may also deliver the Acceptance Form and deposit the Shares Subject to the Offer indicated therein with the Depositary Intermediaries, provided that the delivery and deposit are made in time to allow the Depositary Intermediaries to deposit the Shares Subject to the Offer with the Intermediaries Appointed to Coordinate the Collection of Acceptances no later than the last day of the Acceptance Period, as extended pursuant to applicable law and/or reopened.

The Shares Subject to the Offer are subject to the dematerialisation regime for securities provided for in Articles 83-*bis et seq.* of the TUF, as well as the Regulation adopted by Consob and the Bank of Italy on 22 February 2008, as subsequently amended and supplemented.

Those who intend to tender in acceptance of the Offer their Shares Subject to the Offer must be the registered owners of such shares and must contact their respective intermediaries to provide adequate instructions for acceptance of the Offer.

If there are any holders of Shares Subject to the Offer that are not in dematerialised form and who wish to accept the Offer, they must first deliver the relevant certificates to an authorized intermediary participating in the centralized management system at Monte Titoli S.p.A. for simultaneous dematerialisation (by crediting to a securities account held in the name of the holder of the Shares Subject to the Offer and opened by the latter with a Depositary Intermediary).

In view of the dematerialisation of the Shares Subject to the Offer, the signing of the Acceptance Form shall also constitute an irrevocable instruction given by the individual holder of the Shares Subject to the Offer to the Appointed Intermediary or to the relevant Depositary Intermediary with whom the Shares Subject to the Offer are deposited in a securities account, to transfer the aforementioned Shares Subject to the Offer to the Offeror, including through temporary accounts with such intermediaries, if applicable.

The Depositary Intermediaries, acting as agents, must countersign the Acceptance Forms. The risk that the Depositary Intermediaries do not deliver the Acceptance Forms and, if applicable, do not deposit the Shares Subject to the Offer with the Intermediaries Appointed to Coordinate the Collection of Acceptances by the last valid day of the Acceptance Period, as may be extended in accordance with applicable law and/or reopened, shall be borne exclusively by the shareholders.

Upon acceptance of the Offer and deposit of the Shares Subject to the Offer, by signing the Acceptance Form, the Appointed Intermediary and any Depositary Intermediary will be authorized to carry out all formalities necessary and preparatory to the transfer of the Shares Subject to the Offer to the Offeror, at the latter's expense.

The Shares Subject to the Offer tendered in acceptance of the Offer must be freely transferable to the Offeror and free from any encumbrances or liens of any kind or nature, whether real, obligatory or personal.

For the entire period during which the Shares Subject to the Offer are subject to the Offer and, therefore, until the Payment Date, the Tendering Shareholders may exercise their property rights (such as, for example, the option rights) and administrative rights (such as, for example, the voting rights) relating to the Shares Subject to the Offer owned by them, which will remain the property of the Tendering Shareholders.

Acceptances of the Offer during the Acceptance Period by minors or persons under guardianship or curatorship, in accordance with applicable law, signed by those exercising parental authority, guardianship or curatorship, unless accompanied by the authorization of the guardianship judge, will be accepted with reservation and will not be counted for the purpose of determining the percentage of acceptance of the Offer, and payment will in any case only be made upon authorization.

If the Shares to be tendered in acceptance of the Offer are subject to usufruct or pledge, the acceptance of the Offer may only occur by signing the Acceptance Form by the bare owner and the usufructuary, or by the owner and the pledgee, as applicable (or by only one of these parties who is duly authorised to sign the Acceptance Form also in the name and on behalf of the other).

If the Shares to be tendered in acceptance of the Offer are subject to attachment or seizure, the acceptance of the Offer may only occur by signing the Acceptance Form by the owner and all creditors who requested the attachment or seizure and those who subsequently intervened in the relevant proceedings (or by only one of these parties who is duly authorised to sign the Acceptance Form also in the name and on behalf of the others). Such an acceptance, if not supported by the authorization of the court or of the competent authority for the attachment or seizure procedure, will be accepted with reservation and will be counted for the purpose of determining the percentage of acceptance of the Offer only if the authorization is received by the Depositary Intermediary by the end of the Acceptance Period. Payment of the Consideration will in any case occur only after obtaining the relevant authorization.

If the Shares to be tendered in acceptance of the Offer are registered in the name of a deceased person whose succession is still open, the acceptance of the Offer may only occur by signing the Acceptance Form by the heirs or legatees (as applicable). Such acceptance, if not supported by a specific declaration confirming the fulfilment of tax obligations related to the succession, will be accepted with reservation and will be counted for the purpose of determining the percentage of acceptance of the Offer only if the declaration is received by the Depositary Intermediary by the end of the Acceptance Period. Payment of the Consideration will in any case occur only after obtaining such declaration and will be limited to the portion due to the legatees or heirs (as applicable) who have signed the Acceptance Form.

Only Shares Subject to the Offer that are, at the time of acceptance of the Offer, duly registered and available in a securities account held by the Tendering Shareholder with an intermediary participating in the centralized management system at Monte Titoli may be tendered in acceptance of the Offer. In particular, the Shares Subject to the Offer resulting from purchase transactions carried out on the market may be tendered in acceptance of the Offer only after the settlement of such transactions within the settlement system.

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| | |
|:---|:---|
| **F.2.** | **Ownership and exercise of administrative and economic rights relating to the Shares tendered in acceptance of, and during, the Offer** |

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If the Offer is completed (and therefore the Conditions of Effectiveness are met or have been waived, in whole or in part, by the Offeror), the Shares Subject to the Offer tendered in acceptance of the Offer will be transferred to the Offeror on the Payment Date (or, in the event of acceptance during the Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law).

Until the Payment Date (or, in the event of a Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law), the Issuer's shareholders will retain and may exercise the economic and administrative rights deriving from the ownership of the Shares Subject to the Offer tendered in acceptance of the Offer. However, shareholders who have accepted the Offer may not transfer their Shares Subject to the Offer tendered in acceptance of the Offer, except in acceptance of any competing offers or increased offers pursuant to Article 44 of the Issuers' Regulation.

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| | |
|:---|:---|
| **F.3.** | **Communications regarding the progress and results of the Offer** |

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During the Acceptance Period, as possibly extended, and also during the possible Reopening of the Acceptance Period, the Intermediaries Appointed to Coordinate the Collection of Acceptances shall communicate on a daily basis to Borsa Italiana, pursuant to Article 41, paragraph 2, letter d) of the Issuers' Regulation the data relating to the acceptances received during the day and the Shares Subject to the Offer collectively tendered in acceptance of the Offer, as well as the percentage that such quantities represent with respect to the Shares Subject to the Offer.

Borsa Italiana will publish such data in a specific notice by the day following such communication.

The Offeror reserves the right to purchase Mediobanca shares to the extent permitted by applicable law and provided that any such purchases will be notified by the end of the day to Consob and to the market, in accordance with Article 41, paragraph 2, letter c) of the Issuers' Regulation.

The provisional results of the Offer will be announced to the market by the evening of the last day of the Acceptance Period or, at the latest, by 7:29 a.m. (Italian time) on the first Trading Day following the closing of the Acceptance Period (unless the Acceptance Period is extended in accordance with applicable law). Upon the publication of the Communication on the Provisional Results of the Offer, the following will be indicated: (i) the fulfilment/non-fulfilment or the waiver of the Threshold Condition and of the Minimum Threshold Condition,

(ii) the potential existence of the conditions for the Reopening of the Acceptance Period or the potential existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF or the existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 1, of the TUF and the Squeeze-Out, as well as (iii) the methods and timing relating to the subsequent Delisting (where applicable).

The final results of the Offer will be announced by the Offeror, pursuant to Article 41, paragraph 6, of the Issuers' Regulation, by 7:29 a.m. (Italian time) on the day prior to the Payment Date (unless the Acceptance Period is extended in accordance with applicable law), by publishing the Communication on the Final Results of the Offer.

Upon publication of the Communication on the Final Results of the Offer, the Offeror (i) will confirm the fulfilment/non-fulfilment or waiver of the Threshold Condition and the Minimum Threshold Condition, (ii) will communicate the fulfilment/non-fulfilment or waiver of the Conditions of Effectiveness of the Offer, other than the Threshold Condition; (iii) will confirm the potential existence of the conditions for the Reopening of the Acceptance Period, and (iv) will confirm the potential existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the "TUF" or the existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 1, of the "TUF" and the Squeeze-Out, and the methods and timing relating to the subsequent Delisting, where applicable.

In the event of Reopening of the Acceptance Period:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the provisional results of the Offer following the Reopening of the Acceptance Period will be disclosed
to the market by the evening of the last day of the Reopening of the Acceptance Period or, at the latest, by 7:29 a.m. (Italian time)
on the first Trading Day following the closing of the Reopening of the Acceptance Period (unless the Acceptance Period is extended in
accordance with applicable law). Upon publication of the Communication of the Provisional Results of the Reopening of the Acceptance Period
(i) the potential existence of the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF or for the Joint
Procedure, as well as (ii) the methods and timing relating to the subsequent Delisting (where applicable) will be indicated;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the final results of the Offer will be announced, pursuant to Article 41, paragraph 6, of the Issuers'
Regulation, by 7:29 a.m. (Italian time) on the day prior to the Payment Date of the Reopening of the Acceptance Period (unless the
Acceptance Period is extended in accordance with applicable law) by publishing the Communication on the Final Results of the Reopening
of the Acceptance Period. On that occasion, the Offeror will indicate the final results of the Offer following the potential Reopening
of the Acceptance Period, and will confirm (a) the potential existence of the conditions for the Sell-Out pursuant to Article 108,
paragraph 2, of the TUF or for the Joint Procedure, and (b) the methods and timing relating to the subsequent Delisting, where applicable.

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| | |
|:---|:---|
| **F.4.** | **Markets on which the Offer is promoted** |

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| | |
|:---|:---|
| **F.4.1.** | **Italy** |

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The Offer is promoted in Italy pursuant to Articles 102 and 106, paragraph 4, of the TUF.

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| | |
|:---|:---|
| **F.4.2.** | **United States of America** |

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The Offer will be made to U.S. persons pursuant to a valid exemption from registration under the U.S. Securities Act. U.S. persons that hold Mediobanca Shares may accept the Offer in accordance with the procedures applicable to all other holders of Mediobanca Shares, as provided in Section F.1 of the Offer Document.

The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies.

It may be difficult for U.S. person to enforce their rights and any claim a U.S. person may have arising under U.S. federal securities laws in respect of the Offer, since the Issuer and the Offeror are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. U.S. persons may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.

The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the U.S. Exchange Act provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws.

To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage

in ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities.

Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans.

These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.

**F.4.3. Other countries**

The Offer has not been and will not be promoted in any of the Excluded Countries, except as described in Section F, Paragraph F.4 of the Offer Document, nor using national or international communication or trade instruments of the Excluded Countries (including, by way of example, the postal network, fax, telex, e-mail, telephone and the Internet), or through any structure of any financial intermediary in the Excluded Countries, or in any other way. No actions have been or will be taken to allow the promotion of the Offer in any of the Excluded Countries.

Copies of this Offer Document, or parts thereof, as well as copies of any document relating to the Offer, are not and must not be sent, or in any way transmitted or distributed, directly or indirectly, in the Excluded Countries. Anyone receiving such documents must not distribute, send or forward them (by post or by any other means or instrument of international communication or trade) in the Excluded Countries.

This Offer Document, as well as any other document relating to the Offer, does not constitute and shall not be interpreted as an offer of financial instruments to persons domiciled and/or resident in the Excluded Countries. No securities may be offered, purchased or sold in the Excluded Countries without specific authorization in accordance with the applicable laws and regulations of the Excluded Countries or an exemption therefrom.

The Offeror may not accept, directly or indirectly, any acceptance of the Offer made in or originating from Excluded Countries; such acceptances will be considered null and void. The Appointed Intermediaries and the Depositary Intermediaries may not accept any acceptance

of the Offer from persons resident in the Excluded Countries; such acceptances will be considered null and void.

Except as described in Section F, Paragraph F.4, of the Offer Document, Mediobanca shareholders participating in the Offer must declare, warrant and confirm, among other things, (a) that they have not received in the Excluded Countries or from the Excluded Countries a copy of the Offer Document or any other document relating to the Offer or the Acceptance Form or any other information; and (b) that they are not located in the Excluded Countries at the time of acceptance and are not acting on behalf of persons located in the Excluded Countries.

Acceptance of the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions under the applicable laws or regulations of those countries. It is the sole responsibility of the recipients of the Offer to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their legal and other advisors. The Offeror assumes no liability arising from any violation by any person of the above restrictions.

**F.4.4. Canada**

The Offer Document is not addressed to, nor is it intended for, persons who are located or resident in Canada.

The Offer has not been and will not be promoted in Canada, nor is it addressed to persons who are located or resident in Canada, and no Shares Subject to the Offer may be accepted from such persons.

The MPS Shares have not been and will not be registered for sale to the public under applicable Canadian securities laws and, therefore, may not be offered, sold, pledged, delivered or otherwise transferred in Canada. Accordingly:

(i) Mediobanca shareholders in Canada may not tender in acceptance of the Offer their Shares Subject to the
Offer, and no acceptances of the Offer will be accepted from persons residing or located in Canada;

(ii) no communication relating to the Offer and no invitation to accept the Offer may be sent in Canada or
addressed to persons residing or located in Canada;

(iii) neither the Offer Document nor any other document relating to the Offer may be distributed or disseminated
by intermediaries or other persons in Canada;

(iv) envelopes containing acceptances of the Offer must not be sent by post in Canada or otherwise sent from
Canada, and all persons who intend to exchange the Shares Subject to the Offer for MPS Shares and wish to hold such MPS Shares in registered
form must indicate an address for the registration of the MPS Shares outside Canada;

(v) those who tender in acceptance of the Offer their Shares Subject to the Offer must declare (i) that
they have not received a copy of the Offer Document in Canada, or any other document relating to the Offer, or the Acceptance Form or
any other information, (ii) that they are not located in Canada and are not acting on behalf of persons located in Canada at the
time of acceptance, and (iii) that they are acquiring the MPS Shares outside Canada.

The Appointed Intermediaries and the Depositary Intermediaries may not accept the Shares Subject to the Offer tendered in acceptance of the Offer if they reasonably believe that such

acceptances do not comply with the above provisions and, in particular, may not accept the Shares Subject to the Offer tendered in acceptance of the Offer by customers located in Canada or who have an address in Canada. Instructions that are incomplete or do not comply with the above requirements will be null and void.

**F.4.5. Japan**

The MPS Shares have not been and will not be registered under the applicable laws of Japan. The MPS Shares may not be offered or sold, directly or indirectly, (i) in Japan, (ii) to, or for the benefit of, persons resident in Japan (including persons resident in Japan and all companies or other legal entities incorporated under Japanese law); or (iii) to other persons for the purposes of resale or redistribution, directly or indirectly, in Japan, or to, or for the benefit of, persons resident in Japan. Accordingly:

i) shareholders of the Issuer in Japan may not tender in acceptance of the Offer their Shares Subject to the Offer;

ii) no communication relating to the Offer and no invitation to accept the Offer may be sent or addressed to persons residing or located in Japan;

iii) neither the Offer Document nor any other document relating to the Offer may be distributed or published by intermediaries or other persons in Japan;

iv) envelopes containing acceptances of the Offer must not be sent by post to Japan or otherwise sent from Japan, and all persons who intend to exchange Shares Subject to the Offer for MPS Shares and wish to hold such MPS Shares in registered form must indicate an address for the registration of the MPS Shares outside Japan; and

v) those who tender in acceptance of the Offer their Shares Subject to the Offer must declare (i) that they have not received in Japan a copy of the Offer Document or any other document relating to the Offer, or the Acceptance Form or any other information, (ii) that they are not located in Japan and are not acting on behalf of persons located in Japan at the time of acceptance, and (iii) that they are acquiring the MPS Shares outside Japan.

The Appointed Intermediaries and the Depositary Intermediaries may not accept the Shares Subject to the Offer if they reasonably believe that such acceptances do not comply with the above provisions and, in particular, they may not accept the Shares Subject to the Offer tendered in acceptance of the Offer by customers located in Japan or who have an address in Japan. Instructions that are incomplete or do not comply with the above requirements will be null and void.

**F.4.6. Australia**

The Offer Document does not constitute an offer of financial instruments in Australia. No steps have been taken to register or qualify this Offer Document as an offer in Australia. The Offer Document has not been registered with the Australian Securities & Investments Commission ("**ASIC**"). The disclosure of this Offer Document (including electronic copies) in Australia may be prohibited or restricted by law. Anyone who comes into possession of this Offer Document is required to seek advice and comply with any restrictions or limitations. Failure to comply with such restrictions or limitations may constitute a violation of the laws applicable to financial instruments.

The MPS Shares have not been and will not be registered for sale to the public in Australia and, therefore, may not be offered, sold, pledged, delivered or otherwise transferred in Australia. Accordingly:

a) shareholders
 of the Issuer in Australia may not tender in acceptance of the Offer their Shares Subject
 to the Offer;

b) no
 communication relating to the Offer and no invitation to accept the Offer may be sent in
 Australia or addressed to persons residing or located in Australia;

c) neither
 the Offer Document nor any other document relating to the Offer may be distributed or disseminated
 (including in electronic form) by intermediaries or other persons in Australia;

d) all
 persons who intend to exchange Shares Subject to the Offer for MPS Shares and wish to hold
 such MPS Shares in registered form must indicate an address outside Australia for the registration
 of the MPS Shares;

e) at
 the time of their decision to tender in acceptance of the Offer their Shares Subject to the
 Offer, it is assumed that such person declares, warrants and confirms (i) that they
 have not received in Australia a copy of the Offer Document or any other document relating
 to the Offer, or the Acceptance Form or any other information, (ii) that they are
 not located in Australia and are not acting on behalf of persons located in Australia, and
 (iii) that they are acquiring the MPS Shares outside Australia.

The Appointed Intermediaries and the Depositary Intermediaries may not accept the Shares Subject to the Offer tendered in acceptance of the Offer if they reasonably believe that such acceptances do not comply with the above provisions and, in particular, may not accept the Shares Subject to the Offer tendered in acceptance of the Offer by customers located in Australia or who have an address in Australia. Instructions that are incomplete or do not comply with the above requirements will be null and void.

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| | |
|:---|:---|
| **F.5.** | **Consideration Payment Date** |

---

If the Conditions of Effectiveness are met (or if the Offeror waives all or some of them) and the Offer is therefore completed, payment of the Consideration to the holders of the Shares Subject to the Offer tendered in acceptance of the Offer, against the simultaneous transfer of ownership of such shares to the Offeror, will take place on the fifth Trading Day following the end of the Acceptance Period and, therefore, unless the Acceptance Period is extended in accordance with applicable law, on 15 September 2025 (*i.e.*, on the Payment Date).

In the event of the Reopening of the Acceptance Period, payment of the Consideration for the Shares Subject to the Offer tendered in acceptance of the Offer during the Reopening of the Acceptance Period will take place on the fifth Trading Day following the close of the Reopening of the Acceptance Period, *i.e.*, on 29 September 2025 (unless the Acceptance Period is extended).

On the Payment Date (or, in relation to the Shares Subject to the Offer tendered in acceptance of the Offer during the possible Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law), the Intermediaries Appointed to Coordinate the Collection of Acceptances will transfer the Shares Subject to the Offer collectively tendered to the Offer to a securities deposit account in the name of the Offeror.

No interest will be paid on the Consideration between the date of acceptance of the Offer and the Payment Date (or, in relation to the Shares Subject to the Offer tendered in acceptance of the Offer during the possible Reopening of the Acceptance Period, on the Payment Date of the Reopening of the Acceptance Period, unless the Acceptance Period is extended in accordance with applicable law).

For information regarding the possible unavailability of the MPS Shares offered as Consideration in the event of recourse to the ordinary procedure for the valuation of the Shares Subject to the Offer pursuant to Article 2343 of the Italian Civil Code by means of a sworn appraisal by an expert appointed by the competent Court (*i.e.*, the Court of Siena), please refer to Section A, Paragraph A.5.3, of the Offer Document.

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| | |
|:---|:---|
| **F.6.** | **Methods of payment of the Consideration** |

---

The Consideration will be paid by the Offeror on the Payment Date through the Intermediaries Appointed to Coordinate the Collection of Acceptances, in accordance with the instructions provided by the Tendering Shareholders on the Acceptance Form. In particular, the MPS Shares offered in exchange will be allocated by entering such MPS Shares in the securities account of the Tendering Shareholder opened with the Depositary Intermediary indicated in the Acceptance Form.

If the result of applying the Exchange Ratio to the Shares Subject to the Offer tendered in acceptance of the Offer by a Tendering Shareholder is not a whole number of MPS Shares (*i.e.,* where a Tendering Shareholder does not tender in acceptance of the Offer at least 1,000 Shares Subject to the Offer, or a number of Shares Subject to the Offer equal to a whole multiple of 1,000), the Depositary Intermediary or the Appointed Intermediary with which such Tendering Shareholder has submitted its acceptance must indicate in the Acceptance Form the fractional part of Shares Subject to the Offer attributable to such Tendering Shareholder (each, a "**Fractional Share**").

By the Trading Day following the end of the Acceptance Period (unless the Acceptance Period is extended in accordance with applicable law), each Appointed Intermediary, also on behalf of the Depositary Intermediaries that have sent it acceptances of the Offer, shall notify the Intermediaries Appointed to Coordinate the Collection of Acceptances of the number of Shares Subject to the Offer resulting from the aggregation of the Fractional Shares.

The Intermediaries Appointed to Coordinate the Collection of Acceptances – in the name and on behalf of the Tendering Shareholder and on the basis of the communications received from the Depositary Intermediaries through the Appointed Intermediaries – will aggregate the Fractional Shares of MPS Shares and subsequently sell on Euronext Milan, at market conditions, the whole number of MPS Shares resulting from such aggregation. The cash proceeds from such sales will be transferred to each Appointed Intermediary, which will then credit the relevant Tendering Shareholders in proportion to their respective Fractional Shares (the cash amount corresponding to the Fractional Share, the "**Fractional Cash Amount**").

Therefore, the sums resulting from the above transfers – which will be recognised to the Tendering Shareholders as the Fractional Cash Amount – will be equal to the average sale price of the whole number of MPS Shares resulting from the aggregation and will be paid to the Tendering Shareholders as follows: within 10 Trading Days from the Payment Date (*i.e.*, by 29 September 2025, unless the Acceptance Period is extended in accordance with

applicable law), the Intermediaries Appointed to Coordinate the Collection of Acceptances will credit the sale amount to the Depositary Intermediaries, through the Appointed Intermediaries, dividing it in such a way that each Depositary Intermediary receives an amount equal to the total Fractional Cash Amount due to the Tendering Shareholders who have tendered in acceptance of the Offer their Shares Subject to the Offer through that Depositary Intermediary. The Depositary Intermediaries shall, in turn, distribute and credit the proceeds to the Tendering Shareholders, in accordance with the procedures indicated in the Acceptance Form.

It should be noted that, the Tendering Shareholder shall not bear any costs or negotiation fees, either in relation to the allocation of the MPS Shares or for the payment of the Fractional Cash Amount. In any case, no interest of any kind will be paid on the Fractional Cash Amount.

The Offeror's obligation to pay the Consideration pursuant to the Offer shall be deemed to have been fulfilled when the relevant Consideration and any Fractional Cash Amount have been transferred to the Appointed Intermediaries. The Tendering Shareholders shall bear the sole risk that the Appointed Intermediaries or the relevant Depositary Intermediaries fail to transfer the Consideration or any Fractional Cash Amount to the persons entitled (including any successors *mortis causa*) or delay such transfer.

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| | |
|:---|:---|
| **F.7.** | **Indication of the governing law of the contracts entered into between the Offeror and the holders of the Issuer's financial instruments and relevant jurisdiction** |

---

In relation to acceptance of the Offer, the governing law is Italian law, and the competent jurisdiction is the ordinary Italian one.

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| | |
|:---|:---|
| **F.8.** | **Methods and terms for the return of the Shares Subject to the Offer tendered in acceptance of the Offer in the event the Offer being ineffective and/or allocation** |

---

In the event of communication by the Offeror of its decision to invoke the non-fulfilment of one or more of the Conditions of Effectiveness of the Offer and not to exercise the option to waive such Condition(s) of Effectiveness, and therefore, in the event of failure to complete the Offer, the Shares Subject to the Offer tendered in acceptance of the Offer will be returned, through the Depositary Intermediaries, to the respective Tendering Shareholders, without any charges or expenses being levied on them, by the first Trading Day following the first press release announcing the ineffectiveness of the Offer.

As this is a public exchange offer, no allocation is envisaged.

**G.** **METHODS OF FINANCING, PERFORMANCE GUARANTEE AND OFFEROR'S FUTURE PLANS** 

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| | |
|:---|:---|
| **G.1.** | **Methods of financing of the Offer and performance guarantee** |

---

In light of the nature of the Offer as a public exchange offer, the Offer Consideration consists of newly issued MPS shares, and the Offeror has not taken on and will not take on any financing related to the payment of the Offer Consideration. Specifically, the Offeror will meet the needs arising from the obligations to pay the Offer Consideration – calculated on the assumption of total acceptance of the Offer based on the maximum number of Shares Subject to the Offer equal to No. 849,458,551 – through the Capital Increase Reserved to the Offer.

In view of the above, the shareholders of the Offeror, during the Offeror's Shareholders' Meeting, held on 17 April 2025, resolved, among other things, to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the Delegation. Following this resolution of the Offeror's Shareholders' Meeting, on 26 June 2025, the Board of Directors of MPS, as a performance guarantee of the obligation to pay the Consideration (consisting exclusively of shares) assumed by the Offeror under the terms and conditions set out in the Offer Document, exercised the Delegation and resolved the Capital Increase Reserved to the Offer to be carried out in one or more occasions and also in several tranches, against payment and in a divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, to be carried out through the issuance of a maximum of No. 2,230,000,000 MPS Shares with no nominal value, with regular dividend rights and the same characteristics as the Offeror's shares already outstanding on the issue date, to be paid-in by contribution in kind of the Shares Subject to the Offer tendered in acceptance of the Offer, even as possibly revised and/or modified.

If, following completion of the Offer, the legal conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Sell-Out pursuant to Article 108, paragraph 1, of the TUF and the Squeeze-Out, the remaining shareholders of Mediobanca would have the right, as part of the relevant procedure for fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, and/or the Joint Procedure, if applicable, to request payment of the Full Cash Consideration in place of the Consideration. In this regard, to cover any financial needs arising from the obligations to pay the Full Cash Consideration in place of the Consideration, the Offeror plans to use its own resources.

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| | |
|:---|:---|
| **G.2.** | **Rationale of the Offer and future plans drawn up in relation to the Issuer** |

---

Preliminarily and for the sake of clarity, it should be noted that any reference in this Paragraph G.2 to the effects arising out from the integration, combination, and aggregation of MPS and Mediobanca as a result of the Offer do not require a potential merger by incorporation of Mediobanca into MPS or into another company of the MPS Group and refer, on one hand, to a scenario where MPS exercises legal control over the Issuer and, on the other hand, to a scenario where MPS exercises *de facto* control over Mediobanca, with the clarifications set out in Paragraph G.2.2.2 regarding the so-called DTAs.

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| | |
|:---|:---|
| **G.2.1.** | **Rationale of the Offer** |

---

Without prejudice to MPS' decisions regarding the fulfilment (or non-fulfilment) of the Threshold Condition and the related waiver (where it comes to hold a total shareholding in

the Issuer's share capital equal to at least the threshold specified in the Minimum Threshold Condition) under the terms specified in Section A, Paragraph A.1.7, of the Offer Document, the objective of the Offer, in light of the motivations and future plans related to the Issuer, as further specified below, is to acquire the entire share capital of the Issuer and achieve the Delisting of the Shares Subject to the Offer, thereby promoting the objectives of integration, synergy creation, and growth between MPS and Mediobanca.

Over the past three years, MPS has consistently strengthened its fundamentals, consolidated the sustainability of its business model and improved its risk profile, thereby achieving solid profitability levels. Additionally, the MPS Group has managed to exceed most of the targets of the 2022-2026 business plan two years ahead of schedule and has achieved one of the strongest capital positions in Europe, laying a solid foundation to play an active role in the broader consolidation landscape of the Italian banking sector.

The aggregation between MPS and Mediobanca, which will be carried out in compliance with the principles of sound and prudent management, operational continuity, and risk control, aims to create a New National Champion by combining two prominent names in the financial services market. The objective is to strengthen the sustainability of the business model, ensuring solid profitability levels in the medium/long-term.

MPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and allows for a significant creation of value for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets, and a highly diversified, resilient player with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full optimisation of existing human capital.

In a market currently experiencing a phase of consolidation, MPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in certain key areas and sectors, also to better seize future growth options. This will increase support for households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

The new group will be able to count on Mediobanca's distinctive expertise in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance and of MPS' in the Retail and Commercial Banking. Furthermore, the investment in Assicurazioni Generali. will also positively contribute to the diversification of revenues of the new MPS Group and will be managed in the same way as the other lines of business, according to a careful discipline for capital optimisation and a strong risk-adjusted profitability approach.

The combination will also offer employees of each institution the opportunity to develop their careers in a larger organisation, enhancing their talent through opportunities for mutual enrichment and integration.

At the same time, it will help attracting new high-profile resources, enhancing their skills and professionalism with the aim of consolidating a sustainable and competitive growth model. Furthermore, the Transaction, in line with an underlying medium/long-term logic, will make it possible to consolidate the sustainability strategies of the two banks, leveraging their respective ESG capabilities to strengthen the positioning of the combined entity and promote its commitment to the communities and territories where it is rooted. MPS' high standards of corporate governance will be maintained throughout the integration process and thereafter, ensuring transparency, accountability and a balanced approach that respects all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

As of the Offer Document Date, the Offeror does not intend to unilaterally make any substantial changes to the employment contracts of the employees of Mediobanca and the companies belonging to the Mediobanca Group. Therefore, the Offer is not expected to have any direct negative impact on the overall workforce of the Mediobanca Group in terms of working or employment conditions.

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| | |
|:---|:---|
| **G.2.2.** | **Programmes relating to the management of activities** |

---

Below are the future programmes developed by the Offeror in relation to the Issuer in the event of completion of the Offer (including if the Offeror waives the Threshold Condition, without prejudice to the Minimum Threshold Condition).

More specifically: (i) Paragraph G.2.2.1 provides a description of the Issuer's strategic and business objectives within the MPS Group following completion of the Offer; (ii) Paragraph G.2.2.2 provides a description of the synergies resulting from the Issuer's strategic and industrial objectives within the MPS Group upon completion of the Offer.

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| | |
|:---|:---|
| **G.2.2.1.** | **Strategic and Industrial objectives of the integration of the Issuer into the MPS Group** |

---

The acquisition of Mediobanca allows to accelerate the implementation of the strategic guidelines of MPS' 2024-28 Business Plan, which focuses on: (i) the growth of specialized activities generating high fees; (ii) the development of new service models for value-added activities; (iii) the expansion of financing solutions for households and the development of new services for SMEs; (iv) the renewal and optimization of distribution platforms; and (v) the adoption of a zero-based risk approach for more effective risk management.

MPS and Mediobanca operate with specialized business models and present multiple complementarities that will allow the creation of a New National Champion with a distinctive and resilient business model, capable of meeting the needs of households and businesses. This new entity will be characterized by a wide range of banking products, a balanced funding mix and a solid capital and liquidity position.

Specifically, for the various business lines covered by the two entities, the following strategic development guidelines are expected.

**<u>Retail Banking</u>**

The expertise gained by MPS over the decades will enable the expansion of Mediobanca's Retail business, particularly the customer bases of Compass and Mediobanca Premier, through the offering of MPS' core products, such as accounts, credit cards, and mortgages.

Additionally, MPS will be able to leverage its nationwide branch network, allowing Compass, Mediobanca Premier and potentially all Mediobanca customers to benefit from its extensive presence to meet their financial needs.

**<u>Wealth & Asset Management</u>**

The Transaction will enable the creation of a leading player in Wealth Management, due to the combination of MPS and Mediobanca's expertise in Private Banking, with the contribution from certain companies and product companies, as well as in Asset Gathering, through the integration of over 1,200 financial advisors active in Widiba and Mediobanca Premier, and about 500 bankers, allowing:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 strengthening of the distribution networks in the market, maintaining the current portfolio
 size and profitability standards, thanks to accelerated growth facilitated by the immediate
 achievement of a critical mass in the financial advisor networks;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 increased profitability and customer penetration, through the promotion of alternative products
 (*e.g.*, investment funds, OEIC) and alignment with Mediobanca's best practices
 also to MPS' clients.

**<u>Corporate & Investment Banking</u>**

The Transaction will enable MPS' balance sheet potential to be combined with Mediobanca's Investment Banking activities and to activate an intensive development programme to support the growth of companies throughout Italy.

The complementarity between the customer segments served (SMEs and Large Corporates) and the range of products offered by MPS and Mediobanca to corporate clients will enable the creation of a leading operator in Corporate & Investment Banking (CIB). This will result in a broad and comprehensive offering, covering all major products, including the commercial banking services strictly linked to financial advisory, the Capital Markets, the Structured Finance CIB, the access and execution in financial markets, and the specialty finance services such as factoring.

The combined entity will assume a leadership position in Equity Capital Markets and M&A, allowing the MPS Group to capture growth opportunities in the mid-market segment, where MPS has a consolidated presence and is experiencing significant development, through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 enhancement of the Mediobanca's vertical expertise in the areas of M&A, Equity &
 Debt Capital Markets, improving penetration of the combined customer base through cross-selling
 and up-selling strategies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 offering of Advisory services, particularly M&A, to medium and large corporate clients;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 strengthening of the offer of structured and specialty finance for the corporate sector,
 also supported by a more balanced funding mix, leveraging MPS' commercial funding capacity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 access for the Mediobanca Premier clients to MPS' branch network across Italy.

**<u>Consumer Finance</u>**

The unique positioning of Compass in the consumer credit sector will benefit from a further boost through the enhancement of the existing partnership with MPS and increased penetration in the retail customer base through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 leverage of the consolidated expertise of both banks – specifically Mediobanca –
 in providing consumer credit solutions, expanding the range of available products and improving
 access to credit for a diversified clientele;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 optimization of products' offering such as personal loans, financing solutions, and
 salary-backed loans, promoting an efficient and competitive service model that integrates
 the resources and distribution networks of both groups.

**<u>Insurance</u>**

Besides additional revenue synergies in the core segments of both entities, MPS will have the chance to expand its bancassurance offering through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 introduction of Credit Protection Insurance (CPI) policies on newly issued personal loans,
 increasing penetration of Mediobanca's customer base by capitalizing on MPS'
 existing offering;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ the
 enhancement of customer penetration, by integrating banking products with existing insurance
 products in the portfolio.

Finally, it should be noted that, given the nature of the Transaction, as of the Offer Document Date, MPS has prepared economic and financial projections in relation to the acquisition of Mediobanca based on the estimates contained in MPS' 2024-28 Business Plan and publicly available information for Mediobanca. These projections were prepared taking into account the business rationale for the initiative, the synergies that can be achieved by combining the two entities and the estimated integration costs. Upon completion of the Offer, MPS will prepare a Business Plan for the entity resulting from the integration with Mediobanca, which will be subject to approval by the competent bodies.

\* \* \* \*

As of the Offer Document Date, the Offeror does not intend to unilaterally make any substantial changes to the employment contracts of the employees of MPS, Mediobanca and the companies belonging to the respective groups. Therefore, the Offer is not expected to have any direct negative impact on the overall workforce of the MPS Group and the Mediobanca Group in terms of working or employment conditions. Given the complementary nature (and absence of overlap) of the businesses of MPS and Mediobanca, as of the Offer Document Date, it is reasonable to believe that, in case of completion of the Offer, there will be no impact on the human capital and existing operating sites of MPS and Mediobanca.

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|:---|:---|
| **G.2.2.2.** | **Synergies resulting from the Issuer's strategic and business objectives within the MPS Group upon completion of the Offer** |

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The combination is fully consistent with MPS' strategic guidelines set out in its 2024-28 Business Plan and will generate significant revenue growth and important cost and funding synergies, with an effective implementation path.

With regard to the revenues, the Transaction will generate synergies of approximately Euro 0.3 billion per year, thanks to the enrichment of the product and service offering for households and businesses, the development of an integrated offering across the respective

customer bases and increased penetration and expansion of the reference markets. In particular, through:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ Retail
 Banking – introducing MPS products to the customer base of Compass and Mediobanca Premier,
 making the MPS branch network available to facilitate scalable service delivery and deeper
 market penetration. Examples of growth drivers include:

o Accounts
 and Cards – for the so-called daily banking;

o Mortgages
 – leveraging the proven commercial capabilities of the MPS network, including in meeting
 the needs of customers for related insurance products;

o Bancassurance
 – extension of the insurance offering to Mediobanca Premier customers;

o Consumer
 Finance – expanding the distribution by making the MPS branch network available, enriching
 the offering with insurance products and internationalizing the value proposition towards
 new markets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ Private
 Banking – extending Mediobanca's best practices to MPS customers, including through
 Mediobanca's asset management products (*e.g.*, alternative investments);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ Asset
 Gathering – integration of Mediobanca Premier and Widiba to create a network of financial
 advisors already comprehensively structured to compete with key players, supported by a distinctive
 digital platform, with the introduction of an integrated offering of asset management products
 and enhancement of MPS' capabilities in the insurance sector;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;■ Corporate &
 Investment Banking – combining MPS' balance sheet potential with Mediobanca's
 Investment Banking business and launching an intensive development programme to support the
 growth of companies throughout the country. Similarly, leveraging Mediobanca's specialized
 experience in Advisory and Markets to extend its reach to MPS' corporate customers.

The Transaction will also generate significant cost synergies in terms of administrative expenses and enable targeted optimization of overlapping functions. This will be complemented by savings from the rationalization of the combined investment plans of the two banks, thereby avoiding duplication of investments in areas affected by the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· centralization
 of procurement from large suppliers and extension of best practices in terms of cost governance;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· optimization
 of IT investments and digital transformation for common areas, such as the MPS consumer finance
 platform;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· optimization
 of wealth management support activities for both Private Banking and Asset Gathering;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· combined
 development of the platform for corporate customers and optimization of product factories
 (*e.g.*, MBFACTA and MPS Factoring);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· optimization
 of duplication of central functions, both in operational and resource terms.

Furthermore, the aggregation will enable funding synergies of approximately Euro 0.1 billion per year to be achieved thanks to a more balanced funding mix, leveraging MPS' commercial funding capacity and optimizing the combined entity's wholesale funding position. It should also be noted that if, upon completion of the Offer, the Offeror comes to hold a shareholding in Mediobanca's share capital equal to or greater than the Threshold Condition (*i.e.*, 66.67% of the Issuer's share capital), it is expected that approximately 50% of the total synergies will be achieved in 2026, increasing to approximately 85% in 2027 and fully implemented in 2028.

The business project, which stands out for the significant complementarity of the two business models (which significantly reduces the execution risk), will be implemented through a simple integration, with one-off integration costs estimated at approximately Euro 0.6 billion before tax, which can be expensed in the first year.

It should be noted that, the cost and funding synergies, the expansion of revenue sources and related synergies, and the advantages deriving from the complementary nature of the business models of MPS and Mediobanca, as well as the strategic objectives of the Offer, will be achievable not only through the acquisition of legal control, but also in scenarios other than the acquisition of legal control (*de facto* control), albeit with possible variations and delays in their implementation, all as further specified in Section A, Paragraph A.1.4.

The Transaction also aims to accelerate the utilization of DTAs held by MPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTAs (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTAs will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

For the sake of completeness, it should be noted that, the aforementioned acceleration in the use of DTAs is subject to the Offeror acquiring a shareholding of more than 50% in the share capital of Mediobanca. By relying on the provisions of Articles 117 *et seq.* of the Consolidated Law on Income Tax (Presidential Decree No. 917 of 22 December 1986), Mediobanca may join the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A., starting from the tax period following that in which such shareholding was acquired (<sup>10</sup>). As a result, the consequent increase in the MPS Group's future consolidated tax base will allow for the immediate recording in the financial statements of almost all DTAs from past consolidated tax losses, up to Euro 2.9 billion, and, compared to the current situation, will accelerate the utilization process of these DTAs with the related benefit in capital terms.

Otherwise, in the event that, upon completion of the Offer and following the potential waiver of the Threshold Condition, the Offeror comes to hold a shareholding equal to or less than 50% of the share capital of Mediobanca, the latter, even in a *de facto* control scenario, may not be included in the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A.; in such a case, MPS may continue to use the past consolidated tax losses to compensate the taxable income generated by the companies currently participating in the national tax consolidation scheme and, both the recording of Euro 1.3 billion of DTAs (currently off-balance sheet) as assets and the benefits deriving from the use of the DTAs will

<sup>10</sup> In accordance with the requirement set forth in Article 119, paragraph 1, letter "a" of the Consolidated Law on Income Tax ("alignment of the financial year of each subsidiary with that of the parent company or controlling entity"), Mediobanca's financial year (which, on the Offer Document Date, ends on 30 June) shall be aligned with that of the Offeror.

still be achieved, even if over a longer period of time. Specifically, the expected benefits would be achieved in 2036 with an average annual use of DTAs equal to approximately Euro 300 million, also due to the projected increase in the tax base resulting from the synergies generated by the Transaction.

The combined group will be strengthened, with a diversified revenue stream and strong resilience to successfully competing in different scenarios, while also enabling significant value creation for all shareholders, supported by higher profitability compared to the standalone businesses and able to generate a double-digit growth in earnings per share.

Shareholders will benefit from a sustainable dividend policy over time, with a payout ratio of up to 100% of the net profit, with growth in dividends per share, while confirming MPS' solid capital position (projected consolidated fully loaded Common Equity Tier 1 ratio as of 31 March 2025 for the resulting Group following completion of the Offer equal to 17.8% (<sup>11</sup>) upon completion of the transaction in the event of 100% acceptance of the Offer).

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| | |
|:---|:---|
| **G.2.3.** | **Investments and future sources of financing** |

---

As of the Offer Document Date, the Board of Directors of the Offeror has not taken any decision regarding investments of particular importance and/or additional to those generally required for the operational management of the activities in the industrial sector in which the Issuer itself operates.

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| | |
|:---|:---|
| **G.2.4.** | **Transaction upon completion of the Offer** |

---

The Offeror intends to proceed with the Delisting, *i.e.*, the delisting of the Issuer's shares from trading on Euronext Milan, in accordance with the terms and conditions described in the Offer Document.

As indicated in Section A, Paragraph A.1, of the Offer Document, the effectiveness of the Offer is subject to the fulfilment of the Threshold Condition, *i.e.*, the Offeror acquiring, upon completion of the Offer, ownership of at least 66.67% of the Issuer's share capital, in order to allow the Offeror to hold an absolute majority at the Issuer's extraordinary shareholders' meeting.

Regardless of the Delisting of Mediobanca, the Offeror does not exclude the possibility of considering in the future, at its discretion, the implementation of any other extraordinary transactions and/or corporate and business reorganizations that may be deemed appropriate, in line with the objectives and reasons for the Offer, which will also be deemed appropriate in order to ensure the integration of the activities of MPS and Mediobanca, balancing the interests of all stakeholders involved.

As of the Offer Document Date, the Offeror has not taken any decision regarding any extraordinary transactions for the reorganization of the MPS Group following the aggregation with the Mediobanca Group, as a result of the completion of the Offer, including the potential merger by incorporation of the Issuer into the Offeror or into another company of the MPS Group, without prejudice to the commencement of the necessary corporate, authorization

<sup>11</sup> Figures derived from internal projections prepared by the Bank based on financial information available as of 31 March 2025. These projections take into account the impacts of the preliminary Purchase Price Allocation (PPA) process, including any fair value adjustments.

and regulatory procedures, also for the purposes of the potential Delisting. With regard to the potential merger, the Offeror specifies that if the Threshold Condition is not met and the Offeror decides to waive it (without prejudice to the Minimum Threshold Condition), the Offeror may not be able, following the Offer, to approve the potential merger with the only favourable vote of the Offeror itself. Regarding the potential merger, it should be noted that, in such a hypothetical situation, a proposal will be presented to the competent bodies of both the Issuer and the Offeror to proceed with this transaction so that they may convene the relevant extraordinary shareholders' meetings and, consequently, activate all customary safeguards as mandated by applicable laws and regulations.

For further information provided to Mediobanca shareholders in relation to possible alternative scenarios regarding acceptance or non-acceptance of the Offer, please refer to Section A, Paragraph A.A.15, of the Offer Document.

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| | |
|:---|:---|
| **G.2.5.** | **Planned changes in the composition of the corporate bodies and related remuneration** |

---

As of the Offer Document Date, the Offeror is not in a position to assess any future changes to the management and control bodies of Mediobanca and the companies of the Mediobanca Group, as the only information currently available to MPS is that which is in the public domain.

In this regard, MPS will promptly inform the supervisory authorities as soon as any decisions are made in this regard, it being understood, for the sake of clarity, that, in any case, each individual who may be appointed to assume management, control and direction responsibilities in Mediobanca and/or other companies of the Mediobanca Group must meet the eligibility and integrity requirements applicable under applicable legislation.

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| | |
|:---|:---|
| **G.2.6.** | **Amendments to the By-laws** |

---

As of the Offer Document Date, the Offeror has not identified any specific amendments or changes to be made to the current text of the Issuer's By-laws, except: (i) amendments resulting from the inclusion of the Issuer in the MPS Group upon completion of the Offer in accordance with applicable regulations, and (ii) amendments that may be necessary following the possible Delisting of the Issuer's Shares in order to adapt it to that of an non-listed company.

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| | |
|:---|:---|
| **G.3.** | **Restoration of the free float** |

---

In the event that, at the end of the Offer, the Offeror holds – as a result of acceptances of the Offer and/or purchases made outside the Offer in accordance with applicable regulations during the Acceptance Period, as extended and/or reopened – a total shareholding of more than 90% but less than 95% of the share capital of the Issuer, the Offeror hereby declares that it will not reconstitute the free float and that it will fulfil the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, with respect to any shareholder of Mediobanca who so requests, with the consequent Delisting.

In the case described above, the Offeror will carry out the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, recognizing a consideration per Mediobanca Share pursuant to Article 108, paragraphs 3 or 4 and 5, of the TUF, and Articles 50, 50-*bis* and 50*-ter* of the Issuers' Regulation (as applicable). In this regard, please refer to Section A, Paragraph A.11, of the Offer Document.

The Offeror will announce whether the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF have been met in the Communication on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication on the Final Results of the Reopening of the Acceptance Period). In the event that the conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF are met, the Communication of the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication of the Final Results of the Reopening of the Acceptance Period) will contain information about (a) the number of remaining Shares Subject to the Offer (in absolute terms and as a percentage), (b) the manner and timing with which the Offeror will fulfil the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and (c) the manner and timing of the Delisting. Before fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, through the appropriate procedure, the Offeror will publish an additional press release containing information relating to the determination of the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, as well as the calculation and value of the Full Cash Consideration that will be offered as an alternative in cash in this procedure pursuant to the above provisions.

Pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, if the conditions set forth in Article 108, paragraph 2, of the TUF are met, the ordinary shares of Mediobanca will be delisted from Euronext Milan as of the Trading Day following the payment date of the consideration for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, except as indicated below in relation to the Joint Procedure.

In the event of delisting of Mediobanca ordinary shares from Euronext Milan (*i.e.*, in the event of Delisting), holders of Shares Subject to the Offer who have not accepted the Offer, or who have not requested the Offeror to purchase in execution of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the Shares Subject to the Offer held by them will be holders of financial instruments not traded on any regulated market, with the consequent difficulty of liquidating their investment (without prejudice to the provisions of Section G, Paragraph G.2.4 above, of the Offer Document).

Furthermore, if, as a result of the Offer – due to acceptances of the Offer and/or purchases made outside the Offer in accordance with applicable regulations during the Acceptance Period, as may be extended and/or during the Reopening of the Acceptance Period, as well as during and/or in accordance with, the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF – the Offeror comes to hold a total shareholding of 95% or more of the Issuer's share capital, the Offeror hereby declares its intention to exercise the Squeeze-Out on the remaining Shares Subject to the Offer pursuant to Article 111 of the TUF.

Therefore, by exercising the Squeeze-Out, the Offeror will at the same time fulfil the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, towards the shareholders of the Issuer who have requested it, thereby initiating the Joint Procedure.

The consideration due for the Shares Subject to the Offer purchased following the exercise of the Squeeze-Out and the fulfilment of the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, in execution of the Joint Procedure, will be determined in accordance with the provisions of Article 108, paragraphs 3 or 4 and 5, of the TUF, as referred to in Article 111 of the TUF, as well as the provisions of Articles 50, 50-*bis* and 50*-ter* of the Issuers' Regulation

as referred to in Article 50*-quater* of the Issuers' Regulation. In this regard, please refer to Section A, Paragraph A.12, of the Offer Document.

The Offeror shall disclose whether or not the legal requirements for the exercise of the Squeeze-Out have been met in the Communication on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Press Release on the Final Results of the Reopening of the Acceptance Period), or in the press release relating to the results of the procedure for fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF.

In the event that the conditions for the Sell-Out are met, the Communication on the Final Results of the Offer (or, in the event of a Reopening of the Acceptance Period, in the Communication on the Final Results of the Reopening of the Acceptance Period), or the press release relating to the results of the procedure for fulfilling the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, will contain information regarding (a) the number of remaining Shares Subject to the Offer (in absolute terms and as a percentage), (b) the manner and timing with which the Offeror will exercise the Squeeze-Out and, at the same time, fulfil the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, initiating the Joint Procedure; and (c) the manner and timing of the Delisting.

Pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, in the event of the exercise of the Squeeze-Out, Borsa Italiana will suspend and/or revoke the listing of the Issuer's ordinary shares, taking into account the time required for the exercise of the Squeeze-Out.

With regard to the potential shortage of free float, please refer to the provisions of Section A, Paragraph A.13, of the Offer Document.

**H.** **ANY AGREEMENTS AND TRANSACTIONS BETWEEN THE OFFEROR, PARTIES ACTING IN CONCERT WITH THE OFFEROR AND THE ISSUER OR ITS SHAREHOLDERS OR MEMBERS OF THE ISSUER'S MANAGEMENT AND CONTROL BODIES** 

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| | |
|:---|:---|
| **H.1.** | **Financial and/or commercial agreements and transactions that have been executed or approved in the twelve months prior to the publication of the Offer, which may have or have had a significant effect on the business of the Offeror and/or the Issuer** |

---

As of the Offer Document Date, there are no financial and/or commercial agreements and transactions that have been executed or approved between the Offeror and the Issuer or the relevant shareholders or members of the Issuer's management and control bodies in the twelve months prior to the publication of the Offer, which may have or have had a significant effect on the activities of the Offeror and/or the Issuer. For the sake of completeness, it should be noted that in December 2024, the commercial distribution agreement between the Offeror and Compass, MPS' partner in consumer credit brokerage, was renewed, setting the new expiry date as 31 December 2026.

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| | |
|:---|:---|
| **H.2.** | **Agreements concerning the exercise of voting rights or the transfer of Shares and/or other financial instruments of the Issuer** |

---

There are no agreements between the Offeror and the Issuer or the Issuer's shareholders, directors or statutory auditors regarding the exercise of voting rights or the transfer of ordinary shares of the Issuer.

**I.** **FEES TO INTERMEDIARIES** 

By way of remuneration for the functions performed in collecting the acceptances to the Offer, the Offeror shall recognize and pay:

(i) to
 Banca Akros, in its capacity as Intermediary Appointed to Coordinate the Collection of Acceptances,
 a maximum commission equal to Euro 150,000.00 (one hundred and fifty thousand/00), plus VAT
 if due, for the organization and coordination of the activities relating to the collection
 of acceptances of the Offer;

(ii) to
 each Appointed Intermediary:

a. a
 commission equal to 0.20% of the countervalue of the Shares Subject to the Offer acquired
 by the Offeror directly through the Appointed Intermediaries and/or indirectly through the
 Depositary Intermediary that have delivered them to the Appointed Intermediaries, up to a
 maximum of Euro 10,000.00 (ten thousand) for each Acceptance Form; and

b. a
 fixed commission equal to Euro 5.00 for each Acceptance Form that is duly completed,
 valid and submitted.

The Appointed Intermediaries shall return to the Depositary Intermediaries 50% of the commissions referred to in point (a) above relating to the countervalue of the Shares purchased through the latter, as well as the entire fixed fee referred to in point (b) above.

It is understood that:

a) the
 commissions under (ii) will be paid to the Appointed Intermediaries subject to the effectiveness
 of the Offer and upon its completion, and in any case after the Intermediaries Appointed
 to Coordinate the Collection of Acceptances have received the amounts due from the Offeror;

b) the
 commission referred to in (ii) a) will be calculated by valuing the Shares Subject to
 the Offer based on the official price of MPS ordinary shares on the last Trading Day prior
 to the Offer Document Date, multiplied by the Exchange Ratio;

c) in
 the event that a Squeeze-Out pursuant to Article 111, paragraph 1, of the TUF occurs,
 no commission as referred to in point (ii) above will be paid for the Shares subject
 to the Squeeze-Out.

VAT must be added to the above fee, where due.

No costs will be charged to the Tendering Shareholders.

**L.** **ALLOCATION HYPOTHESIS** 

Since the Offer is a voluntary public exchange offer, no allocation is envisaged.

**M.** **ANNEXES** 

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| | |
|:---|:---|
| **M.1.** | **Offeror's Communication** |

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![](tm2518026d1_ex99-1sp13img01.jpg)

[This English translation of the notice pursuant to article 102 of Legislative Decree no. 58/1998 is for courtesy only and shall not be relied upon by the recipients. The Italian version of the notice pursuant to article 102 of Legislative Decree no. 58/1998 is the only official version and shall prevail in case of any discrepancy.]

*THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.*

**VOLUNTARY PUBLIC EXCHANGE OFFER LAUNCHED BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. ON THE ORDINARY SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI**

***Notice pursuant to Article 102, paragraph 1, of Legislative Decree no. 58 of 24 February 1998, as subsequently amended and integrated, and Article 37 of the regulation adopted by CONSOB with resolution no. 11971 of 14 May 1999, as subsequently amended and integrated, concerning the voluntary public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A. on the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.***

**Siena, 24 January 2025** - Pursuant to article 102, paragraph 1, of Legislative Decree 24 February 1998, n. 58, as subsequently amended and integrated (the "**TUF**"), and article 37 of the regulation adopted by CONSOB with resolution n. 11971 of 14 May 1999, as subsequently amended and integrated (the "**Issuers' Regulation**"), Banca Monte dei Paschi di Siena S.p.A. ("**MPS**" or the "**Offeror**"), by this notice (the "**Notice**") announces that on 23 January 2025 it has taken the decision to launch a voluntary public exchange offer pursuant to Articles 102 and 106, paragraph 4, of the TUF (the "**Offer**"), concerning all of the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni (the "**Issuer**" or "**Mediobanca**") admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. ("**Borsa Italiana**"), including the treasury shares held by the Issuer.

As at the date of this Notice, the Offer will relate to a maximum of no. 833,279,689 ordinary shares of the Issuer representing 100% of the Issuer's share capital and of the ordinary shares of the Issuer (including treasury shares held by the Issuer) (the "**Mediobanca Shares**" or the "**Issuer's Shares**").

For each Mediobanca Share tendered in the Offer, MPS shall offer a consideration, not subject to adjustment (except as set out below), equal to **<u>no. 2.300 newly issued ordinary shares of the Offeror</u>** (the "**Consideration**").

Therefore, for each no. 10 Mediobanca Shares tendered in the Offer, no. 23 newly issued ordinary shares of the Offeror will be offered in exchange.

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

On the basis of the official price of the Offeror's shares recorded at the close of 23 January 2025 (last trading day preceding the date of this Notice) equal to Euro 6.953<sup>1</sup> (the "**MPS Reference Price**"), the Consideration evidences a valuation equal to Euro 15.992 for each Mediobanca Share (the "**Mediobanca Reference Price**") and, therefore, incorporates a premium equal to 5.03% with respect to the official price of Mediobanca Shares recorded at the close of 23 January 2025 (equal to Euro 15.227<sup>2</sup>).

For further information on the premium incorporated by the Consideration with respect to the weighted daily average of the official prices of Mediobanca Shares, please refer to paragraph 3.2.1 of this Notice.

As further detailed in paragraph 1.3 "Industrial and strategic considerations", the success of the Offer will enable an acceleration in the utilization of the DTA (as defined below) held by MPS, with an estimated effect for Mediobanca shareholders participating in the Offer of Euro 1.2 billion in net present value, equal to approximately 10% of Mediobanca's current market value.

The Consideration was determined on the assumption that, prior to the Payment Date (as defined below):

i the Issuer and/or the Offeror do(es) not approve or initiate any ordinary distribution (including interim dividends) or extraordinary distribution of dividends taken from profits and/or other reserves; and

ii the Issuer does not approve or initiate any transaction on its share capital (including, by way of example, capital increases or reductions) and/or on Mediobanca Shares (including, but not limited to, the amalgamation or cancellation of shares).

If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay(s) a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the ex coupon (*cedola*) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS shares, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed.

Without prejudice to the Conditions of Effectiveness of the Offer (as defined below, for which please refer to paragraph 1.5), should the Issuer approve or initiate any transaction on its share capital (including, without limitation, capital increases or reductions) and/or on Mediobanca Shares (including, without limitation, the amalgamation or cancellation of shares), such circumstance shall result in an adjustment of the Consideration if the Offeror waives its right to avail itself of the relevant Conditions of Effectiveness, where applicable, in relation to such individual event.

Any adjustment of the Consideration as a result of the foregoing shall be disclosed in the manner and within the time prescribed by applicable law.

The shares of MPS offered as Consideration will be issued in execution of a delegation given by the shareholders' meeting for a share capital increase pursuant to Article 2443 of the Italian Civil Code to be released by (and against) the contribution in kind of the Issuer's Shares tendered in the Offer and, therefore, with exclusion of the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code. The Board of Directors of MPS resolved on 23 January 2025 to submit to the shareholders' meeting of the Offeror in extraordinary session, convened for 17 April 2025, the proposal to delegate to the Offeror's Board of

<sup>1</sup> Source: FactSet VWAP

<sup>2</sup> Source: FactSet VWAP

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

Directors the above mentioned share capital increase to serve the Offer, as described under paragraph 3.2.3 below.

The legal assumptions and essential elements of the Offer are indicated below. For any further information and for a complete description and evaluation of the Offer, please refer to the offer document which will be prepared on the basis of scheme 2A of Annex 2 of the Issuers' Regulation and made available by in the manner and within the timeframe prescribed by applicable laws and regulations (the "**Offer Document**"). For the sake of completeness, please also note that by the date of publication of the Offer Document (the "**Publication Date of the Offer Document**"), a document will be published for the purposes of the exemption from the obligation to publish a prospectus pursuant to Article 1 par. 4, let. f) and par. 5 let. e) of Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 (the "**Exemption Document**").

The Offeror points out that, in making the Offer, it has relied exclusively on information and data publicly disclosed by the Issuer.

**1. <u>LEGAL GROUNDS, RATIONALE AND CONDITIONS OF THE OFFER</u>**

**1.1 Legal grounds of the Offer**

The Offer is a voluntary public exchange offer for all the shares of the Issuer, launched pursuant to Articles 102 and 106, paragraph 4 of the TUF and the relevant implementing provisions contained in the Issuers' Regulation.

The launch of the Offer is subject to the Authorizations referred to in paragraph 1.4, while its effectiveness is subject to the Conditions of Effectiveness of the Offer referred to in paragraph 1.5.

**1.2 Reason for the Offer and future plans**

MPS has decided to launch the Offer for the acquisition of Mediobanca, with the aim of creating a new Italian banking champion through the union of two among the most distinctive brands in the financial services industry: MPS for *Retail* and *Commercial Banking* and Mediobanca for *Wealth Management*, *Corporate & Investment Banking* and *Consumer Finance*.

Over the past three years, MPS has steadily strengthened its fundamentals, consolidating the sustainability of its *business* model and improving its risk profile to achieve solid levels of profitability. Moreover, MPS has exceeded most of the targets of the 2022-2026 business plan two years in advance and with one of the strongest capital positions in Europe.

MPS intends to play an active role in the ongoing consolidation scenario in the Italian banking sector.

The combination with Mediobanca will create a new national champion ranking among the top three institutions in terms of total assets, loans to clients, direct deposits and total financial assets. The new group will be able to rely on Mediobanca's distinctive expertise in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance and of MPS in the sectors of *Retail* and *Commercial Banking*. In this way, the global service offerings will be strengthened, the products base will be enhanced and market penetration will be improved. The combination will enable the assumption of a primary role in the asset gathering through the combination of Banca Widiba with Mediobanca Premier. The group will be financially strengthened, with a diversified revenue stream and strong resilience able to compete successfully in different scenarios.

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

MPS believes that the Offer represents the opportunity of further development and ideal growth for both institutions and presents a significant value creation for the shareholders of both companies and for all stakeholders. The combination of the two banks will allow to:

&nbsp;&nbsp;&nbsp;&nbsp;· create
 the third national banking operator, with a distinctive, diversified and resilient business
 model, which can leverage the combination of two of the most prestigious brands in the Italian
 financial sector, with distinctive and complementary capabilities;

&nbsp;&nbsp;&nbsp;&nbsp;· expand
 the product offering by leveraging a full range of product factories and partnerships and
 the new entity's leadership position in key markets;

&nbsp;&nbsp;&nbsp;&nbsp;· accelerate
 the utilization of deferred tax assets ()"**DTA**") on MPS's past losses, leveraging
 on a higher consolidated tax base and by budgeting Euro 1.3 billion (currently off-budget),
 bringing the total to Euro 2.9 billion. Over the next six years, the use of these DTAs will
 generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net
 income;

&nbsp;&nbsp;&nbsp;&nbsp;· extract
 synergies deriving from the combination of the two entities, estimated at EUR 0.7 billion
 per year before tax, as described in paragraph 1.3;

&nbsp;&nbsp;&nbsp;&nbsp;· create
 value for all shareholders through the distribution of sustainable dividend flows over time,
 while confirming MPS's solid capital position;

&nbsp;&nbsp;&nbsp;&nbsp;· realize
 a simple integration with limited employment impacts, while at the same time offering the
 employees of each institution the opportunity to develop their careers in a larger organization;

&nbsp;&nbsp;&nbsp;&nbsp;· improve
 the positioning of all stakeholders, with a scale to serve them at European level;

&nbsp;&nbsp;&nbsp;&nbsp;· increase
 support to households, businesses, territories and to the Italian economy, by strengthening
 overall support to Italian households, both in financing needs and in the generation, preservation
 and protection of savings, and to businesses, by partnering with leading Italian companies
 to capture domestic and international growth opportunities; and

&nbsp;&nbsp;&nbsp;&nbsp;· consolidate
 the sustainability strategies of the two banks, leveraging their respective ESG capabilities
 to strengthen the combined entity's positioning and promote its commitment to the communities
 and territories where it has its roots.

**1.3 Industrial and strategic conisderations**

The combination with Mediobanca will create a new national champion, ready to support the country's households and businesses with a distinctive business model, characterized by a balanced mix and a solid capital and liquidity position. The strong complementarity between the two banks represents an opportunity to evolve towards a single banking entity by leveraging innovative and specialised activities:

&nbsp;&nbsp;&nbsp;&nbsp;· a
 best-in-class Wealth Management player, thanks to the combination of the capabilities of
 Mediobanca and MPS in *private banking* and Banca Wibida and Mediobanca Premier in asset
 gathering, including through approximately 1,200 promoters in aggregate;

&nbsp;&nbsp;&nbsp;&nbsp;· a
 strong CIB player in all products (e.g., consulting, capital markets and corporate lending),
 with a leading position in the Equity Capital Markets and M&A market and a strong complementary
 client base (SMEs and corporates), with a growth opportunity in the developing market segment
 of medium-sized companies;

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;· the
 leader in consumer financing through Compass, already MPS's chosen partner; and

&nbsp;&nbsp;&nbsp;&nbsp;· an
operator who benefits from a sustainable cash flow from the insurance investment.

The combination of MPS and Mediobanca will generate:

&nbsp;&nbsp;&nbsp;&nbsp;· significant
 revenue synergies, preliminarily estimated at approximately EUR 0.3 billion per year, due to the expansion of the service offering
 and the strengthening of factory capacities, as well as increased penetration in key segments.
 A significant contribution to synergies is expected in particular from the increased penetration
 of consumer finance and mortgage products, the integration of the value chain in the investment
 sector, the sharing of best practices in the asset gathering sector, the offering of Advisory
 services to MPS's corporate customers, and the enhancement of the offering to small business
 and small economic operators by leveraging the combined entity's network;

&nbsp;&nbsp;&nbsp;&nbsp;· a
 reduction in operating costs by minimizing duplication with synergies estimated at approximately
 Euro 0.3 billion through optimization of central functions and IT and administrative expenses;

&nbsp;&nbsp;&nbsp;&nbsp;· a
 more balanced funding mix, due to MPS's commercial financing capacity, resulting in estimated
 synergies of approximately Euro 0.1 billion per year, optimizing the wholesale funding position
 of the combined entity;

&nbsp;&nbsp;&nbsp;&nbsp;· a
 combination from the two banks' strategic technology and digital investment initiatives,
 which have multiple areas of similarity. By way of example, reference is made to investment
 initiatives related to Wealth Management, with the aim of developing a distinctive digital
 platform in Wealth Management, business CIB and Consumer Finance;

&nbsp;&nbsp;&nbsp;&nbsp;· one-off
 integration costs are estimated at approximately Euro 0.6 billion before tax, to be spent in the first year.

The transaction will also accelerate the utilization of the DTAs held by MPS, with an estimated net present value for the benefit of Mediobanca's shareholders of Euro 1.2 billion, or about 10% of Mediobanca's current market capitalization.

MPS expects to maintain a solid capital base (pro-forma Common Equity Tier 1 ratio equal to approximately 16%) upon completion of the transaction, supported by increased organic capital generation.

**1.4 Authorizations**

The Offeror shall, no later than the date of submission of the Offer Document to Consob, submit to the competent authorities the following applications to obtain the prior authorizations required by the applicable laws and sector regulations in relation to the Offer:

&nbsp;&nbsp;&nbsp;&nbsp;(i) application
 to be filed with the European Central Bank and the Bank of Italy for prior authorizations
 for the acquisition of the direct controlling shareholding in the Issuer, as well as the
 acquisition of the indirect controlling shareholdings in Mediobanca Premier S.p.A. and Compass
 Banca S.p.A., pursuant to Articles 19 and 22 of Legislative Decree no. 385 of 1 September 1993
 ()"**TUB** ");

&nbsp;&nbsp;&nbsp;&nbsp;(ii) application
 / prior notice to be filed to the Bank of Italy for prior authorizations / clearance for
 the acquisition of indirect controlling shareholdings in Mediobanca SGR S.p.A, MBCredit Solutions
 S.p.A.,

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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MBFACTA S.p.A., SelmaBipiemme Leasing S.p.A. and Spafid S.p.A., pursuant, as applicable, to Articles 19 and 22 of TUB, as referred to in Article 110 of the TUB and Article 15 of the TUF;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) application
 to be filed with the European Central Bank and to the Bank of Italy for a prior verification
 that the amendments to the Offeror's by-laws simultaneous to and in relation to the Capital
 Increase Reserved to the Offer (and the related Delegation, as defined below) do not conflict
 with the sound and prudent management of the Offeror, pursuant to Articles 56 and 61 of the
 TUB, and the prior authorization to count the new shares issued in the context of the aforesaid
 Capital Increase Reserved to the Offer as Offeror's common equity tier 1, pursuant to Articles
 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26
 June 2013;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) application
 to the Bank of Italy and the European Central Bank for the authorization of the acquisition,
 by the Offeror, of direct and indirect shareholdings which, in the aggregate, exceed 10%
 of the consolidated equity of the Offeror's banking group, pursuant to Articles 53 and 67
 of the TUB, as implemented in Part Three, Chapter I, Section V, of the Bank of
 Italy Circular no. 285 of 17 December 2013, as subsequently amended and supplemented;

&nbsp;&nbsp;&nbsp;&nbsp;(v) application
 to IVASS for the authorization to acquire the qualified indirect shareholding in Assicurazioni
 Generali S.p.A., pursuant to Articles 68 et seq. of Legislative Decree no. 209 of 7 September 2005;

&nbsp;&nbsp;&nbsp;&nbsp;(vi) all
 other applications for prior authorizations that, pursuant to the industry-specific regulations,
 shall be required in connection with the Offer, including those that may be required from
 the competent foreign authorities;

(collectively, the "**Prior Authorizations**").

It should be noted that, pursuant to Article 102, paragraph 4 of the TUF, Consob's approval of the Offer Document may occur only after obtaining each of the Preliminary Authorizations.

Furthermore, the Offeror shall submit, within the date of submission of the Offer Document to Consob, (i) the necessary communications to the competent authorities on the control of concentrations between companies; (ii) the necessary communications to the Presidency of the Council of Ministers pursuant to Article 2 of Legislative Decree no. 21 of 15 March 2012, as amended (the so-called golden power); (iii) the necessary communications pursuant to the discipline on foreign subsidies distorting the internal market (FSR); and (iv) all other applications for the obtainment of authorizations that shall be required by any authority for the purpose of completing the Offer (collectively, the "**Other Authorizations**" and, together with the Prior Authorizations, the "**Authorizations**").

The Offeror specifies that, in defining the applications for the Authorizations required by the applicable regulations in relation to the Offer, it has relied exclusively on information in the public domain concerning the qualifying shareholdings directly or indirectly held by Mediobanca.

**1.5 Conditions of Effectiveness of the Offer**

The Offer shall be subject to the approval of the proposal of Delegation for the Capital Increase Reserved to the Offer (as defined below) by the shareholders' meeting of the Offeror and of the Offer Document by Consob upon completion of the relevant preliminary investigation within the terms set forth by Article 102, paragraph 4, of the TUF.

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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In addition, the Offer is also subject to the occurrence of each of the following conditions of effectiveness (acknowledging that they are set forth below in an order which is not mandatory), which will be further detailed in the Offer Document (the "**Conditions of Effectiveness**"):

&nbsp;&nbsp;&nbsp;&nbsp;(i) that
 Prior Authorizations are issued without any requirements, conditions or limitations (the
 "**Prior Authorizations Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(ii) that,
 within the second trading day prior to the Payment Date (as defined below), the competent
 antitrust authorities approve, without conditions, limitations and prescriptions, the transaction
 for the acquisition of Mediobanca proposed by the Offeror with this Offer (the "**Antitrust Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(iii) that,
 by the second trading day prior to the Payment Date (as defined below) further Other Authorizations
 are granted without any requirements, conditions or limitations (the "**Other Authorizations Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(iv) that,
 by the second trading day prior to the Payment Date (as defined below), no competent authority,
 including any court or tribunal, shall issue any resolution or measure which would preclude,
 restrict or render more onerous the possibility for the Offeror and/or Mediobanca to realize
 the Offer or its objectives;

&nbsp;&nbsp;&nbsp;&nbsp;(v) that,
 between the date of this Notice and the Payment Date (as defined below), no facts, events
 or circumstances have occurred which would prevent the Offeror from carrying out the Offer
 in accordance with the Authorizations received in respect of the same Offer and the provisions
 contained therein;

&nbsp;&nbsp;&nbsp;&nbsp;(vi) that
 the Offeror shall hold, upon completion of the Offer - as a result of acceptances to the
 Offer and/or any purchases made outside of the Offer pursuant to applicable laws and regulations
 - a participation equal to at least 66.67% of the voting rights exercisable in the shareholders'
 meetings of the Issuer (the "**Threshold Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(vii) that,
 between the date of this Notice and the Payment Date (as defined below), the corporate bodies
 of the Issuer (and/or of one of its directly or indirectly controlled or affiliated companies)
 do not resolve upon, do not carry out, even if resolved upon prior to the date of this Notice,
 or undertake to carry out or in any case procure the carrying out of (including through conditional
 agreements and/or partnerships with third parties) acts or transactions *(x)* which
 may result in a significant change, even prospectively, in the capital, assets, economic,
 prudential and/or financial situation and/or activity of the Issuer (and/or one of its directly
 or indirectly controlled or affiliated companies) as represented in the Issuer's annual financial
 report as at 30 June 2024; *(y)* which restrict the free operation of the
 subsidiaries, branches and networks in the placement of products to customers (including
 through the renewal, extension - also due to lack of notice - or renegotiation of existing
 and/or expiring distribution agreements) or *(z)* that are in any case inconsistent
 with the Offer and the underlying industrial and commercial motivations, unless this is due
 to compliance with legal obligations and/or following a request of the Supervisory Authorities,
 without prejudice to what is provided for by the condition under point (viii) below.
 The foregoing shall be deemed to refer, purely by way of example, to capital increases (even
 when carried out in execution of the powers granted to the board of directors pursuant to
 Article 2443 of the Italian Civil Code), capital reductions, distributions of reserves,
 payments of extraordinary dividends (*i.e.,* those exceeding the profit reported in
 the latest approved financial statements at the time of distribution), uses of

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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equity, purchases or acts of disposition of treasury shares, mergers, demergers, transformations, amendments to the by-laws in general, cancellation or amalgamation of shares, sales, acquisitions, exercise of purchase rights, or transfers, even temporarily, of assets, of participations (or of related equity or economic rights), of contracts for the supply of services, of commercial contracts or contracts for the distribution of banking, financial or insurance products, of companies or branches of companies (including, by way of example, those operating in the insurance sector), bond issuances or assumption of debt (the "**Relevant Acts Condition**");

&nbsp;&nbsp;&nbsp;&nbsp;(viii) that,
 between the date of this Notice and the Payment Date (as defined below), the Issuer and/or
 its directly or indirectly controlled subsidiaries and/or affiliated companies do not resolve
 upon and in any case do not carry out, even if resolved upon before the date of this Notice,
 nor undertake to carry out, acts or transactions that may counteract the achievement of the
 objectives of the Offer pursuant to Article 104 of the TUF, even if such acts or transactions
 have been authorized by the shareholders' meeting in ordinary or extraordinary session of
 the Issuer or are decided and implemented independently by the shareholders' meeting in ordinary
 or extraordinary session and/or by the management bodies of the Issuer's subsidiaries and/or
 affiliated companies (the "**104 Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(ix) that,
 by the Payment Date (as defined below *)*, (*x*) no extraordinary circumstances
 or events have occurred at a national and/or international level (a) that entail or
 may entail significant adverse changes in the political, health, financial, economic, currency,
 regulatory (including accounting and supervisory) or market situation or (b) which have
 or may have a materially detrimental effect on the Offer and/or the financial, asset, economic
 or income situation of the Issuer (and/or its subsidiaries and/or affiliated companies) and/or
 the Offeror (and/or its subsidiaries and/or affiliated companies) as represented in the Issuer's
 annual financial report as at 30 June 2024; and/or (*y*) no facts or situations
 have arisen in relation to the Issuer (and/or its subsidiaries and/or affiliated companies),
 not known to the market as at the date of this Notice, which would have the effect of adversely
 affecting the Issuer's (and/or its subsidiaries' and/or affiliated companies') business or
 situation (assets, economic, income or operations) as represented in the Issuer's annual
 financial report as at 30 June 2024 (the "**MAE Condition** "). It is
 understood that this MAE Condition also includes, *inter alia*, all events listed under
 (x) and (y) above which may occur in the markets in which the Issuer, the Offeror
 or their respective subsidiaries and/or affiliated companies operate as a result of, or in
 connection with, ongoing international political crises, including those taking place in
 Ukraine and the Middle East, which, although in the public domain as at the date of this
 Notice, could have deteriorating consequences for the Offer and/or the assets, economic,
 financial or operational situation of the Issuer or the Offeror and their respective subsidiaries
 and/or affiliated companies, such as, but not limited to, the temporary blocking and/or closure
 of financial and production markets and/or business activities relating to the markets in
 which the Issuer, the Offeror or their respective subsidiaries and/or affiliated companies
 operate, which would have a detrimental effect on the Offer and/or changes in the assets,
 economic, financial or operational situation of the Issuer, the Offeror or their respective
 subsidiaries and/or affiliated companies.

The Offeror may only expressly waive, by notice to the market in accordance with applicable law, in whole or in part, one or more of the Conditions of Effectiveness or amend them, in whole or in part, in accordance with applicable law.

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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Pursuant to Article 36 of the Issuers' Regulation, the Offeror will give notice of the fulfilment or non-fulfilment of the Conditions of Effectiveness or, if one or more Conditions of Effectiveness have not been fulfilled, the possible waiver thereof, by giving notice within the following time limits:

- as to the Prior Authorizations Condition, by the Publication Date of the Offer Document;

as to the Threshold Condition, with the announcement on the provisional results of the Offer to be made by the evening of the last day of the Acceptance Period (as defined below) - and, in any event, by 7:29 a.m. of the first trading day following the end of the Acceptance Period - and which shall be confirmed with the announcement on the definitive results of the Offer to be made by 7:29 a.m. of the trading day preceding the Payment Date (as defined below); and

- as to all other Conditions of Effectiveness, with the announcement on the final results of the Offer, which will be issued by 7:29 a.m. on the trading day prior to the Payment Date (as defined below).

In the event that even one of the Conditions of Effectiveness is not fulfilled and the Offeror does not exercise its right to waive it and, consequently, the Offer fails to complete, the Mediobanca Shares tendered to the Offer shall be made available to their respective holders, without charge or expenses being imposed upon them or the Offeror, by the trading day following the date on which the failure to complete the Offer is disclosed.

**2. PARTICIPANTS IN THE OFFER**

**2.1 The Offeror**

The Offeror is Banca Monte dei Paschi di Siena S.p.A., a joint-stock company incorporated under the laws of Italy, with registered office in Piazza Salimbeni, 3, Siena, registration number with the Companies' Register of Arezzo - Siena and Tax Code no. 00884060526.

The Offeror is also registered in the Bank Register held by the Bank of Italy under number 5274 and, as parent company of the Monte dei Paschi di Siena Banking Group (the "**MPS Group**"), in the Register of Banking Groups under number 1030, as well as a member of the Interbank Fund for Deposit Protection (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*).

As at the date of this Notice, the Offeror's share capital is equal to Euro 7,453,450,788.44, divided into no. 1,259,689,706 ordinary shares with no par value. The Offeror's shares are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana, with ISIN code IT0005508921 and are dematerialized pursuant to Article 83-*bis* of the TUF.

As at the date of this Notice, to the Offeror's knowledge, there are no shareholders' agreements among the shareholders of MPS, nor is there any individual or legal entity exercising control over the Offeror pursuant to Article 93 of the TUF.

As at the date of this Notice, on the basis of the notifications received pursuant to Article 120 of the TUF, the results of the shareholders' register, as well as on the basis of other information available to the Offeror, the shareholders holding a share of the Offeror's share capital or voting rights exceeding 3% of the Offeror's share capital are indicated in the following table:

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Declarant or subject at the top of<br> the participation chain** | **Direct Shareholder** | &nbsp;&nbsp;**% shareholding** |
| &nbsp;&nbsp;**DELFIN SARL** | &nbsp;&nbsp;*DELFIN SARL* | &nbsp;&nbsp;**9.780%** |
| &nbsp;&nbsp;**BANCO BPM SPA** | &nbsp;&nbsp;*BANCO BPM SPA* | &nbsp;&nbsp;**5.003%** |
| &nbsp;&nbsp;**ANIMA HOLDING SPA** | &nbsp;&nbsp;*ANIMA HOLDING SPA* | &nbsp;&nbsp;**3.992%** |
| &nbsp;&nbsp;**MINISTRY OF ECONOMY AND FINANCE** | &nbsp;&nbsp;*MINISTRY OF ECONOMY AND FINANCE* | &nbsp;&nbsp;**11.731%** |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*AUSONIA SRL* | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*ESPERIA 15 SRL* | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*MK 87 SRL* | &nbsp;&nbsp;0.040% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*FINANCIAL INSTITUTION 2012 SPA* | &nbsp;&nbsp;0.556% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*GAMMA SRL* | &nbsp;&nbsp;0.992% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*AZUFIN SPA* | &nbsp;&nbsp;1.191% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*VM 2006 SRL* | &nbsp;&nbsp;1.746% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*MANTEGNA 87 SRL* | &nbsp;&nbsp;0.103% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*CALT 2004 SRL* | &nbsp;&nbsp;0.127% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*FINANZIARIA ITALIA 2005 SPA* | &nbsp;&nbsp;0.159% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;***Total*** | &nbsp;&nbsp;**5.026%** |

---

**1.1 Persons Acting in Concert**

Note that, in relation to the Offer, there are no persons acting in concert with the Offeror within the meaning of Article 101-*bis*, paragraphs 4, 4-*bis* and *4-ter*, of the TUF and Article 44-*quater* of the Issuers' Regulation.

**2.2 Issuer**

The Issuer is MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, a joint-stock company incorporated under the laws of Italy, with registered office in Milan, Piazzetta Enrico Cuccia, 1, registration number with the Milan Companies' Register and tax code no. 00714490158.

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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The Issuer is also registered in the Register of Banks held by the Bank of Italy and, as the parent company of the Mediobanca Banking Group (the "**Mediobanca Group**"), in the Register of Banking Groups under number 10631, as well as a member of the Interbank Fund for Deposit Protection (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*).

As at the date of this Notice, the Issuer's share capital is equal to Euro 444,680,575, divided into 833,279,689 ordinary shares with no par value. The Issuer's shares are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana, with ISIN code IT0000062957 and are dematerialized pursuant to Article 83-*bis* of the TUF.

To Offeror's knowledge, as at the date of December 31, 2024, Mediobanca holds 11,277,075 Mediobanca Shares, equal to about 1.35% of the Issuer's share capital.

The following table shows the persons who, as of the date of this Notice - based on the notifications pursuant to Article 120 of the TUF, as published on Consob's website - hold shares of the Issuer's share capital or voting rights exceeding 3% of the Issuer's ordinary share capital:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Declarant or subject at the top of<br> the participation chain** | **Direct Shareholder** | &nbsp;&nbsp;**% shareholding** |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*FINCAL SPA* | &nbsp;&nbsp;1.880% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*FINANCIAL INSTITUTION 2012 SPA* | &nbsp;&nbsp;3.203% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;*GAMMA SRL* | &nbsp;&nbsp;0.416% |
| &nbsp;&nbsp;**CALTAGIRONE FRANCESCO GAETANO** | &nbsp;&nbsp;***Total*** | &nbsp;&nbsp;**5.499%** |
| &nbsp;&nbsp;**DELFIN SARL** | &nbsp;&nbsp;*DELFIN SARL* | &nbsp;&nbsp;**19.390%** |
| &nbsp;&nbsp;**BANCA MEDIOLANUM SPA** | &nbsp;&nbsp;*MEDIOLANUM VITA SPA* | &nbsp;&nbsp;0.741% |
| &nbsp;&nbsp;**BANCA MEDIOLANUM SPA** | &nbsp;&nbsp;*BANCA MEDIOLANUM SPA* | &nbsp;&nbsp;2.602% |
| &nbsp;&nbsp;**BANCA MEDIOLANUM SPA** | &nbsp;&nbsp;***Total*** | &nbsp;&nbsp;**3.343%** |

---

The percentages shown in the table above, as published on Consob's website and derived from the notifications made by shareholders pursuant to Article 120 of the TUF, may not be updated and/or consistent with the data processed and published by other sources (including the Issuer's website), in the event that subsequent changes in the shareholding did not result in any notification obligation on the shareholders.

As at the date of this Notice, a consultation agreement is in force among certain shareholders of Mediobanca, which falls within the scope of the case indicated in Article 122 paragraph 5, let. a) of the TUF. The agreement does not appear to envisage either blocking or voting commitments on the Mediobanca Shares contributed, but regulates the procedures for meetings to share reflections and considerations on the performance of the

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Mediobanca Group, in a context of parity of information with the market. For further details, please refer to the key information, updated as at 3 October 2024, published pursuant to Article 122 of the TUF and Article 130 of the Issuers' Regulation.

As at the date of this Notice, the Offeror does not hold, directly or indirectly, any participation in the share capital of the Issuer, except for any positions held for trading purposes. It should be noted that the Issuer's Shares held in trust on behalf of customers or by investment funds and/or other collective investment schemes managed by companies of the MPS Group in full autonomy from the latter and in the interest of customers are not included in this calculation.

It should also be noted that the Issuer's Shareholders' Meeting of 28 October 2024 approved the launch of a buy-back and cancellation program for treasury shares, for a countervalue of approximately Euro 385 million. The transaction was authorized by the European Central Bank.

As of 31 December 2024, under the aforementioned program, Mediobanca had acquired a total of no. 8,242,715 shares, equal to 1% of the share capital, for a total countervalue of approximately Euro 116.9 million. As of the same date, Mediobanca's share capital comprises no. 833,279,689 shares, of which no. 822,002,614 are shares outstanding and no. 11,277,075 are treasury shares.

The Extraordinary Shareholders' Meeting of the Issuer held on 28 October 2024 resolved to cancel up to a maximum of no. 30,000,000 treasury shares that may be acquired (and not utilized) pursuant to the resolution passed at the ordinary shareholders' meeting held on the same date. Pursuant to the resolution passed, the cancellation may be carried out in several instalments or in one lump sum, however, within 18 months from the date of the shareholders' resolution.

**3. MAIN TERMS OF THE OFFER**

**3.1 Category and quantity of the financial instruments subject to the Offer**

Without prejudice to the Conditions of Effectiveness referred to in paragraph 1.5 above, the Offer will relate to 100% of the Issuer's ordinary shares, amounting to no. 833,279,689 Issuer's Shares as at the date of this Notice.

Based on public information, the number of Issuer's Shares subject to the Offer could increase if Mediobanca issues additional Issuer's Shares to service the long-term share-based incentive plans.

The Mediobanca Shares tendered to the Offer shall be freely transferable to the Offeror and free of liens and encumbrances of any kind and nature, whether *in rem*, obligatory or personal.

The Offer is addressed indiscriminately and on equal terms to all holders of the Issuer's Shares.

**3.2 Offer Consideration**

*3.2.1 <u>Offer Consideration per share</u>*

If the Conditions of Effectiveness are fulfilled (or waived) and the Offer is therefore completed, the Offeror will pay, for each Issuer's Share tendered to the Offer, the Consideration, not subject to adjustment (except as set out below), consisting of no. 2.300 newly issued shares of the Offeror in execution of the Capital Increase Reserved to the Offer (as defined below).

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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Based on the official price of the Offeror's Shares recorded at the close of business on 23 January 2025 (the last trading day prior to the date of this Notice) equal to Euro 6.953<sup>3</sup>, the Consideration expresses a valuation equal to Euro 15.992 per Issuer's Share and incorporates the following premiums with respect to the volume-weighted arithmetic average of the official prices of the Issuer's Shares during the periods indicated below:

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Reference period** | &nbsp;&nbsp;**Weighted average price per Issuer's<br> Share (Euro)** | &nbsp;&nbsp;**Premium** |
| &nbsp;&nbsp;23 January 2025 | &nbsp;&nbsp;15.227 | &nbsp;&nbsp;5.03% |
| &nbsp;&nbsp;1 month prior to 23 January 2025 (inclusive) | &nbsp;&nbsp;14.795 | &nbsp;&nbsp;8.11% |
| &nbsp;&nbsp;2 months prior to 23 January 2025 (inclusive) | &nbsp;&nbsp;14.363 | &nbsp;&nbsp;4.84% |
| &nbsp;&nbsp;3 months prior to 23 January 2025 (inclusive) | &nbsp;&nbsp;14.508 | &nbsp;&nbsp;(3.31)% |
| &nbsp;&nbsp;6 months prior to 23 January 2025 (inclusive) | &nbsp;&nbsp;14.703 | &nbsp;&nbsp;(12.91)% |
| &nbsp;&nbsp;12 months prior to 23 January 2025 (inclusive) | &nbsp;&nbsp;13.928 | &nbsp;&nbsp;(21.99)% |

---

Source: FactSet VWAP

The Consideration was determined on the assumption that, prior to the Payment Date (as defined *below*):

- the Issuer and/or the Offeror do not approve or make any ordinary or extraordinary distribution of dividends from profits and/or other reserves; and

- the Issuer does not approve or carry out any transaction on its share capital (including, without limitation, capital increases or reductions) and/or on Mediobanca Shares (including, without limitation, the amalgamation or cancellation of shares).

If, prior to the Payment Date (as defined below*)*, the Issuer and/or the Offeror should pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the *ex* coupon (*cedola*) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS Shares, respectively, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed.

Without prejudice to the Conditions of Effectiveness of the Offer, in the event that the Issuer should approve or initiate any transaction on its share capital (including, without limitation, capital increases or reductions)

<sup>3</sup> Source: FactSet VWAP

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

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and/or on Mediobanca Shares (including, without limitation, the amalgamation or cancellation of shares), such circumstance shall result in an adjustment of the Offer Consideration in the event that the Offeror waives the relevant Condition of Effectiveness, where applicable, in relation to such individual event.

Any adjustment of the Consideration as a result of the foregoing shall be disclosed in the manner and within the time prescribed by applicable law.

The payment of the Consideration for each Issuer's Share tendered to the Offer will be borne by the Offeror. For further details, please refer to the Offer Document, which will be made available in accordance with the terms and conditions provided for by applicable regulations.

The newly issued Offeror's shares, to be delivered to the accepting parties to the Offer as Consideration, will have the same characteristics as the Offeror's shares currently outstanding and will be listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana.

The Offeror declares, pursuant to Article 37-*bis*, paragraph 1, of the Issuers' Regulation, that it has put itself in a condition to be able to fully meet any commitment to the payment of the Offer Consideration by convening an extraordinary shareholders' meeting of the Offeror on 17 April 2025 to resolve on the proposal to delegate to the board of directors of MPS the increase of the share capital for the purposes of the Offer, as better indicated under paragraph 3.2.3, and that it will deliver to CONSOB, within the day preceding the Publication Date of the Offer Document, adequate guarantees of correct fulfilment pursuant to Article 37-*bis*, paragraph 3, of the Issuers' Regulation.

*3.2.2 <u>Maximum aggregate Offer Consideration</u>*

If all of the Shares subject to the Offer issued as of the date of this Notice should be tendered, a maximum of no. 1,916,543,285 newly issued shares of MPS, as the maximum total amount of the Offer Consideration, shall be issued to the tendering shareholders of Mediobanca, representing approximately 60% of the share capital of MPS following the execution of the Capital Increase Reserved to the Offer (as defined below).

On the basis of the official price of the Offeror's shares recorded at the close of 23 January 2025 (the last trading day prior to the date of this Notice) equal to Euro 6.953<sup>4</sup>, the total countervalue of the Offer, again in the event of full acceptance, will be approximately Euro 13.3 billion, an amount, the latter, equal to the "monetary" valuation of the Offer Consideration (*i.e.*, Euro 15.992 per Issuer's Share).

3.2.3 *<u>Characteristics of the Share Capital Increase Reserved to the Offer</u>*

On 23 January 2025, the Board of Directors of the Offeror resolved to submit to the extraordinary shareholders' meeting of the Offeror - convening it for 17 April 2025 - the proposal to delegate to the administrative body (board of directors) of MPS, pursuant to Article 2443 of the Italian Civil Code (the "**Delegation**"), the increase of the Offeror's share capital at the service of the Offer, in divisible form and also in several *tranches*, to be paid up by means of (and against) the contribution in kind of the Issuer's Shares tendered to the Offer (or however contributed to MPS in execution of the purchase obligation and/or right to purchase under articles 108 and 111, of the TUF, if the requirements thereof are met), and therefore with the exclusion of the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code (the "**Share Capital Increase Reserved to the Offer**").

<sup>4</sup> Source: FactSet VWAP

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

The newly issued MPS shares will have regular dividend entitlement and the same characteristics as those in circulation on the issue date.

For the purpose of the Share Capital Increase Reserved to the Offer, the Board of Directors of the Offeror will apply the rules contained in the Italian Civil Code for the valuation of the Issuer's Shares to be contributed.

The Offeror, for the purpose of the Share Capital Increase Reserved to the Offer, will make available to the public, in accordance with the procedures and terms provided for by applicable laws and regulations, the illustrative report of the directors provided for by article 2441, paragraph 6, of the Italian Civil Code and the opinion on the fairness of the issue consideration of the Offeror's new shares, which will be issued by PricewaterhouseCoopers S.p.A., the company appointed to audit the Offeror's capital increase, pursuant to Article 2441, paragraph 6, of the Italian Civil Code and Article 158 of the TUF, as well as the additional documentation required by the laws and regulations in force.

The Offer may only commence subject to and following (i) the approval, by the extraordinary shareholders' meeting of the Offeror, of the proposal of Delegation for the Capital Increase Reserved to the Offer, as well as (ii) the resolution, by the Board of Directors of the Offeror, of the Capital Increase Reserved to the Offer, in exercise of the Delegation. The effectiveness of such resolutions is subject to the obtaining of the Prior Authorizations under point (iii) of paragraph 1.4 above.

*3.2.4 <u>Offer Acceptance Period</u>*

The Offer acceptance period - which, pursuant to Article 40, paragraph 2, let. b), of the Issuers' Regulation, will be agreed with Borsa Italiana and will last between a minimum of 15 and a maximum of 40 trading days, unless extended - will commence after the Publication Date of the Offer Document and the Exemption Document, in accordance with the provisions of law (the "**Acceptance Period**").

*3.2.5 <u>Consideration Payment Date</u>*

Subject to the fulfilment (or waiver) of the Conditions of Effectiveness and to the completion of the Offer, the delivery of the Consideration to the holders of the Issuer's Shares tendered to the Offer, together with the transfer to the Offeror of the ownership of such Issuer's Shares shall take place on the fifth trading day following the end of the Acceptance Period, to be agreed with Borsa Italiana, subject to any extensions or other changes to the Offer which may occur in accordance with applicable laws or regulations (the "**Payment Date**").

The Consideration shall be net of stamp duty, registration tax and tax on financial transactions, if due, and of fees, commissions and expenses which shall remain payable by the Offeror. On the contrary, any income tax, withholding tax or substitute tax, if due, on the capital gain, if any, will remain the responsibility of the subscribers to the Offer.

**3.3 Markets where the Offer is launched**

The Offer will be addressed indiscriminately and on equal terms to all shareholders of the Issuer.

Without prejudice to the foregoing, the Offer will be made in Italy, as the Issuer's Shares are listed exclusively on Euronext Milan, a regulated market organized and managed by Borsa Italiana.

Acceptance of the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by the applicable laws or regulations of such countries. It is the sole responsibility of the addressees of the Offer to comply with such provisions and, therefore, before accepting

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

the Offer, they shall verify their existence and applicability by contacting their legal advisors and other advisors.

The Offer as of the date of this Notice will not be made, either directly or indirectly, in Australia, Canada, Japan or any other state in which such an offer is not permitted in the absence of the authorization of the competent authorities.

The Offeror does not accept any liability resulting from the violation by any person of the above limitations.

**4 DELISTING OF THE ISSUER'S SHARES**

Notwithstanding the fact that the Offeror will make its own determinations as to the fulfilment (or non-fulfilment) of the Threshold Condition under the terms set out in paragraph 1.5 above, the objective of the Offer is to acquire the entire share capital of the Issuer and to achieve the delisting of the Mediobanca Shares from the Euronext Milan stock exchange. Indeed, it is believed that the *Delisting* will further the objectives of integration, creation of synergies and growth between MPS and Mediobanca.

**4.1 Obligation to purchase under Article 108 paragraph 2 of the TUF**

In the event that, following the completion of the Offer, including any extension of the Acceptance Period, the Offeror comes to hold, as a result of the acceptances to the Offer and of any purchases made outside of the Offer pursuant to the applicable regulations by the end of the Acceptance Period (as possibly extended) an overall participation of more than 90%, but less than 95%, of the Issuer's share capital, the Offeror hereby declares its intention not to restore a free float sufficient to ensure the regular trading of Mediobanca Shares.

It should be noted that, for the purposes of calculating the threshold provided for in Article 108, paragraph 2, of the TUF, any treasury shares held by Mediobanca will be counted in the total participation held directly or indirectly by the Offeror (numerator) without being subtracted from the Issuer's share capital (denominator).

If the conditions are met, the Offeror will also fulfil its obligation to purchase the remaining Mediobanca Shares from the Issuer's shareholders who have requested it in accordance with Article 108, paragraph 2, of the TUF (the "**Sell Out Procedure under Article 108, paragraph 2, of the TUF**"), paying them a price per Mediobanca Share determined in accordance with the provisions of Article 108, paragraphs 3 or 4, of the TUF, and Articles 50 and 50-*bis* of the Issuers' Regulation. However, should the conditions set forth in Article 108, paragraph 5, of the TUF be met, the remaining shareholders of Mediobanca may request the payment of an alternative consideration in cash, the amount of which shall be determined pursuant to applicable regulations. The Offeror shall communicate, within the legal terms, the possible existence of the prerequisites for the Sell Out Procedure under Article 108, paragraph 2, of the TUF.

Pursuant to Article 2.5.1, paragraph 6, of the Regulations of the Markets Organized and Managed by Borsa Italiana in force as at the date of this Notice (the "**Stock Exchange Regulations**"), if the conditions are met, except as indicated in paragraph 4.2. below, the Mediobanca Shares shall be delisted from Euronext Milan (the "***Delisting***") starting from the trading day following the last day of payment of the Sell Out Procedure under article 108, paragraph 2, of the TUF. In such a case, holders of Mediobanca Shares who did not accept the Offer and who did not intend to avail themselves of the right to request the Offeror to proceed to purchase their Mediobanca Shares pursuant to the Sell Out Procedure under article 108, paragraph 2, of the TUF will remain holders of financial instruments not traded on any regulated market, with the consequent difficulty of liquidating their investment.

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

**4.2 Obligation to purchase under Article 108 paragraph 1 of the TUF and Squeeze-out Right under Article 111 of the TUF**

If, following completion of the Offer, including any extension of the Acceptance Period, the Offeror comes to hold, as a result of acceptances to the Offer and any purchases made outside of the Offer in accordance with applicable regulations by the end of the Acceptance Period (as extended, if applicable) and during and/or following the procedure aimed at fulfilling the Sell Out Procedure under Article 108, paragraph 2, of the TUF, an overall participation at least equal to 95% of the Issuer's share capital, the Offeror hereby declares its intention to avail itself of the right to purchase the remaining Mediobanca Shares pursuant to Article 111 of the TUF (the "**Squeeze-out Right**"), recognizing to the holders of such Mediobanca Shares a consideration determined in accordance with the provisions of Article 108, paragraphs 3 and 4, of the TUF, as recalled by Article 111 of the TUF, as well as the provisions of Articles 50 and 50-*bis* of the Issuers' Regulation, as recalled by Article 50-*quater* of the Issuers' Regulation.

However, pursuant to Article 108, paragraph 5, of the TUF and Article 50*-quater* of the Issuers' Regulation, the remaining shareholders of the Issuer may request the payment of an alternative consideration in cash, the amount of which will be determined in accordance with the applicable law. The Offeror shall give notice within the legal terms of any existence of the conditions for the Squeeze-out Right.

It should be noted that, for the purposes of calculating the threshold provided for in Articles 108 paragraph 1 and 111 of the TUF, any treasury shares held by Mediobanca will be counted in the total participation held directly or indirectly by the Offeror (numerator) without being subtracted from the Issuer's share capital (denominator).

The Offeror, by exercising the Squeeze-out Right, will also fulfil the purchase obligation pursuant to Article 108, paragraph 1, TUF, *vis-à-vis* the shareholders of the Issuer who have requested it, thus giving rise to a single procedure.

The aforementioned joint procedure will be put in place after the conclusion of the Offer or the procedure aimed at fulfilling the Sell Out Procedure pursuant to Article 108, paragraph 2, of the TUF, within the terms that will be communicated pursuant to law.

Pursuant to Article 2.5.1, paragraph 6, of the Stock Exchange Regulations, in the event of the exercise of the Squeeze-out Right, Borsa Italiana shall order the suspension from listing and/or the *delisting* of the Mediobanca Shares, taking into account the timeframe envisaged for the exercise of the Squeeze-out Right.

**4.3 Insufficient free float and Delisting**

It should be noted that, should the conditions for the *Delisting* not be met upon completion of the Offer, there could in any event be a shortage of free float such as not to ensure the regular trading of the Mediobanca Shares. In such a case, the Offeror does not intend to put in place measures aimed at restoring the minimum free float conditions to ensure regular trading of the Mediobanca Shares, and Borsa Italiana could order the suspension of the Issuer's Shares from listing and/or the *Delisting* pursuant to Article 2.5.1 of the current Stock Exchange Regulations.

In the event that, following the completion of the Offer, the *Delisting* is not achieved, the Offeror shall evaluate, also on the basis of the results of the Offer, the most appropriate actions to facilitate the objectives of integration, creation of synergies and growth referred to in paragraphs 1.2 and 1.3 (including actions and/or transactions from which the *Delisting* of the Issuer may result).

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

**5 PUBLICATION OF THE PRESS RELEASE AND DOCUMENTS RELATING TO THE OFFER**

The Offer Document, press releases and all documents relating to the Offer will be made available, *inter alia*, on the Offeror's website at <u>https://gruppomps.it/corporate-governance/offerta-pubblica-di-scambio-totalitaria-volontaria.html</u>.

**6 ADVISORS TO THE OFFEROR**

In connection with the Offer, the Offeror is assisted by Gianni & Origoni and White & Case, as legal advisors, and by J.P. Morgan Securities plc. and UBS Europe SE, as financial advisors.

*J.P. Morgan Securities plc, which is authorised in the United Kingdom by the Prudential Regulation Authority (the "PRA") and regulated by the PRA and the Financial Conduct Authority, is acting as financial adviser exclusively for the Offeror and no one else in connection with the Offer and will not regard any other person as its client in relation to the Offer and will not be responsible to anyone other than the Offeror for providing the protections afforded to clients of J.P. Morgan or its affiliates, nor for providing advice in relation to the Offer or any other matter or arrangement referred to herein.*

*UBS Europe SE is authorised and regulated by the Bundesanstalt für Finanzdienstleistungaufsicht (BaFin) and the European Central Bank (ECB), is acting exclusively for the Offeror and no one else in connection with the Offer or the matters referred to in this document, will not regard any other person (whether or not a recipient of this document) as its client in relation to the Offer and will not be responsible to anyone other than Offeror for providing the protections afforded to its clients or for providing advice in relation to the Offer or any transaction or arrangement referred to in this document.*

\*\*\*\*\*\*\*

*The voluntary public exchange offer referred to in this Notice shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*This Notice does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*Prior to the commencement of the Acceptance Period, as required under applicable regulations, the Offeror shall publish an Offer Document and an Exemption Document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.*

*The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.*

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

*The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").*

*Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.*

*Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.*

*This Notice, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.*

*Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.*

*IMPORTANT INFORMATION*

*In connection with the proposed voluntary public exchange offer, the required Offer Document will be sent to Commissione Nazionale per le Società e la Borsa ("CONSOB") and, to the extent that the shares issued in connection with the proposed voluntary public exchange offer will be required to be registered in the United States, a registration statement on Form F-4, which will include the Exemption Document or, to the extent needed, a prospectus, may be filed with the United States Securities and Exchange Commission ("SEC"). If an exemption from the registration requirements of the U.S. Securities Act of 1933 (the "Securities Act") is available, the shares issued in connection with the proposed voluntary public exchange offer will be made available within the United Sates pursuant to such exemption and not pursuant to an effective registration statement on Form F-4. **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the documents that will be sent to CONSOB, the registration statement and the Exemption Document or prospectus, if and when available, and any other relevant documents sent to, or filed with, CONSOB and/or the SEC, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the registration statement, the Exemption Document or the prospectus as well as other relevant documents filed with the SEC, at the SEC's web site at www.sec.gov and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or a duly appointed agent.*

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

![](tm2518026d1_ex99-1sp13img01.jpg)

*This communication does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this communication may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.*

*The shares to be issued in connection with the proposed voluntary public exchange offer may not be offered or sold in the United States except pursuant to an effective registration statement under the Securities Act or pursuant to a valid exemption from registration.*

*FORWARD-LOOKING STATEMENTS*

*This communication contains forward-looking information and statements about Banca Monte dei Paschi di Siena S.p.A. and its combined business after completion of the proposed voluntary public exchange offer. Forward-looking statements are statements that are not historical facts. These statements include financial projections and estimates and their underlying assumptions, statements regarding plans, objectives and expectations with respect to future operations, products and services, and statements regarding future performance. Forward-looking statements are generally identified by the words "expects," "anticipates," "believes," "intends," "estimates" and similar expressions. Although the management of Banca Monte dei Paschi di Siena S.p.A. believes that the expectations reflected in such forward-looking statements are reasonable, investors and holders of Banca Monte dei Paschi di Siena S.p.A. shares are cautioned that forward-looking information and statements are subject to various risks and uncertainties, many of which are difficult to predict and generally beyond the control of Banca Monte dei Paschi di Siena S.p.A., that could cause actual results and developments to differ materially from those expressed in, or implied or projected by, the forward-looking information and statements. These risks and uncertainties include those discussed or identified in the public documents sent by Banca Monte dei Paschi di Siena S.p.A. to CONSOB. Except as required by applicable law, Banca Monte dei Paschi di Siena S.p.A. does not undertake any obligation to update any forward-looking information or statements.*

**Not for release, publication or distribution, in whole or in part, directly or indirectly in Australia, Canada, or Japan**

**N.** **DOCUMENTS MADE AVAILABLE BY THE OFFEROR TO THE PUBLIC AND PLACES WHERE SUCH DOCUMENTS ARE AVAILABLE** 

The Offer Document and the documents indicated in this Section N are available for public consultation at:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the registered office of the Offeror at Piazza Salimbeni, 3, Siena;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the registered office of the Intermediary Appointed to Coordinate the Collection of Acceptances at (Banca Akros), Viale Eginardo,
29, Milan;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) the registered office of the Appointed Intermediaries;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) the
 Offeror's website, <u>https://www.gruppomps.it/en</u>,
 where the privacy policy relating to the processing of personal data of Tendering Shareholders,
 provided in accordance with EU Regulation 2016/679 ()"**GDPR** "),
 is also available for consultation;

&nbsp;&nbsp;&nbsp;&nbsp;(v) the website of the Global Information Agent, Georgeson S.r.l.

**N.1.** **Documents relating to the Offeror**

(i) By-laws;

(ii) Exemption Document;

(iii) Financial report for the year ended 31 December 2024, including the consolidated financial statements
and the financial statements of the Offeror as of 31 December 2024, supported by the attachments required by law;

(iv) Interim management report as of 31 March 2025, supported by the relevant attachments.

**N.2.** **Documents relating to the Issuer**

(i) Financial report for the year ended 30 June 2024, including the consolidated financial statements
and the financial statements of the Issuer as of 30 June 2024, supported by the attachments required by law;

(ii) Half-year financial report as of 31 December 2024, supported by the relevant attachments;

(iii) Interim management report as at 31 March 2025, accompanied by the relevant attachments.

**DECLARATION OF RESPONSIBILITY**

The responsibility for the completeness and accuracy of the data and information contained in this Offer Document lies with the Offeror.

The Offeror declares that, to the best of its knowledge, the data contained in the Offer Document are true and accurate and that there are no omissions that could alter its scope.

---

| |
|:---|
| **Banca Monte dei Paschi di<br> Siena S.p.A.** |
| Name: |
| Position: |

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## Exhibit 99.2

**Exhibit 99.2**

***English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail***

**EXEMPTION DOCUMENT**

RELATING TO THE OFFER OF ORDINARY SHARES OF BANCA MONTE DEI PASCHI DI SIENA S.P.A. IN THE CONTEXT OF THE PUBLIC EXCHANGE OFFER FOR THE ORDINARY SHARES OF

**MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI**

![](tm2518026d1_ex99-2sp1img001.jpg)

promoted by

**Banca Monte dei Paschi di Siena S.p.A.**

![](tm2518026d1_ex99-1sp13img01.jpg)

The Exemption Document has been prepared pursuant to Annex I of the Commission Delegated Regulation (EU) No. 528/2021 of 16 December 2020 and pursuant to Article 1, paragraph 4, letter (f) and paragraph 5, letter (e) of Regulation (EU) 1129/2017 of 14 June 2017 of the European Parliament and the Council, both applicable pursuant to Article 1, paragraph 6-*bis*, letter (a) of the same Regulation.

The Exemption Document does not constitute a prospectus within the meaning of Regulation (EU) 2017/1129.

The Exemption Document has not been submitted to CONSOB for review and approval pursuant to Article 20 of Regulation (EU) 2017/1129.

The Exemption Document refers to the promotion by Banca Monte dei Paschi di Siena S.p.A. of a voluntary public exchange offer for a maximum No. 833,279,689 ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni, as well as a maximum of 16,178,862 additional shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni that may be allocated under existing incentive plans, announced on 24 January 2025 pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, and Article 37 of the regulation adopted by CONSOB with resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented.

The Offer Document has been approved by CONSOB on 2 July 2025 and published on 3 July 2025.

**Disclaimer**

*The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") or pursuant to a valid exemption from registration.*

*The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies.*

*It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since the Offeror and the Issuer are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.*

*The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Act**") provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws.*

*To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities.*

*Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset*

 

 

*management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans.*

*These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.*

**WARNING**

This Exemption Document has not been approved by CONSOB, nor any other supervisory authority.

The voluntary public exchange offer referred to in this Exemption Document shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni.

The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni. The Offer will also be made to U.S. persons pursuant to a valid exemption from registration under the U.S. Securities Act. U.S. persons that hold Mediobanca shares may accept the Offer in accordance with the procedures applicable to all other holders of Mediobanca shares.

The Offer will be made in Italy as the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized or to any person to whom such Offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This Exemption Document, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

Acceptance to the Offer by persons residing in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.

The Exemption Document is for information purposes only and is not intended to provide, nor it should be understood as a complete and comprehensive description of the Offer, which is contained in the Offer Document (available on the Offeror's website at <u>www.gruppomps.it/en)</u>. The Exemption Document does not constitute an offer to purchase or sell, or a solicitation of an offer to purchase or sell, BMPS securities and must be read in conjunction with the Offer Document. The distribution of this document may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and comply with these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for violations of such restrictions by any person.

The Exemption Document contains statements regarding the prospects and development of the Bank, including the expected benefits from the acquisition of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni. Such statements are sometimes identified by the use of forward-looking, conditional and predictive terms such as "consider", "anticipate", "think", "aim", "expect", "intend",

"estimate", "believe", "desire", "should" or "could" or the negative of these terms, or any other similar variation or terminology. This information is not historical data and should not be interpreted as a guarantee that the facts and data presented will occur. This information is based on data, assumptions and estimates, considered reasonable by the Bank. It is subject to change or modification due to uncertainties related in particular to the economic, financial, competitive and regulatory context.

The Exemption Document contains information about the Offeror's markets and competitive positions, including information about the size and growth prospects of such markets and the Bank's market shares. In addition to the Bank's estimates, the Banks's statements are based on data published by the Group's competitors, suppliers and customers. Some of the information contained in the Exemption Document is publicly available information that the Bank believes to be reliable, but has not been independently verified. The Offeror cannot guarantee that a third party using different methods to collect, analyse or calculate data on business segments would obtain the same results. The Bank makes no representation or warranty as to the accuracy of this information. This information may prove to be inaccurate or out of date. The Bank undertakes no obligation to publish updates to this information, except as required by law or regulations.

The following documentation is incorporated by reference in the Exemption Document, pursuant to Article 19 of the Prospectus Regulation:

(i) BMPS
 2024 Consolidated Financial Statements, available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>;

(ii) Mediobanca
 2024/2025 Half-Year Financial Report, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

(iii) Mediobanca
 2023/2024 Consolidated Financial Statements, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

(iv) BMPS
 Consolidated Interim Report as of 31 March 2025, available on the Offeror's website
 at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>;

(v) Mediobanca
 2024/2025 Nine-Month Press Release, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

(vi) The
 Offer Document, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>;

(vii) The
 Explanatory Report of the Offeror's Board of Directors on the proposal to grant the
 Delegation, prepared pursuant to Article 70 of the Issuers' Regulation and in
 accordance with Annex 3A – Schedule No. 3 to the same regulation, and the supplementary
 note to the aforementioned Explanatory Report, prepared by BMPS upon request from CONSOB
 pursuant to Article 114, paragraph 5, of the TUF, both available on the Offeror's
 website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>;

(viii) The
 Information Document prepared by the Offeror pursuant to Article 70, paragraph 6, of
 the Issuers' Regulation, to which is attached the appraisal issued by KPMG Advisory
 S.p.A., in its capacity as Independent Expert pursuant to Article 2343- *ter*, paragraph
 2, letter b), of the Italian Civil Code, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>;

(ix) The
Information Document prepared by the Offeror pursuant to Article 5 of the regulation on related parties transaction approved by
CONSOB with Resolution No. 17221 of 12 March 2010 (the "**Regulation on Related Parties Transaction**") and
in accordance with Annex 4 of said

regulation, as well as paragraph 4.6.1, of the BMPS Regulation, in relation to the Capital Increase Reserved to the Offer as a transaction with related parties, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>;

(x) The
 Explanatory Report of the Offeror's Board of Directors prepared pursuant to Article 2441,
 paragraph 6, of the Italian Civil Code and Article 70, paragraph 7, letter a) of the
 Issuers' Regulation relating to the exercise of the Delegation granted by the Shareholders'
 Meeting of BMPS, in extraordinary session, on 17 April 2025, pursuant to Article 2443
 of the Italian Civil Code, together with the fairness opinion on the issue price of the shares
 resulting from the Capital Increase Reserved to the Offer issued by the Independent Auditor
 on 26 June 2025, and the update of the appraisal issued by KPMG Advisory S.p.A. on 14
 March 2025, in its capacity as Independent Expert pursuant to Article 2343- *ter*,
 paragraph 2, letter b), of the Italian Civil Code, available on the Offeror's website
 at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

(xi) The
 2024-2028 Business Plan, available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/business-plans-and-capital-increases.html</u>;

(xii) The
 "One Brand – One Culture" business plan of the Mediobanca Group for the
 2025-2028 period, approved by the Issuer's Board of Directors on 26 June 2025
 and available on the Mediobanca's website at <u>https://www.mediobanca.com/en/investor-relations/one-brand-one-culture-strategic-plan-rolling-to-fy28.html</u>.

Considering the scale of the Offer, its promotion constitutes a "*significant financial commitment*" pursuant to Article 18, paragraph 4 of the Delegated Regulation 2019/980. In accordance with the provisions of Article 4 of the Delegated Regulation (EU) No. 2021/528, the Exemption Document contains certain supplementary information relating to Mediobanca.

The information relating to Mediobanca included in the Exemption Document has been extracted from public information made available by Mediobanca, including those provided in Mediobanca 2023/2024 Consolidated Financial Statements, in Mediobanca 2024/2025 Half-Year Financial Report and in Mediobanca 2024/2025 Nine-Month Press Release, as published on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>. The Offeror cannot guarantee the accuracy of such information, for which Mediobanca is solely responsible and which has not been verified or reviewed by the Offeror or the Independent Auditor.

The additional information relating to Mediobanca and the Mediobanca Group available to the Offeror is provided in Chapter 2 ("*Information on the Offeror and the Issuer*") and Chapter 5 ("*Impact of the Transaction on the Offeror*"); this information is considered relevant by BMPS as it details the main aspects relating to the business, shareholding structure, corporate governance and financial position of Mediobanca, and outlines the expected effects of the Transaction on the Issuer.

Capitalized terms not otherwise defined in the Exemption Document shall have the same meaning ascribed to them in the Offer Document.

**TABLE OF CONTENTS**

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| | | | | |
|:---|:---|:---|:---|:---|
| WARNING | WARNING |  |  | 4 |
| 1. | PERSONS RESPONSIBLE FOR DRAWING UP THE EXEMPTION DOCUMENT, THIRD PARTY INFORMATION AND EXPERTS REPORTS | PERSONS RESPONSIBLE FOR DRAWING UP THE EXEMPTION DOCUMENT, THIRD PARTY INFORMATION AND EXPERTS REPORTS | PERSONS RESPONSIBLE FOR DRAWING UP THE EXEMPTION DOCUMENT, THIRD PARTY INFORMATION AND EXPERTS REPORTS | 10 |
|  | 1.1 |  | Identification of persons responsible for drawing up the exemption document | 10 |
|  | 1.2 |  | Responsibility statement | 10 |
|  | 1.3 |  | Expert's statement or report | 10 |
|  | 1.4 |  | Information sourced by third parties | 10 |
|  | 1.5 |  | Regulatory statements | 10 |
| 2. | INFORMATION ON THE OFFEROR AND THE ISSUER | INFORMATION ON THE OFFEROR AND THE ISSUER | INFORMATION ON THE OFFEROR AND THE ISSUER | 11 |
|  | 2.1 | Information on the Offeror | Information on the Offeror | 11 |
|  |  | 2.1.1 | General information | 11 |
|  |  | 2.1.2 | Business overview | 11 |
|  |  | 2.1.3 | Investments | 14 |
|  |  | 2.1.4 | Corporate Governance | 15 |
|  |  | 2.1.5 | Financial information | 19 |
|  |  | 2.1.6 | Legal and arbitration proceedings | 20 |
|  |  | 2.1.7 | Summary of information disclosed under Regulation (EU) No. 596/2014 of the European Parliament and of the Council | 20 |
|  | 2.2 | Information on the Issuer | Information on the Issuer | 24 |
|  |  | 2.2.1 | General information | 24 |
|  |  | 2.2.2 | Business overview | 25 |
|  |  | 2.2.3 | Investments | 30 |
|  |  | 2.2.4 | Corporate Governance | 31 |
|  |  | 2.2.5 | Financial information | 33 |
|  |  | 2.2.6 | Legal and arbitration proceedings | 35 |
|  |  | 2.2.7 | Summary of information disclosed under Regulation (EU) No. 596/2014 of the European Parliament and of the Council | 35 |
| 3. | DESCRIPTION OF THE TRANSACTION | DESCRIPTION OF THE TRANSACTION | DESCRIPTION OF THE TRANSACTION | 40 |
|  | 3.1 | Purpose and objectives of the Offer | Purpose and objectives of the Offer | 40 |
|  | 3.2 | Conditions of the Offer | Conditions of the Offer | 40 |
|  |  | 3.2.1 | Information on the procedures and terms of the Offer and on the governing law of the agreement executing the Offer | 40 |
|  |  | 3.2.2 | Conditions of Effectiveness of the Offer | 41 |
|  |  | The effectiveness of the Offer is subject to the fulfillment (or waiver by the Offeror as provided below) of each condition of the effectiveness indicated in Warning A.1 of the Offer Document (the "Conditions of Effectiveness"), acknowledging that they are indicated in a chronological order that is not binding: | The effectiveness of the Offer is subject to the fulfillment (or waiver by the Offeror as provided below) of each condition of the effectiveness indicated in Warning A.1 of the Offer Document (the "Conditions of Effectiveness"), acknowledging that they are indicated in a chronological order that is not binding: | 41 |
|  |  | 3.2.3 | Break-up fees or other penalties due if the Offer is not completed | 43 |
|  |  | 3.2.4 | Notifications and authorizations required for the purposes of the Offer | 43 |
|  |  | 3.2.5 | Financing of the Offer | 50 |
|  |  | 3.2.6 | Timetable of the Offer | 50 |
|  | 3.3 | Risk factors related to the Transaction | Risk factors related to the Transaction | 50 |
|  |  | 3.3.1 | Risks related to the information about Mediobanca contained in the Exemption Document | 50 |
|  |  | 3.3.2 | Risks related to the non-fulfillment of the Conditions of Effectiveness of the Offer | 51 |
|  |  | 3.3.3 | Risks related to completion of the Offer | 51 |

---

3.3.4 Risks associated with the expansion of revenue sources
 and expected synergies 52

3.3.5 Risks related to the valuation methods used to determine the Pre-Adjustment
 Consideration 53

3.3.6 Risks related to the inclusion of pro-forma financial information concerning
 the acquisition of Mediobanca 54

3.3.7 Risks related to forecasts and estimates 56

3.3.8 Risks related to the non-comparability of future results after 31 December 2024 57

3.3.9 Risks related to the national and international macroeconomic context 57

3.3.10 Risks related to potential conflicts of interest arising from related
 party transactions 57

3.3.11 Risks related to prominence statements 58

3.4 Conflict of interests 58

3.5 Offer Consideration 59

3.5.1 Addressees of the Offer or of the allotment of the equity securities
 connected with the Offer 59

3.5.2 Consideration offered for each equity security and, in particular, the
 Exchange Ratio and the amount of any cash payment 59

3.5.3 Information concerning to any contingent consideration agreed in the
 context of the Offer 60

3.5.4 Valuation methods and the assumptions employed to determine the Consideration
 offered for each equity security, in particular regarding the Exchange Ratio 60

3.5.5 Any appraisals or reports prepared by independent experts to determine
 the Consideration and information on where these appraisals or reports may be found for perusal 61

4. EQUITY SECURITIES OFFERED TO THE PUBLIC 62

4.1 Risk factors related to the equity securities 62

4.1.1 Risks related to the dilution of the Bank's share capital 62

4.1.2 Risks related to exceptional or significant events affecting the estimated
 value of the Shares Subject to the offer pursuant to Article 2343-ter of the Italian Civil Code and the possible unavailability
 of the BMPS Shares 62

4.1.3 Management of Fractional Shares 64

4.1.4 Risks related to the liquidity and volatility of the BMPS Shares 64

4.1.5 Risks related to the markets on which the Offer is not promoted in the
 absence of authorizations for the competent authorities 65

4.2 Working capital statement 65

4.3 Information concerning the equity securities to be offered and/or admitted to trading 66

4.3.1 General information 66

4.3.2 Statements of the resolutions, authorizations and approvals by virtue
 of which the Shares are issued 66

4.3.3 Description of any restrictions on the free transferability of the equity
 securities 67

4.3.4 Indication of public takeover bids by third parties in respect of the
 Offeror's shares during the last financial year and the current financial year 67

4.4 Admission to trading and dealing arrangements 67

4.4.1 Whether the equity securities offered are or will be the object of an

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| | | | | |
|:---|:---|:---|:---|:---|
|  |  |  | application for admission to trading, with a view to their distribution in a regulated market or other third country markets | 67 |
|  |  | 4.4.2 | Regulated markets or equivalent third country markets as defined in Article 1, point b) of Delegated Regulation (EU) 2019/980, on which, to the knowledge of the Offeror, the Shares are already admitted to trading | 67 |
|  |  | 4.4.3 | Details of the entities that have given a firm commitment to act as intermediaries in secondary trading, providing liquidity through bid and offer rates, and description of the main terms of their commitment | 67 |
|  |  | 4.4.4 | Description of lock-up agreements | 67 |
|  | 4.5 | Dilution | Dilution | 67 |
|  | 4.6 | Advisors | Advisors | 69 |
| 5. | IMPACT OF THE TRANSACTION ON THE OFFEROR | IMPACT OF THE TRANSACTION ON THE OFFEROR | IMPACT OF THE TRANSACTION ON THE OFFEROR | 70 |
|  | 5.1 | Strategies and objectives | Strategies and objectives | 70 |
|  | 5.2 | Material contracts | Material contracts | 73 |
|  | 5.3 | Disinvestment | Disinvestment | 73 |
|  | 5.4 | Corporate governance | Corporate governance | 73 |
|  | 5.5 | Shareholding | Shareholding | 74 |
|  | 5.6 | Pro-forma financial information | Pro-forma financial information | 74 |
| 6. | DOCUMENTS AVAILABLE | DOCUMENTS AVAILABLE | DOCUMENTS AVAILABLE | 75 |
| 7. | DEFINITIONS | DEFINITIONS | DEFINITIONS | 77 |

---

**1.** **PERSONS RESPONSIBLE FOR DRAWING UP THE EXEMPTION DOCUMENT, THIRD PARTY INFORMATION AND EXPERTS REPORTS** 

**1.1** **Identification of persons responsible for drawing up the exemption document** 

Responsibility for the accuracy and completeness of the information and data contained in the Exemption Document is undertaken by Banca Monte dei Paschi di Siena S.p.A. (the "**Offeror**", "**BMPS**" or the "**Bank**"), with registered office in Siena - Piazza Salimbeni No. 3, in its capacity as Offeror and issuer of the BMPS shares which constitutes the Consideration (the "**BMPS Shares**").

**1.2** **Responsibility statement** 

The Offeror represents that, to the best of its knowledge, the information contained in the Exemption Document is in accordance with the facts and that the Exemption Document makes no omission likely to affect its import.

**1.3** **Expert's statement or report** 

Not applicable.

**1.4** **Information sourced by third parties** 

Where information contained in the Exemption Document has been sourced from third parties, it has been accurately reproduced and, as far as the Offeror is able to ascertain from information published by that third parties, no facts have been omitted which would render the reproduced information inaccurate or misleading. The source of third-party information is identified where used.

With particular reference to the Transaction, the Exemption Document contains information derived from the documentation made available to the public by MEDIOBANCA – Banca di Credito Finanziario Società per Azioni (the "**Issuer**" or "**Mediobanca**"), available on the Issuer's website at <u>www.mediobanca.com/en</u>.

**1.5** **Regulatory statements** 

The Offeror represents that:

(i) the
 Exemption Document does not constitute a prospectus within the meaning of Regulation (EU)
 2017/1129;

(ii) the
 Exemption Document has not been subject to the scrutiny and approval by CONSOB in accordance
 with Article 20 of Regulation (EU) 2017/1129.

**2.** **INFORMATION ON THE OFFEROR AND THE ISSUER** 

**2.1** **Information on the Offeror** 

**2.1.1** *<u>General information</u>* 

2.1.1.1 <u>Legal and commercial name</u> 

The Offeror is named Banca Monte dei Paschi di Siena S.p.A.

2.1.1.2 <u>Additional information</u> 

The Offeror is incorporated as a joint-stock company (*società per azioni*), is registered with the Companies' Register of Arezzo – Siena under number 00884060526 and operates under the laws of the Republic of Italy. Its legal entity identifier (LEI) is: J4CP7MHCXR8DAQMKIL78.

The Offeror's registered office is in Siena, Piazza Salimbeni No. 3, phone No. (+39) 0577 294111.

It should be noted that, as of the Exemption Document Date, the BMPS Shares are admitted to trading on the Italian regulated market named as Euronext Milan, organized and managed by Borsa Italiana S.p.A. ("**Euronext Milan**").

The Offeror's website is <u>www.gruppomps.it/en</u>. The information available on the website is not part of the Exemption Document, unless such information has been incorporated by reference in the Exemption Document.

2.1.1.3 <u>Names of the auditors for the period covered by the financial statements and the name of the professional body which they are members of</u> 

The Independent Auditor responsible for auditing BMPS' financial statements are PricewaterhouseCoopers S.p.A., with registered office in Piazza Tre Torri No. 2, Milan, registered with the Register of Statutory Auditors pursuant to Articles 6, et seq., of Legislative Decree No. 39 of 2010, as amended by Legislative Decree No. 135 of 2016, with registration number 119644.

**2.1.2** *<u>Business overview</u>* 

2.1.2.1 <u>Principal activities, including the main categories of products sold and/or services performed in the last financial year</u> 

The Offeror is authorized by the Bank of Italy to carry out the banking business in accordance with Italian law.

BMPS carries out the banking business through the collection of savings and granting credit, in various forms, mainly in Italy, both directly and through subsidiaries. To this end, it may, in compliance with the provisions in force and after obtaining the necessary authorizations, carry out, either directly or through subsidiaries, all banking and financial transactions and services, set up and manage supplementary pension schemes, and carry out any other activity permitted to credit institutions, including the issue of bonds and the granting of loans governed by special laws, instrumental and in any case connected with the pursuit of the corporate purpose.

The Offeror is the parent company of the BMPS Group (the "**BMPS Group**" or the "**Group**") and, in addition to the banking business, performs the functions of guidance, governance and unified control over the financial and instrumental subsidiaries.

In particular, the Offeror, as the parent bank, exercises – pursuant to Article 61, paragraph 4, of the TUB – the management and coordination of the companies belonging to the BMPS Group, issuing specific provisions for this purpose, including for the execution of instructions issued by the supervisory authorities and in the interest of the stability of the BMPS Group.

The Group's business focuses on traditional retail and commercial banking services, mainly in Italy. The Group is also active in business areas such as factoring, corporate finance, including specialized activities such as structured finance.

The Group also operates through a strategic partnership with AXA, in the bancassurance sector, in the life, non-life and supplementary pension fields, while its asset management business consists of offering investment products from independent third parties, including, in particular, Anima Holding S.p.A.

More specifically, the Group, which employed 16,727 people as of 31 December 2024, operates in various strategic areas of the financial sector, offering a wide range of products and services, mainly targeting the following consumer groups:

· *Retail*:
 individuals and households, to whom it offers savings solutions, investment products, mortgages,
 personal loans and innovative payment instruments;

· *Private Banking*: individuals with significant assets, to whom it offers personalized asset management
 services and advanced financial advice;

· *Businesses*:
 small and medium-sized companies, to whom it offers financing services, liquidity management,
 factoring and dedicated insurance products;

· *Large Corporate*: large companies, for which it offers a customized commercial offering characterized
 by high value-added financial services, lending, deposit-taking and cash flow management
 operations.

The Group integrates traditional business models, and operates through its network of branches and specialist centers, with an innovative system of digital and self-service services, enhanced by the expertise of the network of financial advisors of the controlled Bank Widiba S.p.A. (an online bank part of the BMPS Group).

The foreign operations focus on supporting the internationalization processes of corporate customers and cover the main foreign financial markets.

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| | |
|:---|:---|
| &nbsp;&nbsp;Company | &nbsp;&nbsp;Activity |
| &nbsp;&nbsp;![](tm2518026d1_ex99-4img003.jpg) | &nbsp;&nbsp;BMPS operates in various segments of the banking and financial sector, from traditional banking, including factoring products, to special-purpose loans, asset management, bancassurance and investment banking. The Bank performs management, coordination and control functions over the companies of the Group, within the general guidelines established by the Board of Directors and in accordance with the instructions provided by the Bank of Italy in the interest of the stability of the Group. |
| &nbsp;&nbsp;![](tm2518026d1_ex99-2sp1img002.jpg) | &nbsp;&nbsp;Monte Paschi Fiduciaria offers its services to private individuals and companies seeking the highest levels of confidentiality in relation to their interests and business through the use of fiduciary mandates. In addition, Montepaschi Fiduciaria can also act as a trust company for the management of the assets of a trustee or protector. |

---

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| | |
|:---|:---|
| &nbsp;&nbsp;![](tm2518026d1_ex99-2sp1img003.jpg) | &nbsp;&nbsp;Widiba (WIse-DIalog-Bank) is the Group's bank that integrates a self-service offering with the expertise of the BMPS network of financial advisors. |
| &nbsp;&nbsp;![](tm2518026d1_ex99-2sp1img004.jpg) | &nbsp;&nbsp;Monte Paschi Banque S.A. is the Group's bank that supports the trade and investments of Italian companies abroad. In June 2025, BMPS entered into a binding agreement for the sale of its subsidiary Monte Paschi Banque S.A. to a private equity fund. |

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In addition to the above, there are companies operating in the agricultural sector, both in wine production and agri-food, with a real estate component for agritourism and accommodation activities (MPS Tenimenti Poggio Bonelli and Chigi Saracini Società Agricola S.p.A.) and food storage and warehousing services for third parties (Magazzini Generali Fiduciari di Mantova S.p.A.).

Intercompany relations are managed on the basis of a "Group Operating Regulation" that governs and coordinates the activities of the BMPS Group and ensures the achievement of results through defined rules and clear mechanisms for the allocation of management responsibilities, in compliance with the instructions issued by the supervisory authorities in the interest of the stability of the BMPS Group.

Intercompany transactions mainly concern financial support provided by the Bank, as Parent Company, to other companies, mostly in the form of deposits and outsourcing services relating to ancillary activities provided by the Bank (administrative services and property management).

The following chart shows the BMPS Group as of the Exemption Document Date.

![](tm2518026d1_ex99-2sp1img005.jpg)

2.1.2.2 <u>Any significant changes having an impact on the operations and principal activities since the end of the period covered by the latest published audited financial statements</u> 

Without prejudice to what has been already mentioned in relation to the promotion of the Offer, after 31 December 2024 and until the Exemption Document Date, there were no changes that had an impact on the operations and <u>principal</u> activities of the BMPS Group.

For a complete description of significant events after the end of the 2024 financial year, please refer to (i) the

Paragraph entitled "*Significant events after the end of 2024 financial year*" (pages 32 and 33), of the BMPS 2024 Consolidated Financial Statements; and (ii) in the Paragraphs "*Significant events in the first three months of 2025*" (page 14) and "*Significant events after the end of the first three months of 2025*" (page 15) of the BMPS Consolidated Interim Report as of 31 March 2025, both incorporated by reference in this Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at the <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>.

2.1.2.3 <u>Brief description of the principal markets, including a breakdown of total revenues by operating segment and geographic market for the last financial year</u> 

Based on the Group's reporting criteria, which also take into account the Bank's organizational structure, BMPS has defined the following operating segments in which it operates:

***Retail Banking:*** which includes the economic/financial results of retail customers (customers in the "value" and "premium" segments) and of the online bank Banca Widiba (network of financial advisors and self-service channel);

***Wealth Management*:** which includes the economic/financial results of private customers and the subsidiary MPS Fiduciaria;

***Corporate Banking*:** which includes the economic/financial results of corporate customers (SME, corporate client and small business segments) and the foreign branch;

***Large Corporate and Investment Banking*:** which includes the economic/financial results of large corporate customers and the business units "*Corporate Finance and Investment Banking*" and "*Global Market*";

***Corporate Center***: which includes elisions against intercompany items and the results of the following business centers:

· non-performing
 customers, centrally managed by the Non-Performing Loans Unit;

· companies
 consolidated using the net equity method and those held for sale;

· operating
 branches such as proprietary finance, treasury and capital management;

· service
 structures that support the Group's activities, with particular regard to the development
 and management of information systems.

The breakdown of the Group's revenues by operating segment can be found (i) in Paragraph "*Results by Operating Segment*" (pages 94 – 119) of BMPS 2024 Consolidated Financial Statements; and (ii) in Paragraph "*Results by Operating Segment*" (pages 92 – 104) of the BMPS Consolidated Interim Report as of 31 March 2025, both documents incorporated by reference in this Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>.

With regard to the geographic breakdown of revenues, it should be noted that almost all of the Group's revenues derive from Italy; revenues generated by the foreign network, which includes, in particular, the subsidiary MP Banque SA, in the process of being divested, represent approximately 1% of the Group's total revenues as of 31 December 2024.

**2.1.3** *<u>Investments</u>* 

2.1.3.1 <u>Material investments made since the date of the last published financial statements, and which are in progress and/or for which firm commitments have already been made by the Offeror, together</u> 

 <u>with the anticipated source of funds</u>

In the period between 1 January 2025 and the Exemption Document Date, the Offeror implemented the investment plan set out in the 2024-2028 Business Plan, as disclosed in the press release published on 6 August 2024 - relating to the consolidated results of the BMPS Group as of 30 June 2024 and the approval of the 2024-2028 Business Plan (available on the BMPS website at <u>https://www.gruppomps.it/en/media-and-news/press-releases/pr-financial-results-2q-1h-06082024.html)</u> - as well as in the presentation "***A Clear and Simple Commercial Bank, Revolving Around Customers, Combining Technology With Human Touch****, 2Q-24 & 1H-24 Results & Business Plan 2024-2028*" (incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on BMPS' website at <u>https://www.gruppomps.it/en/investor-relations/business-plans-and-capital-increases.html)</u>.

In this regard, it should be noted that the budget allocated to support the project initiatives for the year 2025 was approved by the Offeror's Board of Directors on 12 December 2024. The investments will be financed by the Issuer using resources already available as of the Exemption Document Date.

As of the Exemption Document Date, the implementation of the investments in the 2024-2028 Business Plan is consistent with the expectations.

For further information on the material investments made by the BMPS Group, please refer to the BMPS 2024 Consolidated Financial Statements and the BMPS Consolidated Interim Report as of 31 March 2025, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation.

**2.1.4** *<u>Corporate Governance</u>* 

2.1.4.1 <u>Members of the administrative and supervisory bodies</u> 

*Board of Directors*

As of the Exemption Document Date, the Offeror's Board of Directors is composed of 15 members:

(i) 9
 of whom were elected by the Offeror's shareholders' meeting, in ordinary session,
 on 20 April 2023 for the renewal of the Board of Directors, namely, Mr. Nicola
 Maione, Mr. Gianluca Brancadoro, Mr. Luigi Lovaglio, Mrs. Alessandra Giuseppina
 Barzaghi, Mrs. Paola De Martini, Mr. Stefano Di Stefano, Mr. Domenico Lombardi,
 Mrs. Paola Lucantoni and Mr. Renato Sala;

(ii) 1
 named by the Shareholders' Meeting on 11 April 2024, namely, Raffaele Oriani,
 to replace the resigning director Mr. Marco Giorgino, who resigned on 13 November 2023;

(iii) 5
 of whom, namely Mr. Alessandro Caltagirone, Mrs. Elena De Simone, Mrs. Marcella
 Panucci, Mrs. Francesca Paramico Renzulli and Mrs. Barbara Tadolini, appointed
 by the Offeror's shareholders' meeting, in ordinary session, on 17 April 2025
 to restore the number of 15 members, as resolved by the Shareholders' Meeting of 20
 April 2023 and reduced as a result of the resignation of directors Mr. Paolo Fabris
 de Fabris, Mrs. Lucia Foti Belligambi, Mrs. Laura Martiniello, Mrs. Annapaola
 Negri-Clementi, Mrs. Donatella Visconti, on 17 December 2024.

The directors will remain in office for a period of three financial years from the start of the board's term of office and, therefore, until the approval of the financial statements for the year ending 31 December 2025.

The following table shows the composition of the Offeror's Board of Directors as of the Exemption Document Date:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Name and surname** | &nbsp;&nbsp;**Position Held** | &nbsp;&nbsp;**End of current term of office** |
| &nbsp;&nbsp;Nicola Maione | &nbsp;&nbsp;Chairman – Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Gianluca Brancadoro | &nbsp;&nbsp;Vice-Chairman – Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Luigi Lovaglio | &nbsp;&nbsp;Chief Executive Officer – General Manager | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Alessandra Giuseppina Barzaghi | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Alessandro Caltagirone | &nbsp;&nbsp;Director | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Paola De Martini | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Elena De Simone | &nbsp;&nbsp;Director | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Stefano Di Stefano | &nbsp;&nbsp;Director | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Domenico Lombardi | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Paola Lucantoni | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Raffaele Oriani | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Marcella Panucci | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Francesca Paramico Renzulli | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Renato Sala | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Barbara Tadolini | &nbsp;&nbsp;Independent Director (\*) | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |

---

(\*) Independent director pursuant to the combined provisions of BMPS' by-laws, Ministerial Decree 169/2020, the TUF and the Corporate Governance Code.

The Directors are domiciled for the purposes of their office at the address listed in the Companies' Register of Arezzo – Siena.

For information regarding the Board of Directors of BMPS, please refer to the Report on Corporate

Governance and Shareholding Structure, prepared in accordance with Article 123-*bis* of the TUF and available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/governance-model.html</u>.

*Board of Statutory Auditors*

As of the Exemption Document Date, the Offeror's Board of Statutory Auditors was appointed on 20 April 2023 (with the exception of Mr. Giacomo Granata and Mrs. Paola Lucia Isabella Giordano, appointed on 11 April 2024) and will expire on the date of the Offeror's Shareholders' Meeting called to approve the financial statements for the year ending 31 December 2025.

The following table shows the composition of the Offeror's Board of Statutory Auditors as of the Exemption Document Date:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Name and surname** | &nbsp;&nbsp;**Position held** | &nbsp;&nbsp;**End of current term of office** |
| &nbsp;&nbsp;Enrico Ciai | &nbsp;&nbsp;Chairman of the Board of Statutory Auditors | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Lavinia Linguanti | &nbsp;&nbsp;Standing Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Giacomo Granata | &nbsp;&nbsp;Standing Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Pierpaolo Cotone | &nbsp;&nbsp;Alternate Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |
| &nbsp;&nbsp;Paola Lucia Isabella Giordano | &nbsp;&nbsp;Alternate Statutory Auditor | &nbsp;&nbsp;Shareholders' meeting called to approve the financial statements as of 31 December 2025 |

---

The Offeror's Statutory Auditors are domiciled for the purposes of their office at the address listed in the Companies' Register of Arezzo – Siena.

For information regarding the Board of Statutory Auditors of BMPS, please refer to the Report on Corporate Governance and Shareholding Structure, prepared in accordance with Article 123-*bis* of the TUF and available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/governance-model.html</u>.

2.1.4.2 *Identity of major shareholders* 

As of the Exemption Document Date, based on the communications received pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I of the Issuers' Regulation, as well as on other information available to the Offeror, the shareholders holding a stake in the share capital or voting rights exceeding 3% of the ordinary share capital of the Offeror are indicated in the table below.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Declarant or subject at the top of the ownership chain** | &nbsp;&nbsp;**Direct shareholder** | &nbsp;&nbsp;**% of share capital and voting rights** |
| &nbsp;&nbsp;Delfin S.A.R.L. | &nbsp;&nbsp;Delfin S.A.R.L. | &nbsp;&nbsp;9.780%(\*) |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;5.004% |
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;Anima Holding S.p.A. | &nbsp;&nbsp;3.992% |
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**8.996%** |
| &nbsp;&nbsp;Italian Ministry of Economy and Finance | &nbsp;&nbsp;Italian Ministry of Economy and Finance | &nbsp;&nbsp;11.731% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Ausonia S.r.l. | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Esperia 15 S.r.l. | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;MK 87 S.r.l. | &nbsp;&nbsp;0.040% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Istituto Finanziario 2012 S.p.A. | &nbsp;&nbsp;0.556% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Gamma S.r.l. | &nbsp;&nbsp;0.992% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Azufin S.p.A. | &nbsp;&nbsp;1.191% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;VM 2006 S.r.l. | &nbsp;&nbsp;1.746% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Mantegna 87 S.r.l. | &nbsp;&nbsp;0.103% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Calt 2004 S.r.l. | &nbsp;&nbsp;0.127% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Finanziaria Italia 2005 S.r.l. | &nbsp;&nbsp;0.159% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;**Total** | &nbsp;&nbsp;**5.026%(\*)** |

---

(\*) Please note that, based on the communications made to the Offeror by the depositary intermediaries for the purpose of exercising voting rights at the BMPS' shareholders' meeting, in ordinary and extraordinary session, held on 17 April 2024, the shareholder Delfin S.A.R.L. has disclosed that it holds shares with voting rights equal to 9.866% of the Offeror's share capital and Mr. Francesco Gaetano Caltagirone has disclosed that he holds (through various companies controlled by him) shares with voting rights equal to a total of 9.963% of the Offeror's share capital.

The percentages listed in the table above, as published on CONSOB's website and resulting from the communications made by the shareholders pursuant to Article 120 of the TUF, may not be updated and/or consistent with the data processed and published by other sources (including the Offeror's website), in cases where shareholding did not trigger any shareholders' communication obligation.

2.1.4.3 *Number of employees* 

As of the Exemption Document Date, the Group employs 16,635 people.

**2.1.5** *<u>Financial information</u>* 

2.1.5.1 *Financial statements* 

As of the Exemption Document Date, the most recent consolidated annual financial statements prepared by the Offeror refer to the year ended 31 December 2024 (the "**BMPS 2024 Consolidated Financial Statements**").

The BMPS 2024 Consolidated Financial Statements, approved by the Offeror's Board of Directors on 6 March 2025 and reviewed by the BMPS Shareholders' meeting, in ordinary session, also contain the Independent Auditor's report, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>.

The following table shows the range of pages where the various parts of the BMPS 2024 Consolidated Financial Statements that are incorporated by reference can be found.

---

| | |
|:---|:---|
| **Section** | **pages** |
| Consolidated balance sheet | 298 – 299 |
| Consolidated income statement | 300 – 301 |
| Consolidated statement of changes in equity | 303 – 304 |
| Consolidated cash flow statement – indirect method | 305 – 306 |
| Notes to the consolidated financial statements | 307 – 672 |
| Independent Auditors' report on the financial statements | 681 – 696 |

---

On 8 May 2025, the Board of Directors reviewed and approved the BMPS Consolidated Interim Report as of 31 March 2025, which also contains the limited audit report of the Independent Auditor. The BMPS Consolidated Interim Report as of 31 March 2025 is incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>.

The following table shows the range of pages where the various parts of the BMPS Consolidated Interim Report as of 31 March 2025 that are incorporated by reference can be found.

---

| | |
|:---|:---|
| **Section** | **pages** |
| Consolidated balance sheet | 18 – 19 |
| Consolidated income statement | 20 – 21 |
| Consolidated statement of changes in equity | 23 – 24 |
| Consolidated cash flow statement – indirect method | 25 |
| Explanatory Notes | 26 – 110 |
| Independent Auditors' report | 112 – 114 |

---

2.1.5.2 *Accounting standards* 

BMPS 2024 Consolidated Financial Statements and the BMPS Consolidated Interim Report as of 31 March

2025 have been prepared in accordance with IFRS and IAS issued by the IASB – International Accounting Standards Board, as well as with the related interpretations provided by the IFRIC – International Financial Reporting Interpretations Committee, as adopted by the European Union.

2.1.5.3 *Significant changes in the financial position which has occurred since the end of the last financial period and trends that are reasonably likely to have a material effect on the current financial year* 

From 31 December 2024 to the Exemption Document Date, there have been no significant changes in the financial position or trends that are reasonably likely to have a material effect on the current financial year.

For a description of the trends expected by the Bank, please refer to (i) Paragraph "*Prospects and outlook on operations*" (page 121) of the BMPS 2024 Consolidated Financial Statements; and (ii) Paragraph "*Prospects and outlook on operations*" (page 105) of the BMPS Consolidated Interim Report as of 31 March 2025, both incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>.

**2.1.6** *<u>Legal and arbitration proceedings</u>* 

As of the Exemption Document Date, the Offeror is not a party to any administrative, legal or arbitration proceedings that it believes could have significant effects on the BMPS Group or the Mediobanca Group.

As of 31 March 2025, the following proceedings were pending:

· legal
 disputes with a total claim amount, if quantified, equal to Euro 3,091.4 million, of which
 approximately Euro 1,581.9 million as claims relating to disputes classified as having a
 "probable" risk of losing, for which provisions of Euro 458.4 million have been
 recorded, and approximately Euro 1,509.5 million as claims attributed to disputes classified
 as having a "possible" risk of losing;

· out-of-court
 claims for a total claim amount, if quantified, equal to approximately Euro 55.9 million,
 of which approximately Euro 42.0 million classified as having a "probable" risk
 of losing and approximately Euro 13.9 million as having a "possible" risk of
 losing;

· employment
 disputes as defendant with a total claim amount, if quantified, equal to approximately Euro
 38.3 million, of which (i) approximately Euro 29.4 million as a claim relating to disputes
 classified as having a "probable" risk of losing for which provisions equal to
 approximately Euro 12.3 million have been recorded; and (ii) approximately Euro 8.9
 million as claims attributed to passive disputes classified as having a "possible"
 risk of losing;

· tax
 disputes with a total claim amount, if quantified, equal to approximately Euro 35.5 million,
 of which (i) approximately Euro 12.1 million as a claim relating to disputes classified
 as having a "probable" risk of losing, for which provisions equal to approximately
 Euro 12.0 million have been recorded; and (ii) approximately Euro 23.3 million as claims
 attributed to disputes classified as having a "possible" risk of losing.

For a complete description of the legal and arbitration proceedings, please refer to the "*Main types of legal, employment and tax risks*" of the BMPS 2024 Consolidated Financial Statements (pages 620 – 635) and the BMPS Consolidated Interim Report as of 31 March 2025 (pages 82 – 85), incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>.

**2.1.7** *<u>Summary of information disclosed under Regulation (EU) No. 596/2014 of the European Parliament</u>* 

*<u>and of the Council</u>*

The following is a summary of the information disclosed by the Offeror over the last 12 months pursuant to Regulation (EU) No. 596/2014 of the European Parliament and of the Council of 16 April 2014, which appear to be relevant for the purposes of this Exemption Document.

Each of the press releases mentioned below is available for consultation on the Offeror's website (<u>www.gruppomps.it/en</u>).

**Press releases relating to extraordinary transactions**

·  ***2 July 2025*** : the Offeror announces that it has obtained unconditional approval
 for the acquisition of control of Mediobanca from the Italian Competition and Market Authority
 pursuant to Law No. 287 of 10 October 1990 and the consequent fulfilment of the
 Antitrust Condition.

·  ***2 July 2025*** : the Offeror announces that, by resolution No. 23623 dated 2
 July 2025, CONSOB has approved the Offer Document pursuant to Article 102, paragraph
 4, of the TUF *.* 

·  ***27 June 2025:*** the Offeror announces the registration with the Arezzo-Siena Companies'
 Register of the minutes of the BMPS Board of Directors' meeting held on 26 June 2025,
 specifying that BMPS' shareholders representing, at the date of the resolution, at
 least one-twentieth of the share capital, in the amount prior to the capital increase, may
 exercise the rights referred to in Article 2443, paragraph 4, of the Italian Civil Code,
 within thirty days from the aforementioned registration.

·  ***26 June 2025:*** the Offeror announces that the Board of Directors has resolved, in
 execution of the Delegation, to increase the share capital against payment for a total of
 Euro 13,194,910,000, plus share premium, through the issuance of No. 2,230,000,000 ordinary
 shares, in one or more tranches and in divisible form, with the exclusion of the option right
 pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, in
 service of the Offer. In the context of the resolution to increase the share capital, the
 Board of Directors of BMPS also provided the information required by Article 2343-quater,
 paragraph 3, letters a), b), c) and e), of the Italian Civil Code.

·  ***25 June 2025:*** the Offeror announces that it has successfully completed the placement
 of a Tier 2 subordinated issue with maturity in October 2035 and an early redemption
 option in October 2030, for an amount of Euro 500 million. The coupon has been set at
 4.375% per annum.

·  ***25 June 2025:*** the Offeror announces that the ECB has granted the necessary authorization
 for the acquisition of a controlling shareholding in the Issuer and in its subsidiaries Mediobanca
 Premier S.p.A. and Compass Banca S.p.A.

·  ***20 June 2025:*** the Offeror announces, pursuant to Article 41, paragraph 2,
 letter c) of the Issuers' Regulations, the purchase of 70,000 shares of the Issuer
 in exercise of a call option acquired on 3 January 2025 by a customer of the Bank as
 part of the ordinary course of *Markets* operations and the termination of a securities
 lending position, hedging the risk arising from the above transaction with the customer,
 for 38,004 shares of the Issuer.

·  ***11 June 2025:*** the Offeror announces that it has successfully completed the placement
 of an issuance of Conditional Pass Through ("CPT") European Covered Bond due
 18 January 2031, reserved to institutional investors, for an amount equal to Euro 750
 million. The coupon has been set at 2.750% per annum.

·  ***21 May 2025:*** the Offeror announces that it has successfully completed the placement
 of a new issuance of Senior Preferred Unsecured bonds, with a fixed rate, a maturity of 6
 years (due 2031) and an early redemption option after 5 years, for an amount of Euro 500
 million. The coupon has been set at 3.50%.

·  ***20 May 2025:*** the Offeror announces a technical adjustment to the Consideration
 of the Offer to reflect the payment of: (i) the Offeror's dividend, approved by
 the shareholders' meeting on 17 April 2025, and (ii) the interim dividend
 approved by Mediobanca's Board of Directors on 8 May 2025, based on Mediobanca's
 results as of 31 December 2024. The technical adjustment is equal to 0.23 BMPS shares
 for a total No. 2.533 BMPS shares for each Mediobanca share tendered in acceptance of
 the Offer.

·  ***20 May 2025:*** the Offeror announces that it has obtained prior authorization from
 the Italian Insurance Supervisory Authority ()"**IVASS**") pursuant to Article 68
 of Legislative Decree No. 209 of 7 September 2005 for the acquisition by BMPS of
 an indirect qualifying holding, through Mediobanca, in Assicurazioni Generali S.p.A.

·  ***14 April 2025:*** the Offeror announces that the Presidency of the Council of Ministers
 has resolved, in accordance with the proposal of the Italian Ministry of Economy and Finance,
 not to exercise the special powers pursuant to Law Decree No. 21 of 15 March 2012,
 converted into Law No. 56 of 11 May 2012, with regard to the Offer.

·  ***8 April 2025:*** the Offeror announces that it has received from the European Central
 Bank the authorizations for the purpose of classifying the shares resulting from the Capital
 Increase Reserved to the Offer as Common Equity Tier 1 (CET1) capital.

·  ***13 February 2025:*** BMPS announces that it has filed with CONSOB the offer document
 relating to the Offer, pursuant to Article 102, paragraph 3, of the TUF and Article 37- *ter* of the Issuers' Regulation.

·  ***10 February 2025:*** BMPS, in line with the funding plan and having received authorization
 from the Single Resolution Board, announces the exercise, on 2 March 2025, of the option
 to repay in full and in advance the senior bond named "€750,000,000 Fixed to Floating
 Rate Callable Senior Notes due 2 March 2026" and having ISIN code XS2593107258.

·  ***24 January 2025*:** BMPS, pursuant to Article 102, paragraph 1 of the TUF and
 Article 37 of the Issuers' Regulation, announces that it decided, on 23 January 2025,
 to launch a voluntary public exchange offer pursuant to and for the purposes of Articles
 102 and 106, paragraph 4, of the TUF, with respect to all of the ordinary shares of Mediobanca.

·  ***3 January 2025:*** BMPS, in line with the funding plan and having received authorization
 from the European Central Bank, announces the exercise, on 22 January 2025, of the option
 to early redeem the Tier 2 subordinated bond named *"* €400,000,000 8.000
 per cent. Reset Callable Subordinated Notes" with ISIN code XS2106849727.

·  ***20 November 2024:*** BMPS announces that it has successfully completed the placement
 of a new Senior Preferred Unsecured bond issuance with a 6-year maturity (due 2030) and an
 early redemption option after 5 years, for an amount of Euro 750 million. The transaction
 collected orders of up to Euro 2.4 billion, allowing the coupon to be set at 3.625%.

·  ***9 July 2024:*** BMPS announces the successful placement of a 6-year Social Conditional
 Pass Through European Covered Bond issuance with Italian and foreign institutional investors
 for an amount of Euro 750 million. Orders exceeding Euro 1.2 billion were collected, allowing
 the coupon to be set at 3.3750%.

**Press releases relating to corporate financial events**

·  ***27 May 2025:*** the Offeror announces that Moody's Ratings has upgraded the
 Bank's ratings, raising the long-term rating on senior unsecured debt to "Ba1"
 (from "Ba2") and the long-term rating on deposits to "Baa2" (from
 "Baa3"). The Baseline Credit Assessment ("BCA") has also been upgraded
 to "ba1" (from "ba2"). The outlook for BMPS' long-term deposits
 and senior unsecured debt has been confirmed as "positive".

·  ***9 May 2025:*** the Offeror announces that the Board of Directors has approved the
 results as of 31 March

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2025. ·  ***3 April 2025:*** the Offeror announces that the rating agency DBRS Ratings GmbH has
 upgraded the Long-Term Issuer rating, the Long-Term Senior Debt rating and the standalone
 Intrinsic Assessment rating to investment grade at "BBB (low)" and, at the same
 time, the Long-Term Deposit rating has been upgraded to "BBB". The outlook has
 been confirmed as "positive".

·  ***6 March 2025*:** Offeror's Board of Directors announces that it has approved
 the draft financial statements of the Bank and the consolidated financial statements of the
 BMPS Group as of 31 December 2024, confirming the preliminary results already approved
 by the Board and announced to the market on 6 February 2025. The Board of Directors
 also resolved to propose to the next Shareholders' Meeting the distribution of a cash
 dividend per share equal to Euro 0.86, gross of withholding taxes required by law, for a
 total amount equal to approximately Euro 1,083 million.

· **6 *February 2025:*** The Board of Directors of the Offeror announces that it has
 reviewed and approved the preliminary consolidated results as of 31 December 2024. The
 year ended with a net profit of Euro 1,951 million and gross operating profit of Euro 2,165
 million (+10.8% y/y), with revenues of Euro 4,034 million, up 6.2% y/y, and operating expenses
 of Euro 1,869 million (+1.4% y/y).

·  ***31 January 2025:*** BMPS announces that Moody's Ratings has upgraded its long-term
 outlook on the Bank's deposit and senior unsecured debt ratings from stable to positive,
 confirming all of the Bank's ratings. The agency's decision follows BMPS'
 announcement of the Offer.

·  ***11 December 2024:*** BMPS announces that it has received notification of the European
 Central Bank's final decision regarding the capital requirements to be met on a consolidated
 basis from 1 January 2025, following the conclusion of the annual review and prudential
 assessment process conducted in 2024. The additional capital requirement "P2R"
 improved by 25 bps compared to 2024 levels (2.75%), standing at 2.50%. The minimum total
 Common Equity Tier 1 ratio stands at 8.78%. The Pillar II Capital Guidance "P2G",
 set at 1.15%, is unchanged from 2024 levels. Compared to the final 2023 decision, the European
 Central Bank has removed the requirement for prior authorization for the distribution of
 dividends.

·  ***8 November 2024:*** the Board of Directors of BMPS reviewed and approved the consolidated
 results as of 30 September 2024. The first nine months of the year ended with a net
 profit of Euro 1,566 million (+68.6% y/y); the nine-month gross operating profit amounted
 to Euro 1,645 million (+13.7% y/y), with total revenues equal to Euro 3,037 million (+8.3%
 y/y) and operating expenses equal to Euro 1,392 million (+2.5% y/y).

·  ***25 October 2024:*** Fitch Ratings upgraded the Bank's ratings by one notch,
 raising the Long-Term Issuer Default Rating to "BB+" from "BB" and
 the Viability Rating to "bb+" from "bb". Outlook improved from "stable"
 to "positive".

·  ***6 August* 2024:** The Board of Directors of BMPS reviewed and approved the consolidated
 results as of 30 June 2024. The first six months of the year closed with a net profit
 of Euro 1,159 million (+87.3% y/y), including a positive net tax effect of Euro 457 million.
 EBITDA for the half-year amounted to Euro 1,106 million, with total revenues of Euro 2,031
 million (+9.7% y/y) and operating expenses of Euro 925 million (+1.2% y/y). At the same meeting,
 the Board of Directors approved the 2024-2028 Business Plan, with an update of the financial
 targets, following the achievement of the main objectives of the previous 2022-2026 Plan,
 and the strategic guidelines to strengthen the positioning of "Clear and Simple Commercial
 Bank" through a digital-driven transformation and increasing specialization of the
 service model for households and businesses.

**Press releases relating to the governance of the Offeror**

·  ***17 April 2025:*** the Offeror announces that the shareholders' meeting, both
 in ordinary and

extraordinary session, has (i) approved BMPS' financial statements for the year ended 31 December 2024; (ii) approved the distribution of a dividend of Euro 0.86 per share; (iii) confirmed the appointment of the directors co-opted on 25 December 2024; (iv) approved the granting of the Delegation to the Board of Directors pursuant to Article 2443 of the Italian Civil Code to proceed with the Capital Increase Reserved to the Offer.

·  ***18 March 2025*:** the Board of Directors of the Offeror announces the convening of
 BMPS shareholders' meeting, both in ordinary and extraordinary session, for 17 April 2025,
 at 10:00 a.m., on single call.

·  ***6 February 2025:*** the Board of Directors of BMPS, following the reinstatement of
 the relevant members through the co-opting of five new directors, resolved on the new composition
 of the Board Committees and appointed the relevant members.

·  ***24 January 2025*** *:* the Board of Directors of BMPS, as the competent body pursuant
 to Ministerial Decree No. 169/2020, verified, with regard to each director appointed
 by co-optation on 27 December 2024, that they meet the requirements and comply with
 the eligibility criteria set forth in current legislation and the By-laws. The Board of Directors
 continues to be composed primarily of independent directors.

·  ***27 December 2024*:** the Board of Directors of BMPS, with a unanimous vote and the
 approval of the Board of Statutory Auditors, pursuant to Article 2386 of the Italian
 Civil Code, appointed by co-optation Alessandro Caltagirone (non-independent), Elena De Simone
 (non-independent), Marcella Panucci (independent), Francesca Renzulli (independent) and Barbara
 Tadolini (independent), following the resignation of five directors indicated in the list
 submitted by the Italian Ministry of Economy and Finance on 27 March 2023. The new directors
 will remain in office until the next Shareholders' Meeting.

·  ***18 December 2024:*** BMPS announces that, on 17 December 2024, five independent
 directors who had been appointed by the Italian Ministry of Economy and Finance in the list
 submitted on 27 March 2023 resigned from office, namely: Paolo Fabris De Fabris, Lucia
 Foti Belligambi, Laura Martiniello, Annapaola Negri-Clementi and Donatella Visconti. The
 Board of Directors will promptly integrate the composition of the management body, in accordance
 with the relevant regulatory provisions.

·  ***12 December 2024:*** upon request of the independent directors, the Board of Directors
 of BMPS unanimously appointed – with the abstention of the interested person –
 the Independent Director Mrs. Paola De Martini, as Lead Independent Director of BMPS.
 She will remain in office until the expiry of the current Board of Directors of BMPS, and
 therefore until the Shareholders' Meeting called to approve the financial statements
 for the year ending 31 December 2025.

**2.2** **Information on the Issuer** 

**2.2.1** *<u>General information</u>* 

2.2.1.1 <u>Legal and commercial name</u> 

The Issuer is named Mediobanca – Banca di Credito Finanziario Società per Azioni.

2.2.1.2 <u>Additional information</u> 

Mediobanca is incorporated as a joint-stock company (*società per azioni*), is registered with the Companies' Register of Milan under number 00714490158 and operates under the laws of the Republic of Italy. Its legal entity identifier (LEI) is: PSNL19R2RXX5U3QWHI44.

Mediobanca's registered office is in Piazzetta Enrico Cuccia 1, 20121 Milan, phone No. (+39) 02-88291.

It should be noted that, as of the Exemption Document Date, the Mediobanca Shares are admitted to trading on Euronext Milan.

Mediobanca's website is <u>www.mediobanca.com/en</u>.

2.2.1.3 <u>Names of the auditors for the period covered by the financial statements and the name of the professional body which they are members of</u> 

The independent auditor responsible for auditing Mediobanca's financial statements is EY S.p.A., with registered office in via Meravigli 12, Milan, registered with the Register of Statutory Auditors pursuant to Articles 6, et seq., of Legislative Decree No. 39 of 2010, as amended by Legislative Decree No. 135 of 2016, with registration number 70945.

**2.2.2** *<u>Business overview</u>* 

2.2.2.1 <u>Principal activities, including the main categories of products sold and/or services performed in the last financial year</u> 

The information relating to Mediobanca's principal activities included in the Exemption Document has been extracted from public information made available by Mediobanca, including that provided in Mediobanca 2023/2024 Consolidated Financial Statements, Mediobanca 2024/2025 Half-Year Financial Report and Mediobanca 2024/2025 Nine-Month Press Release, as published on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>. The Offeror cannot provide any guarantee as to the accuracy of such information, for which Mediobanca is solely responsible and which has not been verified or reviewed by the Offeror.

The Issuer is authorized by the Bank of Italy to carry out the banking business in accordance with Italian law.

Pursuant to Article 3 of its By-laws, Mediobanca's corporate purpose consists of the collection of savings and the granting credit in all its forms, with particular reference to medium/long-term loans to businesses.

In compliance with current regulations, Mediobanca may carry out banking, financial and intermediation transactions and provide banking, financial and intermediation services, as well as any other activity instrumental or connected with the pursuit of its corporate purpose.

Mediobanca's main activities are divided into the following segments:

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Wealth Management (WM)*** : which includes asset management activities for various categories
 of customers and asset management, as described on page 198 of Mediobanca 2024/2025
 Half-Year Financial Report;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Corporate & Investment Banking (CIB)*** : includes services for corporate customers in the areas
 of Wholesale Banking (lending, Capital Market activities, Advisory, Trading on behalf of
 customers and proprietary trading, as described on page 198 of Mediobanca 2024/2025
 Half-Year Financial Report);

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Consumer Finance (CF)*** : includes a range of consumer credit products as described on page 198
 of Mediobanca 2024/2025 Half-Year Financial Report;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Insurance – Principal Investing (PI)*** : includes the Group's portfolio of equity
 investments and shares as described on page 198 of Mediobanca 2024/2025 Half-Year Financial
 Report; and

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Holding Functions*** : include all activities described on page 199 of the Mediobanca 2024/2025
 Half-Year Financial Report.

The Issuer is the parent bank of the Mediobanca Group and, as such, in addition to the banking business, it performs, pursuant to Article 61, paragraph 1, of the TUB, the functions of management and coordination as well as unified control over the banking, financial and instrumental subsidiaries that are part of the Mediobanca Group.

Within the scope of its management and coordination powers, the Issuer provides instructions to the members of the Mediobanca Group, including for the implementation of instructions issued by the supervisory authorities and in the interests of the stability of the Mediobanca Group itself.

The Issuer also exercises management and coordination activities pursuant to Articles 2497, et seq., of the Italian Civil Code with respect to Italian companies belonging to the Mediobanca Group and directly or indirectly controlled by the Issuer.

The table below lists the companies directly or indirectly controlled by or affiliated with the Issuer and included in the Mediobanca Group's scope of consolidation, taken from the Mediobanca 2024/2025 Half-Year Financial Report, indicating their names and registered offices.

---

| | |
|:---|:---|
| Denomination | Registered Office |
| **Spafid S.p.A.** | Foro Buonaparte, 10 20121, Milan, Italy |
| **Mediobanca Innovation Services – S.c.p.A.** | Via Siusi, 7 20132, Milan, Italy |
| **CMB Monaco S.A.M.** | 17 Avenue des Spélugues, 98000 Monaco |
| **CMG Monaco S.A.M.** | 17 Avenue des Spélugues, 98000 Monaco |
| **Mediobanca International (Luxembourg) S.A.** | 4, Boulevard Joseph II, L – 1840, Luxembourg, Grand Duchy of Luxembourg |
| **Compass Banca S.p.A.** | Via Caldera, 21 20153, Milan, Italy |
| **Mediobanca Premier S.p.A.** | Viale Luigi Bodio, 37 20158, Milan, Italy |
| **MBCredit Solutions S.p.A.** | Via Caldera, 21 20153, Milan, Italy |
| **Selmabipiemme Leasing S.p.A.** | Via Siusi, 7 20132, Milan, Italy |
| **MB Funding Luxembourg S.A.** | 28, Boulevard F. W. Raiffeisen, L – 2411, Luxembourg, Grand Duchy of Luxembourg |
| **Mediobanca Securities USA L.L.C.** | National Registered Agents, Inc., 1209 Orange Street, Wilmington, DE 19801 |
| **Mb Facta S.p.A.** | Via Siusi, 7 20132, Milan, Italy |
| **Quarzo S.r.l.** | Via Filippo Turati, 29 20121, Milan, Italy |
| **Mediobanca Covered Bond S.r.l.** | Via Filippo Turati, 29 20121, Milan, Italy |
| **Compass Re (Luxembourg) S.A.** | 4, Boulevard Joseph II, L – 1840, Luxembourg, Grand Duchy of Luxembourg |
| **Mediobanca International Immobiliere S. A R.L.** | 4, boulevard Joseph II, L – 1840, Luxembourg, Grand Duchy of Luxembourg |
| **Polus Capital Management Group Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |
| **Polus Capital Management Limited** | Asticus Building, 21 Palmer Street, London, United |

---

---

| | |
|:---|:---|
| | Kingdom, SW1H 0AD |
| **Polus Capital Management (US) Inc.** | The Corporation Trust Company, Corporation Trust Center 1209 Orange St., Wilmington, DE 19801 |
| **Polus Capital Management Investments Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |
| **Polus Investment Managers Limited** | Asticus Building, 21 Palmer Street, London, United Kingdom, SW1H 0AD |
| **Bybrook Capital Burton Partnership (GP) Limited** | South Church Street, Ugland House, P. O. Box 309, C/O Maples Corporate Services Limited, South Church Street, George Town, Grand Cayman Ky1-1104, Cayman Islands |
| **Spafid Trust S.r.l.** | Foro Buonaparte, 10 20121, Milan, Italy |
| **Mediobanca Management Company S.A.** | 2, Boulevard de la Foire, L – 1528, Luxembourg, Grand Duchy of Luxembourg |
| **Mediobanca Sgr S.p.A.** | Foro Buonaparte, 10 20121, Milan, Italy |
| **RAM Active Investments S.A.** | Rue du Rhône 8, 1204 Geneve, Switzerland |
| **Messier et Associes S.A.S.** | 23 Avenue D'Iéna – 75116 Paris, France |
| **Messier et Associes L.L.C.** | 1450 Broadway Avenue, 38th Floor, New-York, NY 10018, USA |
| **MBContact Solutions S.r.l.** | Via Caldera, 21 20153, Milan, Italy |
| **Compass Rent S.r.l.** | Via Brennero, 43 38122, Trento, Italy |
| **Compass Link S.r.l.** | Via Caldera, 21 20153, Milan, Italy |
| **RAM Active Investments Limited (UK) (*in winding up*)** | 35 Berkeley Square, London, United Kingdom, W1J 5BF |
| **CMB Real Estate Development S.A.M.** | 17 Avenue des Spélugues, 98000 Monaco |
| **Arma Partners LLP** | The Shard, London Bridge Street, London, United Kingdom, SE1 9SG |
| **Arma Partners Corporate Finance Ltd** | The Shard, London Bridge Street, London, United Kingdom, SE1 9SG |
| **Arma Deutschland GmbH** | Nymphenburger Str. 14, D-80335 München, Germany |
| **Heylight S.A.** | Rue du Nant 8, c/o Berney Associés SA, 1207, Geneve, Switzerland |

---

Below is a chart, as published on the Issuer's website, showing the main companies of the Mediobanca Group as of the Exemption Document Date.

![](tm2518026d1_ex99-2img010.jpg)

2.2.2.2 <u>Significant changes having an impact on the operations and principal activities since the end of the period covered by the latest published audited financial statements</u> 

To the best of the Offeror's knowledge, except as indicated in the Paragraph "*Events subsequent to the reporting date*" (page 121) of the Mediobanca 2023/2024 Consolidated Financial Statements and in the same Paragraph (page 76) of the Mediobanca 2024/2025 Half-Year Financial Report, incorporated by reference into this Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>, as of 31 December 2024, no significant changes have occurred that have had an impact on the Issuer's operations and activities as of the Exemption Document Date.

Without prejudice to the above, on 28 April 2025, pursuant to and for the purposes of Article 102, paragraph 1, of the TUF, as well as Article 37 of the Issuers' Regulation, Mediobanca notified the market that on 27 April 2025 it had decided to promote a voluntary public exchange offer pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF, for all the ordinary shares of Banca Generali S.p.A. ("**Banca Generali**") admitted to trading on Euronext Milan, organised and managed by Borsa Italiana (the "**Mediobanca-Banca Generali Offer**").

The Mediobanca-Banca Generali Offer therefore concerns No. 116,851,637 ordinary shares of Banca Generali (*i.e.*, all the shares issued by Banca Generali as of that date), including treasury shares held by Banca Generali itself (equal to No. 2,907,907 as reported in Banca Generali's financial statements as of 31 December 2024).

Mediobanca has declared that for each Banca Generali share tendered in acceptance of the Mediobanca-Banca Generali Offer, it will pay a consideration of 1.70 ordinary shares of Assicurazioni Generali S.p.A. ("**Assicurazioni Generali**") held by Mediobanca.

On 19 May 2025, Mediobanca notified the market that it had filed the offer document with CONSOB pursuant to and for the purposes of Article 37-*ter* of the Issuers' Regulation.

On 15 June 2025, Mediobanca's Board of Directors resolved to postpone the date of the ordinary Shareholders' Meeting for the authorization of the Mediobanca-Banca Generali Offer, originally convened for 16 June 2025, in accordance with Article 104 of the TUF, to 25 September 2025.

For further information on the Mediobanca-Banca Generali Offer, please refer to Section Warnings, Paragraph A.17, of the Offer Document, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulations, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/mediobanca-28-april.html</u>.

2.2.2.3 <u>Brief description of the principal markets, including a breakdown of total revenues by operating segment and geographic market for the last financial year</u> 

The Mediobanca Group's activities are mainly focused on the Italian market. Approximately 80% of the Mediobanca Group's loan portfolio originates in Italy.

As previously mentioned, the Mediobanca Group operates in the following market segments:

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Wealth Management (WM)*** : which comprises asset management activities for various categories
 of clients and asset management. The division includes Mediobanca Premier, which serves Premier
 clients; the private banking networks of MBPB and CMB Monaco; the asset management companies
 (Polus Capital, Mediobanca SGR, Mediobanca Management Company and RAM Active Investments);
 and the fiduciary activities of Spafid;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Corporate & Investment Banking (CIB)*** : includes services for corporate clients in the areas of
 Wholesale Banking (lending, Capital Market activities, Advisory, Trading on behalf of clients
 and proprietary trading carried out by Mediobanca, Mediobanca International, Mediobanca Securities,
 Messier et Associés and Arma Partners) and Specialty Finance, *i.e.*, Factoring
 carried out by MBFACTA, and Credit Management relating solely to third-party management carried
 out by MBCredit Solutions and MBContact Solutions;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Consumer Finance (CF)*** : offers retail customers a range of consumer credit products: personal
 loans, special-purpose loans, salary-backed loans, credit cards, as well as the Buy Now Pay
 Later solution called "Pagolight". The Compass RE segment (which reinsures risks
 related to insurance policies placed with customers), Compass Rent (active in the rental
 of goods) and Compass Link (which, through external partners, distributes Compass products
 and services) are included in this segment;

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Insurance – Principal Investing (PI)*** : includes the Group's portfolio of equity
 investments and securities, in particular the investment in Assicurazioni Generali, which
 is the main component of the division. The division also includes investments in funds and
 vehicles promoted and managed by the Group's asset management companies (so-called
 seed capital), as well as investments in private equity funds managed by third parties; and

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Holding Functions*** *:* include, in addition to SelmaBPM Leasing, MIS, other minor companies,
 the Group's Treasury and ALM, the costs of the Group's central functions, including
 operations, support functions (Chief Financial Office, Group Corporate Affairs, Investor
 Relations, Human Resources), senior management and control functions (Risk Management, Internal
 Audit and Compliance) for the portion not attributable to the business lines.

The breakdown of Mediobanca Group revenues by operating segment can be found:

with reference to the financial year ended 30 June 2024, in Paragraph "*Earnings/balance-sheet data by division*" (pages 32–33) of the Mediobanca 2023/2024 Consolidated Financial Statements, which are incorporated by reference into this Exemption Document pursuant to Article 19 of the Prospectus Regulation and are available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

with reference to the six months ended 31 December 2024, in Paragraph "*Earnings/balance-sheet data by division*" (pages 15 and 16) of the Mediobanca 2024/2025 Half-Year Financial Report, which are incorporated by reference into this Exemption Document pursuant to Article 19 of the Prospectus Regulation and are available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>; and

with reference to the nine months ended 31 March 2025, in Paragraph "*Profit-and-loss figures/balance-sheet data by division*" (pages 24 and 25) of the Mediobanca 2024/2025 Nine-Month Press Release, which are incorporated by reference into this Exemption Document pursuant to Article 19 of the Prospectus Regulation and are available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

Mediobanca has represented that it is currently authorized and regulated by the Financial Conduct Authority (FCA) in the United Kingdom for the provision of investment services both through its London branch and on a cross-border basis in the United Kingdom.

With regard to the Mediobanca Group company Polus Capital Management Group Limited ("**Polus**") based in the United Kingdom, its fund management activities are delegated to a manager based in Ireland (Carne Global Fund Managers Ireland Limited), which has sub-delegated the management to Polus itself. Polus continues to manage the investment strategies and portfolio management for the funds.

The breakdown of the Mediobanca Group's revenues by geographic area can be found in Paragraph "B.1 *Profit-and-loss figures by geography*" (page 370) of the Mediobanca 2023/2024 Consolidated Financial Statements, which are incorporated by reference into this Exemption Document pursuant to Article 19 of the Prospectus Regulation and are available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

**2.2.3** *<u>Investments</u>* 

2.2.3.1 <u>Material investments made since the date of the last published financial statements, and which are in progress and/or for which firm commitments have already been made by the Offeror, together with the anticipated source of funds</u> 

BMPS is not aware of any investments currently being made and/or which, as of the Exemption Document Date, are subject to a firm commitment by the Issuer other than those indicated in Part G, Section 1 (page 358) of the Mediobanca 2023/2024 Consolidated Financial Statements, and page 10 of the Mediobanca 2024/2025 Nine-Month Press Release, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

**2.2.4** *<u>Corporate Governance</u>* 

2.2.4.1 <u>Members of the administrative and supervisory bodies</u> 

<u>Board of Directors</u>

The Issuer's Board of Directors was appointed by the Shareholders' Meeting of Mediobanca, in ordinary session, held on 28 October 2023 and will remain in office for a period of three financial years, until the approval of the financial statements as of 30 June 2026. On that occasion, the following members were appointed: Mr. Renato Pagliaro (Chairman of the Board of Directors), Mr. Alberto Nagel (Chief Executive Officer), Mr. Francesco Saverio Vinci, Mrs. Angela Gamba, Mr. Vittorio Pignatti-Morano Campori, Mrs. Sabrina Pucci, Mr. Mana Abedi, Mrs. Virginie Banet, Mrs. Laura Cioli, Mr. Marco Giorgino, Mrs. Valérie Hortefeux, Mr. Maximo Ibarra, Mr. Sandro Panizza, Mrs. Laura Penna and Mr. Angel Vilà Boix (Directors).

As of the Exemption Document Date, the Board of Directors is composed of the following members, with an indication of their position and main personal details.

---

| | | |
|:---|:---|:---|
| **Name and Surname** | **Position held** | **End of current term of office** |
| Renato Pagliaro | Chairman | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Alberto Nagel | Chief Executive Officer | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Francesco Saverio Vinci | General Manager – Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Angela Gamba | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Vittorio Pignatti-Morano Campori | Vice-Chairman – Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Sabrina Pucci | Vice-Chairman – Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Mana Abedi | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Virginie Banet | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Laura Cioli | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Marco Giorgino | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Valérie Hortefeux | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Maximo Ibarra | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Sandro Panizza | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Laura Penna | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Angel Vilà Boix | Independent Director | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |

---

The directors of the Issuer are domiciled, for the purposes of their office, at the address listed in the Companies' Register of Milan-Monza-Brianza-Lodi.

For information regarding Mediobanca's Board of Directors, please refer to the Corporate Governance and

Ownership Structure Report, prepared in accordance with Article 123-*bis* of the TUF, available on the website (<u>www.mediobanca.com/en</u>).

<u>Board of Statutory Auditors</u>

The Board of Statutory Auditors was appointed by the Shareholders' Meeting of Mediobanca, in ordinary session, on 28 October 2023 and will remain in office for a period of three financial years, until the approval of the financial statements as of 30 June 2026. The Board of Statutory Auditors consists of the following three standing members and three alternate members: Mr. Mario Matteo Busso (Chairman), Mrs. Elena Pagnoni and Mr. Ambrogio Virgilio (standing auditors), Mr. Angelo Rocco Bonissoni, Mrs. Anna Rita de Mauro and Mr. Vieri Chimenti (alternate auditors).

As of the Exemption Document Date, the Board of Statutory Auditors is composed of the following members, with an indication of their position and main personal details:

---

| | | |
|:---|:---|:---|
| **Name and surname** | **Position held** | **End of current term of office** |
| Mario Matteo Busso | Chairman | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Elena Pagnoni | Standing Statutory Auditor | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Ambrogio Virgilio | Standing Statutory Auditor | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Angelo Rocco Bonissoni | Alternate Statutory Auditor | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Anna Rita de Mauro | Alternate Statutory Auditor | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |
| Vieri Chimenti | Alternate Statutory Auditor | Shareholders' meeting called to approve the financial statements as of 30 June 2026 |

---

The Statutory Auditors of the Issuer are domiciled, for the purposes of their office, at the address listed in the Companies' Register of Milan-Monza-Brianza-Lodi.

For information regarding Mediobanca's Board of Statutory Auditors, please refer to the Corporate Governance and Ownership Structure Report, prepared in accordance with Article 123-*bis* of the TUF, available on the website (<u>www.mediobanca.com/en</u>).

2.2.4.2 *Identity of major shareholders* 

As of the Exemption Document Date, based on the communications disclosed pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I of the Issuers' Regulation, as published on the CONSOB website, the shareholders holding a stake in the Issuer's share capital or voting rights exceeding 3% of the Issuer's ordinary share capital are indicated in the table below.

---

| | | |
|:---|:---|:---|
| **Declarant or subject at the <br> top of the ownership <br> chain** | **Direct shareholder** | **% of share capital and voting rights of the direct <br> shareholder** |
| Francesco Gaetano | Fincal S.p.A. | 1.880% |

---

---

| | | |
|:---|:---|:---|
| Caltagirone | Istituto Finanziario 2012 S.p.A. | 3.203% |
|  | Gamma S.r.l. | 0.416% |
|  | **Total** | **5.499%** |
| Delfin S.A.R.L. | Delfin S.A.R.L. | 19.390% |

---

The percentages shown in the table above, as published on CONSOB's website and resulting from the communications made by the shareholders pursuant to Article 120 of the TUF, may not be up to date and/or consistent with the data processed and published by other sources (including the Offeror's website), in the event that subsequent changes in shareholdings have not triggered any shareholders' disclosure obligations. For the sake of completeness, it should be noted that in a press release issued on 30 June 2025 pursuant to Article 41, paragraph 2, letter c) of the Issuers' Regulation, Banca Mediolanum S.p.A., also on behalf of Mediolanum Vita S.p.A., announced to the market that on the same date, certain transactions for the sale of Mediobanca shares had been completed through an accelerated bookbuilding process, with settlement of the sale set for 3 July 2025. Specifically, the sale involved, with regard to Banca Mediolanum S.p.A., No. 22,644,712 Mediobanca Shares and, with regard to Mediolanum Vita S.p.A., No. 6,450,398 Mediobanca Shares, for a total of approximately 3.5% of Mediobanca's share capital. As of the Exemption Document Date, the communication pursuant to Article 120 of the TUF is not yet available.

As of the Exemption Document Date, a consultation agreement is in place between certain shareholders of Mediobanca, falling within the scope of Article 122, paragraph 5, letter a) of the TUF. For further information in this regard, please refer to the Issuer's website at <u>https://www.mediobanca.com/en/corporate-governance/shareholders/consultation-agreement-between-shareholders.html</u>.

2.2.4.3 *Number of employees* 

Pursuant to Mediobanca 2024/2025 Nine-Month Press Release, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulations, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>, as of 31 March 2025, the Mediobanca Group employed 5,508 employees. The Offeror does not have more recent information than that provided as of that date.

**2.2.5** *<u>Financial information</u>* 

2.2.5.1 *Financial statements* 

For the Mediobanca Group, the following are incorporated by reference in accordance with Article 19 of the Prospectus Regulations:

· the
 financial information of the Mediobanca Group for the 2023/2024 financial year, approved
 by the Issuer's Board of Directors on 19 September 2024 and reviewed by the Issuer's
 shareholders' meeting, in ordinary session, on 28 October 2024, including the
 independent auditor's report issued on 25 September 2024;

· the
 financial information of the Mediobanca Group for the six months ended 31 December 2024,
 approved by the Issuer's Board of Directors on 10 February 2025, including independent
 auditor's report issued on 11 February 2025;

· the
 financial information of the Mediobanca Group for the nine months ended 31 March 2025,

approved by the Issuer's Board of Directors on 8 May 2025 and made available to the public through a press release.

For further information, please refer to the Mediobanca 2023/2024 Consolidated Financial Statements, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>, and in the Mediobanca 2024/2025 Half-Year Financial Report, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>, and in the Mediobanca 2024/2025 Nine-Month Press Release, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

The following table shows the range of pages where the various parts of the Mediobanca 2023/2024 Consolidated Financial Statements, the Mediobanca 2024/2025 Half-Year Financial Report and the Mediobanca 2024/2025 Nine-Month Press Release are available and which are incorporated.

---

| | | | |
|:---|:---|:---|:---|
| **Section** | **Financial Year <br> 2023/2024** | **Half-Year 2024/2025** | **Nine-Month Press Release <br> 2024/2025** |
| Consolidated Balance Sheet | 98 – 99 | 57 – 58 | 23 |
| Consolidated Profit and Loss Account | 100 | 59 | 22 |
| Statement of Consolidated Comprehensive Income | 101 | 60 | 30 |
| Consolidated Cash Flow Statement Direct Method | 104 | 63 | N/A. |
| Notes to the Accounts | 106 – 376 | 65 – 200 | N/A. |
| Independent Auditor's report | 86 – 96 | 54 – 55 | N/A. |

---

2.2.5.2 <u>Accounting standards</u> 

The Mediobanca 2023/2024 Consolidated Financial Statements, the Mediobanca 2024/2025 Half-Year Financial Report and the Mediobanca 2024/2025 Nine-Month Press Release have been prepared in accordance with IFRS and IAS issued by the IASB - International Accounting Standards Board, as well as with the related interpretations provided by the IFRIC - International Financial Reporting Interpretations Committee, as adopted by the European Union.

2.2.5.3 <u>Significant changes in the financial position which has occurred since the end of the last financial period and trends that are reasonably likely to have a material effect on the current financial year</u> 

To the best of the Offeror's knowledge, there have been no significant changes in the Issuer's financial position since 31 March 2025 to the Exemption Document Date.

With regard to trends that that are reasonably likely to have a material effect on prospects of the Issuer, please refer to the Paragraph entitled "*Outlook*" (pages 50 and 51) of the Mediobanca 2024/2025 Half-Year Financial Report and pages 18 and 19 of the Mediobanca 2024/2025 Nine-Month Press Release, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

**2.2.6** *<u>Legal and arbitration proceedings</u>* 

To the best of the Offeror's knowledge, as of the Exemption Document Date, none of the legal proceedings involving Mediobanca and its consolidated companies had, or had recently had, a significant impact on the financial position or profitability of the Mediobanca Group.

For further information on legal proceedings and disputes with the tax authorities to which the Mediobanca Group is a party, please refer to the Paragraph entitled "*Provisions for risks and charges*" of the Mediobanca 2023/2024 Consolidated Financial Statements (pages 211-215) and the Mediobanca 2024/2025 Half-Year Financial Report (pages 123-124), incorporated by reference into this Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>.

**2.2.7** *<u>Summary of information disclosed under Regulation (EU) No. 596/2014 of the European Parliament and of the Council</u>* 

Below is a summary of the information disclosed by Mediobanca over the last 12 months pursuant to Regulation (EU) No. 596/2014 of the European Parliament and of the Council of 16 April 2014, which appear to be relevant for the purposes of this Exemption Document.

Each of the press releases mentioned below is available for consultation on the Issuer's website (<u>www.mediobanca.com/en</u>).

**Press releases relating to extraordinary transactions**

·  ***2 July 2025*** : Mediobanca announces that it has completed the share buyback programme
 launched on 12 November 2024, approved by the Shareholders' Meeting of Mediobanca,
 in ordinary session, on 28 October 2024 and authorized by the European Central Bank
 on 7 October 2024, and that it has purchased a total of 24,146,245 treasury shares,
 equal to 2.9% of the Issuer's share capital, for a total consideration of Euro 384,999,983.
 Following these purchases, Mediobanca announces that it holds a total of 26,914,597 treasury
 shares, equal to 3.2% of its share capital.

·  ***2 July 2025 – 16 June 2025:*** As part of the share buyback programme
 launched on 12 November 2024, approved by the Shareholders' Meeting of Mediobanca,
 in ordinary session, on 28 October 2024 and authorized by the European Central Bank
 on 7 October 2024, Mediobanca announced the following share buybacks:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 2 July 2025, No. 363,320 shares, at an average price of Euro 18.82 for a total
 consideration of Euro 6,838,143;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 1 July 2025, No. 652,500 shares, at an average price of Euro 19.05 for a total
 consideration of Euro 12,428,751;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 30 June 2025, No. 513,500 shares, at an average price of Euro 19.63 for a total
 consideration of Euro 10,080,716;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 27 June 2025, No. 678,684 shares, at an average price of Euro 19.59 for a total
 consideration of Euro 13,293,214;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 25 June 2025, No. 565,000 shares, at an average price of Euro 19.90 for a total
 consideration of Euro 11,242,937. Furthermore, in the context of the employees' remuneration
 plans of the Mediobanca Group, No. 64,197 treasury shares were sold off-market at a
 price of Euro 19.3555 (equal to the average share price over the last 10 trading days), for
 a total consideration of Euro 1,242,565;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 24 June 2025, No. 761,000 shares, at an average price of Euro 19.87 for a total
 consideration

of Euro 15,119,093;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 23 June 2025, No. 297,000 shares, at an average price of Euro 19.17 for a total
 consideration of Euro 5,692,500;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 20 June 2025, No. 421,000 shares, at an average price of Euro 19.30 for a total
 consideration of Euro 8,127,147;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 18 June 2025, No. 223,500 shares, at an average price of Euro 19.31 for a total
 consideration of Euro 4,315,789;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 17 June 2025, No. 376,000 shares, at an average price of Euro 19.15 for a total
 consideration of Euro 7,199,708;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 16 June 2025, No. 432,000 shares, at an average price of Euro 19.45 for a total
 consideration of Euro 8,400,783.

·  ***15 June 2025*** : Mediobanca's Board of Directors resolved to postpone the date
 of the ordinary Shareholders' Meeting for the authorization of the Mediobanca-Banca
 Generali Offer, originally convened for 16 June 2025, in accordance with Article 104
 of the TUF, to 25 September 2025.

·  ***3 June 2025:*** Mediobanca announces that it has successfully completed the placement
 of a new 5-year Covered Bond (due August 2030) for a total amount of Euro 750 million.

·  ***20 May 2025*** : Mediobanca announces, pursuant to Article 102, paragraph 3, of
 the TUF and Article 37- *ter* of the Issuers' Regulation, that it has filed
 with CONSOB the offer document relating to the Mediobanca-Banca Generali Offer.

·  ***28 April 2025*** : Mediobanca announced the Mediobanca-Banca Generali Offer pursuant
 to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF. The offer concerns
 all 116,851,637 ordinary shares of Banca Generali, including 2,907,907 treasury shares. The
 consideration for each share of Banca Generali tendered is equal to 1.70 ordinary shares
 of Assicurazioni Generali held by Mediobanca.

·  ***23 – 4 April 2025*** : As part of the share buyback programme launched on 12
 November 2024, approved by the Shareholders' Meeting of Mediobanca, in ordinary
 session, on 28 October 2024 and authorized by the European Central Bank on 7 October 2024,
 Mediobanca announced the following share buybacks:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 23 April 2025, No. 97,188 shares, at an average price of Euro 16.03 per share,
 for a total consideration of Euro 1,557,539;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 22 April 2025, No. 200,000 shares, at an average price of Euro 15.70 for a total
 consideration of Euro 3,139,259;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 17 April 2025, No. 200,000 shares, at an average price of Euro 15.66 for a total
 consideration of Euro 3,132,488;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 15 April 2025, No. 200,000 shares, at an average price of Euro 15.61 for a total
 consideration of Euro 3,121,584;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 14 April 2025, No. 200,000 shares, at an average price of Euro 15.16 for a total
 consideration of Euro 3,032,659;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 11 April 2025, No. 200,000 shares, at an average price of Euro 14.52 for a total
 consideration of Euro 2,904,688;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 10 April 2025, No. 200,000 shares, at an average price of Euro 15.03 for a total
 consideration of Euro 3,006,620;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 9 April 2025, No. 200,000 shares, at an average price of Euro 14.03 for a total
 consideration of Euro 2,805,288;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 8 April 2025, No. 200,000 shares, at an average price of Euro 14.41 for a total
 consideration of Euro 2,881,800;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 7 April 2025, No. 200,000 shares, at an average price of Euro 13.95 for a total
 consideration of Euro 2,789,983;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 4 April 2025, No. 460,000 shares, at an average price of Euro 15.47 for a total
 consideration of Euro 7,114,699.

·  ***11 March 2024*** : Mediobanca successfully completed the placement of the first 10-years
 and 6-months Sustainable Tier2 Bond (due September 2035) with call option after the
 fifth year, for a total amount of Euro 300 million.

·  ***10 March 2025*** : Mediobanca announces that, as of 28 February 2025, under the
 share buyback programme launched on 12 November 2024, it has purchased a total of No. 15,987,589
 shares, equal to 1.9% of the share capital, for a total consideration of approximately Euro
 236.6 million.

·  ***6 – 3 February 2025*** : As part of the share buyback programme launched on
 12 November 2024 and authorized by the shareholders and the ECB, Mediobanca announced
 that in January 2025 it had purchased No. 14,709,078 treasury shares, equal to
 1.8% of its share capital, for a total consideration of Euro 216.4 million. Furthermore,
 Mediobanca announced that it had purchased:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 6 February 2025, No. 195,468 shares for a total consideration of Euro 3,125,663.24;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 5 February 2025, No. 217,043 shares for a total consideration of Euro 3,433,372.115;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 4 February 2025, No. 402,000 shares for a total consideration of Euro 6,278,208.255;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o on
 3 February 2025, No. 464,000 shares for a total consideration of Euro 7,293,731.095.

·  ***28 January 2025*** : Mediobanca's Board of Directors announced its rejection
 of the Offer, describing it as "*highly destructive of value* "*.* 

·  ***13 January 2025*** : Compass, Mediobanca's Consumer Finance division, acquired
 a majority stake in HeidiPay AG, a company specializing in the development of digital platforms
 for Buy Now Pay Later (BNPL). The transaction consolidates a partnership that began in 2022,
 when Compass acquired 19.5% of the holding company, followed by the acquisition of its Swiss
 subsidiary, HeidiPay Switzerland AG, in October 2023. The investment is in line with
 the strategy of the "One Brand One Culture" plan for 2026, which aims to strengthen
 Compass' direct and digital distribution.

·  ***9 January 2025*** : Mediobanca announces that, as of 31 December 2024, under
 the share buyback programme launched on 12 November 2024, it has purchased a total of
 No. 8,242,715 shares, equal to 1% of the share capital for a total consideration of
 approximately Euro 116.9 million.

·  ***18 December 2024*** : Mediobanca announced the launch of its EMTN (Euro Medium Term
 Notes) programme in Italy, becoming the first bank to have an EMTN programme approved by
 CONSOB and admitted to listing on the *Mercato Telematico delle Obbligazioni* (MOT)
 of Borsa Italiana.

·  ***6 December 2024*** : Mediobanca announces that, as of 30 November 2024, under
 the share buyback programme launched on 12 November 2024, it has purchased a total of
 No. 4,357,496 shares, equal to 0.5% of the share capital for a total consideration of
 approximately Euro 62 million.

·  ***12 November 2024*** : Mediobanca announced the launch of a share buyback programme
 starting on 12 November, authorized by the Shareholders' Meeting, in ordinary session,
 of 28 October 2024 and subject to ECB approval. The programme provides for the purchase
 of a maximum of No. 37,500,000

ordinary shares (approximately equal to 4.5% of the share capital), with a total maximum expenditure of Euro 385 million.

·  ***28 October 2024*** : Mediobanca successfully completed the issue of a Euro 500 million
 Senior Preferred Bond, due January 2031, with a call option after the fifth year.

·  ***28 August 2024*** : Mediobanca announced that it had completed the issue of a 7-year
 covered bond for Euro 750 million, marking its second issue in 2024.

·  ***11 June 2024*** : Mediobanca cancelled 17,000,000 treasury shares, equal to 2% of the
 share capital without any reduction in the share capital. With this cancellation, the number
 of shares outstanding decreases from 849,948,824 to 832,948,824, while the share capital
 remains unchanged at Euro 444,515,142.5. The share buyback programme, completed in February 2024,
 resulted in Mediobanca acquiring 17,000,000 shares for a total of approximately Euro 197.9
 million, in line with the shareholder distribution policy of the 2023-2026 Strategic Plan.
 The programme had been authorized by the shareholders' meeting and the ECB.

**Press releases relating to corporate financial events**

·  ***27 June 2025*** : Mediobanca's Board of Directors announces the approval of the
 Mediobanca 2025-2028 Plan.

·  ***9 May 2025*** : Mediobanca's Board of Directors has approved the distribution
 of an interim dividend on the results as of 31 December 2024 equal to Euro 0.56 gross
 per share, payable on 21 May 2025 through intermediaries participating in the centralized
 share management system (Monte Titoli) with a record date of 20 May 2025 and coupon
 No. 42 detachment date of 19 May 2025.

·  ***9 May 2025*** : Mediobanca's Board of Directors announced that it had approved
 the consolidated results as of 31 March 2025.

·  ***22 April 2025*** : the rating agency S&P Global Ratings raised Mediobanca's
 long-term (unsecured) rating to BBB+ (from BBB), with a stable outlook.

·  ***10 February 2025*** : Mediobanca's Board of Directors announces that it has approved
 the consolidated results as of 31 December 2024.

·  ***12 December 2024*** : Mediobanca received feedbacks from the ECB in relation to the
 Pillar 2 Capital Requirement (P2R) to be met on a consolidated basis starting from 1 January 2025,
 in accordance with the results of the 2024 Supervisory Review and Evaluation Process (SREP).
 In particular, the Pillar 2 requirement of 1.75% has been confirmed.

·  ***12 November 2024*** : Mediobanca announced that it had approved its consolidated results
 as of 30 September 2024.

·  ***28 October 2024:*** Mediobanca's ordinary Shareholders' Meeting, with
 48.75% of the share capital, approved the financial statements as of 30 June 2024, with
 a gross dividend of Euro 1.07 per share, of which Euro 0.51 paid as an interim dividend in
 May and the balance of Euro 0.56 scheduled for 20 November. The purchase of up to 37.5
 million treasury shares for a maximum value of Euro 385 million and their use for extraordinary
 transactions, employees' remuneration plans, sale or cancellation was also approved.
 In addition, the Shareholders' Meeting authorized the cancellation of unused treasury
 shares, up to 30 million.

·  ***1 August 2024:*** Mediobanca's Board of Directors announces that it has approved
 the financial results as of 30 June 2024.

·  ***10 May 2024*:** Mediobanca's Board of Directors approved the report for the
 period ended 31 March 2024.

**Press releases relating to governance**

·  ***26 June 2025:*** Mediobanca announces that the Issuer's Board of Directors,
 following the proposal of the Appointments Committee, has resolved to add to the current
 composition of the Related Parties Committee the independent Director Vittorio Pignatti-Morano
 Campori, also appointing him as Chair.

·  ***4 June 2025:*** Mediobanca announces, on behalf of the shareholders participating
 in the existing consultation agreement, the appointment of Mr. Alberto Pecci as Chairman
 of the consultation agreement until its expiry on 31 December 2027.

·  ***28 May 2025*** : Mediobanca announces the convening of its ordinary shareholders'
 meeting pursuant to Article 104 of the TUF for 16 June 2025.

·  ***28 March 2025*:** Mediobanca submitted a list of 12 candidates for the new Board of
 Directors of Assicurazioni Generali, whose appointment is on the agenda of the Shareholders'
 Meeting called for 23 and 24 April 2025.

·  ***19 February 2025*** : Mediobanca announces that the meeting of the members of the consultation
 agreement in place between Mediobanca shareholders has, among other things, approved the
 entry of AFL S.r.l., controlled by Mr. Federico Falck, holder of No. 1.1 million
 Mediobanca shares (0.13% of the share capital), and Alberto Aspesi (directly and through
 its subsidiary Bocca di Rosa S.r.l.), with No. 2.7 million Mediobanca shares (0.33%
 of the share capital). It also has taken note of the sale of No. 1,725,000 Mediobanca
 shares (0.21%) by Aurelia (Gavio Group). Following these transactions, the percentage represented
 by the Agreement increased from 11.62% to 11.87% of the share capital.

**3.** **DESCRIPTION OF THE TRANSACTION** 

**3.1** **Purpose and objectives of the Offer** 

The objective of the Offer is to acquire the entire share capital of the Issuer and to achieve the delisting of the Mediobanca shares from Euronext Milan (the "**Delisting**"), promoting the objectives of integration, creation of synergies, and growth between BMPS and Mediobanca.

Over the past three years, BMPS has consistently strengthened its fundamentals, consolidated the sustainability of its business model and improved its risk profile, thereby achieving solid profitability levels. Additionally, the BMPS Group has managed to exceed most of the targets of the 2022-2026 business plan two years ahead of schedule and has achieved one of the strongest capital positions in Europe, laying a solid foundation to play an active role in the broader consolidation landscape of the Italian banking sector.

The aggregation between BMPS and Mediobanca, which will be carried out in compliance with the principles of sound and prudent management, operational continuity, and risk control, aims to create a new national champion by combining two prominent names in the financial services market. The objective is to strengthen the sustainability of the business model, ensuring solid profitability levels in the medium/long-term.

BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and allows for a significant creation of value for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets, and a highly diversified, resilient player with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full optimisation of existing human capital.

In a market currently experiencing a phase of consolidation, BMPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in certain key areas and sectors, also to better seize future growth options. This will increase support for households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

As better outlined in Paragraph 5.1 below, The new group will be able to rely on Mediobanca's distinctive expertise in Wealth Management, Corporate & Investment Banking and Consumer Finance, and BMPS' expertise in Retail and Commercial Banking. Furthermore, the interest held in Assicurazioni Generali will also positively contribute to the diversification of the new MPS Group's revenues and will be managed in the same way as the remaining business lines, in accordance with a careful capital optimization policy and a strong risk-adjusted profitability approach. The Offeror reserves the right to fully evaluate the Mediobanca-Banca Generali Offer recently announced to the market once any further relevant information becomes available.

For further information on the purpose (i) of the Transaction for the Offeror and its shareholders, (ii) of the Transaction for the Issuer, and a description of any expected benefits arising from the Transaction, please refer to the description in Chapter 5 below and the information provided in Section G, Paragraph G.2, of the Offer Document, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

**3.2** **Conditions of the Offer** 

**3.2.1** *<u>Information on the procedures and terms of the Offer and on the governing law of the agreement</u>* 

*<u>executing the Offer</u>*

The Transaction consists of a voluntary public exchange offer promoted by BMPS – pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF, as well as the applicable implementing provisions contained in the Issuers' Regulation – on all of the ordinary shares of Mediobanca, and namely a total of:

*(i)* maximum
 No. 833,279,689 ordinary shares of Mediobanca, namely all the ordinary shares issued
 by Mediobanca as of the Exemption Document Date, including the treasury shares held by the
 Issuer, corresponding to, as of the Exemption Document Date, No. 26,914,597, which are
 equal to 3.2% of the relevant share capital; as well as

*(ii)* maximum
 No. 16,178,862 ordinary shares of Mediobanca that the Issuer may issue prior to the
 completion of the Offer in favour of the beneficiaries of certain incentive plans that it
 has in place;

(collectively, the "**Shares Subject to the Offer**").

In particular, on 23 January 2025, the Board of Directors of the Offeror (subject to the issuance on the same date of a favourable, reasoned and binding opinion by the Committee for Related Parties Transactions) decided to proceed with the Offer. This decision was therefore communicated to CONSOB and to the market on 24 January 2025 pursuant to Article 102, paragraph 1, of the TUF and Article 37, paragraph 1, of the Issuers' Regulation and Article 17 of Regulation (EU) No. 596/2014 (the "**Offeror's Communication**").

It should be noted that, as of the Exemption Document Date, the Offeror directly holds No. 31,996 shares of the Issuer, representing 0.004% of the Issuer's share capital as of the Exemption Document Date.

For further information on the procedures and terms of the Offer and, in particular, on the information referred to in Article 6, paragraph 3, of Directive 2004/25/EC, please refer to the Offer Document, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

**3.2.2** *<u>Conditions of Effectiveness of the Offer</u>* 

The effectiveness of the Offer is subject to the fulfillment (or waiver by the Offeror as provided below) of each condition of the effectiveness indicated in Warning A.1 of the Offer Document (the "**Conditions of Effectiveness**"), acknowledging that they are indicated in a chronological order that is not binding:

&nbsp;&nbsp;&nbsp;&nbsp;(i) that
 the obtained authorizations required by sector regulations in relation to the Offer, as detailed
 in Paragraph 3.2.4 of the Exemption Document below are not revoked and/or amended for the
 purpose of including prescriptions, conditions or limitations which are not indicated as
 of the Offer Document Date (the "**Preliminary Authorizations** ");

&nbsp;&nbsp;&nbsp;&nbsp;(ii) that
 the Offeror has obtained unconditional approval (*i.e.*, without conditions, limitations
 and prescriptions) from the competent antitrust authorities (the "**Antitrust Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(iii) that
 the issuance of additional authorizations required for the Transaction are granted without
 prescriptions, conditions or limitations (the "**Other Authorizations Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(iv) that
 no competent authority, including any court or tribunal, shall issue any resolution or measures
 which would preclude, restrict, or render more onerous the possibility for BMPS and/or Mediobanca
 to realise the Offer or its objectives;

&nbsp;&nbsp;&nbsp;&nbsp;(v) that,
 between the date of the Offeror's Communication and the second Trading Day prior to
 the Consideration Payment Date, no facts, events or circumstances occurring that would prevent
 BMPS from carrying out with the Offer in accordance with the authorizations received in respect
 to the

Offer and the provisions contained therein;

&nbsp;&nbsp;&nbsp;&nbsp;(vi) that,
 upon completion of the Offer – as a result of acceptances to the Offer and/or any purchases
 made outside the Offer in accordance with applicable law – the Offeror holds a shareholding
 equal to at least 66.67% of the voting rights exercisable at the Issuer's shareholders'
 meeting (the "**Threshold Condition** "). It should be noted that, in any case,
 the Offeror reserves the right to waive this Condition of Effectiveness and proceed with
 the purchase of all the Shares Subject to the Offer tendered in acceptance of the Offer,
 even if the number of Mediobanca shares is lower than that indicated above, provided that
 the shareholding held by the Offeror upon completion of the Offer – as a result of
 acceptances of the Offer and/or purchases made outside the Offer in accordance with the applicable
 regulations during the Acceptance Period (as possibly extended) – is at least equal
 to 35% of the voting rights exercisable at the shareholders' meeting (the latter threshold
 being non-waivable) (the "**Minimum Threshold Condition** ");

&nbsp;&nbsp;&nbsp;&nbsp;(vii) that,
 between the date of the Offeror's Communication and the second Trading Day prior to
 the Consideration Payment Date, the corporate bodies of the Issuer (and/or one of its directly
 or indirectly controlled or affiliated companies) not resolving upon, not carrying out, even
 if resolved upon prior to the date of the Offeror's Communication, nor undertaking
 to carry out or otherwise causing the completion of (including through conditional agreements
 and/or partnerships with third parties) acts or transactions that exceed the limits of the
 Issuer's ordinary course of business: (x) that may result in a significant change,
 even prospectively, in the capital, assets, economic, prudential and/or financial situation
 and/or activities of the Issuer (and/or one of its directly or indirectly controlled or affiliated
 companies) as represented in the Mediobanca 2024/2025 Half-Year Financial Report; (y) that
 restrict the free operation of branches, subsidiaries and networks in the placement of products
 to customers (including through the renewal, extension – also due to lack of notice
 – or renegotiation of existing and/or expiring distribution agreements); or (z) that
 are in any case inconsistent with the Offer and the underlying business and commercial motivations,
 unless due to compliance with legal obligations and/or following a request from supervisory
 authorities, without prejudice to what is provided for by the condition under point (viii) below;

&nbsp;&nbsp;&nbsp;&nbsp;(viii) that,
 between the date of the Offeror's Communication and the second Trading Day prior to
 the Consideration Payment Date, the Issuer and/or its directly or indirectly controlled subsidiaries
 and/or affiliated companies not resolving upon, and in any case nor carrying out, even if
 resolved before the date of the Offeror's Communication, nor undertaking to carry out,
 acts or transactions that may counteract the achievement of the Offer's objectives
 pursuant to Article 104 of the TUF, even if such acts or transactions have been authorized
 by the Issuer's shareholders' meeting in ordinary or extraordinary session or
 are decided and implemented independently by the shareholders' meeting in ordinary
 or extraordinary session and/or by the management bodies of the Issuer's controlled
 subsidiaries and/or affiliated companies;

&nbsp;&nbsp;&nbsp;&nbsp;(ix) that,
by the second Trading Day prior to the Consideration Payment Date, (x) no extraordinary circumstances or events have occurred at
the national and/or international level (a) that entail or may entail significant adverse changes in the political, health, financial,
economic, currency, regulatory (including accounting and supervisory) or market situation or (b) that have or may have substantially
adverse effects on the Offer and/or the financial, asset, economic or income situation of the Issuer (and/or its controlled and/or affiliated
companies) and/or BMPS (and/or its controlled and/or affiliated companies) as represented in the Mediobanca 2024/2025 Half-Year Financial
Report, and/or (y) no facts or situations regarding the Issuer (and/or its controlled and/or affiliated companies), not known to
the market at the date of publication of the Offeror's Communication, having emerged that have the effect of adversely altering
the operations or the financial, asset, income, or operational situation of the Issuer's (and/or its controlled and/or affiliated
companies) as represented in the Mediobanca 2024/2025 Half-Year Financial Report (the "**MAE Condition** ").

The MAE Condition includes, among other things, all events listed in points (x) and (y) above that may occur in the markets where the Issuer, the Offeror or their respective subsidiaries and/or affiliates operate as a result of, or in connection with, ongoing international political crises, and/or the imposition of trade tariffs which, although in the public domain as of the date of the Exemption Document, could have adverse consequences for the Offer and/or the financial, economic or operating position of the Issuer or the Offeror and their respective subsidiaries and/or affiliates.

Pursuant to the provisions of Article 43, paragraph 1, of the Issuers' Regulation, BMPS reserves the right to modify and/or waive, in whole or in part, or invoke the non-fulfillment of one or more of the Conditions of Effectiveness (save for the Minimum Threshold Condition), only expressly, by giving communication in the forms provided for in Article 36 of the Issuers' Regulation.

For a complete information on the Conditions of Effectiveness, please refer to Warning A.1 of the Offer Document, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>, and incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation.

**3.2.3** *<u>Break-up fees or other penalties due if the Offer is not completed</u>* 

No break-up fees or penalties are due in the event the Offer is not completed.

**3.2.4** *<u>Notifications and authorizations required for the purposes of the Offer</u>* 

Prior to the Exemption Document Date, the Offeror obtained the following authorizations:

a. Resolution
 with protocol No. ECB-SSM-2025-ITMPS-8 - QLF-2025-0020 - QLF-2025-0021 - QLF-2025-0022
 of 24 June 2025, pursuant to which the European Central Bank granted BMPS the authorization
 to acquire direct control of the Issuer, as well as indirect control of Mediobanca Premier
 and Compass, pursuant to Articles 19 and 22 of the Legislative Decree No. 385 of 1 September 1993;

b. Resolution
 with protocol No. 1293052/25 of 24 June 2025, pursuant to which the Bank of Italy
 granted the preliminary authorizations to acquire indirect controlling shareholdings in MBCredit
 Solutions S.p.A., MBFACTA S.p.A. and SelmaBipiemme Leasing S.p.A., pursuant to Articles 19
 and 22 of the TUB, as referred to in Article 110 of the TUB;

c. Resolution
 with protocol No. 1294067/25 of 24 June 2025, pursuant to which the Bank of Italy
 granted the preliminary authorization to acquire an indirect controlling shareholding in
 Spafid S.p.A., pursuant to Articles 19 and 22 of the TUB, as referred to in Article 110
 of the TUB;

d. Resolution
 with protocol No. 1294074/25 of 24 June 2025, pursuant to which the Bank of Italy
 granted clearance to acquire an indirect controlling shareholding in Mediobanca SGR S.p.A.,
 as well as an indirect qualified shareholding in Generali Asset Management S.p.A. SGR and
 Generali Real Estate S.p.A. SGR, pursuant to Articles 19 and 22 of the TUB, as referred to
 in Article 15 of the TUF;

e. Resolution
 with protocol No. ECB-SSM-2025-ITMPS-5 - OGS-2025-ITMPS-0273144 of 1 April 2025,
 pursuant to which the European Central Bank granted the authorization for the preliminary
 verification that the amendments to the By-laws of the Offeror in relation to the Capital
 Increase Reserved to the Offer (and the related Delegation) do not conflict with the sound
 and prudent management of the Offeror, pursuant to Articles 56 and 61 of the TUB;

f. Resolution
 with protocol No. ECB-SSM-2025-ITMPS-4 - OGS-2025-ITMPS-0273144 of 1 April 2025,
 pursuant to which the European Central Bank granted the preliminary authorization for the
 classification of the new shares issued in the context of the Capital Increase Reserved to
 the Offer

among the Offeror's own funds as Tier 1 capital, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and the Council of 26 June 2013;

g. Resolution
 with protocol No. ECB-SSM-2025-ITMPS-12 - OGS-2025-ITMPS-0276432 of 24 June 2025,
 pursuant to which the European Central Bank granted the Offeror (a) the authorization
 to acquire direct and indirect shareholdings which, in aggregate, exceed 10% of the consolidated
 own funds of the Offeror's banking group, pursuant to Articles 53 and 67 of the TUB,
 as implemented in Part Three, Chapter I, Section V, of the Bank of Italy Circular
 No. 285 of 17 December 2013, (b) the authorization to acquire controlling
 shareholdings, or allowing the exercise of significant influence, over financial or instrumental
 companies in non-EU countries (other than the United States, Japan, Canada and Switzerland);

h. Resolution
 with protocol No. 102692/25 of 20 May 2025, pursuant to which IVASS granted the
 authorization to acquire a qualified indirect shareholding in Assicurazioni Generali S.p.A.,
 pursuant to Articles 68, et seq., of Legislative Decree No. 209 of 7 September 2005;

i. Resolution
 with protocol No. 9110020375710 of 25 June 2025, pursuant to which the "*Finanzmarktaufsichtsbehörde* "
 (Austrian Supervisory Authority) granted the authorization to acquire a qualified indirect
 shareholding in Europäische Reiseversicherung AG, Generali Versicherung AG, and BAWAG
 P.S.K. Versicherung AG pursuant to Article 24, paragraph 1, of the *Versicherungsaufsichtsgesetz* 2016 (Austrian Insurance Supervision Act):

j. Resolution
 with protocol No. ECB-SSM-2025-ITMPS-11 - QLF-2025-0026 of 24 June 2025, pursuant
 to which the European Central Bank granted the authorization to acquire a qualified indirect
 shareholding in Generali Bank AG pursuant to Article 20, paragraph 1, of the *Bankwesengesetz* (Austrian Banking Act);

k. Resolution
 with protocol No. 385 – 03 of 24 June 2025, pursuant to which the Bulgarian
 Supervisory Authority (Financial Supervision Commission) granted the authorization to acquire
 a qualified indirect shareholding in Generali Insurance AD, GP Reinsurance EAD and United
 Health Insurance Fund Doverie Insurance AD EAD, pursuant to Article 68, paragraph 1,
 of the Bulgarian Insurance Code;

l. Resolution
 with protocol No. 326-01-22-25-20 of 26 June 2025, pursuant to which the "*Hrvatska agencija za nadzor financijskih usluga*" (Croatian Supervisory Authority) granted
 the authorization to acquire a qualified indirect shareholding in Generali Osiguranje d.d.
 pursuant to Article 36, paragraph 1, of the *Zakon o osiguranju* (Croatian Insurance
 Act);

m. Resolutions
 with protocol No. 79158-29/2025, 79106-29/2025 and 79108-60/2025 of 23 June 2025,
 pursuant to which the "*Magyar Nemzeti Bank*" (Hungarian Supervisory Authority)
 granted the authorization to acquire a qualified indirect shareholding in Generali Biztosító
 Zrt., Európai Utazási Biztosító Zrt., and Genertel Biztosító
 Zrt. pursuant to Articles 237, paragraph 1, 258 and 260, paragraph 2, of Act LXXXVIII of
 2014 (Hungarian Insurance Act);

n. Resolution
 with protocol No. 03-107/7-20 of 25 June 2025, pursuant to which the "*Agencija za nadzor osiguranja*" (Supervisory Authority of Montenegro) granted the authorization
 to acquire a qualified indirect shareholding in Akcionarsko društvo za osiguranje
 Generali Osiguranje Montenegro pursuant to Article 23, paragraph 1, of the *Zakon o osiguranju* (Montenegro Insurance Act);

o. Resolution
 with protocol No. 591 of 23 June 2025, pursuant to which the "*Autoritatea de Supraveghere Financiară*" (Romanian Supervisory Authority) granted the
 authorization to acquire a qualified indirect shareholding in Generali Romania Asigurare
 Reasigurare S.A. pursuant to Article 43, paragraph 1, of Law 237/2015 and Article 10,
 paragraph 1, of the RoFSA Regulation 3/2016;

p. Resolutions
with protocol No. 7267 and 7268 of 24 June 2025, pursuant to which the Serbian Supervisory Authority (National Bank of Serbia)
granted the authorization to acquire a qualified indirect

shareholding in Akcionarsko društvo za osiguranje Generali Osiguranje Srbija, Beograd and Akcionarsko društvo za reosiguranje Generali Reosiguranje Srbija, Beograd pursuant to Articles 31 and 69 of the *Zakon o osiguranju* (Serbian Insurance Act);

q. Resolution
 with protocol No. 7266 of 24 June 2025, pursuant to which the Serbian Supervisory
 Authority (National Bank of Serbia) granted the authorization to acquire a qualified indirect
 shareholding in Akcionarsko društvo za upravljanje dobrovoljnim penzijskim fondom
 Generali Beograd pursuant to Article 14 of the Serbian Voluntary Pension Funds Act;

r. Communication
 with protocol No. 40100-1/2025-4 of 10 March 2025, pursuant to which the "*Agencija Za Zavarovalni Nadzor*" (Slovenian Supervisory Authority) concluded that no determination
 was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified
 indirect shareholding in Generali zavarovalnica d.d. Ljubljana pursuant to Article 31
 of the Slovenian Insurance Act;

s. Resolution
 with protocol No. 40220-2/2025-15 of 24 June 2025, pursuant to which the "*Agencija Za Trg Vrednostnih Papirjev"* (Slovenian Supervisory Authority) granted the authorization
 to acquire a qualified indirect shareholding in Generali Investments, družba za upravljanje,
 d.o.o. pursuant to Article 35 of the Slovenian Investment Funds and Management Companies
 Act;

t. Resolution
 with protocol No. 25-011834 of 29 April 2025, pursuant to which the Danish Supervisory
 Authority (Danish Financial Supervisory Authority) concluded that no determination was necessary
 (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding
 in Global Evolution Asset Management AS, Global Evolution Financial ApS, and Global Evolution
 Holding ApS pursuant to Article 61 of the *Lov om Finansiel Virksomhed* (Danish
 Financial Business Act);

u. Resolution
 with protocol No. 5100 of 20 June 2025, pursuant to which the Greek Supervisory
 Authority (Bank of Greece – Department of Private Insurance Supervision) granted the
 authorization to acquire a qualified indirect shareholding in Generali Hellas Insurance S.A.
 pursuant to the Law No. 4364/2016 and the Bank of Greece Executive Committee Act No. 120/11.7.2017;

v. Resolution
 with protocol No. 902201/39000 of 25 June 2025, pursuant to which the Supervisory
 Authority of the Principality of Liechtenstein (Liechtenstein Financial Market Authority)
 granted the authorization to acquire a qualified indirect shareholding in Fortuna Lebens-Versicherungs
 AG pursuant to Articles 92 to 98 of the Liechtenstein Insurance Supervision Act and of the
 FMA Guidelines 2017/20 – Prudential Assessment of Qualifying Holdings;

w. Resolution
 with protocol No. D-25-01910 of 25 June 2025 of the "*Autorité de Contrôle Prudentiel et de Résolution*" (ACPR) (French Supervisory Authority)
 and resolution protocol No. MV 2025 00086/MVE of 26 June 2025 of the "*Commission de Contrôle des Activités Financières*" (Monegasque Supervisory
 Authority), pursuant to which such authorities granted the authorization to acquire a qualified
 indirect shareholding in CMB Monaco S.A.M. pursuant to Article 2 of the French
 Decree No. 2010-1599 of 20 December 2010 and Article 8 of the Principality
 of Monaco Law No. 1.338 of 7 September 2007, as subsequently amended, respectively;

x. Resolution
 with protocol No. MV 2025 00086/MVE of 26 June 2025, pursuant to which the "*Commission de Contrôle des Activités Financières*" (Monegasque Supervisory
 Authority) granted the authorization to acquire a qualified indirect shareholding in CMG
 Monaco S.A.M. pursuant to Article 8 of the Principality of Monaco Law No. 1.338
 of 7 September 2007, as subsequently amended;

y. Resolution
 with protocol No. SAI-CA/2025/431 of 17 June 2025, pursuant to which the Portuguese
 Supervisory Authority (Portuguese Insurance and Pension Funds Supervisory Authority) granted
 the authorization to acquire a qualified indirect shareholding in Generali Seguros S.A. pursuant
 to Articles 6, paragraph 1(f), 162 to 169, 172 to 174-A, paragraph 1 of the Legal Framework
 for access to and exercise of insurance and reinsurance activities approved by Law No. 147/2015,
 as subsequently

amended, and pursuant to Articles 2, 3, and 9, and Annexes III, IV, and V of the Regulatory Standard of the Portuguese Insurance and Pension Funds Supervisory Authority No. 3/2021 of 13 April;

z. Resolution
 with protocol No. S-Sp-2025/00039/CNB/581 of 20 March 2025, pursuant to which the
 Czech Supervisory Authority (Czech National Bank) concluded that no determination was necessary
 (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding
 in Generali Česká pojišťovna a.s. pursuant to Section 24
 and following of Act No. 277/2009 Coll. (Insurance Act) and Section 12 of Decree
 No. 307/2016 Coll.;

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| | |
|:---|:---|
| aa. | Resolution with protocol No. S-Sp-2025/00015/CNB/657 of 20 March 2025, pursuant to which the Czech Supervisory Authority (Czech National Bank) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding in Generali Investments CEE, investiční společnost, a.s. pursuant to Section 520 and following of Act No. 240/2013 Coll. and Sections 16 and 18 of Decree No. 247/2013 Coll.; |

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| | |
|:---|:---|
| bb. | Resolution with protocol No. S-Sp-2025/00040/CNB/581 of 20 March, pursuant to which the Czech Supervisory Authority (Czech National Bank) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding in Generali penzijní společnost, a.s. pursuant to Section 41 and following of Act No. 427/2011 Coll. and Section 6 of Decree No. 199/2020 Coll.; |

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cc. Communications
 of 18 June 2025 in relation to the proceedings No. ACT-25-093791, ACT-25-093797,
 ACT-25-093798, ACT-25-093799, ACT-25-093794, ACT-25-093802, ACT-25-093804 and ACT-25-093801,
 pursuant to which the "*Autorité de contrôle prudentiel et de résolution* "
 (ACPR) (French Supervisory Authority) granted the authorization to acquire a qualified indirect
 shareholding in Europ Assistance S.A., Generali France, Generali IARD S.A., Generali Retraite
 S.A., Generali Vie S.A., L'Equité S.A., Prudence Créole, and GFA Caraïbes
 pursuant to Article R.322-11-1 of the French Insurance Code;

dd. Resolution
 with protocol No. SUIVT013335 of 9 May 2025, pursuant to which the "*Autorité des marchés financiers*" (AMF) (French Supervisory Authority) granted the
 authorization with regard to the acquisition of a qualified indirect shareholding in Generali
 Wealth Solutions pursuant to Article 317-10 of the Autorité des marchés
 financiers General Regulation;

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| | |
|:---|:---|
| ee. | Resolution of 12 June 2025 in relation to the proceedings with protocol No. VA 42-I 5061/00441#00728, pursuant to which the "*Bundesanstalt für Finanzdienstleistungsaufsicht*" (BaFin) (German Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in ADVOCARD Rechtsschutzversicherung AG, Cosmos Lebensversicherungs-Aktiengesellschaft, Cosmos Versicherung Aktiengesellschaft, Dialog Lebensversicherungs-Aktiengesellschaft, Dialog Versicherung Aktiengesellschaft, ENVIVAS Krankenversicherung Aktiengesellschaft, Generali Deutschland AG, Generali Deutschland Versicherung AG, Generali Deutschland Krankenversicherung AG, Generali Deutschland Lebensversicherung AG, Generali Beteiligungs-GmbH and Generali Pensionsfonds AG pursuant to the German Insurance Supervision Act; |

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| | |
|:---|:---|
| ff. | Resolution with protocol No. ECB-SSM-2025-ITMPS-10 - QLF-2025-0023 of 24 June 2025, pursuant to which the European Central Bank granted the authorization to acquire a qualified indirect shareholding in Deutsche Bausparkasse Badenia Aktiengesellschaft pursuant to the German Banking Act and the German Ordinance on qualifying holdings; |

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|:---|:---|
| gg. | Resolution with protocol No. ECB-SSM-2025-ITMPS-9 - QLF-2025-0019 of 24 June 2025, pursuant to which the European Central Bank granted the authorization to acquire a qualified indirect shareholding in Mediobanca International (Luxembourg) S.A. pursuant to Article 6, paragraph 5 and following of the Law of 5 April 1993, the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669, and the Law of 11 January 2008; |

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| | |
|:---|:---|
| hh. | Resolution with protocol No. OPC.25/90515-VKE/SNA S-790 GFIOT-AVGFI_A of 25 June 2025, pursuant to which the "*Commission de Surveillance du Secteur Financier*" (CSSF) (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Mediobanca Management Company S.A. pursuant to the Law of 17 December 2010, CSSF Circular 18/698, and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669, and the Law of 11 January 2008; |

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ii. Resolution
 with protocol No. OPC.25/90722-HOM/SAW S-988 GFIOT-AVGFI_C of 26 June 2025, pursuant
 to which the "*Commission de Surveillance du Secteur Financier*" (CSSF)
 (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect
 shareholding in Generali Investments Luxembourg S.A. pursuant to the Law of 17 December 2010,
 the Law of 12 July 2013, the CSSF Circular 18/698, and the Joint guidelines on the prudential
 assessment of acquisitions and increases of qualifying holdings in the financial sector dated
 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF
 Circular 17/669;

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| | |
|:---|:---|
| jj. | Resolution of 11 June 2025, pursuant to which the "*Commissariat aux Assurances*" (CAA) (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Compass RE (Luxembourg) S.A. and Generali Luxembourg S.A. pursuant to the Law of 7 December 2015 (Insurance Supervision Law) and the Joint guidelines on the prudential assessment of acquisitions and increases of qualifying holdings in the financial sector dated 20 December 2016, issued by the European Supervisory Authorities, as adopted by CSSF Circular 17/669; |

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| | |
|:---|:---|
| kk. | Resolution of 11 June 2025, pursuant to which the "*Commissariat aux Assurances*" (CAA) (Luxembourg Supervisory Authority) granted the authorization to acquire a qualified indirect shareholding in Generali Employee Benefits Network S.A. pursuant to the Law of 7 December 2015 (Insurance Supervision Law); |

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ll. Resolution
 with protocol No. CIC/211407499 of 21 May 2025, pursuant to which the "Financial
 Conduct Authority" (FCA) (UK Supervisory Authority) granted the authorization to acquire
 a qualified indirect shareholding in Arma Partners LLP, Polus Capital Management Limited
 and Conning Asset Management Limited, pursuant to Part XII of the Financial Services
 and Markets Act 2000;

mm. Communication
 of 21 May 2025, pursuant to which the "Financial Conduct Authority" (FCA)
 (UK Supervisory Authority) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of an indirect shareholding in Lumyna Investments
 Limited pursuant to Part XII of the Financial Services and Markets Act 2000;

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| | |
|:---|:---|
| nn. | Resolution with protocol No. JP3/OPI/7364/4 and JP3/OPI/7324/4 of 17 June 2025, pursuant to which the Malaysian Supervisory Authority (Central Bank of Malaysia) granted the authorization to acquire a qualified indirect shareholding in Generali Insurance Malaysia Berhad and Generali Life Insurance Malaysia Berhad pursuant to Section 87, paragraph 1 of the Malaysian Financial Services Act 2013 and the Policy Document on the Application Procedures for Acquisition of Interest in Shares and to be a Financial Holding Company issued by the Central Bank of Malaysia; |

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| | |
|:---|:---|
| oo. | Communication with protocol No. 30/816/ISSM-ADM/090.4/2025 of 10 April 2025 and No. 42/1152/ISSM-DS/090.4/2025 of 28 May 2025, pursuant to which the Mozambican Supervisory Authority (Ministry of Finance) concluded that no determination was necessary (*non luogo a provvedere*) with regard to the acquisition of a qualified indirect shareholding in Tranquilidade Moçambique Companhia de Seguros, S.A. and Tranquilidade Moçambique Companhia de Seguros Vida, S.A. pursuant to Decree Law No. 1/2010 of 31 December 2010, and Decree No. 30/2011 of 11 August 2011; |

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| | |
|:---|:---|
| pp. | Resolution of 24 June 2025, pursuant to which the "New York State Department of Financial Services" (NYDFS) (New York State Supervisory Authority) granted the Offeror the exemption pursuant to Section 1502(b) of the Insurance Law with respect to the obligation to obtain the authorization to acquire control of Generali USA Insurance Company and Generali U.S. Branch, as otherwise required by Section 1506 of the aforementioned law. |

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| | |
|:---|:---|
| qq. | by virtue of the tacit consent of the "*Dirección General de Seguros y Fondos de Pensiones*" (Spanish Supervisory Authority) which took effect on 14 May 2025, authorization with regard to a qualified indirect shareholding in Generali España, S.A. de Seguros y Reaseguros and Generali Seguros y Reaseguros, S.A.; |

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Furthermore, prior to the Offer Document Date, the Offeror also issued the following preliminary notifications:

&nbsp;&nbsp;&nbsp;&nbsp;a. preliminary
 notification on 13 February 2025 to the Swiss Financial Market Supervisory Authority
 (FINMA) (Swiss Supervisory Authority) regarding the acquisition of an indirect qualified
 shareholding in RAM Active Investments SA, Europ Assistance (Suisse) Assurance SA, Fortuna
 Rechtsschutz-Versicherung-Gesellschaft AG, Generali Assurances Générales SA,
 Generali Investments Schweiz AG, Generali Personenversicherungen AG pursuant to Article 11,
 paragraph 5 of the Swiss Financial Institutions Act, Article 10 of the Swiss Financial
 Institutions Ordinance, Articles 5, paragraph 2 and 21, paragraph 2 of the Swiss Insurance
 Supervision Act and pursuant to Article 5 of the Swiss Insurance Supervision Ordinance;
 and

&nbsp;&nbsp;&nbsp;&nbsp;b. preliminary
 notification to the "Financial Industry Regulatory Authority, Inc." (FINRA)
 (US Supervisory Authority) regarding a change in control of, or a qualified shareholding
 in, Mediobanca Securities USA LLC pursuant to FINRA Rule 1017.

With reference to the authorization issued by the European Central Bank on 24 June 2025 (protocol No. ECB-SSM-2025-ITMPS-8 - QLF-2025-0020 - QLF-2025-0021 - QLF-2025-0022), it should be noted that, in accordance with the provisions of the authorization, the Offeror is required, within six months from the date of the acquisition of Mediobanca's control, to submit to the ECB an integration plan including the following information:

(i) the
 impacts on capital, funding strategies and digitalisation/IT security, highlighting any deviations
 from the initial assumptions as described in the context of the application for the authorization,
 in terms of, among other things, synergies, integration costs, operating loss forecasts and
 goodwill valuations. The updated capital plan shall include, in addition to a base scenario,
 also an adverse scenario, together with the related management mitigation measures, as well
 as an assessment of the actual feasibility and timing for its implementation;

(ii) the
 ICT system organization, specifying the transitional and target architectures, data flows,
 agreements with third parties, together with the processes and the controls relating to the
 ICT system, data quality, business continuity measures, including in terms of third-party
 management, and changes to be made to internal plans and procedures;

(iii) the
 corporate governance structure of the new group with reference to: a. the organizational
 structure and regulations necessary to ensure strategic and operational coordination between
 the Offeror and all its subsidiaries; b. the governance structure of the subsidiaries; c.
 the internal control system, ensuring that it is consistent with the size and complexity
 of the new group as well as with its risk profile; d. the changes to the remuneration structure,
 also for the purpose of developing proper retention policies for Mediobanca's key professionals;
 e. the changes to be made to the methods for aggregating and reporting risk information.

The Plan shall include a timetable for all integration activities, as well as a defined governance framework for the regular monitoring of the integration process. In addition, in the event that the Offer records an

acceptance rate of less than 50%, the Offeror shall provide the ECB, within three months from the closing date of the transaction:

- a report approved by the Board of Directors and shared with the independent auditor of the Offeror confirming the existence of *de facto* control;

alternatively, in the absence of *de facto* control, a plan approved by the Board of Directors indicating the strategic approach to the acquired shareholding in Mediobanca, the criteria for maintaining or disposing of such shareholding together with the related objectives, timelines and main operational milestones; and

a statement certifying whether it is expected to acquire a shareholding of more than 50% and the related estimated impact in terms of assets.

It should be noted that the same requirements are also referred to in the resolution with protocol No. ECB-SSM-2025-ITMPS-12 - OGS-2025-ITMPS-0276432.

However, with reference to the requests of the Bank of Italy contained in the authorizations of 24 June 2025, the following shall be noted.

With reference to the resolutions with protocol No. 1293052/25 and 1294067/25, relating to the acquisition of indirect controlling shareholdings in MBCredit Solutions S.p.A., MBFACTA S.p.A., SelmaBipiemme Leasing S.p.A., and Spafid S.p.A., the Offeror is required, within six months from the date of the acquisition of control over the aforementioned intermediaries, to submit to the Bank of Italy information regarding:

(i) the
 strategic/operational outlooks of the intermediaries, providing an updated business plan;

(ii) the
 methods meant to be adopted for the purposes of full integration of the intermediaries into
 the new corporate structure, in terms of governance, organizational and control arrangements.

With reference to the resolution with protocol No. 1294074/25, relating to the acquisition of an indirect controlling shareholding in Mediobanca SGR S.p.A. as well as an indirect qualified shareholding in Generali Asset Management S.p.A. SGR and Generali Real Estate S.p.A. SGR, the Offeror is required, within six months from the date of completion of the Offer and with specific reference to the acquisition of the controlling shareholding in Mediobanca SGR S.p.A., to submit to the Bank of Italy a disclosure document including:

(i) any
 changes to the SGR's business plan, with particular regard to the outlooks relating
 to the delegated asset management activities and the distribution and placement strategies
 for UCITS;

(ii) any
 potential plans to maintain/reallocate the high-profile staff currently employed by the SGR;

(iii) plans
 relating to the appointment/replacement of members of the Board of Directors and senior management,
 as well as the measures that will be implemented to integrate the current control functions
 framework of the SGR into the BMPS Group.

With reference to the exemption obtained on 24 June 2025 from the "New York State Department of Financial Services" (NYDFS) with respect to the authorization for the acquisition of control of Generali USA Insurance Company and Generali U.S. Branch, the Offeror agreed, among other things, with the aforementioned authority, following the completion of the Offer, to employ its reasonable efforts to ensure that the Issuer, without prejudice to the authority's consent, refrains from (i) increasing its shareholding in Assicurazioni Generali S.p.A. beyond the threshold of 15% of the share capital of Assicurazioni Generali S.p.A. and/or (ii) entering into agreements of any kind with third parties concerning the exercise of voting rights in Assicurazioni Generali S.p.A..

The aforementioned commitment is undertaken solely by the Offeror, does not impact the execution of the Offer and, in any case, does not directly limit the Issuer, nor does it preclude the Offeror from potentially submitting a new application to the competent authority for the purpose of making direct or indirect purchases of shares in Assicurazioni Generali S.p.A. above the aforementioned 15% threshold or from

entering into any agreements of any kind with third parties concerning the exercise of voting rights in Assicurazioni Generali S.p.A.

Finally, it should be noted that on 2 July 2025, the Italian Competition and Market Authority informed the Offeror of its decision not to initiate an investigation pursuant to Article 16, paragraph 4, of Law No. 287 of 10 October 1990.

**3.2.5** *<u>Financing of the Offer</u>* 

Given the nature of the Offer as a public exchange offer, the Offer Consideration consists of newly issued BMPS Shares; the Offeror has not taken out and will not take out any financing in relation to the payment of the Offer Consideration.

The Offeror will cover the requirements arising from the payment obligations of the Offer Consideration – calculated on the assumption of full acceptance of the Offer based on the maximum number of Shares Subject to the Offer, equal to a total of No. 849,458,551 – through the Capital Increase Reserved to the Offer.

**3.2.6** *<u>Timetable of the Offer</u>* 

For the Offer timeline, please refer to the contents of the Recital No. 4 of the Offer Document, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

**3.3** **Risk factors related to the Transaction** 

Below is a list of the significant risks of the Transaction identified by the Offeror with specific reference to the acquisition of Mediobanca through the Offer.

The nature of the Offer entails that investors must consider a range of risks associated with any forecasts concerning the Bank's performance, in the context of its strategic objectives, of those of the Offer itself, and in the economic scenario when it was presented.

The list of risk factors set out in this paragraph is not intended to be exhaustive and, as of the Exemption Document Date, there may be risks and uncertainties unknown to the Bank that could have a negative effect on the business, financial condition, results, prospects or market price of the shares, of the BMPS Group.

In accordance with the provisions of Delegated Regulation (EU) 2021/528, the risk factors considered most significant as of the Exemption Document Date are presented first, considering their negative impact on the Bank, the BMPS Group and the likelihood of their occurrence.

**3.3.1** *<u>Risks related to the information about Mediobanca contained in the Exemption Document</u>* 

The Exemption Document contains information relating to the Mediobanca Group that has been exclusively extracted from publicly available data and information, mainly the audited Mediobanca 2023/2024 Consolidated Financial Statements, Mediobanca 2024/2025 Half-Year Financial Report and the Mediobanca 2023/2024 consolidated half-year financial report, both subject to a limited review.

BMPS has not conducted any financial, legal, commercial, tax, industrial, or any other form of due diligence on Mediobanca prior to promoting the Offer, as typically occurs in public exchange offer transactions, and therefore, as of the Exemption Document Date, it is not possible to guarantee that the analysis of the publicly available information from Mediobanca has allowed for the identification or assessment of all potential issues or risks associated with its acquisition. In this regard, it is noted that: (i) BMPS – given the structure of the Transaction (*i.e.*, acquisition through a public exchange offer) – does not benefit from any contractual

warranty and indemnity commitments (*e.g.*, representations and warranties and related seller indemnity obligations); and (ii) the pre-acquisition analysis activities conducted by BMPS on Mediobanca have been carried out solely based on public information.

For this reason, BMPS may not be aware of current, potential, contingent or past liabilities and/or any operational problems of the Mediobanca Group, thus exposing itself to the risk that there may be greater liabilities and/or lower asset values than those reported in the financial statements of the Mediobanca Group, with consequent negative effects, potentially significant, on the benefits expected from the Offer and the related acquisition.

Similarly, the Offeror may be required to manage issues related to legal, regulatory, tax, environmental, or operational matters of the Mediobanca Group that have not been publicly disclosed and may have to handle unforeseen claims or litigation against Mediobanca or its subsidiaries, which could be brought by any administrative and/or regulatory authority.

Upon the occurrence of such risks, the Offeror may incur additional (possibly substantial) costs and expenses, not foreseeable at the Exemption Document Date, which could limit or undermine the achievement of the expected profit expansion estimates following the Transaction and, ultimately, negatively impact the activities, the prospects and the economic, equity and financial condition of BMPS and of the BMPS Group.

**3.3.2** *<u>Risks related to the non-fulfillment of the Conditions of Effectiveness of the Offer</u>* 

The effectiveness of the Offer is subject to the occurrence of Conditions of Effectiveness.

If, for any reason, one or more of the Conditions of Effectiveness, as indicated in this Exemption Document and in the Offer Document, does not occur within the respective term, or if it does not occur within the respective terms in the manner initially forecasted, or if it is not waived, in whole or in part, by BMPS within the same term, the Offer shall be deemed definitively and automatically ineffective and, consequently, could not be completed.

**3.3.3** *<u>Risks related to completion of the Offer</u>* 

The entire acquisition process involves numerous risks inherent to the process itself, including, but not limited to:

&nbsp;&nbsp;&nbsp;&nbsp;· any
 difficulties in the integration process between the Offeror and Mediobanca following completion
 of the Offer, including potential delays in the implementation of the activities relating
 to the integration, with negative impacts on the efficiency, reliability, continuity and
 consistency of operational, administrative, and control functions;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 need to make significant unforeseen investments in equipment, information management, information
 technology ()"**IT**") systems, IT services and other critical business
 infrastructures, as well as the management of unforeseen technological challenges related
 to the integration of the IT systems of the two companies. Following a technical evaluation
 of potential improvements to the information systems, the Offeror may plan to integrate Mediobanca's
 IT systems into BMPS' architectural model. The potential integration will involve the
 transfer of a significant volume of data, activities and processes, which could temporarily
 delay the migration process and lead to additional costs for the entity resulting from the
 Transaction, require additional resources from management and personnel, and result in the
 loss of future business opportunities;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 high workload required of BMPS and Mediobanca resources for the integration, which could
 impact the management's ability to effectively handle the ordinary activities of the
 entity resulting from the completion of the Offer;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 ability to promptly respond to market changes and the business environment during and following
 the integration process between the Offeror and Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 effective management of the personnel's adaptation process, including the need to ensure
 adequate time for the implementation of necessary organizational changes;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 ability to retain and manage the most experienced management and key figures within the entity
 resulting from the completion of the Offer; and

&nbsp;&nbsp;&nbsp;&nbsp;· the
 ability to successfully manage and maintain business and contractual relationships with clients,
 suppliers and business counterparts during the integration process.

The BMPS Group may also incur significant additional legal, accounting and administrative costs in connection with the implementation of these measures, some of which will be due regardless of whether full integration is achieved.

The success of the acquisition of Mediobanca will depend to a large extent on the effectiveness of the integration process implemented by BMPS. If this integration is not properly planned, programmed and executed correctly, errors or delays in the management of customer requests, loss of visibility over certain functions, planning and management errors for BMPS, as well as incorrect accounting records, with the consequent need for subsequent corrections and/or reconciliations, could occur, in addition to the risk of operational and reputational losses deriving from processes and technologies not functioning correctly.

Furthermore, if the acquisition is completed as envisaged in the Offer, the Offeror would experience an increase in its exposure to the risks associated with the Corporate & Investment Banking and Consumer Finance activities, where Mediobanca operates, and those associated with the insurance business, through the direct investment held by Mediobanca in Assicurazioni Generali S.p.A.

The occurrence of the events described above, which were not foreseeable at the Exemption Document Date, could result in the Offeror incurring unforeseen charges, which could be significant, with consequent negative effects on the BMPS Group's economic, equity and financial situation.

**3.3.4** *<u>Risks associated with the expansion of revenue sources and expected synergies</u>* 

The Offeror estimates that, in terms of revenues, the Transaction could generate synergies of approximately Euro 0.3 billion per year, thanks to the enhancement of the offering of products and services for households and businesses, the development of an integrated offering across the respective customer bases, and increased penetration and expansion of the relevant markets. At the same time, significant cost synergies could be generated in terms of administrative expenses, allowing for a targeted optimization of overlapping functions. These will be complemented by economies resulting from the rationalization of the combined investment plan of the two banks, so as to avoid duplication of investments in the areas covered by the combination; in this context, the expected savings amount to approximately Euro 0.3 billion per year.

The aggregation will also enable funding synergies equal to approximately Euro 0.1 billion per year to be achieved thanks to a more balanced funding mix, leveraging MPS' commercial funding capacity and optimising the combined entity's wholesale funding position.

The achievement of the abovementioned synergies will depend, however, on various factors, including BMPS' ability to:

(i) respond
 to market changes and the corporate environment during the integration process of operational
 and support functions;

(ii) effectively
 manage the process of change and adaptation for the personnel, allocating sufficient time
 for the implementation of necessary changes; and

(iii) successfully
 define and implement a new strategy and a new organizational and governance model for the
 entity resulting from the acquisition.

(iv) effectively
 manage any obstructive or conflicting behaviour from parties hostile to the Offer.

These forecasts are also subject to risks that may impact the position of the Offeror, including potential inaccuracies and/or errors in the assessments made prior to the acquisition, which in turn may necessitate a revision of the estimated economic benefits or certain values such as the assets acquired within Mediobanca.

It should be noted that if, upon completion of the Offer, the Offeror comes to hold a shareholding in Mediobanca's share capital equal to or greater than the Threshold Condition (*i.e.*, 66.67% of the Issuer's share capital), it is expected that approximately 50% of the total synergies will be achieved in 2026, increasing to approximately 85% in 2027 and fully implemented in 2028.

The said cost and funding synergies, the expansion of revenue sources and related synergies, and the advantages deriving from the complementary nature of the business models of BMPS and Mediobanca, as well as the strategic objectives of the Offer, will be achievable not only through the acquisition of legal control, but also in scenarios other than the acquisition of legal control (*de facto* control), albeit with possible variations and delays in their implementation. In particular, with regard to the maximum time frames and possible variations, it should be noted that the synergies, the expansion of revenue sources and the benefits and strategic objectives of the Offer would still be achievable in the amounts expected when fully implemented, albeit over a longer time frame of approximately 12-18 months, with at least approximately 50% of the projected synergies being achieved in the three years following the completion of the Offer and their full achievement expected in the first half of 2030.

Furthermore, events related to the corporate structure of Mediobanca, beyond the control of the Offeror, could potentially delay the achievement of the estimated synergies and negatively impact the results and performance of the BMPS Group following the Transaction.

It should also be noted that, as of the Exemption Document Date, the Offeror has not approved a consolidated business plan relating to Mediobanca that takes into account the completion of the Offer and, consequently, the only business plan still in force is the 2024-2028 Business Plan.

Any slowdown in achieving the expected synergies due to events which were not foreseeable at the Exemption Document Date could result in the Offeror incurring unexpected charges, which could be significant, with consequent negative effects on the BMPS Group's economic, equity and financial situation following the Transaction.

Finally, it should also be noted that, while the Mediobanca-Banca Generali Offer would potentially appear to be consistent with the strategic rationale of the Offer, the information currently available to the Offeror is not sufficient to allow BMPS for a comprehensive analysis, given that Mediobanca's shareholders' meeting initially convened for 16 June 2025 has been postponed due to the incomplete nature of the available information.

**3.3.5** *<u>Risks related to the valuation methods used to determine the Pre-Adjustment Consideration</u>* 

The Pre-Adjustment Consideration was set by the Board of Directors of the Offeror on 23 January 2025, based on publicly available data. It should be noted that, the valuations conducted to determine the Pre-Adjustment Consideration have highlighted the typical limitations and difficulties inherent in this type of analysis, particularly due to the fact that the Offeror did not have access to detailed forecast information and data that would have enabled the preparation of detailed financial valuations in relation to the Mediobanca shares. In

this regard, it should be noted that, considering:

· the
 resolution passed by the Shareholders' Meeting of BMPS regarding the distribution of
 a dividend of Euro 0.86 per share, paid on 21 May 2025, with ex-dividend date of 19
 May 2025 (record date on 20 May 2025); and

· the
 resolution passed by the Mediobanca's Board of Directors on 8 May 2025 regarding
 the distribution of an interim dividend on the results as at 31 December 2024, equal
 to Euro 0.56 per share, paid on 21 May 2025, with ex-dividend date of 19 May 2025
 (record date on 20 May 2025),

on 20 May 2025, the Offeror also decided to exercise its right, already provided for in the Offeror's Communication, to adjust the Pre-Adjustment Consideration. In this regard, it should be noted that the Offeror's Communication stated the following: "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the ex coupon (cedola) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS Shares, respectively, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed*".

Without prejudice to the above, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any transaction involving the share capital and/or on the Mediobanca shares, while in any case the Offeror retains the right to exercise (or to waive its right to exercise) the relevant Condition of Effectiveness, where applicable, in relation to such individual event.

Since the market prices of the ordinary shares of the Offeror and Mediobanca have been and are subject to volatility and fluctuations resulting from the general performance of the capital markets, there is a risk that, despite the Pre-Adjustment Consideration and the Consideration remaining fair (according to the methods used for its determination), the number of shares issued as Consideration may not be adequate in relation to the fluctuations in the market prices of BMPS Shares and/or Mediobanca Shares. This could result in the value of the Consideration at the date of the completion of the Offer being either lower or higher than at the date when it was determined. It should be noted that market price variations can stem from a range of factors, including but not limited to future activities and prospects, market conditions, economic developments, geopolitical events, regulatory assessments, government actions, legal proceedings, and other similar occurrences, many of which are beyond BMPS' control.

The valuation analyses conducted by BMPS as of 23 January 2025, for the purpose of determining the Pre-Adjustment Consideration should be understood to be subject to the following main limitations:

· BMPS
 used exclusively public data and information for its analyses;

· BMPS
 did not perform any financial, legal, commercial, tax, business or any other due diligence
 activities on Mediobanca;

· as
 of the reference date, an updated business plan for Mediobanca with a time horizon consistent
 with that of BMPS was not publicly available. Accordingly, where relevant for the purpose
 of the application of the valuation methods, the projections of future economic performance
 used for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while,
 for Mediobanca, were derived on the basis of the estimates provided by research analysts;

· the
 analyses conducted reflect the peculiarities of valuation methodologies, whose reliability
 is inherently limited by a number of factors.

**3.3.6** *<u>Risks related to the inclusion of pro-forma financial information concerning the acquisition of</u>* 

*<u>Mediobanca</u>*

The pro-forma consolidated balance sheet as of 31 December 2024 and the pro-forma consolidated income statement for the year ended 31 December 2024, and the related explanatory notes of the BMPS Group (the "**Pro-Forma Consolidated Financial Information**") prepared as part of the Information Document prepared pursuant to Article 70, paragraph 6, of the Issuers' Regulation (available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>) are to be deemed incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation. In this regard, it should be noted that the Pro-Forma Consolidated Financial Information – prepared in order to retroactively reflect on the historical data of the BMPS Group the effects of the acquisition by BMPS of Mediobanca in the event of the completion of the Offer – represent a simulation provided for illustrative purposes only and is not intended to represent the financial position and performance of the BMPS Group or to provide a representation of its financial position and prospective results.

The Pro-Forma Consolidated Financial Information has been prepared using accounting standards consistent with those used for the preparation of the BMPS 2024 Consolidated Financial Statements. They aim to represent the hypothetical effects of the potential acquisition of the Mediobanca Group on the economic performance and financial position of the BMPS Group, as if it had virtually taken place on 31 December 2024 for the effects on the pro-forma consolidated balance sheet and on 1 January 2024 for those on the pro-forma consolidated income statement.

The Pro-Forma Financial Information has not been prepared in accordance with the requirements of Regulation S-X of the U.S. Securities Act or any generally accepted accounting standards.

The Pro-Forma Consolidated Financial Information has been prepared to the best of BMPS' knowledge, based solely on publicly available data, which has been processed and treated without the support or collaboration of Mediobanca; BMPS has relied solely on information and data published by the Mediobanca Group, which has not been verified by the Bank.

As a result, the Pro-Forma Consolidated Financial Information provided in the Exemption Document and any pro-forma information provided in the Exemption Document is inherently of very limited value to investors.

The Pro-Forma Consolidated Financial Information has been prepared on the basis of the BMPS 2024 Consolidated Financial Statements, the Mediobanca 2023/2024 Consolidated Financial Statements, the Mediobanca 2024/2025 Half-Year Financial Report and the Mediobanca 2023/2024 consolidated half-year financial report, prepared in accordance with IAS/IFRS accounting principles, and applying the pro-forma adjustments determined by simulating the application of IFRS 3 for business aggregation transactions. In particular, it should be noted that, the consolidated financial statements of BMPS and Mediobanca have different financial year-end dates, respectively 31 December 2024 for the Bank and 30 June 2024 for Mediobanca, therefore it was necessary to reconstruct, on the basis of publicly available information, the economic accounting information of Mediobanca for the period of 12 months as of 31 December 2024 in order to align it with the closing date of BMPS.

The Pro-Forma Consolidated Financial Information and, in particular, the pro-forma adjustments relating to Capital Increase Reserved to the Offer, and therefore relating to goodwill, have been determined based on the official closing price of BMPS Shares on 23 January 2025 (Euro 6.953), *i.e.*, the date corresponding to the last Trading Day prior to the date on which BMPS announced the Offer, assuming that Mediobanca shareholders fully accept the Offer. On the other hand, in accordance with IFRS 3, which governs the accounting treatment of business combinations (such as the acquisition following the Offer), BMPS will have to recognize the BMPS Shares issued in execution of the capital increase reserved for the Offer at fair value, corresponding to the stock market price of BMPS shares on the trading date immediately preceding the settlement date of the Offer.

Therefore, the increase in BMPS' net equity following the issuance of the new shares, and therefore the acquisition cost, will only be known on the day BMPS obtains control of Mediobanca. Likewise, the final value of the assets and liabilities that will be recognized in the consolidated financial statements of BMPS will be known only after BMPS has obtained control of Mediobanca, following the completion of the so-called purchase price allocation ("**PPA**") required by IFRS 3.

In light of the above, the final value of the goodwill or gain from a bargain purchase will be known only after the completion of the PPA required under IFRS 3.

A correct interpretation of the information provided in the Pro-Forma Consolidated Financial Information requires that investors consider the following aspects: (i) since these are representations based on hypotheses and assumptions, if the Offer had actually been completed on the dates taken as a reference for the preparation of the Pro-Forma Consolidated Financial Information, the same results represented therein would not necessarily have been obtained; (ii) the Pro-Forma Consolidated Financial Information is not intended in any way to represent a forecast of future results and should therefore not be interpreted as such; (iii) the Pro-Forma Consolidated Financial Information does not reflect prospective data as it is prepared in such a way as to represent only those effects of the acquisition that are able to be isolated and objectively measurable, without taking into account the potential effects caused by changes in market conditions, management policies and operational decisions of BMPS resulting from the outcome of the Transaction and, as such, the pro-forma data are not intended to represent a current or prospective financial position of the effects related to the acquisition; and (iv) in consideration of the different purposes of the Pro-Forma Consolidated Financial Information compared to the historical financial information of the BMPS Group and the Mediobanca Group, the pro-forma consolidated balance sheet and the pro-forma consolidated income statement should be read and interpreted separately, without seeking accounting links between them.

In light of the above, investors should not rely solely on the Pro-Forma Consolidated Financial Information to make their investment decisions.

**3.3.7** *<u>Risks related to forecasts and estimates</u>* 

The Exemption Document includes provisional data based on information drawn from: (a) market forecasts/estimates and internal forecasts/estimates at BMPS; and (b) further assessments by BMPS regarding the possible synergies and integration costs associated with the potential merger between BMPS and Mediobanca.

It should be noted that, these forecasts and estimates should be evaluated with due caution, considering that a business plan for the entity resulting from the Transaction will only be approved after the completion of the Offer (according to a timeline yet to be defined). The forecasts and estimates relating to BMPS' future standalone objectives for the period 2024-2028 are subject to a series of uncertainties and additional factors, many of which are beyond BMPS' control, in addition to the complexities inherent in the implementation of the integration.

There are in fact several factors that could cause BMPS' actual results and performance to differ significantly, both in its current configuration and in its possible post-Transaction configuration, from what is explicitly or implicitly stated in any forward-looking statement. These factors include macroeconomic and geopolitical developments, and the possible domino effects such developments may have on global and regional growth and development. At the time of the presentation of the 2024-28 Business Plan, the economic outlook was — and still is — uncertain.

BMPS shareholders must also consider that the uncertainties described above also apply to the forecasts and estimates relating to the revenue growth targets and synergies expected from the Offer, including any estimated results as a consequence of the Offer, which may occur only in part or may not occur at all.

In light of these uncertainties that characterize, moreover, any forecast data, shareholders are advised not to rely exclusively on the forecasts and estimates contained in this Exemption Document.

Finally, it should be noted that, some of the assumptions and/or initiatives underlying the forecasts and estimates could prove to be inaccurate and, consequently, not take place or take place to a different extent and at different times than expected. In addition, events that were unpredictable at the time the forecasts were made could occur, with potentially significant impacts. Given the uncertainty associated with the outcome of future events, in terms of both their actual occurrence and their timing and scope, there may be substantial differences between the projected and actual values.

**3.3.8** *<u>Risks related to the non-comparability of future results after 31 December 2024</u>* 

In the event of completion of the Offer, the sources of income and the consolidation perimeter of the BMPS Group will be expanded, leading to risks related to the interpretation and comparison of the Bank's 2024 Consolidated Financial Statements with any future financial statements of the BMPS Group.

It is appropriate for investors to consider the inevitable discontinuity and limitations on the comparability of the BMPS Group's annual and interim reports following the potential acquisition of the Mediobanca Group with the financial information of the BMPS Group as of 31 December 2024.

**3.3.9** *<u>Risks related to the national and international macroeconomic context</u>* 

As of the Exemption Document Date, the national and international macroeconomic context is characterized by significant instability and uncertainty which, should these conditions deteriorate further, could have a significant negative impact on the financial situation and assets of BMPS and Mediobanca and compromise the success of the Transaction.

As of the Exemption Document Date, the national and international macroeconomic context is particularly characterized by certain critical profiles attributable to:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 return to protectionist trade policies by the United States, with consequent negative impacts
 on global growth in the medium term. The extension by the new U.S. administration of tariffs
 on imports (mainly from China) and the consequent response from the economies affected by
 the tariffs could result in a "trade war" with negative impact on international
 trade, jeopardizing the continuity of the global expansion cycle and the process of rebalancing
 international commodity prices, as well as fueling currency market volatility;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 ongoing conflict between the Russian Federation and Ukraine and the considerable uncertainties
 about the evolution and effects following the adoption of economic sanctions applied against
 the Russian economy;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 impact on the macroeconomic context of the situation in the Middle East, initially characterized
 by the Israeli-Palestinian conflict and subsequently by the outbreak of hostilities between
 Israel and Iran, which has led to a situation of regional political and economic instability
 with global consequences, influencing financial markets, commodity prices, and international
 trade relations.

It should also be noted that, the occurrence of the events described in this risk factor could result in the non-fulfilment of the MAE Condition and, if not waived by BMPS, the non-completion of the Offer.

**3.3.10** *<u>Risks related to potential conflicts of interest arising from related party transactions</u>* 

To the knowledge of BMPS, as of the Exemption Document Date, certain persons with shareholdings, over

3%, in Mediobanca also hold significant shareholdings (*i.e.*, higher than 3%) in BMPS.

Notwithstanding the above, pursuant to the BMPS Regulation, considering that entities holding stakes exceeding 3% of the Bank's share capital shall be considered "related parties" of BMPS, identified on a discretionary basis as holders of "a *stake exceeding 3% of BMPS' capital, represented by voting shares and who have reported such stake pursuant to Article 120 of the TUF*" (Article 4.1.1 of the BMPS Regulations), the Capital Increase Reserved to the Offer qualifies as a related party transaction, since it is reserved for subscription to the Mediobanca shareholders (among whom are the aforementioned entities).

Related party transactions present typical risks associated with transactions between parties whose affiliation or proximity to the same decision-making centers could compromise the impartiality of corporate decisions and the exclusive pursuit of the interests of the companies involved in the Transaction with potential distortions in the resource allocation process, exposure to risks not adequately measured or managed, and potential damages to the companies and their respective stakeholders.

This being said, the procedure provided for in the Related Parties Transactions Regulation and the BMPS Regulation was duly carried out and concluded with the issue of a favourable opinion on the fairness and substantive and procedural correctness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, issued by the BMPS Committee for Related Parties Transactions, composed of independent directors.

For a complete disclosure of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the Related Parties Transactions Regulation, published on the Bank's institutional website <u>https://www.gruppomps.it/en/</u>.

**3.3.11** *<u>Risks related to prominence statements</u>* 

The Exemption Document contains prominence statements in relation to the MPS Group. These statements are made by the Bank based on its specific knowledge of the sector, available data, and its experience.

It is not possible to guarantee that such statements can be maintained or confirmed.

Furthermore, the characteristics of the business sector and the projected objectives may differ from those assumed in such statements due to known or unknown events, uncertainties, and other factors mentioned, among other things, in this Section.

**3.4** **Conflict of interests** 

For information regarding potential conflicts of interest related to the Offer, please refer to Warning A.14 of the Offer Document available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>. The Offer Document is incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation.

It should be noted that, based on the communications disclosed to the public pursuant to Article 120 of the TUF, and Part III, Title III, Chapter I, Section I of the Issuers' Regulation:

Delfin S.à r.l., holder of a 9.780% stake in the Offeror's share capital, holds a 19.390 stake in Mediobanca's share capital;

Mr. Francesco Gaetano Caltagirone, holder (indirectly, through a series of subsidiaries) of a 5.026% stake in the Offeror's share capital, holds (indirectly, through a series of subsidiaries) a 5.499% stake in

Mediobanca's share capital.<sup>1</sup>

In light of the above, the Offeror has decided to apply the measures and safeguards set out in the Related Parties Regulation and in the BMPS Regulation to the Capital Increase Reserved to the Offer; for further information please refer to Paragraph 4.2.3 of the Exemption Document, as well as Warning A.3 of the Offer Document, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

**3.5** **Offer Consideration** 

**3.5.1** *<u>Addressees of the Offer or of the allotment of the equity securities connected with the Offer</u>* 

Except as described below, the Offer is promoted exclusively in Italy, as the Shares Subject to the Offer are listed only on Euronext Milan and is addressed, on a non-discriminatory basis and on equal terms, to all the shareholders of the Issuer.

The Offer will also be made to U.S. persons pursuant to a valid exemption from registration under the U.S. Securities Act. U.S. persons that hold Mediobanca Shares may accept the Offer in accordance with the procedures applicable to all other holders of Mediobanca Shares.

The Offer has not been and will not be promoted in Canada, Japan, Australia and in any other country in which the promotion of the Offer and acceptance of the same would not comply with the laws and regulations governing financial markets or other local laws and regulations or would not be otherwise permitted without prior registration, approval or filing with the relevant supervisory authority.

For further information on the addressees of the Offer and the markets in which the Offer is being promoted, please refer to Section F.4 of the Offer Document and, with particular reference to the promotion of the Offer to U.S. persons, please refer to Section F.4.2., incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

**3.5.2** *<u>Consideration offered for each equity security and, in particular, the Exchange Ratio and the amount of any cash payment</u>* 

For each Mediobanca share tendered in acceptance of the Offer, the Offeror will offer a unit Consideration, not subject to adjustments (except as indicated below), consisting of No. 2.533 newly issued BMPS Shares resulting from the Capital Increase Reserved to the Offer. Therefore, by way of example, for each No. 1,000 (one thousand) Mediobanca Shares tendered in acceptance of the Offer, No. 2,533 (two thousand five hundred and thirty-three) newly issued BMPS Shares will be paid (the "**Exchange Ratio**").

The Consideration is net of stamp duty, expenses, fees and commissions, which shall be borne by the Offeror, while capital gains tax, if due, shall be borne by the Tendering Shareholders.

For the sake of completeness, it should be noted that the Offeror's Communication provided that, for each Mediobanca share tendered in acceptance of the Offer, BMPS would offer a unit consideration consisting of No. 2.300 BMPS Shares resulting from the Capital Increase Reserved to the Offer (the "**Pre-Adjustment Consideration**"). The Offeror's Communication also provided that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay(s) a dividend (including an interim dividend) and/or make a*

 

<sup>1</sup> For sake of completeness, please note that, based on the communications made to the Offeror by the depositary intermediaries for the purpose of exercising voting rights at the ordinary and extraordinary Shareholders' Meeting of BMPS held on 17 April 2025, the shareholdings held by the mentioned shareholders were greater than those described in this Paragraph; for further information in this regard, please refer to paragraph 2.1.4.2 above. 

 

 

*distribution of reserves to its shareholders, or in any event the ex coupon (cedola) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS shares, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed*".

In this regard, it should be noted that:

· on
 17 April 2025, the Shareholders' Meeting of BMPS resolved to distribute a dividend
 of Euro 0.86 per share, that was paid on 21 May 2025, with ex-dividend date of 19 May 2025
 (record date on 20 May 2025).

· on
 8 May 2025, the Board of Directors of Mediobanca resolved to distribute an interim dividend
 on the results as at 31 December 2024, equal to Euro 0.56 per share, that was paid on
 21 May 2025, with ex-dividend date of 19 May 2025 (record date on 20 May 2025).

As certain circumstances have arisen that require an adjustment to the Pre-Adjustment Consideration, on 20 May 2025 BMPS made the resulting technical adjustment to the Pre-Adjustment Exchange Ratio and determined the Consideration in accordance with the provisions of this Paragraph 3.5.2.

In any case, it should be noted that, the Consideration – without prejudice to any restructuring and/or changes to the content and/or structure of the Offer – may be further adjusted upon the occurrence of the additional events indicated in the Offeror's Communication and summarized above.

**3.5.3** *<u>Information concerning to any contingent consideration agreed in the context of the Offer</u>* 

No consideration other than the Consideration has been agreed in the context of the Offer.

**3.5.4** *<u>Valuation methods and the assumptions employed to determine the Consideration offered for each equity security, in particular regarding the Exchange Ratio</u>* 

In view of the nature of the Consideration, represented by the newly issued BMPS Shares offered in exchange of the Mediobanca Shares tendered in acceptance of the Offer, the valuation analyses underlying the determination of the Exchange Ratio, and therefore of the Consideration, were carried out by the Offeror in order to express a comparative estimate of the economic values of the Mediobanca Group, on the one hand, and the BMPS Group, on the other.

Therefore, in accordance with a principle established in valuation practice, the approach adopted by the Offeror has given priority to the principle of relative homogeneity and comparability of the valuation criteria applied, in order to identify ranges of relative values that are homogeneous and comparable for the Issuer and the Offeror. The estimates of the economic value of the Issuer and the Offeror underlying the determination of the Pre-Adjustment Consideration are therefore meaningful only in relative terms.

Taking into account the limitations and valuation difficulties faced by the Offeror, and in particular the fact that the Offeror did not have access to information and forecasts that would have allowed it to prepare analytical financial valuations of the Mediobanca shares, for the purpose of determining the Pre-Adjustment Exchange Ratio, the Offeror used a valuation approach based on market methodologies, in line with national and international best practices. In particular, the Offeror's Board of Directors decided to use the following valuation methods, with equal weighting:

(i) the
 Stock Market Price Method;

(ii) the
 market multiples method in the variant of the stock market price of comparable listed companies
 on their prospective earnings; and

(iii) the
 target price methodology highlighted by research analysts.

It should be noted that the above valuation methods were applied prior to the payment of the dividend approved by the BMPS' shareholders' meeting on 17 April 2025 and the interim dividend approved by Mediobanca's Board of Directors on 8 May 2025 and, therefore, the adjustment of the Consideration, as communicated to the market on 20 May 2025, consists of a technical adjustment of a purely numerical nature for the purpose of maintaining the economic terms of the Offer unchanged.

For a detailed description of the criteria used to determine the Pre-Adjustment Consideration and, therefore, the Consideration, as well as the limitations and difficulties faced by the Offeror in determining the same, please refer to Section E of the Offer Document, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>, and incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation.

**3.5.5** *<u>Any appraisals or reports prepared by independent experts to determine the Consideration and information on where these appraisals or reports may be found for perusal</u>* 

The Offeror has not used any appraisals or reports prepared by independent experts for the purpose of determining the Consideration.

For the sake of completeness, it should be noted that:

on 18 March 2025, the Independent Auditor prepared, on a voluntary basis and in accordance with the criteria set out in ISAE "3000 revised – limited assurance engagement", a report regarding the adequacy, in so far as is reasonable and nondiscretionary, in the case in question, of the criteria adopted by the same Board of Directors for determining the Pre-Adjustment Exchange Ratio – as resulting on the basis of the Pre-Adjustment Consideration – in the Offer, with respect to national and international valuation practices and professional techniques applicable to transactions of this nature. This report, made available to the BMPS' shareholders in the context of the Offeror's Shareholders' Meeting on 17 April 2025 and attached to the Explanatory Report on the first item on the agenda of the shareholders' meeting, in extraordinary session, prepared in accordance with Article 125-*ter* of the TUF, is available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>;

on 14 March 2025, the Independent Expert issued its appraisal on the valuation of the Shares Subject to the Offer. In this appraisal (the "**Appraisal**"), the Independent Expert concluded that, as of 14 March 2025, based on the financial and equity position as of 31 December 2024 and the elements and methods described in its appraisal, the fair value of the shares of Mediobanca is not less than Euro 16.406 per Mediobanca share, cum dividend, or Euro 15.852 per Mediobanca share, ex dividend. Subsequently, on 26 June 2025, the Independent Expert, upon request of the Offeror, issued the Appraisal updated taking into account the data and information available as of 31 March 2025, which therefore constitutes the new reference date. Specifically, in the updated Appraisal, the Independent Expert concluded that, as of 26 June 2025, based on the economic and financial position as of 31 March 2025, and the elements and methods described in the update Appraisal, the fair value of the shares of Mediobanca is not less than Euro 17.395 per each Mediobanca share, ex dividend, *i.e.*, net of the interim dividend resolved by the Mediobanca's Board of Directors as of 8 May 2025.

**4.** **EQUITY SECURITIES OFFERED TO THE PUBLIC** 

**4.1** **Risk factors related to the equity securities** 

The following is a list of risks identified by the Offeror with specific reference to the BMPS Shares resulting from the Capital Increase Reserved to the Offer, which will be paid to Mediobanca shareholders as Consideration for each Mediobanca share tendered in acceptance of the Offer.

The list of risk factors indicated in this Paragraph is not intended to be exhaustive and, as of the Exemption Document Date, there may be risks and uncertainties unknown to the Bank that could have a negative effect on the business, financial position, results, prospects or market price of the shares of the BMPS Group.

In accordance with the provisions of Delegated Regulation (EU) 2021/528, the risk factors considered most significant as of the Exemption Document Date are presented first, considering their negative impact on the Bank, the BMPS Group and the likelihood of their occurrence.

**4.1.1** *<u>Risks related to the dilution of the Bank's share capital</u>* 

In the event that the Board of Directors fully exercises the Delegation, the Capital Increase Reserved to the Offer will have a maximum of No. 2,230,000,000 ordinary shares of BMPS to be issued and paid up through the contribution in kind to BMPS of the Mediobanca shares tendered in acceptance of the Offer, as possibly revised and/or modified (the "**Maximum Share Amount**").

It is noted that the Maximum Share Amount has been increased from No. 1,916,543,285 (as reported in the Offeror's Communication) to No. 2,230,000,000 as a matter of extreme caution and in accordance with a highly conservative approach. Considering that, on the date Exemption Document Date, the dividend approved by the BMPS shareholders' meeting on 17 April 2025, and the interim dividend approved by the Board of Directors of Mediobanca on 8 May 2025, had been paid and therefore the Pre-Adjustment Exchange Ratio has been adjusted and without prejudice to any restructuring and/or changes to the content and/or structure of the Offer and/or any possible adjustments to the Consideration – it will not be necessary to issue all of the 2,230,000,000 to serve the Offer. These shares will represent approximately 64% of the share capital of BMPS calculated on the basis of the number of BMPS shares issued as of the Exemption Document Date.

Considering a potential BMPS shareholder who, prior to the Capital Increase Reserved to the Offer, holds a stake in the Bank's share capital equal to 1% of the relative share capital, following completion of the Transaction and in the event that the Bank issues the entire Maximum Share Amount, estimated according to a highly conservative approach, this BMPS shareholder would hold a stake of 0.36% (with a dilution of approximately 64%). Alternatively, if the percentage of acceptances of the Offer were equal to the Threshold Condition (*i.e.*, 66.67% of Mediobanca's share capital), calculating the number of BMPS Shares to be issued again on a highly conservative basis, the dilution for BMPS shareholders would be approximately 54%.

Therefore, the Capital Increase Reserved to the Offer entails a significant dilutive effect on the shareholdings of the current shareholders of BMPS. This effect derives from the exclusion of the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code.

In any case, it should be noted that, the percentage of dilution of the current shareholders in the BMPS share capital will depend on the outcome of the Offer, since the number of new BMPS Shares to be issued as part of the Capital Increase Reserved to the Offer will depend – in addition to any adjustments to the Offer Consideration (as illustrated below) – on the number of Shares Subject to the Offer that will be tendered in the context of the public exchange offer itself by the Tendering Shareholders.

**4.1.2** *<u>Risks related to exceptional or significant events affecting the estimated value of the Shares Subject to the offer pursuant to Article 2343-ter of the Italian Civil Code and the possible unavailability of the</u>* 

*<u>BMPS Shares</u>*

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an independent expert. In this regard, with a view to the exercise of the Delegation, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter* (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4) of the Italian Civil Code for the purpose of the valuation of the Mediobanca shares subject to the contributions in kind.

These rules allow not to require a sworn appraisal of the assets transferred to be prepared by an expert, appointed by the Court in the district where the transferee company has its registered office, in the event that, pursuant to Article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to transfer is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is equipped with adequate and proven expertise*".

BMPS has therefore appointed KPMG Corporate Finance, a division of KPMG Advisory S.p.A., as an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code, to prepare the valuation of the Shares Subject to the Offer (the "**Independent Expert**"). In this regard, on 14 March 2025, the Independent Expert, issued its appraisal on the Shares Subject to the Offer, available on the Offeror's website in Annex C of the Information Document. Thereafter, on 26 June 2025, the Independent Expert, upon the Offeror's request, issued an updated appraisal taking into account the data and information available as of 31 March 2025.

In this regard, it should be noted that:

(i) the
 aforementioned Article 2443, paragraph 4, of the Italian Civil Code provides that, in
 cases where the opinion of an independent expert is used for the valuation referred to in
 Article 2343, first paragraph of the Italian Civil Code, one or more shareholders representing,
 and who represented as of the date of the board resolution for the capital increase (*i.e.*,
 the date of exercise of the Delegation), at least one-twentieth of the share capital prior
 to the said increase, may request, within 30 days from the registration in the Companies'
 Register of the board resolution for the Capital Increase Reserved to the Offer, that the
 directors initiate a new valuation of the contributed assets by means of a sworn report from
 an expert appointed by the competent Court (in this case, the Court of Siena);

(ii) if,
 within 30 days from the registration in the Companies' Register of Arezzo-Siena, no
 request has been made as per the previous point (i), the Board of Directors of BMPS, if the
 relevant conditions are met, will, on the Payment Date of the Consideration, file for registration
 in the Companies' Register of Arezzo-Siena, together with the certification referred
 to in Article 2444 of the Italian Civil Code, the additional declaration provided for
 in Article 2343- *quater*, paragraph 3, letter d) of the Italian Civil Code, stating
 that no exceptional or new significant events have occurred after the date of the valuation
 prepared by the Independent Expert that affect the value attributed to the Shares Subject
 to the Offer for the purpose of the Capital Increase Reserved to the Offer;

(iii) until
 the moment of registration in the Companies' Register of Arezzo – Siena of all
 the declarations of the BMPS directors referred to in Article 2343- *quater*, paragraph
 3, of the Italian Civil Code – including therefore the declaration referred to in the
 previous point (ii) – the BMPS Shares issued in execution of

the Capital Increase Reserved to the Offer and allocated to the Offer Tendering Shareholders as Consideration, will be unavailable, cannot be transferred, and must remain deposited at BMPS.

In light of the above, if (a) a qualified minority of shareholders exercises the right referred to in point (i) above; or (b) the Board of Directors of BMPS, at the time of registering the certification referred to in Article 2444 of the Italian Civil Code for the Capital Increase, deems that exceptional events or new significant circumstances have occurred that materially alter the value of the Shares Subject to the Offer in respect to what is represented in the opinion of the Independent Expert, the Board of Directors will be required to conduct a new valuation of the Shares Subject to the Offer and initiate the ordinary procedure for the valuation of contributions in kind. This would involve requesting the competent Court (*i.e.*, the Court of Siena) to appoint an expert, who will prepare, in compliance with the applicable regulations, a sworn valuation report of the contributed assets.

The occurrence of these circumstances, and particularly the need to resort to the appointment of an expert by the competent Court, would create significant uncertainties regarding the timing of the appointment of the expert and the issuance of the expert's valuation. This could potentially have a negative impact on the Tendering Shareholders of Mediobanca accepting the Offer and the subscribers of the BMPS Shares in the context of the Offer.

**4.1.3** *<u>Management of Fractional Shares</u>* 

Given that for each Mediobanca share tendered in acceptance of the Offer, 2.533 BMPS Shares will be allocated on the basis of the Exchange Ratio, the result of applying the Exchange Ratio to the Shares Subject to the Offer tendered in acceptance of the Offer by a Tendering Shareholder may not be a whole number of BMPS Shares (*i.e.*, where a tendering shareholder does not tender at least 10 Shares Subject to the Offer, or a number of Shares Subject to the Offer that is an whole multiple of 10).

Therefore, if the result of the application of the Exchange Ratio for the Mediobanca Shares tendered in acceptance of the Offer is not a whole number of newly issued BMPS Shares, it is expected that the intermediary in charge of coordinating the collection of acceptances of the Offer will aggregate the fractional shares of BMPS Shares pertaining to the Tendering Shareholders and will subsequently sale on Euronext Milan the whole amount of BMPS Shares resulting from such aggregation, for the purpose of the overall Transaction.

**4.1.4** *<u>Risks related to the liquidity and volatility of the BMPS Shares</u>* 

The BMPS Shares may present liquidity problems, regardless of the Offeror or the number of shares involved in the individual transaction, as sales requests may not find adequate and timely counterparties, or may be subject to significant price fluctuations. This could be caused by specific events and factors, some of which are beyond the control of the Offeror.

Such factors and events include, among others: (i) a deterioration in the macroeconomic scenario in a difficult international geopolitical context, differences between the operating and financial results achieved by the Offeror and those expected by investors and analysts; (ii) the possible decline in the value of the BMPS Shares induced by the sale on the market of the BMPS Shares obtained by Mediobanca's shareholders as Consideration for the Offer; (iii) changes in analysts' forecasts and recommendations; changes in the economic, financial, equity and income position of the Offeror or its competitors; (iv) changes in the general conditions of the sector in which the Offeror and the BMPS Group operate; (v) changes in the legal and regulatory framework applicable to the BMPS Group's sector of operation.

As a result, it should be noted that the stock markets have experienced somewhat unstable price and trading volume trends in recent years. Such fluctuations could adversely affect the market price of the BMPS Shares, regardless of the asset, economic and financial values that the Offeror will be able to realize.

In the period between 1 January 2025 and the Exemption Document Date, the unit price of the BMPS Shares increased by 4% compared to an increase of 16% in the FTSEMIB index.

Negative fluctuations in the price of the BMPS Shares could also be caused by other factors, such as (i) changes affecting the assets and liabilities, profits and losses, financial position and income of the Offeror and/or the BMPS Group or its competitors, (ii) changes in the regulatory and legislative framework, (iii) any recommendations by the Supervisory Authority imposing or extending limits or restrictions on the distribution of dividends and reserves by the Offeror, (iv) the publication in the press of news concerning the Offeror and/or the Group, and (v) uncertainty arising from the possibility that the Offeror may not be able, for any reason, to complete the acquisition of Mediobanca pursuant to the Offer.

The market price of the BMPS Shares may therefore vary, even significantly, and, as a result, investors may incur a partial or total loss of the capital invested.

**4.1.5** *<u>Risks related to the markets on which the Offer is not promoted in the absence of authorizations for the competent authorities</u>* 

The Offer is promoted in Italy, as the Mediobanca Shares subject to the Offer are listed only on Euronext Milan, and is addressed, on a non-discriminatory basis and on equal terms, to all shareholders of the Issuer. The Offer will also be made to U.S. persons pursuant to a valid exemption from registration under the U.S. Securities Act. U.S. persons that hold Mediobanca Shares may accept the Offer in accordance with the procedures applicable to all other holders of Mediobanca shares. It may be difficult for U.S. person to enforce their rights and any claim a U.S. person may have arising under U.S. federal securities laws in respect of the Offer, since the Issuer and the Offeror are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. U.S. persons may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.

The Offer has not been and will not be promoted in Canada, Japan, Australia and in any other country in which the promotion of the Offer and acceptance of the same would not comply with the laws and regulations governing financial markets or other local laws and regulations, or would not be otherwise permitted without prior registration, approval or filing with the relevant supervisory authority (the "**Excluded Countries**").

Furthermore, the Offer has not been and will not be promoted using national or international communication or trade instruments of the Excluded Countries (including, but not limited to, the postal network, fax, telex, email, telephone and the internet), nor through any structure of any financial intermediary in the Excluded Countries, nor in any other way. No actions have been or will be taken to allow the promotion of the Offer in any of the Excluded Countries.

Acceptance of the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions under the applicable laws or regulations of those countries. It is the sole responsibility of the recipients of the Offer to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their legal and other advisors. The Offeror assumes no responsibility for any violation by any person of the above restrictions.

**4.2** **Working capital statement** 

The Offeror believes that, as of the Exemption Document Date, the BMPS Group has sufficient working capital to meet its needs for the twelve months following the Exemption Document Date.

**4.3** **Information concerning the equity securities to be offered and/or admitted to trading** 

**4.3.1** *<u>General information</u>* 

The maximum number of 2,230,000,000 BMPS Shares subject to the Consideration resulting from the Capital Increase Reserved to the Offer are ordinary shares of BMPS, with no nominal value, listed on Euronext Milan with ISIN Code IT0005508921.

The currency denomination of the BMPS Shares is the Euro.

**4.3.2** *<u>Statements of the resolutions, authorizations and approvals by virtue of which the Shares are issued</u>* 

On 17 April 2025, the Bank's shareholders' meeting resolved, among other things, to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the share capital against payment, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro 13,194,910,000, plus any share premium, through the issue of a maximum of No. 2,230,000,000 ordinary BMPS shares, with no nominal value, with regular dividend rights and the same characteristics as the ordinary shares of the Company outstanding as of issue date, to be paid up in kind as consideration for the Offer (the "**Delegation**").

Thereafter, on 26 June 2025, the Board of Directors of the Offeror resolved to exercise the Delegation, increasing the share capital against payment for a total of Euro 13,194,910,000, plus share premium, through the issuance of maximum No. 2,230,000,000 ordinary shares, in one or more tranches and in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, in service of the Offer.

In relation to the Capital Increase Reserved to the Offer, the Offeror has decided to apply the measures and safeguards set out in the regulations on related parties transactions approved by CONSOB Resolution No. 17221 of 12 March 2010 and in the BMPS Regulation. The above is because certain entities with shareholdings higher than 3% also hold significant shareholdings (*i.e.*, higher than 3%) in BMPS, and, therefore, fall within the definition of related parties as identified by CONSOB on a discretionary basis (Article 4.1.1 of the MPS Regulation).

The procedure was duly completed and concluded on 23 January 2025 with the issue of a favourable opinion on the substantive and procedural fairness and appropriateness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, by the BMPS Committee for Related Parties Transactions, composed of independent directors. For further information in this regard, please refer to the Information Document pursuant to Article 5 of the BMPS Regulation, incorporated by reference in this Exemption Document pursuant to Article 19 of the Prospectus Regulations and available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

The Offeror's committee for related parties transactions was subsequently consulted again with regard to the proposed Capital Increase Reserved to the Offer to be submitted to the Shareholders' Meeting on 17 April 2025, as well as the proposal for the exercise of the Delegation by the BMPS' Board of Directors on 26 June 2025, in order, among other things, to verify its consistency with the terms and conditions of the Offeror's Communication. During this discussion, it was noted that, as of that date, there had been no changes to the opinion issued on 23 January 2025.

For further information, please refer to the documentation made public by the Offeror on its website in the section "Shareholders' Meetings and Board of Directors", at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u> as well as the additional documentation relating to the exercise of the Delegation, available on the Offeror's website in the section "Voluntary public exchange offer" at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-</u>

<u>exchange-offer.html.</u>

These documents are incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation.

**4.3.3** *<u>Description of any restrictions on the free transferability of the equity securities</u>* 

As of the Exemption Document Date, the Bank's by-laws do not provide for any restrictions on the free transferability of the BMPS Shares.

**4.3.4** *<u>Indication of public takeover bids by third parties in respect of the Offeror's shares during the last financial year and the current financial year</u>* 

During the last financial year and the current financial year, no public takeover bids on BMPS Shares have been promoted by third parties.

**4.4** **Admission to trading and dealing arrangements** 

**4.4.1** *<u>Whether the equity securities offered are or will be the object of an application for admission to trading, with a view to their distribution in a regulated market or other third country markets</u>* 

The BMPS Shares resulting from the Capital Increase Reserved to the Offer will be admitted to listing exclusively on Euronext Milan, in the same way as the existing BMPS Shares as of the Exemption Document Date.

**4.4.2** *<u>Regulated markets or equivalent third country markets as defined in Article 1, point b) of Delegated Regulation (EU) 2019/980, on which, to the knowledge of the Offeror, the Shares are already admitted to trading</u>* 

BMPS Shares are listed on Euronext Milan.

**4.4.3** *<u>Details of the entities that have given a firm commitment to act as intermediaries in secondary trading, providing liquidity through bid and offer rates, and description of the main terms of their commitment</u>* 

Not applicable.

**4.4.4** *<u>Description of lock-up agreements</u>* 

Not applicable.

**4.5** **Dilution** 

If the Board of Directors fully exercises the Delegation, the Capital Increase Reserved to the Offer will have a maximum of No. 2,230,000,000 ordinary shares of BMPS to be issued and paid up through the contribution in kind to BMPS of the Mediobanca shares tendered in acceptance of the Offer.

It is hereby represented that the Maximum Share Amount has been increased from No. 1,916,543,285 (as reported in the Offeror's Communication) to No. 2,230,000,000 as a matter of extreme caution and in accordance with a highly conservative approach. Considering that, on the date Exemption Document Date, the dividend approved by the BMPS shareholders' meeting on 17 April 2025, and the interim dividend approved by the Board of Directors of Mediobanca on 8 May 2025, had been paid and therefore the Pre-

Adjustment Exchange Ratio has been adjusted and without prejudice to any restructuring and/or changes to the content and/or structure of the Offer and/or any possible adjustments to the Consideration – it will not be necessary to issue all of the 2,230,000,000 to serve the Offer. These shares will represent approximately 64% of BMPS' share capital calculated on the basis of the number of BMPS shares issued on the Exemption Document Date.

Upon completion of the Offer and in the event that the Bank issues the entire Maximum Share Amount, estimated in accordance with a highly conservative approach, the dilution for the shareholders of BMPS would be equal to approximately 64%. Alternatively, if the percentage of acceptances of the Offer were equal to the Threshold Condition (*i.e.*, 66.67% of Mediobanca's share capital), calculating the number of BMPS Shares to be issued again in accordance with a highly conservative approach, the dilution for BMPS shareholders would be approximately 54%.

For illustrative purposes only, the table below shows the shareholding of BMPS in the event of the issuance of the entire Maximum Share Amount and therefore in an extremely prudent scenario and in accordance with a highly conservative approach that factors in the elements indicated in the previous Paragraph. The table also shows the composition of BMPS' shareholding structure in the scenario in which the latter would hold a 66.67% stake in the share capital, assuming that the significant shareholders of Mediobanca (with holdings exceeding 3% of the share capital) accept the Offer with all the shares they hold, directly or indirectly, in Mediobanca.

---

| | | |
|:---|:---|:---|
| **Shareholder** | **Shareholding structure in the event of<br> acceptance of the Offer by 100% of <br> Mediobanca share capital (\*)** | **Shareholding structure in the event of <br> acceptance of the Offer by 66.67% of<br> Mediobanca share capital (\*)** |
| Delfin S.à r.l. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15.7% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19.9% |
| Caltagirone Francesco Gaetano | 5.3% | 6.7% |
| Italian Ministry of Economy and Finance | 4.2% | 5.4% |
| Banca Mediolanum S.p.A. | 2.1% | 2.7% |
| Banco BPM S.p.A. | 1.8% | 2.3% |
| Banco BPM S.p.A. <br>(through Anima Holding S.p.A.) | 1.4% | 1.8% |
| Other shareholders | 69.5% | 61.2% |
| **Total** | **100%** | **100%** |

---

(\*) Figures calculated on the basis of shareholdings resulting from communications pursuant to Article 120 of the TUF. For the sake of completeness, it should be noted that in a press release issued on 30 June 2025 pursuant to Article 41,

paragraph 2, letter c) of the Issuers' Regulation, Banca Mediolanum S.p.A., also on behalf of Mediolanum Vita S.p.A., announced to the market that on the same date, certain transactions for the sale of Mediobanca shares had been completed through an accelerated bookbuilding process, with settlement of the sale set for 3 July 2025. Specifically, the sale involved, with regard to Banca Mediolanum S.p.A., No. 22,644,712 Mediobanca Shares and, with regard to Mediolanum Vita S.p.A., No. 6,450,398 Mediobanca Shares, for a total of approximately 3.5% of Mediobanca's share capital. As of the Exemption Document Date, the updated communication pursuant to Article 120 of the TUF is not yet available and, therefore, based on the information published on the CONSOB website, Banca Mediolanum S.p.A. still holds a shareholding equal to 3.343% in Mediobanca's share capital.

**4.6** **Advisors** 

In relation to the Offer and the Capital Increase Reserved to the Offer, the Offeror was assisted by:

- J.P. Morgan Securities plc, UBS Europe SE and Jefferies GmbH as financial advisors of the Offer;

- Banca Akros S.p.A. – Banco BPM Group, which, together with the Offeror, acts as the appointed intermediary to coordinate the collection of acceptances;

- Gianni & Origoni and White & Case (Europe) LLP, as legal advisors.

**5.** **IMPACT OF THE TRANSACTION ON THE OFFEROR** 

**5.1** **Strategies and objectives** 

As detailed in Section G.2.2. of the Offer Document, incorporated by reference in the Exemption Document and to which reference should be made for complete information, the acquisition of Mediobanca allows to accelerate the implementation of the strategic guidelines of MPS' 2024-28 Business Plan - incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/business-plans-and-capital-increases.html</u> - which focuses on: (i) the growth of specialized, high-fee-generating businesses; (ii) the development of new service models for value-added activities; (iii) the expansion of financing solutions for households and the development of new services for SMEs; (iv) the renewal and optimization of distribution platforms; and (v) the adoption of a zero-based risk approach for more effective risk management.

Preliminarily and for the sake of clarity, it should be noted that any reference to the effects, as described below, arising out from the integration, combination, and aggregation of BMPS and Mediobanca as a result of the Offer do not require a possible merger by incorporation of Mediobanca into BMPS or into another company of the BMPS Group and refer, on one hand, to a scenario where BMPS exercises legal control over the Issuer and, on the other hand, to a scenario where BMPS exercises *de facto* control over Mediobanca, with the clarifications set out below regarding the so-called DTAs.

BMPS and Mediobanca operate with specialized business models and have many complementary elements, which will enable the creation of a new national champion with a distinctive and resilient business model, capable of responding to the needs of households and businesses. This will be characterized by a wide range of banking products, a balanced funding mix and a solid capital and liquidity position.

Specifically, for the various business lines covered by the two entities, the following strategic development guidelines are expected.

**Retail Banking**

The expertise gained by BMPS over the decades will enable the expansion of Mediobanca's retail business, particularly the customer bases of Compass and Mediobanca Premier, through the offering of BMPS' core products, such as accounts, credit cards, and mortgages.

Additionally, BMPS will be able to leverage its nationwide branch network, allowing Compass, Mediobanca Premier and potentially all Mediobanca customers to benefit from its extensive presence to meet their financial needs.

**Wealth & Asset Management**

The Transaction will enable the creation of a leading player in Wealth Management, due to the combination of BMPS and Mediobanca's expertise in private banking, with the contribution from certain companies and product companies, as well as in asset gathering<sup>2</sup>, through the integration of over 1,200 financial advisors active in Widiba and Mediobanca Premier, and about 500 bankers, allowing:

· the
 strengthening of the distribution networks in the market, maintaining the current portfolio
 size and profitability standards, thanks to accelerated growth facilitated by the immediate
 achievement of a critical mass in the financial advisor networks;

· the
 increased profitability and customer penetration, through the promotion of alternative products
 (*e.g*., investment funds, OEIC) and alignment with Mediobanca's best practices
 also to BMPS' clients.

<sup>2</sup> I.e., the activity carried out by a financial institution with the aim of providing advice, collection, administration, and management services in respect of client assets through specific networks of financial advisors.

**Corporate & Investment Banking**

The Transaction will enable BMPS' balance sheet potential to be combined with Mediobanca's Investment Banking activities and to activate an intensive development programme to support the growth of companies throughout Italy.

The complementarity between the customer segments served (SMEs and Large Corporates) and the range of products offered by BMPS and Mediobanca to corporate clients will enable the creation of a leading operator in Corporate & Investment Banking (CIB). This will result in a broad and comprehensive offering, covering all major products, including the commercial banking services strictly linked to financial advisory, capital markets, structured finance CIB, access and execution in financial markets, and specialty finance services such as factoring.

The combined entity will assume a leadership position in equity capital markets and M&A, allowing the BMPS Group to capture growth opportunities in the mid-market segment, where BMPS has a consolidated presence and is experiencing significant development, through:

■ the
 enhancement of the Mediobanca's vertical expertise in the areas of M&A, Equity &
 Debt Capital Markets, improving penetration of the combined customer base through cross-selling
 and up-selling strategies;

■ the
 offering of Advisory services, particularly M&A, to medium and large corporate clients;

■ the
 strengthening of the offer of structured and specialty finance for the corporate sector,
 also supported by a more balanced funding mix, leveraging BMPS' commercial funding
 capacity;

■ the
 access for the Mediobanca Premier clients to BMPS' branch network across Italy.

**Consumer Finance**

The unique positioning of Compass in the consumer credit sector will benefit from a further boost through the enhancement of the existing partnership with BMPS and increased penetration in the retail customer base through:

■ the
 leverage of the consolidated expertise of both banks – specifically Mediobanca –
 in providing consumer credit solutions, expanding the range of available products and improving
 access to credit for a diversified clientele;

■ the
 optimization of products' offering such as personal loans, financing solutions, and
 salary-backed loans, promoting an efficient and competitive service model that integrates
 the resources and distribution networks of both groups.

**Insurance**

Besides additional revenue synergies in the core segments of both entities, BMPS will have the chance to expand its bancassurance offering through:

■ the
 introduction of Credit Protection Insurance (CPI) policies on newly issued personal loans,
 increasing penetration of Mediobanca's customer base by capitalizing on BMPS'
 existing offering;

■ the
 enhancement of customer penetration, by integrating banking products with existing insurance
 products in the portfolio.

It should be noted that if, upon completion of the Offer, the Offeror comes to hold a shareholding in Mediobanca's share capital equal to or greater than the Threshold Condition (*i.e.*, 66.67% of the Issuer's share capital), it is expected that approximately 50% of the total synergies will be achieved in 2026, increasing to approximately 85% in 2027 and fully implemented in 2028.

The said cost and funding synergies, the expansion of revenue sources and related synergies, and the advantages deriving from the complementary nature of the business models of BMPS and Mediobanca, as well as the strategic objectives of the Offer, will be achievable not only through the acquisition of legal control, but also in scenarios other than the acquisition of legal control (*de facto* control), albeit with possible variations and delays in their implementation. In particular, with regard to the maximum time frames and possible variations, it should be noted that the synergies, the expansion of revenue sources and the benefits and strategic objectives of the Offer would still be achievable in the amounts expected when fully implemented, albeit over a longer time frame of approximately 12-18 months, with at least approximately 50% of the projected synergies being achieved in the three years following the completion of the Offer and their full achievement expected in the first half of 2030.

In terms of revenues, certain areas such as Consumer Credit, where a collaboration agreement is already in place, will benefit from an increased commercial effectiveness across the entire territory, as well as an active collaboration can be implemented in the Corporate & Investment Banking area by combining Mediobanca's investment banking advisory services with MPS' financing services.

These synergies could be achieved in all scenarios where the companies of the new Group are capable of establishing enhanced cooperation through the Offeror's de facto control over Mediobanca.

Likewise, synergies can be achieved through joint procurement strategies, the integration of operational and IT processes, as well as the operational integration of the two Groups' vertical businesses.

Finally BMPS, as the parent company, will be able to centralise treasury management, facilitating the achievement of funding synergies.

The occurrence of potential delays in achieving these synergies, in the event that the Offer is accepted and BMPS gains *de facto* control over Mediobanca, can therefore be attributed to possible slowdowns, assumed on a prudent basis, related to the implementation of potential integration activities in the absence of a majority in Mediobanca's extraordinary Shareholders' Meeting.

The implementation of synergies will yield increasing benefits as the parent company strengthens its role in directing and coordinating activities through the relevant functions. Therefore, the level of acceptance of the Offer may only affect the timing of synergy realization, as it is tied to the pace at which the parent company's management and coordination activities are implemented.

Finally, for illustrative purposes only, the projected consolidated fully loaded Common Equity Tier 1 ratio levels as of 31 March 2025 (<sup>3</sup>) for the resulting group following completion of the Offer under different offer acceptance scenarios, including the scenario with 35% acceptance (*de facto* control):

· 17.8%
 in the event of 100% acceptance of the Offer;

· 16.6%
 in the event of 66.67% acceptance of the Offer;

· 16.2%
 in the event of 50% acceptance of the Offer;

· 15.6%
 in the event of 35% acceptance of the Offer.

The Transaction also aims to accelerate the utilization of deferred tax assets ("**DTAs**") held by BMPS, leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTAs (currently off-balance sheet) in the financial statements, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTAs will generate a significant capital benefit (Euro 0.5 billion per year), in addition to net income.

<sup>3</sup> Figures derived from internal projections prepared by the Bank based on financial information available as of 31 March 2025. These projections take into account the impacts of the preliminary Purchase Price Allocation (PPA) process, including any fair value adjustments.

For the sake of completeness, it should be noted that, the aforementioned acceleration in the use of DTAs is subject to the Offeror acquiring a shareholding of more than 50% in the share capital of Mediobanca. By relying on the provisions of Articles 117 et seq. of the Consolidated Law on Income Tax (Presidential Decree No. 917 of 22 December 1986), Mediobanca may join the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A., starting from the tax period following that in which such shareholding was acquired (<sup>4</sup>). As a result, the consequent increase in the MPS Group's future consolidated tax base will allow for the immediate recording in the financial statements of almost all DTAs from past consolidated tax losses, up to Euro 2.9 billion, and, compared to the current situation, will accelerate the utilization process of these DTAs with the related benefit in capital terms.

Otherwise, in the event that, following the conclusion of the Offer and the potential waiver of the Threshold Condition, the Offeror comes to hold a shareholding equal to or less than 50% of the share capital of Mediobanca, the latter, even in a *de facto* control scenario, may not be included in the national tax consolidation scheme of Banca Monte dei Paschi di Siena S.p.A.; in such a case, MPS may continue to use the past consolidated tax losses to compensate the taxable income generated by the companies currently participating in the national tax consolidation scheme and, both the recording of Euro 1.3 billion of DTAs (currently off-balance sheet) as assets and the benefits deriving from the use of the DTAs will still be achieved, even if over a longer period of time. Specifically, the expected benefits would be achieved in 2036 with an average annual use of DTAs equal to approximately Euro 0.3 billion, also due to the projected increase in the tax base resulting from the synergies generated by the transaction.

Upon completion of the Offer, BMPS will prepare a Business Plan for the entity resulting from the integration with Mediobanca, which will be subject to approval by the competent bodies.

Finally, it should also be noted that, while the Mediobanca-Banca Generali Offer would potentially appear to be consistent with the strategic rationale of the Offer, the information currently available to the Offeror is not sufficient to allow for a comprehensive analysis, given that Mediobanca's shareholders' meeting has been postponed due to the incomplete nature of the available information.

**5.2** **Material contracts** 

As of the Exemption Document Date there are no material contracts affected or which may be affected by the Transaction.

As of the Exemption Document Date, the Bank is not aware of any contracts entered into by the Issuer that may be significantly affected by the Transaction.

**5.3** **Disinvestment** 

As of the Exemption Document Date, the Offeror has not taken any decision regarding significant disinvestments in the context of the Transaction.

**5.4** **Corporate governance** 

To the best of the Offeror's knowledge, no changes are currently envisaged in the Bank's administrative and

<sup>4</sup> In accordance with the requirement set forth in Article 119, paragraph 1, letter "a" of the Consolidated Law on Income Tax ("alignment of the financial year of each subsidiary with that of the parent company or controlling entity"), Mediobanca's financial year (which, on the Offer Document Date, ends on 30 June) shall be aligned with that of the Offeror.

control bodies following the Offer; for further information on the members of the Board of Directors and Statutory Auditors of BMPS, please refer to Paragraph 2.1.4.1 of the Exemption Document.

As of the Date of the Exemption Document, to the best of BMPS' knowledge, there are no potential conflicts of interest between the obligations fulfilled on behalf of BMPS by the members of the administrative, management, and control bodies of the Offeror and their private interests or other obligations. For a complete information on potential conflicts of interest relating to the Offer, please refer to Warning A.14 of the Offer Document, incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation and available on the BMPS website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u> and as described in paragraph 3.4 above.

As of the Exemption Document Date, none of the members of the Board of Directors has notified the Offeror of any agreement restricting the sale, within a certain period of time, of their holdings in the Offeror's securities.

**5.5** **Shareholding** 

For a detailed description of BMPS' shareholding structure following the Transaction, please refer to the information provided in Paragraph 4.5 of the Exemption Document above.

**5.6** **Pro-forma financial information** 

For information on the pro-forma consolidated balance sheet as of 31 December 2024 and the pro-forma consolidated income statement for the year ended 31 December 2024 and the related explanatory notes of the BMPS Group, please refer to Chapter 5 of the Information Document, prepared pursuant to Article 70, paragraph 6, of the Issuers' Regulation (available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>) incorporated by reference in the Exemption Document pursuant to Article 19 of the Prospectus Regulation.

**6.** **DOCUMENTS AVAILABLE** 

For the duration of the Exemption Document, copies of the following documents may be consulted on the Offeror's website or on the Issuer's website, at the addresses listed below:

(i) BMPS
 2024 Consolidated Financial Statements, available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>;

(ii) BMPS
 Consolidated Interim Report as of 31 March 2025, available on the Offeror's website
 at <u>https://www.gruppomps.it/en/investor-relations/financial-results/financial-results.html</u>;

(iii) Mediobanca
 2023/2024 Consolidated Financial Statements, available on the Issuer's website at <u>hhttps://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

(iv) Mediobanca
 2024/2025 Half-Year Financial Report, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

(v) Mediobanca
 2024/2025 Nine-Month Press Release, available on the Issuer's website at <u>https://www.mediobanca.com/en/investor-relations/results-and-financial-statements/results.html</u>;

(vi) The
 Offer Document, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>;

(vii) The
 Explanatory Report of the Offeror's Board of Directors on the proposal to grant the
 Delegation, prepared pursuant to Article 70 of the Issuers' Regulation and in
 accordance with Annex 3A – Schedule No.3 to the same regulation, and the supplementary
 notes to the aforementioned Explanatory Report, prepared by BMPS upon request from CONSOB
 pursuant to Article 114, paragraph 5, of the TUF, both available on the Offeror's
 website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>;

(viii) The
 Information Document prepared by the Offeror pursuant to Article 70, paragraph 6, of
 the Issuers' Regulation, to which is attached the appraisal issued by KPMG Advisory
 S.p.A., in its capacity as Independent Expert pursuant to Article 2343- *ter*, paragraph
 2, letter b), of the Italian Civil Code, available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/shareholders-meeting-and-bod/shareholders-meeting-and-bod.html</u>;

(ix) The
 Information Document prepared by the Offeror pursuant to Article 5 of BMPS Regulation
 in relation to the Capital Increase Reserved to the Offer as a transaction with related parties,
 available on the Offeror's website at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>;

(x) The
 Explanatory Report of the Offeror's Board of Directors prepared pursuant to Article 2441,
 paragraph 6, of the Italian Civil Code and Article 70, paragraph 7, letter a) of the
 Issuers' Regulation relating to the exercise of the Delegation granted by the Shareholders'
 Meeting of BMPS, in extraordinary session, on 17 April 2025, pursuant to Article 2443
 of the Italian Civil Code, together with the fairness opinion on the issue price of the shares
 resulting from the Capital Increase Reserved to the Offer issued by the Independent Auditor
 on 26 June 2025, and the update of the appraisal issued on 14 March 2025 by KPMG
 Advisory S.p.A., in its capacity as Independent Expert pursuant to Article 2343- *ter*,
 paragraph 2, letter b), of the Italian Civil Code, available on the Offeror's website
 at <u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>.

(xi) The
 2024-2028 Business Plan, available on the Offeror's website at <u>https://www.gruppomps.it/en/investor-relations/business-plans-and-capital-increases.html</u>;

(xii) The
 "One Brand – One Culture" business plan of the Mediobanca Group for the 2025-2028 period, approved by the Issuer's
Board of Directors on 26 June 2025 and available on the Mediobanca's website

at <u>https://www.mediobanca.com/en/investor-relations/one-brand-one-culture-strategic-plan-rolling-to-fy28.html</u>.

**7.** **DEFINITIONS** 

Below is a list of the main definitions used in this Exemption Document. Where the context requires, terms defined in the singular shall have the same meaning in the plural and vice versa.

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| **Tendering Shareholders** | The holders of the Shares Subject to the Offer who are entitled to accept the Offer and have validly tendered in acceptance of the Offer the Shares Subject to the Offer in accordance with the Offer Document. |
| **Capital Increase Reserved to the Offer** | The paid share capital increase of MPS reserved to the Offer, in divisible form and also in one or more tranches, to be paid up through (and in exchange for) the contribution in kind of the Issuer's Shares (and any Additional Shares) tendered in acceptance of the Offer (or otherwise transferred to BMPS in execution of the reopening of the acceptance period pursuant to Article 40-*bis*, paragraph 1, letter a) of the Issuers' Regulations and/or of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, where applicable), therefore excluding the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code, resolved by the Offeror's Board of Directors on 26 June 2025 – in exercise of the Delegation granted to it by the Offeror's Shareholder's Meeting on 17 April 2025, pursuant to Article 2443 of the Italian Civil Code – to be carried out through the issuance of a maximum of No. 2,230,000,000 BMPS Shares, to be paid up through the contribution in kind of the Shares Subject to the Offer tendered in acceptance of the Offer, even as possibly revised and/or modified. |
| **BMPS Shares** | BMPS ordinary shares, without nominal value, with regular dividend rights. |
| **Mediobanca Shares** | Each of the No. 833,279,689 ordinary shares of Mediobanca (including the treasury shares held by Mediobanca), without nominal value and admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A., with ISIN Code IT0000062957, in dematerialised form pursuant to Article 83-bis of the TUF and representing the entire share capital of the Issuer as of the Exemption Document Date |

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| | |
|:---|:---|
| **Shares Subject to the Offer** | Each of the maximum No. 833,279,689 Mediobanca Shares (including treasury shares) and the maximum No. 16,178,862 additional shares that Mediobanca may issue, upon the occurrence of certain circumstances, in favour of the beneficiaries of certain Incentive Plans (in the event that they are issued), subject to the Offer, equal to a total of No. 849,458,551 ordinary shares of the Issuer, representing its entire share capital. |
| **European Central Bank or ECB** | The European Central Bank, with headquarters in Frankfurt (Germany), Sonnemannstrasse No. 20. |
| **BMPS 2024 Consolidated Financial Statements** | The consolidated financial statements of the BMPS Group for the year ended 31 December 2024, approved by the Bank's Board of Directors on 6 March 2025 and presented to the Shareholders' Meeting, ordinary session, on 17 April 2025. |
| **BMPS or the Offeror or the Bank** | Banca Monte dei Paschi di Siena S.p.A., an Italian joint stock company, with registered office in Piazza Salimbeni, 3, Siena, registration number at the Companies' Register of Arezzo – Siena and Tax Code No. 00884060526, listed in the Register of Banks held by the Bank of Italy under number 5274, data processing code 1030 and, as the parent company of the Monte dei Paschi di Siena Banking Group, in the Register of Banking Groups under number 1030, and a member of the Interbank Deposit Protection Fund (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*). |
| **Italian Civil Code** | The Italian Civil Code, approved by Royal Decree No. 262 of March 1942, as subsequently amended and supplemented. |
| **Offeror's Communication** | The Offeror's press release required by Articles 102, paragraph 1 of the TUF and 37, paragraph 1, of the Issuers' Regulation, disseminated by BMPS on 24 January 2025 and published on the Offeror's website. |
| **CONSOB** | The National Commission for Listed Companies and the Stock Exchange, with headquarters in Rome, Via G.B. Martini No. 3. |
| **Consideration** | The unit consideration that will be paid by the Offeror to the Tendering Shareholders for each |

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|:---|:---|
|  | Mediobanca Share tendered in acceptance of the Offer, equal to, based on the Exchange Ratio, if there are no further adjustments, No. 2.533 BMPS Shares for each Mediobanca share tendered in acceptance of the Offer. |
| **Pre-Adjustment Consideration** | The unit consideration as determined by the Offeror and indicated in the Offeror's Communication, prior to adjustment, equal to 2.300 BMPS Shares for each Share Subject to the Offer tendered in acceptance of the Offer. |
| **Exemption Document Date** | 3 July 2025, the date of publication of this Exemption Document. |
| **Communication Date** | 24 January 2025, the date on which the Offeror's Communication was disseminated. |
| **Payment Date** | The date on which the Consideration will be paid to the Tendering Shareholders for each Share Subject to the Offer tendered in acceptance of the Offer and on which the transfer of the Shares Subject to the Offer to the Offeror will take place, as identified in the Offer Document. |
| **Reference Date** | 23 January 2025, the trading day prior to the Offeror's Communication. |
| **Delisting** | The delisting of the Mediobanca Shares from Euronext Milan. |
| **Exemption Document** | This exemption document, prepared pursuant to Article 34-*ter*, paragraph 2, letter a), of the Issuers' Regulation and Article 2.2 of the Delegated Regulation (EU)2021/528 for the purposes of the exemption pursuant to Articles 1(4)(f) and 1(5)(e) of the Prospectus Regulation. |
| **Information Document** | Information Document prepared by the Offeror pursuant to Article 70, paragraph 6, of the Issuers' Regulation, to which is attached the appraisal issued by KPMG Advisory S.p.A., in its capacity as Independent Expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code. |
| **Offer Document** | The offer document prepared by the Offeror pursuant to Articles 102, et seq., of the TUF and the applicable provisions of the Issuers' Regulation, |

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|:---|:---|
|  | published on 3 July 2025. |
| **Euronext Milan** | The Italian regulated market named Euronext Milan, organized and managed by Borsa Italiana S.p.A. |
| **Trading Day** | Each day on which the Italian regulated markets are open according to the trading calendar established by Borsa Italiana S.p.A. on an annual basis. |
| **Group or the BMPS Group** | The "Monte dei Paschi di Siena Banking Group" registered with the Register of Banking Groups with the number 1030, headed by the Offeror. |
| **Mediobanca or the Issuer** | MEDIOBANCA – Banca di Credito Finanziario Società per Azioni, an Italian joint stock company, with registered office in Milan, Piazzetta Enrico Cuccia, 1, Registration number at the Companies' Register of Milan and Tax Code No. 00714490158, listed in the Register of Banks held by the Bank of Italy under number 4753, data processing code 10631 and, as the parent company of the Mediobanca Banking Group, in the Register of Banking Groups under number 10631, and a member of the Interbank Deposit Protection Fund (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*). |
| **Offer or Transaction** | The voluntary public exchange offer concerning all the Mediobanca Shares, promoted by the Offeror, pursuant to Articles 102 and 106, paragraph 4, of the TUF, as well as the applicable implementing provisions contained in the Issuers' Regulation, as described in the Offer Document. |
| **Mediobanca-Banca Generali Offer** | The voluntary public exchange offer promoted by Mediobanca, pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF, concerning all the ordinary shares of Banca Generali S.p.A. admitted to trading on Euronext Milan, organized and managed by Borsa Italiana. |
| **Incentive Plans** | The following long-term share-based incentive plans – which may be settled, in whole or in part, with newly issued Mediobanca shares – approved by Mediobanca and currently in place:<br>- 2015 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2015 (and updated  |

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|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;by the ordinary shareholders' meeting on 28 October 2019);<br>- 2019-2023 Long Term Incentive Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2019;<br>- 2023-2026 Long Term Incentive Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023; and<br>- 2023-2026 Broad-based Share Ownership and Co-investment Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023. |
| **2024-2028 Business Plan** | The business plan approved by the Offeror's Board of Directors on 5 August 2024, for the 2024-2028 period, "*A Clear and Simple Commercial Bank Revolving Around Customers, Combining Technology With Human Touch*". |
| **Mediobanca 2025-2028 Plan** | The Issuer's "One Brand – One Culture" business plan, as amended by the Issuer's Board of Directors on 26 June 2025 for the 2025-2028 period,. |
| **Exchange Ratio** | The ratio of No. 2.533 BMPS Shares for each Mediobanca share subject to the Offer, as described in the Offer Document. |
| **Pre-Adjustment Exchange Ratio** | It indicates the ratio of 2.300 BMPS shares for each Share Subject to the Offer tendered in acceptance of the Offer, as indicated in the Offeror's Communication, prior to the adjustment, as described in the Offer Document. |
| **BMPS Regulation** | The "*Group Regulation on the management of prescriptive requirements relating to related parties, related subjects and Bank officers' obligations*" adopted by the Board of Directors of BMPS and in force as of the Exemption Document Date. |
| **Issuers' Regulation** | The Regulation adopted by CONSOB by resolution No. 11971 of 14 May 1999, as subsequently amended and integrated, in force as of the Exemption Document Date. |
| **Prospectus Regulation** | Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017, as |

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|:---|:---|
|  | subsequently amended and supplemented, on the prospectus to be published for the offer of securities to the public or admission to trading on a regulated market, repealing Directive 2003/71/EC. |
| **Independent Auditor** | PricewaterhouseCoopers S.p.A., with registered office at Piazza Tre Torri No. 2, 20145 Milan, registered with the special register of auditing firms kept by the Ministry of Economy and Finance pursuant to Article 161 of the TUF and registered with the Register of Statutory Auditors pursuant to Articles 6, et seq., of Legislative Decree No. 39 of 2010, as amended by Legislative Decree No. 135 of 2016, with registration number 119644. |
| **TUF** | Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented, in force as of the Exemption Document Date. |

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## Exhibit 99.3

**Exhibit 99.3**

*FORM N._________*

**ACCEPTANCE FORM**

**FOR THE VOLUNTARY PUBLIC EXCHANGE OFFER**

pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**Offer**"), launched by Banca Monte dei Paschi di Siena S.p.A. (the <br> "**Offeror**") for a maximum of No. 833,279,689 ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni (the "**Issuer**"), as well as maximum of No. 16,178,862 additional shares of the Issuer <br> which may be allocated under certain existing incentive plans

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|:---|:---|
| To the Appointed Intermediary____________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)__________________________________born in_________________on__________________tax code/VAT number ____________________________citizenship/nationality___________________________resident in/with registered office at_____________________________Province ___________ Address ____________________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). | To the Appointed Intermediary____________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)__________________________________born in_________________on__________________tax code/VAT number ____________________________citizenship/nationality___________________________resident in/with registered office at_____________________________Province ___________ Address ____________________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). |
| **REPRESENTS**<br>| to be aware of all the conditions, terms and modalities of this Offer as set out in the Offer Document and in the exemption document (the "**Exemption Document**") prepared for the purposes of the Offer and made available to the public for consultation at the registered office of the Offeror (in Siena, Piazza Salimbeni, 3), as well as at the registered office of the Intermediaries Appointed to Coordinate the Collection of Acceptances (in Siena, Piazza Salimbeni, 3 and in Milan, Viale Eginardo, 29) and of the Appointed Intermediaries, as indicated in the Offer Document, as well as available on the website of the Offeror <u>https://www.gruppomps.it/en</u> and of the Global Information Agent <u>www.georgeson.com</u>. |
| **ACCEPTS**<br>| irrevocably and unconditionally this Offer for No.______________________________________________________________________________________________________ Mediobanca Shares that:<br> □ are already deposited with You on the securities account No. _____________________________________________ in the name of: __________________________________________________________;<br> □ will be transferred to the abovementioned account as a result of the stock exchange settlement;<br> □ are deposited with You simultaneously with the signing of this Acceptance Form;<br> □ will be transferred to/deposited with You, in due time, with the engagement expressly accepted herein below, by the Depositary Intermediary of the Mediobanca Shares subject to this Acceptance Form. |
| **AUTHORISES** | the registration of the Mediobanca Shares indicated above in a temporary account with You, restricted for the purposes of this Offer, if applicable. |
| **PERMITS** | henceforth with the transfer to the Offeror of the Mediobanca Shares registered in the temporary account above, granting hereby to You an irrevocable mandate to perform, directly or indirectly, in the name and on behalf of the undersigned Tendering Shareholder, all the necessary formalities in connection with the transfer of the Mediobanca Shares to the Offeror. All of the above shall be made upon payment of the Consideration on the Payment Date or on the Payment Date following the Reopening of the Acceptance Period, as defined in the Offer Document and as better specified therein. |
| **REPRESENTS** | to accept, henceforth, the cancellation of the transaction, in the event of irregularities in the data contained in this Acceptance Form, as a result of the checks and controls performed after the delivery of the Mediobanca Shares subject to this Acceptance Form. |
| **ACKNOWLEDGES** | 1) that the Acceptance Period starts at 8:30 a.m. (Italian time) on 14 July 2025 and will end at 5:30 p.m. (Italian time) on 8 September 2025 (both dates inclusive), subject to any Reopening of the Acceptance Period or any extensions of the Offer that may occur in accordance with applicable laws and regulations, as provided for in Section F, Paragraph F.1.1 of the Offer Document;<br> 2) that the Offer Document provides that the payment of the Consideration, as defined below, will be made on 15 September (*i.e.*, on the fifth Trading Day following the end of the Acceptance Period as indicated in the Offer Document), without prejudice to any extensions or amendments to the Offer in accordance with the terms and modalities disclosed pursuant to applicable laws and regulations, or, if applicable, on the Payment Date of the Reopening of the Acceptance Period. Such payment is subject to the execution of the formalities required to transfer the Mediobanca Shares to the Offeror;<br> 3) that their acceptance of the Offer is irrevocable, without prejudice to the possibility for the Tendering Shareholder to communicate their express intention to withdraw their acceptance in order to accept competing offers or in the other cases provided for in the Offer Document, in accordance with applicable laws and regulations;<br> 4) that the Offer is subject to the Condition of Effectiveness described in the Offer Document, which may be waived by the Offeror in accordance with the terms specified in the Offer Document;<br> 5) that the consideration for each Mediobanca Share tendered in acceptance of the Offer (the "**Consideration**") will be equal to No. 2.533 Offeror's shares (the "**MPS Shares**") and therefore equal to No. 2.533 MPS Shares for each No. 1 Mediobanca Shares tendered in acceptance of the Offer, as better described in Section E, Paragraph E.1 of the Offer Document;<br> 6) that the Consideration is intended net of stamp taxes, expenses, fees, commissions which shall remain in charge of the Offeror, while other taxes, including the tax on any capital gains, if due, shall remain entirely in charge of the Tendering Shareholders to the Offer and no interest shall be paid on the Consideration for each Mediobanca Share tendered in acceptance of the Offer between the date of Acceptance of the Offer and the Payment Date, as well as between the date of Acceptance of the Offer in the case of the Reopening of the Acceptance Period and the relevant Payment Date following the Reopening of the Acceptance Period;<br> 7) that in the event of failure to fulfil one or more of the Conditions of Effectiveness of the Offer referred to in Section A, Paragraph A.1, of the Offer Document, without such Condition(s) of Effectiveness being waived by the Offeror and, therefore, in the event of failure to complete the Offer, the Mediobanca Shares will be returned through the Depositary Intermediaries to the respective Tendering Shareholders, without any charges or expenses being in charge of them, by the first Trading Day following the first press release announcing the ineffectiveness of the Offer;<br> 8) that the Tendering Shareholders will remain exclusively responsible for the risk that the Depository Intermediaries fail to deliver this Acceptance Form and, if applicable, fail to deposit the Mediobanca Shares tendered in acceptance of the Offer with the Appointed Intermediaries by the last valid day of the Acceptance Period (or any Reopening of the Acceptance Period), as well as the risk that the Appointed Intermediaries fail to transfer the Consideration to the persons entitled to receive it, or delay such transfer. |
| **AUTHORISES** | this Appointed Intermediary to settle/arrange to settle the Consideration through the deposit of No. ______________________________MPS Shares, representing the total Consideration payable for No. ________________________________ Mediobanca's Shares tendered in acceptance of the Offer, through the relevant registration, in dematerialised form, on the securities account No. ______________________________________ held with ______________________________________________________________________________ in the name of __________________________________________. |
| **GRANTS** | irrevocable mandate to the Intermediaries Appointed to Coordinate the Collection of Acceptances to sell on Euronext Milan, in the name and on behalf of the undersigned, any Fractional Part they would be entitled to, equal to No. ______________________________________________ MPS Shares, deriving from the exchange against the Mediobanca Shares (for further information, please refer to Section F, Paragraph F.6, of the Offer Document), by paying/arranging payment of the corresponding amount by:<br> □ transfer to bank account No. ______________________________________ IBAN _______________________________________ at ___________________________ in the name of _____________________________;<br> □ non-transferable cashier's check in the name of______________________________________________________to be sent to ___________________________________________________________________. |
| **REPRESENTS**<br>| a) to be aware that the Offer is addressed on equal terms to all holders of Mediobanca Shares and has been launched in Italy, as well as in the United States of America in accordance with the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Act**") provided by Rule 14d-1(c) thereunder, and (ii) the registration requirements of the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") provided by Rule 802 thereunder, and in any event always in accordance with Italian law (for further information, please refer to Recital 5 and Section F, Paragraph F.4, of the Offer Document);<br> b) to be aware that the Offer was not, nor will be promoted, or disclosed or carried out in Canada, Japan, Australia, as well as any other country where the promotion of the Offer and acceptance thereof would not comply with financial markets laws and regulations or other local laws or regulations or would not be permitted without prior registration, approval or filing with the relevant supervisory authorities (collectively, the "**Excluded Countries**"), and that acceptance of the Offer by persons residing in the Excluded Countries may be subject to specific obligations or restrictions provided for by laws or regulations and that the Tendering Shareholders to the Offer are solely responsible to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their advisors;<br> c) not to have received and/or sent copies or originals of this Acceptance Form, the Offer Document, the Exemption Document, and/or any document relating to the Offer from or to the Excluded Countries and that they have not otherwise used, in connection with the Offer, directly or indirectly, postal services and/or any other means or instruments (including, by way of example and without limitation, the postal network, fax, telex, e-mail, telephone and the Internet, and/or any other means or IT support) for national or international trade, or the services of any market regulated by the Excluded Countries;<br> d) to be outside the Excluded Countries when this Acceptance Form is delivered or signed. |

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*Pursuant to Article 13 of the Regulation (EU) 2016/679 ("**GDPR**"), the Tendering Shareholders are informed that the personal data provided in this Acceptance Form will be processed, including through the use of computerized and telematic procedures, solely for purposes directly related and/or instrumental to the Offer (e.g., collection of acceptances, verification of their regularity, payment of the Consideration and allocation), which constitutes the legal basis for processing such data. The provision of personal data is necessary to fulfil the obligations under this Acceptance Form and, therefore, any refusal to provide in whole or in part the said personal data will result in the impossibility to accept the Offer. Personal data will be processed, in their capacity as separate and independent data controllers, each for the purposes connected with, and instrumental to, their role in the transaction, by the Intermediaries Appointed to Coordinate the Collection of Acceptances, by the Offeror, by the Appointed Intermediaries, by the Depositary Intermediaries and by companies or collaborators identified by them who – as data controllers or processors – perform functional or support activities as necessary for the transaction. With regard to the aforementioned processing, the Tendering Shareholder may exercise all the rights set forth in Articles 15 to 22 of the GDPR (including, by way of example and without limitation, the right of access, the right to erasure, the right to rectification, the right to restriction of processing and the right to lodge a complaint with the Data Protection Authority) in accordance with the procedures set out in the privacy policy made available via the channels of the data controllers. The data will be stored only for the time period necessary to achieve the aforementioned purposes, after which it may be stored in accordance with the terms set forth in the GDPR and by the national legislation applicable at the time, for administrative purposes and/or to enforce or defend a right or legitimate interest of the data controllers or third parties.*

***Additional Information for U.S. Persons***

*The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act or pursuant to a valid exemption from registration. The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies. It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since the Offeror and the Issuer are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment. The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the U.S. Exchange Act provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws. To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities. Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.*

Date________________________, Place _____________________

    <br> The Tendering Shareholder or their representative Stamp and signature of the Appointed Intermediary

The DEPOSITARY INTERMEDIARY with whom this Acceptance Form has been filed represents, upon its presentation by the Tendering Shareholder (or their representative) and under its own responsibility:

a) to be the
 depositary of the abovementioned Mediobanca Shares owned by the Tendering Shareholder;

b) to perform the formalities
 necessary for the transfer of the Shares to this Appointed Intermediary exclusively through Euronext
 Securities Milan, within and no later than the end of the Acceptance Period of the Offer, or the last
 day of the possible Reopening of the Acceptance Period or any extensions thereof.

  <br> Stamp and signature of the Depositary Intermediary

**Sheet No. 1 – Copy for the Intermediaries Appointed to Coordinate the Collection of Acceptances**

*FORM N._________*

**ACCEPTANCE FORM**

**FOR THE VOLUNTARY PUBLIC EXCHANGE OFFER**

pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**Offer**"), launched by Banca Monte dei Paschi di Siena S.p.A. (the<br> "**Offeror**") for a maximum of No. 833,279,689 ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni (the "**Issuer**"), as well as maximum of No. 16,178,862 additional shares of the Issuer<br> which may be allocated under certain existing incentive plans

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| | |
|:---|:---|
| To the Appointed Intermediary_____________________________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)_____________________________born in____________________on_________________________tax code/VAT number __________________________________citizenship/nationality_____________________resident in/with registered office at_________________________________Province ____________ Address _______________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). | To the Appointed Intermediary_____________________________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)_____________________________born in____________________on_________________________tax code/VAT number __________________________________citizenship/nationality_____________________resident in/with registered office at_________________________________Province ____________ Address _______________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). |
| **REPRESENTS**<br>| to be aware of all the conditions, terms and modalities of this Offer as set out in the Offer Document and in the exemption document (the "**Exemption Document**") prepared for the purposes of the Offer and made available to the public for consultation at the registered office of the Offeror (in Siena, Piazza Salimbeni, 3), as well as at the registered office of the Intermediaries Appointed to Coordinate the Collection of Acceptances (in Siena, Piazza Salimbeni, 3 and in Milan, Viale Eginardo, 29) and of the Appointed Intermediaries, as indicated in the Offer Document, as well as available on the website of the Offeror <u>https://www.gruppomps.it/en</u> and of the Global Information Agent <u>www.georgeson.com</u>. |
| **ACCEPTS**<br>| irrevocably and unconditionally this Offer for No.___________________________________________________________________________________________________ Mediobanca Shares that:<br> □ are already deposited with You on the securities account No. _____________________________________________ in the name of: __________________________________________________________;<br> □ will be transferred to the abovementioned account as a result of the stock exchange settlement;<br> □ are deposited with You simultaneously with the signing of this Acceptance Form;<br> □ will be transferred to/deposited with You, in due time, with the engagement expressly accepted herein below, by the Depositary Intermediary of the Mediobanca Shares subject to this Acceptance Form. |
| **AUTHORISES** | the registration of the Mediobanca Shares indicated above in a temporary account with You, restricted for the purposes of this Offer, if applicable. |
| **PERMITS** | henceforth with the transfer to the Offeror of the Mediobanca Shares registered in the temporary account above, granting hereby to You an irrevocable mandate to perform, directly or indirectly, in the name and on behalf of the undersigned Tendering Shareholder, all the necessary formalities in connection with the transfer of the Mediobanca Shares to the Offeror. All of the above shall be made upon payment of the Consideration on the Payment Date or on the Payment Date following the Reopening of the Acceptance Period, as defined in the Offer Document and as better specified therein. |
| **REPRESENTS** | to accept, henceforth, the cancellation of the transaction, in the event of irregularities in the data contained in this Acceptance Form, as a result of the checks and controls performed after the delivery of the Mediobanca Shares subject to this Acceptance Form. |
| **ACKNOWLEDGES** | 1) that the Acceptance Period starts at 8:30 a.m. (Italian time) on 14 July 2025 and will end at 5:30 p.m. (Italian time) on 8 September 2025 (both dates inclusive), subject to any Reopening of the Acceptance Period or any extensions of the Offer that may occur in accordance with applicable laws and regulations, as provided for in Section F, Paragraph F.1.1 of the Offer Document;<br> 2) that the Offer Document provides that the payment of the Consideration, as defined below, will be made on 15 September (*i.e.*, on the fifth Trading Day following the end of the Acceptance Period as indicated in the Offer Document), without prejudice to any extensions or amendments to the Offer in accordance with the terms and modalities disclosed pursuant to applicable laws and regulations, or, if applicable, on the Payment Date of the Reopening of the Acceptance Period. Such payment is subject to the execution of the formalities required to transfer the Mediobanca Shares to the Offeror;<br> 3) that their acceptance of the Offer is irrevocable, without prejudice to the possibility for the Tendering Shareholder to communicate their express intention to withdraw their acceptance in order to accept competing offers or in the other cases provided for in the Offer Document, in accordance with applicable laws and regulations;<br> 4) that the Offer is subject to the Condition of Effectiveness described in the Offer Document, which may be waived by the Offeror in accordance with the terms specified in the Offer Document;<br> 5) that the consideration for each Mediobanca Share tendered in acceptance of the Offer (the "**Consideration**") will be equal to No. 2.533 Offeror's shares (the "**MPS Shares**") and therefore equal to No. 2.533 MPS Shares for each No. 1 Mediobanca Shares tendered in acceptance of the Offer, as better described in Section E, Paragraph E.1 of the Offer Document;<br> 6) that the Consideration is intended net of stamp taxes, expenses, fees, commissions which shall remain in charge of the Offeror, while other taxes, including the tax on any capital gains, if due, shall remain entirely in charge of the Tendering Shareholders to the Offer and no interest shall be paid on the Consideration for each Mediobanca Share tendered in acceptance of the Offer between the date of Acceptance of the Offer and the Payment Date, as well as between the date of Acceptance of the Offer in the case of the Reopening of the Acceptance Period and the relevant Payment Date following the Reopening of the Acceptance Period;<br> 7) that in the event of failure to fulfil one or more of the Conditions of Effectiveness of the Offer referred to in Section A, Paragraph A.1, of the Offer Document, without such Condition(s) of Effectiveness being waived by the Offeror and, therefore, in the event of failure to complete the Offer, the Mediobanca Shares will be returned through the Depositary Intermediaries to the respective Tendering Shareholders, without any charges or expenses being in charge of them, by the first Trading Day following the first press release announcing the ineffectiveness of the Offer;<br> 8) that the Tendering Shareholders will remain exclusively responsible for the risk that the Depository Intermediaries fail to deliver this Acceptance Form and, if applicable, fail to deposit the Mediobanca Shares tendered in acceptance of the Offer with the Appointed Intermediaries by the last valid day of the Acceptance Period (or any Reopening of the Acceptance Period), as well as the risk that the Appointed Intermediaries fail to transfer the Consideration to the persons entitled to receive it, or delay such transfer. |
| **AUTHORISES** | this Appointed Intermediary to settle/arrange to settle the Consideration through the deposit of No. ______________________________MPS Shares, representing the total Consideration payable for No. ________________________________ Mediobanca's Shares tendered in acceptance of the Offer, through the relevant registration, in dematerialised form, on the securities account No. ______________________________________ held with ______________________________________________________________________________ in the name of __________________________________________. |
| **GRANTS** | irrevocable mandate to the Intermediaries Appointed to Coordinate the Collection of Acceptances to sell on Euronext Milan, in the name and on behalf of the undersigned, any Fractional Part they would be entitled to, equal to No. ______________________________________________ MPS Shares, deriving from the exchange against the Mediobanca Shares (for further information, please refer to Section F, Paragraph F.6, of the Offer Document), by paying/arranging payment of the corresponding amount by:<br> □ transfer to bank account No. ______________________________________ IBAN _______________________________________ at ___________________________ in the name of _____________________________;<br> □ non-transferable cashier's check in the name of______________________________________________________to be sent to ___________________________________________________________________. |
| **REPRESENTS**<br>| a) to be aware that the Offer is addressed on equal terms to all holders of Mediobanca Shares and has been launched in Italy, as well as in the United States of America in accordance with the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Act**") provided by Rule 14d-1(c) thereunder, and (ii) the registration requirements of the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") provided by Rule 802 thereunder, and in any event always in accordance with Italian law (for further information, please refer to Recital 5 and Section F, Paragraph F.4, of the Offer Document);<br> b) to be aware that the Offer was not, nor will be promoted, or disclosed or carried out in Canada, Japan, Australia, as well as any other country where the promotion of the Offer and acceptance thereof would not comply with financial markets laws and regulations or other local laws or regulations or would not be permitted without prior registration, approval or filing with the relevant supervisory authorities (collectively, the "**Excluded Countries**"), and that acceptance of the Offer by persons residing in the Excluded Countries may be subject to specific obligations or restrictions provided for by laws or regulations and that the Tendering Shareholders to the Offer are solely responsible to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their advisors;<br> c) not to have received and/or sent copies or originals of this Acceptance Form, the Offer Document, the Exemption Document, and/or any document relating to the Offer from or to the Excluded Countries and that they have not otherwise used, in connection with the Offer, directly or indirectly, postal services and/or any other means or instruments (including, by way of example and without limitation, the postal network, fax, telex, e-mail, telephone and the Internet, and/or any other means or IT support) for national or international trade, or the services of any market regulated by the Excluded Countries;<br> d) to be outside the Excluded Countries when this Acceptance Form is delivered or signed. |

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*Pursuant to Article 13 of the Regulation (EU) 2016/679 ("**GDPR**"), the Tendering Shareholders are informed that the personal data provided in this Acceptance Form will be processed, including through the use of computerized and telematic procedures, solely for purposes directly related and/or instrumental to the Offer (e.g., collection of acceptances, verification of their regularity, payment of the Consideration and allocation), which constitutes the legal basis for processing such data. The provision of personal data is necessary to fulfil the obligations under this Acceptance Form and, therefore, any refusal to provide in whole or in part the said personal data will result in the impossibility to accept the Offer. Personal data will be processed, in their capacity as separate and independent data controllers, each for the purposes connected with, and instrumental to, their role in the transaction, by the Intermediaries Appointed to Coordinate the Collection of Acceptances, by the Offeror, by the Appointed Intermediaries, by the Depositary Intermediaries and by companies or collaborators identified by them who – as data controllers or processors – perform functional or support activities as necessary for the transaction. With regard to the aforementioned processing, the Tendering Shareholder may exercise all the rights set forth in Articles 15 to 22 of the GDPR (including, by way of example and without limitation, the right of access, the right to erasure, the right to rectification, the right to restriction of processing and the right to lodge a complaint with the Data Protection Authority) in accordance with the procedures set out in the privacy policy made available via the channels of the data controllers. The data will be stored only for the time period necessary to achieve the aforementioned purposes, after which it may be stored in accordance with the terms set forth in the GDPR and by the national legislation applicable at the time, for administrative purposes and/or to enforce or defend a right or legitimate interest of the data controllers or third parties.*

***Additional Information for U.S. Persons***

*The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act or pursuant to a valid exemption from registration. The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies. It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since the Offeror and the Issuer are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment. The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the U.S. Exchange Act provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws. To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities. Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.*

Date________________________, Place _____________________

    <br> The Tendering Shareholder or their representative Stamp and signature of the Appointed Intermediary

The DEPOSITARY INTERMEDIARY with whom this Acceptance Form has been filed represents, upon its presentation by the Tendering Shareholder (or their representative) and under its own responsibility:

a) to
 be the depositary of the abovementioned Mediobanca Shares owned by the Tendering Shareholder;

b) to
 perform the formalities necessary for the transfer of the Shares to this Appointed Intermediary
 exclusively through Euronext Securities Milan, within and no later than the end of the Acceptance
 Period of the Offer, or the last day of the possible Reopening of the Acceptance Period or
 any extensions thereof.

  <br> Stamp and signature of the Depositary Intermediary

**Sheet No. 2 – Copy for the Appointed Intermediary**

*FORM N._________*

**ACCEPTANCE FORM**

**FOR THE VOLUNTARY PUBLIC EXCHANGE OFFER**

pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**Offer**"), launched by Banca Monte dei Paschi di Siena S.p.A. (the <br> "**Offeror**") for a maximum of No. 833,279,689 ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni (the "**Issuer**"), as well as maximum of No. 16,178,862 additional shares of the Issuer<br> which may be allocated under certain existing incentive plans

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| | |
|:---|:---|
| To the Appointed Intermediary______________________________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)_________________________________________________________________________born in_______________________on_____________________________tax code/VAT number _________________________________________citizenship/nationality___________________________resident in/with registered office at______________________________________Province ____________ Address ____________________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). | To the Appointed Intermediary______________________________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)_________________________________________________________________________born in_______________________on_____________________________tax code/VAT number _________________________________________citizenship/nationality___________________________resident in/with registered office at______________________________________Province ____________ Address ____________________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). |
| **REPRESENTS**<br>| to be aware of all the conditions, terms and modalities of this Offer as set out in the Offer Document and in the exemption document (the "**Exemption Document**") prepared for the purposes of the Offer and made available to the public for consultation at the registered office of the Offeror (in Siena, Piazza Salimbeni, 3), as well as at the registered office of the Intermediaries Appointed to Coordinate the Collection of Acceptances (in Siena, Piazza Salimbeni, 3 and in Milan, Viale Eginardo, 29) and of the Appointed Intermediaries, as indicated in the Offer Document, as well as available on the website of the Offeror <u>https://www.gruppomps.it/en</u> and of the Global Information Agent <u>www.georgeson.com</u>. |
| **ACCEPTS**<br>| irrevocably and unconditionally this Offer for No. ____________________________________________________________________________________________________ Mediobanca Shares that:<br> □ are already deposited with You on the securities account No. _____________________________________________ in the name of: __________________________________________________________;<br> □ will be transferred to the abovementioned account as a result of the stock exchange settlement;<br> □ are deposited with You simultaneously with the signing of this Acceptance Form;<br> □ will be transferred to/deposited with You, in due time, with the engagement expressly accepted herein below, by the Depositary Intermediary of the Mediobanca Shares subject to this Acceptance Form. |
| **AUTHORISES** | the registration of the Mediobanca Shares indicated above in a temporary account with You, restricted for the purposes of this Offer, if applicable. |
| **PERMITS** | henceforth with the transfer to the Offeror of the Mediobanca Shares registered in the temporary account above, granting hereby to You an irrevocable mandate to perform, directly or indirectly, in the name and on behalf of the undersigned Tendering Shareholder, all the necessary formalities in connection with the transfer of the Mediobanca Shares to the Offeror. All of the above shall be made upon payment of the Consideration on the Payment Date or on the Payment Date following the Reopening of the Acceptance Period, as defined in the Offer Document and as better specified therein. |
| **REPRESENTS** | to accept, henceforth, the cancellation of the transaction, in the event of irregularities in the data contained in this Acceptance Form, as a result of the checks and controls performed after the delivery of the Mediobanca Shares subject to this Acceptance Form. |
| **ACKNOWLEDGES** | 1) that the Acceptance Period starts at 8:30 a.m. (Italian time) on 14 July 2025 and will end at 5:30 p.m. (Italian time) on 8 September 2025 (both dates inclusive), subject to any Reopening of the Acceptance Period or any extensions of the Offer that may occur in accordance with applicable laws and regulations, as provided for in Section F, Paragraph F.1.1 of the Offer Document;<br> 2) that the Offer Document provides that the payment of the Consideration, as defined below, will be made on 15 September (*i.e.*, on the fifth Trading Day following the end of the Acceptance Period as indicated in the Offer Document), without prejudice to any extensions or amendments to the Offer in accordance with the terms and modalities disclosed pursuant to applicable laws and regulations, or, if applicable, on the Payment Date of the Reopening of the Acceptance Period. Such payment is subject to the execution of the formalities required to transfer the Mediobanca Shares to the Offeror;<br> 3) that their acceptance of the Offer is irrevocable, without prejudice to the possibility for the Tendering Shareholder to communicate their express intention to withdraw their acceptance in order to accept competing offers or in the other cases provided for in the Offer Document, in accordance with applicable laws and regulations;<br> 4) that the Offer is subject to the Condition of Effectiveness described in the Offer Document, which may be waived by the Offeror in accordance with the terms specified in the Offer Document;<br> 5) that the consideration for each Mediobanca Share tendered in acceptance of the Offer (the "**Consideration**") will be equal to No. 2.533 Offeror's shares (the "**MPS Shares**") and therefore equal to No. 2.533 MPS Shares for each No. 1 Mediobanca Shares tendered in acceptance of the Offer, as better described in Section E, Paragraph E.1 of the Offer Document;<br> 6) that the Consideration is intended net of stamp taxes, expenses, fees, commissions which shall remain in charge of the Offeror, while other taxes, including the tax on any capital gains, if due, shall remain entirely in charge of the Tendering Shareholders to the Offer and no interest shall be paid on the Consideration for each Mediobanca Share tendered in acceptance of the Offer between the date of Acceptance of the Offer and the Payment Date, as well as between the date of Acceptance of the Offer in the case of the Reopening of the Acceptance Period and the relevant Payment Date following the Reopening of the Acceptance Period;<br> 7) that in the event of failure to fulfil one or more of the Conditions of Effectiveness of the Offer referred to in Section A, Paragraph A.1, of the Offer Document, without such Condition(s) of Effectiveness being waived by the Offeror and, therefore, in the event of failure to complete the Offer, the Mediobanca Shares will be returned through the Depositary Intermediaries to the respective Tendering Shareholders, without any charges or expenses being in charge of them, by the first Trading Day following the first press release announcing the ineffectiveness of the Offer;<br> 8) that the Tendering Shareholders will remain exclusively responsible for the risk that the Depository Intermediaries fail to deliver this Acceptance Form and, if applicable, fail to deposit the Mediobanca Shares tendered in acceptance of the Offer with the Appointed Intermediaries by the last valid day of the Acceptance Period (or any Reopening of the Acceptance Period), as well as the risk that the Appointed Intermediaries fail to transfer the Consideration to the persons entitled to receive it, or delay such transfer. |
| **AUTHORISES** | this Appointed Intermediary to settle/arrange to settle the Consideration through the deposit of No. ______________________________MPS Shares, representing the total Consideration payable for No. ________________________________ Mediobanca's Shares tendered in acceptance of the Offer, through the relevant registration, in dematerialised form, on the securities account No. ______________________________________ held with ______________________________________________________________________________ in the name of __________________________________________. |
| **GRANTS** | irrevocable mandate to the Intermediaries Appointed to Coordinate the Collection of Acceptances to sell on Euronext Milan, in the name and on behalf of the undersigned, any Fractional Part they would be entitled to, equal to No. ______________________________________________ MPS Shares, deriving from the exchange against the Mediobanca Shares (for further information, please refer to Section F, Paragraph F.6, of the Offer Document), by paying/arranging payment of the corresponding amount by:<br> □ transfer to bank account No. ______________________________________ IBAN _______________________________________ at ___________________________ in the name of _____________________________;<br> □ non-transferable cashier's check in the name of______________________________________________________to be sent to ___________________________________________________________________. |
| **REPRESENTS**<br>| a) to be aware that the Offer is addressed on equal terms to all holders of Mediobanca Shares and has been launched in Italy, as well as in the United States of America in accordance with the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Act**") provided by Rule 14d-1(c) thereunder, and (ii) the registration requirements of the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") provided by Rule 802 thereunder, and in any event always in accordance with Italian law (for further information, please refer to Recital 5 and Section F, Paragraph F.4, of the Offer Document);<br> b) to be aware that the Offer was not, nor will be promoted, or disclosed or carried out in Canada, Japan, Australia, as well as any other country where the promotion of the Offer and acceptance thereof would not comply with financial markets laws and regulations or other local laws or regulations or would not be permitted without prior registration, approval or filing with the relevant supervisory authorities (collectively, the "**Excluded Countries**"), and that acceptance of the Offer by persons residing in the Excluded Countries may be subject to specific obligations or restrictions provided for by laws or regulations and that the Tendering Shareholders to the Offer are solely responsible to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their advisors;<br> c) not to have received and/or sent copies or originals of this Acceptance Form, the Offer Document, the Exemption Document, and/or any document relating to the Offer from or to the Excluded Countries and that they have not otherwise used, in connection with the Offer, directly or indirectly, postal services and/or any other means or instruments (including, by way of example and without limitation, the postal network, fax, telex, e-mail, telephone and the Internet, and/or any other means or IT support) for national or international trade, or the services of any market regulated by the Excluded Countries;<br> d) to be outside the Excluded Countries when this Acceptance Form is delivered or signed. |

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*Pursuant to Article 13 of the Regulation (EU) 2016/679 ("**GDPR**"), the Tendering Shareholders are informed that the personal data provided in this Acceptance Form will be processed, including through the use of computerized and telematic procedures, solely for purposes directly related and/or instrumental to the Offer (e.g., collection of acceptances, verification of their regularity, payment of the Consideration and allocation), which constitutes the legal basis for processing such data. The provision of personal data is necessary to fulfil the obligations under this Acceptance Form and, therefore, any refusal to provide in whole or in part the said personal data will result in the impossibility to accept the Offer. Personal data will be processed, in their capacity as separate and independent data controllers, each for the purposes connected with, and instrumental to, their role in the transaction, by the Intermediaries Appointed to Coordinate the Collection of Acceptances, by the Offeror, by the Appointed Intermediaries, by the Depositary Intermediaries and by companies or collaborators identified by them who – as data controllers or processors – perform functional or support activities as necessary for the transaction. With regard to the aforementioned processing, the Tendering Shareholder may exercise all the rights set forth in Articles 15 to 22 of the GDPR (including, by way of example and without limitation, the right of access, the right to erasure, the right to rectification, the right to restriction of processing and the right to lodge a complaint with the Data Protection Authority) in accordance with the procedures set out in the privacy policy made available via the channels of the data controllers. The data will be stored only for the time period necessary to achieve the aforementioned purposes, after which it may be stored in accordance with the terms set forth in the GDPR and by the national legislation applicable at the time, for administrative purposes and/or to enforce or defend a right or legitimate interest of the data controllers or third parties.*

***Additional Information for U.S. Persons***

*The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act or pursuant to a valid exemption from registration. The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies. It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since the Offeror and the Issuer are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment. The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the U.S. Exchange Act provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws. To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities. Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.*

Date________________________, Place _____________________

    <br> The Tendering Shareholder or their representative Stamp and signature of the Appointed Intermediary

The DEPOSITARY INTERMEDIARY with whom this Acceptance Form has been filed represents, upon its presentation by the Tendering Shareholder (or their representative) and under its own responsibility:

a) to
 be the depositary of the abovementioned Mediobanca Shares owned by the Tendering Shareholder;

b) to
 perform the formalities necessary for the transfer of the Shares to this Appointed Intermediary
 exclusively through Euronext Securities Milan, within and no later than the end of the Acceptance
 Period of the Offer, or the last day of the possible Reopening of the Acceptance Period or
 any extensions thereof.

  <br> Stamp and signature of the Depositary Intermediary

**Sheet No. 3 – Copy for the Depositary Intermediary**

*FORM N._________*

**ACCEPTANCE FORM**

**FOR THE VOLUNTARY PUBLIC EXCHANGE OFFER**

pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**Offer**"), launched by Banca Monte dei Paschi di Siena S.p.A. (the<br> "**Offeror**") for a maximum of No. 833,279,689 ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni (the "**Issuer**"), as well as maximum of No. 16,178,862 additional shares of <br> the Issuer which may be allocated under certain existing incentive plans

---

| | |
|:---|:---|
| To the Appointed Intermediary_____________________________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)_________________________________________________________________________born in_______________________on_____________________________tax code/VAT number _________________________________________citizenship/nationality___________________________resident in/with registered office at______________________________________Province ____________ Address ____________________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). | To the Appointed Intermediary_____________________________________________________________________________________________________________<br> The undersigned (*name, surname or company name*)_________________________________________________________________________born in_______________________on_____________________________tax code/VAT number _________________________________________citizenship/nationality___________________________resident in/with registered office at______________________________________Province ____________ Address ____________________________________ No. _______ postal code ______________ owner of No. ______________________ ordinary shares of the Issuer (the "**Mediobanca Shares**"), without nominal value, with regular dividend rights and freely transferable, of which warrants the legitimate and full ownership and availability, as well as the absence of liens and encumbrances of any kind and nature, whether *in rem* or personal;<br> Provided that capitalized terms not otherwise defined in this acceptance form (the "**Acceptance Form**") have the same meaning ascribed to them in the offer document prepared for the purposes of the Offer (the "**Offer Document**"). |
| **REPRESENTS**<br>| to be aware of all the conditions, terms and modalities of this Offer as set out in the Offer Document and in the exemption document (the "**Exemption Document**") prepared for the purposes of the Offer and made available to the public for consultation at the registered office of the Offeror (in Siena, Piazza Salimbeni, 3), as well as at the registered office of the Intermediaries Appointed to Coordinate the Collection of Acceptances (in Siena, Piazza Salimbeni, 3 and in Milan, Viale Eginardo, 29) and of the Appointed Intermediaries, as indicated in the Offer Document, as well as available on the website of the Offeror <u>https://www.gruppomps.it/en</u> and of the Global Information Agent <u>www.georgeson.com</u>. |
| **ACCEPTS**<br>| irrevocably and unconditionally this Offer for No. _________________________________________________________________________________________ Mediobanca Shares that:<br> □ are already deposited with You on the securities account No. ___________________________________________ in the name of: ________________________________________________________;<br> □ will be transferred to the abovementioned account as a result of the stock exchange settlement;<br> □ are deposited with You simultaneously with the signing of this Acceptance Form;<br> □ will be transferred to/deposited with You, in due time, with the engagement expressly accepted herein below, by the Depositary Intermediary of the Mediobanca Shares subject to this Acceptance Form. |
| **AUTHORISES** | the registration of the Mediobanca Shares indicated above in a temporary account with You, restricted for the purposes of this Offer, if applicable. |
| **PERMITS** | henceforth with the transfer to the Offeror of the Mediobanca Shares registered in the temporary account above, granting hereby to You an irrevocable mandate to perform, directly or indirectly, in the name and on behalf of the undersigned Tendering Shareholder, all the necessary formalities in connection with the transfer of the Mediobanca Shares to the Offeror. All of the above shall be made upon payment of the Consideration on the Payment Date or on the Payment Date following the Reopening of the Acceptance Period, as defined in the Offer Document and as better specified therein. |
| **REPRESENTS** | to accept, henceforth, the cancellation of the transaction, in the event of irregularities in the data contained in this Acceptance Form, as a result of the checks and controls performed after the delivery of the Mediobanca Shares subject to this Acceptance Form. |
| **ACKNOWLEDGES** | 1) that the Acceptance Period starts at 8:30 a.m. (Italian time) on 14 July 2025 and will end at 5:30 p.m. (Italian time) on 8 September 2025 (both dates inclusive), subject to any Reopening of the Acceptance Period or any extensions of the Offer that may occur in accordance with applicable laws and regulations, as provided for in Section F, Paragraph F.1.1 of the Offer Document;<br> 2) that the Offer Document provides that the payment of the Consideration, as defined below, will be made on 15 September (*i.e.*, on the fifth Trading Day following the end of the Acceptance Period as indicated in the Offer Document), without prejudice to any extensions or amendments to the Offer in accordance with the terms and modalities disclosed pursuant to applicable laws and regulations, or, if applicable, on the Payment Date of the Reopening of the Acceptance Period. Such payment is subject to the execution of the formalities required to transfer the Mediobanca Shares to the Offeror;<br> 3) that their acceptance of the Offer is irrevocable, without prejudice to the possibility for the Tendering Shareholder to communicate their express intention to withdraw their acceptance in order to accept competing offers or in the other cases provided for in the Offer Document, in accordance with applicable laws and regulations;<br> 4) that the Offer is subject to the Condition of Effectiveness described in the Offer Document, which may be waived by the Offeror in accordance with the terms specified in the Offer Document;<br> 5) that the consideration for each Mediobanca Share tendered in acceptance of the Offer (the "**Consideration**") will be equal to No. 2.533 Offeror's shares (the "**MPS Shares**") and therefore equal to No. 2.533 MPS Shares for each No. 1 Mediobanca Shares tendered in acceptance of the Offer, as better described in Section E, Paragraph E.1 of the Offer Document;<br> 6) that the Consideration is intended net of stamp taxes, expenses, fees, commissions which shall remain in charge of the Offeror, while other taxes, including the tax on any capital gains, if due, shall remain entirely in charge of the Tendering Shareholders to the Offer and no interest shall be paid on the Consideration for each Mediobanca Share tendered in acceptance of the Offer between the date of Acceptance of the Offer and the Payment Date, as well as between the date of Acceptance of the Offer in the case of the Reopening of the Acceptance Period and the relevant Payment Date following the Reopening of the Acceptance Period;<br> 7) that in the event of failure to fulfil one or more of the Conditions of Effectiveness of the Offer referred to in Section A, Paragraph A.1, of the Offer Document, without such Condition(s) of Effectiveness being waived by the Offeror and, therefore, in the event of failure to complete the Offer, the Mediobanca Shares will be returned through the Depositary Intermediaries to the respective Tendering Shareholders, without any charges or expenses being in charge of them, by the first Trading Day following the first press release announcing the ineffectiveness of the Offer;<br> 8) that the Tendering Shareholders will remain exclusively responsible for the risk that the Depository Intermediaries fail to deliver this Acceptance Form and, if applicable, fail to deposit the Mediobanca Shares tendered in acceptance of the Offer with the Appointed Intermediaries by the last valid day of the Acceptance Period (or any Reopening of the Acceptance Period), as well as the risk that the Appointed Intermediaries fail to transfer the Consideration to the persons entitled to receive it, or delay such transfer. |
| **AUTHORISES** | this Appointed Intermediary to settle/arrange to settle the Consideration through the deposit of No. ______________________________MPS Shares, representing the total Consideration payable for No. ________________________________ Mediobanca's Shares tendered in acceptance of the Offer, through the relevant registration, in dematerialised form, on the securities account No. ______________________________________ held with ______________________________________________________________________________ in the name of __________________________________________. |
| **GRANTS** | irrevocable mandate to the Intermediaries Appointed to Coordinate the Collection of Acceptances to sell on Euronext Milan, in the name and on behalf of the undersigned, any Fractional Part they would be entitled to, equal to No. ______________________________________________ MPS Shares, deriving from the exchange against the Mediobanca Shares (for further information, please refer to Section F, Paragraph F.6, of the Offer Document), by paying/arranging payment of the corresponding amount by:<br> □ transfer to bank account No. ______________________________________ IBAN _______________________________________ at ___________________________ in the name of _____________________________;<br> □ non-transferable cashier's check in the name of______________________________________________________to be sent to ________________________________________________________________. |
| **REPRESENTS**<br>| a) to be aware that the Offer is addressed on equal terms to all holders of Mediobanca Shares and has been launched in Italy, as well as in the United States of America in accordance with the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Act**") provided by Rule 14d-1(c) thereunder, and (ii) the registration requirements of the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") provided by Rule 802 thereunder, and in any event always in accordance with Italian law (for further information, please refer to Recital 5 and Section F, Paragraph F.4, of the Offer Document);<br> b) to be aware that the Offer was not, nor will be promoted, or disclosed or carried out in Canada, Japan, Australia, as well as any other country where the promotion of the Offer and acceptance thereof would not comply with financial markets laws and regulations or other local laws or regulations or would not be permitted without prior registration, approval or filing with the relevant supervisory authorities (collectively, the "**Excluded Countries**"), and that acceptance of the Offer by persons residing in the Excluded Countries may be subject to specific obligations or restrictions provided for by laws or regulations and that the Tendering Shareholders to the Offer are solely responsible to comply with such rules and, therefore, before accepting the Offer, to verify their existence and applicability by consulting their advisors;<br> c) not to have received and/or sent copies or originals of this Acceptance Form, the Offer Document, the Exemption Document, and/or any document relating to the Offer from or to the Excluded Countries and that they have not otherwise used, in connection with the Offer, directly or indirectly, postal services and/or any other means or instruments (including, by way of example and without limitation, the postal network, fax, telex, e-mail, telephone and the Internet, and/or any other means or IT support) for national or international trade, or the services of any market regulated by the Excluded Countries;<br> d) to be outside the Excluded Countries when this Acceptance Form is delivered or signed. |

---

*Pursuant to Article 13 of the Regulation (EU) 2016/679 ("**GDPR**"), the Tendering Shareholders are informed that the personal data provided in this Acceptance Form will be processed, including through the use of computerized and telematic procedures, solely for purposes directly related and/or instrumental to the Offer (e.g., collection of acceptances, verification of their regularity, payment of the Consideration and allocation), which constitutes the legal basis for processing such data. The provision of personal data is necessary to fulfil the obligations under this Acceptance Form and, therefore, any refusal to provide in whole or in part the said personal data will result in the impossibility to accept the Offer. Personal data will be processed, in their capacity as separate and independent data controllers, each for the purposes connected with, and instrumental to, their role in the transaction, by the Intermediaries Appointed to Coordinate the Collection of Acceptances, by the Offeror, by the Appointed Intermediaries, by the Depositary Intermediaries and by companies or collaborators identified by them who – as data controllers or processors – perform functional or support activities as necessary for the transaction. With regard to the aforementioned processing, the Tendering Shareholder may exercise all the rights set forth in Articles 15 to 22 of the GDPR (including, by way of example and without limitation, the right of access, the right to erasure, the right to rectification, the right to restriction of processing and the right to lodge a complaint with the Data Protection Authority) in accordance with the procedures set out in the privacy policy made available via the channels of the data controllers. The data will be stored only for the time period necessary to achieve the aforementioned purposes, after which it may be stored in accordance with the terms set forth in the GDPR and by the national legislation applicable at the time, for administrative purposes and/or to enforce or defend a right or legitimate interest of the data controllers or third parties.*

***Additional Information for U.S. Persons***

*The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act or pursuant to a valid exemption from registration. The Offer is being made for the shares of the Issuer by the Offeror, each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the Offer Document or the Exemption Document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies. It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since the Offeror and the Issuer are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment. The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the U.S. Exchange Act provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the Mediobanca Shares in the U.S. and no other person has any claims under such laws. To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the Mediobanca Shares, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of the Issuer of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of the Issuer, which may include purchases or arrangements to purchase such securities. Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the Acceptance Period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.*

Date________________________, Place _____________________

    <br> The Tendering Shareholder or their representative Stamp and signature of the Appointed Intermediary

The DEPOSITARY INTERMEDIARY with whom this Acceptance Form has been filed represents, upon its presentation by the Tendering Shareholder (or their representative) and under its own responsibility:

a) to
 be the depositary of the abovementioned Mediobanca Shares owned by the Tendering Shareholder;

b) to
 perform the formalities necessary for the transfer of the Shares to this Appointed Intermediary
 exclusively through Euronext Securities Milan, within and no later than the end of the Acceptance
 Period of the Offer, or the last day of the possible Reopening of the Acceptance Period or
 any extensions thereof.

  <br> Stamp and signature of the Depositary Intermediary

**Sheet No. 4 – Copy for the Tendering Shareholder**

## Exhibit 99.4

**Exhibit 99.4**

![](tm2518026d1_ex99-4img002.jpg)

*This document, in PDF format, does not comply with the obligations under Directive 2004/109/EC (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation" – European Single Electronic Format). A dedicated XHTML format has been prepared for this purpose, which is the version audited and reviewed by the Board of Statutory Auditors and the Independent Auditors.*

![](tm2518026d1_ex99-4img003.jpg)

**Annual Report<br> as at 31 december 2024**

**Banca Monte dei Paschi di Siena S.p.a.**

Registered office in Piazza Salimbeni 3, Siena, Italy

Share Capital: €7,453,450,788.44 fully paid in

Registered with the Arezzo-Siena Companies' Register – registration no. and tax code 00884060526

MPS VAT Group - VAT number 01483500524

Member of the Italian Interbank Deposit Protection Fund. Registered with the Register of Banks under no. 5274

Monte dei Paschi di Siena Banking Group, registered with the Register of Banking Groups.

BANCA MONTE DEI PASCHI DI SIENA

Index

---

| | |
|:---|:---|
| **Governing and control bodies** | **4** |
| **Consolidated Annual Report** | **5** |
| **Consolidated Report on operations** | **6** |
| General accounting standards | 7 |
| Results in brief | 8 |
| Executive summary | 11 |
| Group overview | 13 |
| Shareholders | 14 |
| Information on the BMPS share | 15 |
| Organisational structure | 16 |
| Governance & control systems | 18 |
| Distribution channels | 21 |
| Customer base | 23 |
| Reference context | 24 |
| Significant events in 2024 | 27 |
| Human Resources | 30 |
| 2024-2028 Group Business Plan | 34 |
| Income statement and balance sheet reclassification principles | 41 |
| Reclassified income statement | 45 |
| Reclassified balance sheet | 53 |
| Tax position of Group | 66 |
| Research, Development and Innovation | 70 |
| Main risks and uncertainties | 72 |
| Financial risks and hedging-related policies | 76 |
| Information on employment law, tax and complaints risks | 79 |
| Inspection activities and procedures of the Supervisory Authorities | 80 |
| Regulatory Developments | 84 |
| Results by Operating Segment | 90 |
| Equity investment management | 116 |
| Prospects and outlook on operations | 117 |
| Sustainability Reporting | 118 |

---

---

| | |
|:---|:---|
| **Consolidated Financial Statements** | **293** |
| Consolidated balance sheet | 294 |
| Consolidated income statement | 296 |
| Consolidated statement of comprehensive income | 298 |
| Consolidated statement of changes in equity – 2024 | 299 |
| Consolidated statement of changes in equity – 2023 | 300 |
| Consolidated cash flow statement - indirect method | 301 |

---

2024 ANNUAL REPORT -

---

| | |
|:---|:---|
| **Notes to the Consolidated Financial Statements** | **303** |
| Part A - Accounting policies | 304 |
| Part B - Information on the balance sheet | 388 |
| Part C - Information on the consolidated income statement | 471 |
| Part D - Consolidated statement of comprehensive income | 496 |
| Part E - Information on risks and hedging policies | 497 |
| Part F - Information on consolidated shareholders' equity | 643 |
| Part G - Business combinations | 648 |
| Part H - Related-party transactions | 649 |
| Part I - Share-Based Payment Agreements | 659 |
| Part L - Segment reporting | 661 |
| Part M - Leasing Information | 665 |
| **Public disclosure State by State** | **669** |
| **Certifications** | **673** |
| **Independent Auditors' report on the financial statements** | **676** |
| **Annexes** | **692** |
| **Separate Annual report of Banca Monte dei Paschi di Siena** | **703** |
| **Report on operations** | **704** |
| **Separate Annual report** | **724** |
| **Separate Financial statements** | **725** |
| Balance Sheet | 726 |
| Income statement | 728 |
| Statement of comprehensive income | 730 |
| Statement of changes in equity - 2024 | 731 |
| Statement of changes in equity – 2023 | 732 |
| Cash flow statement - indirect method | 733 |
| **Notes to the separate financial statements** | **735** |
| Part A - Accounting policies | 736 |
| Part B - Information on the balance sheet | 816 |
| Part C - Information on the Income Statement | 896 |
| Part D - Statement of Comprehensive Income | 921 |
| Part E - Information on risks and hedging policies | 922 |
| Part F - Information on shareholders' equity | 1001 |
| Part G - Business combinations | 1004 |
| Part H - Related-party transactions | 1005 |
| Part I - Share-based payments agreement | 1016 |
| Part M - Leasing Information | 1018 |
| **Certification** | **1023** |
| **Independent Auditors' report on the financial statements** | **1025** |
| **Report of the Board of Statutory Auditors** | **1036** |
| **Annexes** | **1094** |

---

2024 ANNUAL REPORT - Governing and control bodies

Governing and control bodies

Board of directors

---

| | |
|:---|:---|
| Nicola MAIONE | Chairperson |
| Gianluca BRANCADORO | Deputy Chairman |
| Luigi LOVAGLIO | Chief Executive Officer |
| Alessandra Giuseppina BARZAGHI | Director |
| Alessandro CALTAGIRONE | Director |
| Paola DE MARTINI | Director |
| Elena DE SIMONE | Director |
| Stefano DI STEFANO | Director |
| Domenico LOMBARDI | Director |
| Paola LUCANTONI | Director |
| Raffaele ORIANI | Director |
| Marcella PANUCCI | Director |
| Francesca PARAMICO RENZULLI | Director |
| Renato SALA | Director |
| Barbara TADOLINI | Director |

---

Board of statutory auditors

---

| | |
|:---|:---|
| Enrico CIAI | Chairperson |
| Lavinia LINGUANTI | Standing Auditor |
| Giacomo GRANATA | Standing Auditor |
| Paola Lucia Isabella GIORDANO | Alternate Auditor |
| Pierpaolo COTONE | Alternate Auditor |

---

General management

<u>Luigi LOVAGLIO</u> <u>General Manager</u> <br> <u>Maurizio BAI</u> <u>Deputy Commercial General Manager</u>

Financial Reporting Officer

Nicola Massimo Clarelli

Independent Auditors

PricewaterhouseCoopers S.p.A.

![](tm2518026d1_ex99-4imgtop.jpg)

**Consolidated Annual Report**

![](tm2518026d1_ex99-4imgbtm.jpg)

![](tm2518026d1_ex99-4imgtop.jpg)

**Consolidated Report on operations**

![](tm2518026d1_ex99-4imgbtm.jpg)

2024 ANNUAL REPORT - Consolidated Report on operations

General accounting standards

The Consolidated Report on Operations as at 31 December 2024 provides a snapshot of the activities and results which largely characterised the Group's operations during the year, both as a whole and in the various business sectors.

In particular, economic and financial indicators, based on accounting data, are those used in internal performance management and management reporting systems, and are consistent with the most commonly used metrics within the banking industry, thereby ensuring the comparability of presented figures.

The income statement and balance sheet have been reclassified based on presentation criteria that are more suitable for representing the contents of the items according to consistent operational criteria.

In addition, the Report incorporates non-financial company information providing the details on the activities, capital, risks and relations that are significant to the Group's current and future performance. This information is also detailed in corporate communications available on the Banca MPS website www.mps.it, such as: the Report on Corporate Governance and Ownership Structure, the Remuneration Report, Pillar 3 Disclosure.

BANCA MONTE DEI PASCHI DI SIENA

Results in brief

Below are the main figures of the income statement and balance sheet of the Montepaschi Group as at 31 December 2024, calculated on the basis of the reclassified financial statements, the methods of which are illustrated in the section "Income statement and balance sheet reclassification principles" of this Report, and compared with what was recorded in the previous year. The Alternative Performance Measures (APMs) identified by the Directors to facilitate the understanding of the economic and financial performance of the Group's operations are also presented. The APMs, which are built using the reclassified data reported in the Reclassified Income Statement and Reclassified Balance Sheet chapters, are based on accounting data, corresponding to those used in internal performance management and management reporting systems, and consistent with the most commonly used metrics within the banking industry, thereby ensuring the comparability of reported figures. The APMs are not envisaged by the IAS/IFRS international accounting standards and, although they are calculated on financial statement data, they are not audited or reviewed.

These measures take into account the Guidelines provided by the European Securities and Markets Authority (ESMA) on 5 October 2015, which the Italian stock exchange regulator, Consob, incorporated into its supervisory practices (Communication no. 0092543 of 3 December 2015), applicable from 3 July 2016. With reference to the context resulting from the military conflict between Russia and Ukraine, note that, in line with ESMA guidelines, no new indicators were introduced, nor were changes made to the indicators normally used. It should be noted that the definition and calculation methods are provided for each APM; the amounts used are traceable through the information contained in the tables below or in the reclassified financial statements contained in this Consolidated Report on Operations. These formats were constructed on the basis of the financial statements envisaged by Bank of Italy Circular no. 262/2005 and subsequent updates following the same aggregation and classification criteria adopted in the previous year, illustrated in more detail in the section "Income statement and balance sheet reclassification principles" of this Consolidated Report on Operations.

**INCOME STATEMENT AND BALANCE SHEET FIGURES**

**MONTEPASCHI GROUP**

---

| | | | |
|:---|:---|:---|:---|
| **INCOME STATEMENT FIGURES (EUR mln)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Net interest income | 2355.8 | 2292.1 | 2.8% |
| Net fee and commission income | 1465.3 | 1321.9 | 10.8% |
| Other income from banking business | 206.9 | 170.1 | 21.6% |
| Other operating income and expenses | 5.7 | 12.8 | -55.5% |
| Total Revenues | 4033.8 | 3796.8 | 6.2% |
| Operating expenses | (1869.1) | (1842.8) | 1.4% |
| Cost of customer credit | (409.5) | (440.3) | -7.0% |
| Other value adjustments | (6.7) | (3.2) | n.m. |
| Net operating income (loss) | 1748.5 | 1510.6 | 15.7% |
| Non-operating items | (304.0) | 195.9 | n.m. |
| Parent company's net profit (loss) for the period | 1950.8 | 2051.8 | -4.9% |

---

---

| | | | |
|:---|:---|:---|:---|
| **EARNINGS PER SHARE (EUR)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Basic earnings per share | 1.549 | 1.629 | -4.9% |
| Diluted earnings per share | 1.549 | 1.629 | -4.9% |

---

---

| | | | |
|:---|:---|:---|:---|
| **BALANCE SHEET FIGURES AND INDICATORS (EUR mln)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Total assets | 122601.7 | 122613.7 | 0.0% |
| Loans to customers | 77309.6 | 76815.6 | 0.6% |
| Direct funding | 93971.9 | 90639.0 | 3.7% |
| Indirect funding | 103237.8 | 96844.9 | 6.6% |
| &nbsp;&nbsp;&nbsp;of which: assets under management | 59924.0 | 56887.8 | 5.3% |
| &nbsp;&nbsp;&nbsp;of which: assets under custody | 43313.8 | 39957.1 | 8.4% |
| Group net equity | 11649.0 | 9978.5 | 16.7% |

---

---

| | | | |
|:---|:---|:---|:---|
| **OPERATING STRUCTURE** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Total headcount - end of year | 16727 | 16737 | (10) |
| Number of branches in Italy | 1312 | 1362 | (50) |

---

2024 ANNUAL REPORT - Consolidated Report on operations

**ALTERNATIVE PERFORMANCE MEASURES**

**MONTEPASCHI GROUP**

---

| | | | |
|:---|:---|:---|:---|
| **PROFITABILITY RATIOS (%)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Cost/Income ratio | 46.3 | 48.5 | -2.2 |
| ROE (on average equity) | 18.0 | 23.0 | -5.0 |
| Return on Assets (RoA) ratio | 1.6 | 1.7 | -0.1 |
| ROTE (Return on tangible equity) | 18.3 | 23.5 | -5.2 |

---

---

| | | | |
|:---|:---|:---|:---|
| **CREDIT QUALITY RATIOS (%)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Net NPE ratio | 2.4 | 2.3 | 0.1 |
| Gross NPL ratio | 3.8 | 3.6 | 0.2 |
| Rate of change of non-performing loans to customers | 3.0 | 5.7 | -2.7 |
| Bad loans to custormers/ Loans to Customers | 0.6 | 0.6 | n.m. |
| Loans to customers measured at amortised cost - Stage 2/Performing loans to customers measured at amortised cost | 13.4 | 12.8 | 0.6 |
| Coverage of non-performing loans to customers | 48.5 | 49.1 | -0.6 |
| Coverage of bad loans to customers | 66.5 | 68.1 | -1.6 |
| Provisioning | 0.53 | 0.57 | -2.7 |
| Texas Ratio | 27.6 | 30.3 | -2.7 |

---

**Cost/Income ratio:** ratio between Operating expenses (Administrative expenses and Net value adjustments to property, plant and equipment and intangible assets) and Total revenues (for the composition of this aggregate, see the reclassified income statement).

**Return On Equity (ROE):** ratio between the Group Net profit (loss) for the year and the average between the shareholders' equity (including Profit and Valuation Reserves) at the end of year and the shareholders' equity at the end of the previous year.

**Return On Assets (ROA): ratio between the Net profit (loss) for the year and Total assets at the end of the year.**

**Return On Tangible Equity (ROTE):** ratio between the Net profit (loss) for the year and the average between the tangible shareholders' equity<sup>1</sup> at the end of year and that at the end of the previous year.

**Net NPE Ratio:** ratio between net non-performing exposures to customers and total net exposures to customers, both net of assets under disposal (excluding government securities).

**Gross NPE Ratio<sup>2</sup>:** gross impact of non-performing loans (NPLs) calculated as the ratio between Gross non-performing loans to customers and banks<sup>3</sup>, net of disposal groups, and total Gross loans to customers and banks, net of disposal groups.

**Rate of change in non-performing loans to customers:** represents the annual rate of change in Gross non-performing loans to customers based on the difference between annual balances.

**Coverage of non-performing loans to customers and coverage of non-performing loans to customers:** the coverage ratio on Non-performing loans and Non-performing loans to customers is calculated as the ratio between the relative loss provisions and the corresponding gross exposures.

**Provisioning:** ratio between the cost of customer credit and the sum of loans to customers and the value of securities deriving from transfer/securitisation of non-performing loans.

**Texas Ratio:** ratio between Gross non-performing loans to customers and the sum, in the denominator, of the relative loss provisions and tangible shareholders' equity.

1 Book value of Group shareholders' equity inclusive of profit (loss) for the year, net of goodwill and other intangible assets.

2 EBA Risk Dashboard. <br> 3 Loans to banks include current accounts and sight deposits with banks and central banks classified as "Cash" under balance sheet assets.

BANCA MONTE DEI PASCHI DI SIENA

**REGULATORY MEASURES**

**MONTEPASCHI GROUP**

---

| | | | |
|:---|:---|:---|:---|
| **CAPITAL RATIOS (%)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Common Equity Tier 1 (CET1) ratio - phase in | 18.3 | 18.1 | 0.2 |
| Common Equity Tier 1 (CET1) ratio - fully loaded | 18.2 | 18.1 | 0.1 |
| Total Capital ratio - phase in | 20.6 | 21.6 | -1.0 |
| Total Capital ratio - fully loaded | 20.5 | 21.6 | -1.1 |
| MREL-TREA (total risk exposure amount) | 28.5 | 28.2 | 0.3 |
| MREL-LRE (leverage ratio exposure) | 11.2 | 10.8 | 0.4 |

---

---

| | | | |
|:---|:---|:---|:---|
| **FINANCIAL LEVERAGE INDEX (%)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Leverage ratio - transitional definition | 7.2 | 7.0 | 0.2 |
| Leverage ratio - fully phased | 7.2 | 6.9 | 0.3 |

---

---

| | | | |
|:---|:---|:---|:---|
| **LIQUIDITY RATIO (%)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| LCR | 166.5 | 163.3 | 3.2 |
| NSFR | 134.1 | 130.1 | 4.0 |
| Asset encumbrance ratio | 22.6 | 28.5 | -5.9 |
| Loan to deposit ratio | 82.3 | 84.7 | -2.4 |
| Spot counterbalancing capacity (bn of Eur) | 33.0 | 29.8 | 3.2 |

---

In determining the capital ratios, the "phase-in" (or "transitional") version represents the application of calculation rules according to the regulatory framework in force at the reporting date, while the "fully loaded" version incorporates in the calculation the rules as envisaged at full implementation.

**Common equity Tier 1 (CET1) ratio:** ratio between Common Equity Tier 1 and total Risk-Weighted Assets.

**Total Capital ratio:** ratio between Own Funds and total Risk-Weighted Assets.

**MREL-TREA:** calculated as the ratio of the sum of own funds and eligible liabilities to total Risk-Weighted Assets.

**MREL-LRE:** calculated as the ratio of the sum of own funds and eligible liabilities to the amount of total leverage exposures.

**Financial Leverage Ratio:** calculated as the ratio between Tier 1 Capital and total exposures, in accordance with the provisions of Article 429 of Regulation 575/2013.

**Liquidity Coverage Ratio (LCR):** short-term liquidity indicator corresponding to the ratio between the amount of High-Quality Liquid Assets and the total net cash outflows in the subsequent 30 calendar days.

**Net Stable Funding Ratio (NSFR):** structural 12-month liquidity indicator corresponding to the ratio between the available stable funding amount and the required stable funding amount.

**Asset encumbrance ratio:** ratio of the total carrying amount of encumbered assets and collateral received reused to total assets and total guarantees received available.

**Loan to deposit ratio:** ratio between Net Loans to Customers and Direct Funding (due to customers and debt securities issued).

**Counterbalancing capacity at spot:** sum of items that are certain and free from any commitment that the Group can use to meet its liquidity requirements, consisting of financial and commercial assets eligible for purposes of refinancing operations with the European Central Bank ("ECB") and assets deposited in the collateralised interbank market (MIC) and not used, to which the haircut, published on a daily basis by the ECB, is prudentially applied.

2024 ANNUAL REPORT - Consolidated Report on operations

Executive summary

A summary of the trend in key items of the main aggregates of the Group as at 31 December 2024 is provided below.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net Interest Income** amounted to **EUR 2,356 mln**, an increase
compared to 2023 (+2.8%, equal to EUR +63.7 mln). The growth was mainly driven by the higher contribution from relations with central
banks, hedging derivatives and the securities portfolio. In particular, in relations with central banks, a net benefit of EUR 143 mln
was recognised as at 31 December 2024, compared to the net cost of EUR 70 mln for 2023. This performance reflects, among other things,
the change in the net position vis-à-vis the ECB from an average debit balance of EUR 1.5 bn in 2023 to an average credit balance
of EUR 4.9 bn in 2024, thanks to the optimisation of the total cost of funding. This positive trend more than offset the higher cost of
bond issues – mainly caused by renewed recourse to the institutional market – and the higher borrowing rates recorded in transactions
with customers, especially in the first half of 2024.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Net Fee and Commission Income**, totalling **EUR 1,465 mln**, showed
an increase compared to the same period of the previous year (+10.8%). This trend is mainly attributable to the positive performance in
management/brokerage and advisory activities (+19.0%; EUR +113.7 mln) and, to a lesser extent, commercial banking activity (+4.1%; totalling
EUR +29.7 mln). In detail, in the first commissions area, the contribution of distribution and portfolio management increased (+30.1%;
EUR +109.7 mln) and insurance products (+8.5%; EUR +16.3 mln). In the commercial banking area, commission income on guarantees (EUR +28.9
mln) and other net fee and commission income (EUR +12.4 mln) were partly offset by reduced commissions on current accounts (EUR -16.4
mln) in relation to the Bank's reduction of service fees applied to customer's accounts and the ATM and credit card services
(EUR -10.1 mln). The result for the fourth quarter of the 2024 financial year showed an increase over the previous quarter (+4.9%) due
to growth in commercial banking (+8.1%).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Other income from banking business**, equal to EUR 207 mln, increased
by 21.6% compared to the corresponding period of the previous year. The growth is mainly attributable to the contribution of business
volumes deriving from the management of transactions with institutional customers and corporate customers, market making activities and
a favourable market context.

&nbsp;&nbsp;&nbsp;&nbsp;· **Other operating income/expenses** amounted
 to EUR +6 mln, compared to a contribution of EUR +13 mln recorded in 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· As a result of the trends described above, **Total revenues** amounted
to EUR 4,034 mln, an increase of 6.2% compared to the previous year.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Operating expenses** came to **EUR 1,869 mln**, an increase compared
to 31 December 2023, (+1.4%) due to the impact on Personnel expenses of the renewal of the National Collective Labour Agreement, partially
offset by the continued optimisation of Other administrative expenses (-3.8% compared to 2023). In particular, within the aggregate, **Personnel expenses**, which amounted to EUR 1,229 mln, are higher than those recorded in the corresponding period of the previous
year (+4.2%), as a consequence of the increased costs resulting from renewal of the banking industry National Collective Labour Agreement
in November 2023. **Other administrative expenses**, equal to EUR 469 mln, were down compared to 31 December 2023 (-3.8%), also due
to the implementation of a rigorous expenditure management process and the focus on cost optimisation actions. **Net value adjustments to property, plant and equipment and intangible assets** amounted to EUR 171 mln, down 2.5% compared to the previous year.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The **Cost of Customer Credit** stood at EUR 410 mln, down slightly compared
to the figure of EUR 440 mln recorded in the same period of the previous year. The **Provisioning Rate** came to 53 bps (57 bps as
at 31 December 2023).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The **Net Operating Income** as at 31 December 2024 stood at EUR 1,748
mln, a notable increase from the figure of EUR 1,511 mln as at 31 December 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· In addition to the changes in these economic aggregates, there were **non-operating components** amounting to EUR -304 mln as at 31 December 2024 (EUR +196 mln in the corresponding period of 2023). Non-operating components
include: **Net Provisions for Risks and Charges**, equal to EUR -68 mln (EUR +471 mln as at 31 December 2023); **Other gains/losses from equity investments** of EUR -1 mln (EUR -3 mln as at 31 December 2023); **Restructuring costs/One-off costs** amounted to EUR
-72 mln, (EUR -23 mln as at 31 December 2023); costs related to the **SRF (Single Resolution Fund), DGS (Deposit Guarantee Systems) and similar schemes**, amounting to EUR -78 mln (EUR -134 mln as at 31 December 2023); The **DTA fee** amounted to EUR -61 mln (EUR -63
mln as at 31 December 2023); **Net gains (losses) on property, plant and equipment and intangible assets measured at fair value** for
EUR -27 mln (EUR -53 mln as at 31 December 2023); **Gains/losses on disposal of investments** of EUR +4 mln (EUR +0.4 mln as at 31
December 2023).

BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;· As a result of these trends, combined with the positive impact of Income
taxes of for the year of EUR 506 mln (compared to a positive contribution of EUR 345 mln as at 31 December 2023), the Group recorded a
Profit for the period attributable to the Parent Company of EUR 1,951 mln, compared to a profit of EUR 2,052 mln in 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· As at 31 December 2024, the volume of Group Total Funding amounted to EUR
197.2 bn, an increase of EUR 4.3 bn compared to 30 September 2024, on both Direct Funding (EUR +2.7 bn, of which EUR +2.1 bn related
to current accounts) and Indirect Funding (EUR +1.6 bn). In particular, with regard to Direct Funding, growth was recorded in the technical
forms of current accounts (EUR +2.1 bn), bonds (EUR +0.8 bn) and other forms of direct funding (EUR +0.5 bn), while repurchase agreements
decreased (EUR -0.8 bn). Remaining substantially stable were term deposits (EUR +0.1 bn). Indirect Funding was up by EUR 1.6 bn compared
to 30 September 2024 for assets under management (EUR +0.5 bn) and assets under custody (EUR +1.1 bn). Both components benefited, in particular,
from a positive market effect.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Compared to 31 December 2023, Total Funding increased by EUR 9.7 bn, driven
mainly by Indirect Funding (EUR +6.4 bn) and, to a lesser extent, also by Direct Funding (EUR +3.3 bn). Within Funding, there was an increase
in indirect funding of EUR 6.4 bn, due to both the growth in assets under management (EUR +3.0 bn), mainly linked to a positive market
effect, and the increase in assets under custody (EUR +3.4 bn). The trend in Direct Funding is linked to an increase in current accounts
(EUR +1.7 bn), time deposits (EUR +1.2 bn), other forms of direct funding (EUR +0.3 bn) and finally repurchase agreements (EUR +0.2 bn).
Bonds, on the other hand, declined slightly (EUR -0.2 bn).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Loans to customers amounted to EUR 77.3 bn as at 31 December 2024, slightly
up from 30 September 2024 (EUR +0.7 bn), due to mortgages (EUR +0.3 bn) and other loans (EUR +0.8 bn), while current accounts (EUR -0.2
bn) and repurchase agreements (EUR -0.2 bn) declined slightly. The aggregate was up (EUR +0.5 bn) compared to 31 December 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· As at 31 December 2024, the coverage ratio non-performing loans stood at
48.5%, down from 30 September 2024, when it was 49.9%, following the deconsolidation of the transferred portfolios (characterised by above-average
coverage levels), which took place in the last quarter of the year. This effect concerns, in particular, the coverage percentage of Bad
loans, which fell from 68.4% to 66.5%; On the other hand, the coverage ratio of Unlikely to pay loans increased from 37.7% to 38.8% and
that of Non-performing past due loans rose from 22.8% to 26.3%.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The coverage ratio of non-performing loans to customers is higher than at
31 December 2023 (when it was 49.1%). At individual administrative status level, the changes refer to the coverage ratio for Non-performing
past due loans (which went from 68.1% to 66.5%). Meanwhile the coverage ratio rose for Bad loans (rising from 37.6% to 38.8%) and for
Non-performing past due loans (going from 21.7% to 26.3%).

In terms of capital ratios, the Common Equity Tier 1 Ratio stood at 18.3% as at 31 December 2024 (compared to 18.2% as at 30 September 2024 and 18.1% as at 31 December 2023) deducting from capital the dividends for the year determined assuming a pay out ratio of 75% of pre-tax profit, and the Total Capital Ratio stood at 20.6% (compared to 21.4% as at 30 September 2024 and 21.6% as at 31 December 2023).

2024 ANNUAL REPORT - Consolidated Report on operations

Group overview

The Montepaschi Group is the banking hub led by Banca Monte dei Paschi di Siena S.p.a., listed on the Electronic Stock Exchange (Mercato Telematico Azionario) organised and managed by Borsa Italiana S.p.A., with registered office in Piazza Salimbeni 3, Siena, whose activities are focused on traditional retail & commercial banking services carried out mainly in Italy.

The Group is also active in business areas such as factoring, corporate finance and investment banking. The insurance-pension sector is covered by a strategic partnership with AXA while asset management activities are based on the offer of investment products of independent third parties.

The Group combines traditional services offered through the network of branches and specialised centres with an innovative self-service and digital services system enhanced by the skills of the Widiba financial advisor network.

Foreign banking operations are focused on supporting the internationalisation processes of corporate clients in all major foreign financial markets.

---

| | |
|:---|:---|
| **COMPANY** | **ACTIVITIES** |
| ![](tm2518026d1_ex99-4img008.jpg) | Banca Monte dei Paschi di Siena operates in the different segments of banking and finance, from traditional banking including leasing and factoring products, to special purpose loans, assets under management, bancassurance and investment banking. The Bank performs functions of direction, coordination and control over the Group's companies, as part of the more general guidelines set out by the Board of Directors in compliance with the instructions provided by the Bank of Italy in the interest of the Banking Group's stability. |
| ![](tm2518026d1_ex99-4img009.jpg) | Monte Paschi Fiduciaria offers its services to private parties and companies that wish to leverage the utmost confidentiality in relation to their interests and business, through the instrument of the fiduciary mandate. In addition, Monte Paschi Fiduciaria can also take on the role of Trust Company for the administration of assets as trustee or guardian (or protector). |
| ![](tm2518026d1_ex99-4img010.jpg) | Widiba (WIse-DIalog-BAnking) is the Group's bank that integrates a self-service offer with the competencies of MPS's financial advisor network. |
| ![](tm2518026d1_ex99-4img011.jpg) | Monte Paschi Banque SA is the Group's bank that supports commercial trade and investments by Italian companies abroad. |

---

In addition to the above, there are also companies operating in the agricultural sector, both wine and food, with a real estate component destined for agritourism and accommodation activities (MPS Tenimenti Poggio Bonelli and Chigi Saracini Società Agricola S.p.A.) and food custodian and storage services for third parties (Magazzini Generali).

Intragroup transactions primarily regard the financial support from the Parent Company to other companies, for the most part in the form of deposits and outsourced services relative to the auxiliary activities provided by the Parent Company (administrative services and property administration).

The description of the main transactions carried out by the Parent Company with its subsidiaries and associates is provided in Part H of the Notes to the Separate Financial Statements of the Parent Company.

BANCA MONTE DEI PASCHI DI SIENA

Shareholders

As at 31 December 2024, the Parent Company Banca Monte dei Paschi di Siena S.p.A. share capital amounted to EUR 7,453,450,788.44, broken down into 1,259,689,706 ordinary shares.

According to the communications received pursuant to the applicable legislation and based on other information available, as well as based on information on Consob's institutional website, the entities that, as at 31 December 2024, directly and/or indirectly hold ordinary shares representing a shareholding exceeding 3% of the share capital of the Issuer and which do not fall under the cases of exemption set forth in Article 119-bis of the Issuers' Regulations are as follows:

**BMPS main shareholders as at 31 December 2024**

---

| | |
|:---|:---|
| **Shareholder** | **% of outstanding ordinary shares** |
| Ministry of Economy and Finance | 11.731% |
| Francesco Gaetano Caltagirone Groupè\* | 5.026% |
| Banco BPM Spa | 5.003% |
| Anima Holding Spa | 3.992% |
| Delfin Sàrl | 3.509% |

---

*\* Holdings held through Ausonia S.r.l., Esperia 15 S.r.l., MK 87 S.r.l., Istituto Finanziario 2012 S.p.A., Gamma S.r.l., Azufin S.p.A., VM 2006 S.r.l., Mantegna 87 S.r.l., Calt 2004 S.r.l., Finanziaria Italia 2005 S.p.A.*

The main changes during 2024, as well as immediately after the end of the financial year, are shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· through the completion of two *"Accelerated Book Building* -
ABB" transactions reserved to Italian and foreign institutional investors, announced respectively on 26 March 2024 and 13 November
2024, the Ministry of Economy and Finance (MEF) reduced its stake from 39.232% to 26.732% and from 26.732% to 11.731%;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Following the second ABB transaction in November, Delfin Sarl, Banco BPM,
Anima Holding S.p.A. (already holder of a stake of approximately 1%) and the Francesco Gaetano Caltagirone Group hold respectively the
following stakes in BMPS: 3.509%, 5.003%, 3.992% and 3.645%;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· on 2 December 2024, the Francesco Gaetano Caltagirone Group increased its
stake in the Bank's share capital from 3.645% to 5.026%;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· subsequently, on 6 January 2025, Delfin Sàrl announced that it had
increased its stake in the Bank's share capital from 3.509% to 9.780%.

2024 ANNUAL REPORT - Consolidated Report on operations

Information on the BMPS share

The BMPS share closed the fourth quarter of 2024 at EUR 6.81, with period growth of +31.3%, while the FTSE All Share Banks index showed an increase of +3.6% and the FTSE MIB rose by +0.2%. The average daily trading volume of MPS shares was around 15.2 mln over the quarter

**SHARE PRICE SUMMARY STATISTICS (from 30/09/2024 to 31/12/2024)**

Average 5.72 <br> Minimum 4.79 <br> Maximum 6.81

Rating

The ratings assigned by the rating agencies are provided below:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Rating Agencies** | **Short-term debt** | **Outlook** | **Long-term debt** | **Outlook** | **Latest update** |
| Moody's | (P)NP |  | Ba2\* | Stable | 15/05/24 |
| Fitch | B |  | BB+ | Positive | 25/10/24 |
| Mornigstar DBRS | R-3 | positive | BB (high) | Positive | 15/04/24 |

---

*\* Long-Term Senior Unsecured Debt Rating*

&nbsp;&nbsp;&nbsp;&nbsp;· On **25 October 2024, Fitch Ratings (Fitch)** upgraded the Bank's
ratings by 1 notch, among others raising the Long-Term Issuer Default Rating to "BB+" from "B", and the standalone
Viability Rating to "bb+" from "bb". The outlook was improved to positive from stable.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· On **15 May 2024**, the rating agency **Moody's Investors Service** (**Moody's**) upgraded the Bank's ratings by 1 notch, bringing the standalone Baseline Credit Assessment rating to "ba2"
from "ba3", the long-term deposit rating to "Baa3" from "Ba1", and the long-term senior unsecured
debt to "Ba2" from "Ba3". The outlook on the long-term ratings of deposits and unsecured senior debt was raised
to stable. On **31 January 2025**, the latter, following the announcement of 24 January 2025 to launch a voluntary public exchange
offer on Mediobanca's shares, was upgraded to positive.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· On **15 April 2024**, the rating agency **DBRS Ratings GmbH** ()"**Morningstar DBRS**") upgraded the Bank's ratings by 2 notches, bringing the standalone Intrinsic Assessment rating, the long-term issuer
rating and the long-term senior debt rating to "BB (high)" from "BB (low)", and the long-term deposit rating to
 "BBB (low)" from "BB". The subordinated debt rating upgraded by 3 notches to "BB (low)" from "B"
(low). The outlook was improved to positive from stable.

BANCA MONTE DEI PASCHI DI SIENA

Organisational structure

Through its Head Office, Banca Monte dei Paschi di Siena performs functions of direction, coordination and control over the Group's companies, as part of the more general guidelines set out by the Board of Directors and in the interest of the Group's stability.

Organisational chart of the Parent Company's Head Office as at 31 December 2024

![](tm2518026d1_ex99-4img012.jpg)

The year 2024 was characterised by the completion of the organisational path envisaged in the 2022-2026 business plan on General Management, Territorial Offices and the Commercial Network, as well as some minor organisational interventions.

In January 2024, 50 branches were closed, with the existing customers and relationships being transferred to the same number of merging branches.

In February 2024, a number of steps were taken to optimise the General Management, and in particular, the establishment of the Deputy General Commercial Management to which the Chief Commercial Officer Retail and the Chief Commercial Officer Corporate and Private report.

2024 ANNUAL REPORT - Consolidated Report on operations

In April 2024, some optimisation work was carried out on product specialists and small business customers, in particular:

&nbsp;&nbsp;&nbsp;&nbsp;· centralisation of agrifood specialists and wealth management specialists
in the "Enterprise Products, Facilitated Finance and GCO" and "Private" functions respectively, reporting to the
Chief Commercial Officer Corporate and Private;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· establishment of 132 specialised centres called "small business districts",
reporting directly to the Territorial Corporate and Private Departments, dedicated to the management of small business customers previously
handled in the branches, and at the same time bringing POE (small business operators) customers back to the branch value line.

In June 2024, the AML-CFT function previously allocated to the Chief Risk Officer was transferred to report directly to the Chief Executive Officer.

In July 2024, the transfer of responsibilities related to the Banking Recovery and Resolution Directive (BRRD) from the Transparency Programme staff to the Capital Planning, BRRD, Studies and Research function within the Chief Financial Officer's department took place.

With respect to Network processes, actions continued to improve the quality of work, free up more time that could be dedicated to sales activities and increase customer service quality, while reducing service response/provision times by streamlining "administrative" activities and document management costs, with a significant effort toward increasing digitalisation of processes.

BANCA MONTE DEI PASCHI DI SIENA

Governance & control systems

Corporate governance

The Parent Company's corporate governance takes into account the objective of creating a system of coordinated rules and units capable of guaranteeing transparent and accurate management of relations with shareholders as well as between them and the directors and top management.

The Parent Company's bodies work so as to pursue the overall proper functioning of the business.

By means of a fair and transparent corporate governance system and a shared Code of Ethics, the Parent Company has set rules to ensure that the legitimate expectations of all stakeholders, particularly with regard to environmental, social and governance sustainability profiles, are integrated into the company's objectives and strategies.

The overall corporate governance system refers to the current code, banking and financial supervisory regulations, the Corporate Governance Code to ensure a clear separation of roles and responsibilities, the appropriate balancing of powers, balanced composition of corporate bodies, effective controls, monitoring of business risks, adequacy of information flows and corporate social responsibility.

The Bank adopts the traditional administration and control model characterised by the presence of a Board of Directors and a Board of Statutory Auditors, appointed by the Shareholders' Meeting. In addition, there are: In addition, the CEO, who is also the General Manager, and five Board committees, specifically, the Risk and Sustainability Committee, the Appointments Committee, the Remuneration Committee and the Related-Party Transactions Committee and the IT and Digitalisation Committee.

In compliance with the provisions of Italian Legislative Decree no. 231/2001, the Parent Company has also established a 231 Supervisory Body entrusted with the task of supervising the functioning and observance of the Model 231 (namely a compliance model under Law 231) as well as managing its updating.

The Parent Company decided to assign the role of the 231 Supervisory Body to an ad hoc collective body separate from the Board of Statutory Auditors, which is "mixed" in nature and consists of three members, including two outside professionals and one board member who meets the requirements of independence.

The Parent Company's internal control system is meant to ensure that risks are identified, measured, managed and monitored in such a way so as to enable sound, proper business management in line with pre-established objectives.

Further information on governance, including with regard to the concept of diversity in corporate bodies, is available in the "Report on Corporate Governance and Ownership Structure", available on the Parent Company's website (*<u>https://gruppomps.it/en/corporate-governance/corporate-governance-report.html</u>*).

Risk governance

Risk governance strategies are defined in line with the Group Business Model, medium-term 2024-2028 Business Plan objectives and external regulatory and legal requirements.

Policies relating to the assumption, management, coverage, monitoring and control of risks are defined by the Board of Directors of the Parent Company. Specifically, the Board of Directors periodically defines and approves strategic risk management guidelines and quantitatively expresses the Group's overall risk appetite.

In fact, the Parent Company's Board of Directors defines the overall Risk Appetite Framework (RAF) for the Group and approves the "Group Risk Appetite Statement" (RAS) at least once per year.

The RAF Governance process is centralised within the Parent Company, which outlines its relevant perimeter at Group level and defines its structure in Group companies, according to the risks assumed, size and operational complexity of each legal entity. The RAF defines the roles of corporate bodies and functions involved in defining the "risk appetite" and the procedures to be implemented if it becomes necessary to restore the level of risk to the objective or within the pre-established limits.

The RAS represents an essential element in defining the Group's risk strategy. The RAS is the formal document that contains the explicit declaration of the risk/return objectives/limits (overall, by type and broken down by individual companies/business units) that the Bank intends to assume to pursue its strategies. Therefore, with the RAS, the risk objectives/restrictions are identified and the indicators are broken down by Business Unit/Legal Entity (known as "cascading down" of the Risk Appetite). The objective is to increase the Group's Risk Culture and fully instil accountability in all relevant business units with regard to achievement of the risk appetite objectives, as required by the regulations and recommended by best practices.

2024 ANNUAL REPORT - Consolidated Report on operations

The Risk Appetite Process is structured so as to ensure consistency with the ICAAP and ILAAP as well as with Planning and Budget and Recovery processes, in terms of governance, roles, responsibilities, metrics, stress testing methods and monitoring of key risk indicators.

In compliance with the guidelines set forth by the Basel Committee and best practices, prudential supervisory provisions for banks require credit institutions to carry out adequate stress testing exercises.

The Group regularly conducts stress tests on all risk factors. Stress tests are used to assess the Group's capacity to absorb large potential losses in adverse yet plausible market situations, so as to identify the measures necessary to reduce the risk profile and preserve assets.

The Group's methodological approach to stress-testing is based upon the identification of the main risk factors, both Pillar 1 and Pillar 2, with the objective of selecting events or combinations of events (scenarios) which reveal specific vulnerabilities at Group level.

The results from the stress tests are submitted to the Top Management and Board of Directors. They are formally reviewed by the Board of Directors as part of the approval of the Annual ICAAP/ILAAP Report, with a view to self-assessing the Group's current and prospective capital adequacy and liquidity and during the year according to a pre-defined internal Stress Test Programme approved by the Board.

Group risk governance is provided centrally by the Parent Company's Board of Directors, which also supervises and is responsible for the updating and issue of internal policies and the main internal regulations in order to promote and guarantee a continuously greater and more widespread risk culture at all levels of the organisation. Awareness of risks and the correct knowledge and application of the internal processes and models governing those risks - first and foremost for those validated for regulatory purposes - are fundamental requirements for effective, sound and prudent business management.

The Risk Control Function is specifically assigned the task of monitoring the Key Risk Indicators (KRIs), drawing up a periodic report for the Board of Directors and implementing the escalation/authorisation processes in the event that thresholds are exceeded.

The incorporation of macro risk and risk-adjusted performance indicators, consistent with the RAF, within staff remuneration and incentive policies represents an additional tool to promote awareness of the behaviours of all resources and the cultivation of a healthy risk culture.

In reference to the Group's Risk Culture, during 2024 initiatives were pursued regarding corporate bodies (board induction cycles on specific issues) as well as general training initiatives (online tools) for all personnel in the areas of risk management and mitigation. In collaboration with the Chief Human Capital Officer Department, the Chief Risk Officer Department continued, following on from the previous year, the project aimed at all Group personnel on the topic of "Risk Culture", through a programme of online classes and eLearning tools in which risk-related issues were presented both in terms of the frameworks adopted by the Bank and in relation to situations reflecting the Bank's typical operations. Particular attention was paid to new staff in the CRO Department through the provision of a training course structured in several sessions, both in-person and online. The interventions and their contents were then made available on the e-learning platform to enable wider use of the material.

Furthermore, during 2024 internal initiatives proceeded to ensure continued compliance with national and international regulatory provisions.

The ICAAP and ILAAP packages were sent to the Regulator in accordance with the ECB's regulatory prescriptions regarding the "Technical implementation of the EBA Guidelines on ICAAP/ILAAP information for SREP Purposes" (Supervisory Review and Evaluation Process), as well as in line with the "ECB Guide to the Internal Capital and Liquidity Adequacy Assessment Process (ICAAP/ILAAP)", issued in November 2018.

In 2024, the Montepaschi Group unveiled its 2024-2028 Business Plan aimed at creating a future-ready bank capable of successfully meeting the evolving needs of customers through a process of corporate and technological innovation supported by a comprehensive investment plan, making the most of the Bank's talented resources, further enhancing the sustainability of the business, strengthening the balance sheet and focusing on distribution and value creation for all BMPS stakeholders.

The Montepaschi Group is one of the Italian banks subject to the ECB's Single Supervisory Mechanism.

BANCA MONTE DEI PASCHI DI SIENA

Compliance systems

Within the broader internal control system, the Compliance Function of the Parent Company autonomously and independently governs non-compliance risk at Group level, periodically reporting to Top Management and Supervisory Authorities on the overall status of compliance of systems, processes and operations.

During 2024, with a view to constantly improving efficiency and keeping up to date with the changing external regulatory framework, the organisational structure of the function was changed. In particular, the former structure that dealt with ICT and Outsourcing issues was reallocated within the DPO (Data Protection Officer) and ICT Advisory staff, while the Control structure on the same issues was upgraded, placing it under the "Compliance, Methodologies and Controls" function. This organisational reorganisation responds to the provisions of the Compliance Plan 2024, with reference to the 40th update of Circular 285/2013. The initiative also responded to the need to strengthen ICT and outsourcing oversight in relation to the upcoming effectiveness (January 2025) of the new EU Digital Operational Resilience Act (DORA) rules for the Financial Sector.

In addition, design and regulatory compliance activities were followed up, with particular reference to:

&nbsp;&nbsp;&nbsp;&nbsp;· project activities aimed at adapting to the provisions of the DORA (Digital
Operational Resilience Act) Regulation on the resilience of ICT systems, from the point of view of achieving regulatory compliance, with
the revision of responsibilities and the updating of relevant company documents;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Follow-up of activities related to the implementation of the ESG Programme
with implications for investment services, corporate governance, labour law and prudential supervision, in order to oversee its regulatory
compliance;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· definition of an Anti-Financial Crime framework for the MPS Group, with
the aim of identifying measures, strategies, policies and procedures to prevent, deter, detect, investigate and combat all forms of financial
crime.

Lastly, additional activities were also carried out during the year, particularly in matters related to:

&nbsp;&nbsp;&nbsp;&nbsp;· improvement of the effectiveness of Compliance activities, with the development
of digitalisation solutions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the implementation of further continuous monitoring tools, including the
development of Robotic Process Automation (RPA) solutions for repetitive tasks and the testing of application solutions of Generative
Artificial Intelligence (AI) tools.

2024 ANNUAL REPORT - Consolidated Report on operations

Distribution channels

The Group operates with a view to developing and rationalising its distribution network, by combining regional coverage with the strengthening of innovative channels.

Traditional domestic branches are flanked by specialised sales, which handle relational follow-up and the specific management of particular customer segments (e.g. Small and Medium Companies, Private, Institutions, etc.) and by 567 Financial Advisors (566 as at 31 December 2023) who carry out their activities by having offices open to the public distributed throughout the country.

**MONTEPASCHI GROUP - DISTRIBUTION NETWORK ITALY AS AT 31/12/2024**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Client Centres (\*\*)** | **Client Centres (\*\*)** | **Client Centres (\*\*)** | **Client Centres (\*\*)** | **Client Centres (\*\*)** | **Client Centres (\*\*)** | | |
| <br>**Area** | **Domestic**<br>**branches**<br>**(\*)(\*\*)** | <br>**Inc.** | <br>**Imprese** | **Family**<br>**Office** | <br>**Private** | <br>**Tot.** | <br>**Inc.** | **Financial**<br>**Advisory**<br>**Offices** | <br>**Inc.** |
| Emilia Romagna | 83 | 6.3% | 5 |  | 6 | 11 | 8.7% | 6 | 5.7% |
| Friuli Venezia Giulia | 32 | 2.4% | 3 |  | 1 | 4 | 3.1% | 3 | 290.0% |
| Liguria | 17 | 1.3% | 1 |  | 1 | 2 | 1.6% | 4 | 3.8% |
| Lombardia | 182 | 13.9% | 10 | 1 | 7 | 18 | 14.2% | 10 | 9.5% |
| Piemonte | 31 | 2.4% | 2 |  | 1 | 3 | 2.4% | 2 | 1.9% |
| Trentino Alto Adige | 2 | 0.2% |  |  |  |  |  | 1 | 1.0% |
| Valle d'Aosta | 2 | 0.2% |  |  |  |  |  |  |  |
| Veneto | 172 | 13.1% | 13 | 1 | 6 | 20 | 15.7% | 5 | 4.8% |
| **Northern Italy** | **521** | **39.7%** | **34** | **2** | **22** | **58** | **45.7%** | **31** | **29.5%** |
| Abruzzo | 27 | 2.1% | 2 |  | 1 | 3 | 2.4% | 2 | 1.9% |
| Lazio | 109 | 8.3% | 5 | 2 | 3 | 10 | 7.9% | 11 | 10.5% |
| Marche | 34 | 2.6% | 4 |  | 1 | 5 | 3.9% | 3 | 2.9% |
| Molise | 3 | 0.2% |  |  |  | 0 |  | 1 | 1.0% |
| Toscana | 287 | 21.9% | 11 | 1 | 8 | 20 | 15.7% | 8 | 7.6% |
| Umbria | 30 | 2.3% | 2 |  | 2 | 4 | 3.1% | 4 | 3.8% |
| **Central Italy** | **490** | **37.3%** | **24** | **3** | **15** | **42** | **33.1%** | **29** | **27.6%** |
| Basilicata | 10 | 0.8% |  |  |  |  |  | 2 | 1.9% |
| Calabria | 37 | 2.8% | 1 |  |  | 1 | 0.8% | 3 | 2.9% |
| Campania | 76 | 5.8% | 4 | 1 | 3 | 8 | 6.3% | 16 | 15.2% |
| Puglia | 78 | 5.9% | 6 |  | 4 | 10 | 7.9% | 15 | 14.3% |
| Sardegna | 10 | 0.8% | 1 |  | 1 | 2 | 1.6% | 2 | 1.9% |
| Sicilia | 90 | 6.9% | 3 |  | 3 | 6 | 4.7% | 7 | 6.7% |
| **Southern Italy and island** | **301** | **22.9%** | **15** | **1** | **11** | **27** | **21.3%** | **45** | **42.9%** |
| **Total** | **1312** | **100.0%** | **73** | **6** | **48** | **127** | **100.0%** | **105** | **100.0%** |

---

(\*) Reports to the Bank of Italy Supervisory Authority relating to Banca MPS

(\*\*) of which no. 7 reports to the Bank of Italy Supervisory Authority as centre and branch did not coincide.

BANCA MONTE DEI PASCHI DI SIENA

At the end of 2024, the Italian Network had 1,312 branches registered with the Supervisory Authority, with a reduction of 50 branches compared to 31 December 2023, as a result of the closure of these aforementioned branches in January 2024.

At the end of January 2025, there were 1,258 domestic branches<sup>4</sup>, following the closure of 53 branches and the issuance of a licence relating to a specialised centre no longer consubstantial with a branch.

The Parent Company decided to carry out this closure in January, in order to minimize operational potential risks arising from the migration of data in the same date of the accounting closure of the year, and not to create potential inconvenience to customers during year-end holidays.

These closures were made in line with commitments related to State Aid received in 2017.

The Group also makes use of **127 Specialised Centres** (also 127 as at 31 December 2023), of which 73 are dedicated to Businesses, 48 to Private customers and 6 to the Family Office.

The Group's **ATM network** comprises a total of **2,476 machines** (-66 units compared to 31 December 2023), of which 1,993 coincide with traditional branches (1,591 of these are located on premises with an independent entrance also accessible outside of branch hours) and 483 are installed in public places with high operational potential, of which 77 in institutions/companies. There are 1,321 ATM machines with "cash in" functions (of which 917 located in the Self Area, 391 in branches, 1 in institutions/companies and 12 installed in public places).

The Group has an international presence with a Foreign Network geographically distributed in major financial and economic markets and in several emerging countries with high growth rate, with significant trading relations with Italy, currently structured as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· **7 representative offices** in target areas of Europe, North Africa,
India and China;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **1 foreign-registered bank,** namely Monte Paschi Banque S.A., operating
in France (in the process of being divested).

In addition to its physical presence across the country, the Parent Company offers banking services to Customers through electronic channels with internet banking products for Retail and Corporate customers. As at 31 December 2024, there were 1,563,215 active users (+91,214 compared to 31 December 2023), of which 1,434,631related to retail customers and 128,584 to corporate customers.

4 In terms of reports to the Bank of Italy's Supervisory Institute relating to Banca MPS.

2024 ANNUAL REPORT - Consolidated Report on operations

Customer base

As at 31 December 2024, the Group<sup>5</sup> had around 3.6 mln customers, substantially stable compared the previous year. Customers as at 31 December 2024 are broken down as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· About EUR 3.3 mln (substantially stable compared to 31 December 2023) is
managed by the Sales and Distribution Network of the Parent Company Banca Monte dei Paschi di Siena;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· About 0.3 mln (essentially stable compared to 31 December 2023) are managed
exclusively by Widiba, the Group's online bank.

At the end of 2024, the Retention and Acquisition indicators<sup>6</sup> stood at 94.9% and 4.6% respectively, showing an improvement compared to 2023 (when they were 94.3% and 4.0%, respectively).

![](tm2518026d1_ex99-4img013.jpg)

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| | |
|:---|:---|
| 5 | Intended as the sum of the total MPS and Widiba Network, excluding the customers of the other Group companies. |

---

6 The indicators refer only to the Parent Company and have been cleared of the effect of the migration of customers to Widiba.

BANCA MONTE DEI PASCHI DI SIENA

Reference context

The international scenario

In 2024, economic activity continued to expand, albeit with differing trends between areas. In the US, activity remained robust, while it showed fragility in the euro area, where persistent weakness in manufacturing was compounded by recent signs of a slowdown in services. In China, domestic demand was still affected by the crisis in the real estate market. The recomposition of headline inflation continued due to falling energy prices, although oil and natural gas prices have risen slightly since last autumn. The main monetary authorities have initiated monetary easing, albeit at differing paces. The escalation of international tensions has affected the dynamics of world trade. The global economy remains affected by geopolitics (i.e. Ukraine and the Middle East) and uncertainty over the economic policies to be undertaken by the new US administration.

The **US** showed a consistent expansion, with GDP growing at around 3% QoQ annualised in the middle quarters of the year before slowing down at the end of the year (+2.3% QoQ after annualising the preliminary figure in the fourth quarter). The disinflationary process that had gained momentum in the middle months of the year has weakened recently: the general price index approached the 3% trend at year-end 2024; core inflation<sup>7</sup> stabilised slightly above 3% YoY during the year. The labour market, despite some tensions, showed solidity (unemployment has remained just above 4% since spring; new jobs rose at the end of the year) allowing a cautious approach to the Fed in the rate cut process started in September. The newly elected President Trump announced on the campaign trail a number of policy measures such as: the extension of tariffs on foreign imports (first and foremost for China, Canada and Mexico), control of irregular immigration, deregulation of corporations, reform of federal government agencies, tax reduction measures, exit from climate policies; the President also advanced aims of territorial control (i.e. Greenland, Panama, Canada). The translation, albeit only partial, of these announcements into actual measures may have an impact on US and global growth and inflation dynamics.

In the **euro area**, despite a GDP growth that surprised on the upside in the third quarter (+0.4% QoQ), the business cycle remained weak, registering a zero expansion on a cyclical basis in the fourth quarter (preliminary figure). Activity was kept up by the buoyancy of services, but the manufacturing sector confirmed its fragilities; The slowdown in global trade and, more recently, uncertainties related to US protectionist announcements have conditioned the foreign demand component especially of those countries most exposed to trade with the US. The German economy contracted for the second year in a row. The crisis in the political governance of some major countries in the area (Germany, France) has not yet been overcome. Inflation, which has fallen since the beginning of the year to 1.7% YoY in September, has recently shown signs of a recovery already anticipated by the ECB, which has therefore not changed its monetary easing stance. In December, the general price index still rose to 2.4% YoY; the underlying component remained stable (at 2.7% YoY). The labour market showed resilience with unemployment barely moving from around 6.3% since the summer.

As part of the new European economic governance approved last April, the EU Commission examined the medium-term (four- to seven-year) structural budget plans drawn up by individual countries<sup>8</sup>, after checking their consistency with the reference trajectories sent in June. All the submitted plans (except those of the Netherlands and Hungary) received a positive assessment. The Commission also examined the national budgetary planning documents for 2025 of the member countries, assessing their alignment with the country-specific recommendations sent to each country, as well as their consistency with the public finance targets set out in their structural plans: Only eight countries, including Italy, were in line with the Council's recommendations. The implementation of individual states' Recovery and Resilience Plans continued: since 10 October, EUR 39 bn has been disbursed in funding related to individual countries' NRRPs, bringing the total disbursements to EUR 306 bn. In September, Mario Draghi presented the report on the competitiveness of the EU economy outlining the guidelines for a common EU economic policy strategy.

Among the **emerging countries**, China hit the government's 2024 GDP growth target of approx. 5%, but its annual expansion was among the lowest in decades. In the last quarter, GDP growth exceeded expectations (+5.4% p.a.), benefiting from government and Chinese Central Bank policy measures adopted since September, which consolidated the financial framework (debt, stock market, bank balance sheets). Weak domestic demand, influenced by the housing crisis, helped to keep inflation just above zero. Foreign demand has balanced the overcapacity not absorbed domestically, although, the announcements of new duties on products exported to the US are gradually pushing China to reposition exports to other (primarily Asian) markets. In Russia, in the face of sustained growth from the war economy, macroeconomic imbalances have widened. In India, GDP, while slowing down, is expected to expand at an annual rate of more than 6%. Pressures increased with those emerging currencies that are more exposed to the US.

7 Index adjusted for the price components of food and energy goods (typically more volatile).

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| | |
|:---|:---|
| 8 | According to the new European fiscal governance, the reference trajectory is the multi-year net expenditure path sent by the Commission to countries whose debt or deficit exceeds the thresholds set by the Maastricht Treaty (60% and 3% of GDP, respectively). Such a path should be able to put the debt ratio on a plausibly downward trajectory or keep it at prudent levels; should also bring or maintain the deficit below 3% of GDP in the medium term. |

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2024 ANNUAL REPORT - Consolidated Report on operations

Italy: economic context

In **Italy**, growth gradually slowed down during 2024. Manufacturing suffered from falling external demand affected by Germany's difficulties, while exports slowed down on fears of tariffs. Investment in construction recorded growth in the public component stimulated by the NRRP, which offset the decline in the residential component. The summer rebound in consumption, boosted by low inflation, has resettled. The number of employed people increased, helping to contain unemployment. Annual inflation was below the European average, although it increased slightly at the end of the year (to 1.3% YoY in December); core inflation remained moderate and relatively higher in services. Signs of recovery in the real estate market came in the second half of the year.

The Government's action in 2024 included a series of measures in the area of taxation, through the changes to the Super-bonus and building bonus and the revision of the IRPEF and IRAP regimes (made structural by the Budget Law 2025), and in the area of business crisis and insolvency, with the supplementary and corrective provisions made to the Code and in the area of two-year composition with creditors. Some of the measures adopted have had an impact on the banking system, in particular with regard to changes, including retroactive ones, concerning the time profiles of tax credits deriving from the so-called 'building bonuses' (Superbonus, Bonus Barriere, Sismabonus, etc.), in particular by lengthening (up to 10 years) the time for recovery.

Of note is the introduction of the new "Transition 5.0 Plan", a programme that aims to support investments in digitalisation and the green transition of companies through an innovative tax credit scheme. Also active, from 1 October 2024, is the "New Sabatini Capitalisation" which aims to support the capitalisation processes of micro, small and medium-sized enterprises, established in corporate form. Among the measures contained in the Budget Law 2025, approved in December, is the provision on the postponement of deductions of write-downs and losses on receivables and goodwill related to DTAs (deferred tax assets), for the two-year period 2025-2026.

&nbsp;&nbsp;&nbsp;&nbsp;· Among the European directives transposed during the
year, the following should be noted: (i) the approval of Legislative Decree No. 116 of 30 July 2024 , aimed at transposing the (EU) "Secondary
Market Directive" or "SMD"), concerning managers and purchasers of non performing loans, which aims to increase the
level of harmonisation within the single market; (ii) the approval, within the framework of the regulation of corporate sustainability
reporting, of Legislative Decree No. 125, transposing the (EU) *"Corporate Sustainability Reporting Directive"* (CSRD).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· On 24 May 2024, the Council of Ministers approved the European Delegated
Act 2024, currently under discussion in Parliament, which provides for the transposition of various Directives and Regulations, some
of which are of interest to the banking system (e.g. on credit agreements and financial services contracts concluded remotely, green and
eco-sustainable bonds energy efficiency, administrative cooperation in the field of taxation, markets in financial instruments, delegation
agreements, liquidity risk management, reporting for supervisory purposes, provision of custodian and depositary services, lending by
alternative investment funds, minimum own funds requirement and eligible liabilities).

Concerning the NRRP, on 18 November 2024 the European Council gave the green light to a request by the government to amend the Plan. The request concerned the adjustment of 21 measures; in some cases, the deadlines for targets and objectives were changed. As part of the Recovery and Resilience Facility, Italy also collected the sixth instalment in December, amounting to EUR 8.7 bn (of which EUR 1.8 bn in the form of grants), bringing the total disbursements received to date to EUR 122 bn. In October 2024, the Ministry for Business and Made inItaly opened a new window for the submission of **applications for subsidies** for the development of greater energy efficiency and to make production processes more sustainable.

BANCA MONTE DEI PASCHI DI SIENA

Financial markets and monetary policy

After a positive start to the year, the stock markets showed high volatility during 2024, reacting to escalating geopolitical tensions. After the summer slumps, the markets started to rise again, helped by monetary easing and the improvement of some economic indicators that dispelled recession fears. In the last quarter of the year, Trump's election victory further supported US stock markets and, at the same time, conditioned the performance of those of countries exposed to the potential introduction of new tariffs by the US. In Europe, uncertainty over the political governance of some accession countries (e.g. France, Germany) further increased volatility. From the beginning of the year until 31 December 2024, the FTSE Mib gained over 12%; The rise of the Euro Stoxx was more limited (approx. +8%). The rise in the S&P500 was striking (over +23%), while the Nikkei also did well (over +19%). China's Shanghai Shenzhen CSI 300, which had been suffering for most of 2024, reversed its trend since the end of September in the wake of the adoption/announcement of new domestic growth stimulus measures (close to +15% annual increase).

The upward phase of yields, which had reversed in the summer on inflation targeting expectations and monetary rate cuts, substantially resumed in the last quarter of 2024. The possible slowdown in the return of US inflation, conditioned by the economic policies announced by Trump and the resilience of the US economy, supported the treasury yield back to annual highs in December; This bullish movement partially extended to its German counterpart, whose dynamics were more correlated to Germany's difficulties. Political/fiscal uncertainties weighed on the rise of the French 10-year bond yield. As at 31 December 2024, the US 10-year rate stood at 4.57% and the German rate at 2.37% (-69 basis points and +34 basis points, respectively, compared to 2023 year-end levels). The Italian 10-year rate from the second half of 2024 showed a down-ward trend and, although it rose in December, it closed the year at 3.52% (-18 basis points from its year-end 2023 values). The BTP-Bund spread, despite some volatility, narrowed during the year, settling at around 116 basis points at 31 December 2024 (-52 basis points compared to year-end 2023); the spread benefited from the ratings of Fitch and DBRS, which in October, while confirming Italy's BBB rating, improved its outlook from stable to positive.

After the summer, the Federal Reserve began the phase of monetary easing: in September reduced interest rates (-50 basis points) for the first time after four years of stability; It subsequently made further reductions of 25 basis points at both its November and December meetings, thus lowering the cost of money in the range *of* 4.25-4.50%. However, due to the upside risks on domestic inflation and the robustness of the US economy and labour market, the rate cut decision was not unanimously supported by the FOMC members at the year-end meeting<sup>9</sup>. At its first meeting in 2025, the Fed confirmed its cautious stance by deciding to leave rates unchanged. The markets, for the most part, have been affected by an extension of the current pause in the monetary rate reduction process to the first half of 2025.

The ECB, having made significant changes to the operational framework for the implementation of monetary policy in March<sup>10</sup>, started a cycle of rate cuts in mid-year, making cuts of 25 basis points at its meetings in June, September, October and December. As a result, the Monetary Authority raised the rate on the main refinancing operations to 3.15%, the rate on deposits with the ECB to 3.00% and the rate on the marginal lending operations to 3.40% at the end of 2024. At the December meeting the possibility of a 50 basis point cut in key interest rates was discussed, on the strength of a disinflationary process well under way, but a unanimous consensus prevailed among ECB members towards a more cautious solution. Monetary easing continued in early 2025 with the ECB, which at its January meeting, as expected, unanimously cut monetary rates by a further 25 bps (bringing the deposit rate to 2.75%), showing its confidence in achieving the inflation target in the short term. Regarding the macro picture, the Authority confirmed the downside risks on growth. The ECB will continue to follow a data-dependent approach in calibrating the correct monetary policy (which is still referred to as 'restrictive') in meeting after meeting. The markets expect a continuation of the rate cuts at the upcoming meetings.

The recomposition of the ECB balance sheet continued. The portfolios of the APP (Asset Purchase Programme) and the PEPP (Pandemic Emergency Purchase Programme) are shrinking at a measured and predictable pace, as the Eurosystem no longer reinvests the repaid principal on maturing securities. On 18 December 2024, with the repayment of the remaining amounts received by the banks under the targeted longer-term refinancing operations, this part of the balance sheet normalisation process came to an end.

9 The Fed's Federal Open Market Committee.

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| | |
|:---|:---|
| 10 | In particular, the Governing Council decided that it would continue to direct the stance of monetary policy through the interest rate on deposits with the central bank and that the spread between this rate and the main refinancing operations rate would be reduced to 15 basis points as from 18 September 2024. |

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2024 ANNUAL REPORT - Consolidated Report on operations

Significant events in 2024

On **7 February 2024**, the Parent Company announced new top management appointments in a number of key functions with the enhancement of the assets of internal resources. More specifically, in addition to the appointment of Maurizio Bai as Deputy General Manager, Fiorella Ferri was appointed as Chief Human Capital Officer, Alessandro Giacometti as Chief Operating Officer, Vittorio Calvanico as Chief Safety Officer, and finally Marco Tiezzi assumed the role of Chief Commercial Officer Retail.

On **29 February 2024**, Standard Ethics improved the short-term outlook of Banca Monte dei Paschi di Siena, from "Stable" to "Positive". The ratings agency highlighted the Bank's commitment to the integration of ESG criteria, confirming the "EE" rating and anticipating a potential upgrade to "EE+" within 12-24 months, following the implementation of the 2022-2026 Business Plan and the new Sustainability Plan.

On **8 March 2024**, Banca MPS successfully completed the placement of a new senior preferred unsecured bond issue with a 5 year maturity (with early repayment option after 4 years), for an amount of EUR 500 mln and a coupon set at 4.75%.

On **11 April 2024**, the Ordinary Shareholders' Meeting of Banca Monte dei Paschi di Siena was held, which included, among other resolutions, the 2023 Financial Statements, payment of the dividend, the remuneration policies, incentive plans and the appointments of Raffaele Oriani as director, Giacomo Granata as acting statutory auditor and Paola Lucia Giordano as alternate statutory auditor.

On **16 April 2024**, Banca MPS successfully completed the placement of a covered bond issue, the first after the transposition of the European harmonisation directive on covered bonds, with a maturity of five years, aimed at Italian and foreign institutional investors, for an amount of EUR 750 mln and a coupon set at 3.5%.

On **22 May 2024** (ex-dividend date 20 May and record date 21 May), the dividend for 2023 was paid for a total of EUR 314,922,426.50, corresponding to 0.25 eurocents for each of the 1,259,689,706 ordinary shares without par value outstanding at the record date.

On **13 June 2024**, the Parent Company's Board of Directors approved an exclusive agreement with a private equity fund for the sale of 100% of the subsidiary Monte Paschi Banque S.A. On 9 December 2024, the parties signed an agreement that allowed them to initiate the trade union consultation, required by the French Commercial Code, which is obligatory in order to be able to sign the sale and purchase agreement once it has been finalised. The procedure involves the subsidiary and consists in informing the works council ('Comité Social et Economique' or 'CSE') in advance of the planned transaction, the reasons for it and any impact on employees. Upon completion of the trade union consultation and once the relevant non-binding opinion of the CSE has been obtained, the Parent Company will be able to proceed with the transaction, which is expected to be finalised during 2025.

On **9 July 2024**, Banca MPS successfully completed the placement of its first Social Conditional Pass Through ("CPT" European Covered Bond issue with a maturity of 6 years (16 July 2030), targeting Italian and foreign institutional investors, for a total of EUR 750 mln and fixed coupon of 3.375%.

On **5 August 2024**, the Parent Company approved the 2024-2028 Business Plan, with an update of the financial targets, after overshooting the main objectives of the previous 2022-2026 Plan, and the strategic guidelines to strengthen its positioning as a "Clear and Simple Commercial Bank" through a digital-driven transformation and a growing specialisation of the service model for households and businesses.

On **7 November 2024,** the Parent Company signed contracts for the non-recourse sale of a portfolio of impaired loans as part of the so-called "Bricks" project for a total gross exposure of approximately EUR 0.3 bn, of which EUR 0.2 bn related to secured bad loans and EUR 0.1 bn related to unsecured bad loans. The deconsolidation of the portfolio took place in December 2024.

On **20 November 2024**, Banca MPS successfully completed the placement of a new Senior Preferred Unsecured bond issue, with a term of 6 years (maturing in 2030) and with an early redemption option after 5 years, for an amount of EUR 750 mln and a coupon set at 3.625%.

On **11 December 2024**, the Bank received notification of the European Central Bank's final decision regarding the capital requirements to be met on a consolidated basis as of 1 January 2025, at the conclusion of the annual prudential review and assessment process conducted in 2024. The additional "P2R" capital requirement improved by 25 bps from 2024 levels (2.75%) to 2.50%.

The overall minimum Common Equity Tier 1 ratio stands at 8.78%, the sum of Pillar 1 - P1R (4.50%), Pillar 2 - P2R (1.41%) and Combined Buffer Requirement - CBR (2.87%). The Pillar 2 Capital Guidance "P2G", set at 1.15%, is unchanged from 2024 levels.

BANCA MONTE DEI PASCHI DI SIENA

Compared to the 2023 Final Decision, the ECB removed the prior authorisation requirement for the distribution of dividends.

On **12 December 2024**, the Board of Directors of Banca MPS unanimously appointed - with the abstention of the interested party - the independent Director, Ms. Paola De Martini, as Lead Independent Director of the Bank.

On **17 December 2024** , the independent directors Paolo Fabris De Fabris, Lucia Foti Belligambi, Laura Martiniello, Annapaola Negri-Clementi and Donatella Visconti - indicated by the Ministry of Economy and Finance in the list presented on 27 March 2023 - resigned.

Following the aforementioned resignations, on **27 December 2024** the Board of Directors of Banca MPS, proceeded, by unanimous vote and with the positive opinion of the Board of Statutory Auditors, to appoint by co-optation: Alessandro Caltagirone (non-independent), Elena De Simone (non-independent), Marcella Panucci (independent), Francesca Renzulli (independent) and Barbara Tadolini (independent).

The new Board members will remain in office until the next Shareholders' Meeting called to decide on the confirmation of the co-opted Board members.

In view of the changes in the Bank's shareholding structure, as a result of the gradual reduction of the shareholding held by the Ministry of Economy and Finance, the selection of the names of the new directors by the Appointments Committee took place following a specific process of dialogue with some of the Bank's new shareholders and with the support of a selection company.

Significant events after the end of 2024 financial year

On **3 January 2025** and **10 February 2025**, Banca MPS announced (in line with the funding plan and after receiving the authorisations from the European Central Bank) the exercise, on 22 January 2025 and 2 March 2025 respectively, of the full early repayment option of the Tier 2 subordinated bond called "€400,000,000 8.000 per cent. Reset Callable Subordinated Notes" and of the senior bond called "€750,000,000 Fixed to Floating Rate Callable Senior Notes due 2 March 2026".

On **28 February 2025**, Standard Ethics upgraded the Corporate Standard Ethics Rating (SER) of Banca MPS from the previous "EE" to "EE+". The rating agency confirmed that the upgrade to 'EE+' (Very Strong) leads to the achievement of the expected long-term rating and the outlook remains positive.

**Voluntary public exchange offer on the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni promoted by Banca Monte dei Paschi di Siena S.p.A.**

On **23 January 2025**, the Board of Directors of Banca MPS approved the launch of a voluntary Public Exchange Offer (the "Offer") on all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni ("Mediobanca"). The Offer is conditional upon obtaining the relevant regulatory authorisations and meting the conditions indicated in the disclosure to the market of 24 January 2025, which will be further detailed in the Offer Document.

The share exchange ratio was set at 2.300 newly issued Banca MPS shares to each existing Mediobanca share of Mediobanca, for an implied Offer price of EUR 15.992 per share with a premium of 5.03% over the official prices at 23 January 2025.

The success of the Offer will allow an acceleration in the utilisation of the DTAs held by Banca MPS, with an estimated net present value to the benefit of Mediobanca's shareholders participating in the Offer of EUR 1.2 bn, equal to approximately 10% of Mediobanca's current market value.

The purpose of the Offer is to create a new national champion in the Italian banking sector, ranking third in key business segments, through the industrial combination of two of the main players in the sector MPS in Retail/Commercial Banking and Mediobanca in Wealth Management, Corporate & Investment Banking (CIB) and Consumer Credit. In particular, the new Group will distinguish itself as:

&nbsp;&nbsp;&nbsp;&nbsp;· a top-notch Wealth Management player, thanks to the
combined expertise of Banca MPS and Mediobanca in private banking and Banca Widiba and Mediobanca Premier in asset gathering, with approximately
1,200 financial advisors;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· a strong CIB player in all products (e.g. corporate
finance, capital markets, corporate lending), with a leading position in the Equity Capital Markets and M&A market and a strong complementary
customer base, and at the same time with a growth opportunity in particular in the developing market segment of medium-sized companies;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the leader in consumer financing through Compass, already the partner of
choice for MPS;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· operator who benefits from a sustainable cash flow from
the insurance investment. The business combination will expand the range of products and services and strengthen the capacity to support
new investments, through a synergetic banking model and by leveraging the strengths, distinctive skills and excellent human capital of
the two organisations.

2024 ANNUAL REPORT - Consolidated Report on operations

The acquisition of Mediobanca accelerates the implementation of the strategic guidelines of Banca MPS's 2024-2028 Business Plan, which focuses on: i) the growth of specialised businesses that generate high commission flows; ii) the development of new dedicated service models for value-added activities; iii) the expansion of lending solutions for households and the development of new services for SMEs; iv) the renewal and optimisation of distribution platforms and (v) the adoption of a zero-based approach to risk.

The transaction has clear and tangible benefits for all stakeholders involved:

<u>Shareholders:</u> high value creation for both Banca MPS and Mediobanca shareholders through increased profitability, with a dividend pay-out of up to 100% of net profit, while maintaining strong capital strength. In addition, the transaction will accelerate the utilisation of Banca MPS's DTAs and generate significant industrial synergies;

<u>Customers</u>: access to a value proposition of excellence, with a broader and more attractive range of products, tailor-made solutions and services for households, enterprises and SMEs and a multi-channel platform with complementary distribution networks;

<u>Employees</u>: opportunities for professional growth in an environment with a strong capacity to retain, attract and develop professional talent;

<u>Italian economy and community</u>: strong value for the country system by helping to increase its competitiveness. An engine for the development of projects and initiatives in the territories for the benefit of local economies, continuing to be a reference model in terms of sustainability.

Banca MPS aims to achieve significant profitability and maintain strong capital strength, also thanks to the contribution of expected industrial synergies and DTAs. In particular, it is expected: (i) pro-forma RoTE at about 14%, (ii) pro-forma CET 1 ratio at about 16%; (iii) Accelerated utilisation of DTAs and (iv) approximately EUR 700 mln of pre-tax synergies per year.

The transaction will make it possible to benefit from the value of Banca MPS's DTAs by leveraging a higher consolidated tax base. The new Group will, in fact, be able to accelerate the utilisation of EUR 2.9 bn of DTA over the next six years, with EUR 0.5 bn per year and a significant capital benefit. In addition, the new Group will benefit from pre-tax synergies of approximately EUR 700 mln per year, of which approximately EUR 300 mln from revenue synergies, approximately EUR 300 mln from cost synergies and approximately EUR 100 mln from funding synergies. Revenue synergies will be realised by expanding the range of products and services and strengthening competencies in the different business areas (e.g. consumer credit, mortgages and asset gathering), together with increased penetration in key segments (e.g. SMEs). Cost synergies are expected to be achieved through measures to optimise central functions, to be related to IT expenditure and to occur through the reduction of administrative expenditure. Funding synergies will be realised through the improvement of the wholesale financing structure, also taking advantage of the commercial financing capabilities of Banca MPS. As part of the transaction, the Group expects integration costs of approximately EUR 600 mln before tax to be incurred in the first year of operation. Significant benefits are expected for the shareholders of both banks with the distribution of a sustainable and growing Dividend per Share (DPS) over the period:

&nbsp;&nbsp;&nbsp;&nbsp;· double-digit increase in adjusted Earnings per Share (EPS);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· organic generation of capital in excess of net profit, allowing a growing
DPS with a pay-out ratio of up to 100% of net profit, while preserving a strong capital strength.

The Public Exchange Offer is expected to be completed by the third quarter of 2025.

On 13 February 2025, the Parent Company filed the Offer Document with Consob, which will be published upon completion of the preliminary investigation carried out by the Authority pursuant to Article 102, paragraph 4, of the Consolidated Law on Finance (TUF). On the same date, Banca MPS submitted the following to the competent authorities: (i) the petitions to obtain the authorisations required by the sector regulations in relation to the Offer pursuant to Article 102, paragraph 4 of the TUF and Article 37-ter, paragraph 1, letter b) of the Issuers' Regulations, and (ii) the notifications/communiques on antitrust and golden power matters.

BANCA MONTE DEI PASCHI DI SIENA

Human Resources

Consistent with the objectives and time lines of the Business Plan, in 2024, the main features of the HR measures concerned: activation of career paths and definition of key roles with a focus on the sales network; multidimensional training model oriented towards risk-based logic with a training plan entirely financed by industry funds; human capital development plans consistent with the company's strategic objectives; consolidation of the corporate welfare system; enhancement of inclusion with a plan on Diversity & Inclusion. In addition, with the achievement of Group targets and after the approval of the previous year's financial statements, the year 2024 was characterised by the disbursement of the company bonus - defined by a trade union agreement that also provided for its disbursement in "welfare" - and incentive systems. The latter represent a strategic lever for the enhancement of human capital, ensure sustainable development in the ESG (*Environmental, Social and Governance*) through the adoption of incentive parameters correlated to the achievement of the Group's strategic guidelines on these issues, they ensure alignment between the management and the interests of shareholders and investors in view of the challenging objectives to be achieved.

KPI as at 31 12 2024

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Operational location (%)** | **Operational location (%)** | **Professional/occupational level (%)** | **Professional/occupational level (%)** | **Professional/occupational level (%)** | **Other indicators** | **Other indicators** | **Other indicators** |
| <br>**Indicators** | <br>**Headcount** | <br>**Head**<br>**Offices\*** | <br>**Italy**<br>**Network\*\*** | <br>**Executive**<br>**managers** | <br>**Middle**<br>**Managers** | <br>**Professionals** | **Training**<br>**per capita**<br>**(hours)\*\*\*** | **Female**<br>**staff**<br>**(%)** | **Female**<br>**executives**<br>**(%)** |
| 31/12/24 | 16727 | 32.4 | 67.6 | 0.9 | 37 | 62.1 | 41 | 53.6 | 20.4 |
| 31/12/23 | 16737 | 31.9 | 68.1 | 1 | 36.4 | 62.6 | 44 | 53.6 | 19.5 |

---

\* Head Office, local control units of Banca MPS and other companies, of which 1,616 resources based in Siena

\*\* Branches and Specialist Centres of Banca MPS.

\*\*\* For 2024, in addition to Banca MPS, Widiba and MPS Fiduciaria, it includes MPS Tenimenti and Magazzini Generali Fiduciari di Mantova.

Headcount changes

As at 31 December 2024, the Group had a total of 16,727 active employees, down 10 units compared to 31 December 2023. The dynamics are mainly attributable to:

&nbsp;&nbsp;&nbsp;&nbsp;· 243 new hires, mainly young employees taken on mainly to strengthen the
sales network;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· 256 terminations, of which 131 due to resignations.

The distribution at year-end 2024 of the workforce stood at 67.6% in front-office units (Branches and Specialised Centres) and 32.4% for Head Office units and Regional Departments.

Personnel management initiatives

The personnel management policies support and consolidate the reorganisation projects, in line with the objectives of the new Business Plan, through mobility plans (professional and regional) with a view to development opportunities for employees and according to logics of transparency, participation and inclusion.

More specifically, the corporate programme of people development (MPS Sviluppa) is designed to meet different corporate needs in terms of professional requirements and responds to the aim of increasing the skills, professional capabilities, motivation and engagement of individuals. The programme is guided by the principles of equal opportunities and accessibility of training and development activities, consistent with the provisions of the Code of Ethics and the document "Rules on Inclusion".

In 2024, staff development initiatives were consolidated and evolved to also accompany the transition phase between the Group's 2022-2026 Business Plan and the Group's 2024-2028 Business Plan*"* emphasising the latter's "human component". To this end, the professional and managerial development initiatives and tools were partly redesigned and enriched, with the intention of giving the programme further coherence and increasing the coverage of the company's population with a view to the entire Business Plan.

2024 ANNUAL REPORT - Consolidated Report on operations

Key measures implemented as part of MPS Sviluppa included:

&nbsp;&nbsp;&nbsp;&nbsp;· vertical career paths towards the role of branch manager;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· managerial continuity plans to ensure succession in the event of vacancies
in the main network and central structures by enhancing internal professionalism;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· soft skills development programmes, implemented through coaching, skills
mapping through assessment and 270° feedback questionnaires and behavioural training;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· continuation of reskilling paths, with particular reference to the retraining
of people for commercial roles;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· launch of the "Academy of Talents", a programme aimed at identifying,
retaining and managing human resources with high continuous performance, who show elements of potential development in a managerial key,
useful to cover roles of responsibility and/or greater complexity in the medium term;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· activation of managerial development paths dedicated to female staff ("Women's
Leadership" programme).

To better support the achievement of the Business Plan objectives, the new version of the evaluation system was released during 2024. The review, while maintaining elements of continuity with the previous system, will broaden the overall view of the person being evaluated, with the integration into the evaluation factors of role-specific activities and behaviours consistent with the Group's soft skills model that stems from the corporate Code of Ethics. The process will also support the professional development of resources to be "leveraged" through horizontal or vertical development indications proposed by the line manager and confirmed by the management and business system.

Welfare plays a central role in Level II Contract Negotiations, for which the discussions on renewal are ongoing. For the most important institutions, it has also been extended to the human resources participating in the sector's solidarity fund and for the entire period of their permanence therein. Thanks also to the constant dialogue within the context of the relevant Joint Committee, welfare has consolidated its structure in a complex of constantly evolving contractual institutions, differentiated according to the requirements - traditional and new - of employees in the area of:

&nbsp;&nbsp;&nbsp;&nbsp;· supplementary pensions, in particular company pension funds that can also
be extended to dependants, and insurance cover in the event of premature death and permanent disability; in 2024, a major agreement was
signed - effective January 2025 - regarding the increase in the size of the employee contribution payable by the Bank (from 2.5% to 3%);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· income support, with reference to hiring the family member of a deceased
employee, meal vouchers, with an increase in daily value already from December, subsidised conditions on loans, contribution to the Mutual
Insurance Fund (an "institutional" point of reference for employees) for the supplementary economic intervention plan;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· health, with regard to sickness and accident insurance cover, with increased
coverage in a preventive logic;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· internal solidarity, with reference to MPSolidale, a fund financed by donations
of hours and days by employees to meet serious and proven personal and family needs, with priority given to childcare;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· new wellbeing and culture and leisure programmes, assessed on a case-by-case
basis according to needs, such as access to sports programmes, a foreign language study programme and a corporate digital library offering
ebook lending;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· two new parenting initiatives aimed at supporting parents in raising their
children, in particular: a pathway consisting of regular webinars on topical issues such as bullying, eating disorders and diversity education;
customised study paths dedicated to children with specific learning disorders or special educational needs;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· work-life balance, with a particular emphasis on the Group's ongoing
efforts to increase work flexibility, such as agile working, driven by an evolving approach.

Initiatives and activities in the Diversity & Inclusion area continued in 2024, in line with the path of leveraging diversity, recognised as a strategic driver for the development and dissemination of an inclusive corporate culture. Following the obtaining of the Gender Equality Certification, the Gender Equality Management System was overseen, in accordance with the UNI/PdR 125:2022 Reference Practice, with a specific focus on: communication plan, training plan, internal audit system, non-compliance management and management of a Gender Equality Strategic Plan, approved by a special Steering Committee and updated periodically.

An inclusive culture is valued by the Group, it develops flexibility and innovative skills, increases the motivation of people in the company and interest in new generations, with a consequent positive impact for the business. These principles - in line with the additions to the Code of Ethics and specified in the document "Rules on Inclusion" - are communicated to all stakeholders in the "Gender Equality Policy"; The document in which the Group notifies all stakeholders of their commitments in terms of valuing diversity, inclusion, equity and parity that the Company aims to pursue in all phases of the professional life of each person, in terms of organisational and operational aspects, internal and

BANCA MONTE DEI PASCHI DI SIENA

external communication and their relationship with the local area. Consistent with what was stated therein - including "zero tolerance" of violence and harassment in the workplace - a process for handling reports of inappropriate behaviour, defined in the document "Rules on preventing and combating gender-based harassment in the workplace", was developed. The shortened version of the document has been published on the Group's website, available to all stakeholders.

In order to disseminate the principles of the "Inclusion Rules" document and the "Gender Equality Policy", further editions of "*Management Plurale*", the training workshop aimed at all managers, were carried out; On gender-specific topics, "Growth Together" was held, a development of the earlier "Women Leadership Programme", a course aimed at women in leadership roles; the collaboration with "Valore D" continued with the participation in inter-company training courses. The Parent Company was also confirmed as a supporter of the project "D&I in Finance", aimed at consolidating the actions undertaken by the banking and financial industry and other business entities in favour of inclusion, equity and valuing diversity. The issue of Diverse Abilities was addressed with dedicated analyses by continuing participation in the Disability Lab (an inter-company workshop set up as a natural continuation of the "Disability and Work" research project in collaboration with Fondazione Istud) and by means of info-training meetings involving, on the basis of self-nominations, the entire company population. At the end of the meetings, a Manifesto was drawn up and published on the company intranet, summarising the commitments that the Parent Company intends to pursue in this area. In line with the Manifesto, training courses were implemented for managers. The activities are subject to continuous discussion within the Equal Opportunities Commission.

The initiatives of MPS Orienta, the programme that encompasses the activities that the Parent Company devotes to career guidance, the development of soft skills, financial education and, in general, relations with schools and universities. The aim of the programme is to promote employer branding, strengthen the link between education and the world of work, support the country's economic and social development, contribute to sustainable growth strategies and strengthen relations with customers and the area in which the Group operates. The main initiatives are aimed at:

&nbsp;&nbsp;&nbsp;&nbsp;· developing collaborations with universities and graduate schools; This includes
the activation of internships (curricular and non-curricular), co-teaching and targeted cooperation activities, participation in career
guidance events, and the preparation of degree theses in the company;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· promoting training, guidance and financial education projects with primary
and secondary schools;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· designing and implementing financial education and career guidance activities
to be promoted both internally and externally, through workshops dedicated to specific target audiences.

The management plans were based on the objectives dictated by the Business Plan, in particular:

&nbsp;&nbsp;&nbsp;&nbsp;· the closure of 50 branches, which took place in January, implemented with
a strong focus on maintaining and enhancing the skills and professionalism of colleagues, with a view to facilitating the mobility of
human resources in accordance with the company's needs, preceded by a discussion with the trade unions. The exercise also included
the activation of training courses for resources affected by a change of role;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the revision of the organisational structure of the General Management,
with particular reference to the creation of the role of Deputy Commercial General Manager and Stand-in with the displacement of some
structures reporting directly to him, together with the strengthening of the wealth management sector in the first four months of the
year, and the strengthening of the sectors related to the support of the Italian Agrifood sector and the DOP Economy in the second four
months;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the evolution of the "Small Business" and "Valore"
service models, which took place in April, which changed the organisational structure of the business world and the "Small Business"
service model, as well as the organisational structure of the branches and the "Valore" service model, and allowed for the
development of skills, including relational and managerial skills, in both areas, as well as opportunities for professional growth to
cover the new roles. The exercise was accompanied by a management plan for the full leveraging of in-house professionalism, with targeted
training programmes to adapt skills to the new profiles and to support entry into new roles, including through retraining paths in the
event of role changes;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the coverage of network activities, also in the planned reinforcement of
commercial roles, was ensured by upgrading processes;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the control functions, subject to particular attention, carrying on from
2023, worked on the continuation of the specific reintegration plan.

The ordinary activities of human capital management and the various projects continue to maintain the objective of pursuing the best allocation of resources and maximising engagement, accompanying execution with the use of all internal communication channels as well as with a programme of individual interviews to discuss the main drivers and expected benefits.

2024 ANNUAL REPORT - Consolidated Report on operations

Internal communication supports the sharing of Group strategies in line with the 2024-2028 Business Plan, protects the corporate identity and disseminates its values. The corporate functions share with internal communication the information and involvement needs of colleagues in order to translate them into editorial plans based on the integrated use of internal channels in connection with recurring or extraordinary activities.

In the course of 2024, specific multi-channel communication plans were implemented to spread awareness of key cross-cutting issues:

&nbsp;&nbsp;&nbsp;&nbsp;· measures and rules for the operation of the **reward and professional development system** to foster a unified and consistent narrative and the sharing of a "healthy" merit-based culture

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **awareness-raising on ESG topics, environmental sustainability and social equity.** In particular, the results of the Survey on Equal Opportunities and Harassment in the Workplace were returned during the year

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **risk culture** with regular outings throughout the year and the organisation
of an in-person meeting in the presence of the Top management **.** 

The year 2024 was characterised by the evolution of the training platform (MPS Academy) with the integration of analysis tools ("Skill gap analysis" questionnaires) that consolidate the application of the 3D Approach training framework. These tools, combined with the use of training courses, allow for tailor-made training programmes, i.e. customisation of enrolments in the courses by role with the same total duration.

In 2024, approximately 690,000 hours of training were provided at the MPS Group level, or 41 hours per capita. The training activity covered about 99% of the personnel and is continuously followed-up jointly with the trade unions, including within the Joint Training Body.

Lastly, for programmes directed to key and strategic roles, a Board Induction event was held for all members of the BoD and the Board of Statutory Auditors on the topic of Cybersecurity.

Finally, Health and Safety training was intensified by focusing on the provision of specific courses for emergency workers, supervisors and managers, workers' representative for health and safety (Rappresentante dei Lavoratori per Sicurezza, RLS), trade union representation (Rappresentanza Sindacale Aziendale, RSA), achieving almost total training coverage.

With reference to remuneration policies, it should be noted that they promote sustainable performance, the achievement of short- and long-term strategic objectives and employee loyalty, enhancing merit, skills and professional growth. The definition of gender-neutral remuneration structures reflects these orientations and is carried out in correlation with applicable market practices by using the weighting of company positions, which allows for a continuous and more accurate assessment of both internal equity, through verification of the consistency of the remuneration packages of resources at the same classification level, and external competitiveness, through comparison with the market.

Remuneration and incentive policies also represent an important managerial lever to guide management and staff towards inclusive and widespread leadership, as well as a strategic lever in pursuing the goal of achieving sustainable value, by appropriately balancing and sizing the variable component of remuneration with respect to the fixed component and ensuring that the variable part of remuneration is connected, among other things, to performance parameters tied to ESG objectives.

The Group's remuneration and incentive policies are described every year in the "Report on the remuneration policy and on compensation paid", prepared under Article 123-ter of the Consolidated Law on Finance (TUF) and subject to approval by the Shareholders' Meeting.

BANCA MONTE DEI PASCHI DI SIENA

2024-2028 Group Business Plan

During the previous year, Banca MPS achieved, ahead of schedule, the Group's key economic and financial performance indicators defined in the 2022-2026 Strategic Plan, launching a series of initiatives that laid the foundations for further improvements in performance over time. In light of the results already achieved and the evolving macroeconomic environment, it was deemed appropriate to develop the new 2024-2028 Strategic Plan.

On 5 August 2024, the Board of Directors of the Parent Company approved a new Business Plan for the period 2024-2028, "A Clear and Simple Commercial Bank Revolving Around Customers, Combining Technology With Human Touch", which targets a Bank capable of successfully satisfying evolving customer demands through a process of corporate and technological innovation supported by a broad investment plan, fully leveraging talent, further improving business sustainability, strengthening financial statements and focusing on the distribution and creation of value for all stakeholders. The Plan is structured on five key pillars:

&nbsp;&nbsp;&nbsp;&nbsp;1. **Evolution of the fee-based product and service proposition** through multiple levers including:

- development and enrichment of the Wealth Management offering, introducing highly customised advisory services to proactively address the most evolved customer needs;

- profound innovation of the insurance protection offering, developing holistic and modular solutions to provide increasingly comprehensive coverage to the customer also through the redefinition of the insurance offering on digital channels;

strengthening of the Widiba platform, thanks to the expansion of the financial advisor network in the territorial areas of highest strategic priority, the development of the technological platform also thanks to the innovation of CRM systems, and the enrichment of the product range to support the trend of converting customer assets into managed products;

- strengthening of the fee-based product offering for business customers.

&nbsp;&nbsp;&nbsp;&nbsp;2. **New service models for high added value activities,** to be realised through:

- introduction of a new "Upper Affluent" client segment, in order to significantly improve the customer experience and raise the level of advice offered, through the allocation of fully dedicated Relationship Managers together with the launch of several targeted initiatives;

- activation of a new "Wealth Management Centre & Advisory" to improve risk and portfolio analysis in order to develop tailor-made investment solutions;

evolution of the omnichannel proposition, further enhancing digital channels to become the main, simpler and more intuitive tool for carrying out daily banking transactions while at the same time better conveying proactive offers, while dedicating the branch network deployed throughout the country to higher value-added activities serving the more complex needs of customers.

&nbsp;&nbsp;&nbsp;&nbsp;3. **Strengthening the offering of financing products for households and developing new verticals for small and medium-sized enterprises,** through:

- development and innovation of the commercial proposition of financing solutions for households, with a focus on mortgages, leveraging digitalised disbursement processes to reduce 'time-to-decision', accurate profiling and improved customer experience;

- growth in consumer credit, capturing the strong penetration potential of the Bank's customer base, leveraging an innovative commercial proposition tailored to customer needs;

- launch of a unit dedicated to specialised verticals for SMEs, such as Agribusiness and the transition to renewable energy sources;

- strengthening of the guaranteed and subsidised finance proposition, thanks to the complete digitalisation of the platform and the support provided by the National Recovery and Resilience Plan (NRP);

- overall improvement of the product offering to meet the various needs of corporate customers.

&nbsp;&nbsp;&nbsp;&nbsp;4. **Renewal and optimisation of the platform,** through:

- continued pursuit of a strong discipline to manage and contain general and administrative expenses, optimising the overall "cost-to-serve" of banking activities through digitalisation and innovation;

- activation of a new central unit dedicated to "project governance" for the definition of strategic investments and constant control over the timing and quality of execution;

2024 ANNUAL REPORT - Consolidated Report on operations

- strengthening the IT infrastructure, maximising speed and computational power, enhancing security systems across all the Bank's facilities;

- careful recruitment strategy aimed at talented young professionals, combined with the redeployment of the Bank's high-potential professionals in areas of higher added value, following intensive training, together with the natural generational turnover of resources.

&nbsp;&nbsp;&nbsp;&nbsp;5. **"Zero-based" approach to risk** through the strengthening of underwriting processes,
in line with the new lending priorities, improving monitoring and alert systems and accelerating debt collection through new strategies
for assessing, classifying and collecting credit exposures. These initiatives will be enabled and accelerated by the use of digital advances,
including algorithmic capabilities for consumer credit origination, artificial intelligence-enabled scoring systems, advanced analytics
for early management workflows, and technological innovation in the NPE platform.

**Enabling factors: Technology**

The implementation of the Plan's distinctive initiatives will be made possible and accelerated by digitalisation and the adoption of new technologies, according to the following key proposals:

&nbsp;&nbsp;&nbsp;&nbsp;· evolution of the digital channels offers, including the "Digital Branch"
and the "Modular Platform for Businesses", allowing a best-in-class experience and a highly advanced level of service, perfectly
integrated with the various physical channels of the Bank. In particular, the Digital Branch will provide for the enabling of offering
and signing of contracts through digital signatures, implementation of AI-driven conversational chatbots with information and dispositive
functions, and the evolution of Customer Relationship Management systems to optimise customer contact. Similarly, the Modular Business
Platform will provide a full range of digital dispositive functionalities to enable fully 'self' experiences also through
new remote interaction channels (e.g. Chat and Videochat), as well as the use of innovative technologies (e.g. Advanced Analytics and
Open Banking) to strengthen the commercial offering;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· development of Advanced Analytics models in order to support a proactive
and highly customised commercial offering, the enhancement of digital marketing activities, the identification of high-potential customers
in terms of risk profile and propensity to purchase, especially in key areas such as Wealth Management (e.g. Athena), consumer finance
and protection, and the recognition of cross-selling opportunities through multivariate analysis of customer characteristics;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· implementation of fully digitalised end-to-end processes, including automated
assessment systems, near-real-time monitoring of the progress of files and reduction of the "time to decision";

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· development of an "algorithmic competence centre" for retail
lending, exploiting advanced scoring systems through artificial intelligence and an innovative workflow management platform (also through
Advanced Analytics) to implement the "zero-based" approach in risk management;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· implementation of the "by design" security and performance approach,
also by modernising the infrastructure and updating hardware/licences, in line with market best practices. New equipment equipped with
state-of-the-art technologies to significantly increase computational capacity and enable higher volumes of activity, with licence updates
to ensure the best performance levels and increase security in peripheral systems.

The comprehensive IT development plan is supported by investments of EUR 500 mln in the period 2024- 2028.

**Enabling factors: Talented Human Resources**

The plan for digitalisation and the widespread adoption of technological innovation, the foundation of the 2024-2028 Business Plan, will make it possible to create a virtuous circle that enhances the Bank's human capital, which has always been at the heart of the BMPS development strategy.

In this context, a dedicated retraining programme will be launched that will enable more than 1,300 high-potential professionals to be trained for high value-added activities. At the heart of human capital development is the BMPS Academy, a key tool for strengthening employees' skills through dedicated and intensive training programmes, providing tools to focus on high-priority areas, also in a digital logic and with a focus on spreading the culture of risk at all organisational levels, to ensure its effective control.

The Plan also envisages the recruitment of around 800 resources with distinct skills in high-priority areas such as IT and Advanced Analytics/GenAI.

Finally, the Bank will provide for the strengthening of incentive and compensation systems, closely linked to performance, by reinforcing merit recognition initiatives, with the aim of enhancing the attraction, identification and retention of talent.

The Plan will also make it possible for the Group to further accelerate the path towards a sustainable business model, the result of a long-standing commitment and the objective of achieving a distinctive position in the management of ESG issues, supporting customers in the imminent "green" transformation process and contributing to the creation of a society

BANCA MONTE DEI PASCHI DI SIENA

based on sustainability, equality and inclusion. For more information on strategies to strengthen the Group's ESG positioning, please refer to the "Sustainability Reporting" section of this Report on Operations.

**Key financial targets 2024-2028**

As a result of the implementation of the Plan's initiatives, pre-tax profit is expected to grow from EUR 1.3 bn in 2024, to EUR 1.42 bn in 2026 and EUR 1.657 bn in 2028. This expected result is a function of the following components:

&nbsp;&nbsp;&nbsp;&nbsp;· Commercial revenues (net interest income from commercial
activities and net commissions) are expected to decrease slightly between 2024 and 2026, by about EUR -14 mln, and to expand between 2024
and 2028, by about EUR 260 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Cost/income ratio almost stable over the plan period,
from 49% in 2024 to 51% in 2026 and 50% in 2028, due to the Plan's cost-saving initiatives to mitigate the increase in the cost
base resulting from inflation, renewal of the National Labour Contract and transformation costs;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Cost of risk decreasing significantly and steadily from
54 basis points in 2024, to 44 basis points in 2026 and 34 basis points in 2028, as a result of (i) the expected improvement in the recovery
rate, also supported by the large loan base covered by government guarantees and the Bank's strong track record, (ii) the resilience
of the cure rate supported by the expected positive evolution of the forborne loan portfolio (for which recovery and restructuring initiatives
have already been proactively activated) and by initiatives for analysis, classification and collection, (iii) the expected improvement
in the default rate, thanks to actions to recompose the mix of loans and the expected macroeconomic evolution, and (v) the proactive management
of the non performing loan portfolio, including through disposal transactions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Systemic charges, extraordinary restructuring costs and other non-recurring
costs planned to be reduced over the plan period;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The CET1 Ratio is expected to remain above 18% over the Plan period.

• ••

In terms of economic targets, the 2024 result is above the Plan targets due, in particular, to higher revenues and lower operating expenses. On the credit front, the objectives of both ordinary destocking and restoration to performing status, in addition to the contributions from disposal operations (finalised in the latter part of the year), allowed the Gross NPE ratio to be contained at Plan levels (despite the uncertain macroeconomic context due also to geopolitical tensions) with a cost level slightly below Plan expectations. In relation to legal risks, 2024 shows an overall low level of provisions. As a result of the economic trends described above, the profitability indicators (Cost income, ROE, ROTE) were all better than the Plan forecast. The Group also achieved a CET1 ratio of 18.2 % (fully loaded) as at 31 December 2024, above the Plan and among the best levels in the banking system. The strengthening of Banca MPS's performance and its capital level, together with the improvement in asset quality and new access to the debt market, led rating agencies to upgrade the Bank's rating.

2024 ANNUAL REPORT - Consolidated Report on operations

Commercial strategy

Sales strategies in 2024, in continuity with the process already started, directed the business towards core areas to relaunch the Group's economic performance, confirming customer support, and towards a more sustainable development model. Below are the main strategic initiatives for Retail and Corporate service models.

<u>Retail</u>: The Parent Company focuses its activities on four business areas to serve private customers and Small Businesses (in Italian "Piccoli Operatori Economici" or POEs), innovating its range of products and services: consumer credit, mortgages, managed savings and bancassurance.

&nbsp;&nbsp;&nbsp;&nbsp;· With regard to **consumer credit**, Banca MPS intends to develop in-house
skills and Advanced Analytics modelling, leveraging the information assets and experience acquired in recent years to identify low-risk
customers who are inclined to purchase this service, aligning the level of product penetration to the Italian market average; also identifying
cross-selling opportunities with mortgage offers for home purchase or renovation;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· with regard to **mortgages**, the new objective risk assessment models
will allow the Bank to innovate its service model, providing customers with timely responses and enabling the introduction of "MPS
Vouchers" to support customers in their search for a home with greater peace of mind. The bank will also increase its commercial
focus on green mortgages;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· in **asset management**, the bank intends to leverage the newly established
unit with wealth management skills to provide an increasingly personalised service to customers. It is planned to develop a new advanced
advisory service in the areas of finance, real estate, insurance and generational transition by leveraging the Athena platform;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· with regard to **bancassurance**, the Bank intends to implement a profound
innovation of the non-life offering, through the creation of a new single and modular insurance contract that will include all non-life
covers offered by AXA and the redesigning of the insurance product offer on digital channels with limited premiums and the possibility
of purchase in a few clicks.

<u>Corporate</u>: MPS intends to focus the development of the corporate segment on two priority sectors (agribusiness and green transition) and on a selected range of products: subsidised and secured finance, factoring and fee-based services.

&nbsp;&nbsp;&nbsp;&nbsp;· With regard to **agribusiness and green transition** initiatives, the
Parent Company intends to specialise in serving companies in the agricultural and agro-industrial supply chains, as well as in supporting
companies (especially small businesses) to capture the opportunities of the green transition, by accessing the investments envisaged
at the European level (e.g., NRRP) for the development of renewable energy communities, agriPV, self-production and Transition 5.0. To
achieve this objective, the Bank will innovate its range of offerings by introducing specialised credit products, strengthening the focus
on secured loans (e.g. plant loans) and protection products;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· in the **subsidised and secured finance** sector, the Parent Company
aims to develop a digital platform to exploit the opportunities offered by the NRRP. In particular, in guaranteed loans that enable continuous
coordination with the main central institutions (e.g., MCC, SACE) in order to monitor new opportunities for the provision of guaranteed
loans and accelerate the process of application and settlement of guarantees thanks to a digital channel for transmitting applications;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· With regard to **Factoring**, the Bank is pursuing the growth of product
penetration to SME customers by strengthening the commercial focus, enhancing cooperation between managers and product specialists, enhancing
the new platform to streamline the credit assessment process and introducing pre-scoring mechanisms;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Finally, the Parent Company intends to put in place an ad hoc focus on **fee-based services,** developing a range of protection insurance products for small entrepreneurs and companies and increasing M&A, debt
advisory and capital market services in the mid-corporate segment.

For more information on the initiatives implemented by both service models during the year, please refer to the section "Results by Operating Segment" included in this Report on Operations.

BANCA MONTE DEI PASCHI DI SIENA

Funding strategy

The 2024-2028 Group Liquidity and Funding Plan defines the guidelines for management of the Group's liquidity and funding over a long-term horizon, to support the development and objectives outlined in the Plan. For each of the forward-looking maturities, starting from the business plan and the developments expected from the imbalance created, it outlines the methods for obtaining cash and the counterbalancing capacity necessary for the processes to function in the short term, at the same time guaranteeing structural balance in the funding profile and medium/long-term business development. The maturity profile over the 2024-2028 time horizon is mainly represented by ECB auctions, which, as at 31 December 2024, amounted to EUR 8.5 bn (EUR 9 bn as at 30 September 2024, EUR 12 bn as at 30 June 2024 and EUR 13 bn as at 31 December 2023) consisting of LTRO auctions of EUR 5 bn and MRO auctions of EUR 3.5 bn. In the period 2024-2028, the other maturities are represented by institutional bonds, totalling approximately EUR 5.8 bn to be repaid, of which:

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 1.8 bn in 2025 (EUR 1 bn in covered bonds and EUR 0.75 bn in senior
unsecured bonds);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 2.8 bn in 2026 (EUR 1.1 bn in covered bonds and EUR 1.65 bn in senior
unsecured bonds);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 0.5 bn in 2027 (EUR 0.5 bn in senior unsecured bonds) and, lastly, around;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 0.8 bn in 2028 (EUR 0.75 bn in Tier 2 subordinated bonds).

In January 2025, the call of the Tier2 subordinated bond with a nominal value of EUR 0.4 bn issued in January 2020, with original maturity 2030, was exercised. In March 2025, the call of the senior unsecured bond with a nominal value of EUR 0.75 bn issued in February 2023, with original maturity in 2026, was also exercised. The call of an additional subordinated Tier2 bond issued in September 2020, with original maturity also set in 2030, and nominal value of EUR 0.3 bn, may also be exercised during the year. In 2026, the call of a senior unsecured bond of EUR 0.5 bn (final maturity in 2027) may be exercised and in 2028, the call of a senior unsecured bond of EUR 0.5 bn (final maturity is in 2029) may be exercised. Considering the call of the bonds with original maturities in 2029 and 2030, which will take place according to the cost effectiveness in terms of spread/replacement rate, the liquidity/capital position and in any case subject to prior authorisations from the competent Supervisory Authorities (SRB/ECB), the total institutional bonds maturing over the Plan horizon (starting from the last quarter of 2024) amount to a total of approximately EUR 7 bn, including the call already exercised in January 2025.

In relation to bond issue activities, four placements were made in the course of 2024 for a total of EUR 2.75 bn. Specifically, the Parent Company issued: (i) in March 2024, a senior preferred bond of EUR 0.5 bn, maturing in March 2029, callable in March 2028 and bearing a coupon of 4.75%; (ii) in April 2024, a covered bond of EUR 0.75 bn with a maturity of April 2029 and a coupon of 3.5%; (iii) in July, the first social European covered bond with a 6-year maturity, for EUR 0.75 bn and a coupon of 3.375%; (iv) and in November, a senior preferred bond of EUR 0.75 bn, maturing in November 2030, callable in November 2029 and with a coupon of 3.652%.

Against the scheduled maturities, the Group's funding strategies aim to maintain liquidity indicators at adequate levels, broadly above regulatory limits, as well as guarantee - as concerns public bond issue plans in particular - the satisfaction of liquidity ratio and MREL requirements. The 2024-2028 Group Liquidity and Funding Plan will in any case require annual implementation, as appropriate, which will illustrate in greater detail the actual actions to be taken during the reference year and the authorisations to the operating structures for their implementation.

Commitments related to the State Aid received in 2017

On 3 October 2022, the European Commission published a review of the commitments already set forth in the previous 2017-2021 Restructuring Plan, updating them as follows:

&nbsp;&nbsp;&nbsp;&nbsp;1. prohibition on acquisition: the Bank may not acquire either companies or business units, without prejudice
to certain possible exceptions for selected cases. With regard to possible exceptions, it should be noted that the Bank may carry out
acquisitions: (i) in exceptional circumstances, with the approval of the Commission, if necessary to re-establish financial stability
or ensure competition, as well as (ii) if the purchase price of the individual transaction and on a cumulative basis during the period
is below certain defined thresholds;

&nbsp;&nbsp;&nbsp;&nbsp;2. prohibition against distribution of dividends: the Bank cannot distribute dividends, unless both the CET
1 ratio and the Total Capital Ratio are above the SREP guidance provided by the ECB by at least [50-100] basis points, provided that no
prohibitions established by the ECB or the SRB are in place against the distribution of dividends;

&nbsp;&nbsp;&nbsp;&nbsp;3. prohibition on advertising: the Bank cannot make use of the State aid measures or the State's equity
investment in its share capital to promote the bank's products or its market positioning;

&nbsp;&nbsp;&nbsp;&nbsp;4. sustainable trade policy and prohibition of aggressive pricing policies: BMPS will not have to implement
aggressive business strategies that would not be implemented in the absence of state support;

2024 ANNUAL REPORT - Consolidated Report on operations

&nbsp;&nbsp;&nbsp;&nbsp;5. remuneration of the Bank's employees and managers: the Parent Company will need to apply strict
Executive managers remuneration policies, and the remuneration of any employee cannot exceed 10 times the average remuneration of the
Bank's employees. Without prejudice to what is set forth above, the Bank may be exempted from this requirement for a limited number
of managers of key functions provided that the commitment pursuant to no. 12 below concerning the State equity investment is met and the
additional remuneration is variable and aligned with the EBA Guidelines, on the basis of Directive 2013/36/EU;

&nbsp;&nbsp;&nbsp;&nbsp;6. number of branches: the number of Bank branches may not exceed [1350-1370] by the end of 2022, [1300-1350]
by the end of 2023 and 1,258 by the end of 2024;

&nbsp;&nbsp;&nbsp;&nbsp;7. number of employees: the number of Bank employees may not exceed [20,000-21,100] by the end of 2022, [18,000-20,000]
by the end of 2023 and 17,634 by the end of 2024;

&nbsp;&nbsp;&nbsp;&nbsp;8. Cost/Income ratio: the cost-income ratio of the Bank shall not exceed the higher of the average cost-income
ratio reported from time to time by the EBA for the significant Italian credit institutions included in the Risk Dashboard sample and
the following targets: [70-80]% in the year 2022 (with a tolerance margin of [200-250] basis points), [60-70]% in the year 2023 (with
a tolerance margin of [150-200] basis points) and 60% in the year 2024 (with a tolerance margin of [100-150] basis points);

&nbsp;&nbsp;&nbsp;&nbsp;9. Operating costs: operating costs (personnel expenses, other administrative expenses, depreciation and
amortisation) may not exceed, with a tolerance margin of [0-5] percentage points, EUR [2,000-2,500] mln in 2022, EUR [1,500-2,000] mln
in 2023 and EUR 1,872 mln in 2024;

&nbsp;&nbsp;&nbsp;&nbsp;10. Total asset target: the Bank's total assets should not exceed EUR [140-150] bn;

&nbsp;&nbsp;&nbsp;&nbsp;11. Loan to deposit ratio: the ratio between the bank's net loans and deposits should not exceed 87%
by the end of 2024, with a tolerance margin of [200-250] basis points;

&nbsp;&nbsp;&nbsp;&nbsp;12. Disposal of the State's shareholding: the Italian Republic should transfer its equity investment
in the Bank by a defined date and must make all reasonable efforts to transfer its equity investment before that deadline. Furthermore,
the State will need to sell the shares acquired in the context of the 2017 precautionary recapitalisation. If the State's equity
investment is transferred by means of a merger, only commitments no. 6, 15 and 22 will remain in force until a predefined date. In all
other cases of disposal of the State equity investment, the following commitments will remain in force until a predefined date: nos. 2,
3, 4, 6, 7, 8, 13, 14, 15, 16, 17, 18, 20, 21 and 22;

&nbsp;&nbsp;&nbsp;&nbsp;13. Price of deposits: BMPS will need to continue to price deposits for which agreements have been entered
into or renewed after the date of adoption of the Commission's decision so as to maintain the rate in line with that of the Italian
banking industry average, as reported by the Bank of Italy, with a tolerance margin of [0-10] basis points. Furthermore, the Bank will
need to continue to price its credit products provided after the date of the decision at a level no lower than the market average for
products with similar characteristics;

&nbsp;&nbsp;&nbsp;&nbsp;14. MP Banque: the Bank will have to continue the asset resolution process on the basis of a defined timeline,
within which the Bank's total assets will have to be reduced by [75-85]% compared to the size of its total assets as at 31 December
2017, when they were EUR 1,231 mln. In addition, MP Banque will not be allowed to carry out activities that are not necessary for the
resolution process of existing or new assets;

&nbsp;&nbsp;&nbsp;&nbsp;15. Leasing portfolio: the Group will need to continue to reduce the leasing portfolio, which must result
in a reduction in assets of EUR [0-5] bn compared to 31 December 2021 equal to EUR 3.341 bn;

&nbsp;&nbsp;&nbsp;&nbsp;16. Non-performing loans: the Group should not exceed the higher between a gross NPL ratio of 4%, with a tolerance
margin of [25-75] basis points, and the average NPL ratio reported over time by the EBA for significant Italian credit institutions included
in the Risk Dashboard sample;

&nbsp;&nbsp;&nbsp;&nbsp;17. Real estate disposals: the Group will need to dispose of real estate for an amount of EUR 100 mln within
a predefined period;

&nbsp;&nbsp;&nbsp;&nbsp;18. Disposal of non-strategic equity investments: the Parent Company will need to dispose of its equity investments
in Visa, Bancomat, Veneto Sviluppo, MPS Tenimenti Poggio Bonelli e Chigi Saracini S.p.A. and Immobiliare Novoli S.p.A. by 31 December
2024 or, alternatively, must dispose of its equity investment in the Bank of Italy;

&nbsp;&nbsp;&nbsp;&nbsp;19. Closure of foreign branches: the Parent Company is to close the Shanghai branch by the end of 2024;

&nbsp;&nbsp;&nbsp;&nbsp;20. Separate management of the Italian Republic's participation in publicly-owned banks: Separate management
of the equity investment of the Italian Republic in banks under public ownership: the Italian Republic undertakes to guarantee that every
bank owned by the State will remain a separate economic unit with independent decision-making powers pursuant to EC Regulation 139/2004
on the control of concentrations between undertakings and the Commission Consolidated Jurisdictional Notice under the aforementioned Regulation
(EC) No. 139/2004. In particular, the Italian

BANCA MONTE DEI PASCHI DI SIENA

Republic undertakes that: (i) all confidential, commercially sensitive or personal information provided to government bodies will be treated accordingly and will not be passed on to other banks and companies in which the Italian Republic has an interest; (ii) Italy will manage and maintain its participation in the Bank separately from the management of its participation in any other investee bank; (iii) the exercise of any rights held by Italy and the management of Italy's shareholdings in any bank will take place on a commercial basis and will not significantly prevent, restrict, distort or reduce effective competition. Any disposal of Italy's equity investment must be carried out within a transparent, public and competitive process;

&nbsp;&nbsp;&nbsp;&nbsp;21. Confirmation of certain 2017 commitments: the Bank should not violate any commitment adopted and will
continue to respect internal policies and behaviours that it has adopted in order to meet commitments 12 (a)-(j), 13 and 22 of Commission
decision C(2017)4690;

&nbsp;&nbsp;&nbsp;&nbsp;22. Monitoring trustee: full respect for the commitments will be monitored by a Monitoring Trustee independent
of the Italian Republic that has no conflicts of interest.

In March and November 2024, the MEF finalised, in two separate transactions, the sale of its 27.5% stake in the share capital of Banca MPS and, therefore, at the reporting date of these financial statements, the MEF's stake in Banca MPS stood at approximately 11.7% of the share capital, with the fulfilment of commitment #12.

Therefore, as foreseen in commitment #12 and as officially communicated by the European Commission itself, commitments #1 (Ban on Acquisition), #5 (Remuneration of Bank employees and managers), #9 (Operating costs), #10 (Total assets target), #11(Loan to deposit ratio) and #19 (Closure of foreign branches) ceased as a consequence of the above-mentioned divestment.

As at 31 December 2024, the Parent Company was substantially in compliance with its commitments.

In the course of 2025, the formal closure of the commitments by the European Commission is expected, following the release of the Monitoring Trustee's report based on financial data for the last quarter of 2024.

2024 ANNUAL REPORT - Consolidated Report on operations

Income statement and balance sheet reclassification principles

The balance sheet and income statement are shown below in reclassified form according to management criteria in order to provide an indication of the Group's general performance based on economic and financial information that can be quickly and easily determined.

A disclosure is provided below on the aggregations and main reclassifications systematically performed with respect to the financial statements established by Circular no. 262/05. The breakdown of these aggregations and reclassifications are provided, with separate statements, in the annexes to this file, also in compliance with the requirements of Consob Communication no. 6064293 of 28 July 2006.

Note that from 30 June 2024, given the negotiations in progress with a potential buyer, the subsidiary Monte Paschi Banque S.A. (hereinafter MP Banque) was classified as a discontinued operation and therefore measured at the expected sale price, lower than its net book value pursuant to IFRS 5. As at the date of this report, the MP Banque valuation according to the aforementioned standard resulted in the recognition of a EUR -36.4 mln impact (before tax) among restructuring costs. excluding this effect, the subsidiary contributed positively to the Group's profit for approximately EUR 14.4 mln. Consequently, as at 31 December 2024, for continuity with the published comments and to facilitate understanding of the economic and financial trends for the quarters of the current year and corresponding comparative periods, costs and revenues as well as assets and liabilities referring to the consolidated contribution from the subsidiary MP Banque, though classified as a discontinued operation pursuant to IFRS 5, are included on a line-by-line basis in the individual income statement and balance sheet items.

Lastly, note that the balance sheet and income statement figures for the first and third quarters of 2024 and the corresponding comparative figures referring to the insurance associates AXA MPS Assicurazioni Danni S.p.A. and AXA MPS Assicurazioni Vita S.p.A., are estimated by them using proxies or simplified calculation models, given the greater onerous nature of the accounting calculations under IFRS 17 and IFRS 9.

Income statement data

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net interest income**" includes
the balance of financial statement items 10 "Interest income and similar revenues" and 20 "Interest expense and similar
charges", and the portion relating to the subsidiary MP Banque equal to EUR 35.1 mln recognised in item 320 "Profit (loss) after tax from discontinued operations".

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net fee and commission income** "
includes the balance of financial statement Item 40 "Fee and commission income", after deducting the cost of reimbursements
to customers (EUR -1.3 mln), reported under "Other net provisions for risks and charges" and the balance of financial statement
Item 50 "Fee and commission expense". The aggregate also includes the portion relating to the subsidiary MP Banque equal to
EUR 8.9 mln, recognised under item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Dividends, similar income and gains (losses) on investments**" incorporates financial statement item 70 "Dividends and similar income" and the relevant
portion of profits from investments in associates, equivalent to EUR 75.2 mln,
included in financial statement item 250 "Gains (losses) on investments". The aggregate is shown net of the dividends earned
on equity securities other than equity investments (EUR +5.2 mln), reclassified in item "Net Profit from Trading, the Fair Value
Measurement of Assets/Liabilities and Net Gains on Disposals/Repurchases".

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases**" includes the values of items
80 "Net profit (loss) from trading", 100 "Gains/(losses) on disposal/ repurchase" after deducting the contribution
of loans to customers (EUR +0.5 mln) and 110 "Net profit (loss) from financial assets and liabilities measured at fair value through
profit or loss", net of the contribution from loans to customers (EUR -1.3 mln) and securities deriving from sale/securitisation
transactions of non-performing loans (EUR +0.5 mln) posted to the reclassified item "Cost of customer credit". This aggregate
also incorporates values relating to dividends received on equity securities other than equity investments (EUR +5.2 mln) and the portion
relating to the subsidiary MP Banque for EUR +0.2 mln recognised under Item 320 "Profit (Loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net Profit from Hedging**" includes Item 90 "Net
Profit from Hedging".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Other operating income/expenses**" includes the
balance of Item 230 "Other operating expenses/income" net of:

- recovery of indirect taxes and duties and other expenses, which are now under the reclassified item "Other administrative expenses" (EUR 222.1 mln);

- recovery of training expenses, reclassified as decreases in "Personnel expenses" (EUR 1.4 mln) and "Other administrative expenses" (EUR 1.2 mln).

BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;· The aggregate also includes the portion relating to the subsidiary MP Banque
equal to EUR -0.9 mln, recognised under Item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Personnel expenses**" includes the balance of
financial statement item 190a "Personnel expenses" minus charges of EUR 25.9 mln, related to early retirements or access to
the Solidarity Fund, and charges of EUR 1.2 mln related to closure of the Shanghai branch, both reclassified under "Restructuring
costs/one-off charges". The aggregate also includes the recovery of training costs (EUR 1.4 mln) recognised iin the financial statements
under item 230 "Other operating expenses/income", as well as the portion of the cost relating to the subsidiary MP Banque
in the amount of EUR 9.7 mln, recognised under Item 320 "Profit (Loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Other Administrative Expenses**" includes the
balance of item 190b "Other Administrative Expenses", reduced by the following cost items:

<sub> </sub>

charges, amounting to EUR 75.3 mln, introduced against banks under the Deposit Guarantee Systems (DGS), attributed to the reclassified item "Risks and charges associated to SRF, DGS and Similar Schemes";

charges, amounting to EUR 2.2 mln, referring to the newly established Life Insurance Guarantee Fund under Law no. 213 of 30 December 2023;

DTA fee, convertible into tax credit, for an amount of EUR 61.3 mln (posted to the reclassified item "DTA Fee");

charges, amounting to EUR 8.3 mln, referring to branch closures - including the Shanghai branch - and other project initiatives connected to the State Aid received in 2017, reclassified under item "Restructuring costs/one-off charges".

&nbsp;&nbsp;&nbsp;&nbsp;· The item also incorporates indirect taxes and other expenses recovered from
customers (EUR 222.1 mln), and the recovery of expenses incurred for training (EUR 1.2 mln euros) recorded in the financial statements
under item 230 "Other operating expenses/income" as well as the portion of the cost relating to the subsidiary MP Banque for
EUR 13.7 mln, recognised under item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The Item "**Net value adjustments to property, plant and equipment and intangible assets**" includes the values of the financial statement Items 210 "Net Value Adjustments/recoveries on Property,
Plant and Equipment" and 220 "Net Value Adjustments/recoveries on Intangible Assets". Adjustments of EUR -0.3 mln referring
to the closure of branches were separated from the aggregate, recognised under the reclassified item "Restructuring Costs/One-off
Charges". Also included is the portion of impairment losses relating to the subsidiary MP Banque for EUR -2.3 mln, recognised under
item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Cost of customer credit"** includes the income
statement components relating to loans to customers of items 100a "Gains/losses on disposal or repurchase of financial assets measured
at amortised cost" (EUR +0.5 mln), 110b "Net profit (loss) on financial assets and liabilities mandatorily measured at fair
value" (EUR -1.3 mln), 130a "Net impairment (losses)/reversals for credit risk on financial assets measured at amortised
cost" (EUR -400.2 mln), 140 "Modification gains/losses without derecognition" (EUR -10.0 mln) and 200a "Net provisions
for risks and charges - commitments and guarantees issued" (EUR +3.9 mln). The item also includes the income statement components
relating to securities deriving from the transfer/securitisation of non-performing loans recognised in item 110b "Net result of
other Financial assets mandatorily measured at fair value" (EUR +0.5 mln). The aggregate includes the portion of net adjustments
(EUR -3.4 mln) and net provisions for risks and charges for commitments and guarantees given (EUR +0.5 mln) relating to the subsidiary
MP Banque, recognised under item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net Impairment(losses)/reversals on securities and bank loans**" includes the portion relating to loans to banks (EUR -6.0 mln) in financial statement item 130a "Net impairment
(losses)/reversals for credit risk of financial assets measured at amortised cost" and financial statement item 130b "Net
impairment (losses)/reversals for credit risk of financial assets measured at fair value through other comprehensive income".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Other net provisions for risks and charges** "
includes the balance of financial statement item 200 "Net provisions for risks and charges", reduced by component relative
to loans to customers of item 200a "Net provisions for risks and charges - commitments and guarantees given" (EUR +3.9 mln),
which was included in the specific item "Cost of customer credit". The item also includes the cost for reimbursements to customers
recognised as a reduction in "Fee and commission income" for EUR -1.3 mln, as well as the portion relating to the subsidiary
MP Banque for EUR +0.5 mln, recognised under item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Other gains (losses) on equity investments** "
includes the balance of financial statement item 250 "Gains (losses) on equity investments", cleared of EUR 75.2 mln as the
portion of profit of the insurance associates, reclassified under "Dividends, similar income and gains (losses) on investments".

2024 ANNUAL REPORT - Consolidated Report on operations

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Restructuring Costs/One-off Charges**" includes
the following amounts:

<sub> </sub>

- costs for EUR 25.9 mln relating to early retirements or access to the Solidarity Fund accounted for in financial statements item 190a "Personnel expenses";

charges, amounting to EUR 9.8 mln, referring to branch closures - including the Shanghai branch - and other initiatives included in the Business Plan commitments received in 2017, recognised under items 190a "Personnel expenses" (EUR -1.2 mln), 190b "Other administrative expenses" (EUR --8.3 mln), 210 "Net value adjustments/recoveries on property, plant and equipment" (EUR -0.3 mln);

- charges of EUR 36.4 mln relating to the expected loss from disposal of the subsidiary MP Banque included in item 320 "Profit (loss) after tax from discontinued operations";

&nbsp;&nbsp;&nbsp;&nbsp;· The item "Risks and charges associated with SRF, DGS and similar schemes"
includes charges related to contributions to deposit guarantee schemes (EUR 75.3 mln) and the newly established Life Insurance Guarantee
Fund (EUR 2.2 mln) under Law no. 213, of 30 December 2023, both recognised under item 190b "Other administrative expenses".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**DTA fee**" includes charges relating to the fee
on DTAs that can be converted into a tax credit recognised under item 190b "Other administrative expenses", for EUR 61.3 mln.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net Gains (Losses) on Property, Plant and Equipment and Intangible Assets Measured at Fair Value**" includes the balance of financial statement item 260 "Net Gains (Losses) on
Property, Plant and Equipment and Intangible Assets Measured at Fair Value".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Gains (losses) on disposal of investments** "
includes the balance of item 280 "Gains (losses) on disposal of investments" and the portion relating to the subsidiary MP
Banque for EUR +1.0 mln recognised in item 320 "Profit (loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Income tax for the year**" includes the balance
of item 300 "Income tax for the period from current operations" and the portion relating to the subsidiary's MP Banque
for EUR -2.0 mln recognised in item 320 "Profit (Loss) after tax from discontinued operations".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Profit (loss) after tax from discontinued operations** "
includes the balance of item 320 "Profit (loss) after tax from discontinued operations" which was written off. In detail,
the amount of EUR -36.4 mln referring to the expected loss from sale of the subsidiary MP Banque was restated to "Restructuring
costs/One-off costs" and the subsidiary's profit for the period of EUR +14.4 mln was restated in the related individual income
statement items.

&nbsp;&nbsp;&nbsp;&nbsp;· The "**Profit (loss) for the year**" includes the balance
of item 330 "**Profit (loss) for the year** ".

Balance sheet data

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Cash and cash equivalents**" includes the
portion relating to operations with central banks in item 10 "Cash and cash equivalents", supplemented by the portion of the
subsidiary MP Banque for EUR 780.5 mln, recognised in item 120 "Non-current assets held for sale and disposal groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Loans to central banks**" includes the
portion relating to operations with central banks from financial statement item 40 "Financial assets measured at amortised cost".
The aggregate also incorporates the portion referring to the subsidiary MP Banque, equal to EUR 4.7 mln and recognised under item 120
 "Non-current assets held for sale and disposal groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Loans to banks**" includes the portion
relating to operations with banks of financial statement item 40 "Financial assets measured at amortised cost" and item 20
 "Financial assets measured at fair value through profit or loss". The aggregate also incorporates the portion referring to
the subsidiary MP Banque, equal to EUR 0.8 mln and recognised under item 120 "Non-current assets held for sale and disposal groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Loans to Customers**" includes the portion
relating to loans to customers in item 20 "Financial assets measured at fair value through profit or loss", item 40 "Financial
assets measured at amortised cost", including EUR 243.7 mln referring to the subsidiary MP Banque and recognised in item 120 "Non-current
assets held for sale and disposal groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Securities assets**" includes the portion
relating to securities in item 20 "Financial Assets measured at fair value through profit or loss", item 30 "Financial
assets measured at fair value through other comprehensive income" and item 40 "Financial assets measured at amortised cost".

BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Derivatives**" includes the portion relating
to derivatives of financial statement items 20 "Financial Assets Measured at Fair Value through Profit or Loss" and 50 "Hedging
Derivatives".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Equity investments**" includes item 70
 "Equity investments".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Asset item "**Property, plant and equipment and intangible assets** "
includes item 90 "Property, plant and equipment", item 100 "Intangible assets" and the amounts totalling EUR 32.6
mln relating to property, plant and equipment and in-tangible assets in item 120 "Non-current assets held for sale and disposal
groups", of which EUR 16.4 mln refer to the subsidiary MP Banque.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Asset item "**Tax assets**" includes item 110 "Tax
assets" and the portion relating to the subsidiary MP Banque, equal to EUR 1.1 mln, recognised under item 120 "Non-current
assets held for sale and disposal groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Asset item "**Other assets**" includes item 60 "Change
in value of macro-hedged financial assets", item 130 "Other assets", and the amounts in item 120 "Non-current
assets held for sale and disposal groups" not included in the previous items and amounting to EUR 7.8 mln, all of which referring
to the subsidiary MP Banque.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Due to customers**" includes item 10b
 "Financial liabilities measured at amortised cost - due to customers", the component relating to customer securities of item
10c "Financial liabilities measured at amortised cost - debt securities issued" and amounts in item 70 "Liabilities
associated with disposal groups" for EUR 912.1 mln referring entirely to the subsidiary MP Banque.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Liability item "**Securities Issued**" includes financial
statement item 10c "Financial Liabilities Measured at Amortised Cost - Debt Securities Issued", excluding the component relating
to customer securities, and item 30 "Financial Liabilities designated at Fair Value".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Due to central banks**" includes the
portion of item 10a "Financial liabilities measured at amortised cost - Due to banks" relating to operations with central
banks.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Liability item "**Due to banks**" includes the portion of
item 10a "Financial liabilities measured at amortised cost - due to banks" relating to operations with banks (excluding central
banks) and amounts in item 70 "Liabilities associated with disposal groups" for EUR 0.6 mln referring entirely to the subsidiary
MP Banque.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**On-Balance-Sheet Financial Liabilities Held for Trading**" includes the portion of financial statement item 20 "Financial Liabilities Held for Trading" net of
the amounts relating to derivatives for trading.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Derivatives**" includes financial statement
item 40 "Hedging Derivatives" and the portion related to derivatives in financial statement item 20 "Financial Liabilities
Held for Trading".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Liability item "**Provision for specific use**" includes
item 90 "Employee severance indemnities", item 100 "Provisions for risks and charges" and the amounts in item
70 "Liabilities associated with assets held for sale" equal to EUR 3.0 mln and referring entirely to the subsidiary MP Banque.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Liability item "**Tax liabilities**" includes item 60 "Tax
liabilities" and the amount in item 70 "Liabilities associated with assets held for sale" equal to EUR +1.0 mln, entirely
attributable to the subsidiary MP Banque.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Liability item "**Other liabilities**" includes item 50 "Change
in value of macro-hedged financial liabilities", item 80 "Other liabilities" and amounts in item 70 "Liabilities
associated with disposal groups" not restated under previous items (totalling EUR 59.9 mln and referring entirely to the subsidiary
MP Banque).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Shareholders' equity of the Group** "
includes item 120 "Valuation reserves", item 150 "Reserves", item 170 "Share Capital", item 200 "Profit
(loss) for the year".

2024 ANNUAL REPORT - Consolidated Report on operations

Reclassified income statement

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified Consolidated Income Statement**<br>**MONTEPASCHI GROUP** | **31 12 2024** | **31 12 2023** |<br>**Abs.** |<br>**Change %** |
| Net interest income | 2355.8 | 2292.1 | 63.7 | 2.8% |
| Net fee and commission income | 1465.3 | 1321.9 | 143.4 | 10.8% |
| **Income from banking activities** | **3821.1** | **3613.9** | **207.2** | **5.7%** |
| Dividends, similar income and gains (losses) on investments | 92.7 | 107.1 | (14.4) | -13.4% |
| Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases | 115.2 | 67.3 | 47.9 | 71.2% |
| Net profit (loss) from hedging | (1.0) | (4.4) | 3.4 | -77.3% |
| Other operating income (expenses) | 5.7 | 12.8 | (7.1) | -55.5% |
| **Total Revenues** | **4033.8** | **3796.8** | **237.0** | **6.2%** |
| Administrative expenses: | (1697.8) | (1667.1) | (30.7) | 1.8% |
| &nbsp;&nbsp;&nbsp;a) personnel expenses | (1228.8) | (1179.6) | (49.2) | 4.2% |
| &nbsp;&nbsp;&nbsp;b) other administrative expenses | (469.0) | (487.5) | 18.5 | -3.8% |
| Net value adjustments to property, plant and equipment and intangible assets | (171.3) | (175.7) | 4.4 | -2.5% |
| **Operating expenses** | **(1869.1)** | **(1842.8)** | **(26.3)** | **1.4%** |
| **Pre-Provision Operating Profit** | **2164.7** | **1954.1** | **210.6** | **10.8%** |
| **Cost of customer credit** | **(409.5)** | **(440.3)** | **30.8** | **-7.0%** |
| **Net impairment (losses)/reversals on securities and loans to banks** | **(6.7)** | **(3.2)** | **(3.5)** | **n.m.** |
| **Net operating income** | **1748.5** | **1510.6** | **237.9** | **15.7%** |
| Other net provisions for risks and charges | (68.4) | 471.2 | (539.6) | n.m. |
| Other gains (losses) on equity investments | (1.0) | (3.0) | 2.0 | -66.7% |
| Restructuring costs / One-off costs | (72.1) | (22.9) | (49.2) | n.s. |
| Risks and charges associated to the SRF, DGS and similar schemes | (77.5) | (133.7) | 56.2 | -42.0% |
| DTA Fee | (61.3) | (62.9) | 1.6 | -2.5% |
| Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | (27.4) | (53.1) | 25.7 | -48.4% |
| Gains (losses) on disposal of investments | 3.7 | 0.4 | 3.3 | n.m. |
| **Profit (Loss) for the year before tax** | **1444.5** | **1706.5** | **(262.0)** | **-15.4%** |
| Income tax for the year | 506.1 | 345.1 | 161.0 | 46.7% |
| **Profit (Loss) after tax** | **1950.6** | **2051.6** | **(101.0)** | **-4.9%** |
| **Net profit (loss) for the year including non-controlling interests** | **1950.6** | **2051.6** | **(101.0)** | **-4.9%** |
| Net profit (loss) attributable to non-controlling interests | (0.2) | (0.2) | - | 0.0% |
| **Parent company's net profit (loss) for the year** | **1950.8** | **2051.8** | **(101.0)** | **-4.9%** |

---

BANCA MONTE DEI PASCHI DI SIENA

**Quarterly trend in reclassified consolidated income statement**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **2024** | **2024** | **2024** | **2024** | **2023** | **2023** | **2023** | **2023** |
| <br>**MONTEPASCHI GROUP** | **4°Q**<br>**2024** | **3°Q**<br>**2024** | **2°Q**<br>**2024** | **1°Q**<br>**2024** | **4°Q**<br>**2023** | **3°Q**<br>**2023** | **2°Q**<br>**2023** | **1°Q**<br>**2023** |
| Net interest income | 588 | 595.6 | 585.2 | 587 | 604.2 | 605 | 578.3 | 504.5 |
| Net fee and commission income | 373.5 | 356 | 370.5 | 365.3 | 335.3 | 316.6 | 338.3 | 331.7 |
| **Income from banking activities** | **961.5** | **951.6** | **955.7** | **952.3** | **939.5** | **921.6** | **916.6** | **836.2** |
| Dividends, similar income and gains (losses) on invest-ments | 25.7 | 26.8 | 21.2 | 19 | 34.4 | 19.7 | 34.4 | 18.7 |
| Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/ repurchases | 14.8 | 25.6 | 40.3 | 34.4 | 12.6 | 7.6 | 22 | 25.1 |
| Net profit (loss) from hedging | (0.3) | (2.3) | 2 | (0.4) | (2.6) | (1.9) | (0.5) | 0.6 |
| Other operating income (expenses) | (5.3) | 4.9 | (1.3) | 7.4 | 8.6 | 6 | (0.2) | (1.7) |
| **Total Revenues** | **996.4** | **1.006.7** | **1.017.9** | **1.012.8** | **992.5** | **953.0** | **972.3** | **878.9** |
| Administrative expenses: | (432.2) | (425.1) | (420.9) | (419.7) | (440.6) | (399.2) | (406.2) | (421.1) |
| &nbsp;&nbsp;&nbsp;a) personnel expenses | (311.1) | (309.5) | (303.6) | (304.6) | (320.9) | (284.3) | (286.7) | (287.6) |
| &nbsp;&nbsp;&nbsp;b) other administrative expenses | (121.1) | (115.6) | (117.3) | (115.1) | (119.7) | (114.8) | (119.5) | (133.5) |
| Net value adjustments to property, plant and equipment and intangible assets | (44.6) | (42.3) | (42.0) | (42.4) | (44.4) | (44.8) | (43.0) | (43.5) |
| **Operating expenses** | **(476.8)** | **(467.4)** | **(462.9)** | **(462.0)** | **(485.0)** | **(444.0)** | **(449.2)** | **(464.6)** |
| **Pre-Provision Operating Profit** | **519.6** | **539.3** | **555.0** | **550.8** | **507.6** | **509.1** | **523.1** | **414.3** |
| **Cost of customer credit** | **(109.3)** | **(96.3)** | **(98.3)** | **(105.7)** | **(133.3)** | **(102.1)** | **(97.7)** | **(107.2)** |
| **Net impairment (losses)/reversals on securities and loans to banks** | **(1.1)** | **(0.9)** | **(3.9)** | **(0.8)** | **(2.9)** | **(1.9)** | **0.1** | **1.5** |
| **Net operating income** | **409.2** | **442.2** | **452.8** | **444.3** | **371.3** | **405.1** | **425.5** | **308.6** |
| Other net provisions for risks and charges | (31.9) | (21.7) | (10.8) | (4.0) | 466.1 | 7.5 | 4.1 | (6.5) |
| Other gains (losses) on equity investments | 2.8 | 0 | (3.8) | 0 | 0.1 | (1.8) | 0.3 | (1.6) |
| Restructuring costs / One-off costs | (14.2) | (16.5) | (33.7) | (7.7) | (13.3) | (13.1) | 9.7 | (6.2) |
| Risks and charges associated to the SRF, DGS and similar schemes | (2.2) | 0.1 | (0.4) | (75.0) | 0.1 | (75.2) | (0.2) | (58.4) |
| DTA Fee | (15.3) | (15.3) | (15.3) | (15.3) | (15.7) | (15.7) | (15.7) | (15.7) |
| Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | (9.1) | 1 | (19.3) |  | (24.3) |  | (28.9) | 0.1 |
| Gains (losses) on disposal of investments | 8.9 | 0.8 | 0.1 | (6.1) | - | 0.2 | 0.2 | - |
| **Profit (Loss) for the year before tax** | **348.2** | **390.5** | **369.6** | **336.2** | **784.3** | **306.9** | **395.0** | **220.3** |
| Income tax for the year | 36.6 | 16.2 | 456.8 | (3.5) | 338.8 | 2.7 | (11.8) | 15.4 |
| **Profit (Loss) after tax** | **384.8** | **406.7** | **826.4** | **332.7** | **1.123.1** | **309.6** | **383.2** | **235.7** |
| **Net profit (loss) for the year including non-controlling interests** | **384.8** | **406.7** | **826.4** | **332.7** | **1.123.1** | **309.6** | **383.2** | **235.7** |
| Net profit (loss) attributable to non-controlling interests | (0.1) | - | (0.1) | - | (0.1) | - | (0.1) | - |
| **Parent company's net profit (loss) for the year** | **384.9** | **406.7** | **826.5** | **332.7** | **1.123.2** | **309.6** | **383.3** | **235.7** |

---

2024 ANNUAL REPORT - Consolidated Report on operations

Revenue trends

As at 31 December 2024, the Group achieved total **Revenues** of **EUR 4,034 mln**, up by 6.2% compared to the previous year.

This trend is mainly due to the growth in the Primary Net Interest, which increased both on the Net Interest Income (+2.8%) and on Net Fee and Commission income (+10.8%); Other Revenues from Financial Operations also increased (+21.6%), positively impacted by the significant growth in trading income.

In the fourth quarter of 2024, the growth in Net Fee and Commissions income was more than offset by the dynamics of Net Interest Income, which was influenced by the interest rate scenario, Other Financial Income and Other Operating Income and Charges, leading to a slight decrease in revenues compared to the previous quarter (-1.0%).

With regard to the presentation of revenues for each of the operating segments identified in accordance with IFRS 8, please refer to the chapter on "Results by Operating Segment" in this Consolidated Report on Operations.

**Net Interest Income** as at 31 December 2024 amounted to **EUR 2,356 mln**, an increase compared to 2023 (+2.8%, equal to EUR +63.7 mln). The growth was mainly driven by the higher contribution from relations with central banks, hedging derivatives and the securities portfolio. In particular, in relations with central banks, a net benefit of EUR 143 mln was recognised as at 31 December 2024, compared to the net cost of EUR 70 mln for 2023. This performance reflects, among other things, the change in the net position vis-à-vis the ECB from an average debit balance of EUR 1.5 bn in 2023 to an average credit balance of EUR 4.9 bn in 2024, thanks to the optimisation of the total cost of funding. This positive trend more than offset the higher cost of bond issues – mainly caused by renewed recourse to the institutional market – and the higher borrowing rates recorded in transactions with customers, especially in the first half of 2024.

The Net Interest Income in Q4 2024 was slightly lower than in the previous quarter (-1.3%, or EUR -7.6 mln), with a resilient commercial spread also due to the effective management of the cost of commercial funding.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Items** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** | **4°Q**<br>**2024** | **3°Q**<br>**2024** | **Abs.** | **%** |
| Loans to customers measured at amortised cost | 2059.6 | 2378.9 | (319.3) | -13.4% | 500.8 | 509.4 | (8.6) | -1.7% |
| Loans to Banks measured at amortised cost | 113.3 | 79.2 | 34.1 | 43.1% | 27.9 | 32.0 | (4.1) | -12.8% |
| Loans to Central Banks | 143.3 | (69.5) | 212.8 | n.s. | 39.7 | 36.7 | 3.0 | 8.2% |
| Government securities and other non-bank issuers at amortised cost | 283.3 | 217.4 | 65.9 | 30.3% | 74.1 | 76.7 | (2.6) | -3.4% |
| Securities issued | (472.8) | (382.7) | (90.1) | 23.5% | (113.8) | (120.6) | 6.8 | -5.6% |
| Hedging derivatives | 9.7 | (90.5) | 100.2 | n.s. | 1.7 | 2.6 | (0.9) | -34.6% |
| Trading portfolios | 58.6 | 40.3 | 18.3 | 45.4% | 16.3 | 16.6 | (0.3) | -1.8% |
| Portfolios measured at fair value | 7.5 | 7.2 | 0.3 | 4.2% | 1.9 | 1.9 |  | 0.0% |
| Financial assets measured at fair value through other comprehensive income | 42.1 | 46.2 | (4.1) | -8.9% | 10.3 | 10.8 | (0.5) | -4.6% |
| Other financial assets and liabilities | 111.2 | 65.6 | 45.6 | 69.5% | 29.1 | 29.5 | (0.4) | -1.4% |
| **Net interest income** | **2355.8** | **2292.1** | **63.7** | **2.8%** | **588.0** | **595.6** | **(7.6)** | **-1.3%** |
| of which: interest income on impaired financial assets | 102.1 | 84.0 | 18.1 | 21.5% | 26.0 | 26.0 |  | 0.0% |

---

BANCA MONTE DEI PASCHI DI SIENA

**Net fee and commission income**, totalling **EUR 1,465 mln** as at 31 December 2024, recorded a significant increase compared to the same period of the previous year (+10.8%). The positive performance is mainly attributable to management/ brokerage and advisory activities (+19.0%; EUR +113.7 mln) and, to a lesser extent, commercial banking activity (+4.1%; EUR +29.7 mln). In detail, in the first commissions area, the contribution of distribution and portfolio management increased (+30.1%; EUR +109.7 mln) and insurance products (+8.5%; EUR +16.3 mln). In the commercial banking area, com-mission income on guarantees (EUR +28.9 mln) and other net fee and commission income (EUR +12.4 mln) were partly offset by reduced commissions on current accounts (EUR -16.4 mln) in relation to the Bank's reduction of account maintenance costs applied to customers and the ATM and credit card services (EUR -10.1 mln). The result for the fourth quarter of the 2024 financial year showed an increase over the previous quarter (+4.9%) due to growth in commercial banking (+8.1).

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Service/value** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** | **4°Q**<br>**2024** | **3°Q**<br>**2024** | **Abs.** | **%** |
| Loans | 250.1 | 242.7 | 7.4 | 3.0% | 66.1 | 61.3 | 4.8 | 7.8% |
| Current accounts | 215.8 | 232.2 | (16.4) | -7.1% | 53.8 | 53.8 |  | 0.0% |
| Payment services | 128.5 | 121 | 7.5 | 6.2% | 37 | 31.5 | 5.5 | 17.5% |
| Debit and credit cards | 78.3 | 88.4 | (10.1) | -11.4% | 17.9 | 18.3 | (0.4) | -2.2% |
| Guarantees issued and received | 31.7 | 2.8 | 28.9 | n.s. | 9.3 | 7.6 | 1.7 | 22.4% |
| Other net fees | 47.7 | 35.3 | 12.4 | 35.1% | 13.4 | 10.1 | 3.3 | 32.7% |
| **Commercial banking activities** | **752.1** | **722.4** | **29.7** | **4.1%** | **197.5** | **182.7** | **14.8** | **8.1%** |
| Distribution and management portfolio | 474.6 | 364.9 | 109.7 | 30.1% | 123.8 | 117.3 | 6.5 | 5.5% |
| Distribution of insurance product | 208.3 | 192 | 16.3 | 8.5% | 48.9 | 51.7 | (2.8) | -5.4% |
| Financial Advisors | (63.0) | (52.9) | (10.1) | 19.1% | (17.8) | (14.9) | (2.9) | 19.5% |
| Placement of currency and securities | 66.8 | 71.4 | (4.6) | -6.4% | 13.8 | 12.8 | 1 | 7.8% |
| Other management and advisory fees and commissions | 26.5 | 24.1 | 2.4 | 10.0% | 7.3 | 6.4 | 0.9 | 14.1% |
| **Fees from management and advisory activities** | **713.2** | **599.5** | **113.7** | **19.0%** | **176.0** | **173.3** | **2.7** | **1.6%** |
| **Net fees and commission income** | **1465.3** | **1321.9** | **143.4** | **10.8%** | **373.5** | **356.0** | **17.5** | **4.9%** |

---

For the breakdown of commission income by operating segment, see Part C of the Notes to the Financial Statements.

**Dividends, similar income and gains (losses) on equity investments** amounted to **EUR 93 mln**, down by EUR 14 mln compared to 2023 relating to the reduced contribution of the insurance companies. The result in the fourth quarter of 2024 was EUR 1,1 mln lower than that of the previous quarter.

**Net Profit (Loss) from trading, the fair value measurement of assets/liabilities and net gains on disposal/repurchase** as at 31 December 2024 amounted to **EUR 115 mln**, an increase compared to the values recorded in the same period of the previous year (EUR +47.9 mln) with a reduced contribution in the fourth quarter of 2024 compared to the previous quarter (EUR -10.8 mln). The analysis of the main aggregates shows the following:

&nbsp;&nbsp;&nbsp;&nbsp;· **Net profit from trading was** positive for **EUR 133 mln**, compared
to the profit of EUR 61 mln recorded in the previous year (EUR +72.2 mln). The growth is mainly attributable to the contribution of business
volumes deriving from the management of transactions with institutional customers and corporate customers, market making activities and
a favourable market context. The figure for the fourth quarter was EUR 18 mln compared to EUR 33 mln in the previous quarter.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net profit (loss) other assets/liabilities measured at fair value through profit or loss**, negative of EUR 9 mln, compared to the negative result of EUR 4 mln in 2023. The result for the fourth quarter 2024
amounted to EUR -4 mln, up from the negative result of EUR 9 mln recorded in the previous quarter.

&nbsp;&nbsp;&nbsp;&nbsp;· **The gains (losses) from disposal/repurchase** (excluding loans to customers
at amortised cost) were negative for **EUR 9 mln**, compared to EUR +10 mln in 2023, mainly due to the restructuring of the investment
portfolio in support of net interest income. The contribution for the fourth quarter of 2024 was positive for EUR 1 mln compared to the
positive result of EUR 1.4 mln in the previous quarter.

2024 ANNUAL REPORT - Consolidated Report on operations

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Items** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** | **4°Q**<br>**2024** | **3°Q**<br>**2024** | **Abs.** | **%** |
| Financial assets held for trading | 82.1 | 177.0 | (94.9) | -53.6% | (7.7) | 85.6 | (93.3) | n.s. |
| Financial liabilities held for trading | (0.3) | (65.7) | 65.4 | -99.5% | 18.2 | (43.4) | 61.6 | n.s. |
| Exchange rate effects | 10.0 | (7.2) | 17.2 | n.s. | 8.6 | (4.8) | 13.4 | n.s. |
| Derivatives | 41.4 | (43.1) | 84.5 | n.s. | (1.3) | (4.6) | 3.3 | -71.7% |
| **Trading results** | **133.2** | **61.0** | **72.2** | **n.s.** | **17.8** | **32.8** | **(15.0)** | **-45.7%** |
| Net profit (loss) from other financial assets and liabilities measured at fair value through profit or loss | (9.1) | (3.7) | (5.4) | n.s. | (4.2) | (8.6) | 4.4 | -51.2% |
| Disposal / repurchase (excluding loans to customers measured at amortised cost) | (8.9) | 10.0 | (18.9) | n.s. | 1.2 | 1.4 | (0.2) | -14.3% |
| **Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases** | **115.2** | **67.3** | **47.9** | **71.2%** | **14.8** | **25.6** | **(10.8)** | **-42.2%** |

---

The following items are also included in Revenues:

&nbsp;&nbsp;&nbsp;&nbsp;· **The net profit (loss) from hedging** was **EUR -1 mln**, compared
to EUR -4 mln achieved in the same period of the previous year. The figure for the fourth quarter 2024 was essentially zero, compared
to the previous quarter's negative contribution of EUR 2 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· **Other operating income/expenses** amounted to positive **EUR 6 mln** (compared to the EUR +13 mln in the same period last year). The result for the fourth quarter of 2024 was EUR -5 mln (contribution
of EUR +5 mln in the previous quarter).

At 31 December 2024, **Operating expenses** were **EUR 1,869 mln**, an increase compared to 31 December 2023 (+1.4%) due to the impact on Personnel expenses of the renewal of the National Collective Labour Agreement, partially offset by the continued optimisation of Other administrative expenses (-3.8% compared to 2023); The result for the fourth quarter of 2024 also shows an increase (+2.0%) compared to the previous quarter. A closer look at the individual aggregates reveals the following:

&nbsp;&nbsp;&nbsp;&nbsp;· **Administrative expenses** amounted to **EUR 1,698 mln**, up compared
to 31 December 2023 (+1.8%), with an increased contribution in the fourth quarter of 2024 compared to the previous quarter (+1.7%). A
breakdown of the aggregate shows:

**Personnel Expenses**, which amounted to EUR 1,229 mln, where higher than those recorded in the previous year (+4.2%), as a consequence of the increased costs resulting from the renewal of the National Collective Labour Agreement in November 2023. The figure for the fourth quarter of 2024 was up compared to the previous quarter (+0.5%) due to the second increase in salaries envisaged by the aforementioned National Collective Labour Agreement, effective from 1 September 2024;

**Other administrative expenses**, amounting to EUR 469 mln, were down compared to 31 December 2023 (-3.8%), due in part to the implementation of a rigorous expenditure management process and the focus on cost optimisation. Other administrative expenses in the fourth quarter of 2024 increased compared to the previous quarter (+4.8%), reflecting the typical seasonality of the last quarter of the year.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net value adjustments to property, plant and equipment** and intangible
assets totalled **EUR 171 mln** as at 31 December 2024, down compared to 31 December 2023 (-2.5%); the contribution of the fourth quarter
2024 was up from the previous quarter (+5.4%) as a result of the write-down of certain software and user rights.

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Type of transaction** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** | **4°Q**<br>**2024** | **3°Q**<br>**2024** | **Abs.** | **%** |
| Wages and salaries | (871.1) | (845.7) | (25.4) | 3.0% | (222.1) | (217.9) | (4.2) | 1.9% |
| Social-welfare charges | (235.2) | (231.8) | (3.4) | 1.5% | (58.1) | (60.3) | 2.2 | -3.6% |
| Other personnel expenses | (122.5) | (102.1) | (20.4) | 20.0% | (30.9) | (31.3) | 0.4 | -1.3% |
| **Personnel expenses** | **(1228.8)** | **(1179.6)** | **(49.2)** | **4.2%** | **(311.1)** | **(309.5)** | **(1.6)** | **0.5%** |
| Taxes | (226.2) | (211.0) | (15.2) | 7.2% | (69.8) | (51.4) | (18.4) | 35.8% |
| Furnishing, real estate and security expenses | (79.7) | (92.1) | 12.4 | -13.5% | (19.4) | (20.3) | 0.9 | -4.4% |
| General operating expenses | (166.7) | (168.7) | 2 | -1.2% | (41.0) | (42.1) | 1.1 | -2.6% |
| Information technology expenses | (119.5) | (111.0) | (8.5) | 7.7% | (30.0) | (29.2) | (0.8) | 2.7% |
| Legal and professional expenses | (63.3) | (61.5) | (1.8) | 2.9% | (20.8) | (14.3) | (6.5) | 45.5% |
| Indirect personnel costs | (5.2) | (4.7) | (0.5) | 10.6% | (1.5) | (1.1) | (0.4) | 36.4% |
| Insurance | (16.3) | (17.4) | 1.1 | -6.3% | (4.1) | (4.8) | 0.7 | -14.6% |
| Advertising, sponsorship and promotions | (3.1) | (6.3) | 3.2 | -50.8% | (1.3) | (0.7) | (0.6) | 85.7% |
| Other | (12.2) | (13.2) | 1 | -7.6% | (2.9) | (3.0) | 0.2 | -3.3% |
| Expenses recovery | 223.3 | 198.4 | 24.9 | 12.6% | 69.8 | 51.4 | 18.4 | 35.8% |
| **Other administrative expenses** | **(469.0)** | **(487.5)** | **18.5** | **-3.8%** | **(121.1)** | **(115.6)** | **(5.5)** | **4.8%** |
| Property, plant and equipment | (103.3) | (108.4) | 5.1 | -4.7% | (26.5) | (25.7) | (0.8) | 3.1% |
| Intangible assets | (68.0) | (67.3) | (0.7) | 1.0% | (18.1) | (16.6) | (1.5) | 9.0% |
| **Net value adjustments to property, plant and equipment and intangible assets** | **(171.3)** | **(175.7)** | **4.4** | **-2.5%** | **(44.6)** | **(42.3)** | **(2.3)** | **5.4%** |
| **Operating expenses** | **(1869.1)** | **(1842.8)** | **(26.3)** | **1.4%** | **(476.8)** | **(467.4)** | **(9.4)** | **2.0%** |

---

As a result of these trends, the Group's **Gross Operating Income** amounted to **EUR 2,165 mln**, up compared to 31 December 2023 (EUR 1,954 mln). The contribution of the fourth quarter (amounting to EUR 520 mln) was down on the previous quarter (amounting to EUR 539 mln) due to the above-mentioned dynamics.

2024 ANNUAL REPORT - Consolidated Report on operations

Cost of Customer Credit

At 31 December 2024, the Group recognised a **Cost of Customer Credit** equal to **EUR 410 mln**, a decrease compared to the figure of EUR 440 mln of the previous year. The figure for the third quarter of 2024 was EUR 109 mln, compared to EUR 96 mln in the previous quarter.

As at 31 December 2024, the **Provisioning Rate**, expressed as the ratio of the annualised cost of customer credit to the sum of loans to customers and the value of securities from sales/securitisations of non-performing loans, was 53 bps, essentially stable compared to 30 September 2024 (52 bps) and improved compared to the figure of 57 bps as at 31 December 2023.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Items** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** | **4°Q**<br>**2024** | **3°Q**<br>**2024** | **Abs.** | **%** |
| Loans to customers measured at amortised cost | (403.1) | (417.5) | 14.4 | -3.4% | (87.9) | (91.6) | 3.7 | -4.0% |
| Modification gains/(losses) | (10.0) | (6.8) | (3.2) | 47.1% | (2.9) | (2.2) | (0.7) | 31.8% |
| Gains/(losses) on disposal/repurchase of loans to customers measured at amortised cost | 0.5 | (0.1) | 0.6 | n.m. |  | (0.3) | 0.3 | -100.0% |
| Net change of Loans to customers mandatorily measured at fair value | (1.3) | (0.5) | (0.8) | n.m. |  | (0.3) | 0.3 | -100.0% |
| Net provisions for risks and charges on commitments and guarantees issued | 4.4 | (15.4) | 19.8 | n.m. | (18.5) | (1.9) | (16.6) | n.s. |
| **Cost of customer credit** | **(409.5)** | **(440.3)** | **30.8** | **-7.0%** | **(109.3)** | **(96.3)** | **(13.0)** | **13.5%** |

---

The Group's **Net Operating Income** as at 31 December 2024 stood at **EUR 1,748 mln**, a notable increase from the result of EUR 1,511 mln as at 31 December 2023. The result for the fourth quarter of 2024 was EUR 409 mln, compared to EUR 442 mln in the previous quarter.

Non-operating income, tax and net profit (loss) for the year

The **Net profit (loss) for the year** included the following items:

&nbsp;&nbsp;&nbsp;&nbsp;· **Other net provisions for risks and charges** amounted to **EUR -68 mln** at 31 December 2024, compared to net releases of EUR 471 mln recognised in the previous year (almost entirely due to the improved
litigation risk profile of the litigation related to financial information disseminated in previous years as a result of the positive
judgments issued in the last quarter of 2023). The contribution for the fourth quarter of 2024 was EUR -32 mln, compared to EUR -22 mln
in the previous quarter.

&nbsp;&nbsp;&nbsp;&nbsp;· **Other gains (losses) on equity investments** of **EUR -1 mln** as
at 31 December 2024 (EUR -3 mln was the result for 2023), with a positive contribution from the fourth quarter of EUR 3 mln (which compares
with a nil result achieved in the previous quarter).

&nbsp;&nbsp;&nbsp;&nbsp;· **Restructuring costs/One-off costs** amounted to EUR -72 mln, compared
to the contribution of EUR -23 mln in 2023; include, in particular, the effect of the discounting of charges related to departures through
redundancy or access to the Solidarity Fund and the impact expected from the disposal of the subsidiary MP Banque, the latter amounting
to EUR -36 mln, of which EUR -3 mln recognised in the fourth quarter. The contribution for the fourth quarter 2024, equal to EUR -14 mln,
was down slightly compared to the previous quarter (EUR -17 mln).

&nbsp;&nbsp;&nbsp;&nbsp;· **Risks and charges associated with SRF, DGS and similar schemes**, equal
to **EUR -78 mln**, of which EUR -75 mln were recognised in the first quarter and consisted of the 2024 contribution to the deposit
guarantee scheme (DGS) for the Group's Italian banks which, in the previous year, was recognised in the third quarter; also include,
in the fourth quarter of 2024, EUR -2 mln relating to the estimated portion of the contribution charge to the newly established Life Insurance
Guarantee Fund borne by the Group's distribution companies. In 2023, a contribution of EUR -59 mln was also recorded for the Single
Resolution Fund (SRF), not payable in the current year<sup>11</sup>.

11 The Articles of Association of the Interbank Deposit Protection Fund (FITD), in line with the provisions of the DGS Directive, require the Fund to allocate available funds until the target level is reached, i.e. 0.8% of total protected deposits by 3 July 2024. To allow achievement of the target level by the legal deadline, as an exception measure the FITD called for payment of the 2024 contribution by 2 July 2024. With regard to the annual contribution payable to the Single Resolution Fund, the Single Resolution Board (SRB) announced that no contribution to the European banking system will be required in 2024, unless there specific circumstances or resolution actions arise that call for recourse to the Single Resolution Fund.

BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;· **DTA fee** of EUR -61 mln, down from the previous year's figure
of EUR -63 mln; the contrbutuion of the fourth quarter 2024 is in line with the previous quarter. This amount, determined according to
the criteria set forth in Italian Law Decree 59/2016, converted into Italian Law no. 119, of 30 June 2016, represents the fee as at 31
December 2024 on DTA (Deferred Tax Assets) that can be converted into a tax credit.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net gains (losses) on property, plant and equipment and intangible assets measured at fair value** were equal to **EUR -27 mln** (of which EUR -8 mln were recognised in the second half
 of 2024) as a result of the half-yearly update to property valuations, compared to the loss
 of EUR -53 mln recorded in 2023.

&nbsp;&nbsp;&nbsp;&nbsp;· **Gains (Losses) on disposal of investments**, amounting to EUR +4 mln
as at 31 December 2024, with a positive contribution of EUR 9 mln in the fourth quarter due to the completion of the sale of certain
properties; the previous year's result was essentially nil.

As a result of these trends, the Group's **Profit (loss) for the year before tax** amounted to **EUR 1,445 mln**, compared to the pre-tax profit of EUR 1,707 mln recorded in 2023 (which had benefited from the net releases in the item Provisions for risks and charges described above). The result for the fourth quarter of 2024 was EUR 348 mln, compared to EUR 390 mln in the previous quarter.

**Income tax for the year** recorded a positive contribution of **EUR 506 mln** (a positive contribution of EUR 345 mln as at 31 December 2023), mainly attributable to the revaluation of DTAs after the Group's income projections carried out as from the second quarter based on the 2024-2028 Business Plan, net of tax relating to profit for the year.

As a consequence of these trends, the **Parent Company profit amounted to the Parent Company amounts to EUR 1,951 mln** for the year ending 31 December 2024, which compared to a profit of EUR 2,052 mln recorded in 2023 (which had benefited from the net releases in Provisions for risks and charges described above). The profit for the fourth quarter was EUR 385 mln (EUR 407 mln in the previous quarter).

In compliance with Consob's instructions, following is a statement of the reconciliation of the Shareholders' equity and Net profit (loss) for the year of the Parent Company with the consolidated items:

**Reconciliation between Parent Company and Consolidated Net Equity and Profit (Loss) for the period**

---

| | | |
|:---|:---|:---|
|  |<br>**Shareholders' equity** | **Net profit (loss)**<br>**for the year** |
| Parent Company's net equity | 11284.5 | 1922.9 |
| of which Parent Company's valuation reserves | 52.6 |  |
| Impact of line-by-line consolidation of subsidiaries | (0.4) | 13.4 |
| Impact of consolidation of jointly controlled entities and associates | 152.5 | 55.0 |
| Reversal of dividends from subsidiaries |  | (35.6) |
| Reversal of written-down equity investments | 193.1 |  |
| Other adjustments | 11.5 | (4.9) |
| Subsidiaries' and associates' valuation reserves | 7.9 | - |
| **Consolidated balance** | **11649.0** | **1950.8** |
| of which valuation reserves | 60.4 |  |

---

2024 ANNUAL REPORT - Consolidated Report on operations

Reclassified balance sheet

The (i) reclassified balance sheet as at 31 December 2024 compared with the balances set forth in the financial statements as at 31 December 2023 and (ii) the statement of its quarterly evolution starting from the first quarter of the previous year are provided below.

**Reclassified Consolidated Balance Sheet**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg** | **Chg** |
| <br>**Assets** | **31 12 2024** | **31 12 2023** | **abs.** | **%** |
| Cash and cash equivalents | 14029.9 | 14317.3 | (287.4) | -2.0% |
| Loans to central banks | 565.5 | 526.8 | 38.7 | 7.3% |
| Loans to banks | 2068.3 | 2582.2 | (513.9) | -19.9% |
| Loans to customers | 77309.6 | 76815.6 | 494 | 0.6% |
| Securities assets | 17447.4 | 17276.9 | 170.5 | 1.0% |
| Derivatives | 2406.4 | 2776.3 | (369.9) | -13.3% |
| Equity investments | 672.3 | 726.7 | (54.4) | -7.5% |
| Property, plant and equipment/Intangible assets | 2297.7 | 2482.7 | (185.0) | -7.5% |
| of which: goodwill | 7.9 | 7.9 |  | 0.0% |
| Tax assets | 2538 | 2150.9 | 387.1 | 18.0% |
| Other assets | 3266.6 | 2958.3 | 308.3 | 10.4% |
| **Total assets** | **122601.7** | **122613.7** | **(12.0)** | **0.0%** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg** | **Chg** |
| <br>**Liabilities** | **31 12 2024** | **31 12 2023** | **abs,** | **%** |
| Direct funding | 93971.9 | 90639.0 | 3332.9 | 3.7% |
| &nbsp;&nbsp;&nbsp;a) Due to customers | 84049.4 | 80558.4 | 3491.0 | 4.3% |
| &nbsp;&nbsp;&nbsp;b) Securities issued | 9922.5 | 10080.6 | (158.1) | -1.6% |
| Due to central banks | 8510.9 | 13148.2 | (4637.3) | -35.3% |
| Due to banks | 1301.0 | 1350.6 | (49.6) | -3.7% |
| On-balance-sheet financial liabilities held for trading | 1617.9 | 1823.2 | (205.3) | -11.3% |
| Derivatives | 1346.2 | 1361.7 | (15.5) | -1.1% |
| Provisions for specific use | 1006.7 | 1050.3 | (43.6) | -4.2% |
| &nbsp;&nbsp;&nbsp;a) Provision for staff severance indemnities | 72.4 | 72.0 | 0.4 | 0.6% |
| &nbsp;&nbsp;&nbsp;b) Provision related to guarantees and other commitments given | 149.9 | 154.3 | (4.4) | -2.9% |
| &nbsp;&nbsp;&nbsp;c) Pension and other post-retirement benefit obligations | 3.3 | 3.4 | (0.1) | -2.9% |
| &nbsp;&nbsp;&nbsp;d) Other provisions | 781.1 | 820.6 | (39.5) | -4.8% |
| Tax liabilities | 6.6 | 9.1 | (2.5) | -27.5% |
| Other liabilities | 3191.2 | 3252.4 | (61.2) | -1.9% |
| Group net equity | 11649.0 | 9978.5 | 1670.5 | 16.7% |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 60.4 | 27.9 | 32.5 | n.m. |
| &nbsp;&nbsp;&nbsp;d) Reserves | 2184.3 | 445.3 | 1739.0 | n.m. |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7453.5 | 7453.5 |  | 0.0% |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the year | 1950.8 | 2051.8 | (101.0) | -4.9% |
| Non-controlling interests | 0.3 | 0.7 | (0.4) | -57.1% |
| **Total Liabilities and Shareholders' Equity** | **122601.7** | **122613.7** | **(12.0)** | **0.0%** |

---

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reclassified Consolidated Balance Sheet - Quarterly Trend** | **Reclassified Consolidated Balance Sheet - Quarterly Trend** | **Reclassified Consolidated Balance Sheet - Quarterly Trend** | | | | | | |
| **Assets** | **31 12 2024** | **30 09 2024** | **30 06 2024** | **31 03 2024** | **31 12 2023** | **30 09 2023** | **30 06 2023** | **31 03 2023** |
| Cash and cash equivalents | 14029.9 | 13734.3 | 17692.0 | 16003.5 | 14317.3 | 13514.5 | 11769.1 | 14512.4 |
| Loans to central banks | 565.5 | 588.8 | 566.4 | 832.4 | 526.8 | 522.6 | 544.1 | 656.4 |
| Loans to banks | 2068.3 | 2264.8 | 2670.9 | 2313.0 | 2582.2 | 2270.1 | 2237.9 | 2125.8 |
| Loans to customers | 77309.6 | 76649.0 | 77974.7 | 78422.9 | 76815.6 | 77981.6 | 76056.0 | 77755.6 |
| Securities assets | 17447.4 | 17800.6 | 18398.6 | 18175.7 | 17276.9 | 18323.3 | 19589.7 | 18652.3 |
| Derivatives | 2406.4 | 2578.3 | 2909.0 | 2734.6 | 2776.3 | 3122.8 | 3023.6 | 3215.9 |
| Equity investments | 672.3 | 744.3 | 708.1 | 739.1 | 726.7 | 689.1 | 677.3 | 772.0 |
| Property, plant and equipment/Intangible assets | 2297.7 | 2330.7 | 2356.0 | 2423.1 | 2482.7 | 2499.6 | 2495.8 | 2567.1 |
| of which: goodwill | 7.9 | 7.9 | 7.9 | 7.9 | 7.9 | 7.9 | 7.9 | 7.9 |
| Tax assets | 2538.0 | 2517.5 | 2523.8 | 2153.0 | 2150.9 | 1922.4 | 2065.6 | 2219.7 |
| Other assets | 3266.6 | 3270.6 | 2901.0 | 2978.0 | 2958.3 | 2346.4 | 2342.0 | 1808.8 |
| **Total assets** | **122601.7** | **122478.9** | **128700.5** | **126775.3** | **122613.7** | **123192.4** | **120801.1** | **124286.0** |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Liabilities** | **31 12 2024** | **30 09 2024** | **30 06 2024** | **31 03 2024** | **31 12 2023** | **30 09 2023** | **30 06 2023** | **31 03 2023** |
| Direct funding | 93971.9 | 91249.4 | 96521.6 | 92718.1 | 90639.0 | 89414.6 | 84142.3 | 84067.0 |
| &nbsp;&nbsp;&nbsp;a) Due to customers | 84049.4 | 82159.5 | 86180.1 | 83204.1 | 80558.4 | 79494.9 | 74726.7 | 74708.3 |
| &nbsp;&nbsp;&nbsp;b) Securities issued | 9922.5 | 9089.9 | 10341.5 | 9514.0 | 10080.6 | 9919.7 | 9415.6 | 9358.7 |
| Due to central banks | 8510.9 | 9016.4 | 12009.7 | 11629.3 | 13148.2 | 13105.6 | 15283.4 | 19317.2 |
| Due to banks | 1301.0 | 1226.5 | 1114.1 | 1304.4 | 1350.6 | 1790.8 | 1897.7 | 1884.6 |
| On-balance-sheet financial liabilities held for negoziazione | 1617.9 | 3216.5 | 2932.7 | 5164.3 | 1823.2 | 3614.6 | 2859.9 | 3276.3 |
| Derivatives | 1346.2 | 1341.0 | 1353.6 | 1396.7 | 1361.7 | 1493.9 | 1554.5 | 1608.7 |
| Provisions for specific use | 1006.7 | 945.3 | 934.8 | 1012.1 | 1050.3 | 1501.9 | 1523.3 | 1554.2 |
| &nbsp;&nbsp;&nbsp;a) Provision for staff severance indemnities | 72.4 | 70.1 | 70.1 | 72.0 | 72.0 | 67.7 | 67.7 | 69.9 |
| &nbsp;&nbsp;&nbsp;b) Provision related to guarantees and other commitments given | 149.9 | 131.4 | 129.5 | 138.0 | 154.3 | 152.6 | 148.6 | 152.8 |
| &nbsp;&nbsp;&nbsp;c) Pension and other post-retirement benefit obligations | 3.3 | 3.1 | 3.2 | 3.3 | 3.4 | 3.5 | 3.7 | 3.8 |
| &nbsp;&nbsp;&nbsp;d) Other provisions | 781.1 | 740.7 | 732.0 | 798.8 | 820.6 | 1278.1 | 1303.3 | 1327.7 |
| Tax liabilities | 6.6 | 6.9 | 5.9 | 9.9 | 9.1 | 8.3 | 7.0 | 6.9 |
| Other liabilities | 3191.2 | 4211.6 | 3032.7 | 3232.8 | 3252.4 | 3454.9 | 5032.7 | 4441.3 |
| Group net equity | 11649.0 | 11264.9 | 10795.0 | 10307.1 | 9978.5 | 8807.1 | 8499.5 | 8128.9 |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 60.4 | 64.5 | 1.3 | 25.8 | 27.9 | (15.8) | (18.4) | 7.2 |
| &nbsp;&nbsp;&nbsp;d) Reserves | 2184.3 | 2181.0 | 2181.0 | 2495.1 | 445.3 | 440.8 | 445.4 | 432.5 |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7453.5 | 7453.5 | 7453.5 | 7453.5 | 7453.5 | 7453.5 | 7453.5 | 7453.5 |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the year | 1950.8 | 1565.9 | 1159.2 | 332.7 | 2051.8 | 928.6 | 619.0 | 235.7 |
| Non-controlling interests | 0.3 | 0.4 | 0.4 | 0.6 | 0.7 | 0.7 | 0.8 | 0.9 |
| **Total Liabilities and Shareholders' Equity** | **122601.7** | **122478.9** | **128700.5** | **126775.3** | **122613.7** | **123192.4** | **120801.1** | **124286.0** |

---

2024 ANNUAL REPORT - Consolidated Report on operations

Customer funding

As at 31 December 2024, the volume of Group **Total Funding** amounted to **EUR 197.2 bn**, an increase of EUR 4.3 bn compared to 30 September 2024, on both Direct Funding (EUR +2.7 bn, of which EUR +2.1 bn related to current accounts) and Indirect Funding (EUR +1.6 bn).

The aggregate also increased compared to 31 December 2023 (EUR +9.7 bn), driven mainly by Indirect Funding (EUR +6.4 bn) and to a lesser extent also by Direct Funding (EUR +3.3 bn).

The market share<sup>12</sup> of the Group on direct funding stood at 3.45% (figure updated to December 2024), up compared to December 2023 (3.39%), while the market share on demand deposits was 4.71%, this also increased compared to December 2023 (4.67%).

**Background**

------

The transition of monetary policy towards an expansionary phase, initiated by the ECB since mid-2024, has contributed to a change in customers' financial wealth allocation choices.

After months of contraction in deposits, partly offset by the use of more remunerative financial instruments for customers, a more moderate decrease in deposits was recorded in the latter part of the year (-2.2% in November on an annualised basis), supported by an inflow of liquidity from the private sector with a reduction in the growth of flows on time deposits and longer-term financial instruments. Overall, the stocks of deposits held by the private sector (excluding MFIs and general government adjusted according to the ESCB methodology) recovered the reductions of the first half of the year to around +78bn in November compared to the previous year-end level (+4.4% change over 12 months).

Deposits of the productive sector (non-financial corporations and producer households) increased the most, by +4.2%, in November compared to the end of 2023, while those of consumer households remained essentially unchanged over the same period).

More in detail, the dynamics of current accounts showed negative changes until the third quarter and a recovery at the end of the year, settling at a posi-tive value of +0.3% in November compared to the values at the end of 2023; deposits with agreed maturity, after the strong growth recorded over most of 2024 (with changes exceeding 50% y/y in the first half of the year), have scaled back their growth in recent months (+12.5% trend in November), partly as a result of the decline in marginal yields.

Bonds continued to record significant increases, with growth reaching +6.6% year-on-year in November. In addition, the process of reducing the banking system's exposure to the Eurosystem continued, mainly associated with the repayment of the loans granted by the Eurosystem to credit institutions under the third round of Targeted Longer-Term Refinancing Operations (TLTRO3).

In the second half of the year, rates on the main forms of funding began to decline: in November, the interest rate on deposits of non-financial corporations and households stood at 0.93% (approx. -4 bps since the end of 2023); the rate on current accounts fell to 0.48% (down by approx. -6 bps on end-2023); that on time deposits stood at 3.30%, recording the smallest decrease (approx. -2 bps on December 2023). On bonds, the average rate on outstanding stock rose to 2.89% in November (approximately +16 bps compared to the end of 2023).

On the asset management side, the overall balance of net inflows in the November figures was worth EUR 16.7 bn since the start of the year. From January to November 2024, the Funds recorded a net balance of EUR 4.7 bn, while Retail Asset Management again showed positive net inflows (EUR +8.2 bn from the start of the year). At the category level, savers directed their choices towards bond funds (EUR +44.3 bn net inflows since the beginning of the year); the equity, balanced and flexible fund classes are still in the process of being divested. Total assets under management at the end of November stood at EUR 2,504 bn, essentially in line with the third quarter. For the life insurance market, from the beginning of the year to November, new business was record-ed for EUR 80.5 bn, compared to EUR 64.5 bn in the same period of the previous year, with a YoY increase of approximately 25%. In the bank and postal distribution channel, in November 2024, there was growth in the placement of solutions with a higher financial content (classic units, +83.6%) of hybrid proposals (+31.8%) and traditional products (+11 y/y). With regard to the placement channels for life insurance products, in November 2024, the banking channel distributed 68.6% of new business, financial advisers were up 16%, and finally, the agency channel, with 10.2% of life insurance placements.

12 Deposits and repurchase agreements (excluding repurchase agreements with central counterparties) from ordinary resident customers and bonds net of repurchases placed with ordinary resident customers as first-instance borrowers.

BANCA MONTE DEI PASCHI DI SIENA

**Customer Funding** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
|  |<br>**31/12/24** |<br>**30/09/24** |<br>**31/12/23** | **Abs.** | **%** | **Abs.** | **%** |
| Direct funding | 93971.9 | 91249.4 | 90639.0 | 2722.5 | 3.0% | 3332.9 | 3.7% |
| Indirect funding | 103237.8 | 101673.5 | 96844.9 | 1564.3 | 1.5% | 6392.9 | 6.6% |
| **Total funding** | **197209.7** | **192922.9** | **187483.9** | **4286.8** | **2.2%** | **9725.8** | **5.2%** |

---

**Direct Funding** volumes stood at **EUR 94.0 bn**, recording an increase compared to the end of September 2024 (EUR +2.7 bn). In particular, with regard to Direct Funding, growth was recorded in the technical forms of current accounts (EUR +2.1 bn), bonds (EUR +0.8 bn) and other forms of direct funding (EUR +0.5 bn), while repurchase agreements decreased (EUR -0.8 bn). Time deposit remained substantially stable (EUR +0.1 bn).

The aggregate was up compared to 31 December 2023 (EUR +3.3 bn). More specifically, the trend in Direct Funding is linked to an increase in current accounts (EUR +1.7 bn), time deposits (EUR +1.2 bn), other forms of direct funding (EUR +0.3 bn) and finally repurchase agreements (EUR +0.2 bn). Bonds, on the other hand, declined slightly (EUR -0.2 bn).

**Direct funding**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Type of transaction** |<br>**31/12/24** |<br>**30/09/24** |<br>**31/12/23** | **Abs.** | **%** | **Abs.** | **%** |
| Current accounts | 67180.3 | 65098.7 | 65446.3 | 2081.6 | 3.2% | 1734 | 2.6% |
| Time deposits | 7151 | 7080.8 | 5947.6 | 70.2 | 1.0% | 1203.4 | 20.2% |
| Reverse repurchase agreements | 6800.1 | 7563.8 | 6565.1 | (763.7) | -10.1% | 235 | 3.6% |
| Bonds | 9922.5 | 9089.9 | 10080.6 | 832.6 | 9.2% | (158.1) | -1.6% |
| Other types of direct funding | 2918 | 2416.2 | 2599.4 | 501.8 | 20.8% | 318.6 | 12.3% |
| **Total** | **93971.9** | **91249.4** | **90639.0** | **2722.5** | **3.0%** | **3332.9** | **3.7%** |

---

**Indirect Funding** amounted to **EUR 103.2 bn**, up by EUR 1.6 bn compared to 30 September 2024 for assets under management (EUR +0.5 bn) and assets under custody (EUR +1.1 bn). Both components benefited, in particular, from a positive market effect.

Compared to 31 December 2023, indirect funding saw an increase of EUR 6.4 bn, due to the growth in assets under management (EUR +3.0 bn), linked mainly to a positive market effect, and the growth in assets under custody (EUR +3.4 bn).

**Indirect Funding**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
|  |<br>**31/12/24** |<br>**30/09/24** |<br>**31/12/23** | **Abs.** | **%** | **Abs.** | **%** |
| Assets under management | 59924 | 59419.8 | 56887.8 | 504.2 | 0.8% | 3036.2 | 5.3% |
| &nbsp;&nbsp;&nbsp;Funds | 29580.7 | 29103 | 26745.5 | 477.8 | 1.6% | 2835.2 | 10.6% |
| &nbsp;&nbsp;&nbsp;Individual Portfolio under Management | 5376.7 | 5367 | 4961 | 9.6 | 0.2% | 415.7 | 8.4% |
| &nbsp;&nbsp;&nbsp;Bancassurance | 24966.6 | 24949.8 | 25181.3 | 16.8 | 0.1% | (214.7) | -0.9% |
| Assets under custody | 43313.8 | 42253.7 | 39957.1 | 1060.1 | 2.5% | 3356.7 | 8.4% |
| &nbsp;&nbsp;&nbsp;Government securities | 19843.9 | 19638.9 | 18055.4 | 205 | 1.0% | 1788.5 | 9.9% |
| &nbsp;&nbsp;&nbsp;Others | 23469.9 | 22614.9 | 21901.7 | 855.1 | 3.8% | 1568.2 | 7.2% |
| **Total funding** | **103237.8** | **101673.5** | **96844.9** | **1564.3** | **1.5%** | **6392.9** | **6.6%** |

---

2024 ANNUAL REPORT - Consolidated Report on operations

Loans to customers

At 31 December 2024, **Loans to Group Customers** amounted to **EUR 77.3 bn** as, slightly up from 30 September 2024 (EUR +0.7 bn), due to mortgages (EUR +0.3 bn) and other loans (EUR +0.8 bn), while current accounts (EUR -0.2 bn) and repurchase agreements (EUR -0.2 bn) declined slightly.

The aggregate was also up (EUR +0.5 bn) compared to 31 December 2023. The increase in repurchase agreements (EUR +0.8 bn) and the increase in other loans (EUR +0.8 bn) were in fact only partly offset by the decline of mortgages (EUR -1.1 bn, penalised by the slowdown in demand, particularly recorded in the first half of the year, and the selective approach of the Group) and on current accounts (EUR -0.1 bn).

The Group's market share<sup>13</sup> stood at 4.37% (figure updated to December 2024), up compared to December 2023 (4.33%).

**Background**

------

Moderate economic growth and a still weak investment cycle due to the uncertainty caused by the international environment negatively affected the financing requirements for 2024.

The new course of monetary policy in an expansive direction is having some positive effects on the dynamics of bank lending, which, after continuous negative signs throughout the year, is showing signs of recovery at the end of 2024.

Loans to the private sector (net of repurchase agreements with central counterparties and adjusted for exposures sold and derecognised), on a downward trend since January, recorded a negative change of -1.1% YoY in November (-2.8% YoY to December 2023).

More pronounced was the drop in loans to non-financial corporations, which fell by more than EUR 20 bn in the months to November (a change of -3.29% year-on-year), but with a smaller decline compared to the -4.8% drop in the prior year. Basically, corporate credit was negatively affected by: (i) the limited financing needs associated with a weak economic cycle; (ii) the repayment of credit lines for companies with excess liquidity in relation to operational needs; (iii) a cost of bank credit that, although declining, still remained high, and (iv) the sector's recourse to direct and alternative sources on the market by issuing debt securities; On the other hand, credit was positively affected by the reduction in interest rates and the loosening of bank offer criteria with a reduction in the number of loan applications rejected by banks.

Credit to households was also negative throughout the year compared to volumes in December 2023 (-0.72% first-half average) but recovering at the end of the year (-0.42% in November compared to December 2023).

Mortgages and other loans for house purchases showed a weak and consistently negative trend over most of the year, but stabilised progressively in the second half of the year and turned positive in the last month recorded (+0.13% in November in annual terms), being positively affected by the gradual fall in interest rates and the improved outlook for the property market. Consumer credit, on the other hand, confirmed the positive momentum of recent years, albeit at a slower pace, with a percentage increase of around +4% in November compared to the beginning of the year.

Intermediaries surveyed at the end of the year in the 28 January 2025 Quarterly Bank Lending Survey (BLS) stated that in Q4 2024 the supply criteria on corporate loans were slightly relaxed. Indeed, intermediaries noted a general improvement in both terms and rate conditions for companies; With regard to household financing, the bidding criteria on loans for house purchases were tightened slightly, while those on consumer loans remained unchanged; for the first quarter of 2025, it is believed that corporate financing could be further loosened, while consumer credit financing could tighten slightly.

With regard to interest rates on the stock of loans, the most consistent decrease recorded was in loans to non-financial companies (4.95% in November; -36 bps approximately since December 2023) compared to loans to households (4.20% in November, -4 bps approximately since December 2023). On new business transactions in November, the average rate fell by approx. 93 bps from the values at the end of 2023, reaching 4.53%. On new transactions with households, the rate on home purchase loans fell to 3.23% in November (-119 bp approx. from December 2023), while the rate on consumer credit declined more moderately to 8.45% in November (-5 bp approx. from end-2023).

The ratio of non-performing loans to total loans was still low and the NPE ratio remained at historically low levels.

13 Loans to ordinary resident customers, including bad loans and net of Repurchase Agreements with central counterparties.

BANCA MONTE DEI PASCHI DI SIENA

**Loans to customers**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Type of transaction** |<br>**31/12/24** |<br>**30/09/24** |<br>**31/12/23** | **Abs.** | **%** | **Abs.** | **%** |
| Current accounts | 2658.9 | 2883.6 | 2755.7 | (224.7) | -7.8% | (96.8) | -3.5% |
| Mortgages | 50705.4 | 50400.4 | 51837.6 | 305.0 | 0.6% | (1132.2) | -2.2% |
| Other forms of lending | 15023.4 | 14209.1 | 14218.7 | 814.3 | 5.7% | 804.7 | 5.7% |
| Repurchase agreements | 7035.2 | 7211.6 | 6230.0 | (176.4) | -2.4% | 805.2 | 12.9% |
| Non performing loans | 1886.7 | 1944.3 | 1773.6 | (57.6) | -3.0% | 113.1 | 6.4% |
| **Total** | **77309.6** | **76649.0** | **76815.6** | **660.6** | **0.9%** | **494.0** | **0.6%** |
| Stage 1 | 65222.1 | 64271.0 | 65325.6 | 951.1 | 1.5% | (103.5) | -0.2% |
| Stage 2 | 10058.6 | 10243.8 | 9594.1 | (185.2) | -1.8% | 464.5 | 4.8% |
| Stage 3 | 1883.2 | 1940.5 | 1769.8 | (57.3) | -3.0% | 113.4 | 6.4% |
| Purchased or originated credit impaired financial assets | 2.2 | 2.7 | 2.8 | (0.5) | -18.5% | (0.6) | -21.4% |
| Performing loans measured at fair value | 141.3 | 188.7 | 121.2 | (47.4) | -25.1% | 20.1 | 16.6% |
| Non-performing loans measured at fair value | 2.2 | 2.3 | 2.1 | (0.1) | -4.3% | 0.1 | 4.8% |

---

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **30 09 2024** | **30 09 2024** | **30 09 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Loans to<br> customers<br> measured at <br> amortised <br> cost** | **Stage 1** | **Stage 2** | **Total loans<br> to customers<br> measured at<br> amortised <br> cost** | **Stage 1** | **Stage 2** | **Total loans<br> to customers<br> measured at<br> amortised <br> cost** | **Stage 1** | **Stage 2** | **Total loans<br> to customers<br> measured at<br> amortised<br> cost** | **Stage 1** | **Stage 2** | **Stage 1** | **Stage 2** |
| Gross exposure | 65334.1 | 10408.1 | **79456.9** | 64370.6 | 10634.8 | **78878.7** | 65431.2 | 9962.6 | **78871.1** |  |  |  |  |
| Adjustments | 112.0 | 349.5 | **2290.8** | 99.6 | 391.0 | **2420.7** | 105.6 | 368.5 | **2178.8** |  |  |  |  |
| Net exposure | 65222.1 | 10058.6 | **77166.1** | 64271.0 | 10243.8 | **76458.0** | 65325.6 | 9594.1 | **76692.3** |  |  |  |  |
| Coverage ratio | 0.2% | 3.4% | **2.9%** | 0.2% | 3.7% | **3.1%** | 0.2% | 3.7% | **2.8%** | 0.0% | -0.3% | 0.0% | -0.3% |
| % on Loans to customers measured at amortised cost | 84.5% | 13.0% | **100.0%** | 84.1% | 13.4% | **100.0%** | 85.2% | 12.5% | **100.0%** | 0.4% | -0.4% | -0.7% | 0.5% |

---

The gross exposure of loans classified in the first stage, which amounted to EUR 65.3 bn as at 31 December 2024, increased compared to 30 September 2024 (amounting to EUR 64.4 bn), due in particular to the flow of new disbursements observed in the quarter on corporate customers, and was largely stable compared to 31 December 2023 (amounting to EUR 65.4 bn).

The positions classified in the second stage, whose gross exposure amounted to EUR 10.4 bn as at 31 December 2024, were slightly down from EUR 10.6 bn as at 30 September 2024 but up from EUR 10.0 bn as at 31 December 2023, due to the inclusion of new classification criteria in the High Risk perimeter.

The coverage level of performing loans, at amortised cost, decreased to 2.8% (3.1% as at 30 September 2024), but was in line with coverage levels at the end of 2023. The decrease observed in the last quarter is attributable to the lower long-term default rate observed after the IFRS 9 models were re-estimated in the last months of 2024.

2024 ANNUAL REPORT - Consolidated Report on operations

Non-performing exposures of loans to customers

In the tables below, Non-performing loans to customers are represented by all cash exposures, in the form of loans to customers, regardless of the accounting portfolio to which they belong.

The Group's **Total non-performing loans to customers** as at 31 December 2024 was **EUR 3.7 bn** in terms of gross exposure, decreasing compared to 30 September 2024 (EUR -0.2 bn) and increasing from 31 December 2023 (EUR +0.2 bn). The decreasing compared to 30 September 2024, which relates to non-performing loans, is mainly due to disposals relative to the "Bricks" transaction and some single name disposals completed in December. In particular:

&nbsp;&nbsp;&nbsp;&nbsp;· the gross exposure of bad loans, amounting to EUR 1.3 bn, decreased compared
to both 30 September 2024 (amounting to EUR 1.6 bn) and 31 December 2023 (amounting to EUR 1.4 bn), mainly as a result of the above-mentioned
disposals;

&nbsp;&nbsp;&nbsp;&nbsp;· the gross unlikely-to-pay loan exposure, amounting to EUR 2.2 bn, was essentially
stable compared to 30 September 2024 (amounting to EUR 2.2 bn) and essentially stable compared to 31 December 2023 (amounting to EUR 2.0
bn);

&nbsp;&nbsp;&nbsp;&nbsp;· the gross non-performing past-due loan exposure, equal to EUR 99.0 mln,
was up compared to 30 September 2024 (EUR 84.2 mln) and down compared to 31 December 2023 (EUR 131.1 mln).

As at 31 December 2024, the Group's **net exposure in terms of non-performing loans to customers** was equal to EUR 1.9 bn, essentially stable compared to the figure of EUR 1.9 bn at 30 September 2024 and EUR 1.8 bn as at 31 December 2023.

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Loans to customers** | **Loans to customers** |<br><br>**Bad loans** |<br>**Unlikely to**<br>**pay** |<br>**Non-performing**<br>**Past due**<br>**Loans** | **Total**<br>**Non-performing**<br>**loans to**<br>**customers** |<br>**Performing**<br>**loans** |<br><br>**Total** |
| **31 12 2024** | Gross exposure | 1320.8 | 2240.6 | 99.0 | **3660.4** | 75883.8 | **79544.2** |
|  | Adjustments | 878.2 | 869.5 | 26.0 | **1773.7** | 460.9 | **2234.6** |
|  | Net exposure | 442.6 | 1371.1 | 73.0 | **1886.7** | 75422.9 | **77309.6** |
|  | Coverage ratio | 66.5% | 38.8% | 26.3% | **48.5%** | 0.6% | **2.8%** |
|  | % on Loans to customers | 0.6% | 1.8% | 0.1% | **2.4%** | 97.6% | **100.0%** |
| **30 09 2024** | Gross exposure | 1587.2 | 2209.3 | 84.2 | **3880.7** | 75195.2 | **79075.9** |
|  | Adjustments | 1085.3 | 831.9 | 19.2 | **1936.4** | 490.5 | **2426.9** |
|  | Net exposure | 501.9 | 1377.4 | 65.0 | **1944.3** | 74704.7 | **76649.0** |
|  | Coverage ratio | 68.4% | 37.7% | 22.8% | **49.9%** | 0.7% | **3.1%** |
|  | % on Loans to customers | 0.7% | 1.8% | 0.1% | **2.5%** | 97.5% | **100.0%** |
| **31 12 2023** | Gross exposure | 1383.4 | 1970.4 | 131.1 | **3484.9** | 75516.1 | **79001.0** |
|  | Adjustments | 941.6 | 741.3 | 28.4 | **1711.3** | 474.1 | **2185.4** |
|  | Net exposure | 441.8 | 1229.1 | 102.7 | **1773.6** | 75042.0 | **76815.6** |
|  | Coverage ratio | 68.1% | 37.6% | 21.7% | **49.1%** | 0.6% | **2.8%** |
|  | % on Loans to customers | 0.6% | 1.6% | 0.1% | **2.3%** | 97.7% | **100.0%** |

---

As at 31 December 2024, the **coverage ratio of non-performing loans** stood at **48.5%**, down from 30 September 2024, when it was 49.9%, following the deconsolidation of the transferred portfolios (characterised by above-average coverage levels), which took place in the last quarter of the year. This effect concerns, in particular, the coverage ratio of bad loans, which fell from 68.4% to 66.5%; On the other hand, there was an increase in the coverage ratio of Unlikely to pay exposure, which rose from 37.7% to 38.8%, partly conditioned by new (higher) coverage criteria on more vintage loans, and that of Non-performing past due loans, which rose from 22.8% to 26.3%, determined by the different coverage levels of the underlying guarantees.

The coverage ratio of non-performing loans to customers is lower than at 31 December 2023, when it was 49.1%. At individual administrative status level, the changes refer to the coverage ratio for bad loans (which went from 68.1% to 66.5%). Meanwhile the coverage ratio rose for Bad loans (rising from 37.6% to 38.8%) and for Non-performing past due loans (going from 21.7% to 26.3%).

**Changes in gross exposure**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **abs/%** | **abs/%** |<br>**Bad loans** |<br>**Unlikely to pay** | **Non-performing**<br>**past due**<br>**exposures** | **Total Non-**<br>**performing loans**<br>**to customers** |<br>**Performing**<br>**loans** |<br>**Total** |
| **Q/Q** | abs. | (266.4) | 31.3 | 14.8 | **(220.3)** | 688.6 | **468.3** |
|  | % | -16.8% | 1.4% | 17.6% | **-5.7%** | 0.9% | **0.6%** |
| **Y/Y** | abs. | (62.6) | 270.2 | (32.1) | **175.5** | 367.7 | **543.2** |
|  | % | -4.5% | 13.7% | -24.5% | **5.0%** | 0.5% | **0.7%** |

---

**Changes in coverage ratio**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |<br>**Bad loans** |<br>**Unlikely to pay** | **Non-performing**<br>**past due**<br>**exposures** | **Total Non-performing**<br>**loans**<br>**to customers** |<br>**Performing**<br>**loans** |<br>**Total** |
| **Q/Q** | -1.9% | 1.2% | 3.5% | **-1.4%** | 0.0% | **-0.3%** |
| **Y/Y** | -1.6% | 1.2% | 4.6% | **-0.6%** | 0.0% | **0.0%** |

---

2024 ANNUAL REPORT - Consolidated Report on operations

Other Financial Assets/Liabilities

As at 31 December 2024, the Group's **Securities Assets** amounted to **EUR 17.4 bn**, down from 30 September 2024 (EUR -0.4 bn) in relation to financial assets held for trading (EUR -0.8 bn), while the other components and, in particular, securities from customers classified at amortised cost (EUR +0.2 bn) increased. It should be noted that the market value of the securities included in Loans to customers and banks at amortised cost was equal to EUR 9,838.5 mln and EUR 650.7 mln (with implicit capital losses of EUR 399.2 mln and EUR 86.9 mln, respectively).

The aggregate was up compared to 31 December 2023 (EUR +0.2 bn), especially in relation to the growth recorded in securities from customers classified at amortised cost (EUR +0.2 bn), partially offset by the decline in financial assets measured at fair value through other comprehensive income (EUR -0.1 bn).

**On-balance-sheet financial liabilities held for trading** were equal to **EUR 1.6 bn** as at 31 December 2024, down compared to 30 September 2024 (EUR 3.2 bn) and to the value recorded as at 31 December 2023 (EUR 1.8 bn).

As at 31 December 2024, the **Net position in derivatives, a positive EUR 1.1 bn**, was down compared to 30 September 2024 (positive for EUR 1.2 bn) and to 31 December 2023 (positive for EUR 1.4 bn).

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br> **Items** | **31 12 2024** | **30 09 2024** | **31 12 2023** | **Abs.** | **%** | **Abs.** | **%** |
| Securities assets | 17447.4 | 17800.6 | 17276.9 | (353.2) | -2.0% | 170.5 | 1.0% |
| &nbsp;&nbsp;&nbsp;Financial assets held for trading | 3764.4 | 4537.9 | 3810.6 | (773.5) | -17.0% | (46.2) | -1.2% |
| &nbsp;&nbsp;&nbsp;Financial assets mandatorily measured at fair value | 312.7 | 232.4 | 245.5 | 80.3 | 34.6% | 67.2 | 27.4% |
| &nbsp;&nbsp;&nbsp;Financial assets measured at fair value through other comprehensive income | 2337.4 | 2267.1 | 2477.3 | 70.3 | 3.1% | (139.9) | -5.6% |
| &nbsp;&nbsp;&nbsp;Financial assets held for sale | 57.6 | 0 | 0.4 | 57.6 | *n.s.* | 57.2 | *n.s.* |
| &nbsp;&nbsp;&nbsp;Loans to customers measured at amortised cost | 10237.7 | 10063.8 | 10061.2 | 173.9 | 1.7% | 176.5 | 1.8% |
| &nbsp;&nbsp;&nbsp;Loans to banks measured at amortised cost | 737.6 | 699.4 | 681.9 | 38.2 | 5.5% | 55.7 | 8.2% |
| On-balance-sheet financial liabilities held for trading | (1617.9) | (3216.5) | (1823.2) | 1598.6 | -49.7% | 205.3 | -11.3% |
| Net positions in Derivatives | 1060.2 | 1237.3 | 1414.6 | (177.1) | -14.3% | (354.4) | -25.1% |
| **Other financial assets and liabilities** | **16889.7** | **15821.4** | **16868.3** | **1068.3** | **6.8%** | **21.4** | **0.1%** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **30 09 2024** | **30 09 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Items** | **Securities<br> assets** | **On-balance-sheet<br> financial<br> liabilities held<br> for trading** | **Securities<br> assets** | **On-balance-sheet<br> financial<br> liabilities held<br> for trading** | **Securities<br> assets** | **On-balance-sheet<br> financial<br> liabilities <br> held for trading** |
| Debt securities | 16877.7 |  | 17281.8 |  | 16677.8 |  |
| Equity instruments and Units of UCITS | 569.8 |  | 518.8 |  | 599.1 |  |
| Loans | - | 1617.9 | - | 3216.5 | - | 1823.2 |
| **Total** | **17447.5** | **1617.9** | **17800.6** | **3216.5** | **17276.9** | **1823.2** |

---

BANCA MONTE DEI PASCHI DI SIENA

Interbank position

As at 31 December 2024, the Group's **net interbank position** stood at **EUR 6.1 bn** in loans, higher than the net interbank loans for EUR 5.7 bn as at 30 September 2024 and the figure of EUR 2.2 bn as at 31 December 2023. The change from the previous quarter (EUR +0,4 bn) was impacted equally by transactions with central banks (Eur +0.2 bn) and the net position with banks (Eur +0.2 bn).

The change compared to the end of the previous year (EUR +3.9 bn) also refers to the evolution of transactions with central banks. In detail, the dynamics of 2024 were characterised by: (i) maturities of TLTRO tranches for EUR 5.5 bn, and (ii) access to MRO and LTRO auctions for around EUR 1.0 bn, whereas the level of the deposit facility was essentially in line with the previous year-end (EUR - 0.3).

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interbank balances** | | | | | | | |
|  | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
|  |<br>**31/12/24** |<br>**30/09/24** |<br>**31/12/23** | **Abs.** | **%** | **Abs.** | **%** |
| Loans to banks | 2068.3 | 2264.8 | 2582.2 | (196.5) | -8.7% | (513.9) | -19.9% |
| Deposits from banks | 1301.0 | 1226.5 | 1350.6 | 74.5 | 6.1% | (49.6) | -3.7% |
| Demand deposits with banks (cash) | 1656.9 | 1189.8 | 1701.6 | 467.1 | 39.3% | (44.7) | -2.6% |
| **Net position with banks** | **2424.2** | **2228.1** | **2933.2** | **196.1** | **8.8%** | **(509.0)** | **-17.4%** |
| Loans to central banks | 565.5 | 588.8 | 526.8 | (23.3) | -4.0% | 38.7 | 7.3% |
| Deposits from central banks | 8510.9 | 9016.4 | 13148.2 | (505.5) | -5.6% | (4637.3) | -35.3% |
| Demand deposits with Central banks (cash) | 11617.9 | 11896.0 | 11907.5 | (278.1) | -2.3% | (289.6) | -2.4% |
| **Net position with central banks** | **3672.5** | **3468.4** | **(713.9)** | **204.1** | **5.9%** | **4386.4** | **n.m.** |
| **Net interbank position** | **6096.7** | **5696.5** | **2219.3** | **400.2** | **7.0%** | **3877.4** | **n.m.** |

---

As at 31 December 2024, the operating liquidity position showed an **unencumbered Counterbalancing Capacity of EUR 33.0 bn**, an increase compared to 30 September 2024 (EUR 31.6 bn) and to 31 December 2023 (EUR 29.8 bn).

Other Assets

The item Other assets includes the value of diamonds, for EUR 53.5 mln, involved in the action taken by the Parent Company in 2018, that envisaged the payment to customers of a consideration up to an amount equal to that the latter originally paid to Diamond Private Investment to purchase the stones, with their simultaneous transfer to the Bank and finalisation of an appropriate transaction.

The item includes, inter alia, the tax credits originated as part of the concessions referred to in the "Cura Italia" and "Rilancio" Law Decrees (so-called Ecobonus and Sismabonus) for a balance sheet value of EUR 1,804.8 mln.

2024 ANNUAL REPORT - Consolidated Report on operations

Shareholders' equity

As at 31 December 2024, the **Shareholders' equity of the Group and Non controlling interests** was roughly **EUR 11.6 bn**, up by EUR 384 mln compared to 30 September 2024, mainly due to the positive result recorded in the quarter.

Compared to 31 December 2023 when it amounted to EUR 10.0 bn, Group **Shareholders' equity of the Group and Non controlling interests** and Minority Shareholders' Equity increased by EUR 1,670 mln, mainly due to the profit accrued in the 2024 financial year of EUR 1,951 mln, partly offset by the distribution in May 2024 of the dividend on 2023 profits of EUR 315 mln.

**Reclassified Consolidated Balance Sheet**

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Equity** |<br>**31/12/24** |<br>**30/09/24** |<br>**31/12/23** | **Abs.** | **%** | **Abs.** | **%** |
| Group Net Equity | 11649.0 | 11264.9 | 9978.5 | 384.1 | 3.4% | 1670.5 | 16.7% |
| a) Valuation reserves | 60.4 | 64.5 | 27.9 | (4.1) | -6.4% | 32.5 | n.m. |
| d) Reserves | 2184.3 | 2181.0 | 445.3 | 3.3 | 0.2% | 1739.0 | n.m. |
| f) Share capital | 7453.5 | 7453.5 | 7453.5 |  | 0.0% |  | 0.0% |
| h) Net profit (loss) for the year | 1950.8 | 1565.9 | 2051.8 | 384.9 | 24.6% | (101.0) | -4.9% |
| Non-controlling interests | 0.3 | 0.4 | 0.7 | (0.1) | -25.0% | (0.4) | (0.6) |
| **Shareholders' equity of the Group and Non-controlling interests** | **11649.3** | **11265.3** | **9979.2** | **384.0** | **3.4%** | **1670.1** | **16.7%** |

---

Capital adequacy

Regulatory capital and statutory requirements

As a result of the conclusion of the SREP conducted with reference to the figures as at 31 December 2022 and also taking into account the information received after that date, with the submission in December 2023 of the 2023 SREP Decision, the ECB asked the Parent Company to maintain, effective from 1 january 2024, a consolidated TSCR level of 10.75%, which includes 8% as a Pillar 1 minimum requirement ("P1R") pursuant to Article 92 of the CRR and 2.75% as Pillar 2 additional requirement ("P2R"), which must be respected at least for 56.25% with CET1 and at least 75% with Tier 1.

With regard to *Pillar 2 Capital Guidance* (P2G), the ECB expects the Parent Company to adapt, on a consolidated basis, to a requirement of 1.15%, to be fully met from Common Equity Tier 1 capital in addition to the overall capital requirement (OCR). Failing to comply with this capital guideline is not, at any rate, equivalent to failing to comply with the capital requirements.

Lastly, it should be noted that as of 1 January 2019, the *Capital Conservation Buffer* (CCB) is 2.5%, and that as from 1 january 2024, the Group is no longer required to comply with the *O-SII* Buffer as it has not been identified for the year 2024 and 2025 by the Bank of Italy as a systemically important institution authorised in Italy. In addition, as from 31 December 2024 2024, the Group has to comply with the Systemic Risk Buffer (SyRB) of 1% of credit and counterparty risk-weighted exposures to Italian residents, which is to be achieved gradually by building up a buffer of 0.5% of material exposures by 31 December 2024 and the remaining 0.5% by 30 June 2025.

Accordingly, the Group must meet the following requirements at the consolidated level as at 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· CET1 Ratio of 8.93%;

&nbsp;&nbsp;&nbsp;&nbsp;· Tier 1 Ratio of 10.95%;

&nbsp;&nbsp;&nbsp;&nbsp;· Total Capital Ratio of 13.64%.

These *ratios* include, in addition to the P2R, 2.5% for the *Capital Conservation Buffer,* 0.028% for the Countercyclical Capital Buffer (CCyB)<sup>14</sup> and 0.36% for the Systemic Risk Buffer.

14 Calculated considering the exposure as at 31 December 2024 in the various countries in which MPS Group operates and the requirements established by the competent national authorities.

BANCA MONTE DEI PASCHI DI SIENA

It should be noted that as part of the SREP 2023, the Parent Company received the SREP Decision 2024. Specifically, it is indicated that the Parent Company must maintain, effective form 1 January 2025, a consolidated TSCR level of 10.50% which includes 8% as a minimum Pillar 1 requirement pursuant to Article 92 of the CRR and an additional Pillar 2 requirement of 2.50%, down from the 2024 level of 2.75%, of which at least 56.25% must be met with CET1 and at least 75% with Tier 1. Furthermore, with regard to P2G, the ECB expects BMPS to maintain, on a consolidated basis, a requirement of 1.15%, to be met entirely with Common Tier 1 capital in addition to the overall capital requirement.

As at **31 December 2024**, the Group's level of capital on a transitional basis was as shown in the following table:

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| | | | | |
|:---|:---|:---|:---|:---|
| | | | **change vs. 31 12 2023** | **change vs. 31 12 2023** |
| <br>**Categories / Values** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| **OWN FUNDS** |  |  |  |  |
| Common Equity Tier 1 (CET1) | 8847.4 | 8726.7 | 120.7 | 1.38% |
| Tier 1 (T1) | 8847.4 | 8726.7 | 120.7 | 1.38% |
| Tier 2 (T2) | 1112.1 | 1680.4 | (568.3) | -33.82% |
| **Total capital (TC)** | **9959.5** | **10407.1** | **(447.6)** | **-4.30%** |
| **RISK-WEIGHTED ASSETS** |  |  |  |  |
| Credit and Counterparty Risk | 36675.0 | 36047.8 | 627.2 | 1.74% |
| Credit valuation adjustment risk | 261.6 | 398.2 | (136.6) | -34.30% |
| Market risks | 1840.2 | 2121.1 | (280.9) | -13.24% |
| Operational risk | 9613.4 | 9531.9 | 81.5 | 0.86% |
| **Total risk-weighted assets** | **48390.2** | **48099.0** | **291.2** | **0.61%** |
| **CAPITAL RATIOS** |  |  |  |  |
| **CET1 capital ratio** | **18.28%** | **18.14%** | **0.14%** |  |
| **Tier1 capital ratio** | **18.28%** | **18.14%** | **0.14%** |  |
| **Total capital ratio** | **20.58%** | **21.64%** | **-1.06%** |  |

---

Compared to 31 December 2023, the CET1 recorded an increase of EUR +121 mln.

This change is essentially attributable, on the positive side, to the inclusion in CET1 of a portion of the result for the year to 31 December 2024, the decrease in deductions from intangible assets (software) and the introduction of the prudential filter relating to the Other Comprehensive Income (OCI) reserve on government bonds (positive effect of EUR 28 mln), and on the negative side to the increase in deductions relating to DTAs (Deferred Tax Assets that are based on future profitability and do not arise from temporary differences).

The prudential filter relating to the OCI Reserve on government bonds, a temporary treatment, applicable from 30 September 2024 to 31 December 2025, allows the exclusion from CET1 of unrealised profits and losses accumulated as from 31 December 2019, accounted for under the financial statement item 'Changes in fair value of debt instruments measured at fair value recognised in other comprehensive income', with reference to exposures to central administrations, provided that these exposures are classified as performing financial assets.

Tier 2 fell by EUR -568 mln compared to the end of December 2023, mainly due for EUR -574 mln to the low contribution from Tier 2 subordinated instruments and for EUR +5 mln to the increase in the contribution to Tier 2 of the excess value adjustments over expected losses.

Hence, the Total Capital Ratio reflects an overall decrease in own funds of EUR -448 mln.

RWA increased slightly by EUR +0.3 bn. Specifically, while credit risks (EUR +0.6 bn) and operational risks (EUR +0.1 bn) increased, market risks (EUR -0.3 bn) and CVA (EUR -0.1 bn) decreased.

As at 31 December 2024, the Parent Company, on a consolidated basis, meets all capital requirements, including those related to the P2G.

As at 31 December 2024 the Group, on a transitional basis, has a 7.2% leverage ratio, higher than the regulatory minimum of 3%.

2024 ANNUAL REPORT - Consolidated Report on operations

MREL capacity

Pursuant to Article 45 of Directive 2014/59/EU, as amended, banks must at all times respect a minimum own funds and eligible liabilities (MREL) requirement in order to ensure that, in the event of application of the bail-in, they have sufficient liabilities to absorb losses and to ensure compliance with the Tier 1 Capital requirement envisaged for authorisation to carry out banking activities, as well as to generate sufficient trust in the market.

With the letter of 29 November 2024, the Parent Company received from the Bank of Italy, in its capacity as Resolution Authority, the decision SRB/EES/2024RPC/57 of the Single Resolution Committee on the calculation of the minimum requirement for own funds and eligible liabilities.

As from 29 November 2024, the Parent Company must comply, on a consolidated basis, with an MREL for 23.59% in terms of TREA, to which the Combined Capital Reserve Requirement (CBR) of 2.89% must be added, as well as 6.43% in terms of LRE. To these must be added the additional subordinated MREL requirements, to be met with own funds and subordinated instruments, equal to 13.99% of TREA, to which the CBR must be added, and 6.43% of LRE.

As at 31 December 2024, the Group values were higher than the requirements:

&nbsp;&nbsp;&nbsp;&nbsp;· an MREL capacity of 28.50% in terms of TREA and 11.19% in terms of LRE ("Leverage
ratio exposure measure"); and

&nbsp;&nbsp;&nbsp;&nbsp;· an MREL subordination capacity of 21.24% in terms of TREA and 8.34% in terms
of LRE.

In this regard, please note that the Group's funding strategies aim to guarantee - as concerns public bond issue plans in particular - the constant fulfilment of MREL requirements.

BANCA MONTE DEI PASCHI DI SIENA

Tax position of Group

National Consolidated Taxation MPS Group

Since 2004, the Parent Company has opted for the national consolidation taxation mechanism (Article 117 et seq. of the T.U.I.R. Consolidated Tax Act). The scope of the MPS Group's tax consolidation as at 31 December 2024 includes: Banca Monte dei Paschi di Siena S.p.A., Monte Paschi Fiduciaria S.p.A., Wise Dialog Bank S.p.A., Aiace Reoco s.r.l. in liquidation, MPS Tenimenti Poggio Bonelli e Chigi Saracini soc. agricola S.p.a.

Net deferred tax assets (net DTAs)

As at 31 December 2024, the Group's situation was as follows:

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **DTAs** | **Recognised on<br> balance sheet as at <br> 31 12 2024** | **%** | **Not recognised on <br> balance sheet as at <br> 31 12 2024** | **%** | **Total potential DTAs<br> as at 31 12 2024** | **%** |
| Converible DTAs Law 214/2011 | 354.5 | 14.6% |  | 0.0% | 354.5 | 8.8% |
| Non convertible tax losses | 1512.2 | 62.2% | 1587.5 | 100.0% | 3099.7 | 77.1% |
| Excess ACE <br> (Allowance for Corporate Equity) | 10.3 | 0.4% | 0.0 | 0.0% | 10.3 | 0.3% |
| Other non - convertible | 555.7 | 22.8% | 0.0 | 0.0% | 555.7 | 13.8% |
|  | **2432.6** | **100.0%** | **1587.5** | **100.0%** | **4020.1** | **100.0%** |

---

*The values of deferred tax assets are presented net of offsetting deferred tax liabilities*

The following timing is estimated for the recovery of the aforementioned DTAs recognised in financial statements:

![](tm2518026d1_ex99-4sp3im01.jpg)

2024 ANNUAL REPORT - Consolidated Report on operations

The amount of DTAs recognised in financial statements in general may be subject to fluctuations, including substantial ones, between one financial year and the next, since the related measurement process is based also on variables often outside the company's control, each of which is capable of significantly influencing future taxable income, which is the extent to which the DTAs can be recognised.

The MPS Group is characterised by the fact that it has significant consolidated tax losses accrued in past years. Moreover, having made significant increases in its capital endowment (capital increases), it was entitled until 2023 to the corporate capitalisation incentive facility (formerly ACE). Under the relevant legislation, under the probability test, for purposes of offsetting against prospective taxable income, the ACE deduction had to be calculated before offsetting past consolidated tax losses. As a result of this hierarchy in the calculation of tax losses and the ACE deduction, successive regulatory changes over time, which have affected the size and, most recently, the existence of this benefit, have led to a significant volatility in the amount of DTAs from consolidated tax losses recognisable in the financial statements of recent years, with a corresponding impact on the tax item in the income statement.

With the repeal of the ACE, ordered by Article 5 of Legislative Decree No. 216 of 30 December 2023, effective as from 2024, in the current regulatory scenario, the main factor that determines the volatility of the amount of DTAs recognised in the financial statements is represented by the periodic review of the income outlook, which must obviously take into account not only the internal situation of the Group, but also the general economic scenario. In this context, on 5 August 2024 the Board of Directors of the Parent Company approved a Business Plan for the period 2024-2028, which envisages consolida-tion and strengthening of the Group's income growth. The estimate of taxable income for future years, for the purposes of the probability test, was therefore based on the assumption that in the three-year period 2025-2027 the Groups'operating results envisaged in the income projections contained in the aforementioned Business Plan would be achieved; For the estimation of taxable income for subsequent years, starting from 2028, it was further assumed that a pre-tax profit (cap) would be achieved which, projected over the subsequent years for the 20-year period considered by the probability test and revalued at a growth rate *g* of 2% per annum, would allow for a Group return on equity (ROE) not exceeding the average ROE recorded in the banking sector over the last 20 years ("trend average income").

For further information, please refer to paragraph 11.8 Other information of the Notes to the consolidated financial statements - Part B - Information on the balance sheet in these financial statements.

Prior years' tax losses and ACE benefit

Prior years' tax losses from MPS tax consolidation amounted to EUR 11.5 bn (of which only EUR 5.5 bn with DTA recognised). The ACE benefit accrued up to 31 December 2023 was used in full to offset taxable income, with the exception of a surplus of approximately EUR 294 mln that can be carried forward by the Parent Company for the purposes of the IRES surcharge.

DTA fee

With specific reference to convertible DTAs pursuant to Italian Law 214/2011, the companies participating in the tax consolidation the MPS Group have chosen, through the Parent Company, the system envisaged by Article 11 of Italian Law Decree 59/2016.

Note that, against the commitment to pay the related fee, the participation of MPS Group in the option pursuant to art. 11 of Italian Law Decree 59/2016 guarantees the right to convert DTAs into tax credit referred to in Italian Law 214/2011 when the conditions envisaged by the law are met.

The amount of the fee paid in 2024 was approximately EUR 61 mln. A slow decrease in the amount of the fee due is estimated for subsequent financial years, since the MPS Group will be in a position of paying relatively low taxes, given the large amount of past tax losses.

Extraordinary tax on the increase in net interest income

Article 26 of Italian Decree-Law no. 104 of 10 August 2023 (converted into Law no. 136 of 9 October 2023) introduced an extraordinary tax (one-off) to be borne by banks calculated on the increase in the net interest income the so-called "Windfall tax on excess profit". This tax is determined by applying a rate of 40% on the amount of the net interest income for the year 2023 which exceeds the net interest income for the year 2021 by at least 10%, however the amount due may not exceed one 0.26% share of Risk-Weighted Assets as at 31 December 2022 (the "cap").

For the Group banks to which the aforementioned provisions became applicable again (Banca MPS and Banca Widiba), the potential tax liability amounted to a total of approximately EUR 125 mln (amount determined as a result of the applicability of the cap provided for by the provision). The Group's banks, however, availing themselves of the option provided for by the aforementioned regulations, in lieu of paying the tax, at the time of approval of the financial statements as at 31 December

BANCA MONTE DEI PASCHI DI SIENA

2023 resolved to allocate a portion of the 2023 profit for the year, equal to 2.5 times the amount of the tax due, to the creation of a special non-distributable reserve. The amount of such reserve is equal to approximately EUR 313 mln (of which EUR 308.9 mln pertains to Banca MPS and EUR 3.7 mln pertains to Banca Widiba).

It should be noted that in the event that the reserve is subsequently used for the distribution of profits, the regulations provide that the tax due, increased by the interest rate on deposits with the ECB as of 30 June 2024, must be paid within 30 days of the relevant resolution of the shareholders' meeting.

Pillar 2 – Global Minimum Tax

In implementing the principles set forth in Italian Law no. 111 of 9 August 2023, Italian Legislative Decree no. 209 of 27 December 2023 has transposed into Italian law the Council Directive (EU) 2022/2523 of 15 December 2022, aimed at ensuring a minimum global level of taxation for large multinational groups of companies and large-scale national groups in the Union, according to the common approach shared at international level.

The Directive transposes into the single market the main core of the global agreement on the so-called Pillar 2 reached at the OECD/G20, which aims to introduce a global minimum effective taxation of multinational companies ("global minimum tax", also known as GMT), providing for a coordinated system of rules (so-called Model Rules or GloBE Rules) capable of ensuring that large groups of companies are subject to a minimum level of taxation at least equal to 15% in each of the countries where these groups operate and generate income, in order to achieve a level playing field between companies at a global level, putting a brake on tax competition implemented through a race to the bottom in tax rates and, therefore, promoting efficient investment decisions and localisation of business activities.

In order to guarantee a minimum level of taxation of multinational or national groups of companies, the aforementioned Legislative Decree 209/2023, borrowing the system of rules adopted by the OECD (albeit with certain amendments aimed at ensuring compatibility with EU law), orders additional taxation to be levied in Italy through:

&nbsp;&nbsp;&nbsp;&nbsp;a) the minimum integrative tax (known as IIR, "Income Inclusion Rule"), payable by the Parent
Company or ultimate controlling entity, residing in Italy, of a multinational group or a domestic group, in relation to the companies
belonging to the group, that are subject to low taxation in the country where they are located; and

&nbsp;&nbsp;&nbsp;&nbsp;b) the "minimum supplementary tax" (known as UTPR, "Undertaxed Profits Rule"), due
by one or more companies, residing in Italy, of the multinational group in relation to those companies of the group that are located in
low-tax countries only when the equivalent minimum supplementary tax has not been charged, in whole or in part, in other countries;

&nbsp;&nbsp;&nbsp;&nbsp;c) the domestic minimum tax (known as QDMTT, "Qualified Domestic Minimum Top-Up Tax") due in
relation to all the companies of a multinational or national group subject to low taxation located in Italy.

The following implementing decrees outlined the relevant legislation in their respective fields of application:

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 20 May 2024 (Simplified Transitional Schemes),

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 1 July 2024 (Minimum National Tax"),

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 11 October 2024 (Reduction of the tax base of the
minimum tax arising from substantial economic activity known as SBIE),

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 20 December 2024 (Miscellaneous Provisions Implementing
the Global Minimum Tax),

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 27 December 2024 (Regulation of deferred taxation
in the transitional period).

The regulations apply to groups with consolidated annual revenues of at least EUR 750 mln (threshold that must be exceeded in at least two of the four financial years immediately prior to the one considered), with effect from 1 January 2024.

The MPS Group, being a multinational Group (with Banca MPS as parent company, or UPE "Ultimate Parent Entity"), integrates the subjective prerequisites for the application of the new tax, therefore it is potentially impacted by said tax, in particular, having regard, besides Italy, to the additional jurisdictions where subsidiaries or branches are present, as listed here: France, Ireland and China.

In this regard, it is worth highlighting that France, Ireland and Italy, in addition to having implemented the IIR and the domestic minimum tax (DMTT), have also obtained, on a transitional basis, the "qualified" status and, with reference to the domestic minimum tax, also the "safe harbour" status (see list of qualified jurisdictions published on the OECD institutional website on 15 January 2025 and the related MEF press release of 23 January 2025).

2024 ANNUAL REPORT - Consolidated Report on operations

Based on the estimates made, it is believed that the potential impact of the new tax on the Group's balance sheet and income statement can be considered insignificant, and can be summarised as follows:

&nbsp;&nbsp;&nbsp;&nbsp;i. the Global Minimum Tax rate (15%) is significantly lower than the estimated effective tax rate applicable
for Group companies located in both Italy and France,

&nbsp;&nbsp;&nbsp;&nbsp;ii. with reference to the branch located in China (Shanghai), the Parent Company, also in consideration of
the closure activities currently underway (whose conclusion is scheduled by the end of 2025), could benefit from the "de minimis
exclusion", envisaged by regulations on simplified transitional regimes,

&nbsp;&nbsp;&nbsp;&nbsp;iii. with reference to the Group's only company located in Ireland (Axa MPS Financial DAC Ltd, a company
that can be classified, under Pillar 2 regulations, as "jointly controlled", in which Banca MPS holds an indirect interest
equal to 50% of the capital), no minimum top-up tax would be payable in Italy by the Parent Company BMPS due to the "safe harbour"
status of the QDMTT ("Qualified Domestic Minimum Top-up-tax") envisaged by local legislation.

Current Tax Assets

As at 31 December 2024, the Group's current tax assets amounted to EUR 104 mln. Part of this amount, namely EUR 58 mln (amount net of value adjustments of EUR 17 mln), is represented by tax credit that have already been claimed for refund, therefore, generating interest to the extent set forth in the specific applicable tax law provisions (for income tax at 2% annually). Other current tax assets, equal to EUR 46 mln (amount net of the current IRAP payable, for EUR 61 mln, and the current IRES payable, for EUR 35 mln) are represented by tax credit (non-interest-bearing) available for use in offsetting against future tax payables, and include IRAP credits generated by the transformation of ACE surpluses, IRES and IRAP payments on account, IRES withholdings, and tax credits generated by the transformation of DTAs (pursuant to Law 214/2011 and Article 55 of Decree-Law 18/2020).

VAT Group

The 2024 financial year was the sixth year of validity of the "MPS VAT Group". With reference to the 2024 tax year, the MPS VAT Group includes the following 7 companies: Banca Monte dei Paschi di Siena S.p.A., Cirene Finance S.r.l., G. Imm. Astor S.r.l., Monte Paschi Fiduciaria S.p.A., MPS Covered Bond S.r.l., MPS Covered Bond 2 S.r.l., Wise Dialog Bank S.p.A..

These companies constitute a single entity for VAT purposes, attributable to the "representative" (the Parent Company), with the attribution of a single VAT number. As a result:

&nbsp;&nbsp;&nbsp;&nbsp;· all transactions between these companies are, as a rule, not relevant for
VAT purposes, although some transactions between separate activities continues to be relevant;

&nbsp;&nbsp;&nbsp;&nbsp;· all legal obligations (settlement, payment, annual VAT return, and periodic
communications) as well as the administrative (and criminal) liability are centralised within the Parent Company.

With regard to liability profiles, the other parties belonging to the VAT Group, on the other hand, are jointly and severally liable for the payment of tax, interest and penalties, regardless of the party to which any alleged violation is specifically attributable.

Tax disputes

For further information relative to tax disputes, please refer to "Section E of the Notes to the consolidated financial statements - 1.5 Operational Risks, "Main types of legal, employment law and tax risks".

BANCA MONTE DEI PASCHI DI SIENA

Research, Development and Innovation

Also in 2024, the Group's Research, Development and Innovation activity is constantly focused on finding customer-oriented solutions with the aim of identifying breakthrough technologies and systems to improve processes and services through the adoption of increasingly efficient management and interaction models.

In relation to internal processes, the digital and IT strategy focused on increasing levels of automation and procedural integration and on the dematerialisation of documents, ensuring compliance with regulatory developments.

The IT strategic plan presided over the evolution of Information Technology and Information Security in terms of organisation, infrastructure, applications and security, in support of the objectives defined in the Business Plan.

In this context, the Three-Year Logical Security Plan has activated operational plans aimed at enhancing the security posture in the face of the evolution of information systems and infrastructures and, above all, in the face of the continuous threats arising from the context outside the Group.

As at 31 December 2024, the software recognised under intangible assets totalled EUR 147.2 mln and related to the following projects:

&nbsp;&nbsp;&nbsp;&nbsp;· Digitalisation Software Projects (EUR 77.5 mln);

&nbsp;&nbsp;&nbsp;&nbsp;· Technological Renewal and Licensing Projects (EUR 30.9 mln);

&nbsp;&nbsp;&nbsp;&nbsp;· Commercial Development Projects (EUR 28.2 mln);

&nbsp;&nbsp;&nbsp;&nbsp;· Other Software Projects (EUR 10.6 mln).

Outsourced services

The most important contracts for services outsourced to companies outside the Group are reported below.

**Fruendo and Accenture (back-office services)**

The outsourcing activity is governed, as from 26 July 2021<sup>15</sup> in a single master service agreement (MSA), concerning the provision of back office services provided by Fruendo in favour of the Parent Company and its subsidiaries.

The services covered by the MSA concern: Branch Assistance; Back Office Network (cheques, transfers, F24 proxies, CC settlements, document centre, invoice advances, commercial collections, bills, transferability, other centralised services); Credit (litigation back office, centralised guarantee management, back-office intermediaries and third-party networks, other centralised credit services); Payment Document Management (payable cycle, condominiums and rents, utilities and taxes); Banking Investigations, Logistics (mail, clerks and doormen, car fleet); Payment and Correspondent Services (foreign portfolio, correspondents, payment cards, collections, mortgages, succession, various services, back office Leasing and Factoring); Widiba (back-office Financial Advisers, Transferability, Collections and other Widiba Operations).

The MSA expires on 31 December 2031. The Parent Company has the right to withdraw with eighteen months' notice, to be communicated in the first two months of 2024 (option not exercised) and 2028, incurring a penalty.

The fees for the services provided by Fruendo are fixed for the entire contract duration and decrease over time to take into account efficiency and expected technology developments.

**Nexi (payment services)**

<u>ATM management for the MPS Group.</u> The outsourcing agreement, which dates back to 2009 and has been amended from time to time, concerns services related to the management of ATM equipment: in particular ATM terminal maintenance services, warehouse management, ATM activation and commissioning services and maintenance assistance, Help Desk and monitoring.

<u>Provision of credit card management services.</u> The MPS Group's credit card management agreement dates back to September 2012 and has been subject to additions and amendments over time. The services provided by Nexi concern a full outsourcing of the credit card issue and management process.

<u>Interbank Corporate Banking.</u> The agreement for the Interbank Corporate Banking Service - CBI Global Banking Web - was signed on 30 June 2011 and subsequently amended and integrated. The service consists of all IT, technical and operational structures designed to provide the functionalities envisaged in the ABI provisions through the CBI Consortium, in particular:

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|:---|:---|
| 15 | The original agreement signed on 29 December 2013 with effect from 1 January 2014 between the Parent Company and Fruendo and Accenture respectively, from 26 July 2021 is governed by a single MSA that combines the two previous ones following the acquisition of control of Fruendo by Accenture and subsequent transfer of the latter's contract to Fruendo. |

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2024 ANNUAL REPORT - Consolidated Report on operations

&nbsp;&nbsp;&nbsp;&nbsp;· payment/collection management (SEPA compliant);

&nbsp;&nbsp;&nbsp;&nbsp;· document, reporting and reconciliation management.

The service establishes a direct channel between the Group's banks and their customers and allows users to:

&nbsp;&nbsp;&nbsp;&nbsp;· receive information relating to the relationships with their banks;

&nbsp;&nbsp;&nbsp;&nbsp;· forward the electronic instructions to the recipient banks.

<u>Prepaid cards.</u> The contract was signed in August 2019 and relates to the outsourcing of the management of Business and Consumer "international" prepaid cards, including IT and Back Office services.

<u>Payment services on international circuits referring to international debit cards.</u> The purpose of the agreement signed in December 2020 is the performance by Nexi Payments S.p.A., as licensee for the payment circuits, of the activities related to the issue and management of payment services relating to debit cards with international circuits.

BANCA MONTE DEI PASCHI DI SIENA

Main risks and uncertainties

Risk identification

The Group's main risks and uncertainties are credit risk, market risk (including interest rate risk on the banking book and issuer risk) and operational risk (including legal and cyber risk), business and strategic risk as well as liquidity risk for the funding risk components and short term liquidity risk.

There are also other risks and uncertainties related to the potential outcomes of regulatory stress tests, supervisory authority assessments, reputational risk, risks related to the economic and political environment, real estate risks, and climate and environmental risks.

The risks classified as high as well as other risks to which the Group is exposed are described in more detail below.

<u>Credit risk</u>

Lending represents the Group's core business and the main risk component, accounting for about half of the Group's total risk-weighted assets (and more than half of the Group's Pillar 1 risk-weighted assets). The classification as high risk remained unchanged compared to the previous year, especially given the uncertainties intrinsic to the general and sector macroeconomic context.

In detail, the continuing international geopolitical tensions arising from the Russia-Ukraine conflict and escalating tensions in the Middle East, with negative security and cost impacts on international trade, could have a negative impact on the ability of the Group's customers to meet their obligations and hence cause a significant deterioration in the credit quality of the Parent Company and/or the Group, with possible negative effects on activities and the financial situation of the Parent Company and/or the Group.

Furthermore, any fluctuations in real estate indices could result in a reduction in the value of mortgage guarantees on loans disbursed which, in conjunction with the presence of counterparty insolvency events, also due to the changed macroeconomic scenario, would make higher provisions necessary, with negative effects on the Group's results. Similarly, a deterioration in real estate sector performance could result in a decrease in the solvency of counterparties operating in construction, leasing and/or the purchase and sale of real estate which, impacting sale and/or lease prices, influences the economic and financial situations of the financed companies, triggering a deterioration in the credit quality of the Group's loan portfolio.

In this context, in 2024 the Group continued to monitor the entrusted companies operating in the real estate sector, while, on non-performing loans, it continued its activities aimed at containing the stock of NPLs.

<u>Market risk</u>

Market risk remains a significant risk to which the Group is exposed given the potential volatility of the underlying variables, in a general context of uncertainty still characterised by an adverse geopolitical scenario, with the continuation of the war in Ukraine and conflicts in the Middle East. Although the inflation rate is close to the ECB's target rate, there remains a risk of recession in the EU, with price levels above the pre-inflationary shock, affecting consumption and businesses and consequently the financial markets. Monetary policies remained on an accommodative path during the year, with the risk, in the event of a tightening of the geopolitical environment, of a slowdown in the decline of rates and a rise in credit spreads.

In particular, the reference to market risk relates to sovereign exposures of both the trading book and of the banking book although the trend during the year on the banking book in FVOCI (Fair Value through Other Comprehensive Income), showed a decrease in overall exposures concentrated on Italian government bonds, with a gradual diversification of the portfolio towards core European government securities (EU issues). The points of attention include the exposure and concentration in Italian government bonds in terms of issuer risk, for positions mainly classified at amortised cost and the portfolio's relative vulnerability to unfavourable changes in market conditions, particularly on interest rates and Italy's credit spread, regarding securities in FVOCI. In this context, as a condition of greater capital stability, we Highlight the Groups' decision to apply the temporary prudential filter up until December 2025 to positions in FVOCI<sup>16</sup>.

Since the June meeting, the ECB inaugurated a series of cuts in the cost of money in the Eurozone (the last cut announced at the March meeting), which brought the main refinancing rate to 2,65% from 4.5% at the beginning of 2024: the contraction of inflation expected in 2026/2027 and a clear deterioration in the economic environment (resulting in adjusted downward growth forecasts) are directing the market to price further expansionary actions by the Central Bank up to the neutral rate, currently seen in a range of 1.75%-2.25%, in the second half of 2025.

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| | |
|:---|:---|
| 16 | See Article 468 of Regulation (EU) 2020/873, regarding the option, reintroduced by the new prudential regulation "CRR3", to sterilise from regulatory capital the positive and negative effects of the OCI reserve on government bonds, previously in force from June 2020 until December 2022 as part of the measures in response to the pandemic. |

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2024 ANNUAL REPORT - Consolidated Report on operations

The Group's strategic decision to gradually reduce its exposure to interest rate risk made it possible to optimise and, at the same time, defend the net interest income while preserving the economic value of capital in the medium to long term: the reshaping of hedges of both securitised and commercial assets and a targeted management of hedges of securitised liabilities, made it possible to achieve an adequate level of sensitivity in terms of changes in both the prospective margin and the economic value of capital.

Pending the monitoring of macroeconomic developments within the European Union (in particular the political/economic situation in Germany and France) and the geopolitical framework (Middle East and Ukraine) as well as verifying the actual orientation of the new US President Trump with regard to foreign policy, the Group's strategy will essentially remain the same as that undertaken in 2024 with the objective of further reducing the exposure to interest rate risk in defence of the net interest income.

<u>Operational risk</u>

Operational risk is defined as the risk of incurring losses deriving from the inadequacy or the failure of processes, human resources, and internal systems, or from external events, including legal, conduct and IT & security risk. The classification as high risk remained, conservatively, unchanged from the previous year despite the positive *trend* in civil and criminal judgments since the last quarter of 2023, especially with regard to legal disputes referring to: (i) to capital increases, in particular criminal proceedings 33714/16 and 29877/22 concerning false corporate communications in relation to the 2013-2017 financial statements and the 2015-2016 half-yearly reports, and (ii) to disposals of *non-performing loans* for which the uncertainties are linked to the outcome of pending litigation for alleged breaches of contractual clauses (*Representations & Warranties*).

In consideration of the centrality of the Information System and the technological innovations supporting the Group's strategic plan, among the other components of operational risk, the latter pays particular attention to ICT and security risk*,* also due to the *evolution of the regulatory context,* technological developments and uncertainties linked to the continuous changes in the landscape of external threats. These risks are governed by a specific framework, recently adapted to the provisions of the European DORA Regulation*,* and by activating continuous monitoring and mitigation actions on specific risk areas. As part of the strengthening of the risk culture, staff training and awareness-raising on cyber risk are continuously carried out.

<u>Business and strategic risk</u>

Business and strategic risk is defined as current and/or prospective risk of incurring unforeseen losses generated by high business volatility (business risk), incorrect strategic decisions and/or low response to changes in the competitive environment (strategic risk).

Although, at the moment, the profitability indicators are more than in line with the 2024-2028 Plan (for further details please refer to paragraph "2024-2028 Group Business Plan" included in these Consolidated Report on operations), the rapid evolution of the economic and technological context represents a significant challenge for the Group and its ability to effectively develop the current business model while maintaining adequate recurring returns and ensuring long-term sustainability, even in a substantially different environment, as well as maintaining adequate levels of capital.

In this scenario, the Group analyses and reviews its strategic initiatives to respond to the changes underway and the ex-pected challenges.

*<u>Funding risk e Liquidity risk</u>*

In general, during 2024, the Group's liquidity profile remained at very strong levels.

With regard to funding risk, the sustainability of the funding profile (understood as the ability to finance banking activities with stable resources) remains high, as evidenced by the levels of medium/long-term liquidity indicators.

With reference to short-term liquidity risk, after experiencing liquidity stress in the past, the Group has maintained, in recent years, short-term liquidity indicators at very high levels, even after the maturity in March and June 2024 of long-term refinancing transactions (TLTROs) with the ECB for a total of EUR 5.5 bn, partially replaced by new short-term auctions (MROs/ LTROs) with the ECB. As at 31 December 2024, the total amount of ECB auctions was EUR 8.5 bn (EUR 3.5 bn in MROs and EUR 5.0 bn in LTROs), down compared to EUR 13 bn at the end of December 2023.

Regardless of the adequacy levels, the classification of liquidity risk remains high due to its specific nature, as fast-moving, systematic or idiosyncratic crises may develop, with immediate and strong repercussions on both customer behaviour and market access.

BANCA MONTE DEI PASCHI DI SIENA

Other risks and uncertainties

<u>Risks associated with regulatory stress tests</u>

As part of prudential supervisory activities, the ECB, in cooperation with the EBA and the other competent Supervisory Authorities, performs periodic stress tests on supervised banks in order to check bank resilience with respect to baseline and adverse macroeconomic scenarios. The impact of these tests depends on assessment methodologies, stress scenarios and the outcome of the quality assurance activities taken as a reference by the Supervisory Authorities. The Montepaschi Group is therefore exposed to the uncertainties arising from the outcome of these exercises, consisting of the possibility of incurring a potential tightening of the capital requirements to be met, if the results bring to light particular Group vulnerability to the stress scenarios assumed by the Supervisory Authorities. It is recalled that the Group was included in the sample of banks called to perform the next EBA EU-wide Stress Test, which will take place in the first half of 2025.

<u>Risks associated with audits by Supervisory Authorities</u>

The Group is exposed to the risk that following assessments of the Supervisory Authorities, procedural gaps could be identified implying the need to adopt organisational measures and strengthen the oversight mechanisms aimed at making up for such gaps. Any inadequacy of the corrective actions and the remediation plans undertaken by the Bank to incorporate any Supervisory Authority recommendations could have significant negative effects on the Group's profit and loss, financial position and/or cash flows and possible penalty proceedings, including bans, with resulting reputational impacts.

<u>Risks related to the economic-political context</u>

The Group's results are influenced by the general economic context and the financial market trend and, in particular, the economic performance of Italy as the country in which the Group almost exclusively operates.

In a phase of relative slowdown in the global cycle, the context remains characterised by high uncertainty related to evolving geopolitical tensions; the continuation of the war in Ukraine, the fragility of the Israeli-Palestinian truce, and the economic and international policy stances that will characterise the new US administration after the recent elections, condition the international and domestic growth prospects with impacts on the Group's business dynamics. A possible escalation of ongoing conflicts, with repercussions on energy markets and trade channels, represents a risk for the ongoing global inflation moderating process. Although the central banks have started to ease monetary policy, a less decisive reorganisation of prices could force them to keep key interest rates at high levels for longer than expected, which would further slow down the economy and fuel tensions on the financial markets. New balances in international political governance may also affect the economic environment.

The possibility of a return to protectionist trade policies on the part of the United States, its hypothetical and progressive disengagement from climate, health and defence policies, a strong control of migration flows and a lesser containment of US public accounts could have negative repercussions on global growth in the medium term. In Europe, the renewed Euro-pean Parliament and the new EU Commission are expected to face particularly challenging and debated EU decisions, such as: support for Ukraine, definition of trade relations with China, reaction to the possible imposition of trade tariffs by the US, capital market union or completion of the banking union. Among the member states, France and Germany face a crisis in their governments. The friction between the US and China in the Pacific and the reduced dynamism of the Chinese economy, affected by the crisis in its domestic real estate market, are additional risk factors for the global economic scenario.

At domestic level, incomplete or delayed implementation of the measures envisaged in the National Recovery and Resilience Plan (NRRP) review could provide less support to growth in a domestic demand context that is still moderate. The required restriction on national tax policy, in light of the entry into force of the reform of EU budget rules and the opening infringement proceedings against Italy for its excessive deficit could weigh on households' disposable income and on business profits. At the same time, a budgetary policy perceived as not fully in line with the goal of sustainability of public accounts, in a context of lower expected growth and increased interest expenses, could negatively affect the perception of Italy as a risk, fuelling the rise in the spread and further tightening funding conditions. Furthermore, on the business side, Italian foreign demand may be affected by the difficulties of the industrial sector in Germany, which is Italy's largest trading partner, and may be affected by the possible imposition of trade tariffs on American markets. If such risks result in stagnation or a recession in the Italian economy in the medium term, this could negatively affect the main banking aggregates and there could be potentially significant impacts on the economic and financial position of the Bank and the Group. In particular, for the banking sector, there could be a decline in demand for credit, a decrease in customer funding primarily with reference to businesses, a slowdown in ordinary banking activity, a deterioration in the loan portfolio with a simultaneous increase in non-performing loans and situations of insolvency, a deterioration in revenues and increase in adjustments to receivables, with negative effects on the Group's business and economic, financial and asset situation. New inflationary pressures could also lead to an increase in operating costs.

Lastly, note that any significant deviations between the actual macroeconomic dynamics and those assumed in the long-term planning processes could have repercussions on the Group's operating results and on the prospective economic, equity and/or financial situation of the Group.

2024 ANNUAL REPORT - Consolidated Report on operations

<u>Climate-related and environmental risks</u>

The Group is exposed to environmental risks linked or not to climate change, which are divided into i) physical risk, i.e. the risk that extreme natural climatic events (acute physical risk), progressive climatic changes (chronic physical risk) or events affecting ecosystems (non-climatic physical environmental risk) may directly or indirectly cause material damage decline in productivity and disruption of the production chain with negative impact on both the ability of households and businesses to meet their financial commitments and on the value of collateral provided; and ii) transition risk arising from possible losses that an entity may incur, directly or indirectly, as a result of the adjustment process towards a "low-carbon economy" (climate transition risk) or towards a more sustainable use and impact of ecosystem assets (non-climate environmental transition risk).

In addition, physical and environmental transition risks (climatic and non-climatic) may cause the Group to incur losses resulting directly or indirectly from lawsuits or generate reputational damage if the entity is perceived to be associated with activities or individuals that have caused significant damage to the ecosystem.

Additional elements - including quantitative information - on the risk factors typical of the Group's activities are contained in Part E of the Notes to the consolidated financial statements, to which reference is made.

BANCA MONTE DEI PASCHI DI SIENA

Financial risks and hedging-related policies

The financial risks to which the Group is exposed are credit risk, trading book market risk, interest rate risk of the banking book, exchange rate risk and liquidity risk.

Credit risk management

The advanced internal rating-based (AIRB) approach, based on internal ratings, have been used for some time as part of the internal capital adequacy assessment process (ICAAP). More specifically, the Group has adopted this approach (AIRB) starting with the 2008 Supervisory Reports and is currently authorised to use internal estimates of PD, LGD and EAD on Banca MPS and Widiba for the corporate portfolio and retail exposures.

The latest update/implementations relating to internal models are detailed below:

&nbsp;&nbsp;&nbsp;&nbsp;· During 2023 and the first half of 2024, a revision of the regulatory models
of PD, LGD and EAD (Model Change 2024-MC24) was carried out in order to update the estimates used and resolve the findings noted by the
Supervisory Authority on Model Change 2021, in production since March 2023 for the Parent Company and since December 2023 for Widiba.
The application for substantial changes to the AIRB templates and the application package with the relevant documentation was sent to
ECB by the end of August 2024;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· In December 2024, an on-site inspection (IMI-2024-ITMPS-0241024) by the
ECB started with the above-mentioned change. The passage into production of the MC24 models for regulatory purposes will take place after
the receipt of authorisation from the supervisory authority for their use, which is expected in the first quarter of 2026.

In general, these internal models, as well as for reporting purposes, are used in various management processes for the Group's operating purposes.

Credit quality is part of a monthly monitoring process aimed at ensuring compliance with the thresholds established both in the Risk Appetite Framework (RAF) and in the Credit Policies in order to ensure consistency on an ongoing basis between the Group's actual risk profile and the risk appetite decided ex-ante by the Board of Directors.

The annual RAF is formalised in the so-called "Risk Appetite Statement" (RAS) approved by the Board of Directors and based on a set of key risk indicators (KRI) defined at Group, legal entity and business unit level, including indicators aimed at monitoring the expected concentration levels on large exposures and related parties and which also make it possible to monitor the maximum level of exposure and therefore of RWA on individual counterparties.

As part of the RAS, the risk management and measurement systems put in place by the Group allow continuous monitoring of the risk profile and periodic reporting to the Corporate Bodies, with the activation of appropriate escalation and remediation mechanisms in the event of breaches of the relevant thresholds.

With regard to the processes and tools for managing and controlling the quality of the loan portfolio related to corporate and retail customers, a key element is internal ratings, which are calculated using differentiated models and estimated specifically by customer segment. The rating represents an evaluation, referring to a 12-month time horizon, carried out on the basis of all reasonably accessible information, of both a quantitative and qualitative nature, and expressed by means of a ranking on an ordinal scale, of the capacity of an entity entrusted or to be entrusted to honour contractual obligations.

Ratings play a central role in the processes of granting credit, providing credit products and monitoring and managing performance. In particular, it contributes to the determination of the bodies responsible for deciding on credit facilities, influences the application of the automatic renewal mechanism for positions with revocable credit facilities and contributes to the automatic interception in the monitoring and management process.

The Group has always been committed to the acquisition of instruments for greater credit protection or the use of applications and techniques involving a reduction in credit risk. To this end, guarantees typical of banking business are acquired, when deemed necessary, i.e. mainly mortgages on real estate, collateral on securities as well as personal guarantees issued by guarantors. In general, the decision on the acquisition of a guarantee is based on the assessment of the customer's creditworthiness and on the characteristics of the transaction. After this analysis, it may be considered appropriate to raise additional collaterals for the purpose of risk mitigation, taking into account the presumed recoverable value offered by the collateral. On the other hand, with regard to the monitoring phase of the assets covered by the collateral, in particular real estate, the Group has a policy that establishes the amounts of the secured exposure and the age of the appraisal, beyond which the process of reappraisal of the assets is started. For exposures lower than the thresholds defined, the Group in any event conducts half-yearly monitoring of the property value based on market data.

For more information on this risk and related controls, please refer to Part E "Information on risks and related hedging policies", section 1.1 Credit risk of the Notes to the consolidated financial statements. Lastly, with reference to the quantitative aspects on the degree of exposure of the Group to credit risk and on the quality of credit, please refer to section A.

2024 ANNUAL REPORT - Consolidated Report on operations

Credit quality, Quantitative information of the aforementioned Part E and the information on "Non-performing exposures of loans to customers" included in the section "Reclassified balance sheet" included in this Report on Operations.

Management of market risk of the trading book

Market risk is the risk that the Bank will incur lower revenues than expected, impairment of balance sheet items or economic losses relating to the financial positions held, due to significant and adverse changes in market conditions and in particular in interest rates interest, share prices, exchange rates, commodities and related volatilities and correlations (generic risk), or due to the occurrence of factors that compromise the issuer's ability to repay (default risk) or that in any case involve a change in solvency of the issuer itself (credit spread risk). Market risk occurs both in relation to the trading book, including financial instruments held for trading and the related derivative instruments, to the banking book, which includes financial assets and liabilities recorded differently from those making up the trading book.

Financial risk management monitoring activities, aimed at identifying the different types of risks, defining the methodologies for measuring them, controlling the limits at strategic level and the consistency of their operations with the assigned risk objectives/yield, is centralised in the Parent Company under the responsibility of the Risk Management Function.

The monitoring of the above-mentioned risks is carried out using both deterministic indicators, such as sensitivity to market risk factors, and probabilistic indicators such as VaR (Value at Risk), which is a measure of maximum potential loss of the portfolio within a certain time period and with a given level of confidence.

VaR for management purposes is calculated using the internal risk measurement model implemented by the afore-mentioned function in compliance with international best practices. The Group uses the standardised methodology in the area of market risks solely for reporting purposes. Periodically, information on market risks is transmitted to the Risk Management Committee and to the Top Bodies as part of the information flows with which Top Management and the Governing Bodies are informed about the Group's overall risk profile.

During 2024, the market risks of the Group's Regulatory Trading Book showed, in terms of VaR, a trend determined mainly by proprietary trading activities in the Credit Spread and Interest Rate segments (transactions in Italian government bonds and hedges via swaps and long futures) and, to a lesser extent, customer-driven activities in the Equity segment related to the structuring of bancassurance products.

The Group's VaR has remained at lower average levels compared to the previous year, by virtue of maintaining a general process of risk containment.

For more information on VAR measures and sensitivity analyses, please refer to section 1.2.1 Interest rate risk and price risk - Regulatory trading book in the Notes to the consolidated financial statements.

Management of interest rate risk of the banking book

The interest rate risk relating to the banking book derives mainly from the core activities carried out as an intermediary engaged in the process of transforming maturities. In particular, the issue of fixed-rate bonds, the disbursement of mortgages and commercial loans at a fixed rate and the funding through demand current accounts constitute a source of fair value interest rate risk, while floating-rate financial assets/liabilities constitute a source of cash flow interest rate risk.

The monitoring and control of the interest rate risk of the banking portfolio is carried out by the Parent Company's Risk Management Function, including for its financial subsidiaries. The aim of this activity, conducted on a monthly basis, is to verify compliance with the limits set in terms of changes in net interest income and the economic value of the banking book.

The Group adopts an interest rate risk governance and management system known as the IRRBB Framework which avails itself of:

· a quantitative model, which provides
the basis for monthly calculation of the exposure of the Group and the individual companies to interest rate risk in terms of risk indicators;

<sub> </sub>

· risk monitoring processes, aimed
at periodically verifying compliance with the operational limits (risk limits and risk tolerance) assigned to the Group overall and to
the individual legal entities within the Risk Appetite Statement (RAS);

<sub> </sub>

· risk control and management processes,
geared toward bringing about adequate initiatives for optimising the risk profile and activating any necessary corrective actions in
the case of exceptions from and/or misalignments with the IRRBB Strategy.

Within the model defined, the Finance, Treasury and Capital Management unit (FTCM) of the Parent Company is responsible for the operational management of the Group's overall interest rate and liquidity risk.

BANCA MONTE DEI PASCHI DI SIENA

As part of the monitoring of interest rate risk, in particular the risk measures used internally are:

· the change in the expected 1-year
interest margin as a result of a parallel *shock* of the spot rate curves for a *shock* of +/- 100 basis points. As at 31 December
2024, this *sensitivity* averaged EUR -140.7 mln, with a maximum value of EUR -166.9 mln and a minimum value of EUR -114.2 mln.

<sub> </sub>

· the change in the economic value
as a result of a parallel shock of the spot rate curves of +/- 100 bps in relation to Own Funds (equity perspective). The magnitude of
the economic value at risk at the end of 2024 averaged EUR -282.2 mln, with a minimum value of EUR -186.5 mln and a maximum value of
EUR -388.1 mln.

For further information, please refer to section 1.2.2 Interest rate risk and price risk - Banking book in the Notes to the consolidated financial statements.

Exchange rate risk management

Foreign exchange operations are mainly based on short-term trading, with the systematic balance of the transactions originated by the franchise and the retail banks which automatically feed into the Group's position.

With regard to the methods for measuring and controlling the exchange rate risk generated by the trading book, please refer to the previous paragraph on Market risk of the trading book.

For further information, please refer to section 1.2.3 Exchange rate risk in the Notes to the consolidated financial statements.

Liquidity Risk Management

Liquidity risk is the risk that the Group may not be able to meet its payment commitments, certain or expected with reasonable certainty. Two manifestations of liquidity risk are normally identified: (i) the risk that the Group will not be able, in the short term (liquidity) and/or in the long term (funding), to meet its payment commitments and obligations efficiently; (ii) the risk that the Group may not be able to liquidate an asset without incurring capital losses due to the shallowness of the relevant market and/or as a result of the timing of the transaction.

Liquidity risk is managed and monitored as part of the Internal Liquidity Adequacy Assessment Process (ILAAP), which represents the process by which the Group identifies, measures, monitors, mitigates and reports its liquidity risk profile. As part of this process, the Group carries out an annual self-assessment of the adequacy of the overall liquidity risk management and measurement framework, which also includes governance, methodologies, information systems, measurement and reporting tools. The results of the assessment of the adequacy of the risk profile and the overall self-assessment are reported to the corporate bodies and brought to the attention of the Supervisory Authority.

The management of liquidity is centralised at the Parent Company. The monitoring and control of liquidity risk is carried out on a daily basis (short-term liquidity) and monthly (structural liquidity) and has the objective of monitoring the evolution of the risk profile by verifying its adequacy with respect to the Risk Appetite Framework and operating limits. In particular, the Group uses a monitoring system that includes both short-term and long-term liquidity indicators. To this end, both regulatory metrics (LCR, NSFR) and metrics developed internally are used, including the use of behavioural and/or optional parameter estimation models.

During 2024, the Group's liquidity and funding profile was higher than the regulatory and internal risk limits.

For more information on this risk and related safeguards, as well as on the time distribution by contractual residual maturity of financial assets and liabilities, please refer to the qualitative and quantitative information included in Section 1.4 Liquidity Risk of the Notes to the consolidated financial statements.

2024 ANNUAL REPORT - Consolidated Report on operations

Information on employment law, tax and complaints risks

Information on legal, employment and tax risks

The Group carefully reviews and monitors the risks associated with or connected to legal disputes, i.e. disputes brought before judicial authorities and arbitrators, and out-of-court claims, making specific allocations to provisions for risks and charges for disputes and out-of-court claims considered to have a "likely" risk, using statistical or analytical criteria.

The following were pending as at 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· legal disputes with a total relief sought, where quantified, of EUR 3,320.7
mln, of which approximately EUR 1,603.0 mln as relief sought relating to disputes classified as a "likely" risk, for which
provisions for EUR 456.7 mln are recognised and approximately EUR 1,717.7 mln as relief sought attributed to disputes classified as having
 "possible" risk;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· out-of-court claims for a total relief sought, where quantified, of approximately
EUR 81.9 mln, of which EUR 40.4 mln classified with a "likely" risk of losing the case and EUR 41.5 mln with a "possible"
risk of losing the case.

The most significant events in 2024 refer to:

&nbsp;&nbsp;&nbsp;&nbsp;· bankruptcy revocatory actions, compounding of interest and interest for
a total relief sought of EUR 215.0 mln, of which EUR 207.4 mln at "likely" risk of losing the case;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· derivatives for a total relief sought of EUR 126.0 mln, of which EUR 40.8
mln at "likely" risk of losing and EUR 66.3 mln at "possible" risk of losing;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial information disclosed in the period 2008-2015, for a total relief
sought quantifiable at EUR 1,343 mln, broken down as follows:

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|:---|:---|:---|:---|:---|:---|
| **Type** | **31/12/24** | **30/09/24** | **30/06/24** | **31/03/24** | **31/12/23** |
| Civil dispute | 674 | 675 | 675 | 670 | 685 |
| Filed civil claim cp 955/16 | 160 | 160 | 160 | 160 | 160 |
| Filed civil claim cp 33714/16 | 483 | 483 | 483 | 495 | 495 |
| Filed civil claim cp 29877/22 | 26 | - | - | - | - |
| **Total legal proceedings** | **1343** | **1318** | **1318** | **1325** | **1340** |

---

With reference to civil litigation, the decrease in relief sought recorded as at 31 December 2024 compared to the end of the previous year is mainly attributable to the settlement of certain disputes following the appearance of the plaintiffs in criminal case PP 33714/16.

With reference to criminal proceedings, it is noted: (i) in PP 33714, the decrease in the relief sought, amounting to approximately EUR 12 mln, is due to the exclusion of certain civil parties ordered by order dated 22 April 2024; (ii) in PP 29877/22 the *relief sought* in the amount of EUR 26 mln, is represented for the first time in the fourth quarter of 2024, following the incorporation of the Parent Company in November 2024 as civilly liable party. The aforementioned *relief sought* where quantified, has been determined having regard to the claims of the civil parties formed in the aforementioned proceedings reduced by what has already been claimed in the joined PP 33714/16 by the civil parties intervening in both proceedings.

Risks for tax (an overall relief sought of EUR 35.5 mln, of which EUR 12.2 mln for a "likely" risk of losing the case) and employment law (an overall relief sought of EUR 44.6 mln, of which EUR 32.1 mln for a "likely" risk of losing the case) are also subject to monitoring and evaluation by the competent Group functions, and in the event of disputes with "likely" risk, appropriate allocations are made to the provision for risks and charges.

With regard to other legal risks not attributable to litigation, indemnities are envisaged to be paid to the transferee counterparties of *non-performing* loan portfolios if the representations and warranties (R&W) issued as part of the sale transactions turned out not to be true. The total relief sought for these transactions as at 31 December 2024 amounted to EUR 271.3 mln, of which around EUR 63.9 mln classified as a "likely" risk of losing and around EUR 207.5 mln as a "possible" risk of losing.

For further information, please refer to Section E of the Notes to the consolidated financial statements - 1.5 Operational Risks, "Main types of legal, employment law and tax risks".

BANCA MONTE DEI PASCHI DI SIENA

Information on complaints and appeals

Claims management represents:

&nbsp;&nbsp;&nbsp;&nbsp;· an essential activity in managing the relationship with customers;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· a tool for identifying any critical issues and improving the quality of
products/services provided;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· a useful safeguard in protecting the customer, both to encourage amicable
resolution of disputes, and to define, in cases where this does not occur, the parties' positions, conducting an initial investigation
before pursuing the dispute in other judicial settings.

The Group makes available to customers, on its website and those of its subsidiaries, and at all branches, information on how to handle complaints - in order to publicise the methods for submitting complaints and the time required for their management - as well as on the main systems for out-of-court resolution of disputes currently available in Italy (Alternative Dispute Resolution, ADR), to which the Parent Company adheres. These systems are the Arbitro Bancario Finanziario (ABF), Arbitro per le Controversie Finanziarie (ACF) and the various mediation entities registered with the Ministry of Justice.

In 2024, approximately no. 6,639 complaints were received (of which no. 6,297 were received by the Parent Company) mainly related to:

&nbsp;&nbsp;&nbsp;&nbsp;· delays in processing of tax credits for building bonuses;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· issues related to the application of terms and conditions on home loans
(e.g. "floor" clause on variable-rate mortgage contracts, the issue of the invalidity of the variable rate applied to loans
because they are benchmarked to the Euribor rate);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· problems related to credit facilities (e.g. reporting to the Central Risk
Centre, usury and compounding of interest);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· errors/delays in the execution of transactions on current accounts and mortgages;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· issues related to fraud and losses on cards and payment systems;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· alleged inadequacies in the preventive disclosure provided to customers
who performed transactions on equities and bonds, however, dating back to previous years.

During the period, over no. 6,403 complaints were processed with an acceptance rate of approximately 13,4%. The areas with the highest number of customer-friendly outcomes were current accounts, other loans (above all due to the issue of processing delays on tax credit transfers for building bonuses) and residential mortgages.

There were no. 199 ABF appeals received and registered during the year and no. 226 decisions; about 72% were favourable to the Parent Company, with the rejection of the claims made by customers, while about 13% had outcomes which were favourable, in whole or in part, to the claimants; the remaining 15% or so are disputes that ended with the parties reaching an agreement.

There were no. 73 ACF appeals processed during 2024 and no. 60 decisions, 60% of which were favourable to the Parent Company and there were no ACF appeals resolved by settlement.

Inspection activities and procedures of the Supervisory Authorities

In the normal course of business, the Group is subject to audits by the Supervisory Authorities. In particular, within the European banking supervisory system (Single Supervisory Mechanism), the Group is subject to prudential supervision by the European Central Bank (ECB); with reference to specific issues, supervisory activities are the direct responsibility of the Bank of Italy and Consob.

At the date of this report, as explained in detail below, some inspections are still ongoing (some of which were initiated in earlier periods) or awaiting the receipt of the Final Follow-up Letter or Final Decision from the ECB, while for others only the completion of corrective actions remains.

<u>Audit on internal models - Internal Model Investigation (IMI-2022-ITMPS-0197502)</u>

In February 2022, the ECB launched an on-site inspection for the approval of the authorisation request (sent by the Parent Company on 9 November 2021) for the material changes to the credit risk models. The material changes relate to the adaptation of the AIRB models (PD and LGD) to the reference regulatory legislation (EBA/GL/2017/16), to the resolution of the findings that emerged in previous inspections and the roll-out of the EAD parameter. The audit activities were completed on 13 May 2022. On 1 March 2023, the Parent Company has received the Final Decision Letter from the ECB, with the approval of the 2021 model change. All findings from previous IRB inspections were addressed and an action plan was developed to remedy the findings identified in IMI Inspection 0197502.

2024 ANNUAL REPORT - Consolidated Report on operations

The models were implemented in the Group's management systems as from February 2023 and have been in use since the regulatory reporting during 2023. The action plan has been implemented, with the exception of one obligation that is expected to be resolved by March 2025, in line with ECB expectations.

*<u>Supervisory assessment, implementation plan and ECB Thematic Review on climate and environmental risks</u>*

In 2024, the Group continued to implement the plan to integrate climate and environmental risks (C&E risks) into the risk management framework, in line with indications received from the ECB as part of the specific Thematic Review launched at the beginning of 2022.

On 19 September 2023, the ECB sent a Decision Letter to the Parent Company on the C&E risk identification process, requesting further reinforcement on the process of identifying material C&E risks, monitoring the impacts of C&E risks in the business environment in which the Bank operates, and recommending an update of the materiality assessment on liquidity risk; in this regard, the Parent Company defined specific actions that it subsequently developed within the indicated timeframe.

On 10 July 2024, the Parent Company received a "Feedback Letter" on the activities implemented in response to the indications contained in the Thematic Review mentioned above. In this letter, the ECB acknowledges that the Bank is broadly in line with the observations made in the Thematic Review, but calls for further strengthening of certain environmental risk issues, with particular reference to non-climate environmental risk factors.

The Group set up a plan of activities to respond to the recommendations in the Feedback Letter in a timely manner, all of which were completed during 2024 in compliance with both the thematic review agenda and the recommendations being included in the Feedback Letter of July 2024.

The Parent Company also participated in the "Fit-for-55 climate risk scenario analysis" exercise conducted by the EBA, jointly with the ECB and ESRB, in the first quarter of 2024. The purpose of the exercise was to assess the progress made by banks in managing data relating to C&E risks and in aligning with ECB best practices on the issue. On 31 May 2024, the Parent Company received a specific Output Report on the financial year: in terms of data capability, the results are essentially in line with what was found in the peer group, showing good data collection capabilities, related to the energy efficiency of real estate securing loans (mainly residential), some areas for improvement were however indicated on the collection of data related to GHG emissions and Net Zero targets of counterparties.

*<u>Credit and counterparty risk audit (OSI 0198380)</u>*

On 19 April 2022, the ECB launched an audit on credit and counterparty risk relating to the Corporate and Large SME segments with the aim of: i) identifying and quantifying any impairment effects on the portfolios under audit, ii) verifying the IFRS 9 provisioning model for portfolios under review, and iii) reviewing the credit classification and provisioning process. The activities were completed in the third quarter of 2022 and the Parent Company received on 10 July 2023 the Follow-up Letter with recommendations associated with the findings of the inspection report, following which it prepared a specific action plan, the implementation of which was completed in the first half of 2024.

*<u>Residential Real Estate Targeted Review</u>*

During the fourth quarter of 2022, the Parent Company was involved in a Targeted Review by the ECB of the "residential properties" portfolio, focusing on the credit granting process. The exercise included a preliminary phase, which ended in February 2023, of data collection and benchmarking checks, followed by a workshop to meet with the institutions involved.

On 31 October 2023, the Bank received an Operational Act indicating nine findings and related recommendations. The three main areas of intervention concern the review of the autonomy of the branches, the strengthening of the stress testing framework and the process of assessing the loan repayment capacity by the customer. The implementation of remedial actions for the resolution of the findings was completed in the first half of 2024.

*<u>Audit on internal models - Internal Model Investigation (IMI 0227377)</u>*

On 19 June 2023, the ECB launched an onsite inspection for the approval of an application for authorisation of material changes to the credit risk models used to determine the capital requirements of Banca Widiba. The application is based on the request to extend the Group models (corporate and retail) for the three parameters PD/LGD/EAD to the subsidiary Banca Widiba.

The inspection was completed in August 2023 and the ECB sent the inspection report and Decision Letter on 23 October 2023 and 22 February 2024, respectively; the Parent Company, in response to the reported findings, sent a specific action plan on 19 March 2024, the implementation of which was completed during the third quarter of 2024.

BANCA MONTE DEI PASCHI DI SIENA

*<u>Cyber Resiliency Stress Test 2024</u>*

The Parent Company was selected by the ECB to participate in the 2024 cyber resiliency stress test, aimed at assessing the digital operational resilience of significant entities in the event of a serious cyber security threat.

The ECB informed the Parent Company of the outcome of the exercise during July 2024, reporting five findings; one was closed at the end of 2024, while the rest will be closed by December 2025.

*<u>Cyber Resilience Targeted Review</u>*

During the second half of 2024, the Parent Company was included in a Targeted Review on "Cyber Resilience", the Parent Company responded to the questionnaire in October 2024 and is awaiting feedback from the Supervisory Authority.

*<u>IFRS 9 Exercise 2022</u>*

During the second half of 2022, the Parent Company took part in the IFRS 9 benchmarking exercise conducted by EBA, with the aim of assessing whether the use of different modelling techniques could lead to significant inconsistencies in terms of the amount of expected credit losses (ECL) that directly affect own funds and regulatory ratios. The two most significant findings that have emerged as a result of the activities relate to the overlay governance process and the collective staging criteria. During the second half of 2023, the Parent Company therefore formalised the governance of the process and finalised the collective staging criteria adopted starting from the accounting assessments of 31 December 2023.

The Supervisory Board also submitted this exercise to the Parent Company for the year 2023, in order to monitor the achievement of the previously communicated expectations; the Parent Company sent a reply in February 2024 and is awaiting the outcome.

<u>UTP Deep Dive</u>

In October 2024, the Bank was included in a Deep Dive audit on UTP loans, with a focus on governance and monitoring processes and a specific credit file review; The Parent Company received the draft letter in February and expects final feedback in March 2025.

<u>Outsourcing Targeted Review</u>

During October 2024, the ECB initiated a Targeted Review on the outsourcing processes implemented by the Parent Company, which is still awaiting the results from the Supervisory Authority

*<u>Credit and counterparty risk audit (OSI 0240556)</u>*

During the period November 2024 - March 2025, the ECB started an on-site credit and counterparty risk inspection of the SME segment, with the main objectives of verifying compliance with IFRS9, examining credit processes and performing a specific credit quality review.

<u>Funding Plan feasibility Targeted Review</u>

On 4 November 2024, the Bank received the outcome of the Targeted Review on the funding plan, which was carried out during the second half of 2023, which raised three findings that expired on 30 April 2025.

<u>Deep Dive on Digital Transformation</u>

During the second half of 2024, the Bank was included in an audit on the digital transformation process, in order to verify the adherence of the implemented strategy/processes to the expectations of the Supervisory Authority. On 3 January 2025, the Parent Company received a Draft Feedback Letter on the outcome of the audit, and is required to prepare a Remedial plan by the end of the first quarter of 2025.

<u>Audit on internal models - Internal Model Investigation (IMI-2024-ITMPS-0241024)</u>

In December 2024, the ECB initiated an on-site inspection for the approval of the application submitted by the Bank for the application of material model changes in the area of credit risk models.

<u>EBA EU-Wide Stress Test 2025</u>

The Parent Company was selected to participate in the EBA EU-Wide Stress Test 2025 exercise, which is being conducted in the first half of 2025, aimed at assessing the resilience of the European banking sector; the outcome of the exercise is expected to be published in August 2025.

<u>Internal Governance and Risk Management Investigation Activity (OSI 0259894*)*</u>

In February 2025, the ECB started an on-site inspection regarding internal governance and risk management, with the aim of verifying the related governance and risk management processes implemented by the parent company.

2024 ANNUAL REPORT - Consolidated Report on operations

*<u>Consob Audit on Investment Services</u>*

From 3 May 2022 to 17 February 2023, a Consob audit on the Parent Company was carried out, aimed at ascertaining the state of compliance with the new legislation resulting from the adoption of Directive 2014/65/EU (so-called (i) the defined procedural arrangements for product governance; (ii) the procedures for assessing the appropriateness of transactions carried out on behalf of customers. As a result of the aforesaid inspections, on 28 July 2023 Consob, noting a context of substantial compliance with the regulatory framework and supervision by the control functions, notified the Bank of a number of aspects worthy of in-depth examination and updating that had emerged during the inspection, in relation to which the plan of action was completed in November 2024.

*<u>Supervisory activities and initiation of Consob sanction proceedings on EMIR reporting</u>*

On 12 September 2024, Consob initiated a sanctioning procedure against Banca MPS pursuant to Articles 193-quater and 195 of the Consolidated Law on Finance (TUF) for alleged violation of Article 9 of EU Regulation 648/2012 (EMIR Regulation) in relation to certain errors in the reporting of derivative contracts. The procedure is ongoing.

*<u>Bank of Italy Desk Inspection on PAD Directive</u>*

In October 2024, a branch inspection visit was initiated by the Bank of Italy to investigate compliance with the implementing provisions of Directive 2014/92/EU (Payment Accounts Directive - PAD) on 12 selected branches within 4 regions (Tuscany, Lombardy, Puglia and Calabria). The inspection was completed in December 2024 and the Parent Company is awaiting to receive the final report from the Bank of Italy.

*<u>Inspection by the Italian Data Protection Authority</u>*

In October 2024, an on-site inspection was launched by the Italian Data Protection Authority in order to verify compliance with the provisions on the protection of personal data in general and, more specifically, to verify the lawfulness of certain accesses by third parties and by certain employees of the Parent bank to customers' bank accounts. The Data Protection Authority will inform the Parent Company of the outcome of the investigations conducted.

*<u>Bank of Italy and FIU audit on anti-money laundering</u>*

From 2023, the Supervisory Authority launched a series of annual meetings with all banks classified as "significant", with the aim of having a complete view of the anti-money laundering segment (AML-CFT).

In this context, between April and May 2024, the Authority asked the Parent Company for further information on the strengthening initiatives planned as a result of the findings from previous inspections, after which it highlighted certain areas for improvement, duly taken into consideration by the Bank which, on 20 June 2024, sent the Bank of Italy a response letter with a description of the remedial measures envisaged in a specific Plan, previously approved by the Board of Directors.

On 10 June 2024, the AML Supervision and Regulation Unit of the Bank of Italy commenced an on-site inspection belonging to the reconnaissance/thematic type, with the main focus on the renewal process of adequate verification, concluded on 9 August 2024 with a 'partially favourable' results which was represented to the Supervisory Authority at the BoD meeting of 12 December 2024. The Parent Company, in a letter signed by the members of its corporate bodies and approved at the Board of Directors' meeting of 23 January 2025, provided the Supervisory Authority on 24 January 2025 with its considerations on the findings, also giving information on the measures already taken and those it intends to take.

BANCA MONTE DEI PASCHI DI SIENA

Regulatory Developments

With reference to the regulatory framework for prudential supervision, on 19 June 2024 the Regulation (EU) no. 2024/1623 (**CRR3**) was published, amending Regulation (EU) no. 575/2013 and Directive (EU) 2024/1619 (**CRD VI**) amending Directive 2013/36/EU. The new regulatory provisions implement the standards approved by the Basel Committee at the end of 2017<sup>17</sup>, with specific reference to the treatment of the main risks (credit, market and operational) and the so-called "output floor" which aims to counteract the possible underestimation of the risk deriving from the use of banks' internal models.

The new CRR3 provisions entered into force on 9 July 2024 and apply as of 1 January 2025, subject to specific provisions applicable as of 9 July 2024; The CRD VI Directive, on the other hand, must be transposed by the Member States by 10 January 2026 and the transposing legislation will be applicable from 11 January 2026.

The CRR3 regulation provides for a number of new features, including:

<u>Credit risk - standardised method (SA-CR):</u>

&nbsp;&nbsp;&nbsp;&nbsp;· introduction of a stricter approach for unconditionally
cancellable commitments (UCCs), for which a credit conversion factor (CCF) is to be raised from 0% to 10%, thus leading to a capital absorption;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· revision of the risk weights for exposures in the form
of subordinates that go from 100% to 150% and equity exposures that go from 100% to 250%, distinguishing the latter from short-term and
riskier speculative investments which are assigned a risk weight of 400%;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· introduction of a standardised credit risk assessment
approach for exposures to institutions for which a credit assessment by a chosen ECAI is not available. This method requires banks to
classify the aforementioned exposures in one of the three classes (corresponding to different weighting factors) on the basis of quantitative
and qualitative criteria defined by the regulator;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Revision of the treatment of exposures secured by real
estate that maintains the distinction between mortgages on residential and non-residential real estate, with the introduction of an additional
driver providing specific treatment for mortgages secured by income-producing real estate (IPRE), i.e., mortgages whose repayment depends
to a significant extent on the cash flows (in the form of lease or rental payments or sales proceeds) generated by the collateralised
property. Such exposures receive a differentiated risk weight based on the ratio of the gross exposure value to the value of the collateralised
property (ETV). Among the main novelties we also find the specific treatment for loans financing the acquisition, development or construction
of residential or non-residential real estate, so-called "ADC" financing, for which a 150% weighting is envisaged where there
are no binding pre-sale or pre-lease contracts constituting a signifi-cant part of the total contracts or where the borrower does not
have an adequate amount of equity at risk (in relation to the definition of the latter two points, the EBA will issue guidelines by 10
July 2025);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· reintroduction of the "prudential filter"
on government bonds until 31 December 2025, providing for 100% full sterilisation for the entire period of application.

However, a long transitional regime (2025-2032) is envisaged, which will allow banks to defer capital impacts.

<u>Credit risk - internal ratings-based method (IRB-CR):</u>

&nbsp;&nbsp;&nbsp;&nbsp;· limitation on the use of the Advanced Internal Ratings-Based
(A-IRB) approach, which will no longer be usable for "Large corporate" exposure classes (consolidated groups with turnover
 > EUR 500 mln), institutions and equity instruments; For exposures to large corporate and institutions, the core internal model (F-IRB)
may be used, while the standardised approach will be mandatory for equity exposures;

&nbsp;&nbsp;&nbsp;&nbsp;· Recalibration of PD floors and introduction of floors to LGD and EAD parameters
for corporate and retail exposures;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· elimination of the scaling factor (1.06), currently provided for in the
IRB calculation formulas as a calibration of risk weights;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· modification of the calculation method for obtaining
internal estimates of credit conversion factors (CCFs), for which the EBA is expected to publish guidelines on the methodology to be adopted
(by 31 December 2026) and the modification of the scope of application of internally estimated CCFs limited exclusively to so-called
 "revolving" commitments.

<u>Market risk</u>: Delegated Regulation (EU) 2024/2795 published in the Official Journal of the EU on 31 October 2024 amending the CRR with regard to the application of own funds requirements for market risks, confirmed the postponement to 1 January 2026 of the application of the Fundamental Review of the Trading Book (FRTB), which had so far only been introduced in Europe (with CRR2) for reporting purposes.

17 See Basel III: Finalising post-crisis reforms, December 2017.

2024 ANNUAL REPORT - Consolidated Report on operations

<u>Operational risk</u>: a single standardised approach applicable by all banks - New Standardised Measurement Approach (SMA) - is introduced for the calculation of the capital requirement, replacing the methods used to date for calculating operational risk (Basic Indicator Approach-BIA); The Standardised Approach *-* TSA; Alternative Standardised Approach *-* ASA, including the internal model-based Advanced Measurement Approach - AMA).

The new method is based on an accounting-derived information pool and determines the own funds requirement as a % of the Business Indicator, where the latter is the sum of three components, each calculated as an average of the last three years:

&nbsp;&nbsp;&nbsp;&nbsp;· ILDC - Interest, Leases and Dividends Component: interest, including interest
from leasing and dividends;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· SC - Service Component: service component;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· FC - Financial Component: financial component.

<u>Output floor</u>: In order to ensure minimum levels of capital, mitigate model risk, and enhance comparability between banks, the output floor mechanism provides that banks using internal models to calculate risk-weighted exposures may not have Unfloored Total Risk Exposure (U-TREA) below 72.5% of the risk-weighted exposures that would be obtained using the Standardised Total Risk Exposure *(*S-TREA) approaches alone.

<u>Environmental, social and governance risks</u>: the first references are introduced on the issue of climate risks and on how banks and supervisors will have to take them into account with the main objective of further strengthening the resilience of the European banking system, contributing to sustainability with a "green transition" and make the supervisory powers more incisive.

Furthermore, due to the rapid growth of cryptocurrency markets in recent years, CRR3 introduces a specific prudential treatment for these types of exposures. Transitional calculation rules for the own funds requirement are envisaged, pending the publication of the legislative proposal by the European Commission (by June 2025) to introduce a dedicated treatment for crypto-assets.

Based on preliminary calculations carried out on figures as at 31 December 2024, the Group expects that the new regulatory provisions will lead to a reduction of capital requirements in the range of 8% (3-4bn in terms of RWA).

BANCA MONTE DEI PASCHI DI SIENA

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New tax regulations

Set out below are the most significant regulatory measures in terms of taxation introduced during 2024.

Global Minimum Tax

With reference to the implementing provisions on Global Minimum Tax, the following implementing decrees were issued concerning the respective areas of application:

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 20 May 2024 (on Transitional Safe Harbours) regulates
the temporary optional regimes, which applicable only for the first years following the entry into force of the Global Minimum Tax regulations,
in order to reduce the administrative and compliance burden for multinational groups and tax administrations. Access to these simplified
regimes is admitted in the event of passing at least one of the three simplified tests provided for, namely:

<sub> </sub>

the **de minimis** requirement: the Group has total revenues of less than EUR 10 mln and a pre-tax profit of less than EUR 1 mln or a pre-tax loss;

the **simplified effective tax rate** requirement: the Group has a simplified effective tax rate equal to or higher than the transitional tax rate;

the **ordinary profit** requirement: the Group realises a pre-tax loss or realises a pre-tax profit that is less than the reduction from substantial economic activity referred to in Article 35 of Legislative Decree No. 209/2023 with respect to companies located in the country highlighted in the country-by-country reporting prepared and presented using qualified financial statements.

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 1 July 2024 (National Minimum Tax), regulates the
minimum tax applicable to companies and jointly controlled entities located in Italy that are part of a multinational or national group
with the requirements pursu-ant to Article 10 of Legislative Decree 209/2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 11 October 2024 (Reduction of the tax base of the
minimum tax arising from the substantial economic activity so-called SBIE), regulates the mechanism of the reduction of the relevant
net income of a multinational or national group, for the purposes of determining the supplementary taxation, for a given financial year
arising from the performance of a substantial economic activity attributable to the labour factor and tangible fixed assets employed in
that country.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 20 December 2024 (Miscellaneous Provisions Implementing
the Global Minimum Tax) *,* which contains implementing provisions of various kinds aimed at transposing into national law the clarifications
provided by the OECD in the Administrative Guidance (AG) published during 2023 on various topics.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Ministerial Decree of 27 December 2024 (Discipline of deferred taxation
in the transitional period), which sets forth the implementing provisions concerning the discipline of deferred taxation in the transitional
period, as defined in Article 54 of Legislative Decree No. 209/2023, taking into account the clarifications provided in the OECD Commentary
to Article 9.1 of the Model Rules, published on 14 March 2022 "Tax Challenges Arising from the Digitalisation of the Economy-Commentary to
the Global Anti Base Erosion Model Rules (Pillar Two)" as amended and supplemented by the subsequent Administrative Guides approved
by the Inclusive Framework on BEPS, published on 2 February 2023 (AG February 2023) and 17 June 2024 (AG June 2024).

<sub> </sub>

Building Bonus Initiatives

Law No. 67, of 23 May 2024, which converted, with amendments, Decree-Law No. 39 of 29 March 2024, setting forth urgent measures on tax benefits pursuant to Articles 119 and 119-ter of Decree-Law No. 34, of 19 May 2020, amended the rules on tax deductions recognised for specific interventions in the building sector (the so-called "Building Bonus"), on the subject of:

&nbsp;&nbsp;&nbsp;&nbsp;· options for credit assignment or invoice discounting;

&nbsp;&nbsp;&nbsp;&nbsp;· regulation on performing loans (remissione in bonis);

&nbsp;&nbsp;&nbsp;&nbsp;· usability of tax credits.

2024 ANNUAL REPORT - Consolidated Report on operations

Options for credit assignment or invoice discounting;

The possibility of the assignment of credit and the so-called "invoice discount" is eliminated for all remaining cases (IACP, indivisible housing cooperatives, third sector entities, as well as interventions carried out in the municipalities of the territories affected by seismic events, those carried out in relation to buildings damaged by meteorological events, and those related to the elimination of architectural barriers).

However, it remains possible to exercise the assignment/discount options on the invoice in relation to expenses incurred for interventions for which, prior to the date of entry into force of the decree:

&nbsp;&nbsp;&nbsp;&nbsp;· the application for a permit has been submitted, where necessary;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· work has already commenced or, in the event that work has not yet commenced,
a binding agreement has already been entered into between the parties for the supply of the goods and services that are the subject of
the work and an advance payment has been made on the price, if no permit is required for the work.

There is also a specific exemption for interventions pursuant to Article 119 of the Italian Civil Code 1-ter, 4-quater of Decree-Law 34/2020 carried out in relation to buildings damaged by seismic events.

Regulation on relief on performing loans (remissione in bonis);

The Decree has eliminated the possibility of exercising relief on performing loans in order to remedy omitted notifications of the exercise of options of assignment/discount on invoices within the ordinary deadlines on an annual basis.

Usability of tax credits.

In order to avoid the use of building bonuses also by persons who have debts towards the Treasury, the Decree has provided for the suspension, up to the amount due, of the usability of tax credits relating to building bonuses in the presence of tax rolls or loads entrusted to the collection agents relating to treasury taxes as well as to acts issued by the Italian Tax Agency for amounts in excess of EUR 10,000, if the payment terms have expired and provided that no suspension measures are in place or that there are no instalment plans underway for which no forfeiture has occurred.

The Decree also introduced, as of 1 July 2024, a general prohibition on the possibility of availing of the offsetting under Article 17 of Legislative Decree No. 241/1997 (with the exception of some specific cases of credits), in the presence of entries on the tax rolls or loads entrusted to the collection agents relating to treasury taxes as well as to acts issued by the Italian Tax Agency for amounts in excess of EUR 100,000, if the payment terms have expired and provided that no suspen-sion measures are in place or that there are no instalment plans underway for which no forfeiture has occurred.

Article 4-bis of the decree in question has provided, with regard to the so-called "qualified entities" (i.e. banks, financial intermediaries and insurance companies), as from 1 January 2025, for the prohibition of "horizontal" offsetting (pursuant to Article 17 of Legislative Decree No. 241/97) of Building Bonus (Bonus Edilizi) credits with debts for social security contributions, welfare contributions, and premiums for insurance against accidents at work and occupational diseases.

In paragraph 6, the decree provided for the introduction of Paragraph 3-ter of Article 121 of Decree-Law 34/2020, which provided for "qualified entities" to be obliged to divide into six equal annual instalments (instead of the original instalment payments provided for) the instalments of the tax credits deriving from the option pursuant to Article 121 of Decree-Law 34/2020, relating to subsidised interventions pursuant to Article 119 of Decree-Law 34/2020 (so-called superbonus), pursuant to Article 119-ter of Decree-Law 34/2020 (so-called architectural barriers bonus) and pursuent to Article 16, paragraph 1-bis to 1-septies, of Decree-Law 63/2013 (so-called earthquake bonus or sismabonus), which are traceable (i.e. referring to notifications of the first transfer or invoice discount sent to the Italian Tax Agency starting from 1 May 2022) and usable from the year 2025 onwards. However, an exemption is provided for qualified entities that have acquired the instalments of the aforesaid credits at a consideration equal to or greater than 75% of the amount of the corresponding deductions and have declared this circumstance to the Italian Tax Agency by 31 December 2024 by means of a special communication, the content and transmission modalities of which were defined by Italian Tax Agency Order No. 422331 of 21 November 2024.

Lastly, Law No. 207 of 30 December 2024 (the so-called "Budget Law 2025"), intervenes again on the subject, providing for the extension of the tax relief for interventions aimed at the recovery of the building heritage, the energy requalification of buildings (ecobonus) and the reduction of seismic risk (earthquake bonus or sismabonus), with different rates depending on whether the real estate unit is intended as a main residence or not (respectively 50% or 36% for expenses incurred in 2025 and 36% or 30% for expenses incurred in 2026 and 2027). With regard to the "superbonus", additional requirements are introduced to benefit from the 65% relief for expenditure incurred in 2025; the option is also introduced to divide the deduction due for expenses incurred from 1 January 2023 to 31 December 2023 into ten equal annual instalments.

Concerning the stocks of loans acquired by the Parent Company as at 31 December 2024, please refer to Section 12 - Other Assets - Item 120 of the Notes to the Financial Statements - Part B - Balance Sheet Information.

BANCA MONTE DEI PASCHI DI SIENA

Budget Law 2025

Deferral of deductibility of negative income components and recalculation of advance payments

Finally, Article 1 of Law no. 207, of 30 December 2024 (the so-called "Budget Law 2025"), in paragraphs 14 to 20, provides for a deferral of the deductions due for IRES and IRAP purposes for the tax period in progress on 31 December 2025 and for the tax period in progress on 31 December 2026 by way of:

&nbsp;&nbsp;&nbsp;&nbsp;· write-downs and losses on loans not deducted pursuant to Article 16 of Decree-Law
No. 83/2015 by financial intermediaries,

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· goodwill amortisation rates restated pursuant to Article 1, paragraph 1079
of Law No. 145/2018,

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· expected credit losses, recognised in application of the FTA of IFRS 9,
not deducted by financial intermediaries pursuant to Article 1, paragraphs 1067 and 1068 of Law No. 145/2018.

Specifically, the deduction due for IRES and IRAP purposes for the tax period ending 31 December 2025 is deferred on a straight-line basis to the tax period ending 31 December 2026 and the following three periods, while the deduction due for the tax period ending 31 December 2026 is deferred on a straight-line basis to the tax period ending 31 December 2027 and the following two periods.

Only for the tax period in progress as at 31 December 2025, the amount corresponding to the higher taxable income due to the aforementioned deferrals of deductions may be offset up to a maximum of 54% thereof against any prior tax losses pursuant to Article 84 of the TUIR and residual ACE surpluses. As a result of the aforementioned amendments, the advance payments for the 2025 and four subsequent tax periods are to be recalculated; Moreover, for the 2025 and 2026 tax years, for the portion of the higher advance payments due pursuant to the above provisions, the prohibition on "horizontal" offsetting pursuant to Article 17 of Legislative Decree No. 241/97 and "vertical" offsetting pursuant to Article 4.3 of Legislative Decree No. 69/89 with pre-existing tax credits is also introduced.

Requirements for deductibility of travel and entertainment expenses

Article 1, paragraphs 81 to 83 of the Budget Law 2025, intervenes on the subject of expenses for board, lodging, travel and transport as well as entertainment expenses, limiting their deductibility for IRES and IRAP purposes only in cases where their payment is made by traceable methods, such as bank deposits or other payment systems provided for by Article 23 of Legislative Decree No. 241 of 1997. The change affects both the expenses directly incurred by companies and professionals and the analytical reimbursement of such expenses incurred directly by their employees or freelance suppliers. In the presence of such payment methods, the reimbursement of these expenses does not contribute to the formation of the employee's income.

Super deduction for new hires

The super deduction for new hires, introduced by Article 4 of Legislative Decree 216/2023, is also extended for the 2025, 2026, and 2027 financial years, as provided by Article 1, paragraphs 399 - 400 of the 2025 Budget Law.

Tax credits for investments in capital goods

Paragraphs 427 to 429 of Article 1 of the Budget Law 2025 make changes to the rules on the transition 5.0 tax credit. For each type of reduction in energy consumption of the relevant production structure or processes concerned, the first two brackets of investment up to EUR 10 mln have been merged, to which the higher rates of the previous legislation for the first bracket apply. It is also expressly provided that it can be added cumulatively with the credit for investments in the Mezzogiorno Single Economic Zone and with other facilities concerning European programmes.

Paragraphs 445 to 448 of the article under comment repeal for 2025 the tax credit for investments in intangible assets 4.0 provided for by Article 1, paragraph 1058-ter of Law 178/2020 and introduce a maximum expenditure limit of EUR 2.2 bn for the tax credit for investments in tangible assets provided for by Article 1, paragraph 1057-bis of Law 178/2020, while keeping the measures of the facility unchanged.

IRES bonus

Article 1, paragraphs 436 to 444 of the Budget Law 2025 introduced the so-called "IRES bonus" ("IRES premiale"), consisting in the reduction, for the 2025 tax period only, by 4 percentage points (from 24% to 20%) of the IRES rate applied on declared business income by companies that meet certain requirements such as:

&nbsp;&nbsp;&nbsp;&nbsp;· the allocation to available reserves of at least 80% of the profits realised
in the tax period ending 31 December 2024;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· investments relating to the purchase of new capital goods intended for production
facilities located in the territory of the State, indicated in Annexes A and B attached to Law 232/2016 (tangible goods 4.0) and in Article
38 of Decree-Law 19/2024 (goods 5.0) to an extent at least equal to 30% of the profit allocated to the reserve referred to in the previous
point and made from 1 January 2025 until 31 October 2026;

2024 ANNUAL REPORT - Consolidated Report on operations

&nbsp;&nbsp;&nbsp;&nbsp;· conditions concerning the employed labour force:

<sub> </sub>

- the number of work units must not be reduced compared to the average of the previous three years,

new permanent hires must be made that contribute to an increase of at least 1% in the average number of permanent employees employed in the 2024 financial year,

- no use must have been made in 2024 and 2025 of the Wage Guarantee Fund.

New employment law regulations

Remuneration policies

On 21 May 2024, the Banca d'Italia informed the European Banking Authority (EBA) of its intention to comply with the EBA Guidelines on Comparing Diversity Practices, including Diversity Policies and the Gender Pay Gap, pursuant to Directive 2013/36/EU and Directive (EU) 2019/2034 (EBA/GL/2023/08). These guidelines came into force on 27 June 2024.

From this date, banks and investment firms (SIMs), selected by the Bank of Italy to be part of the sample, will have to transmit the required data by 30 April 2025 and every three years thereafter. The reference date for data collection will be 31 December of the previous year, and transmission must take place in accordance with the Guidelines.

These Guidelines reflect the institutions' ongoing commitment to ensuring greater transparency and equal treatment in employment, with a particular focus on gender diversity and reducing the pay gap.

Personnel administration

On 1 July 2024, the reduction of the working week by 30 minutes took effect, as stipulated in the renewal agreement of the CCNL, dated 19 December 2019, for managerial staff and staff in professional areas in the sector. The group leader implemented it by reducing the working hours on Fridays and bringing forward the afternoon exit time.

Also for the renewal agreement of the CCNL 19 December 2019, the second tranche of the planned tabular increases was implemented in September.

The company bonus accruing in 2023 was paid during 2024. Employees were given the option to choose between the monetary disbursement of the bonus, tax-free at 5% where the required tax conditions were met, or its conversion into a "welfare account", which can be used via an IT platform until 30 November. In this way, it was possible to opt for a wide range of services and/or reimbursements with contribution and tax exemption or for the premium to be allocated to supplementary pensions.

Tax Agency

In the year 2024, the first part of the tax reform referred to in the delegation to the Government assigned by Law 111 of 2023 was implemented. It reduced the IRPEF tax rates from 4 to 3:

&nbsp;&nbsp;&nbsp;&nbsp;· Up to EUR 28,000 - 23%;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Up to EUR 50,000 - 35%;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Over EUR 50,000 - 43%.

In addition, deductions for employment income were raised by EUR 75 for incomes up to EUR 15,000.

With the thirteenth month's pay in December 2024, the so-called "Christmas Bonus", provided for by Law 143/2024, was paid; it is a sum of up to EUR 100 disbursed at the express request of the employee meeting certain family and income requirements.

Social security

The institution of "flexible early retirement" (the so-called "Quota 103"), planned on an experimental basis for the year 2023, was also confirmed for 2024. The rule provides that one can leave the labour market at the age of at least 62 and with a minimum contribution period of 41 years. The flexible early retirement provides for specific limitations on the maximum amount of the monthly gross pension and on the possibility of cumulation with other income from work.

The Budget Law 2024 further extended the right to opt for the early retirement "women's option" pension is also applicable to female workers who have accrued, by 31 December 2023, the requirements of 35 years of contributions and the age of 61 years (60 with one child, 59 years of age with two or more children), provided that they assist a family member in a serious situation pursuant to Law 104, have a reduction in working capacity greater than or equal to 74% or are employed in companies in financial difficulty.

In the same law, the 6%-7% contribution exemption for employees with monthly social security taxable amounts below EUR 2,692 and EUR 1,923, respectively, was confirmed for the whole of 2024.

BANCA MONTE DEI PASCHI DI SIENA

Results by Operating Segment

Identification of Operating Segments

In accordance with the provisions of IFRS 8, the operating segments have been identified based on the main business sectors in which the Group operates. As a result, by adopting the "business approach", consolidated income statement and balance sheet data are broken down and re-aggregated based on criteria including: business area concerned, operating structure of reference, relevance and strategic importance of activities carried out, and customer clusters served.

It should be noted that from the first quarter of 2024 the financial results, as well as the number of customers, reflect the representation of the new Small Business service model, implemented at the end of April 2024, which entailed the migration of approximately 190 thousand customers from the Small Business service model to the Value service model, i.e. from the Corporate Banking segment to the Retail segment. The comparative figures (balance sheet and income statement) were consequently restated in order to allow a homogeneous comparison.

In relation to comparative data, note that on 24 April 2023 and 29 May 2023, respectively, the mergers by incorporation into the Parent Company of MPS Leasing & Factoring S.p.A. and MPS Capital Services Banca per le Imprese S.p.A. took effect. Though in both cases the accounting and tax effects took effect on 1 January 2023, for the first half of 2023, the merged entities were included in the segment reporting results on the basis of their contribution to the Group's results as independent business units (estimated on the basis of management and, where available, accounting evidence), in line with management reporting. As of the second half of 2023, the customer contribution of the merged companies was instead attributed to the operating segments on the basis of the service model actually assigned to the customers. The economic results as at 31 December 2023, are therefore not fully comparable (with particular reference to the Corporate Banking and Large Corporate and Investment Banking segments); the comparative balance sheet results as at 31 December 2023, on the other hand, allow for a like-for-like comparison.

Lastly, note that from 30 June 2024, as described in more detail in the paragraph "Income statement and balance sheet reclassification principles", to which reference is made, the costs and revenues as well as the assets and liabilities referring to the consolidated contribution of the subsidiary MP Banque are included on a line-by-line basis in the individual income statement and balance sheet items within the *Corporate Center*. The comparative figures (balance sheet and income statement) were consequently restated in order to allow a homogeneous comparison.

Based on the Group's reporting criteria, which also take into account the organisational structures and the above, the fol-lowing operating segments are defined:

&nbsp;&nbsp;&nbsp;&nbsp;· **Retail Banking**, which includes the income statement/balance sheet
results of Retail customers (Value and Premium segments) and Banca Widiba S.p.A. (Financial Advisor Network and Self-service channel);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Wealth Management**, which includes the income statement/balance sheet
results of Private Banking customers (Private Banking and Family Office segments) and the subsidiary MPS Fiduciaria;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Corporate Banking**, which includes the income statement/balance sheet
results of enterprise customers (SME, Corporate Client and *Small Business segments*) and the Foreign Branches;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Large Corporate e Investment Banking**, which includes the economic/equity
results of *Large Corporate* customers, and of the *Corporate Finance and Investment Banking* and *Global Markets Business Units;* 

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Corporate Centre**, which in addition to the offsetting of intragroup
entries, incorporates the results of the following business centres:

<sub> </sub>

- Non-Performing customers managed centrally by the Non-Performing Loans Unit;

- companies consolidated with the equity method and those held for sale;

- operating units, such as proprietary finance, treasury and capital management;

- service units supporting the Group's business, dedicated in particular to the management and development of IT systems.

The income statement and balance sheet results for each identified operating segment are shown in the following paragraphs.

2024 ANNUAL REPORT - Consolidated Report on operations

Results in brief

The following table reports the main income statement and balance sheet items that characterised the Group's Operating Segments as at 31 December 2024:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SEGMENT REPORTING** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Corporate <br> Center** | **Corporate <br> Center** | **Total <br> MPS Group** | **Total <br> MPS Group** |
| | | | **Wealth** | **Wealth** | **Corporate** | **Corporate** | **Large Corp. &** | **Large Corp. &** | | | | |
| <br>**Primary Segment** | **Retail banking** | **Retail banking** | **Management** | **Management** | **Banking** | **Banking** | **Investment Banking** | **Investment Banking** | | | | |
| <br>**(EUR mln)** |<br>**31/12/24** | **Chg. %**<br>**Y/Y** |<br>**31/12/24** | **Chg. %**<br>**Y/Y** |<br>**31/12/24** | **Chg. %**<br>**Y/Y** |<br>**31/12/24** | **Chg. %**<br>**Y/Y** |<br><br>**31/12/24** |<br>**Chg. %**<br>**Y/Y** |<br><br>**31/12/24** |<br>**Chg. %**<br>**Y/Y** |
| **PROFIT AND LOSS AGGREGATES** |  |  |  |  |  |  |  |  |  |  |  |  |
| Total revenues | 2362.1 | 9.7% | 188.8 | 4.6% | 1322.8 | 2.7% | 324.5 | 38.1% | (164.4) | n.s. | 4033.8 | 6.2% |
| Operating expenses | (1156.6) | 1.3% | (116.5) | 6.3% | (397.5) | 6.2% | (73.1) | -7.8% | (125.4) | -8.8% | (1869.1) | 1.4% |
| Pre Provision operating profit | 1205.5 | 19.2% | 72.3 | 1.9% | 925.3 | 1.3% | 251.4 | 61.4% | (289.8) | 46.6% | 2164.7 | 10.8% |
| Cost of customer loanss/Net impairment (losses)-reversals on securities and loans to banks | (87.5) | -42.4% | (1.9) | -41.0% | (223.4) | -6.5% | (57.2) | n.s. | (46.2) | -6.0% | (416.2) | -6.1% |
| Net operating income | 1118.0 | 30.0% | 70.4 | 4.0% | 702.0 | 4.1% | 194.1 | 25.0% | (336.0) | 36.1% | 1748.5 | 15.7% |
|  |  | **Chg. %** |  | **Chg. %** |  | **Chg. %** |  | **Chg. %** |  | **Chg. %** |  | **Chg. %** |
|  | **31/12/24** | **31/12** | **31/12/24** | **31/12** | **31/12/24** | **31/12** | **31/12/24** | **31/12** | **31/12/24** | **31/12** | **31/12/24** | **31/12** |
| **BALANCE SHEET AGGREGATES** |  |  |  |  |  |  |  |  |  |  |  |  |
| Gross Interest-bearing loans to customers (\*) | 32409 | 1.1% | 489 | -5.8% | 29774 | -2.8% | 4465 | 13.3% | 11087 | 5.9% | 78223 | 0.8% |
| Direct funding | 44717 | 3.2% | 3037 | 15.8% | 20364 | -1.6% | 4477 | 37.5% | 21376 | 3.0% | 93972 | 3.7% |
| Indirect funding | 61773 | 8.1% | 16425 | 6.9% | 6052 | 6.9% | 8210 | 3.0% | 10778 | 0.6% | 103237.8 | 6.6% |
| *Assets under management* | *47080* | *6.6 %* | *11052* | *6.3 %* | *1156* | *-31.5 %* | *38* | *1.7 %* | *598* | *1.1 %* | *59924* | *5.3 %* |
| *Assets under custody* | *14693* | *13.4 %* | *5373* | *8.2 %* | *4896* | *23.2 %* | *8173* | *3.0 %* | *10179* | *0.5 %* | *43314* | *8.4 %* |

---

*(\*) The value shown in the Group as well as that in the operating segments is represented by gross interest-bearing loans to customers, therefore not including loss provisions.*

BANCA MONTE DEI PASCHI DI SIENA

Retail Banking

**Business Areas**

**Retail MPS**

&nbsp;&nbsp;&nbsp;&nbsp;· Funding and provision of insurance products.

&nbsp;&nbsp;&nbsp;&nbsp;· Lending.

&nbsp;&nbsp;&nbsp;&nbsp;· Financial advisory services.

&nbsp;&nbsp;&nbsp;&nbsp;· Electronic payment services.

**Banca Widiba**

&nbsp;&nbsp;&nbsp;&nbsp;· Banking products and services, deposit account, cards and advanced payment systems;
customer self-service through the bank's digital channels or in assisted mode with the support of a Financial Advisor.

&nbsp;&nbsp;&nbsp;&nbsp;· Fully customizable online platform that relies on a Network of 567 Financial Advisors present throughout
the country.

&nbsp;&nbsp;&nbsp;&nbsp;· Funding and Global Advisory service and financial planning through the advanced WISE platform and the
skills of the Financial Advisor Network.

&nbsp;&nbsp;&nbsp;&nbsp;· Mortgage loans, credit facilities and personal loans.

&nbsp;&nbsp;&nbsp;&nbsp;· Innovative interaction through computers, smartphones, tablets, watches and TV.

**Customers**

*Retail Banking* customers number approximately 3.4 mln and include approximately 241,400 exclusive customers of Banca Widiba. The total number of Banca Widiba customers, including those shared with the Parent Company, is approximately 264,200, of which approximately 110,000 on the Financial Advisor Network channel, approximately 108,700 on the Self channel, and approximately 45,500 customers migrated from the MPS branch network.

![](tm2518026d1_ex99-4aaimg001.jpg)

Income statement and balance sheet results

As at 31 December 2024, **Total Funding** in Retail Banking amounted to **EUR 106.5 bn**, up by EUR 1.5 bn compared to September 2024 levels and up by EUR 6.0 bn compared to year-end 2023. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;· **Direct Funding**, at **EUR 44.7 bn**, increased by EUR 0.7 bn compared
to 30 September 2024 as a result of the increase in sight deposits (EUR +0.7 bn). The aggregate was up by EUR 1.4 bn compared to 31 December
2023, with a decrease in demand deposits (EUR +1.7 bn) and medium/long-term deposits (EUR +0.5 bn), while short-term deposits decreased
(EUR -0.8 bn);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Indirect Funding**, amounting to **EUR 61.8 bn**, increased by EUR
0.9 bn compared to levels at the end of September 2024, of which EUR 0.8 bn was from the growth in assets under custody and EUR 0.1 bn
from assets under management. The aggregate was also up compared to 31 December 2023 (EUR +4.6 bn), both on the asset under management
component (EUR +2.9 bn) and on the assets under administration component (EUR +1.7 bn);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Gross interest-bearing loans to Retail Banking customers** amounted
to **EUR 32.4 bn**, up compared to 30 September 2024 (EUR +0.4 bn) and as at 31 December 2023 (EUR +0.4 bn).

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Retail Banking - Balance sheet aggregates** | **Retail Banking - Balance sheet aggregates** | **Retail Banking - Balance sheet aggregates** | | | | | |
| **(Eur mln)** | **31/12/24** | **30/09/24** |<br>**31/12/23** |<br>**Chg Abs**<br>**Q/Q** |<br>**Chg %**<br>**Q/Q** |<br>**Chg Abs**<br>**Y/Y** |<br>**Chg %**<br>**Y/Y** |
| **Direct funding** | **44717** | **44060** | **43320** | **657** | **1.5%** | **1396** | **3.2%** |
| Assets under management | 47080 | 46322 | 44176 | 759 | 1.6% | 2904 | 6.6% |
| Assets under custody | 14693 | 14593 | 12953 | 100 | 0.7% | 1739 | 13.4% |
| **Indirect Funding** | **61773** | **60914** | **57129** | **858** | **1.4%** | **4643** | **8.1%** |
| **Total Funding** | **106490** | **104974** | **100450** | **1515** | **1.4%** | **6040** | **6.0%** |
| **Gross Interest-bearing loans to customers** | **32409** | **31982** | **32044** | **427** | **1.3%** | **365** | **1.1%** |

---

2024 ANNUAL REPORT - Consolidated Report on operations

------

![](tm2518026d1_ex99-4aaimg002.jpg)

With regard to profit and loss, for the year ended 31 December 2024, Retail Banking achieved total **Revenues** of approx. **EUR 2,362 mln**, up by 9.7% compared to 2023. A breakdown of the aggregate shows:

&nbsp;&nbsp;&nbsp;&nbsp;· Net interest income amounted to EUR 1,335 mln, an increase of EUR 87 mln
compared to 31 December 2023, due to increased operations with customers;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Net commissions amounted to EUR 971 mln, an increase of EUR 128 mln compared
to the previous year, mainly due to higher income from product placement and lending;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Other Income from Banking and Insurance Business amounted to approximately
EUR 63 millio, down by EUR 7 mln compared to the corresponding period of the previous year.

Considering the impact of Operating Expenses, which were up by 1.3% compared to the same period of the previous year, Retail Banking generated a **Gross Operating Income** of EUR 1,206 mln (EUR 1,012 mln as at 31 December 2023). **Cost of credit** stood at roughly **EUR -88 mln** (EUR -152 mln as at 31 December 2023).

The **Net Operating Income** as at 31 December 2024 **was positive for EUR 1,118 mln**.

The non-operating components amounted to EUR -8 mln, compared to EUR -6 mln as at 31 December 2023.

The **Profit before tax from continuing operations** was **EUR 1,110 mln** (EUR 854 mln as at 31 December 2023).

The **cost-income ratio** of the Operating Segment is **49.0%** (53.0% as at 31 December 2023).

BANCA MONTE DEI PASCHI DI SIENA

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| **Retail Banking - Profit and loss aggregates**<br>**(EUR mln)** |<br>**31/12/24** |<br>**31/12/23** | **Abs.** | **%** |
| Net interest income | 1335.5 | 1248.2 | 87.2 | 7.0% |
| Net fee and commission income | 971.1 | 843.3 | 127.7 | 15.1% |
| Other Revenues from Banking and Insurance Business | 63.1 | 69.9 | -6.9 | -9.8% |
| Other operating expenses/income | (7.5) | (7.7) | 0.2 | -2.5% |
| **Total Revenues** | **2362.1** | **2153.8** | **208.3** | **9.7%** |
| Operating expenses | (1156.6) | (1142.1) | -14.5 | 1.3% |
| **Pre Provision Operating Profit** | **1205.5** | **1011.7** | **193.8** | **19.2%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks | (87.5) | (151.8) | 64.3 | -42.4% |
| Net Operating Income | 1118.0 | 859.9 | 258.1 | 30.0% |
| **Non-operating components** | **(8.5)** | **(6.1)** | **-2.4** | **38.7%** |
| **Profit (loss) before tax from continuing operations** | **1109.5** | **853.8** | **255.7** | **30.0%** |

---

**Distribution network - Breakdown of revenues**

![](tm2518026d1_ex99-4aaimg003.jpg)

The main sales initiatives and product/service innovation

In the course of 2024, the Parent Company focused heavily on support activities for individuals and territories, responding to the needs that emerged with extraordinary support actions for Retail customers also on the basis of the government regulations. In particular, the following main initiatives were developed:

**Retail loans and mortgages:**

&nbsp;&nbsp;&nbsp;&nbsp;· development of a **dedicated ESG offering** through the launch of the **Green Mortgage**, a product for financing of energy efficiency measures;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· continuation of sales of the **Mortgage with Consap guarantee** (LTV
80% and 100%) for the purchase of a main home, with particular focus on the needs of young people under 36;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· introduction in the catalogue of the Fixed Rate type of the Mortgage with
Consap guarantee for priority beneficiaries and 100% LTV;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· strengthening of the partnership with Third Party Networks also thanks to
the introduction of a web portal dedicated to intermediation;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· review of pricing and active management to maximise positioning in the segment;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· full activation of post-sales processes.

In order to support customers in addressing the growing trend in interest rates, the following measures were implemented in 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· renegotiation of floating rate mortgages, according to the methods provided
for by Law 197/22 with particular reference to customers with ISEE [equivalent economic situation indicator] not exceeding EUR 40,000;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· mortgage suspension: possibility of requesting the suspension of the payment
of mortgage instalments in application of the provisions of the Gasparrini law;

2024 ANNUAL REPORT - Consolidated Report on operations

&nbsp;&nbsp;&nbsp;&nbsp;· activated product for the advance payment of TFS-TFR intended to support
civil servants waiting for the settlement of the Treatment by INPS; started progressive centralisation on operational processes on mortgages,
with a view to freeing up commercial time in the network for sales and after-sales management for customers;

**Consumer Finance:**

launch of **MPS Prestito Ricarica**, to reach customers in need of liquidity and with other MPS personal loans in repayment;

In the fourth quarter, a commercial initiative called "HUB Prestiti" was launched with the aim of testing the promotion of ordinary MPS personal loans through telephone channels and subsequent finalisation through Digital Banking; a new **"hybrid" placement process of the CPI Prestito Protetto** was also activated for the signing of policy documentation (branch and "*remote collaboration*") and for improving *the customer experience*.

Funding, Assets under Management and Bancassurance

In 2024, for Private customers, investment advisory activities focused first and foremost on rebalancing the business mix, new liquidity/fresh money and conversion of assets under administration to assets under management, also with dedicated promotions and support targets in coordination with the regional structures.

**Medium-/long-term indirect funding** was based on two placements of certificates and bonds of third-party issuers with maturities of 3 and 7 years.

As part of **Direct Funding**, taking into account the needs of customers in a context of rising interest rates, activities in 2024 focused on the proposal of specific fixed-rate liquidity products (Conto Italiano di Deposito - CID [Italian Deposit Account]) resumed at the end of the year, offering a higher level of liquidity remuneration with respect to current accounts against a predetermined time constraint. The CID offer took the form of three lines with different financial characteristics and different time constraints (ranging from 3 to 36 months).

In the area of **Asset Management** for the Premium and Value segments, the offering of both open-ended funds managed by the partners Anima, JP Morgan, BlackRock, and "window" funds was consolidated. The focus on solutions with ESG investment policies was confirmed, an area in which the Parent Company has already adopted the necessary safeguards for a correct proposal to customers since 2022, expanding in 2023 and 2024 the in-depth analysis on ESG preferences within the of the MiFID profiling questionnaire.

In particular, regarding asset management, in 2024, Banca MPS launched an activity aimed at transforming/supplementing the range of asset management lines according to the specifications pursuant to Article 8 of Delegated Regulation EU 2019/2088. After the transformation, effective from 1 January, of the equity lines with an ESG bias already in the catalogue (Global Equity Bias ESG and ETF Etica), three balanced lines (ETF Bil ESG 10, ETF Bil ESG 30 and ETF Bil ESG 50) and one bond line (Obbligazionaria Euro ESG) were introduced from 24 June in order to cover the entire spectrum of risk classes.

The offering of **Savings insurance products** during the year evolved thanks to the revision of the funds / SICAVs combined with unit-linked and multi-segment policies, also characterised by the inclusion of additional solutions in the ESG segment.

In 2024, the offering was consolidated with the launch of a new multi-branch policy called *InvestiSemplice* dedicated to customers with a more conservative profile and underlying the new AXA MPS Separate Account MPV Plus.

The placement of unit-linked policies in tranches with issues of the "Rendimento Plus" and "Valore Dividendo" families also continued. Rendimento Plus is characterised by an investment of the underlying asset in a basket of bonds and the distribution of a periodic coupon, while Valore Dividendo is distinguished by an initial investment in a bond component and a gradual accumulation of the equity component against a single investment by the customer.

For the **Protection** segment, the new "Athena" Needs Analysis Path was released , which, through an in-depth examination of the customers' insurance position, raises awareness of the importance of covering areas of protection-related needs.

With regard to **Non-life insurance protection** in 2024, the enrichment of the Protezione Business policy, a multi-guarantee product dedicated to companies and POE Valore customers, continued with the new Catastrophe Guarantees (CAT) and the motor offering was adapted to the new legislation that provides for the suspension of motor TPL policies.

Throughout 2024, across the entire Bancassurance segment, the focus continued on operational improvements focused in particular on the review of sales and after-sales processes through the development of the digitalisation of the offer (use of digital signatures for 100% insurance investment products, for the main Non-Life and Health Protection, Motor, Life Protection and CPI products on loans), aimed at improving efficiency and usability by the sales network and at offering customers a higher quality service (simplification and reorganisation of sales and after-sales processes).

BANCA MONTE DEI PASCHI DI SIENA

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Financial and non-financial consulting

In 2024, for Private customers, the initiative to enhance the Platinum advanced advisory service, provided through the MPS Athena platform, was consolidated, with the goal of offering Premium and Private customers an all-inclusive service of excellence with fees remunerating advanced advisory services. In 2025, the Platinum offering will be further consolidated on advanced customers through the enhancement of advice on areas not strictly financial such as generational transition and real estate advice.

For private customers, the all-round advisory offering was expanded through the identification of targeted interventions, defined with the network (Managers and Specialists), to strengthen support to the Manager during all phases of customer-facing advisory activities and the expansion of the range of services offered through the Platform, which will become the single point of access for customer-facing advisory activities. Here are the main new features introduced:

&nbsp;&nbsp;&nbsp;&nbsp;· the issuance of an insurance needs analysis pathway aimed at complementing
the protection offer, this allows for an in-depth review of the insurance position and provides the manager with the opportunity to raise
the client's awareness of the importance of covering areas of protection-related needs in line with the characteristics of AXA MPS
products;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the release of new functionalities that simplify the Network's operations
on UCITS PAC after-sales, on unexecuted orders through the robotisation of the process, the improvement of assets management processes,
and the optimisation of advisory reports to be used and delivered to the customer.

Current Accounts, Payments and Collections

Among the activities realised in 2024, the release of the Large Amount Transfer (so-called BIR) on the Paskey Azienda Online channel to meet the needs of our more advanced corporate customers is of particular note.

Product fine-tuning was carried out to streamline i) the process of the customer's right of withdrawal for bundled accounts ii) some aspects of the SEPA Direct Debit service process and iii) the underlying procedures for Cbill/PagoPA payments were strengthened.

Lastly, the release of the MPS Mio Futuro current account, intended for the children's segment (0-18 bracket), should be noted, to complete the product catalogue currently lacking a product dedicated to this target group.

The current account used presently for acquisitions (MPS MIO) has maintained an excellent positioning among the most convenient current accounts on the market also for 2024.

E-Money

Among the activities carried out in 2024, the following should be noted:

&nbsp;&nbsp;&nbsp;&nbsp;· enabling the payment cards issued by the Bank (VISA and Mastercard credit
cards, Mastercard international debit cards and Mastercard prepaid cards) to be used with the "Apple Pay" wallet, in order
to allow cardholders to make payments via this instrument;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the preparation of commercial campaigns to support the replacement of MONDO
CARD debit cards (active on the Maestro, BANCOMAT<sup>®</sup> and PagoBANCOMAT<sup>®</sup> circuits) into Debit cards valid on
the Mastercard circuit, as a means of fulfilling the obligations deriving from the decision of Mastercard, owner of the circuit, to prohibit
the issue or renewal of Maestro circuit cards as from 1 July 2023;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the extension also to cards on the international circuit of the audio-guide
functionality, for non-selling or visually impaired customers, at the bank's A.T.M. counters for the main functions (inquiry of
account movements and balance and withdrawal);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the extension until 28 February 2025 of the promotional offer reserved by
Nexi exclusively for the Bank, which provides preferential terms for Montepaschi customers;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the dematerialisation of the P.I.N. of international debit cards, made available
in the special section reserved for the card in *Digital Banking* in place of the P.I.N. delivered in paper form when the card was
sold, in order to encourage mass digitalisation on the bank and customer side;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the promotion of Nexi's "YAP" payment APP (YAP is a virtual
prepaid card issued by Nexi and can be activated in self-service mode by customers via a mobile APP), aimed at the under-age segment (12-18
bracket), to complete the product catalogue.

2024 ANNUAL REPORT - Consolidated Report on operations

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Digital Banking

In 2024, digital payment services were enriched with the release of Apple Pay and the expansion of Google Pay-enabled cards (service already available on some cards since 2021), in addition to BANCOMAT Pay<sup>®</sup> (already available since 2019): a novelty capable of fostering a new positioning of the Bank in the market.

To spread the use of *Digital Banking*, marketing campaigns were carried out to customers to inform them of the new features released, the services already available online and the opportunities to use the service (by e-mail, telemarketing campaigns, pop-ups on ATMs and *Digital Banking*). Commercial initiatives dedicated to the promotion of Apple Pay were also carried out on social channels.

In addition, training sessions (webinars) were conducted on the Network, dedicated to certain commercial aspects and aimed at representing the strengths of owning and using the service.

In order to stimulate the digitalisation of customers, it was also released in the last quarter of 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· the combined sale of the New Montepaschi Debit Mastercard card with *Digital Banking* in a similar way to the MPS Mio current account and the *Quickard Plus* prepaid card;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the online display of the card PIN, which streamlines the card sales process,
allows customers who forget or lose their PIN to retrieve it quickly at any time and with all the security guaranteed by the authentication
system of the *Digital Banking* service.

ATMs

Also in 2024, Banca MPS continued its commitment to maintaining the efficiency of the ATM machines throughout the country and monitor the service level for customers, focusing on replacing obsolete machines and paying close attention to exceptional situations of machine downtime. During the course of the year, a migration plan was initiated, which will end in 2025, concerning the upgrading of the ATMs' operating system to ensure greater security of the machines by making them less vulnerable and for better compatibility with vendor-supplied software and hardware.

The audio-guide service, already available for cards operating on the Bancomat circuit, was also implemented for the international circuits, enabling customers and non-customers holding such cards to perform the main ATM operations: i) withdrawal from ATM; ii) withdrawal from account; III) current account movement queries and iv) current account balance queries

Open Banking

In 2024, the Bank, leveraging its well-established Open Banking platform, as indicated by the regulator, planned to extend the available services by providing Payment Cancellation (customers will be able to request the cancellation of a payment through the third party used to dispatch it) and Bulk Payments (third parties will be able to offer a service to send a list of payments in a single transaction). In parallel, solutions are being explored to reduce friction on third parties when authorising payments by the customer. In addition, the Bank is in the process of consolidating the monitoring processes and policies necessary to ensure the security and reliability of information systems supporting business processes as required by the Digital Operational Resilience Act (DORA) of the European Union effective from 17 January 2023 and applied from 17 January 2025.

BANCA MONTE DEI PASCHI DI SIENA

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Results for the subsidiary Banca Widiba S.p.a.

As at 31 December 2024, **Total Funding** for Banca Widiba was equal to approx. **EUR 11.0 bn**, up by around EUR 0.4 bn compared to 30 September 2024 and EUR 1.1 bn compared to year-end 2023. The upturns in the third quarter are mainly concentrated on Indirect Funding and in particular on Asset Management (EUR +0.2 bn) with total Indirect Funding benefiting from both the positive net funding in the quarter for EUR +159 mln (EUR 409 mln since the beginning of the year) and the favourable effects of the financial markets for approximately EUR 103 mln in the quarter (EUR 509 mln since the beginning of the year). Total net funding for the first nine months of the year was EUR 624 mln.

In terms of economic results, as at 31 December 2024 Banca Widiba realised **Total revenues** of **EUR 126.0 mln**, down by EUR 28.6 mln compared to the previous year, due to the decline in Net interest income; Net commissions of EUR 23.1 mln, on the other hand, increased by EUR 2.3 mln compared to the previous year. There was a marked increase in gross commission income on Indirect Funding, partially absorbed by higher commission expenses on the Financial Advisor Network, consistent with the trend in gross income. Net commissions of the banking and e-money perimeter also increased.

**Gross Operating Income** amounted to **EUR 61.1 mln**, down EUR 28.8 mln from the previous year, due to the aforementioned dynamics on net interest income, absorbing the figure for Operating Expenses of EUR 64.9 mln, substantially stable compared to 2023.

In relation to the Cost of credit, equal to EUR 1.5 mln and down by EUR -1.8 mln compared to 2023, **Net Operating Income** was EUR 59.6 mln, with an fall of EUR -27.0 mln compared to 2023.

Non-operating items absorb provisions of EUR 2.3 mln on certain items of the provision for risks and charges, EUR 1.3 mln for charges related to the Eurovita transaction, and EUR 4.2 mln for DGS charges. **Profit (loss) before tax from continuing operations** was equal to EUR 51.6 mln, down by EUR -28.8 mln compared to the previous year.

Main initiatives

In 2024, as regards the banking sector, improvements were made to the product range, process innovations for both customers and Financial Advisors, strengthening of partnerships for the offer of value-added services for customers and an information campaign plan and sales to customers with a view to both cross-selling and caring.

The Bank also dedicated itself to projects related to compliance with Banking Transparency, which included a comprehensive review of pre-contractual, contractual and periodic documentation, including through the implementation of a dedicated platform.

The commercial offering was enriched by the introduction of new account packages: a basic package that introduces, compared to the past, new discount conditions dedicated to customers who subscribe to financing, investment, savings and trading products with the Bank and an "Élite" package dedicated to higher-value customers, which is characterised by free account fees, cards and main payment transactions for customers with significant assets or investment volume.

With regard to e-money, the enabling of the Google Pay and Apple Pay digital payment wallets was also extended to credit cards issued by Banca Widiba.

Lastly, periodic and event marketing campaigns were carried out during the year, aimed at increasing the customer base and revenues, with incentives for the opening of current accounts, the crediting of fees, the contribution of fresh money, the purchase of credit cards.

In 2024, a new call centre was launched with a pilot oriented to the management of issues related to the topic of Maestro Card Migration in October, while the entire management was transferred on 1 November.

The media centre was therefore committed in the first phase of the year to maintaining the contractual quality standards and to enabling the achievement of a high level of satisfaction. During the year, the monitoring of outsourcers was ntensified it was deemed as useful for identifying elements that could be improved both in terms of quality and process. Targeted training sessions were conducted that generated process efficiencies, resulting in a reduction of the management of customer reports also in terms of time.

The average customer rating for the year was 4.3/5, while the telephone churn rate stood at 14.5%.

To promote the centrality of the customer and the reduction of contacts to the media centre, predictive support logics were refined, with the aim of anticipating the customer's demands before the customer even feels the need to activate the service input through a specific request. The total number of predictive messages was 670,260 with a 98.8% effectiveness of no recall in the 7 days following the message.

With regard to mortgages, volumes disbursed amounted to EUR 57.2 mln. It should be noted that, starting in September, a new criterion for the disbursement of mortgages was introduced, which restricts the offer to holders of current account for at least three months on the date of application for the mortgage.

2024 ANNUAL REPORT - Consolidated Report on operations

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With regard to consumer credit, the volumes of personal loans placed in 2024 amounted to EUR 17.6 mln, while the instant instalment volumes linked to My Instant Credit service amounted to EUR 7.88 mln.

With regard to investment products, the 2024 activity focused on three main drivers, already defined within the specific 2024 product plan: product development and enrichment of the offering, commercial efficiency and evolution of the business model.

With regard to the specifics of the offer, the Asset Management service was upgraded at the beginning of the year by revising/inserting 8 management lines already present in the System Portfolio catalogues, transforming them into Article 8 (SFDR) lines, and a commercial initiative (called "PayOut = PayIn") was launched to support the collection, which was initially scheduled to expire at the end of June, but was then extended until the end of September. In addition, operational processes were reviewed to improve the efficiency of sales and after-sales of the GPA Alta Gamma catalogue, a catalogue that allows the customisation of the benchmark to which the manager refers in his/her management and the identification of a specific investable universe, also in the wake of the Bank's repositioning towards Private customers. Further process refinements were also released to allow more mandates to be underwritten with the same catalogue, and some strategy revisions on older management lines to adapt to the macroeconomic situation in the market.

Also in the area of improving the services offered by the bank, the "Gestito Online" service was released in the first half of the year, allowing customers to trade funds and SICAVs directly via internet banking and mobile banking. In addition, the Life Goals Service, within "Global Advice PRO", a fee-based advisory service, was improved by the inclusion of the Ibbotson Cone, an easy-to-understand graphical description that allows the client to immediately understand whether the portfolio partition assigned to the goal is under or over-sized or even whether the asset allocation used is effective or not.

On the UCITS side, 12 window funds, consistent with the macroeconomic situation, were released during the year and were heavily used in the funding during the year. In addition, about 150 sub-funds of UCITS of the various management companies in direct distribution were revised or included.

With regard to the Bancassurance offering, in July, the new Axa MPS Financial unit-linked policy was released, thanks to the provision of two profiles within the same contract. At the end of the year, the product was completed with the release of automated profile change management, allowing customers switching from basic to advanced profile (and vice versa) to keep the same policy without recontractualising. In addition, in terms of network support, during the year, two commercial campaigns were launched (or continued), shared with the Company, on Multi-branch products (on "Private Choice") and Branch I (on "Private Prestige") aimed at developing inflows or reducing disinvestment, increasing the profitability of the Unit component in the first case or containing the yield differential of the Separate Accounts with respect to government bonds in the second.

Lastly, the commercial initiative "Investi con Widiba 2024" continued, whereby the Bank reimburses stamp duty when new liquidity is invested in investment products. The initiative supported the new funding by more than EUR 50 mln (compared to the end of March 2024). On the basis of this result, a similar sales initiative was launched in October, but valid for the year 2025, with similar characteristics, although also aimed at slightly less capitalised customers (reducing the minimum investment from EUR 50 th EUR 25 th).

Financial Advisors Network

As at 31 December 2024, the Financial Advisors Network had a total of **567 employees** (566 as at 31 December 2023). The stock of total customer funds managed by Financial Advisors as at 31 December 2024 amounted to EUR 9.094 bn: More specifically, assets under management amounted to EUR 5.63 bn - and accounted for around 62% of the total stock - while assets under administration amounted to EUR 1.64 bn (18% of the total) and direct funding totalled EUR 1.82 bn (20% of the total).

Average assets per advisor stood at EUR 16 mln as at 31 December 2024.

Overall funding shows positive net flows: As at 31 December 2024, total net flows amounted to EUR +498 mln and net funding inflows from managed assets amounted to EUR 209 mln. Also in the managed area, placement flows were up 42% compared to 2023 (EUR 1.118 bn in 2024 vs. EUR 649 mln in 2023). Also positive were the flows of assets under administration, amounting to EUR +176 mln, and the flows of direct deposits amounting to EUR +113 mln.

The growth of Global Consulting Pro (the fee-based consulting model) is also confirmed as one of the most significant trends in 2024, rising from EUR 498 mln as at 31 December 2023 to EUR 995 mln as at 31 December 2024. Of these assets, EUR 335 mln (or 34% of total assets in Global Advisory Pro) consist of assets under administration.

A strong push on recruitment is planned for 2025 as part of a long-term development plan.

BANCA MONTE DEI PASCHI DI SIENA

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Communications

During the 2024 the activities focused on enhancing reputation by targeting the key communication drivers: financial consulting and recruiting, innovation and sustainability.

Work in this area has resulted in eight important market recognitions. In particular, we highlight the inclusion in the "World's Best Banks" ranking promoted by Forbes, the first prize of the "Qorus Reinvention Awards - Europe" in the category "New Ways of Working" for "Team CF" and the Best Digital CX Project award within the Banking Awards 2024 organised by Forum Banca.

As usual, the visibility of financial advice was maintained by enhancing Banca Widiba's model, giving management and financial advisors a voice in the media and with dedicated social posts*.* In support of the Network, 327 articles were published, including 46 interviews. The published posts generated 15K views and over 700 interactions. The Network was also supported with the design and production of visibility materials, requested by Financial Advisors during the year.

In 2024, the focus on ESG issues continued through activity on the Bank's social channels. In particular, two projects dedicated to these topics were implemented. The first concerns the collaboration with the financial education social community Bank Station, for the production of a series of 3 video pills on the MIFID topic, disseminated on the social channels of the partner (over 200K followers) and those of Banca Widiba; The second project involved conducting a series of interviews with some women from Banca Widiba (employees, consultants, customers) on issues related to stereotypes and prejudices about women in the world of money management. The video interviews that were carried out totalled 300,000 views and over 4,000 interactions.

On social media, all major KPIs were up on 2023: +11% followers, +86.5% number of posts published, above average engagement rate at 5.84% vs. 4.6% in 2023, and +5% interactions generated.

There were also numerous opportunities for engagement with customers, prospects and the Financial Advisor network, which allowed the Bank to maintain a strong presence in national and industry media.

Among the most visible activities was the participation, as sponsor, in the two biggest industry events of the year, ConsulenTia 2024 and Il Salone del Risparmio 2024. During these events, more than 1,000 unique contacts were registered at the Banca Widiba stand and more than 12,660 participants (+55% vs. 2023).

On the Customer Experience (CX) side, the app and site development and optimisation projects continued in order to constantly improve the customer experience, with 150 projects with impacts on the CX by 2024. Among the main high-impact projects new Online Enrolment (AOL), with the entire redesign of the acquisition process and redesign of the trading functionality in the private area of the site. The Managed Online service was implemented, with new functionality in the investment section of the private area and new front-end technology making the user experience streamlined and fully accessible from mobile platforms (app and browser). Other high-impact projects include: Optimisation of Online Enrolments (AOL), New Experience for Promo Fresh Money, Maestro Decommissioning, Switch to React, Card Optimisation and Biometric on the app.

Customer Experience KPIs include a customer satisfaction rating of 4.85/5, which corresponds to 97% positive comments on products and services.

The Widiba app was still the most used channel for bank access, and all the indicators demonstrated its effectiveness: 160,000 active users on the app; 72% app logins; 4.6/5 - Apple AppStore rating; 3.8/5 - Google Playstore rating.

2024 ANNUAL REPORT - Consolidated Report on operations

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Wealth Management

**Business areas**

&nbsp;&nbsp;&nbsp;&nbsp;· Funding, lending, provision of insurance products, financial and non-financial services to private customers.

&nbsp;&nbsp;&nbsp;&nbsp;· Services and products for high- standing customers in the areas of wealth management,
financial planning, consultancy on not strictly financial services (tax planning, real estate, art & legal advisory).

&nbsp;&nbsp;&nbsp;&nbsp;· Fiduciary and trust services (through the subsidiary MPS Fiduciaria).

**Customers**

There are around 35.900 private customers.

![](tm2518026d1_ex99-4aaimg004.jpg)

Income statement and balance sheet results

As at 31 December 2024, **Total Funding** in Wealth Management amounted to **EUR 19.5 bn**, essentially stable compared to 30 September 2024 (EUR +0.1 bn) and up by EUR 1.5 bn on year-end 2023. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;· **Direct Funding** was equal to **EUR 3.0 bn**,
essentially in line with the levels at 30 September 2024 and up by EUR 0.4 bn compared to 31 December 2023;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Indirect Funding**, amounting to **EUR 16.4 bn**, was stable compared
to 30 September 2024 and was up by EUR 1.1 bn compared to year-end 2023 thanks to assets under custody (EUR +0.7 bn) and to assets under
management (EUR +0.4 bn);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Gross interest-bearing loans to customers** were
essentially in line with both 30 September 2024 and at year-end 2023, standing at **EUR 0.5 bn**.

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Wealth Management - Balance sheet aggregates** | **Wealth Management - Balance sheet aggregates** | **Wealth Management - Balance sheet aggregates** | | | | | |
| **(Eur mln)** | **31/12/24** | **30/09/24** |<br>**31/12/23** |<br>**Chg Abs**<br>**Q/Q** |<br>**Chg %**<br>**Q/Q** |<br>**Chg Abs**<br>**Y/Y** |<br>**Chg %**<br>**Y/Y** |
| **Direct funding** | **3037** | **3006** | **2623** | **32** | **1.1%** | **414** | **15.8%** |
| Assets under management | 11052 | 10887 | 10394 | 165 | 1.5% | 658 | 6.3% |
| Assets under custody | 5373 | 5449 | 4967 | -76 | -1.4% | 406 | 8.2% |
| **Indirect Funding** | **16425** | **16337** | **15362** | **89** | **0.5%** | **1064** | **6.9%** |
| **Total Funding** | **19463** | **19342** | **17985** | **120** | **0.6%** | **1478** | **8.2%** |
| **Gross Interest-bearing loans to customers** | **489** | **491** | **519** | **-2** | **-0.5%** | **-30** | **-5.8%** |

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![](tm2518026d1_ex99-4aaimg005.jpg)

BANCA MONTE DEI PASCHI DI SIENA

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With regard to profit and loss, Wealth Management achieved total **Revenues** amounting to **EUR 189 mln** as at 31 December 2024, up by 4.6% compared to the previous year. A breakdown of the aggregate shows:

&nbsp;&nbsp;&nbsp;&nbsp;· Net Interest Income amounted to EUR 58 mln, up by EUR 3 mln compared to
2023;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Net commissions amounted to EUR 118 mln, an increase of EUR 9 mln compared
to 31 December 2023, due to the higher contribution of placement fees;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Other Income from Banking and Insurance Business amounted to EUR 14 mln,
down by EUR 3 mln YoY.

Considering the impact of Operating Expenses, which were down by 6.3% compared to the previous year, Wealth Management generated **Gross Operating Income** of **EUR 72 mln** (EUR 71 mln at 31 December 2023). Including Cost of credit equal to EUR -2 mln, the **Net Operating Income** totalled **EUR 70 mln**.

The non-operating components amounted to EUR -0,2 mln (EUR +0.2 mln as at 31 December 2023).

The **Profit (loss) before tax from continuing operations** amounted to **EUR 70 mln** (EUR 68 mln as at 31 December 2023). The **cost-income** ratio of the Operating Segment was at **61.7%** (compared to 60.7% in 2023).

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| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| **Wealth Management - Profit and loss aggregates**<br>**(EUR mln)** |<br>**31/12/24** |<br>**31/12/23** | **Abs.** | **%** |
| Net interest income | 57.6 | 54.9 | 2.7 | 4.9% |
| Net fee and commission income | 118.5 | 109.8 | 8.6 | 7.9% |
| Other Revenues from Banking and Insurance Business | 14.1 | 17.0 | -2.9 | -17.0% |
| Other operating expenses/income | (1.4) | (1.3) | -0.1 | 8.9% |
| **Total Revenues** | **188.8** | **180.5** | **8.3** | **4.6%** |
| Operating expenses | (116.5) | (109.6) | -7.0 | 6.3% |
| **Pre Provision Operating Profit** | **72.3** | **70.9** | **1.4** | **1.9%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks | (1.9) | (3.2) | 1.3 | -41.0% |
| Net Operating Income | 70.4 | 67.7 | 2.7 | 4.0% |
| **Non-operating components** | **(0.2)** | **0.2** | **-0.4** | **n.m.** |
| **Profit (loss) before tax from continuing operations** | **70.2** | **67.9** | **2.3** | **3.4%** |

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![](tm2518026d1_ex99-4aaimg006.jpg)

2024 ANNUAL REPORT - Consolidated Report on operations

The main sales initiatives and product/service innovation

In 2024, the Commercial Planning of Private Banking was developed according to three main strategic drivers: **Development, Consulting, Loyalty**. Specific initiatives were implemented for each area, also supported by levers and promotional offers for specific targets and customer clusters. In particular:

&nbsp;&nbsp;&nbsp;&nbsp;· **Development:** In order to achieve the objectives of growth in assets
and new customers, activities were first and foremost geared towards strengthening the relationship with business customers, through synergy
activities between the Private and Corporate markets, with the aim of providing specialised support for customers' personal and
business needs. In addition, specific promotional levers reserved for new customers were also released thanks to the establishment, together
with the other Markets, of a ceiling to support both retention of liquidity and the acquisition of new masses. A special focus was also
placed on the development of existing customers, through initiatives aimed at both the recovery of assets transferred to other intermediaries
and the consolidation of the relationship with all members of the Relation Groups.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Consulting**: with a view to improving and enhancing the constant monitoring
of the quality of the advisory service provided, specific initiatives were conducted in 2024 in order to provide customers with an efficient
diversification of investments and all-round coverage of their financial and non-financial needs through the use of the entire range of
offerings available. To this end, specific solutions have also been released to accompany tactical solutions to the "core"
components of portfolios, which are of particular use to customers in the relevant market context.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Loyalty**: a specific focus has been activated in order to reduce the
level of attrition in terms of both masses and customers, also aimed at providing customers with functional supports for the management
of generational changeover and business continuity, in line with recent regulatory changes, thanks also to fiduciary services, which allow
for an effective management of portfolio transfer.

Product/service innovation

In 2024, the offering of products and services for Private and Family Office customers was characterised by the development of new investment solutions and at the same time by the search for an increasing rationalisation and simplification of the offer.

The developments in the **insurance investment products** segment concerned the consolidation of the Wrapper offering (both multiline and unitline) with the regular update of the range of new external funds (mainly thematic and sectorial).

In the area of assets under management, **the offering of Funds/SICAVs** was characterised by approximately 4,000 sub-funds being placed and continued with a view to the ongoing evolution of the offer, aimed at maintaining the high quality of the placement range thanks to agreements signed with the main Asset Managers.

In 2024, the main releases concerned:

&nbsp;&nbsp;&nbsp;&nbsp;· the placement of 14 new Anima window funds and some new window funds from
other leading investment houses (3 *JP Morgan A.M.*, 1 fund from *Fidelity*, 1 from *AXA Investment Managers*, 1 from *Pictet*)

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the constant updating of the range of UCITS directly placed with all investment
houses

As regards the **Wealth Management** sector, attention was further focused during the year on the search for investment solutions that would respond to new market trends and dynamics, as well as to the needs expressed by customers in the specific market environment characterising the year 2024.

BANCA MONTE DEI PASCHI DI SIENA

------

Training initiatives

Several training activities involved private market and family office resources in 2024, all of which were included in a programme called "Private Academy", aimed at strengthening and enhancing the skills of bank employees and managers, through targeted courses held in collaboration with certified bodies and structures of high standing.

The Private Academy was enriched in 2024 with a new path to foster and develop synergies between the Private and Corporate Market. The course, aimed at Private and Companies Network sales figures, aims to train resources in terms of both soft skills - defining interventions to strengthen collaboration logics - and technical skills.

The exam preparation course for the EFA certification, issued by EFPA, was also confirmed in 2024, which allowed for the important recognition of additional resources, thus bringing the number of EFA certificates to about 18% of the private network.

With the support of investment houses partner, info-training initiatives were also carried out to provide specific and timely scenario-based support, so as to consolidate the skills necessary to deliver a customer service that meets the needs of the reference context. The training framework is completed by updates by the internal advisory structures on possible market scenarios, thus allowing portfolios to be adapted at a tactical level.

Communication initiatives

During 2024, an extensive programme of info-training communication initiatives was promoted and implemented, with the aim of offering participants concrete elements to better understand market dynamics and thus support financial education.

In particular, 25 events were held throughout the country, involving an audience of over 1,000 guests, including customers and prospects from the Private and Family Office segment, as well as the Corporate segment, in order to strengthen and foster dialogue and the creation of networking and strategic synergies.

These events were developed and organised in close cooperation with partner investment houses, which contributed and added value to the meetings with their know-how and analyses on key market trends, offering participants an in-depth and up-to-date view.

In line with our commitment to environmental sustainability, all meetings were designed with a paperless approach, reducing the use of paper materials and favouring interactive digital solutions for sharing content and insights.

Results for the subsidiary MPS Fiduciaria

As at 31 December 2024, MPS Fiduciaria achieved a profit for the year of EUR 0.52 mln (EUR 0.38 mln as at 31 December 2023).

In 2024, the company assisted the Parent Company in its commercial initiatives aimed at expanding the dissemination of services, in particular the company liquidity management, escrow accounts, generational transfers of financial and business instruments, asset protection and assumption of the role of the Trustee of the Trust. Benefiting from the reorganisation of the Parent Company's commercial structures, it continued to work with its reference markets by leveraging the "global advisors" identified to promote fiduciary services to the Network and external professionals. Participation in specialised events dedicated to the topic of generational and business transitions is of note, as is the investment in training on Company and Network human resources. These activities made it possible to close the year with a net growth in the stock of deposits and the number of mandates.

The guidelines for the subsidiary's next developments envisage a further relaunch of commercial activities to be achieved mainly through a customised structuring of the offer for families, entrepreneurs and companies, but always with a view to the synergies between the corporate world (origination) and the private world (allocation of family investments), inherent to the type of business. Optimisation measures are also planned for some key processes *(*operations and controls), to be implemented in close cooperation with the Parent Company.

2024 ANNUAL REPORT - Consolidated Report on operations

Corporate Banking

Corporate Banking includes the income statement/balance sheet results of corporate customers (SME, Corporate Client and small business segments), the Foreign Branch and and, for the first half of 2023, of the merged entity MPS Leasing & Factoring. The economic results, both in terms of costs and revenues, are therefore not entirely comparable in a year-on-year comparison.

**Business areas**

· Lending
and offering financial products and services to businesses, including through strategic partnerships with trade associations and Confidi
(credit guarantee consortia), with Guarantee Institutions (including public) and Institutional Entities, through which funding is acquired
at favorable terms.

· Offer
of integrated Factoring packages for business, artisans and professionals.

· Custody
and deposit services for dairy products on behalf of third parties (through the subsidiary Magazzini Generali Fiduciari di Mantova S.p.A.,
which is also authorized to issue documents of title to the merchandise, providing for easier access to bank lending).

**Customers**

About 117,600 Corporate customers of the Parent Company, directly followed by Corporate Banking.

![](tm2518026d1ex99-4img001.jpg)

Income statement and balance sheet results

As at 31 December 2024, **Total Funding** from *Corporate Banking* amounted to **EUR 26.4 bn**, up compared to 30 September 2024 (EUR +0.4 bn), due to the increase in Direct Funding (EUR +0.4 bn), while Indirect Funding was stable. The aggregate was stable compared to the end of 2023, due to an increase in Indirect Funding (EUR +0.4 bn) offset by a decline in Direct Funding (EUR -0.3 bn).

With regard to lending, as at 31 December 2024, **Gross interest-bearing loans to Corporate Banking customers** stood at approximately EUR 29.8 bn, stable compared to 30 September 2024 and down compared to 31 December 2023 (EUR -0.9 bn).

**Corporate Banking - Balance sheet aggregates**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **(Eur mln)** | **31/12/24** | **30/09/24** | **31/12/23** | **Chg. Abs.<br> **Q/Q** | **Chg. %<br> **Q/Q** | **Chg. Abs.<br> **Y/Y** | **Chg. %<br> **Y/Y** |
| **Direct funding** | **20364** | **19915** | **20687** | **449** | **2.3%** | **-323** | **-1.6%** |
| *Assets under management* | *1156* | *1630* | *1688* | *-475* | *-29.1 %* | *-533* | *-31.5 %* |
| *Assets under custody* | *4896* | *4463* | *3975* | *433* | *9.7 %* | *921* | *23.2 %* |
| **Indirect Funding** | **6052** | **6093** | **5663** | **-42** | **-0.7%** | **389** | **6.9%** |
| **Total Funding** | **26416** | **26008** | **26350** | **408** | **1.6%** | **66** | **0.3%** |
| **Gross Interest-bearing loans to customers** | **29774** | **29771** | **30644** | **3** | **0.0%** | **-870** | **-2.8%** |

---

![](tm2518026d1ex99-4img002.jpg)

BANCA MONTE DEI PASCHI DI SIENA

For profit and loss aggregates, as at 31 December 2024, **Revenues** from Corporate Banking came to **EUR 1,323 mln** (+2.7% compared to the previous year). A breakdown of the aggregate shows:

· Net Interest Income amounted to EUR 894 mln, up by EUR 19 mln YoY;

· Net Fee and Commission income amounted to EUR 405 mln as at 31 December
2024, up by EUR 11 mln compared to the previous year;

· Other Income from Banking and Insurance Business amounted to EUR 23 mln,
stable compared to the levels recorded as at 31 December 2023.

Considering the impact of Operating Expenses, down by 6.2% compared to the previous year, **Gross Operating Income** amounted to **EUR 925 mln** (EUR 913 mln as at 31 December 2023).

The **Net Operating Income** stood at **EUR 702 mln** (EUR 674 mln as at 31 December 2023), against a Cost of credit of EUR -223 mln (compared to EUR -239 mln as at 31 December 2023).

The non-operating components amounted to EUR -0.2 mln, compared to EUR -7 mln as at 31 December 2023.

The **Profit (loss) before tax from continuing operations** was **EUR 702 mln** (EUR 668 mln as at 31 December 2023).

The **cost-income ratio** of Corporate Banking stands at **30.0%** (29.1% as at 31 December 2023).

**Corporate Banking - Profit and loss aggregates**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Chg. Y/Y** | **Chg. Y/Y** | **Chg. Y/Y** | **Chg. Y/Y** |  |
| <br>**(EUR mln)** | **31/12/24** | **31/12/24** | **31/12/23** | **31/12/23** | **Abs.** | **Abs.** | **%** | **%** |  |
| *Net interest income* | | *894.1* | | *875.0* | | *19.1* | | *2.2* | *%* |
| *Net fee and commission income* | | *404.8* | | *393.6* | | *11.2* | | *2.9* | *%* |
| *Other Revenues from Banking and Insurance Business* | | *22.9* | | *23.6* | | *-0.7* | | *-2.9* | *%* |
| *Other operating expenses/income* | | *0.9* | | *(4.5* | | *5.4* | | *n.m.* | |
| **Total Revenues** |  | **1.322.8** |  | **1.287.7** |  | **35.1** |  | **2.7** | **%** |
| *Operating expenses* | | *(397.5* | | *(374.3* | | *-23.1* | | *6.2* | *%* |
| **Pre Provision Operating Profit** |  | **925.3** |  | **913.4** |  | **11.9** |  | **1.3** | **%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks |  | (223.4) |  | (238.9) |  | 15.6 |  | -6.5 | % |
| Net Operating Income |  | 702.0 |  | 674.4 |  | 27.5 |  | 4.1 | % |
| **Non-operating components** |  | **0.2** |  | **(6.6** |  | **6.8** |  | **n.m.** |  |
| **Profit (loss) before tax from continuing operations** |  | **702.2** |  | **667.8** |  | **34.4** |  | **5.1** | **%** |

---

![](tm2518026d1ex99-4img003.jpg)

2024 ANNUAL REPORT - Consolidated Report on operations

Main sales initiatives

In 2024, the functional range of the corporate banking platform was expanded with important releases, which were highly appreciated by user customers,including: remote reset (i.e. self-service regeneration of credentials) and urgent transfer by telematic channel.

The strategy aimed at consolidating assets, intervening on the support methods (help desk) with a revision of the user experience with a view to improving the quality perceived by users.

Also noteworthy was the management of two regulatory updates related to the CBI paths for the exchange of credit transfer instructions, SDD collection and SEDA (in March and November), which were completed without service interruptions for customers.

In the latter part of the year, communication on the channel was stepped up to increase knowledge on how to operate the service (especially on the use of online advances and foreign account operations), and internal training actions were completed, necessary to be able to respond in a comprehensive and timely manner to customer requests.

Companies

During 2024, support activities continued for companies to deal with the extraordinary and urgent need to contain the negative economic effects arising from international tensions.

In order to provide liquidity support measures for Italian-based companies affected by this crisis, the Parent Company continued to offer products backed by guarantees from the Guarantee Fund "Temporary Crisis Framework".

Section 2.2 of the "Temporary Crisis Framework" used for the release of the aforementioned products ended on 31 December 2023. These products will remain usable to allow the completion of pending transactions, until 30 June 2024.

During 2024, the Parent Company continued - through the SACE "Green New Deal" Guarantee - to support projects related to environmental objectives (climate change mitigation, climate change adaptation, protection of water and marine resources, circular economy; prevention and reduction of pollution and protection and restoration of biodiversity and ecosystems) falling under the so-called "Green New Deal*"*.

In addition, the Parent Company has joined the "Garanzia Futuro" convention, promoted by SACE. This guarantee instrument is dedicated to all Italian companies, especially SMEs, and provides easier access to medium- to long-term financing. The loans benefiting from the Futuro guarantee are those aimed at promoting growth in global markets, supporting technological innovation and the digitalisation process, investing in infrastructure and sustainability, supporting strategic supply chains and economically disadvantaged areas. It also contributes to the growth of the social ecosystem through the development of female entrepreneurship, with a special focus on NRP-related initiatives, in order to stimulate the competitiveness and productivity of the country system.

As proof of the Bank's commitment as a reference point for the PDO Economy and the Italian agri-food sector, on 8 July 2024, a new loan product was released to support the development and growth of olive farms called **"Impiantolivo"**. This is a medium- and long-term loan, intended for farms investing in olive groves, which by their very nature are characterised by longer lead times to entry into production than other agricultural sectors, with the consequent need to modulate the amortisation and pre-amortisation period. Specifically, aid may be granted to agricultural holdings that intend to construct, restore or renovate olive-growing facilities, as well as for the construction of farm mills, including bottling plants, and may be granted both for the purchase of the land on which a new olive-growing facility is to be built and for the construction or improvement of the facility itself.

BANCA MONTE DEI PASCHI DI SIENA

ESG Covenant

On 11 July 2024, the Bank's commercial offer was enriched with corporate financing products that, through specific commitments (called ***"ESG Covenants"***) of customers, incentivise the achievement of ambitious and pre-determined goals in terms of sustainability performance.

Loans that incorporate "ESG Covenants*"* into the contract are referred to as "Sustainability Linked Loans" ("SLLs"). The essential components of a "SLL" product can be summarised as:

· the setting of corporate performance targets in the areas of "E -
Environmental", "S - Social" and/or "G - Governance";

· the selection of appropriate "KPIs" in accordance with the above
objectives;

· the necessary elements useful for verifying the achievement of KPIs at a
certain contractually agreed date (so-called "Verification Date").

The attainment of these objectives at the Verification Date entails the activation of an incentive system, agreed upon in advance and strictly linked to sustainability performance, and identified, for corporate financing products, in a reduction of the contractual interest rate to be applied as of the first useful maturity date following the Verification Date.

Emilia-Romagna Multiscope

Banca MPS has entered into an agreement with Artigiancredito Consorzio Fidi della Piccola e Media Impresa Società Cooperativa acting as lead agent of the Temporary Grouping of Companies called "A.T.I. Fondo Multiscopo Emilia-Romagna", for the disbursement of loans under the "Fondo Regionale Multiscopo di Finanza Agevolata" with private participation.

In view of the Bank's adherence to the Convention for the disbursement of loans from the **Regional Multipurpose Revolving Fund**, on 9 September 2024, the relevant updates to the loan products prepared for this purpose were issued.

The Multipurpose Fund in connection with this Convention consists of two sections:

1. the Growth section, under the Starter Fund, which refers to the objectives of fostering start-ups, female
entrepreneurship, supporting the growth of new SMEs (no more than five years old);

2. the Green-ER Energy segment, whose objectives are to encourage energy efficiency and energy requalification
processes in companies, to support the construction of energy production plants from renewable sources, and to support the development
of energy communities and interventions for process circularity.

FRI Campania

Banca MPS is a party to the Agreement governing the relationship between Sviluppo Campania and the Lending Bank for the operation of the financial instrument "FONDO ROTATIVO PMI" (FRI Campania).

The financial instrument Fondo Rotativo PMI Regione Campania is an intervention, realised with EU funds (ERDF), which aims to allow SMEs in the Campania Region access to the credit market on favourable terms. The interventions concern strategic and innovative productive investments to be carried out in the territory of the Campania Region, aimed at strengthening the competitive capacity of companies, supporting the adoption of emerging technologies and the dissemination of innovation processes, as well as supporting the accompaniment of corporate reorganisation and restructuring processes.

Tuscany Region EU blending 2023-2028

In order to implement aid initiatives in favour of Tuscan SMEs, the Region of Tuscany has provided for the reduction of interest on loans granted by banks to Tuscan companies, within the framework of a European Investment Bank ("EIB") provision. Tuscan regional facilitation measures can only be activated by customers through participating banks.

MPS is the bank selected by the EIB and is authorised to sign loan contracts with customers using EIB funding.

Surety guarantees for SIMEST loans

Based on the Fund under Law 394/81, SIMEST provides subsidised loans backed by guarantees issued by the credit system. The disbursement of the SIMEST loan is, inter alia, subject to the condition precedent of the prior release of an independent first demand guarantee.

Banca MPS offers its customers the possibility of issuing a surety guarantee by submitting preliminary documentation with details of the transaction to be guaranteed.

Framework Convention Lombardy Region

In 2023, Banca MPS joined the Lombardy Region Framework Agreement concerning the activation of financial instruments on the 2021-2027 ERDF programme and on the regional resources. Joining constituted a prerequisite for participation in the individual specific initiatives governed by special technical measurement datasheets prepared and published by the Lombardy Region also through Finlombarda S.p.A., which acts as the managing entity on behalf of the Region itself.

2024 ANNUAL REPORT - Consolidated Report on operations

On 11 May 2023, the Parent Company joined the following technical measurement datasheets for which it issued specific financing products:

· "Investments – Business Development Line"
measure in implementation of Regional Executive Order no. XI/7595 of 15 December 2022;

· "Investments – Investment Attraction Line"
measure in implementation of Regional Executive Order no. XI/7595 of 15 December 2022;

· "Investments – Green Line" measure in implementation of
Regional Executive Order no. XI/7595 of 15 December 2022.

In the course of 2024, the measures were financed.

ISMEA

Ismea has made operational the new guarantee issued free of charge, the so-called "GR8", which assists financing used for the construction of renewable energy plants, with 100% coverage of the financing granted. By means of decision C 9090 of 18 December 2023, the European Commission has authorised the extension of the duration of aid schemes SA.103166 and SA.108084, relating to the "GR8" Guarantees, as a result of which the deadline for submitting guarantee applications has been extended until 7 June 2024.

Subsidised financing

The value proposition of MPS is to position itself as a reference point for the customer with a comprehensive and "ready-to-use" proposition. With the aim of further enhancing the subsidised finance sector and ensuring a more widespread and timely support to the Network and customers by increasing the commercial effectiveness of the sector, collaborations were consolidated with counterparts with proven experience in advisory on subsidised finance aimed at:

· guiding companies in the process of relaunch and modernisation;

· providing specialised advice to companies on the sustainability
of their business and assist them in obtaining ESG certification;

· offer customers a professional turnkey service: offering customers a "turnkey"
professional service: specialised advisory support for the Bank's corporate customers - with particular attention to those without
reference consultants - truly enriching the range of the Bank's offering with a qualified and distinctive service performed by referenced
Counterparties;

· providing a strategic, synergistic and complementary proposal with banking
activities.

In order to raise awareness of the possibilities and instruments of subsidised finance, increase contacts and business opportunities and develop innovative methods of engaging companies starting from consulting and not from the product, the Bank is engaged in an articulated process of further strengthening the know-how of its network on the potential of subsidised finance.

In 2024, the activity of supporting companies in the process of granting subsidies for Agricultural Supply Chain Contracts continued, both as an Authorised Bank, with the asseveration of 11 new supply chain contracts, and as a Lending Bank (in pool with Cassa Depositi e Prestiti) for the support of investment projects by agricultural companies.

Agridop Business Development

The Parent Company continued to develop the network of local and national relations in the Agridop world through specific territorial poles called "AgriDOP Centres" manned by specialised figures with the aim of improving interaction and relations with customers and the territory and seizing the opportunities provided by the NRP, the various national and regional calls for tenders, offering solutions aimed at accompanying companies towards a development path characterised by innovation, digitalisation and sustainability.

At the end of 2023, there were 15 AgriDOP Centres located throughout the country, which will become 21 in 2024 with the opening of centres in Verona, Imperia, Oristano, Ostuni, Cosenza and Marsala, and with the goal of reaching 45 centres by 2026.

Green Energy Business Development

In light of the important actions envisaged within the PNRR on the subject of energy transition, the Parent Company deemed it appropriate to develop a vertical business line focused on consulting and offering financing for the construction of energy production plants from Renewable Sources, with the support of a Network of Specialists and third-party partners.

It is planned to open 40 "Green Energy" Centres by the first quarter of 2026, manned by Specialists to implement the presence and proximity to the territory.

BANCA MONTE DEI PASCHI DI SIENA

Factoring

The commercial activity, developed in strong synergy with the individual DTIPs (Territorial Districts for Businesses and Private Customers), focused in particular on:

· the development of new assignor relationships for credit purchase and non-recourse
factoring activities, intercepting the needs of customers already operating with the Bank without factoring relationships;

· the consolidation of existing factoring relationships, through actions aimed
at optimising existing lines/funds, increasing exclusive contracts and revitalising less utilised relationships;

· the tailor-made follow-up of Large Corporate clients, alongside managers,
for larger and more complex transactions;

· customer support in the field of Supply Chain Financing in order to ensure
optimised liquidity management of all supply chains involved. In particular, the activity concerned the expansion of agreements for both
Reverse Factoring and Confirming;

· gradual technological upgrade of the platform and gradual development of
the Digital Factoring project with the aim of always being aligned with market best practice.

The synergistic commitment between the General Management Factoring structure and the DTIPs made it possible to express the potential of product. The result of this synergy was an increase in factoring loans of about 37% year-on-year against a market performance (source: Trade Association - Assifact) that was down by 2%.

2024 ANNUAL REPORT - Consolidated Report on operations

Large Corporate & Investment Banking

Large Corporate and Investment Banking includes the economic/financial results of Large Corporate customers, the Corporate Finance and Investment Banking and Global Market business units and the merged entity MPS Capital Services Banca per le Imprese S.p.A. (for the first half of 2023). The economic results, both in terms of costs and revenues, are therefore not entirely comparable in a year-on-year comparison.

**Business areas**

· Credit brokerage aimed at specialized follow-up; provision of tailor-made products
and services with a view to coverage teams; cross-fertilization of skills between group resources and financial products and services
for businesses, also through strategic collaboration with institutional entities.

· Corporate finance: mid- and long-term lending, corporate finance and structured finance.

**Customers**

Approximately 1,050 Large Group customers of the Parent Company are directly supported by Large Corporate & Investment Banking.

Income statement and balance sheet results

**Total Funding** from Corporate Banking as at 31 December 2024 amounted to **EUR 12.7 bn**, up by EUR 1.5 bn compared to 30 September 2024, of which EUR +1.1 bn on Direct Funding and EUR +0.4 bn on Indirect Funding. The aggregate was also up compared to end December 2023 (EUR +1.5 bn), as a result of the increase in Direct Funding (EUR +1.2 bn) and, in part, in Indirect Funding (EUR +0.2 bn).

With regard to lending, as at 31 December 2024, **Gross interest-bearing loans to Large Corporate & Investment Banking customers** stood at approximately **EUR 4.5 bn**, up by EUR 0.3 bn compared to 30 September 2024 and by EUR 0.5 bn compared to year-end 2023).

**Large Corporate e Investment Banking - Balance sheet aggregates**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **(Eur mln)** | **31/12/24** | **30/09/24** | **31/12/23** | **Chg. Abs.<br> Q/Q** | **Chg. %<br> Q/Q** | **Chg. Abs.<br> Y/Y** | **Chg. %<br> Y/Y** |
| **Direct funding** | **4477** | **3401** | **3257** | **1077** | **31.7%** | **1221** | **n.m.** |
| Assets under management | 38 | 38 | 37 | 0 | 0.3% | 1 | 1.7% |
| Assets under custody | 8173 | 7781 | 7935 | 392 | 5.0% | 237 | 3.0% |
| **Indirect Funding** | **8210** | **7818** | **7972** | **392** | **5.0%** | **238** | **3.0%** |
| **Total Funding** | **12688** | **11219** | **11229** | **1468** | **13.1%** | **1459** | **13.0%** |
| **Gross Interest-bearing loans to customers** | **4465** | **4142** | **3942** | **323** | **7.8%** | **523** | **13.3%** |

---

In terms of income, Large Corporate & Investment Banking realised Revenue in the amount of EUR 324 mln as at 31 December 2024 (+38.1% compared to 2023). A breakdown of the aggregate shows:

· Net Interest Income amounted to EUR 165 mln, up by EUR 37 mln YoY;

· Net Fee and Commission income stood at EUR 68 mln, up for EUR 12 mln compared
to 2023;

· Other Revenues from Banking and Insurance Business amounted to EUR 92 mln,
up compared to the previous year (EUR 50 mln), thanks to the positive trend recorded for finance activities by the merged entity MPS Capital
Services.

Considering the impact of Operating Expenses, down by 7.8% compared to 31 December 2023, **Gross Operating Income** came to **EUR 251 mln** (EUR 156 mln compared to 31 December 2023).

**Net Operating Income** stood at EUR 194 mln (EUR 155 mln as at 31 December 2023), against a Cost of credit of EUR -57 mln (substantially nil as at 31 December 2023).

Non-operating items are essentially nil, compared to EUR -14 mln in 2023.

**Profit (loss) before tax from continuing operations** was **EUR 194 mln** (EUR +142 mln in 2023).

The Large Corporate Banking & Investment cost-income ratio stood at **22.5%** (33.7% as at 31 December 2023).

BANCA MONTE DEI PASCHI DI SIENA

**Large Corporate & Investment Banking - Aggregati economici**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**(EUR mln)** |<br>**31/12/24** |<br>**31/12/23** | **Abs.** | **%** |
| *Net interest income* | *165.2* | *127.8* | *37.4* | *29.3 %* |
| *Net fee and commission income* | *67.6* | *56.1* | *11.5* | *20.5 %* |
| *Other Revenues from Banking and Insurance Business* | *91.6* | *50.3* | *41.2* | *82.0 %* |
| *Other operating expenses/income* | *0.0* | *0.7* | *-0.7* | *-97.2 %* |
| **Total Revenues** | **324.5** | **234.9** | **89.5** | **38.1%** |
| *Operating expenses* | *(73.1)* | *(79.2)* | *6.1* | *-7.8 %* |
| **Pre Provision Operating Profit** | **251.4** | **155.7** | **95.7** | **61.4%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks | (57.2) | (0.4) | -56.9 | n.m. |
| Net Operating Income | 194.1 | 155.4 | 38.8 | 25.0% |
| **Non-operating components** | **0.0** | **(13.8)** | **13.8** | **n.m.** |
| **Profit (loss) before tax from continuing operations** | **194.1** | **141.6** | **52.6** | **37.1%** |

---

Main sales initiatives

Large Corporate

During 2024, the Large Corporate Market further increased its share of wallet on its customers, both by strengthening its role as a commercial bank, with the channelling of receipts and payments, essential elements to boost both funding and lending, but also by providing products and services with greater added value, and therefore more profitable for the bank, with the help of the CIB, Factoring and Foreign support structures. Intensive work was also carried out to expand the customer base through extension development.

With regard to Direct Funding, particular attention was paid to the role of Banca MPS as also partner in the management of company liquidity, in line with the operating trends of customers that determine the timing of investments, with the aim, therefore, of stabilising the volumes of the deposits. Along with this activity, the activities concerning Indirect Funding aimed not only at corporate customers, but also at financial institutions, continued. This resulted in a significant increase in volumes compared to the previous year, further reinforcing customers' belief in the Bank's ability to attract and efficiently manage their liquidity and investments, even in a context of falling interest rates and strong market competition.

With regard to loans, adequate and constant financial support was ensured to customers, with particular regard to the methods of intervention, carefully analysing the associated risks in order to preserve the quality of the loan portfolio by prioritising "secured" type interventions through guarantee bodies (in particular SACE). In each area, the management of the price to market, i.e. the expected profitability based on the risk taken, has remained vigilant. Large corporate financing was targeted at all sectors, from industrial to tertiary; However, a special focus was placed on the agri-food sector, identifying business opportunities for the supplier chains of large Italian companies, aiming to foster the transformation and sustainable growth of the suppliers of these chains. The search for opportunities related to the National Recovery and Resilience Plan (NRRP) and to customer companies engaged in ESG investments, increased.

In addition to commercial loans and medium/long-term financing, to complete the range of products offered to customers, the use of direct and indirect factoring transactions was significantly increased, the latter also serving non-Large Corporate transferor customers, managed in other bank service models. The exchange with the Bank's product/service specialists was further intensified with a view to enhancing and integrating the offer also through structured financing and hedging instruments. To complement the monitoring of traditional revenue components and the development of additional commission income, synergy activities with the Foreign Markets Function were constantly recorded: The constant attention paid to Large Corporate Clients operating on international markets, through customised solutions related to their needs and thanks also to the network of the Bank's representative offices, allowed the execution of transactions with leading counterparties on foreign markets with interesting economic returns. This operational approach has made it possible to seize certain opportunities despite the complex new macroeconomic and geopolitical scenarios that are becoming increasingly significant in both the export and import spheres.

2024 ANNUAL REPORT - Consolidated Report on operations

Corporate finance

In 2024, the Parent Company has confirmed its positioning amongst the leading banks in Italy for loans to the renewable energies sector and for infrastructure using Project Financing, as well as in the Real Estate sector with significant initiatives for property reclassification and qualified institutional customers (e.g. Real Estate Funds). Among the loans finalised in 2024 to be noted are:

<u>Project Financing & Energy</u>

· financing in favour of the company Calimera Bio S.r.l. (Arjun Group) for
the construction of a FORSU treatment plant for the production of advanced biomethane and mixed composted soil improver located in the
province of Lecce. The transaction involved the granting of a loan on a project finance basis, articulated on different credit lines,
for an amount of EUR 10 mln, in which Banca MPS acted as sole lender, covering the role of Mandated Lead Arranger, Hedging Bank, Custodian
Bank and Agent Bank;

· a short-term loan to Tozzi Green S.p.A. for a total of EUR 63.1 mln for
the construction of a wind farm with a capacity of 45 MWp located in the municipalities of San Pancrazio Salentino (BR), Avetrana (TA),
and Erchie (BR). The financial intervention was concluded in a pool, in which Banca MPS participated as Structuring Mandated Lead Arranger
 & Underwriter, Hedging Bank, Custodian Bank;

· financing in favour of MV Holding S.r.l. (Tozzi Group) for the construction
and refinancing of a portfolio of wind farms with a total capacity of 81.8 MWp located in Southern Italy. The financial intervention totalling
EUR 116.1 mln was underwritten by a pool of leading banks, with MPS underwriting a portion totalling EUR 10 mln.

<u>Infrastructure and Real Estate</u>

· Financing in favour of the company Argo Srl, belonging to the Bizzi &
Partner Group, to support the financial needs arising from the reconstruction and redevelopment programme of the Port of Rapallo. The
financing operation was structured in a pool with leading banks for a total amount of EUR 67.7 mln - MPS share EUR 15 mln. MPS also acts
as the hedging bank for the transaction.

· Financing in favour of the company Tram di Firenze Spa, to support the financial
needs arising from the construction of a new Tramway Line named 3.2.1, which will connect the centre of Florence with Bagno a Ripoli for
a total length of over 7 km. The financing operation was structured in a pool with leading banks for a total amount of EUR 58 mln, with
MPS's share of about EUR 10.8 mln as lead bank, agent bank and custodian bank. MPS also acts as the hedging bank for the transaction.

· Financing in favour of Sub-fund 4 of RealStep Sicaf Spa, a leading Italian
investment company operating in the real estate sector, in order to support the financial needs connected to a large urban redevelopment
programme in the Certosa district of Milan - through the acquisition and complete restructuring of various assets. The loan was structured
and fully subscribed by MPS for a total of EUR 13.5 mln, also acting as Hedging Bank and Agent Bank for the transaction.

· medium/long-term financing to support the acquisition, redevelopment and
expansion programme of a resort of high standing in the Puglia region in the province of Bari, in one of the world's most internationally
renowned tourist destinations, where more than 140 rooms, tennis courts/playgrounds, swimming pools, wellness centre, restaurants, will
be built over an area of more than 7,500 sqm. The financing operation was structured and fully subscribed by MPS for a total of EUR 39.5
mln, acting as Hedging Bank and Agent Bank for the transaction.

In relation to corporate finance transactions finalised during 2024, please note that:

the structuring and underwriting, as sole lender, of a loan for a total of EUR 34 mln, backed by a SACE Futuro Guarantee, in favour of a major multinational operator in the steel sector, intended to reimburse the costs incurred in connection with investments made and being completed at an industrial site in Northern Italy, for the construction of plant and equipment for a new rolling mill for beams, involving a total investment of over EUR 200 mln;

the underwriting of a pool loan, acting as Lending Bank and Bookrunner, for a total of EUR 225 mln, in favour of a leading private healthcare group. The financing transaction, which was accompanied by a private placement of EUR 50 mln to institutional investors, is to support the refinancing of past financial debt as well as to support the group's growth, both organically and through external lines.

In relation to the Acquisition Finance activities, during 2024 the Parent Company continued to carry out activities for structuring the acquisition transactions in support of counterparties of high standing, focusing on business integrations carried out by corporate operators and also maintaining a strong foothold in the market for the LBOs promoted by the leading private equity operators in Italy.

BANCA MONTE DEI PASCHI DI SIENA

Some of the main transactions organised and financed were:

· acquisition of **Autry International** - an operator active in the production
and marketing of trainers aimed at a premium market segment under the Autry brand, registered in Dallas in the 1980s and relaunched in
2019 by entrepreneur Marco Doro - by private equity operator Style Capital SGR (LBO);

· acquisition of **BAT** - an operating holding company at the head of
an international group specialising in the design, production and sale of components and finished products for sun shading (blinds and
pergolas) for domestic and professional use - by private equity operator ProA Capital (LBO);

· acquisition of **La Bottega** - a player in the production and marketing
of hotel amenities (courtesy sets and accessories) for luxury and top luxury hotels - by private equity operator Three Hills Capital Partners
(LBO);

· acquisition of **Molino Nicoli** - active in the production and marketing
of breakfast cereals and cereal bars (in particular Allergen & Gluten Free products) and baby food (in particular puffed snacks),
excluding those with milk in the recipes - by private equity operator Clessidra SGR (LBO);

· acquisition of **F.lli Polli** - an operating holding company at the
head of an international group present in more than 50 countries that produces and sells canned food, condiments and sauces - by private
equity operator Platinum Equity (LBO);

· the acquisition of **Banco BPM's Issuing & Acquiring** business
unit by **Numia** (a company traceable to the private equity operator FSI SGR into which all of the ICCREA Group's e-money activities
were merged in 2022), a transaction that forms part of a broader industrial project that will lead to the creation of a leading company
in its reference market (Corporate Acquisition);

· acquisition of **SACMI Beverage** (a bottling and labelling operator
for the beverage industry) by Omnia Technologies Group (a world leader in the development, engineering, production and sale of automated
machines and systems for the wine, beverage, dairy/cheese, pharmaceutical and medical sectors), an operation that represents an important
industrial opportunity and further development for the Group thanks to the internalisation of technology to achieve high-speed bottling
and packaging and thus complete the beverage machinery offering (Corporate Acquisition).

Investment Banking

The Parent Company offered its services by supporting the Group's key customers in extraordinary finance transactions, in particular, by assisting companies in the role of financial advisor at all stages of development and in raising the funds necessary to service the transactions.

In this regard, the Parent Company supported its industrial and financial customers with its ability to carry out market transactions, in particular, debt instruments tailored to the characteristics of the reference investors, both in public and private placement form, with an activity covering all phases of the transaction, from structuring to distribution, and all the main product types.

Moreover, by virtue of its role as Specialist in Italian Government Securities, the Bank continued to play its recognised role as one of the leading players in syndicates for the placement of Italian government securities, both in its role as Joint Lead Manager and Bookrunner, and in its role as Co-Lead Manager, contributing in this capacity also to the placement of supranational securities in EUR (€).

Finally, during 2024, the Parent Company developed initiatives aimed at participating in capital-raising operations through financial instruments that also involve retail investors.

Client Driven Finance

During 2024, activities in the markets and with institutional customers achieved more than satisfactory results, characterised by highly diverse trends.

Activity with institutional customers recorded positive performance in most business lines. Both auctions and bond trading on the secondary market increased significantly compared to last year. The derivatives business also experienced an increase in volumes and revenues on a YoY basis, in line with the dynamics of the industry as a whole. On the primary market, revenues were in line with last year thanks to the Bank's involvement by the Italian Treasury in the roles of Joint Lead and Co-Lead Manager of syndicated issues.

Hedging transactions for the Bank's corporate customers saw a slight reduction in volumes on commodities in light of the dynamics observed during the year in terms of demand and volatility on the various sectors, while there was substantial stability on currencies.

2024 ANNUAL REPORT - Consolidated Report on operations

On the other hand, there was a marked increase in interest rate hedges due to both the particular market situation (negative slope of the rate curve) and the contribution of specialised lending transactions structured by the CIB with customers in the Corporate and Large Corporate service models.

The Market Execution unit continued the execution of orders transmitted by Network customers, institutional customers and Widiba.

Global Markets' structuring teams continued to seek solutions for investment products adapted to market conditions: the level of rates made it possible to offer both the retail and private segments of the Group solutions designed with the insurance partner AXA that proved to be innovative and competitive with the bond segment; At the same time, structured fund business lines that had been absent in previous years were reopened and received good commercial success.

The management of portfolios serving client-driven activities continued with careful risk management, with Var metrics in line with previous quarters.

<u>Network coverage</u>

In 2024, in continuity with the organisational implementation begun in the previous year, the CIB Coverage function, reporting directly to the *Marketing, Sales & Coverage* structure, continued its specialised support activities for Banca MPS's commercial network, oriented towards the growth of loans and commissions in the corporate market, through *Corporate & Investment Banking* (CIB) products, in the area of specialised finance and capital markets.

Corporate Centre

The Corporate Centre includes:

· the income statement and balance sheet results of non-performing customers
managed centrally by the Non-Performing Loans Unit *;* 

· operating units, such as proprietary finance, treasury and capital management;

· business <sub></sub> service and support units, particularly with regard to the development and management of information system;

· the offsetting of intragroup entries and the results of the companies consolidated
under the equity method and those held for sale, in particular MP Banque.

With regard to non-performing customers centrally managed by the Non-Performing Loans Unit, gross 'live' loans to customers amounted to EUR 1.4 bn as at 31 December 2024; the contribution to the Corporate Centre's financial results was EUR 8 mln in Revenues, EUR -53 mln in Operating Expenses and EUR -31 mln in Credit Costs.

With regard to finance activities, securities sales realised in 2024 amounted to EUR 1,799 mln (positions mainly classified at amortised cost); securities in the amount of EUR 149 mln, entirely classified in the portfolio of financial assets measured at fair value through other comprehensive income, are overdue. In compensation for these sales and/or maturities, securities amounting to some EUR 2,217 mln were repurchased, most of them classified at amortised cost.

BANCA MONTE DEI PASCHI DI SIENA

Equity investment management

During 2024, the streamlining of the investment portfolio continued, including simplification of the structure of the Banking Group.

The following is a detailed list of the most significant transactions carried out during the financial year.

*Acquisitions*

· The Parent Company received an additional 208 Preferred class shares of
Visa Inc. A. against partial conversion of the shares of Visa Inc. Preferred class C shares, previously acquired as part of the Visa Europe
transfer transaction to Visa Inc. itself. These shares were subsequently transferred subject to conversion into Visa Inc. Class A Common
Stock.

· 319.75 shares of Società Consorzio per la tutela del credito S.c.a.r.l.
were assigned free of charge following the withdrawal of other consortium members.

· Following the completion of a credit restructuring and conversion transaction,
equity instruments of the company Cimolai S.p.A. were acquired (0.18% of total instruments issued).

*Disposals*

· The following shareholdings were disposed of: Società per azioni
Autovie Venete S.a.v. (0.84% of the share capital) and, following the reverse stock split, Mediterraneo S.p.A. (0.15% of the share capital).

· The partial divestment of the shareholding in Campus Bio Medico S.p.A. continued
(from 0.68% to 0.59% of the share capital).

· Upon completion of the respective voluntary liquidations, the stakes held
in: Siena Lease 2016-2 S.r.l. in liquidation (100%), Siena Mortgages 09-6 S.r.l. in liquidation (100%), Siena Mortgages 10-7 S.r.l. in
liquidation (100%), Armorlite S.r.l. in liquidation (3.48%), Classica Sviluppo
S.r.l. in liquidation (9.40%), Cori S.p.A. in liquidation (7.30%), Gestioni esattoriali della Capitanata S.p.A. in liquidation (0.67%)
and Sei Energia in liquidation (13.08%).

· In addition, the participatory financial instruments held in Ferroli S.p.A.
were also disposed of (14.14% of the total instruments issued).

· An agreements were reached for the sale ofl the entire stake held in Bancomat
S.p.A. (4.32%) and for the partial disposal of some shares (no. 2,000) held in the Bank of Italy'capital.

2024 ANNUAL REPORT - Consolidated Report on operations

Prospects and outlook on operations

In the coming quarters, in an environment of modest economic growth and conditioned by US protectionist measures, lower interest rates could increase the attractiveness of bank loans. The recovery of household purchasing power, combined with the resilience of the financial markets, is expected to support consumption by fostering positive dynamics in household lending. On the other hand, the weakness of the investment cycle, also influenced by high uncertainty regarding international trade, could limit the demand for corporate loans. The modest reactivation of investments in plant and machinery, facilitated by the contribution of the NRP, may feed the financing needs of companies, but at the same time, investments in construction are expected to contract following the end of the Superbonus incentives, particularly in the residential segment. Despite the uncertainty surrounding the economic cycle, credit risk indicators are expected to be at historically low and manageable levels for the banking sector: greater attention by operators to lending criteria and a more attentive demand for credit have in fact generated cohorts of better quality borrowers who are better able to withstand a possible deterioration in the scenario.

Direct deposits are expected to grow moderately in the coming years due to the expansion of time deposits and bonds, although flows are expected to be lower than in the past; the reduction in sight deposits could slow down and the process of rebalancing from sight deposits to time deposits could be affected by the reduction in refinancing rates, which will lead to a lower opportunity cost of holding liquid assets. Investments in government bonds, while positive, are expected to yield lower returns, favouring the accumulation, albeit limited, of liquid assets and increased interest in mutual funds and insurance products. Thanks to the role of advisory networks and the strategic objectives of operators, asset management will gain a central role.

With the completion of TLTRO repayments by the first half of 2024, the ongoing process of rebalancing funding is expected to continue, reflecting not only the need to reallocate between funding items (towards forms more suitable for regulatory requirements), but also the process of disintermediation of bank lending, particularly to companies, which may lead banks to have structurally lower funding needs.

The lowering of monetary policy rates will affect the margins of the banking system. The margin from customers is expected to decrease, influenced by the narrowing of the banking spread and moderate growth in intermediated volumes. The interest margin trend may only turn positive in the medium term with the increased contribution of coupon interest on the securities portfolio and a possible stabilisation/inversion in the monetary policy tone. Revenues from asset management and intermediation are expected to increase as net intermediated inflows and average stocks under management grow, but will be affected by the composition of portfolios (on which securities in custody and bond products, with lower unit margins, will be concentrated) and by the adjustment of product pricing. Revenues from cash management services may be affected by regulatory impacts on digital payments. With the decline in net interest income only partly offset by growth in service revenues, and with operating expenses expected to decline modestly (despite the downsizing of systemic charges) due to the still significant investments in IT and ESG, the segment's profitability, while still high, is expected to decline on average.

Against this backdrop, in 2025, the Group's revenue mix will benefit from the positive dynamics of commission income, which is expected to grow especially in the areas of asset management and protection, supported by the implementation of targeted commercial initiatives envisaged in the 2024-2028 Business Plan; the net interest income, in line with the dynamics of the system, will be affected by the market scenario and, in particular, by the fall in rates.

Operating expenses are expected to increase in 2025 mainly due to the renewal of the national collective bargaining agreement ('CCNL') for the credit and financial sector and to investments in technology to put in place to enable the Group's digital transformation.

Despite the continuing uncertainty in the economic cycle, no tensions are expected in the cost of credit.

The capital position is expected to remain at high levels.

It should be noted that the outlook for the MPS Group's operations presented above does not consider the impacts expected from the announced voluntary public exchange offer on Mediobanca's ordinary shares. For more information on the characteristics and objectives of the operations, please refer to the section "Significant events after the end of the financial year" included in this Report on Operations.

BANCA MONTE DEI PASCHI DI SIENA

Sustainability Reporting

Section 1 - General Information

*[ESRS 2]*

Basis for presentation

General Criteria for the drawing up of the Sustainability Report

This Sustainability Report (hereinafter also referred to as the "Report") is prepared on a consolidated basis, in compliance with Directive (EU) 2022/2464 on corporate sustainability reporting ('CSRD'), with Commission Delegated Regulation (EU) 2023/2772 (European Sustainability Reporting Standards) and with Legislative Decree 125/2024, which transposed the aforementioned EU Directive into Italian law.

The consolidation perimeter of the Sustainability Report coincides with the consolidation perimeter of the Consolidated Financial Statements and therefore includes the Parent Company (hereinafter also the "Bank") and the subsidiaries consolidated on a line-by-line basis within the Consolidated Financial Statements (together referred to hereinafter as the "Group"). For more details on the companies included in the Report's consolidation scope, please refer to Part A - Section 3 of the Notes to the Consolidated Financial Statements on the scope of consolidation.

Subsidiaries included in the consolidation are exempt from individual sustainability reporting in accordance with the provisions of Legislative Decree 125/2024, Article 7, paragraph 1, as they are included in the consolidated sustainability report of the Parent Company.

Sustainability Reporting covers the main segments of the Group's value chain - upstream, downstream and own operations - and takes into account the related assessment of identified impacts, risks and opportunities ("IRO").

The Group did not opt:

· to omit a specific disclosure related to intellectual property, know-how
or innovation results (see ESRS 1, Section 7.7 Classified and sensitive information and information on intellectual property, know-how
or results of innovation)

· to use the exemption from disclosure of information concerning upcoming
developments or matters concerning trading, pursuant to Articles 19-bis (3) and 29-bis (3) of Directive 2013/34/EU.

The Reporting contains information only on the data points required by the ESRS identified as material following the double materiality analysis and therefore mandatory under the ESRS. *The table of contents on page 33 gives references to the specific sections of the Report where they are dealt with. Wherever possible, the Group has made use of the principle of "Incorporation by Reference" to ensure its integration within the Consolidated Report on Operations.*

The Report is subject to limited assurance.

The Report also contains the information considered appropriate to be disclosed to the United Nations Global Compact Agency (UNEP) and the progress made in implementing the Principles for Responsible Banking following the Group's voluntary adherence in 2019.

2024 ANNUAL REPORT - Sustainability Reporting

Disclosure in relation to specific circumstances

Value chain estimation

The metrics reported within the Report that include estimated value chain data and are estimated through indirect data concern Scope 3 greenhouse gas emissions, reported within Section 2 - Environmental Information*.* The direct calculation of these emissions requires data and information on the Group's customers, suppliers and business partners. According to the reporting principles, where direct value chain information cannot be gathered through reasonable efforts, it must be estimated using information from indirect sources.

Below are the limitations on the value chain data underlying the Group's decision to use estimated data:

· Regulatory <sub></sub> limitations on data and information to be considered for financial institutions belonging to the Group's
value chain;

· Restrictions on access to and sharing of information related to actors in
the value chain;

· Limitations on the reliability and quality of information about the actors
in the value chain related to the possible lack of technical expertise of the actors involved.

Sources of estimation and outcome uncertainty

For more details on the estimation methodology used in the calculation of Scope 3 indirect emissions, including sources of information, assumptions made and conversion factors used in the calculation, please refer to what is described in the paragraph "Methodology for calculating own direct and indirect (Scope 1 and 2) and Scope 3 indirect emissions" in Section 2 - Environmental Information.

Errors and changes in the preparation or presentation of sustainability information

As this is the first year that the provisions of Legislative Decree 125/2024 have been adopted, there are no changes in the preparation and presentation of information. In addition, in accordance with ESRS 1 - General Requirements paragraph 136, in the first year of preparing the Sustainability Report in accordance with ESRS, no comparative information with the previous year is reported.

Disclosures required by other disclosures

The Report includes the disclosure required by Article 8 of Regulation (EU) 2020/852 (EU Taxonomy) within Section 2 "Environmental Information". Comparative data are not subject to limited review for the current year.

Incoporation by reference

All inclusions by reference made by the Group to other documents and contained within the Report meet the requirements of ESRS 1 - General Requirements paragraphs 119 and 120. Specifically, the disclosure requirements included by reference in the Report are as follows:

· ESRS 2 BP-1: to identify the companies included in the scope of consolidation
in this Report, please refer to scope of consolidation described in Part A Section 3 - "Scope and Methods of Consolidation"
of the Notes to the Consolidated Financial Statements;

· ESRS 2 IRO-1: for more details on the framework for monitoring potential
environmental risks, please refer to the "ESG Risks" section of Part E - "Information on risks and related hedging policies"
of the Consolidated Notes to the Financial Statements;

· E1 – ESRS 2 SBM-3: For a description of the analysis process to identify
climate change risks, please refer to the "ESG Risks" section of Part E - "Information on risks and related hedging
policies" of the Consolidated Notes to the Financial Statements.

BANCA MONTE DEI PASCHI DI SIENA

Governance

The role of the administrative, management and supervisory bodies

The Bank, in its role as Parent Company, performs functions of direction, governance and control over the Group's Companies, as part of the more general guidelines set out by the Board of Directors and in the interest of the Group's stability.

The governance system of the Bank, which has a traditional structure, is composed of the Board of Directors, the Board of Statutory Auditors, the Shareholders' Meeting, the Chief Executive Officer (who, at present, also holds the position of General Manager) and five Board committees:

· Appointments Committee;

· Remuneration Committee;

· Risk and Sustainability Committee;

· Related-Party Transactions Committee;

· IT and Digitalisation Committee.

The Board of Directors was appointed by the Shareholders' Meeting on 20 April 2023, on the basis of lists submitted by the shareholders, for the 2023-2024-2025 financial years and thus until the date of the Shareholders' Meeting to approve the financial statements as at 31 December 2025.

On 11 April 2024, the Shareholders' Meeting of Banca MPS resolved to appoint Raffaele Oriani as Director, to replace Marco Giorgino, terminated by resignation on 13 November 2023; On 17 December 2024, five non-executive and independent directors resigned and, subsequently, on 27 December 2024, the Board of Directors appointed five new members by co-option. On 23 January 2025, the Bank proceeded, within the terms of the law, to verify the eligibility requirements of the co-opted directors, in compliance with regulations in force. The evaluation process by the Supervisory Authorities is ongoing.

Considering that the substantial changes in the composition of the Board of Directors relate only to the last 15 days of 2024, the information provided in the following section, including the percentages on the shares of independent directors and the percentages on the specific competences of the Board members, refer to the composition of the Board prior to these changes.

Where the information refers to the composition of the current Board of Directors, this is specifically indicated.

The composition of the Bank's Board of Directors, from its appointment in April 2023 until 31 December 2024, did not include employee/worker representatives, whose appointment to the corporate bodies is not, however, provided for by Italian law, nor by the Bank's Articles of Association.

All Board members elected during the term of office have been recognised as meeting the requirements and eligibility criteria set forth in the applicable regulations in force, and as at 31 December 2024, 11 out of the 15 directors (i.e. 73.33% of the Board members) were assessed as independent in accordance with Article 15 of the Articles of Association.

The CEO is the only executive member, while there are 14 non-executive members on the BoD. The following summary table lists the members of the Board of Directors<sup>18</sup>.

18 Please note that the composition of the Board Committees changed in February 2025 For the new composition of the Committees see Press Release of 6 February 2025 *<u>https://www.gruppomps.it/media-e-news/comunicati/cs-06022025.html</u>*

2024 ANNUAL REPORT - Sustainability Reporting

---

| | |
|:---|:---|
| **Incombent members**<br>**as of 31.12.202**4 | <br>**Position** |
| *Maione Nicola (\*)* | Chairman |
|  | Non-Executive |
| *Brancadoro Gianluca (\*)* | Vice Chairman |
|  | Non-Executive |
| *Lovaglio Luigi* | Chief Executive Officer |
|  | and General Director (CEO) |
|  | Non-Executive |
| *Barzaghi Alessandra (\*)* | Board Member C |
|  | Non-Executive |
| *Caltagirone Alessandro* | Board Member |
|  | Non-Executive |
| *De Martini Paola (\*)* | Board Member C |
|  | *Lead Independent Director* |
|  | Non-Executive |
| *De Simone Elena* | Board Member |
|  | Non-Executive |
| *Di Stefano Stefano* | Board Member |
|  | Non-Executive |
| *Lombardi Domenico (\*)* | Board Member C |
|  | Non-Executive |
| *Lucantoni Paola (\*)* | Board Member |
|  | Non-Executive M |
| *Oriani Raffaele (\*)* | Board Member C |
|  | Non-Executive |
| *Panucci Marcella (\*)* | Board Member |
|  | Non-Executive |
| *Paramico Renzulli Francesca (\*)* | Board Member |
|  | Non-Executive |
| *Sala Renato (\*)* | Board Member |
|  | Non-Executive |
| *Tadolini Barbara (\*)* | Board Member |
|  | Non-Executive |

---

*\* Independent directors*

*C = Board Committee Chair, M = Board Committee Member*

The current Board of Statutory Auditors was appointed by the aforementioned Shareholders' Meeting of 20 April 2023 for the 2023-2024-2025 financial years and thus until the date of the Shareholders' Meeting to approve the financial statements as at 31 December 2025.

The Shareholders' Meeting of 11 April 2024 resolved on the integration of the Board of Statutory Auditors following the resignation of Alternate Auditor Piera Vitali (on 2 May 2023) and Standing Auditor Roberto Serrentino (on 15 May 2023). In accordance with the statutory and regulatory provisions in force, in compliance with the principle of necessary representation of minorities and the principle of gender balance provided for by the legislation in force at the time, the above-mentioned Shareholders' Meeting of 11 April 2024 resolved to appoint Giacomo Granata to the position of Standing Auditor and Paola Lucia Isabella Giordano to the position of Alternate Auditor, for the remainder of the current term of office; Pierpaolo Cotone, who took over as Standing Statutory Auditor on 15 May 2023 following the resignation of the previous Standing Statutory Auditor Roberto Serrentino (as sole Alternate Auditor), returned to the position of Alternate Auditor as of 11 April 2024.

BANCA MONTE DEI PASCHI DI SIENA

The following table shows the composition of the current Board of Statutory Auditors.

---

| | | |
|:---|:---|:---|
|  | **Members** | **Office** |
| 1. | Ciai Enrico | Chairperson |
| 2. | Linguanti Lavinia | Standing Auditor |
| 3. | Granata Giacomo | Standing Auditor |
| 4. | Cotone Pierpaolo | Alternative Auditor |
| 5. | Giordano Paola Lucia Isabella | Alternative Auditor |

---

None of the members of the Board of Statutory Auditors is related to other members of the Board of Statutory Auditors, the members of the Board of Directors, the Financial Reporting Officer, the General Manager and the main executives of the company. The Sustainability Reporting Officer coincides with the Financial Reporting Officer.

The number and the type of duties covered by the statutory auditors is in line with the regulations governing the limits on the maximum number of positions for members of Control Bodies, as set forth in Title V-bis, Section V, Item II of Consob Issuers' Regulation and Article 17 of MEF Decree no. 169/2020.

Diversity in governance bodies

The composition of the Bank's corporate bodies in 2024 - for the Board of Directors was 53% male and 47% female, and for the Board of Statutory Auditors, 2 male standing auditors and 1 female standing auditor, and alternate auditors, 1 male and 1 female - complied with primary and supervisory regulations on gender balance. Please note that in December 2024, independent director Paola De Martini was appointed as Lead Independent Director.

With reference to the composition of the Board of Directors, the Board Committees and the Board of Statutory Auditors in terms of gender diversity, age and managerial and professional expertise, it should be noted that, as a listed bank, the Bank applies specific relevant provisions of the applicable legal and regulatory frameworks<sup>19</sup>, as well as the principles and recommendations contained in the Corporate Governance Code, endorsed by the Bank. Lastly, the Articles of Association of the Bank contain specific provisions on gender diversity (Articles 15 and 25), calling for compliance with the regulations in force both at the appointment stage and during the term of office.

The Bank, in compliance with its Code of Ethics, the BMPS Sustainability and ESG Guidelines<sup>20</sup> and the Group's Gender Equality Policy, recognises and promotes the benefits of diversity in the overall composition of its Corporate Bodies in all respects, including gender, age and seniority in office, skills and the educational and professional profile of its members, in order to ensure sound governance, and a critical discussion of issues with a variety of viewpoints and experiences as recommended by supervisory regulations.

In the overall composition of the Corporate Bodies, differences in the areas mentioned above are therefore valued, promo-ting diversity as an indispensable value for a cooperative climate and an open approach to the inclusion of all diversities and attainment of "equal opportunities". People are guaranteed the same opportunities regardless of age, sexual orienta-tion, religious belief, gender, ethnicity and different abilities, ensuring the absence of any discrimination<sup>21</sup>.

In concrete terms, the application of the diversity criteria adopted<sup>22</sup> to define a composition of the governing bodies deemed optimal, ensured, in 2024:

· a gender balance in terms of a level of representation in line with that
provided for in legislation;

· a diversification by age (of directors, with a minimum
age of 48 and a maximum age of 71, an average age of 59, and with two directors aged under 50; of auditors, ranging in age from a minimum
of 38 years to a maximum of 74 years, with an average age of 61 years), and by length of tenure (for directors, with 1 member in their
third term, 4 members in their second term, 10 members in their first term; for statutory auditors, with the Chairman in his second term
and four statutory auditors in their first term);

· the presence of requisites and compliance with the eligibility
criteria necessary to perform the position (educational background, professional experience, independence of judgement, time available,
prohibition on interlocking), which are periodically assessed both with regard to the individual representative and with regard to the
overall structure of the governing bodies.

19 For example, the TUF, Supervisory Provisions on corporate governance, Ministerial Decree 169/2020.

20 Available on the Group's institutional website under the name "Sustainability and ESG Guidelines".

21 It should be noted that on 24 February 2025, the Board of Directors approved the "DIVERSITY POLICY FOR THE COMPOSITION OF THE BANCA MONTE DEI PASCHI DI SIENA S.P.A.'S CORPORATE BODIES", published on the website *<u>www.gruppomps.it</u>*

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| 22 | These aspects, which are an integral part of a governance structure of diversity aligned with best practices, were taken into account when renewing the corporate bodies at the Shareholders' Meeting of 20 April 2023, which appointed the Board of Directors and the Board of Statutory Auditors, as well as at the Shareholders' Meeting of 11 April 2024, which, *among others*, resolved to appoint Raffaele Oriani as Board Director, Giacomo Granata as Statutory Auditor and Paola Lucia Giordano as Alternate Auditor. |

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2024 ANNUAL REPORT - Sustainability Reporting

The qualitative and quantitative criteria on the ideal composition of the Board of Directors are disclosed to the shareholders before the renewal of the corporate bodies.

The Board of Statutory Auditors

The Board of Statutory Auditors ascertains on an annual basis or in the case of significant events, (i) the existence of the independence requirements for its members, and (ii) the correct application of the assessment criteria and procedures adopted by the Board of Directors to assess the independence of its non-executive members. The outcome of these checks shall be disclosed to the market in the corporate governance report or in the supervisory body's report to the Shareholders' Meeting".

Composition of the Board of Directors by gender and age

As at 31 December 2024, the gender diversity ratio of the board of directors, calculated as the average ratio of female to male members, was 88%.

![](tm2518026d1ex99-4img004.jpg)

With reference to the Board of Statutory Auditors, as at 31 December 2024, the Board of Statutory Auditors was composed of 3 regular auditors (2 male and 1 female) and 2 alternate auditors (1 male and 1 female)<sup>23</sup>. The age of the auditors ranges from a minimum of 38 years to a maximum of 74 years, with an average age of 61 and one auditor under 50.

23 Following the resignation of a statutory auditor and an alternate auditor in 2023, the Shareholders' Meeting of 11 April 2024 appointed a new statutory auditor and a new alternate auditor, pursuant to Article 2401 of the Italian Civil Code.

BANCA MONTE DEI PASCHI DI SIENA

Responsibilities of bodies with strategic oversight, management and control functions with regard to impacts, risks and opportunities

The Bank's governance system provides for specific responsibilities regarding sustainability issues, distributed among the Bank's bodies and functions according to four areas (strategy, actions and policies, risk factor management, monitoring and reporting). In detail, the main responsibilities for sustainability are as follows:

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| **Board of Directors** | &nbsp;&nbsp;&nbsp; approves the sustainability and ESG strategies and policies and the Sustainability Plan in line with the values, principles and rules of conduct defined in the Code of Ethics, the commitments deriving from adhesion to voluntary initiatives, taking into account the impacts of ESG (environmental, social and governance) factors;<br>approves the Group Sustainability and ESG Policy and monitors its implementation;<br>assesses the integration of ESG factors into corporate strategy setting and decision-making processes;<br>approves participation in national and supranational sustainability initiatives;<br>verifies the presence of adequate ESG risk factor controls within the overall risk management framework, integrating them into the existing risk assessment, management, monitoring and control processes, defining the Group Risk Appetite;<br>evaluates and approves the findings of the dual materiality analysis (with its identified impacts, risks and opportunities);<br>approves the policy guidance and coordination on the Sustainability Report;<br>approves the Sustainability Report, subject to the opinion of the Risk and Sustainability Committee.<br>|
| **Board of Statutory Auditors** | &nbsp;&nbsp;&nbsp; ensures that the Sustainability Report is drawn up and published in compliance with the relevant regulatory provisions and supervises the adequacy of the organisational, administrative and reporting and control system adopted in order to allow for a correct and complete representation in the consolidated sustainability report of the information necessary for understanding both the impact of the company on sustainability issues and the way in which sustainability issues affect the company's performance, results and situation.<br>|
| **Risk and Sustainability Committee** | &nbsp;&nbsp;&nbsp; evaluates proposals for strategic sustainability guidelines and macro-objectives, checking their consistency with the strategic guidelines;<br>formulates proposals for environmental and social strategy, annual objectives and targets and monitors their implementation over time;<br>oversees the evolution of sustainability also in the light of the relevant international guidelines and principles, monitoring its performance;<br>reviews and approves sustainability issues, including the validation of the double materiality analysis for the purpose of drafting the Sustainability Report;<br>supports the Board of Directors by gathering information, making proposals and providing advice in evaluations and decisions related to sustainability and ESG risk management;<br>monitors the positioning of the Group with regard to Sustainability;<br>supervises compliance with the provisions established pursuant to Legislative Decree No. 125 of 10 September 2024 with regard to the preparation of the Sustainability Report.<br>|
| **Remuneration Committee** | &nbsp;&nbsp;&nbsp; has the power to formulate guidelines and recommendations on the remuneration of personnel whose remuneration and incentive systems are decided by the Board of Directors;<br>periodically assesses the criteria adopted for the remuneration of executives with strategic responsibilities, monitoring their application. |

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2024 ANNUAL REPORT - Sustainability Reporting

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| **Chief Executive Officer** | &nbsp;&nbsp;&nbsp; ensures the implementation of the Board's resolutions and the pursuit of the integrated strategic lines of the sustainability profile, through the support of the Steering Committee<sup>24</sup>;<br>oversees sustainability-related activities and actions to be implemented, monitoring and ensuring the achievement of defined objectives.<br>|
| **Steering Committee** | &nbsp;&nbsp;&nbsp; through the specific session 'ESG and Sustainability', supports the Chief Executive Officer in defining strategic guidelines and sustainability policies and in finalising the initiatives of the Sustainability Plan;<br>monitors the evolution of the Sustainability Plan initiatives by ensuring adequate sponsorship of initiatives and addressing the resolution of critical issues in order to achieve the Group's strategic objectives.<br>|
| **CFO** | &nbsp;&nbsp;&nbsp;He is responsible for the Sustainability function, the promotion and integration of ESG issues into the overall strategy. He also define ESG strategies with the support of the other parent company functions and involves the Steering Committee - ESG Session to share the sustainability strategy and policies as well as to address critical issues related to the implementation of the ESG strategy and the Sustainability Plan.<br>|
| **ESG and Sustainability Function** | &nbsp;&nbsp;&nbsp; supports the Head of Sustainability, outlines the ESG strategy, the Sustainability Plan and ensures the consistency of strategic initiatives with the Group's overall ESG strategy. outlines policies and coordinates the drafting and publication of sustainability reporting;<br>carries out the double materiality analysis with related identification of Impacts, Risks and Opportunities, with subsequent approval by the Risk and Sustainability Committee and the Board of Directors. |

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The process for preparing the Sustainability Report is an integral part of the financial reporting process and is based on a structured system of controls aimed at ensuring the quality and reliability of the information reported. The ESG and Sustainability Department, through interaction with the various Bank entities, coordinates the reporting process and ensures that controls are properly integrated into operational activities. In this context, checks on the Sustainability Report, including those on impacts, risks and opportunities, are incorporated into the control systems of the other functions, ensuring a consistent approach aligned with existing controls.

The responsibilities of the Board of Directors, the Board Committees and the Board of Statutory Auditors are described and formalised in the Report on Corporate Governance and Ownership Structures, drawn up pursuant to Article 123-bis of the TUF and approved on 6 March 2025 in compliance with current regulations and the Articles of Association.

The administrative, management and supervisory bodies: experience and expertise

All the directors and statutory auditors elected in 2023 and in April 2024 were assessed by the Supervisory Authority (European Central Bank - ECB) as fit to hold office following the specific verification process, and were therefore also recognised as possessing the basic knowledge and experience required by the regulations in force in relation to the sectors (banking and financial) and products (banking and financial) in which the Bank operates, by virtue of the skills acquired through corporate offices, executive or managerial positions, work or professional activities or academic and research roles. Specifically, also taking into account the results of the self-assessment process, it appears that in 2024, Board members with specific expertise represented around 83% with reference to banking and financial markets and around 77% with specific reference to banking/financial products.

With reference to geographic areas, considering that, at present, the Bank does not operate significantly in the international market and mainly conducts its business in Italy, it should be noted that all elected directors are Italian nationals. Some of these directors have educational experience gained internationally, either through work, professional activities or academic roles, or having held corporate/managerial/management positions in foreign banking, insurance or financial undertakings, or in similar Italian companies, but operating significantly in an international dimension. In addition, with reference to the composition of the Board of Directors and Board of Statutory Auditors in 2024, the presence of individuals with specific competences in risk governance and banking governance, legal and regulatory competences (for the Board of Directors: percentage of around 87%) - predominantly members with an academic or legal profession profile.

24 The Steering Committee is a management committee consisting of the Chief Executive Officer, the Deputy Chief Commercial Officer, all Department heads and the Financial Reporting Officer.

BANCA MONTE DEI PASCHI DI SIENA

The overall composition of the Board of Directors and the Board of Statutory Auditors in 2024 shows diversity in terms of the education, professional and managerial characteristics, technical expertise and knowledge, experience and specialisations of the members, which are different and complementary, contributing to enriching the decision-making process also in the area of sustainability, climate risks and ESG, and to guaranteeing that the Board of Directors has a collective level of knowledge, expertise and experience adequate to understand the main risks and opportunities, including their impacts.

In 2024, Bank directors with expertise in Sustainability, due to their experience gained as board committee members, with tasks in the field of Sustainability (also in the Bank), as members of ESG Commissions, through their participation in academic studies (coordination of Masters' courses and publications), the preparation of ESG guidelines for other industrial sectors, and knowledge acquired through specific training activities in the field of Sustainability provided by external entities, accounted for approximately 37%.

For the sake of completeness, it should be noted that with the appointments of December 2024, the collective suitability and knowledge of the administrative body was strengthened through the addition of professionals who have practical experience as Board members and statutory auditors and of other particularly qualifying contexts; also with reference to the management of ESG issues and related climate and environmental risks - including a focus on the ESG impacts on the Bank, also in the light of recent legal developments, alignment with regulatory requirements and the consolidation of sustainability practices, the collective knowledge has been strengthened by the presence of directors with practical experience gained also in companies that have a strong focus on ESG issues, including ESG risks, as substantial elements of their business strategies.

The Sustainability-related skills and expertise held by the Board of Directors and the Board of Statutory Auditors, as a whole, are also specifically considered in the annual self-assessment process, and specifically addressed with reference to material targets and impacts, in relation to the Bank's Business Plan.

To continuously update and develop the Board's expertise on sustainability, a Board Induction meeting was held on 29 January 2024 on *"Sustainability governance and the evolution of sustainability reporting"*, and an information session was held on 7 November on *"Sustainability Reporting 2024: Double Materiality Analysis"* with participation open to all members of the Board of Directors and the Board of Statutory Auditors. Furthermore, it should be noted that new Board Induction sessions are being implemented starting in January 2025

With reference to training activities, the members of the Board of Statutory Auditors, in order to ensure the continuity and preservation of the Board's experience and to continuously deepen an adequate knowledge of the sectors in which the Bank and its Group operate, during the 2024 financial year, also participated in advanced training plans organised by "ABI Formazione" for the members of the Board of Statutory Auditors of the Banks and pertaining to the following topics: The governance of sustainability and climate risk; The governance of IT and Cyber risk.

Roles and responsibilities of management bodies in exercising oversight of the process for managing material impacts, risks and opportunities

Governance bodies are informed about material impacts, risks and opportunities through regular information flows and control mechanisms. The Board of Directors, with the support of the Risk and Sustainability Committee, reviews and approves the results of the Double Materiality Analisys, evaluating the effectiveness of the policies adopted and their contribution to ESG risk management and opportunity enhancement.

As part of its functions to provide preliminary information, recommendations and advice, the Risk and Sustainability Committee oversees sustainability issues related to the Bank's activities and its relations with stakeholders, assessing the consistency of ESG strategies and guidelines with general strategic guidelines. In addition, it makes proposals on environmental and social strategy, setting targets and monitoring their implementation over time. Specifically, the information flows submitted to the Risk and Sustainability Committee are defined in line with the provisions of supervisory regulations in the "Information Flows" linked to the Group Policy on the internal control system and in applicable laws in force at the time. The Committee, as part of its support functions to the Board of Directors, identifies any further information flows to be addressed to it on the subject of risks (establishing subject, format, frequency, etc.).

When reviewing corporate strategy, the Board of Directors integrates ESG factors into the decision-making processes, ensuring that material impacts are considered in the development of strategies and in the definition of the Risk Appetite. The Risk and Sustainability Committee supports this process through constant monitoring activity, ensuring that actions taken are in line with long-term objectives and the applicable regulatory framework, thus contributing to integrating sustainability into corporate strategies.

2024 ANNUAL REPORT - Sustainability Reporting

The list of Impacts, Risks and Opportunities found to be material and subject to the Board of Directors' approval are summarised in the chapters that discuss each ESRS in detail. These chapters represent, for each sustainability issue defined by the regulations, the IROs found to be material, the relative time horizons (i.e. short-, medium- and long-term) and the boundary (e.g. Own Operations, Downstream Value Chain, Upstream Value Chain) found to be relevant in the context of the applicable ESRS.

Role of the Supervisory Board in the Monitoring of Sustainability Reporting

The Board of Statutory Auditors monitors compliance with the provisions of the regulations on consolidated corporate sustainability reporting and the sustainability reporting process, with the support of the corporate control functions. As part of this activity, as an internal control and audit committee, the same Body must also ensure that the internal control and risk management system is adequate to identify, monitor and mitigate ESG risks.

To this end, the Board of Statutory Auditors acquires knowledge from the structures in charge of the sustainability reporting process and verifies (i) the adequacy of the organisational structure in charge of sustainability reporting in terms of human resources, economics and information systems; (ii) the existence of operational guidelines, procedures and practices adopted by the company to ensure that consolidated sustainability reporting is both timely, complete and reliable, it being understood that the Board of Directors remains responsible for structuring the sustainability reporting process.

The Board of Statutory Auditors monitors the adequacy of the administrative and accounting system also for the purpose of sustainability reporting and supervises the implementation and receipt of adequate periodic information flows, both quantitative and qualitative, for the purpose of sustainability reporting.

The Board of Statutory Auditors performs an overall control to verify the correctness of the process on the basis of which the consolidated sustainability reporting is prepared, and obtains a specific certification from the Delegated Administrati-ve Body and the Sustainability Reporting Officer.

Within the scope of its supervisory duties, the Board of Statutory Auditors acquires information on the activities planned and then carried out (i) by the Sustainability Reporting Officer in charge of issuing the internal certification that the Reporting has been prepared in accordance with the reporting standards, including the information to be provided under the so-called Taxonomy Regulation; (ii) by the second level control functions, with particular regard to the implementation of the risk identification and management system, and third level control functions (Internal Audit) on sustainability reporting.

The Board of Statutory Auditors monitors the certification activity of the consolidated sustainability report by setting up a regular exchange of information flows with the auditing firm in charge of certifying the Sustainability Report, in order to acquire information on the planning of the related activities and the extent of the verifications on the data included in the ESG report.

Lastly, the Board of Statutory Auditors monitors compliance with the reporting disclosure requirements, verifying that the consolidated sustainability report included in the report on operations, as well as the report certifying compliance pursuant to Article 14-bis of Legislative Decree No. 39, of 27 January 2010, are published in the manner and within the time limits set forth in Articles 2429 and 2435 of the Italian Civil Code and on the Bank's website.

In its Report to the Shareholders' Meeting, the Board of Statutory Auditors shall report on the supervisory activities carried out with regard to sustainability reporting pursuant to Article 10, paragraph 1 of Legislative Decree No. 125/2024 and, where applicable, also in those cases in which such reporting was not prepared in accordance with the provisions of the law; It also reports the issuance by the independent auditors of the certification on the conformity of the sustainability reporting pursuant to Article 8, paragraph 1 of Legislative Decree No. 125/2024.

BANCA MONTE DEI PASCHI DI SIENA

Integration of sustainability-related performance in incentive schemes

Remuneration policies

The Group's remuneration policies are geared towards the creation of sustainable value over time, the enhancement of merit, the growth of all employees, entirely in keeping with the risk governance and diversity and inclusion policies. The remuneration policies promote fair and competitive remuneration, in compliance with regulations and market practices, and a balanced ratio between fixed and variable remuneration components (the so-called Pay Mix) in order to avoid conflicts of interest in the achievement of long-term objectives.

Main characteristics of incentive systems

In compliance with supervisory provisions, the remuneration packages for Group senior managers and personnel may consist of a fixed and a variable component. Where requirements are met, the fixed component may be supplemented by a variable incentive component, the conditions of which are established in advance for each personnel sub-category, in compliance with related provisions, in order to discourage a conduct that trends towards excessive risk-taking. Furthermore, with reference to the scorecards intended for the Chief Executive Officer and General Manager and all the Key Staff<sup>25</sup>, including Key Management Personnel, there remains a correlation with economic, financial, ESG and risk-related objectives. With reference to non-executive directors and members of the Board of Statutory Auditors, the principle of no connection with the economic results achieved by the Group and that no incentive plans of any nature are to be assigned to them, as previously approved by the Shareholders' Meeting, was reconfirmed.

In determining remuneration, the Bank takes the following aspects into account, in addition to position weighting and benchmarking: skills and commitment; location of service and relative cost of living; level of education; scarcity of personnel available in the job market for specialised positions; the nature of the employment agreement; duration of professional experience; professional certifications.

Variable incentive remuneration is based on economic-financial and qualitative objectives, weighted and defined ex ante. Since 2023, the Group has integrated ESG objectives, related to the strategic objectives in the Business Plan, into its remuneration policies. The implementation of ESG objectives is integrated into the initiatives of the Sustainability Plan approved by the Board of Directors and updated annually.

The remuneration of the Chief Executive Officer and General Manager of the Bank is composed of a fixed component and an annual variable component disbursed, once the achievement of the objectives assigned *ex-ante*, has been verified, over a long-term time horizon. The Chief Executive Officer/General Manager is the recipient of the "2024 Incentive System" in accordance with regulatory requirements, investor guidelines and the interests of wider-ranging stakeholders*,* according to the scorecard consisting of economic-financial (80%), risk management (10%) and ESG objectives (10%).

The ESG priorities and related objectives defined for 2024 are closely related to the goals of the Sustainability Plan approved by the Board of Directors in the month of February 2024. In detail, the ESG KPI consists of the following indicators:

· ESG volumes disbursed to the target;

· % of achievement of the ESG Programme;

· % of the less represented gender in positions of responsibility;

· Definition of the ESG strategic road map.

Among the main changes in 2024 over the previous year is that the composite ESG KPI as described, for the other relevant entities/functions consists of at least three shared indicators and indicators for specific business aspects, defined in line with the Sustainability Plan.

Incentive systems - climate considerations

The definition of the composite ESG KPI for the CEO/General Manager, and all relevant personnel, includes considerations and sub-objectives related to climate change.

The indicator of Financing Volumes with ESG characteristics disbursed towards targets is divided into sub-targets related to Green Volumes to support the decarbonisation strategy. More specifically, the percentage achievement indicator of the ESG programme includes:

· objectives related to the implementation of initiatives linked to the definition
of decarbonisation targets, the related climate transition plan and associated monitoring;

25 Key Staff members, those whose professional activities have or may have a material impact on the risk profile of the Bank or the Banking Group, identified as such by the Parent Company in accordance with the applicable legislative and regulatory provisions.

2024 ANNUAL REPORT - Sustainability Reporting

· implementation of actions to support the achievement and progressive structured
integration of climate and environmental risks into the broader risk management framework as well as credit standards and processes;

· structuring of the group ESG DB.

The ESG strategic roadmap indicator similarly includes the definition of strategies related to the decarbonisation approach and support for climate change. Similarly, business-specific indicators include considerations and sub-targets related to the climate change strategy.

Climate considerations are included in the scorecard within the plus percentage of ESG goal achievement (10%).

Approval and updating of incentive systems

The remuneration policies for 2024 were approved at the Shareholders' Meeting of 11 April 2024.

The responsibilities of each body relating to the approval and updating of incentive systems are set out below:

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| **Ordinary Shareholders' Meeting** | &nbsp;&nbsp;&nbsp;&nbsp; Article 13 of the Articles of Association assigns to the Ordinary Shareholders' Meeting the task of approving the remuneration and incentive policies and the plans based on financial instruments in favour of board directors, employees and other business partners - not bound by employment contracts - with the Bank.<br>Only if envisaged in the Articles of Association, the Supervisory Provisions also assign power to the Shareholders' Meeting, when approving the Group's remuneration and incentive policies, to decide on any changes to the limit of 1:1 (and at most 2:1) between the variable and fixed remuneration components<sup>26</sup>.<br>|
| **Board of Directors** | &nbsp;&nbsp;&nbsp;&nbsp; It is the task of the Board of Directors (Circular 285 and Articles 17 and 26 of the Articles of Association) to draw up and submit to the Shareholders' Meeting the remuneration and incentive policies and implement them once approved by the Shareholders' Meeting, primarily with regard to the remuneration of directors who hold special offices (including the Chief Executive Officer and the directors who are members of board committees) and of the General Manager (after hearing the opinion of the Board of Statutory Auditors).<br>The framework of the responsibilities of the Board of Directors in this regard, taking into account the indications of Circular 285 (37th Update - First Part, Title IV, Chapter 2, Section II, Roles and responsibilities of the shareholders' meeting and corporate bodies), also envisages that the Board:<br>· defines the remuneration and incentive systems for at least the following persons: executive directors; general managers; co-general mangers, deputy general mangers and similar figures; the heads of the main business lines, corporate functions or geographical areas; those who report directly to the bodies with strategic supervision, management and control functions; managers and personnel in charge of the company control functions. In particular, it ensures that these systems are consistent with the overall decisions of the Bank in terms of risk assumption, strategies, long-term objectives, corporate governance structure and internal controls.<br> · Furthermore, it ensures that the remuneration and incentive systems are suitable to guarantee compliance with legal, regulatory and statutory provisions as well as any codes of ethics or conduct, promoting the adoption of compliant behaviour.<br>|

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| 26 | At 31 December 2024, the Articles of Association of the Bank do not provide the right for the Shareholders' Meeting to resolve, at the time of approval of the remuneration and incentive policies, on any proposal by the Board of Directors to set a limit on the ratio between the variable and fixed components of individual remuneration higher than 1:1, in compliance with the limits indicated by the Supervisory Provisions in force. In the case of groups, the Shareholders' Meeting that is competent to decide on the proposal to set a limit of more than 1:1, is that of the bank in which the personnel to which the decision refers operates. The Parent Company may only vote in favour of the proposed limit increase submitted to the Shareholders' Meeting of a Group bank if the Group remuneration policy (approved by the Shareholders' Meeting of the Parent Company) allows Group banks to raise this limit or if the Shareholders' Meeting of the Parent Company has in any event voted in favour of such action. |

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| **Remuneration Committee** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Remuneration Committee, is responsible - also with the support of the Risk Management function, which sees the Chief Risk Manager involved as necessary in Remuneration Committee meetings - for expressing an independent opinion on remuneration policies and practices and for submitting proposals to the Board of Directors regarding remuneration of the figures whose remuneration structure, according to the Articles of Association, is decided solely by the Board of Directors.<br>The Remuneration Committee, pursuant to the current provisions of law and the Articles of Association, also carries out the following activities:<br>· periodically evaluates the criteria adopted for the remuneration of Managers with strategic responsibilities, supervising their application and making general recommendations on the matter to the Board of Directors (Articles of Association, art. 17, paragraph 4, letter a);<br>· directly supervises the correct application of rules on the remuneration of the managers of corporate control functions, in close cooperation with the body with control functions (Circular 285, 37th Update - First Part, Title IV, Chapter 2, Section II, Roles and responsibilities of the shareholders' meeting and corporate bodies);<br>· arranges preparation of the documentation to be submitted to the strategic supervisory body for related decisions (Circular 285, 37th Update - First Part, Title IV, Chapter 2, Section II, Roles and responsibilities of the shareholders' meeting and corporate bodies).  |

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The Compliance, Risk Management and Internal Audit functions ensure that remuneration policies comply with regulatory requirements and the commitments made to stakeholders, with particular attention paid to the proper management of customer relations, supporting the Human Resources function and corporate bodies in designing remuneration policies, intervening in their implementation to make them consistent with the Bank's risk appetite.

2024 ANNUAL REPORT - Sustainability Reporting

Statement on due diligence

The Group's due diligence process is fully integrated into its business model and the overall strategic framework adopted by the bank, although it does not constitute a separate, formalised procedure. This process includes steps to identify, manage, and report on current and potential negative impacts caused and contributed to by the Bank on the environment and people.

In particular, as part of the 2024 Double Materiality Analisys, the Bank identified for each topic, sub-topic and sub-sub-topic, material impacts, risks and opportunities. The material negative impacts identified are summarised below:

In detail, the core elements of due diligence are reflected in some of the disclosure requirements of ESRS 2 and the topical ESRSs, such as:

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|:---|:---|
| *Basic elements of the duty of care* | **References** |
| *Integration of duty of care into governance, strategy and business model* | **General information** - Roles and responsibilities of management bodies in exercising oversight of the process for managing material impacts, risks and opportunities<br> **General information** - Integration of sustainability-related performance in incentive schemes<br> **General information** - Step 2 - Identifying Impacts, Risks and Opportunities<br>|
| *Stakeholder Involvement* | **General information** - Step 3 - Assessing potentially material IROs and stakeholder engagement<br> **General information** - Roles and responsibilities of management bodies in exercising oversight of the process for managing material impacts, risks and opportunities<br>|
| *Identification and assessment of negative impacts on people and the environment* | **Climate change** - Impacts, risks and opportunities<br> **Workers in the value chain** - Impacts, risks and opportunities<br> **Consumers and end-users** - Impacts, risks and opportunities<br> **Business conduct -** Impacts, risks and opportunities <br>|
| *Measures to address negative impacts on people and the environment* | **Climate change** - Decarbonisation levers and key actions for reducing indirect emissions from the credit portfolio; Actions relating to own transactions; Climate change actions in relation to the downstream value chain<br> **Workers in the value chain** - Actions<br> **Consumers and end-users** - Privacy - Actions<br> **Business conduct** - Corporate culture - Actions <br>|
| *Monitoring the effectiveness of actions taken* | **Climate Change** - Transparency and monitoring progress Climate change targets on own operations Climate change targets in relation to the downstream value chain Metrics<br> **Workers in the value chain** – Objectives<br> **Consumers and end-users** – Privacy - Actions<br> **Business Conduct** - Corporate Culture - Objectives <br>|

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BANCA MONTE DEI PASCHI DI SIENA

Risk management and internal controls over sustainability reporting

The process of preparing the Sustainability Report is integrated into the financial reporting process and is the responsibility of the Sustainability and ESG Function, in interaction with the Bank/Group's various entities.

Under the organisational model, oversight of sustainability reporting regulations, the implementation and monitoring of related projects and coordination of disclosure preparation are centralised with the Parent Company.

The Group has adopted a model for carrying out controls on the Sustainability Report common to all Group Companies, according to the requirements in the Internal Control System (governed by Bank of Italy Circular no. 285/2013, Title IV Chapter 3 - *The Internal Control System)*, which provides for a structured and permanent organisation for controls, with effective procedures in place capable of promptly reporting the occurrence of anomalies.

This control model is based on the identification of:

· of the functions, identified within the Departments of Banca Monte dei Paschi
di Siena, responsible for carrying out direct line controls aimed at ensuring that the information provided for the purposes of preparing
sustainability reporting is complete, correct, reliable and timely. These functions, within the scope of their operations, ensure the
monitoring of compliance with regulatory principles of the sections of the sustainability report under their responsibility, through
the execution of first-level controls;

· the subsidiaries, belonging to the reporting perimeter, are responsible
for carrying out direct line controls aimed at ensuring that the information provided for the purposes of preparing sustainability reporting
and its compliance with regulatory requirements is complete, correct, reliable and timely. The Sustainability Reporting contribution is
subject to approval by the Board of Directors of the subsidiary;

· of the Sustainability and ESG Function, which annually performs, in compliance
with the requirements of the CSRD and the methodological document issued by EFRAG on the guidelines for the preparation of the materiality
analysis "IG1 Materiality Assessment Implementation Guidance *",* the double materiality analysis in order to identify
the so-called relevant data-points and subject of reporting, playing an active role in identifying, addressing and coordinating the definition
of Policies, Actions and Targets to be adopted; of the corporate control functions entrusted with control activities in their area of
responsibility include:

The Chief Risk Officer Department which, with reference to the management of ESG risk factors, i) integrates ESG risk factors into the risk management frameworks and the definition of the Group's risk appetite; **ii)** integrates information on ESG risk factors into its internal reporting on aggregated risks, thus enabling designated corporate bodies to make informed decisions; iii) carries out the risk materiality assessment on ESG risks and shares the results with the Sustainability Department

The Chief Compliance Executive Department that, within its scope of supervision and in compliance with the responsibilities assigned to the other second level Corporate Control Functions in the policy on the Internal Control System (D00793) i) supports the Board of Directors in order to ensure compliance with external national and European regulations; ii) assesses the possible impact of any changes in the sustainability-related legal and regulatory environment on the "Group's" activities and applicable compliance framework; iii) monitors and supervises the correct application of internal and external regulations on sustainability

- The Chief Audit Executive Department, with reference to ESG actions, policies and procedures, assesses the adequacy of the internal control system and safeguards in place to manage sustainability issues and ESG risk factors

· of the ICT Function, which oversees the process for the Information Technology
component, ensuring data integrity;

· the Financial Reporting Officer and the CEO express an opinion, in a compliance
statement, on the compliance of the Sustainability Report with the reporting standards applied pursuant to Directive 2013/34/EU of the
European Parliament and of the Council of 26 June 2013 and Legislative Decree no. 125 of 6 September 2024. It is also the subject of
certification that the Sustainability Report was drawn up in accordance with the specifications adopted pursuant to Article 8(4) of Regulation
EU 2020/852 of the European Parliament and of the Council of 18 June 2020.

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The **methodological approach** adopted at Group level for the verification activities carried out by the Law 262 Control Function in support of the certification by the **Financial Reporting Officer** is based on a **"mixed" operational model**.

This model envisages the adoption in a joint and complementary manner of an **analytical** approach (adequacy and effectiveness checks carried out directly by the Law 262 Control Function and acquisition of the results of the checks carried out by the other corporate Functions with control tasks) and a **synthetic** approach (check-list process and sub-certification by the Contributing Departments and Subsidiaries).

This approach makes it possible to mitigate the risks inherent in the Sustainability Reporting process, among which the risk of sustainability reporting not complying with the provisions of the above-mentioned external regulations, including with reference to the qualitative characteristics defined by ESRS1 (relevance, faithful representation, comparability, verifiability understandability), and the risk inherent in incomplete, incorrect data processing, storage and transfer.

After these controls have been completed, the **Financial Reporting Officer assesses the Internal Control System on Sustainability, Accounting and Financial Reporting, overall**, and defines the actions to mitigate the critical aspects detected, **formalised** in a **"Report for Issuing Certification"**.

The corporate control functions also report regularly to the administrative, management and control bodies (Board of Directors and Board of Statutory Auditors) on the results of the risk assessment and the internal control system relating to sustainability reporting, for areas under their responsibility.

These bodies also examine the Report for the issuing of certification by the Financial Reporting Officer, which formalises the results of the auditing of the internal control system relating to the process to prepare the financial statements and corporate accounting information, including sustainability reporting, for the purpose of issuing the relevant certification.

BANCA MONTE DEI PASCHI DI SIENA

Strategy, business model and value chain

Strategy

Consistent with its historical focus as a bank that revolves around the needs of families and the territories in which it operates, the Group recognises the connection between economic development, social development and environmental protection in order to generate sustainable value over time.

Our Purpose:

*The **good** of the **Customer** and the **Local areas** is our **guiding light***

is to build a future where the well-being of people, territories and sustainability are at the centre of our strategic decisions. Taking advantage of the opportunities arising from the transition to more sustainable practices, paying particular attention to climate change and environmental protection, consolidating the positivity of its social role, contributing to the development of its customers, the environment, local areas and society in which it operates and at the same time to the management of associated risks, are all essential factors for the purposes of the Group.

Therefore, the Group has always oriented its actions towards the creation of shared long-term value, combining technology and the human touch and business development and financial strength with social, environmental and governance sustainability.

![](tm2518026d1ex99-4img005.jpg)

With the growing importance of sustainability issues for all stakeholders and the related transparency, the Group has embarked on a path of progressive and structural integration of ESG factors into its corporate strategy and business model, voluntarily adhering to various sustainability initiatives and embracing the global objectives of international bodies aimed at preserving the planet, society and the interests of future generations.

2024 ANNUAL REPORT - Sustainability Reporting

The Group pursues the integration of ESG principles into its business strategy and activities with reference to the three dimensions of sustainability:

· Environmental Sustainability (E): definition of general
criteria, guidelines and measures that guarantee the reduction of the direct and indirect environmental impact of its activities, the
improvement of environmental performance indicators the alignment of the Group's strategy with the objectives of combating climate
change, financial support to customers for the transition to sustainable business models, the development of products and services consistent
also with the Sustainable Development Goals and with the Paris Agreement, as well as the management of climate and environmental risk
factors;

· Social Sustainability (S): Definition of general criteria, guidelines and
measures to ensure equity, access to services, wellbeing for all individuals within a society, while respecting cultural, economic and
social diversity. In this context, a key pillar is to ensure the well-being and respect for the talents of our people, promoting an inclusive,
skills-based working environment, professional growth and personal development as well as the dissemination of our sustainable culture.
This not only helps to preserve the environment, but also creates a deep connection with the community and our stakeholders;

· Governance Sustainability (G): definition of general
criteria, guidelines and measures to ensure the spread of our historic culture of sustainability in the organisation and of corporate
management inspired by good practices, increasing the level of awareness of the possible impacts that these issues may have on the Group's
operational processes and helping to create a deep connection with the community and our stakeholders and to preserve the environment.

Sustainability, an integral part of the strategy outlined by the Group, is further reinforced in the 2024-2028 Business Plan "A Clear and Simple Commercial Bank, Revolving Around Customers, Combining Technology With Human Touch", which develops the dimensions of Sustainability with reference to the Group's entire business and value chain.

As part of its Sustainability Strategy, the Group has identified actions to pursue its targets, including:

· In the **environmental field** by supporting the decarbonisation of its
own activities and its downstream value chain with:

- Accession to the Net Zero Banking Alliance (NZBA) in January 2022 and the definition of

» an approach to reduce the Group's direct environmental impacts externally with the goal of achieving net zero by 2030 (Scope 1 and 2 market-based),

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| | |
|:---|:---|
| » | a decarbonisation strategy for its investment portfolio based on CO<sub>2</sub> emission reduction targets for the financed sectors considered to be emission-intensive and with a high environmental impact, set on the basis of scientifically recognised long-term climate scenarios and the pursuit of the supporting **Transition** Plan. In this regard, the Group's commitment has been present since 2022, the date of accession to the NZBA, through, the formal introduction from 2023 of the Phasing-out from the coal sector (a target already achieved), the definition of NZBA targets, communicated externally, with transition plans for the first three priority sectors with high emission intensity (published in August 2023) supplemented with further targets, related to two other sectors considered as priorities (defined in February 2025) and the definition of management targets for non-priority sectors; |

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the Group's lack of direct operations in the fossil fuel (coal, oil and gas) and chemical production sectors and consequently not having revenues associated with these activities; the adoption, with reference to credit exposures, of **exclusion and/or** more restrictive criteria in the granting of loans to projects and counterparties characterised by particularly damaging impacts in terms of emissions and in terms of the consequences on the balance of ecosystems due to the use of coal and in favour of the gradual **abandonment of fossil fuels** and **unconventional oil and gas**. These criteria apply to the Electricity Production, Marketing and Distribution and Oil & Gas sectors;

the adoption of general minimum screening criteria in the evaluation process of counterparts and projects financed, consistent with the principles of the Code of Ethics and the overall environmental protection objectives. In this context, the Group therefore undertakes not to provide funding to counterparties and projects for which, during the evaluation phase, evidence emerges of a negative impact on World Heritage Sites (UNESCO), wetlands according to the Ramsar Convention and protected or sensitive areas for the preservation of biodiversity (IUCN Category I-VI Areas);

- supporting the transition of small and medium-sized enterprises to renewable energy sources with a special focus on the agrifood sector;

- enrichment of the offering of financing and investment, funding and insurance products in favour of climate change mitigation and to support the pursuit of global objectives related to other environmental issues;

For more details on the exclusion policies, restrictions applied by the Group, policies, actions and targets defined in the environmental field, please refer to the relevant Section 2 - Environmental Information.

BANCA MONTE DEI PASCHI DI SIENA

· In the **social area** by consolidating its role in supporting the transition
to a more equitable and inclusive society and by leveraging our people and network, the group's distinctive assets, with:

- the promotion of a work environment geared to ensuring wellbeing, safety, the development and enhancement of skills and the work-life balance, with the provision of specific programmes and paths also dedicated to the dissemination of corporate culture and Diversity and Inclusion issues;

the adoption, with reference to credit exposures, of more restrictive evaluation criteria when granting loans to projects and counterparties characterised by their harmful impacts on the welfare of individuals and society. These criteria apply to the areas of tobacco cultivation and production, gambling and controversial weapons;

the adoption of minimum general screening criteria in the evaluation process of counterparties and funded projects, consistent with the principles of the Code of Ethics and relevant international, European and national conventions such as the International Labour Organisation (ILO). In this respect, the Group is therefore committed to not disbursing loans to counterparties and projects if any elements should emerge that confirm a negative impact with regard to: violation of human rights and of health and safety regulations; violation of fundamental rights at work and of regulations on child labour and forced labour; fraud in financial and non-financial reporting, money laundering, corruption or terrorist financing; the non-presence of direct Group activities in the area of controversial weapons, tobacco cultivation and production, and gambling, and consequently the absence of any revenues associated with these activities;

- the offering of products dedicated to the Group's current and prospective customers in order to finance the transition of companies towards more equitable and inclusive business models;

- the offering of products dedicated to individuals and companies from disadvantaged sectors and categories together with financial education programmes.

For more details on the exclusion policies, restrictions applied by the Group, policies, actions and targets defined in the environmental field, please refer to the relevant Section 3 - Environmental Information.

· In **governance** through:

· the promotion of ESG culture within the Group through specific recurring
training sessions and through the provision of variable remuneration systems also linked to the achievement of ESG objectives;

· The adoption of credit policies and risk measurements that are increasingly
integrated with ESG evaluation and risk factors and consistent with overall strategic ESG objectives;

the further strengthening of ESG data quality and monitoring processes integrated into business processes to foster transparency on our ESG strategy as well as on the results of implemented actions. For more details on the defined policies, actions and targets, please refer to the relevant Section 4 - Governance Information of this Report.

In order to implement its strategy and the actions described above, to respond to regulators' indications (contained, for example, in the ECB Guidelines on Climate and Environmental Risks) and to voluntary commitments (Sustainable Development Goals, Principles for Responsible Banking, Net Zero Banking Alliance), the Group has therefore defined the initiatives to be developed with the aim of pursuing a structural integration of ESG factors in the business model, decision-making processes and commercial, lending and risk management strategies through a coordinated and integrated management of all the initiatives identified, given the high interdependence between them. All identified initiatives are reflected in the Sustainability Plan, approved by the Board of Directors and subject to annual update, and in the ESG Programme. This cross-functional programme has its own hierarchical, operational and monitoring structure that ensures overall consistency with the Group's ESG strategy and the achievement of ESG strategic objectives in line with the Group's Business Plan, while guaranteeing full compliance with relevant regulations. The Sustainability Plan identifies priority initiatives, deadlines and responsibilities to achieve the defined objectives in the medium to long term through actions that are concrete, measurable and can be monitored. These initiatives have mainly been set out in specific project areas, included in the ESG Programme, that allow for a consistent and structured implementation and effective monitoring. The top bodies are periodically informed of the progress and the Steering Committee - ESG session addresses any critical issues and identifies mitigating actions in case of deviation from the defined path.

For the purposes of this Report, the prospective information is used in accordance with the ESRS. Directors are required to prepare this information on the basis of assumptions, described in the specific sections of this document, about events that may occur in the future and about possible future actions by the Group. Because of the uncertainty associated to the realization of any future event, both in terms of the materialization of the occurrence and with regard to the extent and timing of its occurrence, deviations between actual values and the prospective information could be significant. For the purposes of this Report, the prospective information is used in accordance with the ESRS. Directors are required to prepare this information on the basis of assumptions, described in the specific sections of this document, about events that may occur in the future and about possible future actions by the Group. Because of the uncertainty associated to the realization

2024 ANNUAL REPORT - Sustainability Reporting

of any future event, both in terms of the materialization of the occurrence and with regard to the extent and timing of its occurrence, deviations between actual values and the prospective information could be significant.

Business model

Banca MPS is a commercial bank characterised by a business model strongly rooted in the reference territories, which combines the solidity and expertise of the branch network with an advanced digital platform in order to guarantee a hybrid customer experience and value in step with available technologies. Technological innovation and talented people are the pillars of this transformation, geared towards ensuring an efficient, personalised and accessible service. The value creation strategy consists of five key guidelines:

· the adoption of new service models focused on high value-added activities,
revolving around real needs, for private and business customers;

· the optimisation of the digital platform based on the interaction between
physical and digital channels pursuing high security standards and ensuring inclusive accessibility of services;

· and a "zero-based" approach to risk management, centred around
advanced analysis and monitoring tools;

· the development of "fee-based" products and services to diversify
revenue sources and strengthen the Bank's advisory role;

· the enhancement of loan products for households and the development of specific
solutions for SMEs, with a focus on sustainability and innovation;

The main inputs of the business model include financial resources, technology, digital infrastructure, and specialised expertise. These inputs are collected through a network of suppliers and partners selected on the basis of reliability and security criteria laid down in the Group's policies.

Thanks to this vision, the Group remains a reference point for customers and communities, with a sustainable, resilient and long-term growth-oriented business model.

The Group does business primarily in Italy, mainly providing traditional retail & commercial banking services. The Group is also active in business areas such as factoring, corporate finance and investment banking. The insurance-pension sector is covered by a strategic partnership with AXA while asset management activities are based on the offer of investment products of independent third parties. More specifically, the Group, which as at 31 December 2024 employed 16,727 active human resources, operates in several strategic areas of the financial sector, with a wide range of products and services, mainly targeting the following consumer groups:

· **Retail:** individuals and households, offered savings solutions, investment products, mortgages, personal
loans and innovative payment instruments.

·  ***Private Banking:*** individuals with significant assets, offered
customised asset management services and advanced financial advice.

· **Companies:** small, medium and large companies, offered financing services,
cash management, leasing, factoring and dedicated insurance products.

·  ***Large Corporate:*** large companies for which a customised commercial
offering is envisaged, characterised by high value-added financial services, lending, funding and operational flow management operations.

The commercial offering for individuals and companies has been expanded over time with ESG products aimed at fostering sustainable practices. These fall into three main categories:

·  ***Sustainability Linked Loan:*** financial products that incentivise
the customer's achievement of ambitious and set goals in terms of sustainability performance.

·  ***Green/Social Loan:*** loans intended exclusively for the financing
or refinancing of new and/or existing projects with a green or social purpose.

· **Taxonomy Aligned Loan:** a special type of Green Loan intended exclusively
for the financing or refinancing of new and/or existing projects that comply with the principles and technical requirements of the European
Taxonomy.

BANCA MONTE DEI PASCHI DI SIENA

These products were developed consistent with the main reference guidelines, such as the Loan Market Association's (LMA) Green and Sustainable Lending Glossary of Terms and the EU Taxonomy EU Regulation 2020/852).

The offering of savings insurance products also evolved during the year thanks to the revision of the funds / open-end investment company (SICAV) combined with unit-linked and multi-segment policies, also characterised by the inclusion of additional solutions in the ESG segment.

In the **E-money** sector, the Group extended the audio guide function of the Bank's ATMs to cover cards on the international circuit. This innovation allows blind or visually impaired customers to access main functions, such as querying current account balances and movements and withdrawals. The enabling of the Google Pay and Apple Pay digital payment wallets was also extended to credit cards issued by Banca Widiba.

The business model is therefore pervaded transversally by sustainability objectives and logics, identifying, for the various areas of activity, indicators, targets and processes that are adequate and consistent with the sustainability strategies described above, assisted by appropriate cascading and monitoring mechanisms that guarantee the achievement of the expected results, confirming the Group's commitment to a sustainable growth model, responding to the needs of the various customer segments and contributing to the creation of long-term value.

For more details on the range of products and services that support sustainable practices, see the relevant Sections 2 - Environmental Information and Section 3 - Social Information of this Report.

For further details on the Group overview, customer assets and distribution channels, please refer to the relevant sections in the Consolidated report on Operation.

Value chain

The Group value chain can be broken down into two main segments: upstream and downstream, which together describe the processes and players involved in the Group's creation of value.

![](tm2518026d1ex99-4img006.jpg)

The Group's position within the value chain is mainly related to the provision of financial services, but also to the support of companies and individuals, acting as an intermediary between the various economic actors and consequently linking capital providers with companies and individuals by offering financial solutions and services.

2024 ANNUAL REPORT - Sustainability Reporting

Upstream Segment

The upstream segment groups the players involved and the processes aimed at collecting the resources needed to carry out business operations. In other words, upstream actors provide the functional products and services for the development and delivery of the Group's products and services.

In detail, the main players in the Upstream segment of the value chain include:

**Suppliers:** include providers of operational and infrastructure services (provision of hardware and software, electricity and gas supply, maintenance and management of real estate), technology and digital services (providers of IT systems and digital infrastructure), technology providers to support banking infrastructure, such as payment systems, online platforms, risk management software, financial and insurance services (services aimed at financial risk management, insurance of corporate assets, and legal, tax and advisory services), logistics and administrative services, and outsourcing services for non-core activities.

**Business partners**: the Group works with several strategic business partners, whose services and expertise help to complete and enrich the offering. Specifically, these partners offer the following main types of products and services:

· Insurance policies (life, non-life and credit-related insurance) for private and corporate customers;

· Insurance advisory services offering customised asset protection and savings solutions;

· Payment and card services including prepaid cards, contactless payment solutions, international payments
and real-time transactions through the provision of electronic payment systems (e.g. SEPA<sup>27</sup> and Swift<sup>28</sup>) and *mobile payment systems*;

· Promotion of real estate financing through partnerships with real estate agencies and real estate companies.

**Non-commercial partners**: the Group is part of a framework of cooperation with associations and public financial institutions to foster the country's economic growth and financial stability. In this context, it is active in the management of public funds and financing for economic and infrastructure development projects, in the placement of government bonds as well as in the support of regional development policies and interventions linked to government programmes, such as European funds or financing for digitalisation and sustainability.

Downstream Segment

The downstream segment groups together the players involved and the business processes, as well as the related support processes aimed at operations involving the direct provision of banking services, the distribution of financial products, customer relationship management, loan disbursement and the finalisation of investments.

The main actors involved in the downstream value chain include:

**Customers:** the customer category includes both parties from whom the Group raises capital (funding) and parties to whom the bank provides financing (customers).

**Distributors:** included in the aggregate are financial advisors, financial agents, credit brokers and reporters.

27 Single Euro Payments Area

28 Society for worldwide interbank financial telecommunication

BANCA MONTE DEI PASCHI DI SIENA

Double materiality analysis

Over the past few years, the double materiality analysis, consistent with the evolution of the concept of sustainability, has become increasingly important, requiring the gradual integration of sustainability considerations into corporate strategies, risk management and investment decisions of companies. Being a core activity for the Group, the methodologies were consequently changed to ensure resilience and long-term sustainability.

In 2022, the impact analysis methodology was introduced to replace the previous Single Materiality methodology and in 2023, the first reflections on Double Materiality were introduced*,* consistent with the GRI Standards<sup>29</sup>. Subsequently, in the course of 2024, a new methodology for the double materiality analysis was introduced, aligned with the regulatory requirements of the *European Sustainability Reporting Standards* (ESRS), reference guidelines and internal Group developments.

The double materiality analysis was carried out, consistent with the reference standards, according to **impact materiality** logics, through the evaluation of the positive and negative, current and potential impacts that the company generates on society, the economy and the surrounding environment linked to the performance of its activities and its business relations, and of **financial materiality**, through the evaluationof risks and opportunities that have, or are expected to have, material financial effects on the Group or on its financial position, economic result, cash flows, access to financing and cost of capital. This process was developed in line with the Group's business context and through active engagement with stakeholders.

According to the above-mentioned approach, a sustainability issue is considered material when it meets the criteria of impact relevance or financial relevance, or both. The results of the analyses conducted and, consequently, the issues found to be material contribute to further consolidating and finalising the Group's strategy and related operational processes, managed through the development of specific policies, actions and objectives, as detailed in the dedicated sections.

To determine the materiality of impacts, risks and opportunities, the Group has adopted a structured decision-making process consisting of the steps detailed below:

· <u>Step 1 - Understanding the organisation's context and defining the boundary</u>: this step includes a review of the Group's own activities, business relations and the context in
which they take place;

· <u>Step 2 - Identifying potentially material impacts, risks and opportunities (hereinafter also IROs)</u>: this step consists in mapping the positive and negative, actual and potential impacts
on the reference context (e.g. people, environment, economy) and the risks and opportunities generated by the external environment;

· <u>Step 3 - Assessing potentially material IROs and stakeholder engagement</u>: this step takes the form of ananalysis based on qualitative-quantitative metrics aimed at identifying material
impacts, risks and opportunities for the Group. The Group's internal structures (hereinafter also referred to as Stakeholder Management)
and external stakeholders (hereinafter also referred to as Stakeholder Engagement) are involved in conducting and validating the analyses;

· <u>Step 4 - Identifying and validating material topics</u>:
this step consists in aggregating the findings resulting from the assessment of impacts, risks and opportunities in order to define which
of the areas defined by the regulations are material for the Group, as well as their sharing and approval by the control bodies.

Step 1 - Understanding the context

Understanding the context consists of identifying the scope of the Group's own activities, business relationships and the context in which they take place, and defining the necessary inputs for identifying impacts, risks and opportunities. Consistent with regulatory requirements and reference guidelines<sup>30</sup>, the context analysis was conducted considering:

· The Group's strategy set out in the 2024-2028 Business Plan and its
objectives;

· Material issues assessed by analysts, investors and
rating agencies and feedback received through face-to-face interviews and (unsolicited) questionnaires from leading ESG rating agencies;

· The contextual elements related to the mapping of Italy's
environmental, social and economic needs identified during the analysis in keeping with the Principles for Responsible Banking guidelines
and Italy's positioning on the path towards achieving the Sustainable Development Goals (SDGs) and the EU recommendations to Member
States on the actions to be implemented to achieve the 2030 Agenda;

· International, European and national regulations (Taxonomy<sup>31</sup>,
ESRS Standards<sup>32</sup>, CSRD<sup>33</sup>, Regulation 2019/2088<sup>34</sup>, ECB Guidelines on Environmental and Climate Risk Management,
etc.)

29 GRI (Global Reporting Initiative) Universal Standards (2021)

30 Commission Delegated Regulation (EU) 2023/2772 of 31 July 2023 and the EFRAG Guidelines (EFRAG IG 1: Materiality Assessment Implementation Guidance

31 EU Regulation 2020/852

32 Delegated Regulation (EU) 2023/2772

33 Directive No. 2022/2464

34 Regulation (EU) 2019/2088 of the European Parliament and of the Council of 27 November 2019 on sustainability reporting in the financial services sector

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· Internal regulations on sustainability issues (e.g.
Sustainability and ESG Directive, Environmental Policy, Inclusion Plan and Rules);

· The benchmark analysis carried out on the banking sector
in relation to material aspects and relevant stakeholders (Sustainability Report/Consolidated Non-Financial Statements and further public
documentation of other national and international financial groups).

Based on the aforementioned analysis, the Group defined the boundary for the double materiality assessment, including activities, resources and relationships that are part of its value chain broken down as follows:

·  ***Own Operations:*** the company's own operations, such as
human resources;

·  ***Upstream Value Chain:*** procurement processes, such as the purchase
of materials and services;

·  ***Downstream Value Chain:*** marketing and distribution processes,
such as the sale of products and services.

Step 2 - Identifying Impacts, Risks and Opportunities

An effective identification of potentially material impacts, risks and opportunities with reference to short-, medium- and long-term time horizons cannot disregard an understanding of the internal and external dynamics that may affect the business, while providing a clear view of emerging challenges and opportunities, constituting a key step in guiding the review of processes, policies and objectives. A proactive approach to managing impacts, risks and opportunities improves the Group's resilience and fosters positive contributions to communities and the environment. It also requires an assessment of market trends, social, economic and regulatory dynamics and the expectations of the parties, the characteristics of the Bank's activities and the type of customers it serves and their expectations and needs.

The Group has identified its impacts - actual and potential, positive and negative - on the reference context, including on human rights, risks and opportunities considering the maximum level of granularity of the issues defined by the ESRS (i.e. Sub-Topics and Sub-Sub-Topics, where available), without proceeding to identify entity-specific issues. These IROs were also brought within the scope of the value chain).

In the process adopted for mapping IROs, the Group identified the following connections among impacts, risks and opportunities:

· an impact related to initiatives linked to the non-profit
sector (e.g. community support initiatives) could contribute, with reference to opportunities, to improving the Group's brand reputation
and/or increase stakeholders' trust;

· an impact related to ESG financing strategies could
favour, with reference to opportunities, the expansion of product offerings through the development of solutions aligned with sustainability
goals;

· an impact related to financing in sectors potentially
exposed to ESG issues could generate financial risks (e.g. Credit Risk, Market Risk) resulting from such a significant concentration.

Step 3 - Assessing potentially material IROs and stakeholder engagement

Each impact, risk and opportunity was analysed using qualitative and quantitative information, taking into account the assessments developed as part of the contextual understanding and engagement process of internal and external stakeholders.

If a quantitative approach is adopted to determine the relevance of the identified IROs, the data required for the analyses are collected consistent with the Group's specific business aspects, existing processes and actual availability of information. If, on the other hand, the qualitative approach is adopted, the assessment of the relevance of IROs is based on the analysis of internal initiatives, policies and strategies implemented or planned by the Group.

The engagement of stakeholders, both internal and external, is also envisaged in the consolidation stage of the IRO assessment conducted.

**Assessing potentially material Impacts**

The assessment of impacts involved the use of the following metrics defined in relevant legislation:

· Entity: the severity of the impact, in the case of a
negative impact, or the extent of the benefit from the impact, in the case of a positive impact;

· Extension: the spread or extent of the impact;

· Irreparability: this metric, applicable to negative
impacts only, indicates how complex it is to remedy the damage resulting from the impact or to neutralise that negative impact;

· Probability: this metric is to be assessed only with
reference to potential impacts and indicates how likely it is that an impact will be generated in a given period of time.

BANCA MONTE DEI PASCHI DI SIENA

Materiality is identified by scoring the above metrics as described below:

· The relevance of positive actual impacts is given by the significance (average
of the Scale and Scope) according to a certain threshold;

· The relevance of actual negative impacts is given by the significance (average
of Scale, Scope and Irreparability) based on a given threshold;

· The relevance of potential positive impacts is given by the significance
(average of Scale and Scope) and probability based on a given threshold;

· The relevance of potential negative impacts is given by the significance
(average of Scale, Scope and Irreparability) based on a given threshold.

In order to promote the comparability and transparency of information, consistent with the requirements of the reporting standard, the materiality threshold for the sustainability statement was set to include all topics that had an impact rating of more than 3.

After conducting the materiality assessment, material impacts on the Group from both its own activities and its business relations were identified.

**Assessing Potentially Material Risks and Opportunities**

Within the framework of financial materiality, risks and opportunities are analysed taking into account the specific characteristics of the Group's financial intermediation activity. In particular, the risks identified are assessed in accordance and in line with the traditional risk management and monitoring system currently adopted by the Group and the regulations in force. Each risk is detailed, where relevant, with reference to the sustainability topic examined, considering it at the highest level of detail envisaged by relevant legislation (so-called Sub-Sub-Topic). Opportunities, on the other hand, are identified and analysed taking into account the ESG initiatives, policies and strategies adopted by the Group that could lead to an expansion in the product offering and customer portfolio, a strengthening of the brand reputation and an increase in stakeholder trust, as well as the ability to attract new talent.

Risks and opportunities are analysed, considering the specific aspects of the Group's core business activities, on the basis of assessment parameters defined by ESRS: the magnitude*,* which measures the potential magnitude of financial effects associated with risks or opportunities*,* and the probability of occurrence*,* which measures the likelihood that a financial risk or opportunity will materialise.

In order to assess the magnitude and likelihood associated with the identified risks and opportunities, consistent with the EFRAG Guidelines<sup>35</sup>, qualitative and quantitative analyses and metrics already present within the Group have been taken into account, supplementing them, where necessary, with additional assessments, which are assigned a score, with a scale of 1 to 5, in order to assess and prioritise them. The final score is derived from the average of the above-mentioned magnitudes and, for the purposes of the sustainability statement, all risks and opportunities with a rating above 3 were considered material.

The risk materiality assessment was conducted by adopting, where possible, estimates and assessments made by the Group as part of its ordinary risk analysis activities. These analyses included the assessment, where appropriate, of the Group's exposure in terms of current and prospective assets or costs, adopting an inherent risk logic in line with the guidelines. Internal and well-established approaches, metrics and methodologies within the Group were appropriately supplemented with additional analyses, to bring them into line with the greater granularity required by the CSRD.

With regard to opportunities, on the other hand, the assessment of the financial effects was based on the current and prospective impacts related to the provision of specific products within the scope of the topics investigated.

**Stakeholder Engagement**

The Group's engagement with stakeholders is a crucial step of the double materiality assessment; through an ongoing dialogue with stakeholders, it allows for a deeper understanding of industry trends, expectations related to social, environmental and governance aspects, significant impacts related to the Group's business and its value chain, and to gather Stakeholder perceptions also on risks and opportunities related to sustainability issues for financial institutions and the Group, in a flexible and customised way.

The priority Stakeholder categories for the Group, i.e. those whose interests could be or are positively or negatively affected by the Group's activities, were identified based on the characteristics of the business, the business context, the sustainability strategy and initiatives undertaken and the main sustainability trends and evolutions in the global context, and according to a two-pronged approach:

35 "EFRAG IG 1: Materiality Assessment Implementation Guidance"

2024 ANNUAL REPORT - Sustainability Reporting

· Stakeholder Management: is based on involving, through interviews, the Group's
internal structures that maintain an ongoing dialogue with relevant stakeholders in order to identify and assess the relative impacts,
risks and opportunities. With this approach, the customers, employees and suppliers of the Group were indirectly involved;

· Stakeholder Engagement: is based on the direct involvement, through one-to-one
interviews, of external Stakeholders, in order to assess and share the relevance of the impacts, risks and opportunities identified by
the Group. Stakeholders from academia, sustainability associations and associations representing the Group's customers were involved
in one-to-one interviews during 2024.

The issues discussed with individual stakeholders relate to the sustainability aspects addressed in the relevant ESRS. Stakeholder engagement allows the Group to gather input and new points of view closely related to its operations and has helped support the process of assessing and consolidating the relevance of sustainability issues, integrating analyses conducted on the basis of data available within the Group and externally on the basis of benchmarking activities and the analysis of regulatory developments.

Step 4 - Identifying and validating material topics

The relevance of sustainability issues was determined in a manner consistent with relevant regulations. In particular, if at least one impact, risk or mapped opportunity is material to the analysis area, that issue is material to the Group.

The following is a list of the sustainability issues found to be material for the Group:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | **Materiality Outcome** | **Materiality Outcome** | **Materiality Outcome** |
| <br>**Topic** | <br>**Sub/Sub sub topic** | **Impacts** | **Risks** | **Opportunities** |
| **E1- Climate change** | Climate Change Adaptation | Ö | Ö | X |
|  | Climate Change Mitigation | Ö | Ö | Ö |
|  | Energy | Ö | Ö | Ö |
| **E5– Circular Economy** | Resource outflows related to products and services | X | X | Ö |
| **S1 - Own workforce** | Secure employment | Ö | X | Ö |
|  | Working time | Ö | X | Ö |
|  | Adequate wages | Ö | X | Ö |
|  | Social dialogue | Ö | X | Ö |
|  | Freedom of association/ Collective bargaining | Ö | X | Ö |
|  | Work-life balance | Ö | X | Ö |
|  | Health and safety | Ö | X | Ö |
|  | Gender equality and equal pay for work of equal value | Ö | X | Ö |
|  | Training and skills development | Ö | X | Ö |
|  | Employment and inclusion of persons with disabilities | Ö | X | X |
|  | Measures against violence and harassment in the workplace | Ö | X | Ö |
|  | Diversity | Ö | X | Ö |
|  | Privacy | Ö | X | X |
| **S2 – Workers in the value chain** | Secure employment | Ö | X | X |
|  | Working time | Ö | X | X |
|  | Adequate wages | Ö | X | X |
|  | Social dialogue | Ö | X | X |
|  | Freedom of association/ Collective bargaining | Ö | X | X |

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| | | | |
|:---|:---|:---|:---|
| Work-life balance | Ö | X | X |
| Health and safety | Ö | X | X |
| Child labour | Ö | X | X |
| Forced labour | Ö | X | X |
| Privacy | Ö | X | X |

---

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| | | | |
|:---|:---|:---|:---|
| **S3 – Affected communities** | Land-related impacts | X | Ö |
| **S4 – Consumers and end users** | Privacy | Ö | Ö |
|  | Freedom of expression | X | Ö |
|  | Access to (quality) information | X | X |
|  | Health and safety | X | X |
|  | Non-discrimination | X | X |
|  | Access to products and services | X | Ö |
|  | Responsible marketing practices | X | X |
| **G1 – Business Conduct** | Corporate culture | Ö | X |
|  | Protection of whistle-blowers | X | Ö |
|  | - Prevention and detection including training <br> - Incidents | X | X |

---

The details of the IROs identified as material for the Group, their reference time horizons and the relative scope of materiality are described in the following chapters devoted to the individual ESRS standards of reference.

In this context, the resilience of the Group's strategy and business model is reflected in its ability to deal with material risks and impacts that have arisen, as well as to take advantage of identified opportunities. This resilience is ensured by the consistency of the analyses performed in the context of the double materiality assessment with Stakeholder Engagement activities, with the 2024-2028 Business Plan and with the analyses of the impact of ESG risk factors on the intermediary's traditional risks**.**

The process adopted for the purpose of conducting the double materiality assessment has a greater degree of detail than the analysis presented in the '2023 Consolidated Non-Financial Statement'. This is because the mapping and assessment of impacts, risks and opportunities was conducted in accordance with regulatory requirements and CSRD disclosure guidelines. In addition to a more granular identification of the sustainability issues being addressed, the new standards also in fact require the assessment of risks and opportunities.

**Validation of material topics**

The process of mapping and assessing impacts, risks and opportunities was shared and consolidated by the competent Group Entities through the Stakeholder Management process mentioned above. After conducting the materiality assessment, the list of issues found to be material for the Group was shared with the Group's management in the ESG session of the Management Committee, the Risk and Sustainability Committee, the Board of Statutory Auditors and the Board of Directors.

2024 ANNUAL REPORT - Sustainability Reporting

**In-depth study of non-material topics**

Following the analyses conducted, the following issues were found not to be material for the Group:

● ESRS E2 - Pollution

<sub> </sub>

● ESRS E3 - Marine Waters and Resources

<sub> </sub>

● ESRS E4 - Biodiversity and ecosystems

The assessment of the above standards and related sustainability issues is consistent with the approach described in section "1. Double Materiality Assessment". In particular, the IROs mapped with reference to own operations and the upstream and downstream value chain were assessed using qualitative-quantitative approaches that also included one-to-one comparisons with experts in the areas under investigation and the use of consolidated internal analyses.

In particular, with reference to the E2 standard, the assessment of impacts focused on the Group's negative contribution, in the downstream value chain, to air, water and soil pollution through financing and investment in companies with less structured controls in this area. Operational and Reputational Risk arising from the absence of robust controls to prevent potential pollution events with reference to the Group's own operations and Credit, Market and Liquidity Risks arising from the high exposure to similar possible risks with reference to counterparties were also analysed. The analysis of opportunities, on the other hand, focused on the potential expansion of the product range in order to meet the needs of counterparties.

As regards the E3 standard, the Group's potential inefficient use of water in Own Operations was analysed, against a lack of internal policies and corporate strategies aimed at the responsible use of water. With reference to the downstream value chain, the possible contribution to wasting water resources and causing damage from discharges through financing and investment to companies with less structured controls in this area was assessed. The Operational and Reputational Risk arising from non-virtuous behaviours regarding water resources by the Group and Credit, Market and Liquidity Risks arising from the high exposure to similar potential counterparty risks were also assessed. The analysis of opportunities, on the other hand, focused on the potential expansion of the product range in order to meet the needs of counterparties.

Lastly, with regard to the E4 standard, the negative contribution to the impact on biodiversity was analysed, with reference to own operations, through the presence of branches and operating sites in areas characterised by a significant biodiversity heritage, and the positive contribution to the reference ecosystems through the definition of internal policies and initiatives aimed at combating climate change, over-exploitation of land and species, and the introduction of animal and plant species that can threaten the balance of ecosystems. With reference to the downstream value chain*,* the contribution to biodiversity loss was assessed through the process of providing credit to companies operating in sectors with potential direct negative impacts on biodiversity, the abundance of a species and the general conditions of an ecosystem. With regard to risks, the Operational and Reputational Risk arising from the absence of safeguards against possible climate change events and the risk of species extinction and the Credit, Market and Liquidity Risks arising from the high or possible high exposure to potential risks in this area with regard to these counterparties were analysed. The analysis of opportunities, on the other hand, focused on the potential expansion of the product range in order to meet the needs of counterparties.

The financial materiality assessment relating to environmental issues, according to E2, E3 and E4, did not reveal any risk elements deemed material for reporting purposes.

The analysis was carried out considering the Group's exposure to direct environmental risks (related to its own operations) and indirect environmental risks (i.e. arising from the upstream and downstream value chain) in the value chain.

Through its own risk assessment activities, the Group carefully monitors any aspects that could involve it in the above issues and has put in place prudential safeguards, in order to constantly monitor and address any anomalous aspects, also by identifying internal risk thresholds related to environmental issues that will be constantly monitored in the Group's 2025 Risk Appetite Statement (RAS). In particular, two specific KRIs have been defined that will be monitored in the 2025 RAS relating to E-non-climate Transition Risk and E-non-climate Physical Risk and the corresponding operational limits on the overall exposure to these risks of the Group's non-financial corporate portfolio (Downstream Value Chain).

While we do not therefore see any specific risk elements that need to be represented and reported here, the Group's particular attention to and awareness of environmental issues is noted, which is also reflected, as described above, through a dedicated framework for monitoring potential related risks. For more information, see Part E of the Notes.

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**Table of Contents**

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| | | | |
|:---|:---|:---|:---|
| **Section** | **ESRS topic** | **Duty of disclosure** | **Page number** |
| Section 1 -<br> General information | ESRS 2<br> General information | BP-1 - General basis for the preparation of sustainability statements | 124 |
| Section 1 -<br> General information | ESRS 2<br> General information | BP–2 - Disclosure in relation to specific circumstances | 124 |
| Section 1 -<br> General information | ESRS 2<br> General information | GOV-1 The role of the administrative, management and supervisory bodies | 125 |
| Section 1 -<br> General information | ESRS 2<br> General information | GOV-2 Information provided to and sustainability matters addressed by the undertaking's administrative, management and supervisory bodies | 125 |
| Section 1 -<br> General information | ESRS 2<br> General information | GOV-3 - Integration of sustainability-related performance in incentive schemes | 130 |
| Section 1 -<br> General information | ESRS 2<br> General information | GOV-4 - Statement on due diligence | 134 |
| Section 1 -<br> General information | ESRS 2<br> General information | GOV-5 - Risk management and internal controls over sustainability reporting | 136 |
| Section 1 -<br> General information | ESRS 2<br> General information | SBM-1 - Strategy, business model and value chain | 137 |
| Section 1 -<br> General information | ESRS 2<br> General information | SBM-2 - Interests and views of stakeholders | 144 |
| Section 1 -<br> General information | ESRS 2<br> General information | SBM-3 Material impacts, risks and opportunities and their interaction with strategy and the business model | 144 |
| Section 1 -<br> General information | ESRS 2<br> General information | IRO-1 Description of the process to identify and assess material impacts, risks and opportunities | 144 |
| Section 1 -<br> General information | ESRS 2<br> General information | IRO-2 Disclosure requirements in ESRS covered by the undertaking's sustainability statement | 144 |

---

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| | | | |
|:---|:---|:---|:---|
| **Section** | **ESRS topic** | **Duty of disclosure** | **Page number** |
| Section 2 - Environmental information | E1 Climate change | ESRS 2 GOV-3 - Integration of sustainability-related performance in incentive schemes | 130 |
| Section 2 - Environmental information | E1 Climate change | ESRS 2 SBM-3 Material impacts, risks and opportunities and their interaction with strategy and the business model | 157 |
| Section 2 - Environmental information | E1 Climate change | ESRS 2 IRO-1 Description of the processes to identify and assess material impacts, risks and opportunities | 156 |
| Section 2 - Environmental information | E1 Climate change | E1.1 - Transition plan for climate change mitigation | 158 |
| Section 2 - Environmental information | E1 Climate change | E1-2 Policies related to climate change mitigation and adaptation | 162 |
| Section 2 - Environmental information | E1 Climate change | E1-3 Actions and resources in relation to climate change policies | 164 |
| Section 2 - Environmental information | E1 Climate change | E1-4 Targets related to climate change mitigation and adaptation | 168 |
| Section 2 - Environmental information | E1 Climate change | E1-5 Energy consumption and mix | 175 |
| Section 2 - Environmental information | E1 Climate change | E1-6 Gross Scope 1, 2, 3 and total GHG emissions | 177 |
| Section 2 - Environmental information | E1 Climate change | E1-7 GHG removals and GHG mitigation projects financed with carbon credits | 185 |
| Section 2 - Environmental information | E1 Climate change | E1-8 Internal carbon pricing | Not applicable. |
| Section 2 - Environmental information | E1 Climate change | E1-9 Anticipated financial effects from material physical and transition risks and potential climate-related opportunities | Phased-in |
|  | E5 Resource use and circular economy | ESRS 2 IRO-1 Description of the processes to identify and assess material resource use and circular economy-related impacts, risks and opportunities | 188 |
|  | E5 Resource use and circular economy | E5-1 Policies related to resource use and circular economy | Not applicable. |
|  | E5 Resource use and circular economy | E5-2 Actions and resources related to resource use and circular economy | Not material |
|  | E5 Resource use and circular economy | E5-3 Targets related to resource use and circular economy | Not applicable. |
|  | E5 Resource use and circular economy | E5-4 Resource inflows | Not material |
|  | E5 Resource use and circular economy | E5-5 Resource outflows | Not material |
|  | E5 Resource use and circular economy | E5-6 Anticipated financial effects from resource use and circular economy-related impacts, risks and opportunities | Phased-in |

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| | | | |
|:---|:---|:---|:---|
| **Section** | **ESRS topic** | **Duty of disclosure** | **Page number** |
| Section 3 - Social Information | S1 Own workforce | ESRS 2 SBM-2 Interests and views of stakeholders | 144 |
| Section 3 - Social Information | S1 Own workforce | ESRS 2 SBM-3 Material impacts, risks and opportunities and their interaction with strategy and the business model | 189 |
| Section 3 - Social Information | S1 Own workforce | S1-1 Policies related to own workforce | 190 |
| Section 3 - Social Information | S1 Own workforce | S1-2 Processes for involving own workers and workers' representatives on impacts | 207 |
| Section 3 - Social Information | S1 Own workforce | S1-3 Processes to remediate negative impacts and channels for workers to raise concerns | 190 |
| Section 3 - Social Information | S1 Own workforce | S1-4 Taking action on material impacts on own workforce, and approaches to managing material risks and pursuing material opportunities related to own workforce, and effectiveness of those actions | 192 |
| Section 3 - Social Information | S1 Own workforce | S1-5 Targets related to managing material negative impacts, advancing positive impacts, and managing material risks and opportunities | 205 |
| Section 3 - Social Information | S1 Own workforce | S1-6 Characteristics of the undertaking's employees | 209 |
| Section 3 - Social Information | S1 Own workforce | S1-7 - Characteristics of non-employees in the enterprise's own workforce | 210 |
| Section 3 - Social Information | S1 Own workforce | S1-8 - Collective bargaining coverage and social dialogue | 210 |
| Section 3 - Social Information | S1 Own workforce | S1-9 - Diversity Metrics | 211 |
| Section 3 - Social Information | S1 Own workforce | S1-10 - Adequate wages | 211 |
|  |  | S1-11 - Social protection | 211 |
|  |  | S1-12 - Persons with disabilities | 212 |
|  |  | S1-13 - Training and skills development metrics | 213 |
|  |  | S1-14 Health and safety | 214 |
|  |  | S1-15 Work-life balance | 215 |
|  |  | S1-16 Remuneration metrics (pay gap and total remuneration) | 215 |
|  |  | S1-17 - Incidents, complaints and severe human rights impacts | 216 |
|  | S2 Workers in the value chain | ESRS 2 SBM-2 Interests and views of stakeholders | 144 |
|  | S2 Workers in the value chain | ESRS 2 SBM-3 Material impacts, risks and opportunities and their interaction with strategy and the business model | 219 |
|  | S2 Workers in the value chain | S2-1 Worker-related policies in the value chain | 220 |
|  | S2 Workers in the value chain | S2-2 Process of involving workers in the value chain on impacts | 224 |
|  | S2 Workers in the value chain | S2-3 Processes to remediate negative impacts and channels for workers in the value chain to raise concerns | 224 |
|  | S2 Workers in the value chain | S2-4 Actions on material impacts for workers in the value chain and approaches for the management of relevant risks and the achievement of relevant opportunities for workers i n the value chain, as well as the effectiveness of these actions | 222 |
|  | S2 Workers in the value chain | S2-5 Targets related to managing material negative impacts, advancing positive impacts, and managing material risks and opportunities | 23 |
|  | S3 Affected communities | ESRS 2 SBM-2 Interests and views of stakeholders | 144 |
|  | S3 Affected communities | ESRS 2 SBM-3 Material impacts, risks and opportunities and their interaction with strategy and the business model | 226 |
|  | S3 Affected communities | S3-1 Policies related to affected communities | 227 |
|  | S3 Affected communities | S3-2 Processes for engaging with affected communities about impacts | 226 |
|  | S3 Affected communities | S3-3 Processes to remediate negative impacts and channels for affected communities to raise concerns | 226 |

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| | | | |
|:---|:---|:---|:---|
| Section 3 - Social Information | S3 Affected communities | S3-4 Taking action on material impacts on affected communities, and approaches to managing material risks and pursuing material opportunities related to affected communities, and effectiveness of those actions | 223 |
| Section 3 - Social Information | S3 Affected communities | S3-5 Targets related to managing material negative impacts, advancing positive impacts, and managing material risks and opportunities | Not applicable |
|  | S4 Consumers and end-users | ESRS 2 SBM-2 Interests and views of stakeholders | 144 |
|  | S4 Consumers and end-users | ESRS 2 SBM-3 Material impacts, risks and opportunities and their interaction with strategy and the business model | 236 |
|  | S4 Consumers and end-users | S4-1 Policies related to consumers and end-users | 237 |
|  | S4 Consumers and end-users | S4-2 Processes for engaging with consumers and end-users about impacts | 256 |
|  | S4 Consumers and end-users | S4-3 Processes to remediate negative impacts and channels for consumers and end-users to raise concerns | 257 |
|  | S4 Consumers and end-users | S4-4 Taking action on material impacts on consumers and end-users, and approaches to managing material risks and pursuing material opportunities related to consumers and end-users, and effectiveness of those actions | 239 |
|  | S4 Consumers and end-users | S4-5 Targets related to managing material negative impacts, advancing positive impacts, and managing material risks and opportunities | 240 |

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| | | | |
|:---|:---|:---|:---|
| **Section** | **ESRS topic** | **Duty of disclosure** | **Page number** |
| Section 4 - Governance Information | G1 Business conduct | ESRS 2 IRO-1 Description of the processes to identify and assess material impacts, risks and opportunities | 262 |
| Section 4 - Governance Information | G1 Business conduct | ESRS 2 GOV-1 The role of the administrative, management and supervisory bodies | 262 |
| Section 4 - Governance Information | G1 Business conduct | G1-1 Business conduct policies and corporate culture | 264 |
| Section 4 - Governance Information | G1 Business conduct | G1-2 Management of relationships with suppliers | Not material |
| Section 4 - Governance Information | G1 Business conduct | G1-3 Prevention and detection of corruption and bribery | 268 |
| Section 4 - Governance Information | G1 Business conduct | G1-4 Confirmed incidents of corruption or bribery | 272 |
| Section 4 - Governance Information | G1 Business conduct | G1-5 Political influence and lobbying activities | Not material |
| Section 4 - Governance Information | G1 Business conduct | G1-6 Payment practices | Not material |

---

The minimum reporting requirements regarding metrics, policies, actions and targets (MDR-M, MDR-P, MDR-A, MDR-T) are defined in those sections of each ESRS.

2024 ANNUAL REPORT - Sustainability Reporting

Elements of information from other EU regulations

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| | | |
|:---|:---|:---|
| **Duty of disclosure** | | |
| **Duty of disclosure** | **Material/**<br>**Non-material** | <br>**Ref** |
| ESRS 2 GOV-1 Board of Directors gender diversity, paragraph 21 (d) | Material | 124 |
| ESRS 2 GOV-1 Percentage of independent board members, paragraph 21 (e) | Material | 123 |
| ESRS 2 GOV-4 Due Diligence Statement paragraph 30 | Material | 133 |
| ESRS 2 SBM-1 Involvement in activities related to chemical production, para. 40 (d) ii | Not applicable |  |
| ESRS 2 SBM-1 Involvement in controversial weapons activities, para. 40 (d) iii | Not applicable |  |
| ESRS 2 SBM-1 Participation in activities related to tobacco growing and production, para 40 (d) iv | Not applicable |  |
| ESRS E1-1 Transition Plan to achieve climate neutrality by 2050, paragraph 14 | &nbsp;&nbsp;Material | 159 |
| ESRS E1-1 Companies excluded from Paris aligned benchmarks, para. 16 (g) | &nbsp;&nbsp;Material | 162 |
| ESRS E1-4 Greenhouse gas emission reduction targets, para. 34 | &nbsp;&nbsp;Material | 171 |
| ESRS E1-5 Energy consumption from fossil sources disaggregated by sources (high climate impact sectors only), paragraph 38 | &nbsp;&nbsp;Material | 175 |
| ESRS E1-5 Energy consumption and energy mix, paragraph 37 | &nbsp;&nbsp;Material | 175 |
| ESRS E1-5 Energy intensity associated with activities in high climate impact sectors, paragraphs 40-43 | &nbsp;&nbsp;Material | 175 |
| ESRS E1-6 Scope 1, 2, 3 and total gross greenhouse gas emissions, para. 44 | &nbsp;&nbsp;Material | 177 |
| ESRS E1-6 Intensity of gross greenhouse gas emissions, paragraphs 53-55 | &nbsp;&nbsp;Material | 177 |
| ESRS E1-7 Greenhouse gas removal and carbon credits, paragraph 56 | &nbsp;&nbsp;Material | 182 |
| ESRS E1-9 Exposure of the benchmark portfolio to physical climate-related risks, paragraph 66 | Phased-in |  |
| ESRS E1-9 Breakdown of monetary amounts by acute and chronic physical risk paragraph 66 (a) | Phased-in |  |
| ESRS E1-9 Location of significant physical risk activities, paragraph 66 c | Phased-in |  |
| ESRS E1-9 Breakdown of the book value of its real estate assets by energy efficiency classes, paragraph 67 c | Phased-in |  |
| ESRS E1-9 Degree of exposure of the climate-related portfolio in relation to opportunities, paragraph 69 Materials | Phased-in |  |
| ESRS E2-4 Amount of each pollutant listed in Annex E-PRT II of the Regulation (European Pollutant Release and Transfer Register) emitted to air, water and land, paragraph 28 | Immaterial |  |
| ESRS E3-1 Water and marine resources, paragraph 9 (water only) | Immaterial |  |
| ESRS E3-1 Dedicated policy, paragraph 13 | Immaterial |  |
| ESRS E3-1 Sustainable oceans and seas, paragraph 14 | Immaterial |  |
| ESRS E3-4 Total recycled and reused water, paragraph 28 (c) | Immaterial |  |
| ESRS E3-4 Total water consumption in m3 for net revenues from own operations, paragraph 29 | Immaterial |  |
| ESRS 2 - IRO 1 - E4, paragraph 16 (a) i | Immaterial |  |
| ESRS 2 - IRO 1 - E4, paragraph 16 (b) | Immaterial |  |
| ESRS 2 - IRO 1 - E4, paragraph 16 (c) | Immaterial |  |
| ESRS E4-2 Sustainable agricultural and land use practices or policies, paragraph 24 (b) | Immaterial |  |
| ESRS E4-2 Sustainable oceans / seas practices or policies paragraph 24 (c) | Immaterial |  |
| ESRS E4-2 Policies to address deforestation paragraph 24 (d) | Immaterial |  |
| ESRS E5-5 Unrecycled waste, paragraph 37 (d) | Immaterial |  |
| ESRS E5-5 Hazardous waste and radioactive waste, paragraph 39 | Immaterial |  |
| ESRS 2 - SBM3 - S1 Risk of incidents of forced labour, paragraph 14 (f) | Not applicable |  |
| ESRS 2 - SBM3 - S1 Risk of incidents of child labour, paragraph 14 (g) | Not applicable |  |
| ESRS S1-1 Human rights commitments, paragraph 20 | Material | 192 |
| ESRS S1-1 Due diligence policies on issues addressed by the Core Conventions of the International Labour Organization 1 to 8, paragraph 21 | Material | 192 |

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| | | |
|:---|:---|:---|
| **Duty of disclosure** | | |
| **Duty of disclosure** | **Material/**<br>**Non-material** | <br>**Ref** |
| ESRS S1-1 Processes and measures to prevent trafficking in human beings, paragraph 22 | Not applicable. |  |
| ESRS S1-1 Workplace accident prevention policy or management system, paragraph 23 | Material | 192 |
| ESRS S1-3 Grievance/Complaint Handling Mechanisms, paragraph 32 (c) | Material | 192 |
| ESRS S1-14 Number of deaths and number and rate of work-related injuries, paragraphs 88 (b) and (c) | Material | 215 |
| ESRS S1-14 Number of days lost due to injury, accident, death or illness, paragraph 88 (e) | Material | 215 |
| ESRS S1-16 Unadjusted gender pay gap, paragraph 97 (a) | Material | 216 |
| ESRS S1-16 Excessive CEO Remuneration Report, paragraph 97 (b) | Material | 216 |
| ESRS S1-17 Incidents of discrimination, paragraph 103 (a) | Material | 217 |
| ESRS S1-17 Failure to respond to UNGPs on business and human rights and OECD, paragraph 104 (a) | Material | 217 |
| ESRS 2 - SBM3 - S2 Significant risk of child labour or forced labour in the value chain, paragraph 11 (b) | Not applicable |  |
| ESRS S2-1 Human rights commitments, paragraph 17 | Material | 220 |
| ESRS S2-1 Policies on Value Chain Workers, paragraph 18 | Material | 220 |
| ESRS S2-1 Non-compliance with the UNGP Principles on Business and Human Rights and the OECD Guidelines, paragraph 19 | Material | 220 |
| ESRS S2-1 Due diligence policies on issues addressed by the Core Conventions of the International Labour Organization 1 to 8, paragraph 19 | Material | 220 |
| ESRS S2-4 Human rights issues and incidents related to its upstream and downstream value chain, paragraph 36 | Material | 222 |
| ESRS S3-1 Human Rights Policy Commitments, paragraph 16 | Material | 226 |
| ESRS S3-1 Non-compliance with UNGPs on Business and Human Rights, ILO principles and OECD Guidelines, paragraph 17 | Material | 226 |
| ESRS S3-4 Human Rights issues and incidents, paragraph 36 | Not applicable |  |
| ESRS S4-1 Consumer and end-user policies, paragraph 16 | Material | 237 |
| ESRS S4-1 Non-compliance with UNGPs on Business and Human Rights and OECD Guidelines, paragraph 17 | Material | 237 |
| ESRS S4-4 Human Rights issues and incidents, paragraph 35 | Not applicable |  |
| ESRS G1-1 United Nations Convention against corruption, paragraph 10 (b) | Not applicable |  |
| ESRS G1-1 Protection of the whistleblower referred to in paragraph 10 (d) | Not applicable. |  |
| ESRS G1-4 Fines for Violation of anti-corruption and anti-bribery laws, paragraph 24 (a) | Material | 272 |
| ESRS G1-4 Anti-Corruption and Anti-Bribery Standards, paragraph 24 (b) | Material | 272 |

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2024 ANNUAL REPORT - Sustainability Reporting

Section 2 - Environmental Information

Climate change

*[ESRS E1*]

This section provides, in relation to the management of "climate change", a description of the impacts, risks and opportunities found to be material from the double materiality analysis. Next, the section outlines the Group's transition plan, policies and actions taken to manage and mitigate adverse impacts and risks related to climate change and to seize material opportunities, as well as targets set and the metrics used to monitor the effectiveness of the measures taken.

Impacts, Risks and Opportunities

The process to map impacts, risks and opportunities with reference to this standard takes into account the specific aspects related to the Group's operational and commercial activities and its decarbonisation strategies. In particular, for mapping purposes, documentation both internal and available on the Group's website was analysed (e.g. Environmental Policy, ESG Directive, Credit Policies, Risk Governance Directive). In fact, the Group has put in place safeguards, both with regard to its own operations and with reference to the value chain, to ensure appropriate adaptation and mitigation of climate change and the management of energy-related issues. Interaction with counterparties in the value chain may entail risks for the financial institution, in view of the counterparties' difficulty in dealing with climate change, but also opportunities to expand the product range to facilitate and support the transition, by fostering customers' awareness of the actions to be implemented in favour of the transition. Lastly, the Group's setting of targets to manage climate change could generate opportunities for the Group to improve its reputation.

After conducting the double materiality assessment, the following aspects were found to be material:

● **Positive impacts** on the *Upstream Value Chain*, attributable to supplier awareness-raising activities due to the use of selection criteria that include the evaluation of climate change adaptation and mitigation policies and safeguards, and on the *Downstream Value Chain*, related to customer awareness-raising activities on the need to accelerate the climate transition and on commitments related to climate change mitigation and adaptation and reduction of energy consumption, due to the use of the ESG questionnaire, which summarises the assessment of the customer's ESG profile, including the environmental one, and sharing the results, directs the commercial proposition, combining the overall assessment and the customer's real needs, and in line with the Group's ESG decarbonisation and credit strategy;

<sub> </sub>

● **Negative impacts** related to own operations associated with direct emissions (Scope 1 and 2) in the normal course of business (e.g. heating, fossil fuel-based company fleet and low use of hybrid/electric cars) and the Group's direct energy consumption. In response to these impacts, the Group has adopted internal policies and corporate strategies to reduce its emissions and direct energy consumption. Negative impacts also emerged with regard to the downstream value chain due to the possible financing of highly emissive counterparties that have not defined transition plans and emission reduction initiatives;

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● **Risks** pertaining to the Downstream Value Chain and, in particular, Credit Risk related to the deterioration of the counterparty's creditworthiness as a result of financial losses related to the failure to align with the transition and damage due to acute and chronic events, to its plants and production sites. This risk was deemed material with reference to "Climate Change Adaptation", "Climate Change Mitigation" and "Energy" and Reputational Risk with reference to the financing of highly emissive counterparties with no transition plan;

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● **Opportunities** with reference to the expansion of the product range (*Downstream Value Chain*) with regard to the topics "Climate Change Mitigation" and "Energy" and the opportunity to improve brand reputation (Own Operations) with regard to the topic "Climate Change Mitigation".

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For these issues, the relevant Policies, Actions and Targets defined by the Group on climate change are described in the following paragraphs.

Resilience analysis

The process of identifying and assessing risks related to climate change, with respect to the taxonomy areas defined as Climate Change Mitigation (or CCM) and Adaptation (CCA), was developed as part of a process undertaken in the wake of the November 2020 ECB Guidelines, and within the broader Risk Management Framework with the risk factors related to the topic under analysis.

The analysis of risk factors related to the Topic of Climate Change and impacting the Bank's core financial and non-financial risks was carried out for **Physical Risk** (Climate Change Adaptation) and **Transition Risk** (Climate Change Mitigation), according to a pathway that includes:

● the identification of possible transmission channels and analysis of their materiality for the main risks (core risks);

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● the preparation of exposure measures and definition of key exposure indicators for risks that are considered material;

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● analysis <sub></sub> of the impact on the profit and loss account and/or on the value of the Group's assets, mainly through scenario analysis;

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● the definition of attention thresholds *(* tolerance) and related operational limits, assigned to organisational entities capable of operationally having an impact on the level of the indicators, with appropriate escalation processes aimed at intervening in the event of overruns and restoring the overrun levels to normal.

As part of the evolution of management models, variables linked to physical and transition risk were integrated into simulation processes to determine risk add-ons. These add-ons, calculated through the Probability of Default (PD) and/or Loss Given Default (LGD), take into account the physical and transition risks of the counterparties analysed.

The C&A risk management approach includes the definition of a tolerance margin based on adverse scenario analyses conducted in internal and institutional climate stress testing programmes. Within this dimension, operational risk exposure limits are established and assigned to business structures to ensure a balance between risk containment and the business focussed on mitigation strategies. If ESG limits are exceeded, an escalation process is triggered for the decision-making bodies, which take the necessary corrective measures to bring the exposure back within the set limits or to avoid an increase in risk.

The identification and assessment of climate risk exposure is based on scenarios with high physical and transitional risks. The climate scenarios used for physical risk are based on Open Data (ISPRAmbiente, IPCC, Copernicus) and commercial sources (Cerved Spa), with medium- to long-term impact projections according to "Current Policies" models (Hot House World). For transition risk, scenarios are used that envisage a drastic reduction in greenhouse gas emissions, such as "Net Zero 2050", in line with the Paris Agreement.

C&A risk analyses are structured over three time horizons, consistent with those used for RAS purposes:

● **Short-term (ST):** up to 1 year, with reference to the cut-off date.

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● **Medium.term (MT):** between 1 and 5 years, with reference buckets at 3 years.

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● **Long-term (LT):** over 5 years, with reference buckets at 10 years.

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The materiality analyses, for the time horizons described above, were carried out on the basis of projections of updated risk maps, expanded with the inclusion of any worsening trends detected by sectoral or scientific studies.

From its analysis of climate risk factors, the Group has identified the following risks as material and subjected them to continuous monitoring:

● Physical climate risk for credit risk in non-financial corporate portfolios.

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● Physical climate risk for credit risk in portfolios of mortgages to retail customers.

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● Transition climate risk for credit risk in non-financial corporate portfolios.

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● Transition climate risk for credit risk in portfolios of mortgages to retail customers.

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● Climate transition risk for operational and reputational risk (related to the exposure of controparties operating in brown lending<sup>36</sup> and the perception of risk by the Bank's stakeholders).

All these factors are relevant over all time horizons and, as such, have been associated with Key Risk Indicators (KRIs) defined in the Risk Appetite Statement (RAS) with the relative identification of operational limits. The RAS KRI and related operational limits of these indicators are monitored quarterly and reported periodically to the Bank's top management as part of Risk Appetite Monitoring.

The integration of climate risk factors into risk management and strategic processes reinforces the Bank's commitment to support the transition to climate neutrality, while ensuring risk mitigation, financial stability and resilience to emerging risks.

For a description of the analysis process carried out to identify climate change risks, please refer to the Notes to the Financial Statements, Part E - Information on risks and hedging policies.

Transition plan for climate change mitigation

Aware of the important role of financial institutions in supporting the transition to a zero net emission economy by 2050 through their financing, investment and product and service offerings, the Group is committed to doing its part to mitigating climate change.

As a financial institution, 99% of the Group's total CO<sub>2</sub> emissions can be attributed to indirect emissions related to the downstream value chain (Scope 3 related to the Lending to non-financial corporations portfolio) and 0.05% can be attributed to own activities and own consumption (Scope 1, 2).

Consistent with the characteristics of its emissions profile, the Group has defined its own decarbonisation strategy for financed emissions linked to the loan portfolio, following the guidelines of the Net-Zero Banking Alliance (NZBA), which the Group has joined since 2022. The NZBA, a UN-sponsored initiative to accelerate, according to a shared framework, the pathway to zero net emissions, is based on the definition of intermediate targets to 2030 and specific actions to support the transition, through the use of scientifically recognised climate scenarios.

36 Brown loans are loans granted to sectors or companies with a high negative environmental impact, (i.e. activities with high levels of CO₂ emissions and not aligned with the ecological transition).

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Furthermore, with regard to its own direct and indirect emissions (Scope 1 and Scope 2 - market-based), the Group has already implemented a series of initiatives in previous years aimed at reducing its environmental impact, using 2017 data as a baseline for setting targets and monitoring progress. In this context, the Group has implemented actions to reduce the use of fossil fuels, such as oil, actions to dematerialise its internal customer-facing processes, energy efficiency initiatives, and the use of 100% electricity from renewable sources. When defining the 2024-2028 plan, the Group strengthened its target to support the commitment by planning to achieve zero Scope 1 and Scope 2 - market-based emissions by 2030, for which the Group will identify further actions during 2025.

The NZBA interim emission reduction targets financed up to 2030 were defined on the priority sectors with high emission intensity, in line with the Net Zero Banking Alliance (NZBA) guidelines, based on scientifically-recognised climate scenarios (IEA and NGFS) and in line with the Paris Agreement's goal of limiting the temperature to +1.5°C towards preindustrial levels. In particular, the Group has set and communicated targets for five emission-intensive sectors (of which announced in August 2023: Oil & Gas, Power Generation & Distribution and Iron & Steel sectors; of which communicated in February 2025: the Cement and Aluminium sectors) as well as the already achieved target of *phase-out* from the Coal sector. The NZBA targets, set and communicated to the market, cover about 90% of the financed emissions of the emission-intensive sectors (so-called NZBA Sectors).

For details on the methodology and the definition of the NZBA targets, please refer to the section on targets.

In addition, in 2024 the Group set further interim management targets to 2030 for emission reductions financed on non-priority emission-intensive residual sectors and sectors with a high climate/environmental impact, adopting, where available, the same methodology used for setting the NZBA targets.

For these sectors, sector-specific transition/decarbonisation levers have been defined, on which the Group develops credit policies and integrates its commercial and service offerings. The Group's decarbonisation strategy is aligned with the global climate change goals of the Paris Agreement, national and European decarbonisation policies and targets, and the specific guidelines of the Net Zero Banking Alliance (NZBA).

The transition plan and related decarbonisation targets, defined to support climate change mitigation, the Group's decarbonisation process and the management of climate and environmental risks, were shared and discussed in the Steering Committee - ESG Session and approved by the Board of Directors, subject to the binding opinion of the Risk and Sustainability Committee. The latest update of the transition plan was approved by a resolution of the Board of Directors in January 2025.

The decarbonisation strategy defined by the Group is consistent with the climate risk exposure assessments determined by the Group's Risk Management Function on the basis of an internal methodology and aims, at the same time, to manage and mitigate physical and transition risk also by integrating the transition and physical risk exposure indicator for each counterparty into its lending processes. The monitoring of the decarbonisation strategy and exposure to climate and environmental risks, carried out at regular intervals by the Risk Management Function and the Sustainability Function and shared quarterly with top management, allows for the timely identification of any deviations from defined trajectories and the identification of mitigation actions.

In addition, the decarbonisation targets and the description of the transition plan defined for the NZBA-target sectors are monitored in accordance with NZBA guidelines and reported to UNEP and published in the section "Sustainability - Reports" of the Group's *<u>https://www.gruppomps.it/en/</u>* institutional website.

The implementation of this strategy has entailed a progressive integration of credit policies, processes and standards with indicators related to sector targets and the Climate and Environmental (C&E) risk profile of each counterparty, as well as commercial process policies and the development of new support tools, which has been carried out since 2023 through the activation of the ESG Project, composed of a cross-functional team that annually identifies and implements initiatives to support the decarbonization strategy from an evolutionary and incremental perspective. This project is subject to monitoring that is shared quarterly with top management. For further details, please refer to the "Strategy, Business Model and Value Chain - Section 1 - General Information" section of this document.

The Group believes that the management of environmental impacts related to its activities can contribute to the transition to a net-zero economy and has already implemented several initiatives in recent years to reduce its environmental impact, with reference to its own direct and indirect emissions (Scope 1 and Scope 2 - market based), setting quantitative targets. For the purpose of target setting and progress monitoring, it has adopted as a baseline the performance highlighted at the end of 2024. In this context, the Group has implemented actions to reduce the use of fossil fuels, such as oil, in favor of less emissive fuels, actions to dematerialize its internal and customer-facing processes, initiatives to reduce the use of paper and waste, energy efficiency initiatives as well as the use of approximately 100 percent electricity from renewable sources. When defining the 2024-2028 plan, the Group further strengthened its goal by planning to achieve zero Scope 1 and Scope 2 - market based emissions by 2030, for the achievement of which it will identify further actions during 2025.

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Decarbonisation levers and key actions for reducing indirect emissions from the credit portfolio

The Group has developed an organic approach to support its customers' transition to climate neutrality in order to pursue its goals of reducing emissions from its lending portfolio to non-financial corporations while managing the risks associated with climate change and climate adaptation and the resilience of its business model, differentiated by climate/environ-mental-intensive priority sectors, climate/environmental-intensive non-priority sectors and other sectors. This approach reflects the Group's conviction that all sectors can contribute to the climate transition, so it has defined transition levers across all sectors and some specific ones for priority sectors with high emissions intensity on the basis of their respective characteristics. These levers focus on the transition to renewable energy sources, more energy-efficient production processes that prioritise the use of renewable-energy based technology and of recycled materials, and emission offsetting and capture. The activation of these levers is made possible by the:

● **Engagement with customers** to make them aware of the importance of the transition and support them in defining actions to support the transition by sharing the customer's ESG profile with a focus on the customer's emission and environmental profile. This sharing takes place through the administration of questionnaires aimed at assessing the ESG profile and consequently allows for the modulation of the customer's needs and reliance framework;

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● **Offering of green products** linked to green performance indicators (so-called Sustainability Linked Loan) and/or aimed at financing green projects/activities (so-called Green loan, Taxonomy aligned), providing differentiated pricing in order to incentivise companies with green transition plans and commitments and optimise the loan portfolio according to the emission intensity of the counterparties;

● **Definition of protocols and guidelines** to support and involve institutions and trade associations to accelerate the transition;

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● **Establishment of credit policies and processes based on ESG criteria**, which integrate counterparty assessment with counterparty emission profile (ESG score), transition risk exposure and emission intensity in its decision-making processes by defining credit guidelines consistent with the group's broader decarbonisation strategy.

Transparency and monitoring progress

To effectively support the transition to a sustainable economic model, the Group has adopted a number of integrated measures aimed at fostering the dissemination of climate strategies, the achievement of set targets and the use of dedicated operational levers.

In particular, the following actions were implemented:

● Targeted training and ESG skills creation with the activation of specific training courses differentiated according to the role played within the organisation and the establishment of cross-cutting teams of ESG experts to support the network and to ensure adequate knowledge and awareness of sustainability issues;

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● Structured collection and analysis of data on financed emissions with preparation of monitoring and reporting systems;

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● Periodic meetings with the Commercial Departments, the Sustainability and ESG Function, the Credit Department and the Chief Risk Officer Department aimed at sharing monitoring results, identifying timely corrective actions and developing additional initiatives to support the decarbonisation strategy;

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● Simulation tools and definition of KPIs for the purposes of the definition of ESG KPIs for green products.

These measures reflect an integrated and proactive approach, which aims to address the strategic and operational areas essential for the transition to a low-carbon economy and for pursuing the decarbonisation strategy and support from a cross-functional team, consisting of the ESG, ESG RISK and Sustainable Finance team, to Relationship managers in defi-ning and structuring Green operations and solutions for Corporate and SME clients.

As part of the management of the transition plan, the Group has allocated specific investments for the integration and monitoring of ESG factors, to ensure that environmental variables are adequately managed in business processes. Investments are attributable to the project initiatives included in the Bank's ESG Programme. It should be noted that the financial resources allocated to share plans (CapEx and OpEx) are insignificant expenditures.

Investments in CapEx during 2024 focused on the internal development of the centralised ESG database and related dashboards, with the aim of improving internal and mandatory monitoring and reporting (e.g. CSRD, Pillar 3, Social and Green Bond, NZBA reports) on the implementation of ESG technology infrastructure in order to structure green products and ensure their correct identification and monitoring of KPIs in line with regulatory developments. Further investments relate to the development of applications for internal climate risk management models, which are essential for monitoring C&E risks, the Climate Stress Test Programme and compliance with current regulations.

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At the same time, investments in OpEx include the purchase of external databases, which are crucial for obtaining the information needed to develop and monitor decarbonisation targets, as well as to support the issuing and tracking of ESG financial instruments, and expert support for the definition of the decarbonisation strategy and the broader transition plan. These are complemented by training and awareness-raising initiatives for internal resources, with the objective of enhancing awareness and knowledge of climate risk management and the ESG transition. Finally, further activity concerns the definition of the ESG framework, with the support of an external provider to configure the governance and dedicated business processes.

These investments aim to strengthen the Bank's commitment to the transition to a sustainable economy by integrating ESG principles into its risk management and reporting processes, in line with the objectives of compliance with ESRS and European sustainability legislation.

The Group belongs to the financial sector, which is included in the EU benchmark indices aligned with the Paris Agreement, because it plays a vital role in financing the transition to a low-carbon economy.

Policies, Actions and Targets relating to climate change

This section includes a description of the policies the Group has adopted in relation to climate change mitigation and adaptation, actions and targets in relation to both its own operations and the value chain.

Policies

The Group adopts an organisational model that aims to progressively integrate the principles of environmental, social and governance sustainability into the definition of its strategy, business model and corporate policies in line with the changing with the changing regulatory framework and the context in which it operates.

The Group's commitment to the issues of climate change mitigation and adaptation is reflected in the Group's sustainability policies, within which it defines the areas of commitment with which the Group, considering its activities and characteristics, can best and concretely contribute to generate a positive impact on the environment and support the transition towards sustainable and net zero emissions models.

The Group's sustainability policies are defined in line with regulatory obligations and international standards, contributing to long-term value creation and promoting the climate transition. All the policies adopted were approved by the Board of Directors following the opinion of the Risk and Sustainability Committee and debated with the Management Committee - ESG session.

In this context, the Group Guideline on Sustainability and ESG (hereinafter "the Guideline") sets out how the Group is committed to making a positive contribution to sustainable development and climate transition and to incorporating environmental principles into its business strategy. In particular, the Guideline provides a definition of the Group's areas of commitment in relation to environmental impacts by identifying the objective of measuring and progressively reducing its Scope 1, Scope 2 and Scope 3 climate-changing emissions and using energy from renewable sources as the main action directives to be pursued in order to achieve its objectives. Furthermore, the Directive defines the Group's commitment to support the transition of companies towards sustainable models through products and services with high environmental and social added value and the gradual introduction of ESG products in the Group's commercial offering, through three strategic strands:

● provision of green credit, i.e. by adopting a credit assessment process based on strategies and, credit standards integrated with ESG criteria, and by offering financing products and solutions dedicated to and fostering the transition of companies towards sustainable development and net zero-emission models;

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● investment services, progressively implementing the offer of advise and of investment and insurance products with underlying strategies related to sustainability and to the;

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● issuance of green bonds.

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For a detailed description of the sustainable financing products offered by the Group, please refer to the section on "Climate Change Actions in Relation to the Downstream Value Chain".

The Code of Ethics also identifies the environment as a primary asset that the Group is committed to safeguarding, seeking a balance between economic initiatives and the unavoidable needs of the ecosystem and taking into account the rights of future generations. The Group manages its impact on the environment in an organised manner and with increasing efficiency by defining general criteria, guidelines and measures that guarantee the reduction of the direct and indirect environmental impact of its activities, the improvement of environmental performance indicators the alignment of the Group's strategy with the objectives of combating climate change, financial support to customers for the transition to sustainable business models, the development of products and services consistent also with the Sustainable Development Goals (SDG's)<sup>37</sup> and with the Paris Agreement<sup>38</sup>, as well as the management of climate and environmental risk factors. Setting out the principles of the "Code of Ethics" within the Group has made it possible to develop several policies aimed at mitigating climate change impacts within the activities carried out, with particular reference to climate change mitigation and adaptation and energy efficiency.

In this context, mention should also be made of the environmental policy and the Policy governing an environmental management model, which defines the guiding criteria to be followed, consistent with the Code of Ethics, in order to optimise the management of activities that may have a material impact on the environment, and the organisational model adopted by the Group to oversee procedures aimed at complying with environmental protection regulations. The operational management of the model is the responsibility of various specialised functions within the Group. In particular, within and the Policy governing an environmental management model, the Group defines the principles it intends to pursue in its internal operating contexts and in its relations with the market, with respect to which the Group is committed to developing credit policies that also take into account the possible environmental impacts of corporate customers and their projects; support customers in their goals to save and optimally manage natural resources, support and promote investments in the areas of environmental protection.

In defining the contents of these policies, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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| 37 | In September 2015, the UN General Assembly endorsed the 17 Sustainable Development Goals (SDGs), also known as the 2030 Agenda for Sustainable Development, recognising the strong interconnection between the conservation of natural systems, human wellbeing and economic development. In fact, the Sustainable Development Goals cover a range of issues, including the fight against poverty, hunger, the right to education, the promotion of sustainable patterns of production and consumption, as well as urbanisation and social equality. |

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| 38 | At the end of November 2015, the 21st session of the Conference of the Parties (COP 21) to the United Nations Framework Convention on Climate Change took place in Paris. Recognising the need for an effective and progressive response to the urgent threat of climate change, it concluded with an agreement to limit global warming to below 2°C. On the basis of this agreement, each adhering country adopted an action plan and reports to the Conference of the Parties every five years on its contribution to achieving the common goal. This establishes a concrete contribution and monitoring mechanism aimed at climate change mitigation and sustainable development. |

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|:---|:---|:---|:---|:---|:---|
| **Policies** | **Description of main contents** | **Reference Scope (e.g. Own Operations/Value Chain Upstream or Downstream, geographical scope)** | **Validation of Top Management** | **Reference to recognised third-party initiatives and/or standards** | **Availability (institutional site, corporate intranet)** |
| **Group Policy on Sustainability and ESG** | The Policy defines the organisational model adopted by the Group to address the integration of sustainability principles along the three lines of environmental, social and governance (ESG) in the definition of the strategy, business model and corporate policies pursued in the conduct of its business. In particular, the document defines the principles, guidelines and relevant sustainability issues that are identified, implemented and monitored in order to respond to all stakeholders. In relation to environmental sustainability, the Policy defines of general criteria, guidelines and measures that guarantee the reduction of the direct and indirect environmental impact of its activities, the improvement of environmental performance indicators the alignment of the Group's strategy with the objectives of combating climate change, financial support to customers for the transition to sustainable business models, the development of products and services consistent also with the *Sustainable Development Goals* and with the Paris Agreement, as well as the management of climate and environmental risk factors. | The Policy is addressed to the Parent Company and all Group Companiesand covers own operations and value chain downstream and upstream. | The Policy is submitted to the Board of Directors for approval, subject to the advice of the relevant Internal Risk and Sustainability Committee and of the and the ESG Session Steering Committee. <br>The Policy is classified as a strategic document which needs to be updated at least every three years or less if significant changes to the internal or external framework occur. | The Policy, in defining the areas of commitment, was made consistent with the initiatives of international organizations and European authorities such as:<br>- Sustainable Development Goals (2015)<br>- Paris Agreement (2015)<br>- Action Plan for Financing Sustainable Growth (2018);<br>- European Green Deal (2019);<br>- PNIEC;<br>- EU Taxonomy Regulation (852/2020):<br>and in the area of product development and distribution, is carried out in consistency with:<br>- Insurance Distribution Directive (hereinafter also "IDD Directive");<br>- Directive (EU) 2016/97;<br>- EU Delegated Directive 2021/1269 (hereinafter also MiFID 2 ESG).);<br>- SFDR (Reg. EU 2019/2088):  | It is available in the Sustainability section of the Group's corporate website. |
| **Code of Ethics** | The objectives of the Code of Ethics are:<br>- Define standards of "good conduct" for corporate policies and procedures;<br>- Inform employees of the behaviours required of them;<br>- Contribute to implementing the Group's sustainability policies;<br>- Help align the Group's objectives with the interests of civil society. | The Code of Ethics applies to Directors, Statutory Auditors, company executives, and employees of the Group at all levels. | The Code of Ethics and any amendments thereto are subject to the approval of the Parent Company's Board of Directors. | The Group is committed to complying with external codes and agreements, including international agreements, self-regulatory codes, sector-specific codes of conduct, the United Nations Global Compact, the Universal Declaration of Human Rights, the United Nations Environment Programme – UNEP FI, and the Principles for Responsible Banking – UNEP FI. | It is available in the Sustainability section of the Group's corporate website. |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | **Description of main contents** | **Reference Scope (e.g. Own Operations/Value Chain Upstream or Downstream, geographical scope)** | **Validation of Top Management** | **Reference to recognised third-party initiatives and/or standards** | **Availability (institutional site, corporate intranet)** |
| **Group Directive on Environmental Management System Oversight** | The Policy defines the organisational model adopted by the Group for the Environmental Management System Oversight Process (EMS – Environmental Management System). This aims to ensure compliance with environmental protection regulations. | The Policy is addressed to the Parent Company and all Group Companies. | The document is approved by the Board of Directors. Also, the Policy contents are verified as the need arises or in any case once a year, during the Management Review, and updated if necessary. Any new version of the document is submitted for approval by the Board of Directors. | The Policy is implemented in compliance with binding regulations and the UNI EN ISO 14001 Environmental Management Systems Standard. | Available to all employees on the corporate intranet |
| **Environmental** | The Environmental Policy sets out the guiding principles that the Group, in line with its Code of Ethics, commits to following in order to optimise the management of activities that may have a significant environmental impact. | The Policy is addressed to the Parent Company and all Group companies. | The Policy is subject to approval by the Board of Directors, following the opinion of the relevant Board Committees and the Management Committee.<br>The Environmental Policy is overseen by the Parent Company, which, through the relevant functions, coordinates the implementation of all related projects.  | The Policy is implemented in compliance with all applicable environmental protection regulations, including externally issued codes of conduct to which the Group Companies adhere, such as the UNEP Declaration of Financial Institutions on the Environment and Sustainable Development and the United Nations Global Compact. | It is available in the Sustainability section of the Group's corporate website. |
| **Group Policy on Safety and Environment** | The Policy defines the corporate models and rules adopted at the Group level regarding Safety and Environment. | The Policy applies to the Parent Company and all Group Companies.<br>The rules established in this Group Policy must also be followed by all third parties (suppliers, consultants, etc.) operating within the Group, in relation to their respective areas of activity.  | The Policy is subject to approval by the Board of Directors, following the opinion of the relevant Board Committees and the Management Committee. | The policy is implemented pursuant to the regulatory provisions of Legislative Decree 152/2006 (c.d. "Environmental Code") and Legislative Decree 121/2011, as well as the UNI EN ISO 14001:2015 International Standard. | Available to all employees on the corporate intranet |

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Climate-change actions relating to own transactions

The Group has specific actions aimed at managing the climate change mitigation related to its business. More details on this can be found in the section "Transition Plan for Climate Change Mitigation". It should be noted that the Group has been pursuing the reduction of direct Scope 1 and Scope 2 impacts for years by implementing initiatives aimed at reducing the use of fossil fuels, reducing overall energy consumption and increasing the use of energy from renewable sources. In this context, it should be noted that since 2012 the Group has set an objective to use 100% energy from renewable sources and to zero its Scope 2 - market-based emissions. Below are some detailed initiatives pertaining to the scope of own operations, the timing of which is consistent with the defined objectives, for the measurement of which it has set as a baseline the environmental performance highlighted at the end of 2017.

The Group, in pursuit of its broader goal of reducing energy consumption, from 2019 draws up the Measurement & Verification Plan (M&V) in line with the International Performance Measurement and Verification Protocol (IPMVP), with the aim of verifying the results of energy efficiency, water efficiency and renewable energy projects according to a consolidated framework. The IPMVP adopted by the Group is the leading international protocol for verifying energy saving results.

The M&V Plan is founded on construction of the baseline (2019) for comparison using engineering calculations that lead to ordinary adjustments (e.g., due to changes in climate conditions, etc.) and extraordinary adjustments (e.g., due to changes in operating hours, technological equipment, number of employees, etc.). The use of the M&V Plan certified by Tor Vergata University of Rome, allowed a reduction in project-related consumption of 6,018 MWh) to be recorded for 2024, compared to the 2019 baseline.

During 2024, the network **energy management platform** (EMP) was consolidated, resulting in significant electricity

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savings through the implementation of the real-time monitoring programme of energy consumption and environmental parameters, already installed at more than 1,200 branches. Through Artificial Intelligence and machine learning systems, the platform monitors the correlation of environmental parameters with the operating set-points of the air-conditioning systems and predictive maintenance of the Heating, Ventilation and Air Conditioning (HVAC) systems. The platform is active in branches throughout the country.

2024 also saw the continuation of actions to limit energy consumption through accurate monitoring of climate conditions using defined instruments, then taking action to adjust climatic systems accordingly. This was in line with the energy saving indications in the "National plan to reduce natural gas consumption", pursuant to Italian Decree no. 383 of 6 October 2022, even if no longer valid.

The Group joined the two energy saving initiatives in 2024: on 16 February, it joined Italy's initiative "M'illumino di meno" (Using less light) and on 18 February the International Energy Saving Day. On these two occasions, most of the illuminated signage was turned off and night lighting was minimised in the registered office at Piazza Salimbeni 3, Siena.

Climate change actions in relation to the downstream value chain

The Group has identified specific actions aimed at managing negative impacts on climate change mitigation consistent with the objectives of its Transition Plan, for details of which see the section "Transition Plan for Climate Change Mitigation". These actions take the form of defining strategic actions differentiated by sector of economic activity, emission intensity and exposure to climate risks, exclusionary and/or more restrictive guidelines for certain sectors and economic activities, credit strategies and processes and standards aimed at assessing the client's ESG profile and directing the provision of credit, and offering credit products and advisory services aimed at encouraging the transition of counterparties and the underwriting of nationally planned climate and environmentally friendly measures.

Strategic Actions differentiated by sector

The Group has divided its business sectors, based on indicators assessing aspects of emission intensity, exposure to climate risk, and available technologies on climate change and impact on the Group's emission profile, into three clusters: priority sectors with high emission intensity (Oil and Gas; Electricity Production and Distribution, Iron and Steel, Cement and Aluminum), non-priority sectors with high emission intensity (Real Estate, Transportation, Automotive, and Agriculture) and high climate impact (Chemicals), and other sectors. For the first two clusters, it has defined intermediate decarbonization targets to 2030, consistent with NZBA guidelines, the availability of climate scenarios and the 'portfolio approach, and specific directions in credit and trade policies to be achieved with delivery through the ESG products and services made available. On the other hand, for the third cluster, characterized by lower transition risk and lower emission intensity, it has defined cross-cutting strategic actions according to a per-counterparty approach that, based on the ESG profile, can take advantage of the Group's commercial ESG offering.

**Guidelines and/or exclusion criteria:**

The Group, in addition to the strategic actions differentiated by sectors, has also introduced restrictive exclusion criteria for certain sectors, due to their high impact on the environment and inconsistency with national and European climate action plans, in order to minimize exposure to projects and counterparts that could undermine climate and environmental objectives. The exclusion criteria apply particularly to sectors related to coal mining, coal-intensive power generation and distribution, and the oil and gas industry with respect to the establishment of new unconventional oil and gas production sites. These criteria are governed by the Sustainability and ESG Guideline, also published on the Group's corporate website, and summarized below.

● **Coal Extraction**: Consistent with the Paris Agreement and the National Integrated Energy and Climate Plan (NIPEC), the Group excludes any new exposure to companies operating in the coal mining sector, in line with the target for phase-out by 2025. The main measures taken are:

<sub> </sub>

- Exclusion of new funding for the exploration and creation of new coal mines;

- Exclusion of funding for the development or expansion of existing coal mines;

- No renewal of existing active exposures at natural maturity, leading to the complete phase-out of the sector.

However, the Group could grant funding for projects for the redevelopment and reclamation of mining sites, provided that the environmental objectives and benefits are clearly assessed and documented through specific due diligence.

● **Production, Marketing and Distribution of Electricity (Power Generation)**: Energy production represents an opportunity from a Net-Zero perspective, in view of the growing importance of renewable energies. It should be noted that the power generation sector is considered to be highly emission-intensive, due to the predominant use of fossil fuels and high greenhouse gas emissions, and in this regard subject to regulations and rapidly developing technologies.

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In this context, the decarbonisation levers defined by the Group include financial solutions designed to promote the use of renewable energies with the aim of leading its customers on paths of improvement in emissions and confirming the Net-Zero path undertaken.

If the Group identifies, despite the efforts and activities aimed at the conversion and transition of counterparties, specific situations in which there are critical elements that may significantly limit the path of emission reductions in a structural manner, were defined criteria for counterparties who plan to expand coal-fired power generation capacity, who intend to build new coal-fired power plants, or who produce more than 30% of their power from coal without a transition plan consistent with the goals of the Paris Agreement, or who do not have transition plans to increase the share of renewable energy to at least 40% of production by 2030.

● **Oil & Gas**: The oil and gas sector causes significant impacts in terms of environmental pollution and greenhouse gas emissions; Nevertheless, there is a blanket commitment by companies operating in this field to reduce emissions. This sector is characterised by strong investment trends and overall policies of the major players that are implementing progressive strategies aimed at reconversion towards technologies with lower climate impact and based on the exploitation of fewer GHG-intensive resources.

In this context, the Group offers financial solutions, such as Sustainability-linked loans and Green Bonds, and consultancy to facilitate the transition of counterparties to low-carbon technologies.

If the Group identifies, despite the efforts and activities aimed at the conversion and transition of counterparties, specific situations in which there are critical elements that may significantly limit the path of emission reductions in a structural manner, specific actions have been defined to reduce the Group's exposures.

In particular, exclusion criteria are identified for the financing of counterparts and projects aimed at the construction, expansion or expansion of unconventional oil and gas exploration and production sites such as fracking, tar sands, extraction in the Arctic region, in the "Amazon Sacred Headwaters" area, and in ultra-deep waters. These exclusion criteria also apply to companies that generate more than 20% of their revenues from activities related to the extraction or transportation of unconventional oil and gas, or that undertake activities related to new oil exploration and the construction of new oil infrastructure (consistent with the COP-28 agreement in Dubai (2023). For further information regarding the actions taken to contain emission levels concerning the downstream value chain, refer to the section Decarbonization levers and key actions for reducing indirect emission related to the loan portfolio in this chapter.

ESG strategies, processes and credit standards

Since 2022, the Group has introduced an additional assessment element called the "ESG outlook" for the purpose of defining its credit strategies, which are divided into three levels: ordinary strategy, ESG guidelines, and specific strategic guidelines. The ESG Outlook summarizes the sectoral alignment to climate transition (indicator of exposure to transition climate risk) and the ESG profile of the counterparty (ESG score), defined on the basis of the ESG questionnaire. Counterparties with Negative ESG Outlook are expected to adopt conservative assumptions in the business plan assessment (sensitivity add-on) and provide financing aimed at improving the client's emission profile. The ESG Outlook, in combination with the standard strategy, determines the overall measure of stress to be applied to a business plan.

The ESG questionnaire makes it possible to collect information on the individual Client's ESG profile in a timely manner and, in addition to enriching the Bank's information assets, helps to optimally define the ESG profile and manage the Client's risk profile. It is integrated into the Group's operating system, although it is constantly evolving, as it integrates the analysis of the client's ESG profile, with exposure to transition risk and physical counterparty risk.

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Green product and service offerings

**Financing products**

The Group has actively contributed to activately supporting its customers in the transition towards more sustainable economic models by developing and promoting financial products that comply with sustainability and green criteria. The Group's Sustainability and ESG Directive sets out the Group's ESG business offering, which includes different types of loans, financing and credit lines aimed at encouraging greener and socially responsible corporate and individual practices. The design of these products is consistent with the main guidelines on the subject: Loan Market Association's (LMA) "Green and Sustainable Lending Glossary of Terms" and EU Taxonomy. These products are divided into three main categories, which differ in their purpose, requirements and reporting methodology:

● **Sustainability Linked Loan (SLL):** Generic financing that rewards companies for achieving predetermined sustainability targets. These loans are linked to specific ESG KPIs that incentivise the sustainable performance of counterparties, including KPIs related to climate change mitigation issues;

<sub> </sub>

● **Green Loan:** Loans aimed at financing projects with positive impacts on the environment and/or society. These loans can be used for projects supporting the green transition, such as increasing the production and use of renewable energy, sustainable mobility and sustainable agriculture;

<sub> </sub>

● **Taxonomy Aligned Loans:** A type of Green Loan that meets the requirements of the **European Environmental Taxonomy**, which provides a framework for determining whether a project is sustainable according to EU environmental criteria.

During 2024, the Group disbursed about EUR 904.5 mln in green finance, of which EUR 424.5 mln was Sustainability Linked Loan and about EUR 480 mln green loans.

**Measures to support SMEs**

*Nuova Sabatini measure - Operating assets ceiling - access to credit for investments*

In order to support access to the facilitating measures, provided at national level, in favour of companies engaged in investment programmes in capital goods with a low environmental impact, the Group adheres to the Capital Goods Measure ("Nuova Sabatini") that from 1 January 2023 introduced the new type of contribution known as "Green" designed to support low environmental impact investment in programmes to improve the environmental sustainability of products and production processes.

The facilitation offered by the Group is structured as follows:

● the Group grants SMEs a bank loan or finance lease, with recourse as appropriate to specific funds made available by Cassa Depositi e Prestiti S.p.A. as part of the ABI-CDP-MIMIT Agreement (so-called Capital Goods ceiling);

<sub> </sub>

● the loan must be for an amount between EUR 20,000 and EUR 4,000,000 with a maximum 5-year term, and can be backed by the "SME Guarantee Fund" for up to 80% of the total amount of the loan;

<sub> </sub>

● agreed by the MIMIT as an operating grant commensurate with the interest on the loan. This grant is equal to the total interest calculated, as normal, on a 5-year loan for an amount corresponding to the investment, at an annual interest rate of:

<sub> </sub>

2.75% for ordinary investments;

3.575% for 4.0 investments;

3.575% for green investments.

During 2024, a total of around EUR 47.5 mln was disbursed for this measure, of which EUR 30 mln for 4.0 investments and EUR 3.2 mln for green investments.

*SACE Green New Deal*

Since 2022, the Group has entered into the Green New Deal agreement with SACE, the Italian Export Credit Agency that has been supporting Italian companies in export and internationalisation projects for over forty years. Under the Green New Deal, it issues public guarantees for green projects to give a new impetus to the country's sustainability. The Group has disbursed EUR 232.8 mln since 2022, of which EUR 40.4 mln in 2024.

2024 ANNUAL REPORT - Sustainability Reporting

*Green bonds*

The Group also support large corporate clients in the structuring and placement of green bonds for institutional investors. complying with international standards and the ICMA Sustainable Finance Guidelines and the EU Taxonomy of Sustainable Finance. The bonds issued are intended to finance or refinance projects with green or social purposes, or to finance activities that achieve specific sustainable KPIs. During 2024, in coordination with other banks, it supported the placement of EUR 500 mln of green bonds.

**UCITS funds and asset management**

In the course of the year, more than 130 new UCITs were issued in accordance with the ESG classification provided for in Articles 8 and 9 of the SFDR (Sustainable Finance Disclosure Regulation), and at the end of the year about 74% of the number of funds in the product catalogue were consistent with Articles 8 and 9 SFDR. In addition, the Group had 40% of ESG funds at the end of 2024 compared to total funds placed (stock data) of approximately EUR 10 bn, consistent with the business plan target of maintaining at least 40% over the period 2024-2028.

With regard to ESG asset management investments, of which the Group is a producer, in order to respond in an increasingly consistent and precise manner to regulatory dictates, on the one hand, and to any preferences expressed by customers, on the other, the Group has initiated the development of rules dedicated to assessing the ESG characteristics of the individual UCITS products included in the asset management schemes: In this context, on 2 January 2024, four Asset Management lines were modified and developed with an ESG perspective, adopting strategies that aim to enhance ESG investment and changing the benchmark. This was followed in June 2024 by the launch of a further six ETF fund lines and two ESG bond lines (four dedicated to Retail customers and four dedicated to Premium customers).

**Insurance products**

In 2024, the offering of insured products was expanded with the launch of a new multi-branch investment policy called InvestiSemplice with a single premium or recurring premiums whose benefits are directly linked to a segregated management and the performance of a selection of funds investing in responsible and sustainable companies.

In the area of protection products dedicated to companies, the Group has introduced new insurance coverage of "catastrophic risks" (CAT Guarantee) was provided, in response to companies' obligation to take out compulsory insurance against natural catastrophic risks as provided for by the 2024 Budget Law, to support their commitment to mitigate the negative impact of climate change adaptation.

Objectives

Climate change targets on own operations

Since 2012, the Group has embarked on a journey to reduce its own emissions in order to limit its negative impact on climate change and has identified, with an evidence-based approach, progressive targets to reduce direct and indirect emissions from its operations, initially setting a target to reduce Scope 1 emissions by 60 percent by 2026 compared to 2017 and to adopt 100%<sup>39</sup> electricity from renewable sources, and subsequently to pursue Net Zero Operation (Scope 1 and Scope 2 market based) on its own operations by 2030. The Group has therefore taken concrete measures, implementing initiatives to improve the energy efficiency of its facilities, to reduce the use of fossil fuels, progressively supporting the shift from the use of diesel to less polluting fuels such as gas and petrol, and to encourage the use of renewable energy sources. On this path, the Group set the year 2017 as a baseline for both the determination of its objectives and the monitoring of results, achieving the results described below:

● **direct Scope 1 emissions:** about 75% reduction towards the 2017 baseline exceeding the target of 60% reduction by 2026 set in its business plan. This reduction is partly related to the 48% reduction in overall fossil fuel consumption towards 2017, and partly to the gradual shift away from oil use in favour of gas and petrol. In addition, the Group uses the purchase of carbon credits as an additional Scope 1 hard-to-abate emission reduction action, offsetting about 69% of the emissions from the use of natural gas in 2024. It should therefore be noted that the reduction target described above includes the benefit from the use of carbon credits;

<sub> </sub>

● **indirect emissions from Scope 2 market-based energy use:** during 2024, the Group achieved the target of 100% renewable electricity use for the Group's scope of consolidation envisaged when the target was set<sup>40</sup>, zeroing out Scope 2 market-based emissions related to energy use. The Group has taken initiatives to reduce total energy consumption and implemented energy efficiency initiatives showing a 35% reduction in energy consumption compared to 2017 and a scope 2 - location based reduction of 36%;

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| | |
|:---|:---|
| 39 | The Group has set the target of using energy from renewable sources at 100% in the 2022-2026 Business Plan with reference to the Group's entire scope of consolidation excluding MPS Banque. |

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| | |
|:---|:---|
| 40 | The Group has set the target of using energy from renewable sources at 100% in the 2022-2026 Business Plan with reference to the Group's entire scope of consolidation excluding MPS Banque. |

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BANCA MONTE DEI PASCHI DI SIENA

● **direct and indirect Scope 1 and Scope 2 market-based emissions:** In reviewing its targets during 2024, the Group further strengthened its climate change commitments by setting a target in its 2024-2028 business plan to achieve net zero Scope 1 and Scope 2 market-based emissions related to its business by 2030. As at 31 December 2024, the Group showed a 15% reduction in Scope 1 and 2 emissions, delivering on its commitment to achieve a year-on-year reduction on 2023.

These achievements are also the result of the adoption of robust environmental policies implementing an environmental management system conforming to ISO 14001, with certification awarded from 2003 and confirmed in subsequent years through the continuous improvement of environmental management practices and the ongoing commitment to energy management, supervised by a qualified Energy Manager, a position introduced by 2009. For more details on the policies adopted regarding climate change management, please refer to the dedicated section in this chapter.

The identification of objectives takes into account the factors analysed as a result of the policies adopted, including assessments associated with stakeholder opinions.

Climate change targets in relation to the downstream value chain

The Group has embarked on a path to contribute to the goals of the Paris Agreement by aligning its financial activities with the trajectory of limiting global warming to 1.5°C. In line with its commitment as a member of the Net Zero Banking Alliance (NZBA), it has set interim decarbonization targets in terms of financed emissions to 2030 for exposures to non-financial companies in the most emissions-intensive priority sectors (so-called NZBA Targets), shown in the table below: Oil & Gas (Oil & Gas); Electricity Generation (Power Generation); Iron & Steel (Iron & Steel); Coal mining (Coal); Cement (Cement); and Aluminum (Aluminum), with an approach based on scientific data and credible climate scenarios, defining different baseli-nes. Targets on the Cement and Aluminum sector were defined during 2024 and reported in February 2025, and monitoring of them is planned, consistent with NZBA guidelines, from the end of 2025. With reference to the Coal sector, the target has been defined in terms of financial exposure.

The definition of the NZBA targets and management targets took place in two separate phases:

● the first completed in August 2023 with the release of the funded emission reduction targets, cd NZBA targets, on the first emission-intensive sectors (oil and gas; power generation and distribution; iron and steel) and the phase-out target from the coal sector,

<sub> </sub>

● the second, concluded in February 2025 with the reporting of intermediate targets to 2030 of funded emission reductions, cd NZBA targets, on the other two priority emission-intensive sectors (cement and aluminum) and intermediate management targets to 2030 of funded emission reductions, on the remaining non-priority emission-intensive sectors. Monitoring of the NZBA target is reported consistent with NZBA guidelines. Management targets are subject to internal monitoring.

and consisted of the following steps:

● **analysis of the Group's portfolio of exposures to non-financial companies** (including bonds and equity) and definition of the baseline: a careful analysis was conducted of the emissive profile of counterparties for each sector of economic activity, the availability and quality of data on the emissive profile of counterparties, and the maturity characteristics, and therefore the levers that can be activated, of the sectors themselves with respect to the ecological transition. Next, the boundary was identified in terms of NACE codes to be included in the sector, including companies operating in the upstream and downstream sectors, and in terms of scope, opting to include scope 3 only for certain sectors of economic activity, and finally the baseline was defined. For this analysis, data, provided by an external provider, of the issuance profile of all counterparties in the financing perimeter (including bonds and equity) to non-financial companies, for the totality of sectors were used consistently with NZBA guidelines. Following considerations of sector characteristics and sector weight relative to the Group's total emissive profile, emission-intensive sectors were identified and divided, between priority and non-priority;

<sub> </sub>

● **Climate scenarios and definition of alignment paths to Net Zero:** definition of emission trajectories based on climate scenarios for all emission-intensive sectors and identification of the target. Specifically:

<sub> </sub>

- for the Oil & Gas, Power Generation and Iron & Steel sectors, Net Zero 2050 scenarios published by NGFS (Network for Greening the Financial System) with baseline 2022 were used;

- for the Cement and Aluminum sectors, the IEA NZE2050 scenarios with baseline 2023 were used.

2024 ANNUAL REPORT - Sustainability Reporting

Emission-intensive priority sectors with NZBA Target

The table below shows the details of the NZBA targets, their baselines, and the progress shown at the end of 2024.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Oil and Gas Sector<br> (Oil&Gas)** | **Power Gen Sector** | **Iron and Steel Sector <br> (Iron & Steel)** | **Coal Sector<br> (Carbon mining)** | **Cement Sector<br> (Cement)** | **Aluminium Sector** |
| ***Sectoral perimeter*** | Companies operating in the sectors Upstream: B06 - B09 Core: C19 - C20 Downstream: D35 | Companies operating in the sectors Upstream: C33 Core: D35 Downstream: F43 | Companies operating in the sectors Upstream: G46 Core: C24 Downstream: C25 | Companies operating in the sectors Upstream: B05 - B08.92 | Companies operating in the sectors Upstream: B08 Core: C23 | Companies operating i n the sectors Core: C24 |
| ***Emissions used*** | Scope 1, 2, 3 | Scope 1, 2 | Scope 1, 2 | n.a | Scope 1, 2 | Scope 1, 2 |
| ***Methodology used*** | PCAF | PCAF | PCAF | n.a | PCAF | PCAF |
| ***PCAF Asset Class*** | Business Loans and unlisted equity | Business Loans and unlisted equity | Business Loans and unlisted equity | n.a | Business Loans and unlisted equity | Business Loans and unlisted equity |
| ***PCAF Data Quality\**** | Score 2 | Score 2 | Score 2 | n.a | Score 2 | Score 2 |
| ***Metrics*** | Financed Emissions | Financed Emissions | Financed Emissions | Financial Exposure (EUR mln) | Financed Emissions | Financed Emissions |
| ***Data sources*** | Financial data - internal Emissions - external supplier | Financial data - internal Emissions - external supplier | Financial data - internal Emissions - external supplier | Financial data - internal | Financial data - internal Emissions - external supplier | Financial data - internal Emissions - external supplier |
| ***Type of financial data used*** | Gross carrying amount - Corporate credit portfolio | Gross carrying amount - Corporate credit portfolio | Gross carrying amount (GCA) - Corporate credit portfolio | Gross carrying amount - Corporate credit portfolio | Gross carrying amount - Corporate credit portfolio | Gross carrying amount - Corporate credit portfolio |
| ***Scenario used*** | NGFS NET ZERO 2050 | NGFS NZE | NGFS NZE | n.a | IEA NZE2050 | IEA NZE2050 |
| ***Baseline*** | th 657 tCO<sub>2</sub>e (31.12.2022) | th 196 tCO<sub>2</sub>e (31.12.2022) | th 1,067 tCO<sub>2</sub>e (31.12.2022) | 0 euro mln (31.12.2022) | th 466 tCO<sub>2</sub>e (31.12.2023) | th 109 tCO<sub>2</sub>e (31.12.2023) |
| ***Data as at 31 December 2024*** | (+264% vs baseline 2022 | (73% vs baseline 2022) | (-69% vs baseline 2022 | 0 euro mln | - | - |
| ***TARGET 2030*** | th 391 tCO<sub>2</sub>e (-40.0%) | th 45 tCO<sub>2</sub>e (-77.0%) | th 762 tCO<sub>2</sub>e (-29.0%) | 0 euro mln | th 349 tCO<sub>2</sub>e (-23.6%) | th 99 tCO<sub>2</sub>e (-9.1%) |

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In July 2024, consistent with NZBA guidelines, the first monitoring report and transition plan related to the emission reduction targets financed on the first priority emission-intensive sectors (oil and gas; power generation and distribution; iron and steel) and the phase-out target from the coal sector was published.

In particular, with reference to the achievement of the NZBA objectives, the three NZBA priority sectors (Oil & Gas; Power Gen; Iron & Steel), for which the target for the reduction of financed emissions has already been communicated, show a path of reduction of the same towards the 2022 baseline with the exception of the Oil & Gas sector which instead shows a significant increase in financed emissions compared to the baseline of +264% vs a 2030 reduction target of -40%. The positive trend of the Power Gen and Iron & Steel sectors is determined by the increase in exposures to counterparties that show lower emission intensity, thanks to the increase in the share of renewable energy in their production mix and the financing of counterparties with lower emission intensity.

The trend highlighted by the Oil & Gas sector, consistent with the NZBA approach, was partly influenced by the volatility of the metric adopted to estimate the emission profile of the counterparties, based mainly on estimate data and linked to economic variables strongly influenced by inflation dynamics, as well as to a progressive improvement in the quality of the data relating to the emission profile of the counterparties. In this sector, the Group has identified mitigation actions to be implemented over the following years in order to achieve the 2030 emissions reduction target, which include the integration of the tools adopted to assess the customer with information relating to the emission profile, exposure to transition risk and specific levers that can be activated in order to identify financing solutions to support and accelerate the transition.

In support of the entire decarbonisation strategy towards these sectors, the Group introduced new transition guidelines at the beginning of 2024 and the exclusion of financing towards activities related to unconventional Oil & Gas or new deposits. At the same time, an active dialogue was started with high emission intensity counterparties, with the aim of supporting their transition through financing linked to emissions reduction KPIs and the development of renewable energy and activated close monitoring of exposures towards this sector. In line with the NZBA guidelines, the targets will be reviewed at least every five years, or sooner if necessary, in line with the evolution of the database or the scenarios adopted, ensuring adequacy with respect to scientific and regulatory developments. The Group will continue to monitor emission performance and promote significant investments towards clean energy and innovative solutions for the transition.

BANCA MONTE DEI PASCHI DI SIENA

In order to achieve its strategy and NZBA decarbonisation objectives and to support the broader sustainable transition of its customers, the Group has set itself the following objectives:

● 7.6% of green loans on total financing to NZBA sectors (in terms of stock) by 2028, to support the transition to a net zero emissions economy of customers in high emission intensity sectors through the provision of green finance;

<sub> </sub>

● 30% of ESG volumes disbursed compared to total annual volumes disbursed by 2028 to support the broader transition to a sustainable and net zero emissions economy. At the end of 2024, the Group highlights 18% of financing disbursed with ESG purposes compared to total annual volumes disbursed, for a total of EUR 1,858 mln, of which EUR 904 million with green purposes and EUR 954 mln with social purposes;

<sub> </sub>

● 25% of Green and Social Bonds issued on total issues in the period 2024-2028: during 2024 the Group issued social bonds for EUR 750 mln, equal to 25% of total issues.

The identification of the objectives takes into account the factors analyzed as a result of the policies adopted, including the assessments associated with the opinions of stakeholders.

Climate change targets in relation to the upstream value chain

The Group has not, to date, defined specific targets to manage climate change with reference to the upstream value chain.

However, the effectiveness of the policies and actions adopted in this regard is ensured through the monitoring of specific indicators in order to ensure supply chain management aimed at respecting the principles of environmental sustainability. In this sense, the verification, in the years following those of the first contractualisation, of the existence of the requisites for registration in the Group's Supplier Register, as well as the controls carried out by the Control and Audit functions, guarantee the effectiveness of the policies and actions undertaken by the Group. During 2024, 100% of the new suppliers (114 in total) were assessed according to environmental criteria, in accordance with international standards.

2024 ANNUAL REPORT - Sustainability Reporting

Metrics

Energy consumption and mix

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| | |
|:---|:---|
| **Energy consumption and mix** | **2024** |
| 1) Consumption of fuel from coal and coal products (MWh) |  |
| 2) Fuel consumption from crude oil and petroleum products (MWh) | 7.007 |
| 3) Fuel consumption from natural gas (MWh) | 29747 |
| 4) Fuel consumption from other non-renewable sources (MWh) |  |
| 5) Consumption of electricity, heat, steam and cooling from fossil sources, purchased or acquired (MWh) | 1211 |
| **6) Total energy consumption from fossil sources (MWh) (sum of rows 1 to 5)** | 37966 |
| **Share of fossil sources in total energy consumption (%)** | 28.04% |
| **7) Consumption from nuclear sources (MWh)** | 506 |
| **Share of nuclear sources in total energy consumption (%)** | 04% |
| 8) Fuel consumption for renewable sources, including biomass (also includes industrial and municipal waste of biological origin, biogas, renewable hydrogen, etc.) (MWh) |  |
| 9) Consumption of electricity, heat, steam and cooling from renewable sources, purchased or acquired (MWh) | 96144 |
| 10) Consumption of self-produced renewable energy without fuel (MWh) | 707 |
| **11) Total energy consumption from renewable sources (MWh) (sum of rows 8 to 10)** | 96851 |
| **Share of renewable sources in total energy consumption (%)** | 71.58% |
| **Total energy consumption (MWh) (sum of rows 6, 7 and 11)** | 135322 |

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Data on energy consumption at the end of 2024 were collected from each Group company for each building included in the scope of consolidation. In addition to the ordinary consumption of natural gas and electricity, the data also include the fuel consumption of the instrumental and fringe benefit cars (appropriately weighted) used by the Group's employees, as well as the diesel used for heating purposes. The data reported refer to energy consumption in MWh related to its own operations and were expressed from the documentation made available by the suppliers of the individual services reported (reports, invoices, etc.).

BANCA MONTE DEI PASCHI DI SIENA

Energy intensity based on net revenues

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **2024** | **PARENT<br> COMPANY<br> MONTE DEI<br> PASCHI DI<br> SIENA S.P.A.** | **WIDIBA<br> WISE<br> DIALOG<br> BANK SPA** | **MONTE<br> PASCHI<br> FIDUCIARIA<br> S.P.A.** | **MPS TENIMENTI<br> POGGIO<br> BONELLI <br> E CHIGI<br> SARACINI<br> SOCIETÀ<br> AGRICOLA<br> SPA** | **MAGAZZINI<br> GENERALI<br> FIDUCIARI <br> DI<br> MANTOVA<br> SOCIETÀ<br> PER<br> AZIONI** | **MPS<br> BANQUE** |
| Renewable Electricity with Guarantee of Origin or other Certification [MWh] | 95734 | 92513 | 2170 |  | 163 | 888 | - |
| Total Electricity | 97234 | 92736 | 2170 |  | 203 | 1406 | 719 |
| % Renewable Electricity with Guarantee of Origin or other Certification [MWh] | 98% | 100% | 100% |  | 80% | 63% | 0% |

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **2024** | **PARENT<br> COMPANY<br> MONTE DEI<br> PASCHI DI<br> SIENA S.P.A.** | **WIDIBA<br> WISE<br> DIALOG<br> BANK SPA** | **MONTE<br> PASCHI<br> FIDUCIARIA<br> S.P.A.** | **MPS<br> TENIMENTI <br> POGGIO<br> BONELLI <br> E CHIGI <br> SARACINI <br> SOCIETÀ<br> AGRICOLA<br> SPA** | **MAGAZZINI<br> GENERALI<br> FIDUCIARI <br> DI<br> MANTOVA<br> SOCIETÀ <br> PER <br> AZIONI** | **MPS<br> BANQUE** |
| Renewable electricity with Guarantee of Origin or other certification or self-generated without fuel [MWh] | 96441 | 92662 | 2170 |  | 203 | 1406 | - |
| Total Electricity | 97234 | 92736 | 2170 |  | 203 | 1406 | 719 |
| % of renewable electricity with Guarantee of Origin or other certification or self-generated without fuel [MWh] | 99% | 100% | 100% |  | 100% | 100% | 0% |

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Energy intensity based on net revenues

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| | |
|:---|:---|
| **Energy intensity versus net revenue** | **2024** |
| Total energy consumption of activities in high climate impact sectors compared to net revenues from these activities (MWh/Mgl euro) | 5680% |

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The possible inclusion of the Group's activities among the high-impact sectors was carried out by verifying the correspondence of the ATECO/NACE sectors of the Parent Company and its subsidiaries to the sectors listed in Annex I, Sections A to H and L of Regulation 1893/2006. The analysis led the following subsidiaries to be classified as high-impact companies: MPS Tenimenti, MPS Magazzini Fiduciari Mantova and the two subsidiaries of MPS Banque: Monte Paschi Conseil France Société par Actions Simplifiée and Immobiliere Victor Hugo s.c.i. More specifically:

● MPS Tenimenti - Grape Growing (Nace: 01.21);

<sub> </sub>

● MPS Magazzini Fiduciari Mantova - Warehousing and Storage (52.10);

<sub> </sub>

● Monte Paschi Conseil France Société par Actions Simplifiée - Real estate brokerage agencies (68.31);

<sub> </sub>

● Immobiliere Victor Hugo s.c.i. - Management of real estate for third parties (68.32).

2024 ANNUAL REPORT - Sustainability Reporting

Reconciliation of net revenues from activities in high climate-impact sectors

Below is a reconciliation of the net revenues from activities in high climate-impact sectors used to calculate the energy intensity rate with the relevant disclosure in the Consolidated Financial Statements:

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| | |
|:---|:---|
| **euro thousands** | **2024** |
| Net revenues from activities in high climate impact sectors used to calculate energy intensity | 5709 |
| Net revenue (companies not operating in high-impact sectors) | 6917319 |
| Net revenue non-current assets held for sale and disposal groups (balance sheet) | 50042 |
| Total net revenue (balance sheet) | 6872986 |

---

The Group obtained revenues for activities in high-impact sectors from the following line items:

● Line item 10: Interest income and similar revenues;

<sub> </sub>

● Line item 40: Fee and commission income;

<sub> </sub>

● Line item 70: Dividends and similar income;

<sub> </sub>

● Line item 80: Net profit (loss) from trading;

<sub> </sub>

● Line item 90: Net profit (loss) from hedging;

<sub> </sub>

● Line item 100: Gains (losses) on disposal/repurchase;

<sub> </sub>

● Line item 110: Net profit (loss) from other financial assets and liabilities measured at fair value through profit and loss;

<sub> </sub>

● Line item 230: Other operating income/expenses (positive components only);

<sub> </sub>

● Line item 250: Gains/Losses on equity investments (only positive components);

<sub> </sub>

● Line item 280: Gains/losses on disposal of investments (positive components only).

Gross Scope 1, 2, 3 Greenhouse Gas Emissions (GHG)

In relation to the Group's own emissions, compared to the data reported in previous years, the Group has expanded the reporting perimeter by bringing it in line with CSRD requirements and thus aligning it with financial reporting. In addition, the collection of data on energy consumption was extended further. Finally, it should be noted that Scope 3 emissions reporting has been extended by increasing the emission reporting categories.

For the calculation of own issues, taking into account that the Group's reporting period is aligned with the entities in the value chain, there were no significant events or changes occurring between the reporting date of the entities included in the value chain of the MPS Group and the reporting date and this Sustainability Report.

BANCA MONTE DEI PASCHI DI SIENA

For the 2030 Net Zero targets, progress is reported in the "NZBA Target Setting Methodology and Monitoring" section.

---

| | |
|:---|:---|
| **Total GHG emissions disaggregated by Scope 1 and Scope 2 and by Scope 3 significant category** | **2024** |
| **Scope 1 GHG emissions** |  |
| Gross Scope 1 emissions (tCO<sub>2</sub>eq) | 9341 |
| Percentage of Scope 1 GHG emissions covered by regulated emissions trading schemes (%) |  |
| **Scope 2 GHG emissions** |  |
| Gross location-based Scope 2 GHG emission (tCO<sub>2</sub>eq) | 29924 |
| Gross market-based Scope 2 GHG emissions (tCO<sub>2</sub>eq) | 244 |
| **Significant Scope 3 GHG emissions** |  |
| Total gross indirect GHG emissions (Scope 3) (tCO<sub>2</sub>eq) | 20398726 |
| 1. Goods and services purchased | 72258 |
| 2. Operating assets | 5523 |
| 3. Fuel and energy-related activities (not included in Scope 1 or 2) | 3274 |
| 4. Upstream transport and distribution | 11 |
| 5. Waste generated during operations | 6 |
| 6. Business travel | 749 |
| 7. Employee commuting |  |
| 8. Upstream leased assets |  |
| 9. Downstream transport | 11 |
| 10. Processing of products sold |  |
| 11. Use of products sold |  |
| 12. End-of-life treatment of products sold |  |
| 13. Downstream leased assets | 3129 |
| 14. Franchising |  |
| 15. Investment | 20313765 |
| **Total GHG emissions** |  |
| Total GHG emissions (location-based) (tCO<sub>2</sub>eq) | 20437991 |
| Total GHG emissions (market-based) (tCO<sub>2</sub>eq) | 20408311 |

---

Please note that for the purposes of calculating Scope 3 emissions, estimates of 99.98% were used.

The Group remains committed, in line with the 2024-2028 Business Plan targets, to using approximately 100% energy from renewable sources, for utilities registered in the Group's name, through the purchase of guarantees of origin. Compared to total electricity consumption, the share of renewable electricity certified through guarantees of origin for 2024 is 98.5%.

As at 31 December 2024, the Group had no biogenic CO<sub>2</sub> emissions deriving from the combustion or biodegradation of the biomass for Scope 1, Scope 2 or Scope 3.

2024 ANNUAL REPORT - Sustainability Reporting

Methodology for calculating direct and indirect own emissions (Scope 1 and 2) and Scope 3 indirect emissions

Scope 1 and Scope 2

For the purpose of calculating direct Scope 1 and indirect Scope 2 emissions for 2024, conversion factors from the "ABI Lab Guidelines" (December 2024 version) were used. The gases included in the calculation - and specified in the Guidelines - are CO<sub>2</sub>, CH<sub>4</sub>, N<sub>2</sub>O. In addition, for the purpose of calculating CO<sub>2</sub> equivalent emissions, the emission factors contained in the ISPRA document "Italian Greenhouse Gas Inventory 1990 - 2022 - National Inventory Report 2024" were used, while for CH<sub>4</sub> and N<sub>2</sub>O, the Global Warming Potential (GWP) was used, as reported in the IPCC report "Climate Change 2021: The Physical Science Basis", as indicated by ABI in the document "ABI Lab Guidelines" (version December 2024). Note that for cars for personal and business use, the value is equivalent to the total litres consumed multiplied by a coefficient of 0.70 (% of company use of fringe benefit cars).

To calculate indirect Scope 2 emissions, consistent with the Location-Based methodology, the contribution of the average emission factors of the distribution network used by the organisation was considered. Therefore, the total amount of electricity purchased, from renewable and non-renewable sources, is considered in the calculation of emissions. To calculate indirect Scope 2 emissions, in accordance with the Market-based methodology, related to its own electricity consumption, the contribution of specific emission factors related to the contractual forms used for purchasing adopted by the organisation was considered. In this case, the amount of electricity covered by the guarantee of origin will have an emission factor of 0.

To calculate direct Scope 1 and indirect Scope 2 emissions of the subsidiary MPS Banque, the methodology set out in the ADEME Guide was used, based on the data for the 3 scopes collected annually by the Bank's Functions in charge of this matter and applying an emission factor to each element of the data collected to determine the value of greenhouse gas (GHG) emissions

Scope 3

In calculating the Group's indirect Scope 3 emissions, all companies in the consolidated scope are taken into account and the following categories are included (GHG Protocol).

The following table details the Scope 3 Categories included in the calculation, the methodologies used for each category and the conversion factors used:

---

| | | |
|:---|:---|:---|
| **Categories included** | **Calculation methodology** | **Conversion factor** |
| **Category 1 <br> Purchased goods and services** | The spend-based methodology was used, using the EEIO coefficients per NACE code as a conversion factor. For this purpose, suppliers were grouped according to their NACE code (source: internal database and Chamber of Commerce records) and the amounts invoiced to the Group. | EEIO coefficients |
| **Category 2<br> Capital goods** | The spend-based method was adopted using the amounts of the capital goods purchased and entered in the asset book in 2024. The goods purchased were allocated by type to an NACE business segment, with EEIO coefficients then applied. | EEIO coefficients |
| **Category 3 <br> Fuel and energy-related activities (not included in Scope 1 or 2)** | Data collected at Group level for direct and indirect consumption were used and multiplied by the DEFRA emission factor. Consumption attributable to apartment block utilities. Starting from the economic data of reimbursements made to apartment blocks and related to utilities, the consumption of apartment block systems was estimated, using the average costs of commodities at national level. | The offsetting coefficients used to obtain Scope 3 emissions are taken from the Department for Environment, Food & Rural Affairs (DEFRA 2024). |
| **Category 4<br> Transport and upstream distribution** | The figure reported relates only to MPS Tenimenti, as it was not possible to retrieve data on the transport costs of goods purchased for the Group. For this reason, the transport costs were included in category 1 data. | EEIO coefficients |
| **Category 5 <br> Waste** | The data collected at Group level for waste and its disposal methods were used and multiplied by the DEFRA factor. | The offsetting coefficients used to obtain Scope 3 emissions are taken from the Department for Environment, Food & Rural Affairs (DEFRA 2024) |
| **Category 6<br> Business travel** | The mileage of the Group's vehicles (in km and a distinction in the type of vehicle motorisation) and the rail and air transport of staff (depending on the route concerned) were taken into account | The offsetting coefficients used to obtain Scope 3 emissions are taken from the Department for Environment, Food & Rural Affairs (DEFRA 2024) |
| **Category 9 <br> Downstream transport** | Only for subsidiaries MPS Tenimenti and MPS Banque | EEIO coefficients |

---

BANCA MONTE DEI PASCHI DI SIENA

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| | | |
|:---|:---|:---|
| **Categories included** | **Calculation methodology** | **Conversion factor** |
| **Category 13<br> Downstream leased assets** | &nbsp;&nbsp;&nbsp;Property owned and leased to third parties Consumption of real estate owned by the Group and leased to third parties. Reporting is based on estimates that take into account the surface area, climate zone and characteristic activity of the lessor The Group owns leased properties that fall into four categories that can be differentiated by type of use (tertiary use, garage/warehouse use, industrial use, residential use). All consumption related to this type of use was considered to be from non-renewable sources.<br>The four identified categories are characterised by a different consumption and therefore one or more coefficients were identified for each of them by clustering, in order to define specific consumption. The clustering was carried out on the basis of the typical activity of the lessor, the surface area and, for the tertiary sector (most populated cluster) the climate zone. The chosen coefficients and their reference sources are illustrated below:<br>● Residential housing:<br>- Electricity: 2700 kWh per year consumption of an average family, assuming average housing of 100m<sup>2</sup> for a specific consumption of 27 kWh/m<sup>2</sup><br>*<u>https://www.enel.it/it/supporto/faq/consumo-medio-energia-elettrica</u>*<br>- Natural gas: 1400m<sup>3</sup> per year consumption of an average family, assuming average housing of 100m<sup>2</sup> for a specific consumption of 14 kWh/m<sup>2</sup><br>*<u>Gas: substantial stability, -0.2%, for consumption in May - Arera</u>*<br>● Garage/warehouse:<br>- Electricity: use of the Group's average specific consumption for buildings with the same use<br> - Natural gas: n.r.<br>● Industrial sector (leather processing): consumption data provided directly by users were considered when available; when not available, the specific consumption parameter of users who provided the data was considered to estimate the data.<br>● Tertiary sector: by analogy, data were deemed to be comparable to the consumption of the banking sector's operating assets. For both electricity and natural gas, the specific consumption coefficients in the table in the report 'BANKING SECTOR ENERGY CONSUMPTION BENCHMARKS' produced by AbiLab during 2022, on actual data for the year 2021 were used. | For natural gas and electricity consumption, conversion factors from the 'ABI Lab Guidelines' (December 2024 version) were used, and specifically for electricity the location-based methodology was used. |
| **Category 15 <br> Financed emissions** | Financed emissions are calculated by the Partnership for Carbon Accounting Financials (PCAF) Standard, December 2022 edition, in relation to the business loans and unlisted equity asset class with Score 2 option 1b, using the following formula:<br>financed issues per counterparty = (Gross Carrying Amount of counterparty/total assets of counterparty) \* unverified company issues of counterparty.<br>For details of the calculation methodologies used, please refer to the section on "Scope 3 - Category 15 estimation methodology".<br>The Group, while waiting for the consolidation of a common practice in the industry, has considered calculating only emissions on loans to non-financial corporations because, for the other asset categories in its portfolio, it considered the data insignificant. The Group is constantly striving to expand the coverage of the emission profile for other asset categories as well, the quality of the data and estimation approaches used. | The attribution factor calculation considered the counterparty financials, value of the company and credit exposure recorded in the financial statements. |

---

In addition, as at 31 December 2024, the Group had no biogenic CO<sub>2</sub> emissions deriving from the combustion or biodegradation of the biomass included in Scope 3 emissions.

The following categories were excluded from the calculation of Scope 3 GHG emissions:

Category 7. Employee commuting: The figure was calculated for the year 2023 but could not be replicated for the year 2024, in addition, the figure was only for locations with more than 100 employees.

● Category 8. Upstream leased assets - already included in Scope 1

<sub> </sub>

● Category 10. Processing of products sold: not material for the Group

<sub> </sub>

● Category 11. Use of sold products not material for the Group

<sub> </sub>

● Category 12. End-of-life treatment of products sold: not material for the Group

<sub> </sub>

● Category 14. Franchises which are not material for the Group

2024 ANNUAL REPORT - Sustainability Reporting

Calculation methodology - estimated data focus

Scope 1 and Scope 2 - methodology for estimating consumption

In relation to the scope of reported consumption, details are given of the calculations and estimates made by the Group for the following consumption:

● consumption attributable to apartment block utilities. Starting from the economic data of reimbursements made to apartment blocks and related to utilities, the consumption of apartment block systems was estimated, using the average costs of commodities at national level;

<sub> </sub>

● consumption of residual utilities, such as LPG and district heating;

<sub> </sub>

● consumption of real estate owned by the Group and leased to third parties. Reporting is based on estimates that take into account the surface area, climate zone and characteristic activity of the lessor.

**Residual utilities (LPG and district heating)**

Some of the Group's properties use LPG or district heating.

The consumption figures for the two sources were taken from the billing documents, however, these still do not cover the entire year being reported.

Therefore, where the monthly consumption value of some months was not available because it had not yet been billed, it was estimated using the missing month/available month ratio of the natural gas source of Parent Company and Banca WIDIBA.

By way of example, December represents 27% of consumption for the months from January to November: where consumption data for the month of December is not available for a utility, this estimation coefficient was applied to the consumption values recorded up to November in order to obtain the total value for the year.

District heating consumption was considered based on whether from renewable or non-renewable sources depending on the individual source of the buildings' systems. In particular, consumption from renewable sources was considered to be provided by the following systems:

● Turin - Corso Siracusa 154/B: energy mix: Renewable

<sub></sub>

source: primary waste (waste-to-energy)<br> *<u>http://www.comune.torino.it/ambiente/energia/fonti_rinn/integrazione-edificio-impianto.shtml</u>*

*<u>https://trm.to.it/funzionamento/</u>*

<sub> </sub>

● Ferrara - Via Padova 29/31: energy mix: Renewable

<sub></sub>

source: primary geothermal hot water<br> *<u>https://heracomm.gruppohera.it/cambiamenti/cultura-della-sostenibilita/ferrara-citta-calda-per-natura</u>*

<sub> </sub>

● Ferrara - Corso della Giovecca 50: energy mix: Renewable

<sub></sub>

source: primary geothermal hot water <br> *<u>https://heracomm.gruppohera.it/cambiamenti/cultura-della-sostenibilita/ferrara-citta-calda-per-natura</u>*

<sub> </sub>

● Monterotondo Marittimo – Via L. Bardelloni 62: energy mix: Renewable

<sub></sub>

source: primary geothermal steam <br> *<u>https://www.comune.monterotondomarittimo.gr.it/home/servizi/servizio~e28f204c-577c-47d5-a2aa-2f61e3b6574d~. html</u>*

<sub> </sub>

● Pomarance – P.za Sant'Anna 4: energy mix: Renewable

source: primary geothermal steam<br> *<u>https://www.geoenergyservice.it/impianto/</u>*

Regarding the last two properties, as billing is on a lump sum basis, no consumption data are available. Therefore, the data were estimated starting from the indoor surface area to which the average Bank value of 51.0324913 MWh/m<sup>2</sup> was applied.

BANCA MONTE DEI PASCHI DI SIENA

Indirect Scope 3 category 15 emissions - estimation methodology

For the calculation of counterparties' funded emissions (Scope 1, Scope 2, Scope 3), the absolute emissions data of counterparties are provided by an external provider and are calculated on the basis of the provider's own proprietary estimation methodology. In general, the counterparty emissions data can be:

● accurate, e.g. directly reported by the company in publicly available corporate reports (Non-Financial Statements, Sustainability Reports);

<sub> </sub>

● estimated using the following approach:

**Scope 1**

The calculation procedure is based on official data from a public source (Eurostat) on emissions intensity, expressed in tonnes of CO<sub>2</sub> per € of value added, by NACE code and by EU country. This figure is further refined using, where available, more granular data on emissions by more detailed NACE/ATECO codes (source: Ispra/Register of the Union for the Emissions Trading Scheme). This factor is then benchmarked to revenues through a recalibration procedure that firstly requires calculation of the ratio between value added for the sector provided by Eurostat and the value added for the sector calculated by the external data provider, aggregating separate financial statements by sector and, lastly, applying the ratio between value added and revenues, again at sector level. The resulting figure is then further refined by comparison with a similar indicator calculated on the average data of the sample of businesses operating in the same sector starting from accurate data, when standardised and statistically significant samples are available.

**Scope 2**

Scope 2 emissions data are estimated using the following figures:

● Electricity consumption (in MWh) at 2-figure NACE code level (source: Terna);

<sub> </sub>

● Conversion factor, adopted to convert electricity consumption into CO<sub>2</sub> emissions (in tonnes of CO<sub>2</sub> eq./GWh) (source: ENEL).

**Scope 3**

The Scope 3 emissions are estimated using a data provider method, adapted from the Eurostat<sup>41</sup> consumption-based account tool that estimates the emissions (total) of the entire chain of a given product, adjusted to take into account emissions associated with intermediate goods (unfinished). From the total emissions, the Scope 3 emissions are then calculated by deducting the Scope 1-2 emissions.

GHG intensity based on net revenues and reconciliation

---

| | |
|:---|:---|
| **GHG intensity in relation to net revenue (in euro thousands)** | **2024** |
| Total GHG emissions (position-based) versus net revenues (tCO<sub>2</sub>eq) | 2965 |
| Total GHG emissions (market-based) versus net revenues (tCO<sub>2</sub>eq) | 2961 |
| **Reconciliation** |  |
| Net revenue used to calculate GHG intensity | 6923029 |
| Net revenue (other) |  |
| Net revenue non-current assets held for sale and disposal groups (balance sheet) | 50042 |
| Total net revenue (on balance sheet) | 6872986 |

---

41 See the Consumption-based accounting tool; Eurostat [www.Home - Eurostat (europa.eu)]

2024 ANNUAL REPORT - Sustainability Reporting

GHG removals and GHG mitigation projects financed with carbon credits

In 2024, the Group offset emissions for the use of 2 mln Sm3 of natural gas, equal to more than 69% of total natural gas consumption, by purchasing VER (Verified Emission Reduction) Credits for joining the Vishnuprayag Hydro-electric Project (VHEP) by Jaiprakash Power Ventures Ltd. The VHEP project has involved the construction of a hydro-electric power plant to supply energy from renewable sources to the Indian power grid. The Indian grid operates with a mix of hydroelectric, nuclear and fossil fuel power plants. Construction of this system has allowed a reduction in anthropogenic greenhouse gas (GHG) emissions that would have been generated to supply energy to the grid using fossil fuels (over 70% of energy in India's northern electricity grid is obtained from fossil fuels). The verification standard adopted for the project is VCS (Verified Carbon Standard) by Verra, a global leader, that supports measurable climate action and sustainable development outcomes by driving large-scale investment in activities that reduce emissions, improve livelihoods and protect nature.

---

| | |
|:---|:---|
| **Carbon credits written off in the reference year** | **2024** |
| Total (tCO<sub>2</sub>eq) | 4064 |
| Share from absorption projects (%) |  |
| Share from reduction projects (%) | 100% |
| Recognised quality standard 1 (%) |  |
| Recognised quality standard 3 (%) |  |
| Share from projects within the EU (%) |  |
| Share of carbon credits that can be considered matching adjustments (%) |  |

---

---

| | |
|:---|:---|
| **Carbon credits expected to be written off in the future** | **2024** |
| **Total (tCO<sub>2</sub>eq)** |  |

---

The Scope 1 emission reduction target published in the 2022-2024 business plan includes support for the purchase of carbon credits to achieve it. Carbon credits are needed to offset the share of hard-to-abate emissions.

BANCA MONTE DEI PASCHI DI SIENA

Resource use and circular economy

*[ESRS E5]*

This section provides, in relation to the management of 'resource use and circular economy', a description of the opportunities found to be material from the double materiality analysis. Next, the section outlines the policies and actions taken to manage the issue, to seize material opportunities, and the processes through which the Group monitors the effectiveness of its policies and actions.

Impacts, Risks and Opportunities

The process to map impacts, risks and opportunities with reference to this standard takes into account the specific aspects related to the Group's operational and commercial activities. In particular, this process includes the analysis of both internal and public documentation (e.g. the Environmental Policy, Decarbonisation Strategies) and the identification of initiatives taken to promote recycling and the use of sustainable materials (e.g. waste management, reduction of paper use, separate waste collection).

On the basis of the analyses performed, the following were material:

&nbsp;&nbsp;&nbsp;&nbsp;· **Opportunities** emerged attributable to the Downstream Value Chain,
due to the possibility of expanding the offering through the development of products aligned with the needs of counterparties in the area
of the reuse of resources connected with products and services (e.g. financing for recycling initiatives/contribution to circular economy
systems (with particular reference to output resources)).

![](tm2518026d1_ex99-4sp7img001.jpg)

The Policies, Actions and Targets defined by the Group are described in the following paragraphs for the material topic.

2024 ANNUAL REPORT - Sustainability Reporting

Policies, Actions and Targets related to resource use and circular economy

Outflows of resources related to products and services

Related to this section are the issues of resource outflows related to products and services with reference to the downstream value chain.

Policies

In line with its strategy, market trends and new European regulations in the area of sustainable finance, the Group is committed to working to support sustainable development through the incremental integration of sustainability principles into strategies and operational processes. In particular, it recognises the importance of sustainable resource management in terms of reducing environmental impact and making optimal use of resources through circular economy processes. In this regard, consistent with its commitment to support its corporate customers' transition towards a circular economy and efficient use of resources, the Group identifies an opportunity in the pursuit of investment strategies towards long-term sustainable projects and products by offering dedicated credit solutions to companies operating in material recovery and reuse.

The Group's commitment is reflected in general policies governing the various ongoing and planned initiatives and collaborations to promote the ecological transition. In particular, mention is made of the Group's Sustainability and ESG Guideline, within which commitments with reference to the impact on the environment and ecosystems and to the circular economy.

In addition, a Credit Policy was approved by the Board of Directors in February 2025, concerning, among other things, investments in companies that support the transition to a circular economy and efficient resource management.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Policies** | <br>**Description**<br>**of main contents** | **Reference Scope**<br>**(e.g. Own**<br>**Operations/Value**<br>**Chain Upstream**<br>**or Downstream,**<br>**geographical**<br>**scope)** | <br>**Validation**<br>**of Top**<br>**Management** | <br>**Reference**<br>**to recognised**<br>**third-party**<br>**initiatives and/or**<br>**standards** | <br>**Availability**<br>**(institutional**<br>**site, corporate**<br>**intranet)** |
| **Group Policy on Sustainability and ESG** | The Policy defines the organisational model adopted by the Group to address the integration of sustainability principles along the three lines of environmental, social and governance (ESG) in the definition of the strategy, business model and corporate policies pursued in the conduct of its business. <br>In particular, the document defines the principles, guidelines and relevant sustainability issues that are identified, implemented and monitored in order to respond to all stakeholders. The Policy outlines the Group's commitment which, In line with its strategy, the market trends in these issues and new European regulations in the area of "Sustainable Finance", the Group is committed to working to support sustainable development through the incremental integration of sustainability principles into strategies and operational processes. As part of its financing and investing activities, the Group pays particular attention to environmental, social and governance (ESG) factors, directing capital towards long-term sustainable activities, projects and products. In this context, the Group thus operates by paying attention to the impact on the environment and ecosystems, the responsible use of natural resources, the circular economy, pollution prevention and control, the restoration of biodiversity and ecosystems, respect for human rights, fairness and inclusion, fundamental rights on work and standards regarding child labour and forced labour, health and safety, and the adoption of good corporate governance practices. | The Policy is addressed to the Parent Company and all Group Companies. | The Policy is subject to approval by the Board of Directors, following the opinion of the relevant Board Committees and the Executive Committee. <br>The implementation of the Policy must be notified to the following Structures and Functions of the Parent Company:<br> - Structure to which the individual company reports;<br> - Business Owner structure in charge of the process: Chief Financial Officer and Sustainability and ESG Staff;<br> - Organisation Function.  | The Policy, in the area of product development and distribution, is implemented in coherence with: <br> - Insurance Distribution Directive (hereinafter also 'IDD');<br> - Directive (EU) No. 2016/97;<br> - EU Delegated Directive 2021/1269 (hereinafter also MiFID 2 ESG). <br>| It is available in the Sustainability section of the Group's corporate website. |

---

BANCA MONTE DEI PASCHI DI SIENA

Actions

The Group recognises the importance of the transition to a circular economy and sustainable resource management to achieve the EU's climate neutrality goal by 2050 and to halt biodiversity loss. The extensive use of resources puts pressure on the environment and nature during the extraction of raw materials and on the climate due to climate-changing emissions during the production of goods and products and the harvesting process. The adoption of circular economy approaches can help reduce climate-changing emissions in priority industry sectors such as agribusiness, consumer goods manufacturing, chemicals, transport, fashion and textiles, energy and utilities, and construction.

Consistent with its commitment to decarbonisation and the actions defined to support the transition of its corporate customers to a net-zero economy, the Group sees sustainable finance as an opportunity to promote and support the circular economy and further strengthen its contribution to climate change mitigation. The Group therefore recognises the importance of sustainable management of outbound resources and intends to seize the opportunities arising from the expansion of its range of financial products in response to the needs of its counterparties

In this regard, the Group offers dedicated credit solutions to companies that operate in material recovery and reuse, supporting activities such as recycling, waste management and reuse of raw and secondary materials by developing a credit assessment process that integrates ESG factors, including factors related to circular economy models, at every stage, from granting to credit review, with the aim of supporting the transition and monitoring exposure to ESG risks. In this context, the adoption of the ESG Questionnaire, discussed with the companies, allows the Group to collect qualitative and quantitative information on their commitment to circular economy models and to direct the granting of credit in a manner consistent with sustainability objectives, including those related to the circular economy and decarbonisation strategy.

In addition, the Group participates in ecological transition projects, which also promote the circular economy. Among the projects in which the Group participates are:

&nbsp;&nbsp;&nbsp;&nbsp;· the National Recovery and Resilience Plan (NRRP): the Bank actively participates
in the National Recovery and Resilience Plan (NRRP), with a focus on the "Green Revolution and Ecological Transition", through
which the Group supports projects that promote the circular economy, contributing to the country's ecological transition.

&nbsp;&nbsp;&nbsp;&nbsp;· SACE Green New Deal: Access to financial guarantees for companies that develop
projects aligned with circular economy and ecological transition objectives, favouring sustainable investments. In 2024 the partnership
agreement with SACE was renewed in relation to the SACE Green New Deal guarantee, with the aim of incentivising projects to reduce environmental
impact and of launching an ecological transition through loans backed by SACE guarantees for around 80% of the total disbursed.

&nbsp;&nbsp;&nbsp;&nbsp;· The Bank is a signatory to the Convention between the Ministry for Business
and Made in Italy, Invitalia and ABI to regulate the way in which companies access the facilities through an escrow account able to guarantee
the payment of suppliers of subsidised goods. In particular, the Convention facilitates the granting and disbursement of facilities related
to innovative investment programmes by SMEs, aimed, among others, at their transition towards the circular economy ('Sustainable
Investments 4.0' facility).

&nbsp;&nbsp;&nbsp;&nbsp;· The Group is signatory to the Convention between the Ministry for Business
and Made in Italy, CDP and ABI for granting subsidies to support research, development and innovation projects for the ecological and
circular transition in support of the aims of the "Italian Green New Deal".

The above initiatives are part of the Group's normal operations and are therefore monitored and renewed annually on the basis of changes in the regulatory and market environment.

With a view to the future, the definition of further actions dedicated to fostering the ecological and circular transition of key customers and a careful monitoring of emerging national and international regulatory requirements and the expectations of the market and chief stakeholders is envisaged.

Objectives

To date, the Group has not defined specific quantitative targets for the management of resource outflows related to products and services with reference to the downstream value chain. The adoption of specific targets dedicated to fostering t he ecological and circular transition of the target customers will be evaluated in the future in order to ensure a continuous improvement of the commitment on this issue. However, the issue is appropriately addressed through the broader framework of decarbonisation targets set by the Group in line with NZBA membership.

2024 ANNUAL REPORT - Sustainability Reporting

Disclosure pursuant to Article 8 of Regulation (EU) 2020/852 (Taxonomy Regulation)

Introduction

Introduced by Regulation (EU) 2020/852 (the so-called 'Taxonomy Regulation'), the taxonomy stipulates that activities which contribute to at least one of the following six environmental objectives and carried out in compliance with minimum safeguards can be defined as "environmentally sustainable";

&nbsp;&nbsp;&nbsp;&nbsp;· climate change mitigation;

&nbsp;&nbsp;&nbsp;&nbsp;· climate change adaptation;

&nbsp;&nbsp;&nbsp;&nbsp;· sustainable use and protection of water and marine resources;

&nbsp;&nbsp;&nbsp;&nbsp;· transition to a circular economy;

&nbsp;&nbsp;&nbsp;&nbsp;· pollution prevention and control;

&nbsp;&nbsp;&nbsp;&nbsp;· protection of ecosystems and biodiversity.

This Regulation has been supplemented over time by delegated acts that define, for each of the six environmental objectives, the economic activities and the criteria for technical screening to verify that they meet the requirements of the European Taxonomy, as well as the market reporting obligations with respect to the activities they carry out or, in the case of financial institutions, that they support through financing and investment.

In particular, Commission Delegated Regulation (EU) 2021/2139 and Commission Delegated Regulation (EU) 2023/2485 for the first two climate objectives, and Commission Delegated Regulation (EU) 2023/2486, for the remaining four environmental objectives, establish the types of economic activities that have the potential to contribute to these objectives (so-called 'taxonomy-eligible') and the technical screening criteria that, in the specific case, make it possible to confirm a substantial contribution of these activities to the environmental objectives (so-called 'taxonomy-aligned').

In addition, Commission Delegated Regulation (EU) 2021/2178 defines specific performance indicators to fulfil the reporting obligation of undertakings, which vary according to the type of undertaking and, in the context of financial enterprises, the type of business carried out, making a distinction between credit institutions, managers of financial assets, insurance and reinsurance undertakings and investment firms. With the inclusion of specific economic activities related to the fossil gas and nuclear sector under activities that can contribute to the energy transition, the legal framework has been expanded by a further piece of legislation, Commission Delegated Regulation (EU) 2022/1214, which integrates these specific activities into the European Taxonomy and establishes additional, related reporting obligations for all companies.

In light of this regulatory framework, accompanied by clarifications on its interpretation provided by the European Commission in FAQs on 21 December 2023 and November 2024, and on the implementation of the disclosure obligations gradually published by the European Commission, the Group prepared the required disclosures.

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Section 3 - Social Information

Own workforce

*[ESRS S1]*

This section provides, in relation to the management of "climate change", a description of the impacts, risks and opportunities found to be material from the double materiality analysis. Next, the section outlines the policies and actions taken to manage the issue, to seize material opportunities, and the targets set to monitor the effectiveness of the actions. It also outlines the general processes for involving workers on material impacts that affect them, as well as the channels through which they can express their concerns. Finally, the section reports the metrics used to monitor the effectiveness of the measures taken.

Impacts, Risks and Opportunities

For the purposes of conducting the double materiality assessment with reference to this standard, all of the Group's own employees were considered, whether on permanent or temporary, full-time or part-time, contracts.

The process to map impacts, risks and opportunities with reference to this standard factors in the specific aspects related to the Group's operations. In particular, this process includes the analysis of both internal and public documentation of the Group (e.g. policies to regulate equal treatment and inclusion of employees) and the identification of initiatives taken to protect employees (e.g. the definition of an organisational function dedicated to D&I). The Group has safeguards in place to ensure the protection of its employees' rights. These safeguards, sometimes exceeding minimum regulatory standards, enable the Group to strengthen the confidence of its own workforce and to attract and retain new talent.

On the basis of the analyses performed, the following were material:

&nbsp;&nbsp;&nbsp;&nbsp;· **Positive impacts** related to the *Own Operations* perimeter related
to the existence of measures and processes aimed at ensuring adequate working conditions, equal treatment and opportunities for employees
and their privacy;

&nbsp;&nbsp;&nbsp;&nbsp;· **Opportunity**, with reference to the *Own Operations* perimeter,
to improve the company's reputation, in view of the protection guaranteed to the Group's employees in terms of working hours,
salary adjustment, social dialogue and training and skills development. The trust of the Group's employees and significant stakeholders
is also strengthened in view of the freedom of association and collective bargaining guaranteed to the workforce, the existence of works
councils, the existing work-life balance and the protection of health and safety rights, equal treatment and the prevention of violence
and harassment in the workplace.

2024 ANNUAL REPORT - Sustainability Reporting

The following table summarises the sub-topics/sub-sub-topics considered material in terms of Impacts, Risks and Opportunities and the perimeter related to the Value Chain for standard S1:

![](tm2518026d1_ex99-4sp7img002.jpg)

For these issues, the following paragraphs describe the relevant Policies, Actions and Targets defined by the Group on Safeguarding Working Conditions (covering Safe Employment, Working Hours, Adequate Wages, Social Dialogue, Freedom of Association and Work-Life Balance), Health and Safety, Training and Skills Development, Diversity and Inclusion (covering Gender Equality and Equal Pay, Employment and Inclusion of People with Disabilities, Measures against Workplace Violence and Harassment and Diversity) and Privacy.

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Policies, Actions and Targets regarding the Workforce

Protection of working conditions

Issues related to secure employment, employees' working hours, adequate wages, social dialogue, freedom of association and collective bargaining, and work-life balance belong to this paragraph.

Policies

The Group is committed to ensuring adequate working conditions in compliance with current legislation, addressing and managing issues such as safe employment, working hours, fair pay, social dialogue, freedom of association, collective bargaining and work-life balance. To this end, it carefully assesses the related risks and adopts the necessary prevention and protection measures to minimise them.

All the Group's employees are covered by collective bargaining, at national level with the application of the National Collective Bargaining Agreements for the banking sector and at company level with the signing of Level II Agreements.

In this context, the Bank has implemented an organisational model for Human Resources Management, based on the relevant Group Directive, which makes it possible to optimise internal skills and foster the professional development of employees, taking into account their aspirations and needs, also through a targeted remuneration policy.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Policies** | <br>**Description**<br>**of main contents** | **Reference Scope**<br>**(e.g. Own Operations/**<br>**Value Chain Upstream**<br>**or Downstream,**<br>**geographical scope)** | <br>**Validation**<br>**of Top Management** | <br>**Reference**<br>**to recognised**<br>**third-party initiatives**<br>**and/or standards** | <br>**Availability**<br>**(institutional site,**<br>**corporate intranet)** |
| **Group Directive on Human Resource Management** | It defines the organisational model adopted by the Group (principles, responsibilities and activities) for the human resources management process, with the aim of defining and implementing, in compliance with the laws in force and with national and company contracts, the human resources management policies defined by the company, optimising the performance of company processes, also in support of the business and enhancing the value of the professional skills present, offering development opportunities to all resources in compliance with their aspirations and needs where possible and in line with the principles of inclusion and with the commitments defined by the Company in the Gender Equality Policy.<br>| The Directive is addressed to the Parent Company and the Group companies (Widiba, MPS Fiduciaria) | The approving structure is the Chief Executive Officer | - | Available to all employees on the corporate intranet |
| **Remuneration policy** | The Group's remuneration policies are geared towards creating sustainable value over time, ensuring the motivation and loyalty of all employees, and attracting external professionals, fully compliant with the risk-governance policies. | The document is addressed to the Parent Company and all Group companies. | The Corporate Compliance, Risk Management and Internal Audit functions provide their contribution by supporting corporate bodies in the design phase of remuneration policies and intervening in the corresponding implementation processes. | The remuneration policy is defined in compliance with the relevant legal and regulatory system and fulfils the disclosure obligations envisaged by Consob regulations and by the Supervisory Provisions of the Bank of Italy. | It is available in the Sustainability section of the Group's corporate website. |

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Actions

In response to the aforementioned policies in place, the Group has put in place and planned multiple actions to protect the working conditions of its workforce. In particular, the safeguards guaranteed by collective bargaining agreements and the Group's initiatives aimed at preventing psycho-social risks, ensuring work-life balance and in terms of supplementary pensions are mentioned.

All employees are covered by collective bargaining agreements. This ensures adequate labour protection in terms of stable employment, wage adequacy, social dialogue and freedom of association. In particular, the economic and regulatory treatment guaranteed by the CCNL is supplemented by company bargaining with improved provisions on particular areas (welfare, economic integration, training and professional development). In this regard, important agreements were signed on the activation of the company bonus, also in the form of welfare, on the increase of the company contribution to supplementary pension funds and the value of meal vouchers.

**Management of psychological/social risks**

With a view to mitigating and focussing on psychological/social risks, a psychological counselling service has been in place at the Bank since 2016, gradually extended to all Group companies. As of 3 June 2024, the new psychological listening and counselling service was also activated, a listening centre dedicated to welcoming moments of malaise or psychological discomfort, both in the work environment and in relations with colleagues, and in private life and the management of children, guaranteeing total anonymity.

As regards the updating of the work-related stress risk assessment, the setup of focus groups was agreed with the Workers' Safety Representatives to verify the effectiveness of measures identified in the 'Action Plan for work-related stress mitigation' through analysing the perception of a selected sample of workers. The focus groups were led by the company doctor coordinator of the Group Health Service, assisted by a scientific committee and the Head of the Prevention and Protection Service with the relevant department. Participants were chosen by random lots, respecting the proportionality of the company population in terms of organisational role, gender, age and territorial distribution.

In all of the areas investigated, good feedback was given on the mitigation actions implemented, with a general acknowledgement of the company's commitment to keeping the monitoring of work-related stress indicators under control, although areas for improvement remain. The Group plans to manage these insights appropriately, and a new assessment needs to be carried out to survey workers' perceptions of the content and contextual aspects of work related to work-related stress risk.

**Families and leisure time**

The Parent Company is committed to expanding flexibility tools with an evolutionary approach, favouring the work-life balance of personnel, through continuous dialogue, both in management and trade union relations. The time horizon of the activities described is mainly that set out in the current Business Plan (2024 - 2028). In this way, typical welfare institutions are complemented with specific initiatives also for the benefit of family members, accompanied by a dedicated internal communication plan:

&nbsp;&nbsp;&nbsp;&nbsp;· **Medical expense coverage** programme extended to family members; accident policy and leave for medical examinations;

&nbsp;&nbsp;&nbsp;&nbsp;· **MPSolidale**, an internal
solidarity fund fuelled by donations of hours and days from colleagues or portions of remuneration from higher management levels, to
allow colleagues time to deal with serious and verified personal and family needs, with priority given to childcare;

&nbsp;&nbsp;&nbsp;&nbsp;· **Support for parenthood** with an **orientation path for new parents** (Parents' Profession Project) and new initiatives for raising children, including customised study paths for special needs,
as well as programmes reserved for employees and family members to encourage access to sports activities and to support psycho-physical
wellbeing through an online platform;

&nbsp;&nbsp;&nbsp;&nbsp;· **Foreign language study programme** through an online platform dedicated
to both colleagues and family members and agreement for enrolment in **university study programmes**; study leave for working students;

&nbsp;&nbsp;&nbsp;&nbsp;· **Digital corporate library offering** colleagues and family members
the opportunity to borrow e-books;

&nbsp;&nbsp;&nbsp;&nbsp;· Platform of private offers for colleagues and their family members;

&nbsp;&nbsp;&nbsp;&nbsp;· Recreational, sports and cultural activities promoted by staff social organisations
(CRAL).

There is also a plan for the recruitment of family members of employees who died while in company service (or while making use of the solidarity fund).

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The Parent Company also supports the personnel intervention plans activated by the Welfare fund and Association (Cassa and the Associazione di Mutua Assistenza), entities with direct employee participation that have been in operation since 1950.

**Supplementary pensions and financial facilities**

Group companies allocate 2.5% of remuneration to the Corporate Pension Funds, while also extending membership options to dependent family members. In 2024, a trade-union agreement was signed, effective from January 2025, concerning the increase of the Parent Company's contribution to 3%. Insurance cover is also provided in the case of serious events such as premature death and permanent disability.

In addition, staff members are entitled to subsidised terms on loans, including through renegotiation initiatives, and on banking, financial and insurance transactions.

Objectives

Attention to the working conditions of the company's own workforce is embodied in the annual definition of qualitative-quantitative objectives by the Human Resources Management Function, in line with the company's strategic directions. In particular, these objectives concern:

&nbsp;&nbsp;&nbsp;&nbsp;· resource empowerment, to be strengthened by:

<sub> </sub>

- assigning resources to roles in line with their skills, competences and – as far as possible -expectations, with a view to leveraging people and ensuring equal development opportunities;

- training resources appropriately;

&nbsp;&nbsp;&nbsp;&nbsp;· maintaining consistency between the professional appraisals of resources
and the development pathways and incentive system;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· monitoring the corporate climate and employee satisfaction (listening to
employees through interviews and visits to facilities, relations with peripheral company trade union representatives, etc.);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· allocating resources to units/roles that are in keeping with the Group's
workforce sizing and adequacy models and with the Business Plan objectives;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· monitoring and overseeing the operational budgets assigned to personnel
cost items (both expenses and other administrative expenses on staff, including time/labour management, modal allowances, missions, accommodation
supplies, per diems for relocation);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· defining the performance indicators for management activities.

Health and safety in the workplace

Issues related to the protection of health and safety in the workplace are covered in this paragraph.

Policies

As regards the occupational health and safety of personnel, the Group is committed to complying with applicable regulations in force, adequately assessing all risks and planning and implementing prevention and protection measures necessary to minimise those risks.

In this regard, the Group has implemented an Occupational Health and Safety Management System (SGSSL), certified since 2008, which is governed by the internal document "Occupational Health and Safety Supervision" which, together with the Policy on Occupational Health and Safety, describes the responsibilities assigned, the operating procedures and the related records, as well as the rules for verification and control.

The detection of occupational health and safety risks is recorded and documented in the "Risk Assessment Document - RAD"<sup>42</sup>, a document periodically updated in relation to activities undertaken. The latest update of the RAD of Bank and the other companies of the Group, which have outsourced the Company Prevention and Protection Service to the Parent Company, dates back to 30 June 2024. The SGSSL is regularly monitored and maintained with periodic control activities, including, at least once a year, both internal (carried out by suitably qualified personnel) and external (by a third-party certification body) audits. The contents of the documents are checked if the need arises or at least once a year and updated if necessary. The document and any amendments are brought to the attention of all staff, as well as third parties, through the Bank's internal and external channels (e.g. intranet portal, institutional website, notices, etc.).

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|:---|:---|
| 42 | The Risk Assessment Document illustrates the set of operations concerning the assessment of risks for the health and safety of workers pursuant to Article 17(1)(a) and Article 28 of Legislative Decree 81/08. The RADs were drawn up by the Employers of the individual Group companies (Parent Company, Banca Widiba, MPS Fiduciaria, MPS Tenimenti and MGFM), in collaboration with the Prevention and Protection Service Manager, the Coordinator of the Health Service Competent Doctors and the Radiation Protection Expert (where appointed), after consultation with the Workers' Safety Representatives. |

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|:---|:---|:---|:---|:---|:---|
| <br>**Policies** | <br>**Description**<br>**of main contents** | **Reference Scope**<br>**(e.g. Own Operations/**<br>**Value Chain Upstream**<br>**or Downstream,**<br>**geographical scope)** | <br>**Validation**<br>**of Top Management** | <br>**Reference**<br>**to recognised**<br>**third-party initiatives**<br>**and/or standards** | <br>**Availability**<br>**(institutional site,**<br>**corporate intranet)** |
| **Banca Monte dei Paschi di Siena S.p.A.'s Occupational Health and Safety Policy** | The Policy defines objectives in this regard, including a commitment to:<br> - prevent accidents and illness;<br> - continuously improve health and safety management and performance;<br> - communicate its guiding principles to its stakeholders;<br> - comply with applicable legal requirements and other requirements that the company decides to enter into. The Policy also provides the framework for setting and reviewing health and safety objectives. | The Policy applies to the Parent Company and all Group Companies. | The Policy has been approved by the Parent Company's Board of Directors. The responsibility for guiding the implementation of the Safety Policy lies with Top Management and all of the Parent Company's Management. | The policy is implemented in compliance with national and EU legislation on health and safety in the workplace, as well as with the UNI ISO 45001 standard (which replaces the OHSAS 18001 standard as of March 2021), whose principles are of primary reference for the general objectives of company management. | A summary is available in the Sustainability section of the Group's corporate website and in the Suppliers Register. It is also available to all employees on the corporate intranet site. |

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Actions

During the period 13 December 2023-15 April 2024, external audits were conducted by RINA Services for the maintenance of the Occupational Health and Safety Management System in conformity to ISO 45001:2018. The Certification Body, for the year 2024, verified, overall, the adequate application of the system within the company, competence in the regulatory area being audited and the correct implementation of the system with regard to the personnel interviewed, confirming the renewal of the certification. The next audit to maintain the management system certification is scheduled for March 2025. As a result of the aforementioned audits, improvement programmes aimed at promoting workers' health have been defined, with the corresponding timing for implementation.

During 2024, several meetings were also held with the Workers' Safety Representatives (RLS) on various issues related to ordinary activities connected to mandatory fulfilments, such as, for example, consultation meetings pursuant to Article 50 of Legislative Decree 81/08 for territorial areas or for individual issues, the periodic meeting pursuant to Article 35 of Legislative Decree 81/08 and training activities pursuant to Article 37 of Legislative Decree 81/08.

Objectives

To date, the Group has no specific targets to manage the issue of safety at work. However, the monitoring of the issue is ensured by the aforementioned external audits and by the improvement programmes and continuous dialogue with the Workers' Safety Representatives, processes through which the Group ensures continuous monitoring of the issue of occupational health and safety, guaranteeing a proactive approach to risk management and the improvement of working conditions.

Training and skills development

This paragraph deals with the topics of training and skills development for Group employees.

Policies

In order to enhance skills and contribute to the professional development of internal resources, the Parent Company promotes organisational models that develop and stimulate growth, also through dedicated paths, in line with market needs and sustainable development. The Group pays particular attention to monitoring the training needs of personnel to avoid misalignment between skills possessed and those necessary to guarantee quality of service to Customers.

In this context, the Human Resources Development process, including Reskilling and Change Management Plans, is governed by the internal regulatory documents entiled "Professional Development Pathwas".

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|:---|:---|:---|:---|:---|:---|
| <br>**Policies** | <br>**Description of main**<br>**contents** | **Reference Scope**<br>**(e.g. Own Operations/**<br>**Value Chain Upstream**<br>**or Downstream,**<br>**geographical scope)** | <br>**Validation of Top**<br>**Management** | <br>**Reference to**<br>**recognised third-party**<br>**initiatives and/or**<br>**standards** | <br>**Availability**<br>**(institutional site,**<br>**corporate intranet)** |
| **Professional Development Pathways** | The Group's strategic objectives and the provisions of the national collective labour agreement and company bargaining agreements provide for professional skills development pathways which combine experience-based steps, planned professional mobility across different positions and training and development plans to facilitate the acquisition of technical skills and enhance the soft skills required in the target role. | This policy is addressed to the Parent Company. | The approving structure is the first-level function 'Professional Development, D&I and Training'. | There are no direct references to third-party initiatives/standards in the policy. | Available to all employees on the corporate intranet |
| **Reskilling and Change Management plans** | The document regulates the reskilling and change management plans in detail, describing the activities carried out, from the definition of reskilling needs to the verification of the skills possessed, to the monitoring of activities and results following the training and development initiatives implemented. | The document is addressed to the Parent Company and all Group companies. | The approving structure is the first-level function 'Professional Development, D&I and Training'. | Not applicable. | Available to all employees on the corporate intranet |

---

Actions

The Group's training model aims to respond proactively and dynamically to the new cognitive challenges posed by the markets and by continuous developments in the banking system, and business processes, as well as by and the impacts derived from it.

One of the cornerstones of the training model is the annual training planning process based on the work of various corporate functions involved in a methodology giving priority to training initiatives.

In particular, with a view to promoting a culture of risk, a process has been defined which, right from its planning stage, associates each training activity with one or more corporate processes and risks: in fact, this approach guarantees bespoke planning for the areas classified by the MPS Academy - the company's training facility - as high-risk (Credit, Anti-Money Laundering and Financial Crimes, Customer Protection and Transparency, Data Governance, Data Protection, Legislative Decree 231 and Cyber Security). The model is based on two annual activities: The Risk Assessment exercise that defines the risk exposure of each corporate role is the Skills Gap Analysis that determines the training needs of each employee.

**Main projects implemented**

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|:---|:---|
| **Training and development course envisaged by the Consob Intermediaries' Regulation** | In 2024, around 10,000 individuals in direct customer contact were involved in training concerning MiFiD 2, for a total of 30 training hours per capita. In addition, Premium Managers were also trained synchronously, with interventions aimed at working on commercial tools for effective **customer needs analysis and their financial protection**. |
| **Info-training course on Risk Culture** | The subject of risk is monitored with internal communication plans in all its declinations (AML, Compliance, Credit, Cybersecurity, Sustainability and ESG, others). 'Culture of risk' is also the name of a now stable information-training plan, which associates operations with the main risks associated with them. The plan consists of a series of Intranet articles, each with a **Learning Card** (also on ESG topics involving 16,000 people). All articles are collected in a permanent intranet section. |
|  | In April 2024, the annual 'Culture of Risk. A fundamental element for a healthy business' meeting chaired by the Chairman of the Board of Statutory Auditors. Participants: Chief Executive Officer, Board of Statutory Auditors, targets from the 3 business chains and General Management roles. |
| **Multimedia training on Risk Culture** | **Dedicated training for all staff**, in continuity with previous years, through a series of courses with periodic publication on topics covering different risk areas: from Wealth Risk Management to Operational Risk and Anti-Money Laundering. |

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2024 ANNUAL REPORT - Sustainability Reporting

**Main projects implemented**

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|:---|:---|
| **Compliance training** | Two new courses were delivered during the year: "Code of Ethics" and "Administrative Liability of Entities - Legislative Decree 231/2001", which incorporates the regulatory changes in the model adopted by the Parent Company to which all Group staff have been enrolled. Two courses were then delivered on the topic of market abuse, one for network resources and the other for specialists. All of the Parent Company's resources are enrolled on the anti-corruption course. |
| **Professional skills training courses** | Final certification envisaged and provided to auditors and Specialists from the Information Security Function. |
| **Risk-based training on anti-money laundering, credit, cybersecurity & Data Risk** | Risk assessment to determine the main risks to which the various roles are exposed, and skills gap analysis to assess gaps in training (over 11,000 people for the Anti-Money Laundering area and 4,300 for the Credit area) with online training, virtual classroom training and operational coaching (online training for around 11,000 people on anti-money laundering and 4,300 on credit, webinar training for 1,200 people on anti-money laundering and 600 people on credit, operational coaching for 100 people on anti-money laundering and 70 people on credit). In 2024, there was also a return to the classroom for about 800 people in the area of credit. |
|  | Post skill gap analysis cyber security & data risk training was provided, on the topics of cybersecurity, data governance, data protection and administrative responsibility of entities pursuant to Legislative Decree no. 231/01, which involved the resources of the central structures (over 3,900) with a course attendance rate of 60%. |
| **Info-training plan and awareness raising on IT security** | In accordance with the Plan and in continuity with training launched in previous years, **courses for all personnel were provided on the main threats: Fraudulent sites, phone hacking, classification of unstructured data.** The courses are accessible not only from the MPS Academy platform, but also from the Intranet in the cybersecurity section. |
|  | The Plan envisaged specialist post-skills assessment training for personnel in the second-level corporate control functions on monitoring compliance risks (19 individuals), IT roles associated with obtaining or updating certifications, e.g., AIIA courses for Internal Auditors (18 participants), cyber courses for SWIFT operators for CSP compliance (SWIFT Customer Security Programme) and compliance with security requirements envisaged in international standards (300 individuals), courses provided by external certification bodies (e.g. ISACA) in some cases envisaging the issue of international attestations (24 individuals), online business continuity manager training (290 individuals). |
|  | For initiatives involving key and strategic roles of the Parent Company, a board induction event was held for all Board Members and Statutory Auditors of the Parent Company and members of the Board of Statutory Auditors on Cybersecurity: "IT security". |
| **Regulation & Risk Culture APP** | An application running on smartphones was launched for the publication of training content on changing regulatory topics. Publications occur periodically once a month and consist of a video, using an avatar produced with generative artificial intelligence, and textual content. The contents are produced by Deloitte Risk Advisory. |
| **Training courses to support network reorganisation: induction Roles POE value and new SB role** | Following the evolution of the Small Business Service Model and in particular the establishment of the Small Business Districts, a Training Plan was prepared and launched to support the 'manoeuvre' in two directions: entry training to the POE value role (1,000 people involved for 10 hours each) and reinforcement training for managers and SB District managers (870 people involved in training for 11 hours each). |
| **Managerial training for branch managers** | Three different managerial training courses were launched, respectively dedicated to new managers, to learn the team management skills, to existing managers in their roles for at least 3 years, such as skills refresher training and leadership strengthening, and to managers involved in the dedicated professional development path. |
| **Induction training for the main network roles** | Training courses dedicated to learning the technical and operating skills indispensable to those taking on a new role. |
| **Training course for new entrants** **CRO function** | From May to October, the training course for newcomers to the Chief Risk Officer department took place (classroom training for 30 people approx.), which however involved all people in this department (webinar training for 30 people approx.) in 10 training sessions of 2.5 hours each. The training course was designed with the collaboration of the CRO function and the support of *Deloitte Risk Advisory*. |
| **Training plan for new recruits** | To support the entry of about 200 new employees into the parent company, a dedicated training plan was developed, which includes both technical and qualifying training (entry training for policy distributors) and capacity-building (focus on commercial skills). |
| **Being advisor** | Classroom training dedicated to standardising commercial action: programming and tools, risks and controls for Premium Managers. |
| **Objective Value** | Classroom training for Value Added employees, aimed at reinforcing the commercial process of offering consumer credit. Involving the first seven local retail head offices in 2024, the journey will continue in 2025 with the remaining seven. |
| **Private Academy** | Broken down into three progressive training steps and subsequent specialisation and certification initiatives, Private Academy is the programme that accompanies the Parent Company's Private Managers to the full acquisition of the skills indispensable for effective coverage of the role, and constantly updates them with a view to fully covering the evolving needs of customers. |
| **"Transparency" training programme** | The skill gap analysis 2024 envisaged the revision of the question basket, with a focus on some sensitive topics such as the issue of transaction disclaimers and pre-contractual fulfilment. |
| **Training course on issues related to the agri-food market** | A training course was started and will end in 2025, involving, in addition to the specialists in the Agrifood centres, SB managers and companies with customers in the sector (approx. 320 people). The programme includes the delivery of 14 webinars of 1.5 hours each and the support of an internal communication campaign consisting of a periodic newsletter introducing the webinar sessions, introductory videos and a dedicated web section on the Intranet. Educational activities are supported by self-enrolment features activated in the MPS Academy platform ('I choose') by users. The training course was designed in cooperation with the Chief Commercial Officer function and partner Santa Chiara Next, which selected the lecturers/speakers for each webinar, mediating with the most qualified institutes in the field (INIPA, ISMEA, QUALIVITA, etc.). |
| **Post Network Audit Training** | A training course on practices and operational risks was launched for staff belonging to branches audited for which significant gaps were found. The training consists of webinars by MPS Academy faculty members and online courses using adaptive technology. In 2024, about one hundred staff were involved. |

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**Main projects implemented**

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| | |
|:---|:---|
| **Accompaniment in the Parent Company's digitalisation processes** | Training and communication initiatives were prepared to support the main applications and processes (Consumer Finance, Elise platform, Modular PEF for electronic lending, Mortgages Workflow, etc.). |
| **Digital skills development** | The 'Digital Agility' training project was launched in 2024, aimed at strengthening the digital skills of people in the central structures of the parent company, in line with the European Digicomp 2.0 framework. The project will involve more than 1000 people by April 2025, through synchronous training (via webinars). As part of the project, there is also a specific initiative for the IT Department, 'New Innovation and Technology Academy', aimed at providing contextual references and updates on the topics of architectural modernisation, AI, Low Code. |

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**The 'MPS Academy' and ESG awareness programmes**

The training activities are planned and organised in the MPS Academy, the company's permanent training school which since 2012 has accompanied the evolution of organisation models and supports individuals along their professional development paths, designing, planning, monitoring and financing training activities.

In this context, MPS Academy has promoted a number of initiatives on the subject to facilitate the dissemination of ESG principles, such as online courses, workshops and external seminars dedicated to sustainability topics, bespoke training activities connected to skill gap analyses in the areas of Credit and AML/CFT, as well as on diversity, equity and inclusion.

**The "MPS Sviluppa" programme**

The personnel development programme is designed to meet various corporate needs in terms of professional requirements and is geared towards:

&nbsp;&nbsp;&nbsp;&nbsp;· enhancing professional skills and capabilities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· supporting people's motivation and engagement;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· empowering human capital for growth.

The programme is guided by the principles of equal opportunities and accessibility of training and development activities, consistent with the provisions of the Code of Ethics and the document "Rules on Inclusion".

The main instruments made available in the programme, whose execution is symmetrical to the time horizon of the 2024-2028 Business Plan projects, include: Development of soft skills: these initiatives are differentiated on the basis of the role held and the specific professional challenges related to it, through the use of tools such as digital coaching, which involves a course with a certified coach lasting several months, evaluations, which represent a moment of reflection and diagnosis on strengths as well as areas for improvement, and feedback questionnaires, which compare one's own self-assessment on behaviour with the observation of a group of people identified from among co-workers, peers and other observers;

Reskilling: targeted interventions were defined dedicated to the retraining of Central Structures' resources towards Network and Corporate Control Functions (FAC) roles. This structured and scalable process aims to actively manage reskilling, through enhancement of the skills and experience possessed by the people involved and the definition of personalised training courses that promote experiential learning;

Talent Academy: this is an annual programme aimed at identifying, retaining and managing people with talent, understood as human resources with high continuous performance, who show elements of development in a managerial key, useful to cover roles of responsibility and/or greater complexity in the medium term.

Objectives

The commitment to enhancing human capital is implemented through the annual definition of qualitative and quantitative objectives by the Human Resources Management Function, in line with the company's strategic indications. In particular, aspects such as adequate training coverage, consistency of performance and potential assessment with professional development paths and the incentive system are considered. The monitoring of the achievement of these objectives is ensured through specially prepared process KPIs.

Diversity and inclusion

Issues related to diversity and inclusion and, in particular, guaranteeing gender equality and equal pay for work of equal value, employment and inclusion of persons with disabilities, measures against violence and harassment in the workplace, and the protection of diversity are covered in this paragraph.

2024 ANNUAL REPORT - Sustainability Reporting

Policies

The Group's organisation model and structure envisage that all corporate structures are responsible for basing their conduct on ethics and risk culture principles, as well as promoting a corporate culture based on ethics, inclusion, accountability and legality, in compliance with the Code of Ethics. This Code, among its fundamental principles, demands respect for human rights in all activities and in relations with its stakeholders.

To this end, the importance of disseminating an inclusive corporate culture as a strategic driver of development and "zero tolerance" towards any kind of discrimination (racial and ethnic origin, colour, sex, sexual orientation, gender identity, disability, age, religion, political opinion, national extraction or social origin, or other forms of discrimination covered by Union regulation and national law) are reaffirmed in the internal document "Rules on Inclusion" as well as in the Gender Equality Policy.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Policies** | <br>**Description of main**<br>**contents** | **Reference Scope**<br>**(e.g. Own Operations/**<br>**Value Chain Upstream**<br>**or Downstream,**<br>**geographical scope)** | <br>**Validation**<br>**of Top Management** | <br>**Reference to recognised**<br>**third-party initiatives**<br>**and/or standards** | <br>**Availability**<br>**(institutional site,**<br>**corporate intranet)** |
| **Rules on inclusion** | The document defines commitments in terms of valuing diversity, inclusion, equity and parity that the Group aims to pursue in all phases of the business life of each person, in the organisational and operational aspects and in internal and external communication. These are reflected in the Guidelines and Processes adopted by the Human Resources Department. | The Policy is addressed to the Parent Company and all Group Companies. The entire population of the Group is obliged to comply with this document. | The approving structure of the regulatory document is the CHCO Directorate. | The policy is implemented in accordance with the principles adopted by international organisations (e.g. the EU Charter of Fundamental Rights, the UN Declaration of Human Rights, the 2030 Agenda for Sustainable Development and the Principles for Responsible Banking), as well as the relevant European and national regulatory framework:<br> - CRD V, EU Directive 2019/878 of 20 May 2019;<br> - EBA Guidelines on sound remuneration policies (EBA/GL/2021/04);<br> - Eu Directive No. 2023/970;<br> - BankIT Circular 285;<br> - Law No. 162 of 5 November 2021.<br> The document also confirms the Group's membership of leading associations and campaigns (e.g. the Women in Banking Charter). | These are available in the Sustainability section of the Group's corporate website. |
| **Gender Equality Policy** | The Policy defines commitments to valuing diversity, inclusion, fairness and equality, promoting them at all stages of each person's corporate life, in organisational and operational aspects, and in internal and external communication. This document expresses principles designed to promote a climate that legitimises listening, respect, the expression of differences and the appreciation of everyone. | The document is addressed to all stakeholders. | The approving body of the document is the Board of Directors. | The document is produced in accordance with UNI/PdR 125:2022 Reference Practice. | It is available in the Sustainability section of the Group's corporate website. |
| **Rules on preventing and combating gender-based harassment in the workplace** | The document defines the general and unavoidable reference principles and non-tolerated conduct to ensure a working environment free from gender discrimination, violence and harassment to which each person must be committed. | The document is addressed to the Parent Company and all Group companies. The entire population of the Group is obliged to comply with this document. | The approving structure of the regulatory document is the CHCO directorate. | The document is produced in compliance with the provisions of provisions of Law No. 4 of 15 January 2021 ratifying and executing the International Labour Organization Convention No. 190 of 2019. | These are available in the Sustainability section of the Group's corporate website. |

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BANCA MONTE DEI PASCHI DI SIENA

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Group Guidelines on the management of whistleblowing systems** | The Guidelines handles, through the whistleblowing system, actual or potential "non-compliance", such as violations of the principles of equal opportunities, fairness and inclusion set out in the Code of Ethics, as well as other cases that may constitute violations of European Union law and relevant external and internal regulations. | The Guidelines apply to all personnel of the Parent Company and Group Companies: Banca Widiba and Monte Paschi Fiduciaria. | Its implementation must be notified to the following Departments and Functions of the Parent Company:<br> - Directorate of Corporate Reporting;<br> - Staff CAE and Government Audit Subsidiaries;<br> - Organisation Partner;<br> - Organisation Function. | The document is drafted in compliance with:<br> - Directive 2013/36/EU (so-called CRD IV);<br> - the implementation of these provisions into Italian law by Legislative Decree 72 of 12/5/2015, which introduced Article 52-bis of the Consolidated Law on Banking.<br> - the 11th and 34th updates to Bank of Italy Circular 285;<br> - Directive 2019/1937/EU. | These are available in the Sustainability section of the Group's corporate website. |

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Actual or potential "non-compliance", such as violations of the principles of equal opportunities, fairness and inclusion set out in the Code of Ethics and other cases that may constitute violations of European Union law and relevant external and internal regulations, are handled through the whistleblowing system, as provided for in the Group Directive on the Management of Internal Whistleblowing Systems.

As for the reporting of inappropriate behaviour in the workplace, the reporting person, in addition to using the whistleblowing system, can report to a special Protection Committee, as specified in the document Rules on preventing and combating gender-based harassment in the workplace, and in the document Gender Equality Management System.

The implementation and governance of the regulatory documents and related processes just mentioned describe the general approach for remedial measures with respect to any deviations/non-conformities that may occur. In keeping with this fundamental approach, all new recruits, from the beginning of their employment, receive information and continuous training on the duties they are required to perform, on the regulatory elements governed by the National Collective Bargaining Agreement and on specific disclosures (i.e., on privacy, anti-money laundering, Legislative Decree 231/2001, Code of Ethics, prevention and safety, Corporate Governance Code, etc.).

Actions

To ensure the monitoring of gender equality activities and areas, with particular reference to compliance management, the Gender Equality Management System was updated. Based on the outcome of the monitoring carried out, the management of recommendations was defined, ensuring the activation of any corrective actions. With a view to continuous improvement in the areas of gender equality and inclusion, the System envisages the preparation, management and updating of a Strategic Plan on gender equality**,** defining objectives and decisive action to close the gaps identified from analysis of the dedicated indicators. the Plan is shared and approved by a special Steering Committee, composed of Top Management. At the same time, nonconforming situations, such as violations of the principles of equal opportunities, equity and inclusion, are managed, and specific reporting is drafted.

With the aim of monitoring the implementation of the principles expressed in the Gender Equality Policy over time, the Group is committed to adopting specific KPIs that, in line with and consistent with the principles contained in the reference regulatory documents, enable the monitoring and measurement of the progress and results achieved, in support of the cultural change in terms of diversity and inclusion.

Below are the main actions related to the employment and inclusion of people with disabilities, prevention of violence and harassment in the workplace and promoting diversity.

These initiatives are implemented at Group level, affect all personnel and have a continuity character over the reference time horizon coinciding with the Strategic Plan in execution (2024-2028)

2024 ANNUAL REPORT - Sustainability Reporting

**Initiatives dedicated to equal treatment and opportunities for all**

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| | |
|:---|:---|
| **Plural Management Project** | In-house training continued in 2024 to raise awareness of respect for diversity and inclusion, particularly in relation to gender and disability, and a focus on the Gender Equality Policy. A total of 2,633 managers have completed the course, including 210 in 2024. |
| **Growth Together** | *"Growth Together"* was implemented as a continuation of the "Women Leadership Program", a laboratory to support the managerial development of women in positions of responsibility, fostering self-awareness, knowing their own skills and setting firm objectives. Since its launch in 2020, the project has seen the participation of 609 women managers from all the business lines. |
| **Top Management training** | The active involvement of top management on diversity and inclusion issues was accompanied by a dedicated information and training activity, focusing on gender equality and the fight against and prevention of gender harassment in the workplace, by Fondazione Libellula. |
| **"Safe at work" training** | In 2024, a training meeting was held for specialists on how to intervene to prevent and manage possible incidents of harassment, organised by Fondazione Libellula. |
| **Disability Lab meetings** | In 2024, the meetings of the 'Disability LAB', a network of companies set up to foster discussion on concrete action plans, by Wise Growth, continued. |
|  | In particular, the following topics were covered: "Management training in the disability field", "The detection of disability situations in the company", "Teams with disabilities: when and how to support them?". |
| **"I'm Possible" training meetings** | In 2024, training courses for resource persons were carried out to increase awareness and knowledge of the different experiences with inclusive teams, with a focus on disability issues. |
| **Unconscious Bias** | The Unconscious Bias course was made available to the entire corporate population with the aim of learning about the phenomenon of bias and reflecting on how it can influence perception and opinions in our relations. The online course was taken by 97% of the corporate population. |
| **Gender equity** | In 2024, the 'Gender Equity' course was made available to the entire corporate population, which was taken by 92% of the corporate population. |
| **Awareness-raising on the prevention of gender harassment** | On 25 November, the 'International Day for the elimination of Violence Against Women', the Bank joined ABI's initiative 'Words of Inclusion' to promote financial autonomy, a series of podcasts dedicated to the theme of economic violence. The training courses 'Financial Education: an empowerment tool' focused on the enhancement of financial education as a tool to prevent and combat the phenomenon of economic violence. |
| **D&I page on the corporate intranet** | The intranet section fully dedicated to Diversity & Inclusion is constantly updated, where opinions can be expressed and suggestions put forward, including reading recommendations, videos, newsletters and so on. Each month, the section is enriched with a new word from the inclusive glossary, which aims to clarify the meaning of certain terms that have entered into common usage but are not always used correctly. |
| **D&I training for new recruits** | The induction courses for new recruits include a special educational, taught in-house, dedicated to the topics of Diversity & Inclusion. |
| **Inclusion Week** | A week of virtual classrooms was held in March 2024, involving all Group personnel, on a voluntary basis, to reflect on two macro areas: workplace harassment contrast and prevention (by Fondazione Libellula) and disability (by internal teachers). At the end of the classrooms, a disability manifesto was published, in which suggestions and proposals were collected to promote initiatives that accommodate the needs of each colleague. |
| **Open Jam** | As part of the projects aimed at strengthening its commitment to valuing diversity and spreading an inclusive culture, the Group also joined the 'Open Jam 2024' initiative, promoted by The European House - Ambrosetti, with the intention of enhancing the comparison between the different generations present in the company (GenZ, Millennials, GenX, Boomers). |

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Objectives

The focus on issues related to diversity and inclusion is reinforced with an enrichment of performance indicators in line with the "Rules on Inclusion" document and with constant monitoring of existing indicators. In particular, mention is made of the indicator concerning the percentage of positions of responsibility<sup>43</sup> held by women. This KPI - already identified as a **Smart target** for the period 2021-2023, in line with the commitments undertaken after joining the UNEP FI Principles for Responsible Banking and with the provisions of the UNI/PdR 125/2022 Reference Practice on Gender Equality Certification - **was set at 35% by 2023 and was comfortably passed, with the actual figure at the end of this period reaching 37% and increasing further to 37.6% at the end of 2024**. This indicator will continue to be one of the most monitored KPIs for achieving the objective set in the 2024-2028 Business Plan, i.e. more than 40% in 2028.

Targets are defined on the basis of KPI analysis, also with a view to pursuing the goal of continuous improvement in the areas of gender equality and inclusion, through the involvement of the functions that directly oversee the relevant issues. Monitoring of the defined indicators is managed by the relevant functions, which, in the event of deviations, identify corrective actions to align with the objectives of the Gender Equality Strategic Plan.

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| | |
|:---|:---|
| 43 | The following are considered as resources with positions of responsibility: In the General Management Division (of the Bank and other Group companies), heads of structures up to sector level (Chief Executive Officer, General Manager, Deputy General Manager, Head of Division, Head of Level I, II and III Structures, Area, Service, Staff, Technical Secretariat, Office and Sector), Regional Sales & Distribution Divisions (Business and Private Regional Managers, Retail Regional Managers, Private Managers and Retail District Managers), Regional Credit Divisions (Business and Retail RCD Managers, and in the Network the Branch Managers and Heads of Specialised Centres (e.g., Private Businesses, etc.). |

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BANCA MONTE DEI PASCHI DI SIENA

Privacy

This paragraph relates to Privacy, i.e. the protection of the confidentiality of the personal data of the Group's people.

Policies

In order to prevent the violation of data privacy rights, data protection safeguards and channels for employees to raise concerns are ensured through the "Data Protection Policy".

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Policies** | <br>**Description of main**<br>**contents** | **Reference Scope**<br>**(e.g. Own Operations/**<br>**Value Chain Upstream**<br>**or Downstream,**<br>**geographical scope)** | <br>**Validation**<br>**of Top Management** | <br>**Reference to**<br>**recognised third-party**<br>**initiatives and/or**<br>**standards** | <br>**Availability**<br>**(institutional site,**<br>**corporate intranet** |
| **Data Protection Policy** | The policy describes the privacy policy adopted by the Group according to the following methodological approach:<br> - operational and privacy control, aimed at ensuring:<br> (i) compliance with data protection principles from the project design or technology use stage;<br> (ii) respect for the rights exercised by data subjects;<br> (iii) the implementation of the Records of processing activities;<br> (iv) the management of data breach events.<br> - roles and responsibilities in the Bank;<br> - privacy information flows;<br> - planning and reporting on the activities and controls carried out;<br> - training and empowerment of employees. | Currently, the policy refers to the Bank with plans to extend the drafting of this document to the other Group companies. | The Bank's Board of Directors is responsible for the overall supervision of the privacy compliance management system. It also approves the privacy management policies and process, providing strategic guidance on the matter and issuing the necessary instructions for its implementation. | For privacy compliance purposes, the Bank complies with the following standards:<br> - EU Regulation 2016/679 (GDPR);<br> - Legislative Decree 196/2003 (Privacy Code) as subsequently amended by Legislative Decree 101/2018;<br> - Guidelines, measures and other pronouncements of the Italian Data Protection Authority and the EDPB, as well as other general regulations with an impact on privacy. | It is available in the Sustainability section of the Group's corporate website. |

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Actions

In order to ensure that emplyees are trained in data protection issues, the Group provides for employee training, i.e. initiatives to promote a data protection culture. In particular, such training courses are part of the Group's established practice and are provided for employees both at the time of their induction, as well as on the occasion of job changes or the introduction of significant new tools for the processing of personal data.

Training courses on this subject cover not only purely regulatory aspects (e.g. compliance with privacy regulations, data confidentiality, handling a data breach) but also those relating to data protection from a technological point of view, e.g. with regard to phishing or other scam techniques.

Persons authorised to process data are all employees who, in connection with their activities, come into contact with and process personal data to which they have access. Access to personal data, whether in computerised form or on paper, by persons authorised to process the data, must only take place if knowledge of the data is strictly necessary to perform the tasks assigned. In this respect, each appointee is assigned an access user to the Bank's Information System, the authorisation profile of which is closely related to the role he/she holds, the tasks entrusted to him/her and the operational entity to which he/she belongs.

2024 ANNUAL REPORT - Sustainability Reporting

Objectives

The group has not, to date, defined specific objectives for dealing with employee privacy issues. Nevertheless, the Group oversees the effective monitoring of policies and actions in relation to this issue. In particular, responsibility for Level II checks on the regulatory requirements of privacy obligations is assigned to the Compliance Function. These controls are part of the Group's normal operations and consist of:

&nbsp;&nbsp;&nbsp;&nbsp;· planning and carrying out remote and on-site audits during the year, also
taking into account requests made by the Data Protection Officer (hereinafter also DPO);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· if aspects of non-compliance emerge in the conduct of employees in the performance
of the duties entrusted to them in the field of privacy, reporting to the Internal Audit Function and the DPO Staff;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· carrying out Level II checks on the correct execution of the Data Protection
Impact Assessment (hereinafter also DPIA);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· as part of the reporting to senior management prepared by the DPO, support
to the DPO with regard to the results of privacy compliance checks carried out.

Processes for involving own workers and workers' representatives on impacts

The management of material impacts entails that the Group should have its own employee engagement processes in place to take their views into account.

At constitutional level, Italy protects the freedom of association (Article 18) and trade union membership (Article 39) and is a member of the International Labour Organization (ILO). In line with constitutional principles and regulations in force, the Group encourages freedom of association for employees, which it manifests in many ways.

Level II bargaining**,** which is entirely consistent with the applicable regulatory framework, confirms the strategic value of dialogue and the active involvement of trade union organisations, at the basis of a corporate climate of positive participation. To this end, the Group is committed to promoting information and consultation rights of the Trade Unions so that, each in their respective roles, the best solutions are constantly sought, in the common interest of laying the foundations for the long-term sustainable growth of the Group.

Ongoing discussion between the Parties, at central and peripheral level, has the shared objective of fostering extensive awareness and assessment of the repercussions on resources of reorganisations and seeking suitable convergences to limit the impacts and guarantee quality of working conditions in a context of innovation and change. In all cases of restructuring, business reorganisation or other activities affecting personnel in terms of work organisation and regional and professional mobility, the Group arranges specific disclosures, in compliance with provisions of the National Collective Labour Agreement, and/or discussions with trade unions to analyse the impact on staff. It is after the closure of negotiations, with different durations contractually predefined on the basis of the reorganisation (up to 50 days), that the agreed measure can be implemented.

The Group's industrial relations are supervised and managed by the First Level Company Function, through the planning and management of activities (initiation, development and definition of consultation procedures) and active listening to company trade union representatives to ensure compliance with laws and national and Level II bargaining.

In this context, Joint Committees, made up of company and union members, play a fundamental role in Level II bargaining, dealing with specific areas to jointly examine material issues and promote initiatives for enhancement and growth within company policies and processes.

The Committees - which met in 11 sessions in 2024 - are divided by scope and subject matter, including: "Commercial Policies", "Welfare", "Training", "Equal Opportunities" and "Environmental Sustainability".

Specifically, the 'Equal Opportunities' Committee has the task of agreeing female employment indicators at company level, as well as identifying appropriate empowerment policies. The Committee's activity was strengthened for the purpose of finding tangible solutions to enhancing the potential of people, each with their own diversities, identified as factors for the Group's cultural and social growth. Equally significant is the analysis conducted by the Corporate Observatory, a joint body set up to monitor interaction between personnel in the different operating entities with communications models that engage individuals at all levels. Its focus is on relationships to preserve the individual personality and maintain a high standard of "quality" of life in the company, and also on situations that may potentially harm the dignity of workers.

BANCA MONTE DEI PASCHI DI SIENA

Listening to employees

For the Group, listening to people is an essential element of the relationship with employees and is carried out systematically by applying different internal tools and channels.

With a view to continuous updating and sharing the most important topics for the Group, the Chief Executive Officer continued to be involved. In particular, the CEO - over the course of 2024 - held 14 meetings in Italy (involving more than 4,000 colleagues) with the aim of sharing the guidelines of corporate strategy (2024-2028 Business Plan), fostering dialogue, listening and active participation.

These meetings were complemented by a further six in-person events at which the CEO met colleagues on development paths ("Talent Academy") and new recruits.

The CEO also held four conference call meetings with all colleagues to present the financial results for the period. On these occasions, a Q&A session was also scheduled*,* in which participants could put questions directly to the CEO. In-depth meetings on the topics posed by the HR Managers were then scheduled for these colleagues. Answers to frequently asked questions are made available on the Intranet.

The Commercial C-levels held 24 live meetings with colleagues from the respective Divisions to share and improve understanding of the j lines and the corporate objectives for the period. At each of these meetings, colleagues were able to submit questions or remarks, commented directly or after the event on the other communications channels.

Some sales functions hold specific listening sessions - sometimes with the assistance of business partners - to present market outlooks. 45 meetings in total were held in 2024.

In July 2024, the first edition of "A Day at the Branch" was held: more than 60 branches (for a total of about 2,500 people involved) throughout Italy hosted an equal number of managers from the central structures in order to carry out a direct and fruitful discussion focusing on practical aspects of the network's activities, so as to enhance together each concrete element and thus pursue the growth of the Bank and its people. The meetings were also attended by the Chief Executive Officer and the Deputy Chief Commercial Officer.

The main information and questions from the Network were taken up by the Departments and provided structured feedback to all staff through an article published on the intranet.

The effectiveness of involvement

Internal climate surveys and feedback collection are carried out by means of focus groups and employee satisfaction questionnaires after events, as well as interactive functions on the company intranet (comments, likes, shares). Another interaction method was also introduced ("Did you find this article useful?") to gather colleagues' views on the usefulness and layout clarity of the aspects discussed.

All employees, based on the methods described, can express their opinion on their working life in the Group, the applications released and the Bank's initiatives.

In parallel, the structured and systematic practice of one-to-one meetings and interviews with employees by Human Resource Managers, also at the direct request of the individual employee, has continued. In addition, for new employees, targeted listening procedures are in place within the first few months of employment by means of special questionnaires to collect their degree of satisfaction and perception on joining the company, as well as feedback interviews during the probationary period in which any needs or points of attention are acknowledged.

2024 ANNUAL REPORT - Sustainability Reporting

Processes to remediate impacts and channels for workers to raise concerns

The Group promotes, by means of territorial meetings, moments for exchanging views and the adoption of dialogue structures, the expression of any concerns and needs of its workers.

The Group provides employees with appropriate tools for reporting possible violations of the rules of conduct (the "Whistleblowing" system). In particular, through the Whistleblowing system, as governed by the Group's Code of Ethics, each employee is required to actively cooperate in the achievement of high ethical standards, both directly - by acting responsibly - and indirectly - by reporting any violations of laws, regulations and procedures that could have a negative impact on the Group. Through the dedicated IT platform or orally via a special telephone service, staff and qualified external personnel may report - confidentially - irregular or incorrect circumstances and conduct which they suspect or have become aware of in the course of their duties. These reports are received by the Fraud Audit department, which is also in charge of internal investigations. For more details on the complaint handling process as well as on the policies for the protection of employees using the complaint systems, please refer to Section 4 - Information on Governance (par. *"Policies, objectives and actions related to whistleblowing"*). A new multimedia course was implemented in 2024 in which all Group resources were enrolled, in addition to specific training measures for owners and new employees.

The protection of workers' human rights

The Group considers the enhancement of internal skills as a priority, fostering the professional development of its employees. To this end, it adopts organisational models aimed at growth, sharing objectives, knowledge and promoting the dissemination of an ESG culture at all levels of the organisation, including through compliance with the main international agreements and treaties on the subject. In this context, the Group is committed to complying with the United Nations' Universal Declaration of Human Rights, promoting the protection of human rights, including the principles on child labour and forced labour, and encouraging a conduct inspired by integrity and respect in line with the UN Global Compact and the UNEP Principles for Responsible Banking. These principles refer to the International Bill of Human Rights, as well as the International Labour Organisation (ILO) Declaration.

The Group therefore guarantees that people's lives and dignity are respected, and that work organisation choices safeguard the value of individuals, as well as health and safety in the workplace, the protection of working conditions, diversity and inclusion, training and skills development, and privacy.

BANCA MONTE DEI PASCHI DI SIENA

Metrics

This section reports the metrics used by the Group to monitor the effectiveness of the measures taken by the company to manage its workforce. The following tables represent the actual (not estimated and not average) number of working employees at the end of the period, expressed in headcount (HC)*.*

Characteristics and composition of the company's employees

Template for the submission of information on the number of employees by gender

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| | |
|:---|:---|
| | **Number of employees<br> (in number of people)** |
| <br>**Gender** | **2024** |
| Men | 7760 |
| Women | 8967 |
| Other |  |
| Not communicated | - |
| **Total Employees** | **16727** |

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Template for the presentation of the number of employees in countries where the enterprise has at least 50 employees representing at least 10 % of the total number of employees

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| | |
|:---|:---|
| | **Number of employees**<br>**(in number of people)** |
| <br>**Country** | **2024** |
| Algeria | 1 |
| China | 9 |
| Egypt | 2 |
| France | 128 |
| India | 1 |
| Italy | 16582 |
| Morocco | 1 |
| Russia |  |
| Tunisia | 1 |
| Turkey | 2 |
| **Total** | **16727** |

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2024 ANNUAL REPORT - Sustainability Reporting

Template for submitting information on employees by type of contract, broken down by gender

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **2024** | **2024** | **2024** | **2024** | **2024** |
| <br>**Number of people** | **Women** | **Men** | **Other(\*)** | **Not** <br> **communicated** | **Total** |
| **Number of employees** | **8967** | **7760** | **-** | **-** | **16727** |
| Number of permanent employees | 8962 | 7749 |  |  | **16711** |
| Number of fixed term employees | 5 | 11 |  |  | **16** |
| Number of variable-hour employees |  |  |  |  | **-** |
| Number of full-time employees | 7332 | 7650 |  |  | **14982** |
| Number of part-time employees | 1635 | 110 |  |  | **1745** |

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(\*) Gender as specified by employees

Template for submitting information on employees by type of contract, broken down by region

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **2024** | **2024** | **2024** | **2024** | **2024** | **2024** |
| <br>**Number of people** | **North** | **Centre** | **South** | **Islands** | **Foreign** | **Total** |
| **Number of employees** | **5759** | **6689** | **3111** | **1023** | **145** | **16727** |
| Number of permanent employees | 5757 | 6675 | 3111 | 1023 | 145 | **16711** |
| Number of fixed term employees | 2 | 14 |  |  |  | **16** |
| Number of variable-hour employees |  |  |  |  |  | **-** |
| Number of full-time employees | 4906 | 6081 | 2907 | 950 | 138 | **14982** |
| Number of part-time employees | 853 | 608 | 204 | 73 | 7 | **1745** |

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The Group hires almost exclusively on permanent contracts; in residual cases, fixed term contracts are used for highly specialised positions where a longer observation period may be functional. All fixed term contracts expiring in 2024 were converted into permanent contracts. All contracts offered in recent years are for office hours from Monday to Friday.

Number and turnover rate of employees

As at 31 December 2024, the Group had a total of 16,727 working employees, down 10 units compared to 31 December 2023. The dynamics are mainly attributable to:

&nbsp;&nbsp;&nbsp;&nbsp;· 243 new hires, mainly young employees taken on mainly to strengthen the
sales network;

&nbsp;&nbsp;&nbsp;&nbsp;· 256
 terminations, of which 131 due to resignations.

The turnover rate, calculated as the ratio between the total number of terminations (256) and the total number of working human resources (16,727), is 1.53%. Terminations include employees leaving the workplace on a voluntary basis or due to dismissal, retirement or death in service.

Characteristics of non-employees in the company's own workforce

The total number of workers who are not employees, but whose work is controlled by the organisation, came to 6 at the end of the period. In the HC, only workers placed at the disposal of companies whose main activity is "recruitment, selection and supply of personnel" (NACE N78 - agency workers) are considered.

BANCA MONTE DEI PASCHI DI SIENA

Collective bargaining coverage and social dialogue

All employees in Italy are covered by collective bargaining agreements; therefore, the percentage is 100%.

Reporting template for collective bargaining coverage and social dialogue

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| | | | |
|:---|:---|:---|:---|
| | **2024** | **2024** | **2024** |
| | **Collective bargaining coverage** | **Collective bargaining coverage** | **Social Dialogue** |
| <br>**Coverage rate** | **Employees - EEA**<br>**(for countries with > 50 employees**<br>**representing > 10% of total**<br>**employees)** | **Employees - non-EEA**<br>**(estimate for regions with > 50**<br>**employees representing > 10%**<br>**of total employees)** | **Workplace Representation (EEA only)**<br>**(for countries with > 50 employees**<br>**representing > 10% of total**<br>**employees)** |
| 0-19% |  |  |  |
| 20-39% |  |  |  |
| 40-59% |  |  |  |
| 60-79% |  |  |  |
| 80-100% | ITA |  | ITA |

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Diversity Metrics

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| | | |
|:---|:---|:---|
| **2024** | **2024** | **2024** |
| **Total number of senior management members\* by gender** | **No.** | **72** |
| Of which Men | No. | 55 |
|  | % | 76.4% |
| Of which Women | No. | 17 |
|  | % | 23.6% |
| **Total number of employees by age range** | **No.** | **16727** |
| Less than 30 years | No. | 361 |
|  | % | 2.2% |
| Between 30 and 50 years of age | No. | 7923 |
|  | % | 47.4% |
| Over 50 years of age | No. | 8443 |
|  | % | 50.5% |

---

*\* First and second level reporting to the administration and control bodies: for the Parent Company, Chief and First Levels; for Group Companies, the General Manager, if any.*

Adequate wages

In compliance with supervisory provisions, the remuneration structures for Group personnel may consist of a fixed and a variable component. Fixed remuneration, which is the main component of the economic value distributed to employees, is aligned to provisions of the NCBA for the sector and to company bargaining agreements in force from time to time.

2024 ANNUAL REPORT - Sustainability Reporting

Social protection

Employees with a subordinate employment relationship (Italy contract) with one of the companies of the Group are covered against the various cases of loss of employment income by the protections provided by Italian law. For the Parent Company and for Widiba Bank, the provisions of the National Collective Bargaining Agreement (CCNL) for the Credit Sector in Italy and of the MPS Supplementary Agreement also apply. For MPS Tenimenti and MPS Magazzini Generali Fiduciari, the regulations of the National Collective Bargaining Agreements adopted in those companies apply. More specifically, the following covers are provided for the Parent Company and Widiba:

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to illness: salary and job preservation for increasing
periods based on seniority, up to 36 months (Credit Sector CCNL), NASPI indemnity for 24 months following any dismissal (Italian Law),
child/spouse recruitment in the case of premature death (MPS Supplementary Agreement);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to unemployment: NASPI indemnity for the 24 months following
any dismissal (Italian Law);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to work injury and resulting disability: preservation
of salary and job for increasing periods based on seniority, up to 36 months (Credit Sector CCNL), indemnified leave for disability (Italian
law), benefits for approaching retirement (Italian law), NASPI (New Social Insurance Provision for Employment) indemnity for 24 months
following dismissal (Italian law), insurance cover for permanent disability/death from accident (Italian law and MPS Supplementary Agreement),
child/spouse recruitment in case of premature death (MPS Supplementary Agreement);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to parental leave: job preservation and indemnity for
compulsory and optional leave (Italian Law), in addition to salary top-ups (Credit Sector CCNL);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to retirement: extraordinary income support allowance
within 5 years of AGO (credit sector fund for post-employment benefits) pension entitlement, allowance according to AGO pension rules
(Italian law), receipt of supplementary pension benefit (MPS Pension Funds / MPS Fund).

The following are the cases provided for by MPS Tenimenti and MPS Magazzini Generali Fiduciari:

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to illness: preservation of salary and job for increasing
periods according to seniority, indemnity for 12/24 months following possible dismissal (Italian law);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to unemployment: NASPI indemnity for the 12/24 months
following any dismissal (Italian Law);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to work injury and resulting disability: preservation
of salary and job for increasing periods based on seniority, indemnified leave for disability (Italian law), benefits for approaching
retirement (Italian law), indemnity for 12/24 months following dismissal (Italian law), insurance cover for permanent disability/death
from accident (Italian law);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to parental leave: job preservation and indemnity for
compulsory and optional leave (Italian Law);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loss of income due to retirement: allowance according to AGO pension rules
(Italian law).

MPS Pension Funds

As part of the welfare system provided for by the Group, in relation to the loss of income due to retirement, the MPS Pension Fund and the MPS Welfare Fund have been introduced from 2020 as forms of supplementary pension system, with the possibility of membership also extended to the tax-dependent family members of Group employees. The allocation is based on ESG criteria and both funds have been signatories to the UNPRI Protocol (*Principles for Responsible Investment*).

Furthermore, in accordance with current regulations, both pension funds have approved and published documents on their websites containing information relating to disclosure of the commitment policy and policies incorporation of sustainability risks into the investment decision-making processes. The funds also define the monitoring methods and ESG reporting plan, for each segment envisaging quantitative analysis of the sustainability factors implemented by specific indicators for each aspect: environmental, social and governance.

In 2024, the funds completed the alignment with Law no. 220 of 9 December 2021 as amended following Law no. 122/2022, introducing the policy on measures to offset the financing of companies producing anti-personnel mines, cluster munitions and sub-munitions, in a capacity as qualified intermediaries. Furthermore, with reference to the MPS Pension Fund, in 2024 the strategic asset allocation adjustment activity continued, through planned investing in the private markets with investment instruments with strategies that explicitly integrate environmental and/or social considerations into investment management (Article 8 of the SFDR on sustainability-related disclosures in the financial services sector, that is part of the EU Action Plan for Sustainable Finance) and with products that target sustainable investments (Article 9 of the SFDR - on sustainability-related disclosures in the financial services sector, that is part of the EU Action Plan for Sustainable Finance).

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Persons with disabilities

The share of own employees with disabilities is 6% (of which 52% men and 48% women).

In particular, these are workers hired in compliance with Law 68/1999 on the compulsory employment of disabled persons in Italy, for whom the assignment of tasks compatible with the worker's disability is envisaged.

The criteria that identify persons considered "disabled" under Law 68/1999 are set out in Article 1 of the Law. Each year, in compliance with the regulations in force, the Group checks, on the basis of the overall workforce, the number of disabled workers to be included and proceeds, normally in agreement with Employment Centres (Provincial Offices of the Ministry of Labour responsible for compulsory employment) to recruit disabled workers. There are also additional workers belonging to the "other Protected Categories" referred to in Law 68/1999, Article 18; these are workers for whom, although not disabled, a percentage of compulsory recruitment in companies is reserved (e.g. orphans of persons who died as a result of work, refugees).

Training and skills development metrics

Number and percentage of employees receiving a review

The tables reported below show the total number of employees who received a performance review broken down by gender and category.

Headcount and percentage figures are calculated on the basis of the total number of employees as at 31 December 2023 (reference year of the assessment). Each recipient of a review record is counted, according to the provisions of relevant internal rules, of the following Group companies: Parent Company, Widiba, MPS Fiduciaria, MPS Tenimenti and Magazzini Generali Fiduciari Mantova (MGFM).

Number of employees receiving performance reviews - breakdown by gender

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Reviewed** | **Reviewed** | **Not Reviewed** | **Not Reviewed** | |
| <br>**Gender** | **No.** | **%** | **No.** | **%** |<br>**Total no.** |
| F | 8840 | 99.67% | 29 | 0.33% | 8869 |
| M | 7663 | 99.39% | 47 | 0.61% | 7710 |
| **Total** | **16503** | **99.54%** | **76** | **0.46%** |  |

---

Number of employees receiving performance reviews - breakdown by category

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Reviewed** | **Reviewed** | **Not Reviewed** | **Not Reviewed** | |
| <br>**Gender** | **No.** | **%** | **No.** | **%** |<br>**Total no.** |
| Executive managers | 155 | 98.73% | 2 | 1.27% | 157 |
| Middle Managers | 6013 | 99.87% | 8 | 0.13% | 6021 |
| Professional Areas (and other qualifications, including qualifications not included in the CCNL Credit Agreement) | 10335 | 99.37% | 66 | 0.63% | 10401 |
| **Total** | **16503** | **99.54%** | **76** | **0.46%** | **16579** |

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2024 ANNUAL REPORT - Sustainability Reporting

Average number of training hours

The tables below show the average number of training hours by gender and by employee category. The data were calculated by extracting the traces of training delivered from 1 January 2024 to 31 December 2024 and the list of all courses completed by each resource accessing the platform during the reference period. Subsequently, the training hours provided were allocated to each resource. Only the hours of the courses that each employee completed during the year are taken into account.

Average number of training hours by gender

---

| | | |
|:---|:---|:---|
| **Details requested** | **QL/QT** | **2024** |
| **Total average number of training hours per employee** | QT h | 41.5 |
| **Average number of training hours per male employee** | QT h | 41.1 |
| **Average number of training hours per female employee** | QT h | 41.8 |

---

Average number of training hours by employee

---

| | | |
|:---|:---|:---|
| **Details requested** | **QL/QT** | **2024** |
| **Total average number of training hours per employee** | QT h | 41.5 |
| **Average number of training hours provided to managers** | QT h | 28.5 |
| **Average number of training hours provided to Middle managers** | QT h | 42.1 |
| **Average number of training hours provided to office staff** | QT h | 41.3 |

---

*Note: For 2024, in addition to Banca MPS, Widiba and MPS Fiduciaria, this includes MPS Tenimenti and MGFM*

The 3D Approach model also allowed for the following in 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· a reduction in serious and very serious gaps in favour of slight and insignificant
gaps;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· a reduction in the average number of hours per capita per year. Investment
in "bespoke" training allows for an improvement in skills by targeting training time to real needs.

There was an increase in the number of resources with training hours in the 40-60 hour range.

BANCA MONTE DEI PASCHI DI SIENA

Health and safety metrics

---

| | |
|:---|:---|
| **Workers covered by an occupational health and safety management system** | **2024** |
| **Number of employees covered by the health and safety management system (No.)** | 16305 |
| **Percentage of employees covered by the health and safety management system (%)** | 97.48% |

---

*Note: the requested data on the total number of workers who are not employees, but whose work and/or place of work is controlled by the organisation is currently not available.*

*The calculation of the percentage was made by considering the ratio between the workers of the certified companies (BMPS and MGFM) and the total number of workers considered in the scope of the Annual Financial Statements.*

---

| | |
|:---|:---|
| **Accidents in the workplace** | **2024** |
| **Total number of fatalities due to occupational accidents (No.).** | **0** |
| Total number of serious accidents at work (excluding fatalities) (No.) | 0 |
| **Total number of recordable accidents in the workplace (No.)** | **53** |
| Hours worked (No.) | 24737728 |
| Rate of fatalities due to occupational accidents | 0 |
| Rate of serious accidents at work (excluding fatalities) | 0 |
| Rate of recordable accidents in the workplace | 2.14 |
| Accidents to/from workplace | 92 |
| Tasso di infortuni in itinere | 372 |

---

*Note: the requested data on the total number of workers who are not employees, but whose work and/or place of work is controlled by the organisation is currently not available.*

---

| | |
|:---|:---|
| **Occupational illness** | **2024** |
| **Number of employees with occupational illness (No.)** | **0** |
| Total number of recordable cases of occupational illness | 0 |
| of which fatalities caused by occupational illness | 0 |
| number of days lost due to work-related injuries, and fatalities work-related illnesses and fatalities resulting from illnesses | 0 |

---

*Note: the requested data on the total number of workers who are not employees, but whose work and/or place of work is controlled by the organisation is currently not available.*

2024 ANNUAL REPORT - Sustainability Reporting

Work-life balance metrics

The Group is committed to welfare policies, which aim to create value for people and improve the corporate climate: every aspect of welfare in the Group is aimed at supporting colleagues and their families in financial, social and work/life balance terms, contributing to the increase in satisfaction, wellbeing, loyalty and productivity.

Welfare plays a central role in Level II bargaining, with talks on renewal continuing in 2024, as is a point of reference for all colleagues, thanks to ongoing dialogue with the Trade Unions. This model was also extended to personnel making recourse to the sector Solidarity Fund and for the entire period of such recourse.

Though within a framework of overall financial compatibility and sustainability, internal welfare has been supplemented over time with assets and services that meet the changing needs of employees, retired personnel and their families (currently over 50,000 individuals). The benefits are payable to all employees, for all contract types, regardless of working hours (part-time or full-time).

All company employees are entitled to family leave. When returning from parental leave, job preservation is fully guaranteed. Furthermore, note that parental leave may be taken for children up to the age of 12, in accordance with laws in force.

During 2024, a total of 1,452 employees (or 28% of eligible staff) took parental leave, of whom 325 were men (or 14% of eligible men) and 1,127 women (or 37% of eligible women). The return to work rate after maternity/paternity leave was around 94%, and those still in service 12 months after the parental leave was around 98%<sup>44</sup> (99% for women, 98% for men).

Remuneration metrics (pay gap and total remuneration)

The Group pays special attention to the issue of gender pay equality at all levels. The gender pay gap is defined as the difference between the average hourly wage levels paid to female and male workers for the same work. For 2024, the percentage delta between the average gross hourly wage of male employees and the average gross hourly wage of female employees corresponded to 11.35%.

This ratio was also broken down by type of classification: executives, middle managers and white-collar workers and amounted to 14.80%, 6.82% and -0.91% respectively.

This objective approach to the weighting of positions helps to ensure that the remuneration policy is gender neutral and makes it possible to pursue equal pay, as evidenced by the narrowing of the gender pay gap in the Group recorded in recent years.

In addition, the Group adopts specific measures and mitigating actions aimed at promoting gender balance and equal pay for equal work, equal experience and the other objective elements required by the EBA Guidelines (Equal Pay).

To determine the gross hourly remuneration, the value of the gross annual total remuneration (Gross ATR) was used<sup>45</sup>, neutralising the distorting effect of more women in part-time work, and dividing the resulting value by the theoretical value of the hours worked in the year, equal to 1,554.

For 2024, the Total Remuneration rate calculated as the ratio of gross annual total Remuneration of the person with the highest salary to the median of the Gross ATR of the remaining employees (excluding the aforementioned person) was 8.97.

Incidents, complaints and severe human rights impacts

There is no evidence of lawsuits and/or extrajudicial proceedings concerning incidents of violations by workforce of their gender equality rights (compared to eight reports on "harassment in the workplace"). More generally, the absence of judicial and/or extrajudicial applications on the subject of serious human rights incidents is confirmed.

---

| | |
|:---|:---|
| 44 | The percentage below 100% is due to voluntary resignations from service. |

---

---

| | |
|:---|:---|
| 45 | Theoretical gross Annual Total Remuneration (ATR) as at 31 December 2024 + the tax value of Fringe benefits for housing and cars granted to employees + the company share of payments to the supplementary pension fund + the company contribution of all existing insurance cover in favour of employees + the variable remuneration paid in 2024 - Incentive Schemes and Company Bonus - regarding performance in 2023. The theoretical gross ATR was calculated by including: the basic wage, equal to the sum of guaranteed, short-term, non-variable cash remuneration (seniority pay increases, personal salary scale reviews and provisions arising from National Collective Bargaining Agreements and from Supplementary Company Agreements, past and present) and all other recurring cash benefits such as allowances linked to the employee's role/position/discomfort and covenants linked to permanence/ stability/non-competition of the employment relationship, items that cannot be revoked at the company's discretion, and therefore forming part of the basic wage paid to the employee. |

---

BANCA MONTE DEI PASCHI DI SIENA

Workers in the value chain

*[ESRS S2]*

This section provides, in relation to the management of "workers in the value chain", a description of the impacts found to be material from the double materiality analysis. Next, the section describes the policies and actions taken to manage the issue, to mitigate negative impacts, and the processes through which it monitors the effectiveness of its policies and actions. It also illustrates the channels through which workers in the value chain can express their concerns.

Impacts, Risks and Opportunities

The process of mapping impacts, risks and opportunities with reference to the standard in question includes the specificities related to the Group's operational and commercial activities, including the analysis of internal policies, public documentation and the identification of initiatives taken to protect employees in the value chain (e.g. selection of suppliers according to social sustainability criteria). Interaction with the Group's upstream and downstream value chain actors could indeed lead to impacts on their workforce, related, for instance, to working hours and work-life balance. On the basis of the analyses performed, the following were material:

&nbsp;&nbsp;&nbsp;&nbsp;· **Negative impacts** with reference to the Upstream Value Chain perimeter
related to the potential inadequacy of safeguards to ensure adequate working conditions with reference to work stability, working hours,
wage adequacy, social dialogue and work-life balance;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Positive impacts** pertaining to the Upstream Value Chain perimeter
related to the existence of corporate practices and strategies aimed at safeguarding the health and safety and privacy of workers in the
value chain and preventing incidents of child and forced labour.

![](tm2518026d1_ex99-4sp7img1.jpg)

\* *The topics pertaining to the following sub-sub-topics are included in the "Working Conditions" sub-topic: secure employment, working hours, adequate wages, social dialogue, freedom of association including the existence of works councils, work-life balance, health and safety.* 

\*\* *The sub-topic "Other labour-related rights", issues related to the following sub-sub-topics: child labour, forced labour, privacy.* 

2024 ANNUAL REPORT - Sustainability Reporting

Policies, Actions and Targets on workers in the value chain

The process of mapping impacts, risks and opportunities in relation to workers in the upstream and downstream value chain resulted in the identification of material impacts in relation to the upstream value chain only. Therefore, with regard to the topics "working conditions" and "other work-related rights", the following paragraphs describe policies, actions and targets defined by the Group associated with the workforce belonging to the upstream value chain.

Working conditions and other labour-related rights

Issues related to the upstream value chain, working conditions and other labour-related rights are covered in this section.

Policies

The Group's Code of Ethics is the document that governs the guiding principles, values and rules of conduct that complement the legal and regulatory obligations for workers in the upstream value chain. The Group is committed to fostering the adoption of the same among its subsidiaries, associates, business partners, consultants and collaborators in order to guide behaviour based on ethical and professional standards.

This document reflects the Group's commitment to structuring relations with its suppliers based on fairness and transparency. Transparency, cooperation, fairness and integrity are also promoted, avoiding situations of conflict of interest or unlawful behaviour.

Application of the Code is ensured through the internal control system, which is an essential element of the overall governance system of a company. More specifically, suppliers are sensitised to providing their services in line with standards of conduct consistent with those indicated in the Code of Ethics. In fact, on the basis of contracts and general purchasing conditions, suppliers are required to expressly accept, by means of a specific form, the declaration of commitment not to engage in behaviour that conflicts with the provisions of the Group's Code of Ethics. Therefore, suppliers, in compliance with their contractual purchasing conditions, are directed to respect the rights of their workers and the responsible handling of any resulting social criteria. The Group also undertakes to respect the United Nations Universal Declaration of Human Rights, promoting the protection of human rights, including the principles on Child Labour and Forced Labour.

For more details on the Group's Code of Ethics, please refer to the section "Policies, Actions and Targets on Business Conduct" in "Section 4 - Governance Information".

The Group also respects, in its relations with upstream value chain actors, the dictates of the Organisation, Management and Control Model for the prevention of offences pursuant to Legislative Decree 231/01, which lays down strict rules of conduct to be observed in the selection of the supply chain. The Group is also committed to selecting its suppliers by considering occupational health and safety related aspects and promoting joint initiatives for management and the resolution of any risk situations with a view to mutual cooperation. It is also committed to adopting a procurement policy that protects the health and safety of workers, the environment and people in general. Working conditions are also safeguarded by Group MPS's Occupational Health and Safety Policy and the Group's Sustainability and ESG Policy.

The constant involvement of suppliers, in order to ensure the protection of their interests, takes place through the Stakeholder Management process overseen by the Purchasing Department. For more details on stakeholder engagement, please refer to "Section 1 - General Information" of this document on the "Stakeholder Engagement" process.

To date, no cases of non-compliance with the UN Guiding Principles, the ILO Declaration or the OECD Guidelines with regard to workers in the upstream value chain have been detected at Group level.

BANCA MONTE DEI PASCHI DI SIENA

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | **Description<br> of main contents** | **Reference Scope<br> (e.g. Own<br> Operations/Value<br> Chain Upstream<br> or Downstream,<br> geographical scope)** | **Validation<br> of Top Management** | **Reference to recognised<br> third-party initiatives<br> and/or standards** | **Availability<br> (institutional site,<br> corporate intranet)** |
| **Group Directive on the management of regulatory obligations relating to Italian Legislative Decree 231/2001 on administrative liability** | The Directive defines the 231 Model adopted by the Group, understood as a set of ethical and operational rules suitable for preventing the relevant offences pursuant to the aforementioned Legislative Decree 231/2001. | The Directive is addressed to the Parent Company and the other companies of the Group. | It has been approved by the Board of Directors. | The Document was drafted to update the Organisational Model for the prevention of risks pursuant to Legislative Decree 231/2001 ('Discipline of the administrative liability of legal persons, companies and associations, including those without legal personality'). | It is available in the Sustainability section of the Group's corporate website. |
| **Health and Safety Policy of Banca Monte dei Paschi di Siena S.p.A.** | The Policy defines objectives in this regard, including a commitment to:<br> - prevent accidents and illness;<br> - continuously improve health and safety management and performance;<br> - communicate its guiding principles to its stakeholders;<br> - comply with applicable legal requirements and other requirements that the company decides to enter into;<br> The Policy also provides the framework for setting and reviewing health and safety objectives. | The Policy applies to the Parent Company and all Group Companies. | The Policy has been approved by the Parent Company's Board of Directors. The responsibility for guiding the implementation of the Safety Policy lies with Top Management and all the Parent Company's Management. | The policy is implemented in compliance with national and EU legislation on health and safety in the workplace, as well as with the UNI ISO 45001 standard (which replaces the OHSAS 18001 standard as from March 2021), whose principles are of primary reference for the general objectives of company management. | A summary is available in the Sustainability section of the Group's corporate website and in the Suppliers Register. It is also available to all employees on the corporate intranet site. |
| **Group Policy on Sustainability and ESG** | The Policy defines the organisational model adopted by the Group to address the integration of sustainability principles along the three lines of environmental, social and governance (ESG) in the definition of the strategy, business model and corporate policies pursued in the conduct of its business.<br> In particular, the document defines the principles, guidelines and relevant sustainability issues that are identified, implemented and monitored in order to respond to all stakeholders. The Policy, which concerns social sustainability matters, sets out the general criteria, guidelines and measures for monitoring the direct and indirect social impact of the Group's activities by identifying performance and risk indicators in the areas of social impact of greatest materiality to the Group, its employees and the value chain, as well as encouraging stakeholders engagement in order to understand their expectations and reflect these within the business strategy. | The Policy is addressed to the Parent Company and all Group Companies. | The Policy is subject to approval by the Board of Directors, following the opinion of the relevant Board Committees and the Executive Committee. The implementation of the Directive must be notified to the following units and Functions of the Parent Company:<br> - units to which the individual company reports;<br> - Business Owner units referring to the process: Chief Financial Officer and Sustainability and ESG Staff;<br> - Organisation Function. | The Policy, in the area of product development and distribution, are implemented in coherence with:<br> - Insurance Distribution Directive (hereinafter also 'IDD');<br> - Directive (EU) No. 2016/97;<br> - EU Delegated Directive 2021/1269 (hereinafter also MiFID 2 ESG). | It is available in the Sustainability section of the Group's corporate website. |

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2024 ANNUAL REPORT - Sustainability Reporting

Actions

The following initiatives involve the majority of the Group's suppliers and external service providers, including professionals, companies and foreign businesses, and are part of the Group's normal practice regarding the management of supply relationships. It should also be noted that the material impacts identified in the double materiality analysis are potential, therefore, to date, the Group has not had to intervene to remedy any actual negative impacts.

The Group is committed to adopting standards of supplier selection and management in order to encourage compliance with social and human rights criteria throughout the supply chain. Suppliers are selected based on an assessment process that, in the pre-selection, award and supply contract finalisation stage and through specific questions, explicitly assesses compliance with regulations on labour law, National Collective Labour Agreement application, payment of contributions (DURC) as certified by the Single Document of Contribution Regularity (hereinafter also DURC) the possession of ESG certification of the counterparty. Furthermore during the registration phase, the acquisition of documents concerning the 231 model Compliance Statement (with references to anti-corruption legislation) and anti-mafia legislation is required, with specific questions on certification and the Code of Ethics. The provisions of the Code of Ethics that the counterparty may have must not conflict with the provisions of the Group Code of Ethics.

The 231 Model of the Group, which generally oversees relations with partners, does not allow relations with suppliers unless they declare and guarantee that they know and will comply with Legislative Decree 231/2001. For specific product categories, where protecting workers' physical wellbeing and moral character is of key importance, the commitment focuses strongly on examining the supplier's economic and financial conditions and the level of protection for workers. To achieve this, investigative tools are used to check that authorisations and permits have been issued, prevention and safety measures have been adopted and specialised training has been provided. The individual suppliers are informed of the Group anti-corruption policies and procedures, covering 100% of suppliers with which it has commercial relations.

At the same time, at Group level, checks are conducted on an annual basis to verify any updates in the documentation that the supplier counterparty has made available to the Group regarding its social sustainability. This process makes it possible to monitor whether suppliers have not met their obligations at the time of registration in the Group's Suppliers Register. In addition, if a new lawyer is appointed, she/he must sign contractual documentation. The Group has identified the Purchasing Department as the function dedicated, on a priority basis, to collecting the documentation and verifying the existence of supplier requisites, for the purpose of registration in the Group's Supplier Register.

Verification activities are carried out by the Control functions concerning the extent and compliance of the data protection programmes used by the Group's suppliers and business partners. Moreover, data protection is also ensured in contractual arrangements or cooperation agreements with third parties by envisaging specific clauses that identify the privacy roles accepted by each party.

Based on the analyses carried out by the functions involved, no serious human rights problems or incidents in the upstream value chain have been reported to date.

Objectives

The Group has not, to date, defined any specific targets to deal with the issue of value chain workers.

However, the effectiveness of the policies and actions adopted in this regard is ensured through the monitoring of specific indicators in order to ensure supply chain management aimed at respecting the principles of social and environmental sustainability. In this regard, a the verification, in the years following those of the first contractualisation, of the existence of the requisites for registration in the Group's Supplier Register, as well as the controls carried out by the Control and Internal Audit functions, guarantee the effectiveness of the policies and actions undertaken by the Group to protect the rights of workers in the upstream value chain and to pursue the development of relations with suppliers marked by respect for the human rights of their workers.

During 2024, 100% of the new suppliers (114 in total) were assessed according to environmental criteria, in accordance with international standards. The verification activity described is carried out continuously in relation to each new supplier.

The adoption of specific targets to deal with this issue will be evaluated in the future to ensure continuous improvement of the Group's commitment to workers in the value chain.

BANCA MONTE DEI PASCHI DI SIENA

Process of involving workers in the value chain on impacts

Although the Group does not have a formalised process for involving suppliers' workers, either directly or through representatives, it does believe that the requirements assessed when signing contracts with suppliers make it indirectly possible to assess respect for the rights of the suppliers' workers.

In particular, in the supplier evaluation stage, a questionnaire is submitted, with answers where the supplier with certification is given a score. Suppliers with certification obtain scores that also carry more weight in the selection process for the award of the supply/service.

In the registration stage, all suppliers are also asked to self-certify the adoption (where applicable) of national/regional collective agreements.

Processes to remediate negative impacts and channels for workers in the value chain to raise concerns

In order to prevent and/or remedy the concerns of workers in the value chain, the Group provides channels of free access also to external parties, such as the Whistleblowing system. This system helps control and prevent the risks that the Group may face due to facts and actions that are contrary to external rules, company regulations, internal procedures and its Code of Ethics contributing to the implementation of sustainability policies, promoting integrity and fairness.

Moreover, access is through institutional channels, and therefore the system may also be accessed by any employees or staff not only of the Group, such as employees belonging to companies that provide goods or services or perform work for third parties and perform or have performed their work for the Group. For more details on the effectiveness of the Whistleblowing system, as well as on the safeguards and protection measures for whistleblowers, please refer to the section "Protection of Whistleblowers" within Section 4 - Governance Information of this document.

2024 ANNUAL REPORT - Sustainability Reporting

Affected communities

[*ESRS S3*]

This section provides, in relation to the management of "affected communities", a description of the impacts, risks and opportunities found to be material from the double materiality analysis. Next, the section outlines the policies and actions taken to manage the theme and seize material opportunities, and the processes through which it monitors the effectiveness of its policies and actions related to material impacts and opportunities related to the theme.

Impacts, Risks and Opportunities

The process to map impacts, risks and opportunities with reference to this standard includes the specific aspects related to the Group's operations. In fact, several initiatives aimed at protecting the communities of reference are underway and planned, which could generate positive impacts on them. These impacts relate, for example, to cultural, scientific, social and environmental initiatives, work orientation activities and collaborations with local institutions for the sustainable growth of productive fabrics. Interaction with communities could also entail opportunities for the Group related to the provision of financing to support companies belonging to the national production fabric.

The mapping process included the analysis of the Group's internal and public documentation and the identification of initiatives taken to protect communities (e.g. support to the agri-food sector) that could be materially impacted by the Group. On the basis of the analyses performed, the following were material:

&nbsp;&nbsp;&nbsp;&nbsp;· **Positive impacts** with reference to the Own Operations perimeter related
to the support to communities through initiatives aimed at protecting and enhancing the territory in which they reside from an urban,
cultural and youth employability point of view, and with reference to the Downstream Value Chain perimeter for the actions undertaken
to support employability in some key sectors at a national level;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Opportunities** related to the Downstream Value Chain perimeter related
to the expansion of the range of products and services aimed at supporting companies operating in key sectors for the national economy.

![](tm2518026d1_ex99-4sp215img01.jpg)

Policies, actions and targets defined by the Group in relation to territory-related impacts are described in the following paragraphs.

BANCA MONTE DEI PASCHI DI SIENA

Policies, Actions and Targets related to the affected communities

Territory-related impacts

This paragraph relates to the issues concerning the **impacts linked to the territory**, with reference to the policies, processes and safeguards defined by the Group in order to guarantee support to the reference communities from an urban, cultural and youth employability point of view and in some specific sectors of the economy.

Policies

The Group pursues the social and environmental development of the community in which it operates by means of professional development and through professional orientation events, the promotion of events relating to financial education, support for weaker categories and the enhancement of the artistic heritage (banking and national). Effective oversight of the way existing and planned actions are planned and implemented is ensured by the relevant policies.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | **Description<br> of main contents** | **Reference Scope<br> (e.g. Own<br> Operations/<br> Value Chain<br> Upstream or<br> Downstream,<br> geographical<br> scope)** | **Validation<br> of Top Management** | **Reference to recognised<br> third-party initiatives<br> and/or standards** | **Availability<br> (institutional<br> site, corporate<br> intranet)** |
| **Group Directive on Communication and External Affairs** | The Directive defines guidelines and responsibilities for the governance of external communication through the Strategic Communication Plan, which details the activities of media relations and social media communication, advertising and corporate image, events,sponsorship and heritage, developing themes and methods of intervention.<br> In particular, the Plan deals with external communication initiatives aimed at enhancing the Group's image (e.g. to give adequate visibility to events with territorial resonance, inaugurations, initiatives in support of local communities and/or on the occasion of special circumstances) for which specific authorisation procedures are envisaged. | The Directive constitutes the guiding document for the Group to define the individual initiatives in the different areas. | The External Communication, Institutional Relations and Sustainability function, in line with the communication and budget strategies approved by the Board of Directors, drafts and submits the Communication Plan to the Steering Committee for subsequent approval by the Board of Directors. | The Directive has been updated to ensure greater conformity and compliance with the current legal and regulatory provisions of Legislative Decree 39 of 27/01/2010, which was followed by ABI Circular No. 15 of 25/06/2010 on the statutory audit of accounts. It is also fully aligned with Bank of Italy Circular 285/2013, having assigned the Board of Directors the supervision of the public information and communication process. | Available to all employees on the corporate intranet. |
| **Historical archive management** | The document regulates in detail the requirements inherent in the:<br> - production of documents of historical interest;<br> - the archiving of these documents in the repository;<br> - the transfer to the historical archive, at the end of preservation in the repository. | The document is addressed to the Bank. | The Archives are subject to supervision by the Archival Superintendency for Tuscany, with whose cooperation the *Maximum Preservation Schedule of the documentation produced by Banca Monte dei Paschi di Siena* was prepared, approved by the Bank's Board of Directors and the competent Ministry. The Historical Heritage function governs the Historical Archive and the supply of documents of historical interest identified by the *Maximum Preservation Schedule*. | The document is structured in accordance with the Code of Cultural Heritage and Landscape (Legislative Decree 42/2004).<br> The document also lays down rules to prevent an entity from being held liable under Legislative Decree 231/2001 for offences against cultural heritage introduced by Law 22/2022, such as money laundering or looting of cultural property. | Available to all employees on the corporate intranet. |
| **Artistic Heritage Management** | This document regulates in detail the fulfilments inherent to the **Management of the Bank's Artistic Heritage**, understood for the purposes of this document with limited and exclusive reference only to movable assets that, according to the definition of Article 10, paragraph 3, letter a) of Legislative Decree 42/2004, are of particularly important artistic, historical, archaeological or ethno- anthropological interest. | The document applies to the Bank. | In compliance with the regulations in force, the Historical and Artistic Heritage function is in charge of cataloguing, preserving, enhancing and protecting the Bank's artistic heritage. | The document is structured in accordance with the Italian Constitution and Legislative Decree no. 42 of 22 January 2004, "Code of Cultural and Landscape Heritage" (hereinafter referred to as Legislative Decree 42/2004). | Available to all employees on the corporate intranet. |

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2024 ANNUAL REPORT - Sustainability Reporting

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | **Description<br> of main contents** | **Reference Scope<br> (e.g. Own<br> Operations/<br> Value Chain<br> Upstream or<br> Downstream,<br> geographical<br> scope)** | **Validation<br> of Top Management** | **Reference to recognised<br> third-party initiatives<br> and/or standards** | **Availability<br> (institutional<br> site, corporate<br> intranet)** |
| **Management of Sponsorships and Fundraising** | The document regulates in detail the activities related to sponsoring and fundraising initiatives. | The document is intended for the Group, except for Widiba, which operates autonomously. | Sponsorship can be of a commercial or institutional nature:<br> - commercial sponsorships require validation by the competent Business Function per market and are subject to a prior and final verification process to appreciate their actual commercial and visibility results;<br> - Institutional sponsorships are visibility and prestige initiatives, directly overseen by top management. | The document is drafted in line with the main regulations and practices in force. | Available to all employees on the corporate intranet. |
| **Group Policy on Sustainability and ESG** | The Policy defines the organisational model adopted by the Group to address the integration of sustainability principles along the three lines of environmental, social and governance (ESG) in the definition of the strategy, business model and corporate policies pursued in the conduct of its business.<br> In particular, the document defines the principles, guidelines and relevant sustainability issues that are identified, implemented and monitored in order to respond to all stakeholders.<br> It describes the Group's commitment to empower territories both economically and socially through products, services and initiatives with a view to supporting the business fabric, developing the local community and benefiting individuals, families and small businesses by ensuring social inclusion and access.<br> This is an area in which the Group has always been locally active by promoting initiatives for discussion and dialogue with customers and communities with a view to building and consolidating relationships of trust between the Bank and its customers.<br> This local community development occurs by means of initiatives promoting career guidance, support for young people in their search for work, appreciating of artistic heritage and culture, and financial education. |  | Group Policy on Sustainability and ESG. | The Policy defines the organisational model adopted by the Group to address the integration of sustainability principles along the three lines of environmental, social and governance (ESG) in the definition of the strategy, business model and corporate policies pursued in the conduct of its business. |  |

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BANCA MONTE DEI PASCHI DI SIENA

Actions

This section reports the main actions taken by the Group to manage land-related impacts, mainly related to: vocational guidance of school and university students, support for the agri-food world characterising the area in which the Group operates, and the promotion of cultural initiatives aimed at spreading knowledge in the art world.

**MPS Orienta**

In 2024, in line with previous years, the Group also implemented the MPS Orienta programme, focusing on career guidance, the development of soft skills, financial education and, in general, relations with schools and universities.

The initiatives aim to promote employer branding, strengthen the link between education and the world of work, support the country's economic and social development, contribute to sustainable growth strategies and strengthen relations with customers and the area in which the Group operates.

The main initiatives of the MPS Orienta programme in 2024 include:

&nbsp;&nbsp;&nbsp;&nbsp;· Conventions and framework agreements with universities,
masters and specialisation schools throughout the country: these arrangements allow young graduates or undergraduates to carry out curricular
and non-curricular internships in specialist functions consistent with their studies;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Traineeships with the Group: 40 traineeships in specialised
facilities were activated in 2024, with an average duration of 6 months, some of which ended with employment;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Career days: the Group participated in the 2 career
days organised by the University of Siena with job orientation interviews and presentation of open internship positions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Arrangements for employees and their family members: An arrangement targeting
Group employees and their family members has been signed with Unitelma (the online university of La Sapienza, Rome) for subsidised enrolment
in online graduate and post-graduate courses. Since the signing of the agreement in 2020 and its renewal for the two-year period 2025-26,
43 enrolments in undergraduate courses and 184 enrolments in Level I and II post-graduate courses have been recorded.

**The Group and support for the agri-food business**

In order to support the agri-food component of the reality in which it operates, also in 2024 the Group set the objective of specialising its products and services to support the sustainability of the community and businesses, with made-to-measure financial services and constant strategic support, through a network of specialised centres in Italy's main agrifood districts.

In this context, the Group continued to promote MPS AgriDOP, a project designed to support companies in the ecological transition, through the development of dedicated services and products, with a special focus on companies operating in the "DOP Economy" sector<sup>46</sup>. The initiative is based on a long-term strategy to support production chains and protection consortia oriented towards the valorisation of PDO or PGI products and organic or environmental certification (e.g. ecological transition, launch of the European Green Deal programme aimed at achieving technological innovation and a circular, efficient and sustainable economy).

The network, designed to support and work alongside agricultural business owners (and likewise craftsmen, traders and tourism operators in the agrifood supply chain) in choosing financing, has expanded from 15 to 21 Agrifood Centres located throughout Italy in the strongest agricultural areas, with specialised advisors and a distinctive product mix (from financing to protection policies).

In addition to taking a series of specific actions to support target companies by activating and developing ad hoc initiatives and campaigns, the Centres play a proactive and advisory role in identifying and analysing the subsidy measures available in the area of competence, favouring the development of projects that have a positive impact on business development. Support from sector experts and solutions are also offered to guide companies towards a development process characterised by innovation, digitalisation and sustainability, which are central elements of the NRRP, are also offered.

The year 2024 also saw the Parent Company's participation in events and the collaborations with important partners, including sponsorship of the Guida Oli d'Italia 2024 promoted by Gambero Rosso, participation in the Vinitaly event in April and the "Stati Generali dell'olivicoltura nazionale ed internazionale" (States General of National and International Olive Growing) event, the latter organised by the Ministry of Agricultural, Food and Forestry Policies MASAF, and participation in Divinazione Expo (21-29 September), within which the G7 Agricoltura (Agriculture G7) took place.

46 Segment of the production and processing of agricultural products for food with geographical indications, which constitutes an important part of the national agri-food value.

2024 ANNUAL REPORT - Sustainability Reporting

In addition to collaboration and participation in dedicated events, the Group has undertaken initiatives to support the productive fabric in terms of access to credit and services. In this context, the product dedicated to olive-growing, called "Finanziamento Impiantolivo" with a direct Ismea guarantee was released in early July 2024 to finance farms that intend to build, restore or renovate olive-growing facilities and/or construct farm mills including bottling plants. In addition, important memoranda were signed:

· Memorandum of Understanding with Assocamerestero: the Joint Committee to
set up the operational plan was established, and regular meetings and operational sessions were organised to give impetus to the agreement;

<sub> </sub>

· Memorandum of Understanding with the Ministry of Agriculture on food sovereignty
and forestry;

<sub> </sub>

· Memorandum of Understanding with the Region of Sicily - Department of Agriculture;

<sub> </sub>

· Credit mediation agreement with Simec;

<sub> </sub>

· Collaboration agreement with Coldiretti / CIB (Italian Biogas Consortium).

The Group has also adhered to the agreements signed between the Ministry of Agriculture, Food Sovereignty and Forestry (MASAF) and Cassa Depositi e Prestiti (CDP), concerning the financing of projects to support investments in the agri-food business. In particular, the Ministry signed agreements governing relations with authorities for the implementation and management of subsidised finance. Through these agreements, special Tenders (IV and V) were launched for "Supply Chain Agreements", which through public and private financial support are expected to promote reorganisation processes in relations between operators in the Agri-food chain and Agri-energy chain. In 2024, loan extensions resolved in connection with the 4th Call for Proposals and new resolutions in connection with the 5th Call for Proposals totalled 198 for about EUR 124 mln in total granted, while there were 47 stipulations concerning the 4th Call for Proposals in the year for about EUR 31 mln. Geographically, 68% of beneficiaries are situated in the South and supported by 41% of granted resources, while 18% of beneficiaries are located in central Italy, receiving 20% of contributions. Finally, the 15% of beneficiaries in the North were financed with 39% of resources, in accordance with the table below:

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| | | |
|:---|:---|:---|
| | **% DISTRIBUTION** | **% DISTRIBUTION** |
| **GEOGRAPHIC**<br>**AREAS** | **No. BENEF.** | **AMOUNT** |
| SOUTH | 68% | 41% |
| NORTH | 15% | 39% |
| CENTRE | 18% | 20% |

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In this context, the path towards strengthening the number of agreements with protection consortia and producer organisations continued. these make it possible to determine in better detail the specific financial aspects of the producing companies related to each individual specification. In 2024, 23 bank relationships were started with PDO and PGI consortia, facilitating the activation of approximately 1,900 relationships with members/consortium members.

Other initiatives to support communities

**Tourism**

To support businesses and development investments in tourism, the Group has signed up to the ABI, CDP and Ministry of Tourism Agreement to promote the Fondo Rotativo Imprese [Business Revolving Fund] with the aim of encouraging energy requalification, environmental sustainability and digital innovation in the tourism sector. The incentive is aimed at improving hospitality services and upgrading accommodation facilities in terms of digitisation and environmental sustainability (50% of funds are earmarked for energy upgrades). In 2024, 11 initiatives were financed and 4 more in the first 2 months of 2025 for a total investment of more than EUR 41 mln.

**The Group and the support for green energy**

To encourage investments in production facilities or processes that, through the use of renewable sources, allow for the reduction of energy consumption or the pursuit of energy autonomy, the Group has activated a new business line with a specific brand, MPS Energia Verde, with which it intends to support businesses and families in their transition process, making dedicated and flexible products and solutions available to customers, as well as specialist consultancy and a network with specialised partners. In particular, the Group intends to encourage the construction of energy production plants from renewable sources, with the support of specialists able to provide detailed advice on the functioning of the measures to support the energy supply chain, including through customer support aimed at accessing the incentives provided by the NRRP, especially with regard to:

BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;· Transition 5.0, which supports the digital and energy transformation process
of companies;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· CER, which stimulates the creation and development of Renewable Energy Communities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Agrivoltaic, which promotes hybrid agriculture-energy systems through non-repayable
grants and incentive tariffs for electricity fed into the grid;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Biomethane, which supports investments to build new biomethane production

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Support for self-production, to encourage the self-production of energy
from renewable sources in Italy;

The initiative involved the opening of 15 MPS Energia Verde centers located throughout Italy, where specialized resources operate who have access to a network of contacts with associations and experts in the sector, also coming from the academic world.

**Art and culture for the Group**

The strategies adopted are also aimed at promoting cultural initiatives as an element of the Group's identity. In 2024, the main lines of action in this area concerned the conservation and enhancement of the Group's historical and artistic heritage in order to meet two fundamental needs: conserve assets for future generations and promote cultural enjoyment and the dissemination of knowledge. Activities related to policies to enhance heritage are developed in a manner compatible with protection, without compromising conservation requirements. The Group's heritage, which has stratified over time, consists of the art collection, divided into various collection nuclei, and the Historical Archive<sup>47</sup>.

As regards conservation and restoration, the Group ensures careful, constant oversight of the works in the collection, regularly monitoring their conservation conditions, as well as security aspects - to prevent possible risks of damage and maintain their integrity. In addition, maintenance and restoration work is carried out annually on items that require specific attention. This work is planned in agreement with local Superintendence Offices for the Fine Arts. During the year, work was carried out on 139 artefacts, including 110 paintings, 24 sculptures and 5 ceramic and bronze plates. The restorers were selected from the List of Professional Restorers of Cultural Heritage pursuant to Article 182, Italian Legislative Decree 42/2004, depending on the kind of asset being restored.

The Group, through its participation in the Cultural Relations working group of the Italian Banking Association (ABI), identifies the cultural strategies to be pursued, shared by all banking institutions. In this context, the Group ensures that book and archive materials can be consulted. In addition, in order to promote public enjoyment, free usage contracts have been signed with cultural bodies and institutions, which allow for a wider opening to the community through projects that enrich the local and national cultural offering. In 2024, more than 130 works of art were lent as part of 12 temporary exhibitions in Italy and abroad. As for consultations for study and research activities, in 2024 there were 20 accesses to the Historical Archive.

Free use of the works was also renewed at the Casa Buonarroti Foundation, Florence, and the Municipality of Casole d'Elsa. During the year, a free loan agreement was entered into with the Museum Complex of Palazzo Ducale di Mantua, concerning the Gonzaga collection of coins and medals (consisting of 2,184 items), for exhibition purposes in the Rustica rooms of Palazzo Ducale, to bring greater value to the local area.

Objectives

The Group has not currently defined specific measurable objectives to manage the issue that has been found to be material with reference to the affected communities, but it does monitor the policies and actions in relation to the impacts on the territory by assessing the performance of specific indicators linked to the proposed initiatives. For example, as part of MPS Orienta, the Group annually notes the number of internships activated and the number of participants in career day initiatives.

The adoption of specific targets to deal with this issue will be evaluated in the future to ensure continuous improvement of the Group's commitment to the affected communities.

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|:---|:---|
| 47 | The Bank's Historical Archive has been recognised by the Ministry of Cultural and Environmental Heritage (deed no. 685 of 7 April 1997) as a "Private Archive of notable historical interest" and is therefore subject to the constraints, obligations and administrative responsibilities of keeping it in order and proper preservation that derive from it. |

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2024 ANNUAL REPORT - Sustainability Reporting

Processes for engaging with affected communities about impacts

The Group's business model seeks to enhance the needs of customers and small and medium-sized enterprises rooted in the territory by listening to their needs in order to identify new opportunities and community needs. The Group recognises the importance of the point of view of the affected communities, promoting structured interaction with associations, bodies, institutions and players in the civil economy, operating in the area. In particular, through dialogue with the community and territories, the Group seeks to share its artistic heritage and knowledge.

The focus on communication with and involvement of the target communities is directly implemented through events and sponsorships as tools for dialogue and discussion with stakeholders. Through such initiatives, the institute aims to forge solid and transparent relationships, encouraging the participation and involvement of all local stakeholders.

This commitment translates into a regulated and formalised approach, seeking consistency and clarity in communication activities, governed by the Group Communication and External Relations Directive. In particular, the Group's external communication is overseen by the External Communication, Institutional Relations Department, through:

· the definition of policies, criteria, rules and the planning of communication
initiative (opportunities, priorities, etc.);

· the direct implementation of communication initiatives or the monitoring
and control of measures implemented directly by Group companies within the limits of granted powers;

· the planning and holding of conferences (congresses, seminars, openings)
and exhibitions and fairs.

In addition, the "Media Relations, Events and Sponsoring" function coordinates and supervises any activities delegated to the relevant Group functions. In particular, the functions of the Group companies involved in the conception and/or planning of an engagement initiative are required to report the related data of the intervention itself to the above-mentioned function. This reporting must be carried out from the time when the initiative is proposed and, for events planned by external parties, from the time when they become aware of it, in order to allow for an accurate assessment of the initiative by the Functions in charge of this area.

The Group is also committed to supporting the most vulnerable and marginalised communities, through specific actions to listen and respond to their needs. Through support programmes, the Group stimulates youth employability and supports strategic sectors such as agribusiness and tourism.

The Group's commitment to community rights

The Group pursues the creation of value for all significant stakeholders through a sustainable development model aimed at the growth of its customers and the territory in which it operates.

The Group seeks the promotion, development of economic well-being and the quality of the social contexts in which it operates by supporting programmes to protect communities and territories. More specifically, we report:

&nbsp;&nbsp;&nbsp;&nbsp;· contributions to cultural, scientific, social and environmental initiatives;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· work orientation and financial education activities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· products and services for the most vulnerable and needy groups and individuals
in society;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· partnerships with local institutions for the sustainable growth of the production
chain, and for the development

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· of wellbeing and the health of the social context.

The reference policy is the Group's Code of Ethics, which set forth the commitment to comply with internal rules and procedures, external codes and agreements, including international ones, to which it adheres, contractual provisions and legal and regulatory obligations in force in every geographical context and sphere of activity in which it operates.

The principles of the Code apply to the Group's activities and concern all actions dedicated to local areas, the environment and the community. For further details on the Code of Ethics and alignment with international standards and initiatives, see the "Business conduct" chapter of "Section 4 - Information on Governance".

BANCA MONTE DEI PASCHI DI SIENA

Consumers and end-users

*[ESRS S4]*

This section provides, in relation to the management of "consumers and end-users", a description of the impacts, risks and opportunities found to be material from the double materiality analysis. Below, the section outlines the policies and actions taken to manage the issue, to mitigate risks and negative impacts, to seize material opportunities, and the targets set to monitor the effectiveness of the actions. It also explains the general processes for engaging consumers and/or end-users and their representatives on identified impacts that affect them, as well as the mechanisms for remedying negative impacts and the channels through which they can voice their concerns.

Impacts, Risks and Opportunities

The process to map impacts, risks and opportunities with reference to this standard includes the specific aspects related to the Group's operational and commercial activities. As a financial institution, the Group offers a wide range of financial products and services that could impact consumers and end-users as customers. These impacts relate, for example, to the issues of data protection, accessibility of financial services and inclusion. Interaction with customers and end-users of our products and services may, on the other hand, also entail risks, such as risks related to the potential breach of information systems resulting in the loss of sensitive data and reputational impacts. Finally, this interaction can also generate opportunities for the Group, e.g. by increasing customer confidence in the safeguards defined to protect customers.

The mapping process included the analysis of the Group's internal policies, public documentation, the identification of the initiatives taken to protect customers and end-users (e.g. digitalised communications to customers and Digital Banking operations) with reference to all categories of customers and end-users that could be materially impacted by the Group. In particular, customers and end users include institutional, corporate and retail customers of the Group's products and services as well as business partners and suppliers.

On the basis of the analyses performed, the following were material:

· **Negative impacts** with reference to the Own Operations and Downstream
Value Chain perimeter related to the potential inadequacy of safeguards to protect information concerning customers and end users;

· **Positive impacts** pertaining to the Own Operations perimeter related
to the existence of business practices and strategies aimed at safeguarding customers' freedom of expression, access to products
and services presented in a clear and transparent manner, personal safety and social inclusion. Examples include initiatives aimed at
digitalising processes (e.g. user authentication methods to improve the customer experience, the adoption of technological solutions
products aimed at social inclusion);

· **Operational and reputational risk** related to the Own Operations and
Downstream Value Chain perimeter and linked to the potential violation of personal data protection of customers and end users;

· **Opportunities** related to the *Own Operations* perimeter attributable
to the increase of Stakeholder confidence in the definition and implementation of safeguards to ensure freedom of expression (e.g. through
the submission of complaints) and the protection of customers' personal data. With regard to the Downstream Value Chain, opportunities
can be found in the expansion of the range of products and services aimed at ensuring the social inclusion of customers and the strengthening
of privacy safeguards.

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4sp8img01.jpg)

For the issues found to be material, the following paragraphs describe the policies, actions and targets defined by the Group in relation to the protection of personal data (hereinafter referred to as **privacy**), the processes of listening to customers and filing complaints, the quality of information on products offered, personal safety, non-discrimination, the accessibility of products and services offered (also in terms of digitalisation) and the adoption of responsible business practices.

BANCA MONTE DEI PASCHI DI SIENA

Policies, Actions and Targets for consumers and end users

Privacy

This section deals with privacy issues, with reference to the policies, processes and controls defined by the Group to ensure IT security and protect the personal data of customers and end users from unauthorised access and loss of data.

Policies

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional<br> site, corporate<br> intranet)** |
| **Group Policy on data protection compliance management Data Protection Policy** | &nbsp;&nbsp;The policy describes the privacy policy adopted by the Group according to the following methodological approach:<br> - operational and privacy control, aimed at ensuring:<br> (i) compliance with the principles of personal data protection from the design or use phase of the technologies;<br> (ii) respect for the rights exercised by the persons concerned (access, rectification, cancellation, etc.);<br> (iii) implementation of the Records of processing activities;<br> (iv) management of data breach events.<br> - roles and responsibilities in the Bank;<br> - privacy information flows;<br> - planning and reporting on the activities and controls;<br> - training and empowerment of employees in all relevant business lines. | &nbsp;&nbsp;Parent Company and Widiba Group and Fiduciaria companies. | &nbsp;&nbsp;The Policy has been approved by the Board of Directors, which is responsible for the overall supervision of the data protection compliance management system, policies and process and provides strategic guidance on the matter and issues the necessary instructions for its implementation across all business lines. | &nbsp;&nbsp;Drafted in accordance with:<br> - EU Regulation 2016/679 (GDPR);<br> - Legislative Decree196/2003 (Privacy Code) as subsequently amended by Legislative Decree 101/2018;<br> - Guidelines, measures and other pronouncements of the Italian Data Protection Authority and the EDPB, as well as other general regulations with an impact on privacy. | &nbsp;&nbsp;The contents of the Policy are available in the "Data Protection Policy", which is available in the Sustainability section of the Group's website. |
| **Group Policy on Logical Security Governance** | &nbsp;&nbsp;It defines the Group's organisational model, principles and responsibilities for the 'Logical Security Governance' process, with the aim of protecting the company's information assets through the 'Information Security Management System' (ISMS), providing a medium/ long-term strategic direction. | &nbsp;&nbsp;All Group companies. | &nbsp;&nbsp;The Group's companies implement by resolution their own Top Management by adapting responsibilities, processes and internal rules, in line with their own characteristics and size The governance of the Group's logical security is centralised in the Information Security function of the Parent Company. Implementation is guided and set up by the Information Security and Information Technology functions. | &nbsp;&nbsp;It regulates how the ISMS is managed in accordance with internal and external reference standards (e.g. ISO/IEC 2700x (series)). | &nbsp;&nbsp;Available to all employees on the corporate intranet. |

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In the context of customer and end-user protection, privacy protection and IT security safeguards play a key role in ensuring that data and information, throughout their entire lifecycle, are adequately protected, in accordance with regulatory requirements on the protection of personal data and safeguarding of company assets.

The Group implements policies on this issue through the 'Data Protection Policy' and the 'Group Policy on Logical Security Governance', which define the guidelines and objectives to be pursued, through the 'Information Security Management System' (hereafter ISMS). to ensure that data and information, during their entire life cycle, are adequately protected, in accordance with regulatory requirements on the protection of personal data and the safeguarding of company assets.

The ISMS is based on the assessment of all risks associated with the subject and their management through the planning and implementation of the prevention and protection measures necessary to minimise these risks.

2024 ANNUAL REPORT - Sustainability Reporting

To guarantee the reliability of the information processed, as well as the effectiveness and efficiency of the processes involving the Group's stakeholders (customers, shareholders, suppliers, partners, etc.), all security aspects must be properly taken into account and integrated into all phases of the ICT service life cycle and apply to all forms of personal data, regardless of the data subject to whom they refer and/or the channel through which they are received, and apply to all Group companies. The above said Directive is reviewed annually and updated at least every three years, or in any case whenever a significant change is detected in reference legislation, security standards, internal processes, processes adopted by outsourcers, attack scenarios, Group technologies and organisational structure is detected.

Actions

The Parent Company, with the support and cooperation of all the corporate functions and Group companies, has established the Information Security Management System (ISMS), for areas under its responsibility: a set of organisational structures, processes, procedures and technological solutions adopted for the purpose of protecting the Group's own information assets and the information that Customers and end users exchange with the Group. Specifically, the ISMS:

· formalises
process, operational and technological safety requirements, in accordance with regulations in force and industry best practice, defining
strategic safety plans and how results are monitored;

· defines and implements the security architecture;

· guarantees the confidentiality, integrity, availability, verifiability and
accountability of information;

· operationally manages security activities (incident management, fraud prevention
activities, emergency communication management, change management, etc.);

· supports staff awareness and training in information security;

· makes it possible to monitor security levels and the effectiveness of the
measures taken in order to facilitate audits and implement a process of continuous improvement.

All planned initiatives in the 2022-2024 time horizon were completed during 2024 and the most significant are described below:

· **Firewall configuration review**, aimed at strengthening the management
of the Bank's firewalls, i.e. the security measures that protect IT systems and sensitive information from unauthorised access and
cyber attacks, by carrying out a review of the rules currently in place, in line with international frameworks, eliminating non-compliant
rules and creating new ones in line with the standards.

·  ***Zero password*** , with the aim of providing specific authentication
solutions that do not require customers and users of the Bank to enter passwords and allowing them to be authenticated, for example by
means of a push notification received on their device, or through a biometric identifier.

In order to strengthen its staff's awareness of information security, which is considered crucial to ensuring the effectiveness of the ISMS, the Group regularly sets up training programmes to educate employees on the policies pursued, security practices, associated risks and procedures to follow in the event of incidents. Training needs are identified according to the 3D approach model described in the Own Workforce section.

BANCA MONTE DEI PASCHI DI SIENA

Objectives

The main objectives in the area of information security have been defined in the Information Security Strategic Plan 2024-2028. For 2025, the project areas already started in 2024 are expected to be completed, with particular reference to those resulting from the outcomes of the Cyber Resilience Stress Tests, and new initiatives to strengthen certain security processes and platforms will be launched.

The main planned initiatives are outlined below:

· <u>Strengthening security safeguards</u>, with the aim of increasing and evolving the Group's cybersecurity <sup>48</sup> posture to protect the data and information managed by the
 information system, through:

- Implementing advanced data security and identity & access management solutions;

- Strengthening perimeter defence safeguards;

- Improving security incident detection and management systems;

- Strengthening security controls and safeguards for corporate devices;

· <u>Strengthening digital resilience</u>, in order to define and adopt technological/organisational
measures aimed at guaranteeing the Group's operational resilience against the continuously evolving threats to security and operations,,
and lastly to strengthen the business continuity management framework, and the infrastructure elements supporting the availability of
corporate applications and data;

· <u>Transposing regulatory requirements</u> with the aim of ensuring continuous
adaptation to the Supervisory Authority's requirements in force from time to time and to the findings emerging from the works of
the Supervisory Authorities and to standardise and strengthen "system" resilience;

· <u>Increasing cybersecurity awareness</u> in order to raise the level of
customer awareness of cyber risks and key defence techniques, by providing training initiatives and periodic communication campaigns.

In defining such targets, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

IT security performance is assessed using a proprietary framework to evaluate the level of maturity of the Group's security safeguards. This framework is evaluated quarterly and includes a review of the status of the security posture, which takes into account any new implementations/design initiatives that occurred during the period under review.

Freedom of expression

Issues relating to the freedom of expression of customers, with particular reference to the processes of listening to customers and the submission of complaints by them, are dealt with in this paragraph.

Policies

As set out in the Code of Ethics, the Group is committed to responding to complaints aired by customers and their protection associations by using appropriate and timely communication systems. Complaints are handled in such a way as to ensure that they are dealt with promptly and thoroughly and are an important element in improving activities and procedures, overcoming conflicts and restoring customer confidence and satisfaction. In this respect, dissatisfied customers are guaranteed clear interaction, free of charge.

The Group is also committed to providing customers with clear and comprehensive information on how to file and handle complaints, and on access to out-of-court dispute resolution bodies. Furthermore, as set out in the Group Policy on handling complaints, ABF and ACF appeals and complaints, the proper management of complaints constitutes for the Group:

· an essential activity to establish a satisfactory customer relationship;

· a tool for identifying any critical issues and improving the quality of
products/services provided;

· a useful safeguard in protecting the customer, both to encourage amicable
resolution of disputes, and to define, in cases where this does not occur, the parties' positions, conducting an initial investigation
before pursuing the dispute in other judicial settings.

48 The cybersecurity posture represents the set of measures, policies and technologies deployed by an organisation to mitigate cyber risks and protect digital assets.

2024 ANNUAL REPORT - Sustainability Reporting

In defining the contents of the policies, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site,<br> corporate intranet)** |
| **Group Policy on complaints management, ABF and ACF appeals and petitions** | &nbsp;&nbsp;The policy has the following aims: ensure prompt, clear, complete and exhaustive answers to customers, reduce customer disputes and, in cases where this is not the case, define the position of the parties by carrying out an initial preliminary investigation phase with a view to the possible continuation of the dispute in other fora; obtain information on the company's operations and identify any critical issues and/or areas for improvement. | &nbsp;&nbsp;The Policy is addressed to the Bank and the following Group Companies:<br> - Widiba;<br> - MPS Fiduciaria. | &nbsp;&nbsp;The **Parent Company's Board of Directors** discusses, defines and approves policies on the handling of complaints and appeals to the ABF and ACF. | &nbsp;&nbsp;The policy is drafted in compliance with the main relevant external legislative and regulatory references (e.g. Consolidated Law on Banking, Bank of Italy provisions, relevant Consob resolutions). | &nbsp;&nbsp;The contents are available at the Complaints and Appeals link on the Sustainability section of the Group's website. |

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Actions

The operational procedures for handling complaints adopted by the Group outline the responsibilities assigned to the various corporate structures and define at least the following activities:

· receipt of the complaint;

· the census and taking charge of it;

· the preliminary investigation (during which the necessary information and
documents are acquired to determine whether the complaint is well-founded or not, resorting where necessary to the contribution of the
competent structures in each instance), which ends with the preparation of a settlement proposal aimed at taking a legitimate and correct
decision on the outcome of the dispute;

· the resolution determining the outcome of the complaint (rejected, upheld
or partially upheld); this decision is taken on the basis of the evidence and knowledge gathered in the course of the investigation;

· communication of the outcome to the customer;

· accounting.

In carrying out this activity, the following aspects in particular are taken into account, in relation to the peculiarities of individual complaints:

· situation that gave rise to the dispute and circumstances that emerged in
the reconstruction of the events, assessing any critical aspects of the marketing process and customer information, the correct application
of company regulations and contractual provisions, and the possible presence of internal fraud;

· contractual
formalisation of the products/services that are the subject of the complaint, noting any documentary deficiencies;

· commercial assessment of the relationship with the customer also for credit
aspects;

· content of opinions expressed by other corporate functions that may have
been consulted;

· well-established guidelines taken by arbitrators (ABF and ACF) or by the
jurisprudence of merit and legitimacy;

· risks of losing and compliance with external standards;

· congruity of any economic claims made by customers with respect to the grievances
complained of and/or the losses/ damages actually suffered.

BANCA MONTE DEI PASCHI DI SIENA

Objectives

In the area of "freedom of expression", the Group has not planned to identify measurable quantitative targets. However, it has defined policies and actions to ensure the quality of the services provided to customers and to monitor the constant improvement of the customer experience, consistent with current external regulations. This translates into constant monitoring, both quantitative and qualitative, of the activity carried out by the Complaints and Mediation Department in terms of compliance with processing times and in terms of effectiveness; in particular, the focus is on the number of upheld/ partially upheld/rejected grievances and the number of favourable/partially favourable/unfavourable arbitration decisions.

Health and safety

This section deals with issues related to the protection of the health and safety of customers and end users, i.e. the set of policies, measures and procedures adopted by the Group to ensure that the use of the products and services offered is in compliance with the protection of their health and safety and with reference to the activities carried out by the Group and within its Offices and Branches by preventing injuries and illnesses.

Policies

The protection of customers and end users is a primary objective for the Group, in order to guarantee the safety of its customers and contribute to a lasting relationship of trust.

The success of health and safety oversight depends on constant commitment and compliance by all personnel. Therefore, activities concerning information and training on occupational health and safety issues are considered essential within the Group in order to spread an adequate awareness of the importance of these issues among the workforce and to increase the "safety culture" in a broader sense.

In this context, the occupational health and safety policy (the "Safety Policy"), constitutes the point of reference within the Group for risk assessment, definition and review of health and safety objectives. As a result, the Group is committed to informing everyone in company environments (employees, suppliers, customers) about the the organization in charge of safety and emergency management, as well as the risks and the relevant prevention and protection standards adopted.

In defining the contents of that policy, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site,<br> corporate intranet)** |
| **Health and Safety Policy of Banca Monte dei Paschi di Siena S.p.A** | &nbsp;&nbsp;The Policy defines objectives in this regard, including a commitment to:<br> - prevent accidents and illness;<br> - continuously improve health and safety management and performance;<br> - communicate its guiding principles to its stakeholders;<br> - comply with applicable legal requirements and other requirements that the company decides to enter into.<br> - The Policy also provides the framework for setting and reviewing health and safety objectives. | &nbsp;&nbsp;The Policy applies to the Parent Company and all Group Companies. | &nbsp;&nbsp;The Policy has been approved by the Parent Company's Board of Directors. The responsibility for guiding the implementation of the Safety Policy lies with Top Management and all of the Parent Company's Management. | &nbsp;&nbsp;The policy is implemented in compliance with national and EU legislation on health and safety in the workplace, as well as with the UNI ISO 45001 standard (which replaces the OHSAS 18001 standard as from March 2021), whose principles are of primary reference for the general objectives of company management. | &nbsp;&nbsp;A summary is available in the Sustainability section of the Group's corporate website and in the Suppliers Register. It is also available to all employees on the corporate intranet site. |

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2024 ANNUAL REPORT - Sustainability Reporting

Actions

In order to build solid technical and organisational safeguards in the banking sector, as regards corporate safety management, the Parent Company has taken every step necessary to develop an "Occupational Health and Safety Management System" and to gradually incorporate it into the other management systems implemented, as well as extending it to the other Group companies. Initiatives have also been promoted for dissemination of the culture of occupational health and safety, and the interaction between corporate structures, in order to achieve cooperation and business efficiency in terms of safety, while ensuring the traceability of related responsibilities.

For more details on actions in the area of corporate health and safety, please refer to the chapter Own Workforce in "Section 3 - Social Information" of this Report.

Objectives

In the area of consumer and end-user health and safety protection, the Group has so far not set any measurable targets. However, the effectiveness of the policies and actions adopted is duly guaranteed by the external audits and improvement programmes and continuous dialogue with the Workers' Safety Representatives, processes through which the Group ensures continuous monitoring of the "Occupational Health and Safety Management System".

Non-discrimination

This paragraph relates to the issues of **non-discrimination** of customers and end consumers in accessing the products and services offered by the Group.

Policies

The Rules on Inclusion define the Group's commitment to inclusion, fairness and equality, respect and listening, values that inspire the Group and are confirmed in the Code of Ethics. In day-to-day communication with customers, staff maintain an open and aware approach, taking into account the specific aspects of each person and, when faced with counterparties who present physical problems of any kind, or who, for example, come from foreign countries, they will act naturally and with respect, adopting an approach aimed at listening and being helpful, without being intrusive or imposing.

In defining the contents of that policy, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site, <br> corporate intranet)** |
| **Rules on inclusion** | &nbsp;&nbsp;The document defines commitments in terms of valuing diversity, inclusion, equity and parity that the Company aims to pursue in all phases of the business life of each person. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and all Group Companies. | &nbsp;&nbsp;The transposition of the document must be notified to the Unit to which the individual company reports, the Professional Development, D&I and Internal Communication functions. | &nbsp;&nbsp;The policy is implemented in accordance with the principles adopted by international organisations (e.g. the EU Charter of Fundamental Rights, the UN Declaration of Human Rights, the 2030 Agenda for Sustainable Development and the Principles for Responsible Banking). | &nbsp;&nbsp;These are available in the Sustainability section of the Group's corporate website. |

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BANCA MONTE DEI PASCHI DI SIENA

Actions

Communication, a fundamental means of sharing corporate information, is developed with a language that helps to counteract the formation of stereotypes and prejudices and to eliminate discrimination towards customers and the general public. Effective peer-to-peer communication ensures that people are represented, listened to and treated equally, respecting differences and promoting inclusion, in compliance with the indications contained in Directive EU/54/2006 on the implementation of the principle of equal opportunities and equal treatment of men and women in matters of employment and occupation and the UN Convention on the Rights of Persons with Disabilities.

· The corporate guidelines to be observed in the communication concern:

· the use of language appropriate to the target audience identified and, where
possible, inclusive and accessible;

· the use of images that consider gender, social, ethnic and cultural differences;

· the adoption of communication channels that convey clear and accessible
communications oriented towards inclusion and combating all types of discrimination and prejudice;

· the organisation of events (e.g. congresses, seminars, openings) managed
in such a way as to provide for a fair distribution of speakers (between men and women) and participants, the accessibility of the chosen
venue.

Objectives

In the area of "freedom of expression", the Group has not planned to identify measurable quantitative targets. However, the effectiveness of policies and actions taken in this regard is adequately monitored through the collection of feedback and consumer involvement adequately described in the section "Consumer and end-user involvement processes".

Access to products and services in terms of digitalisation of supply

This section covers the issues of access to products and services with regard to customers and end users in terms of offering digitalised products and services are covered in this section.

Policies

The Group, operating in a context of continuous evolution and transformation, continues its initiative to digitalise customer interactions by expanding the range of products, services and access channels offered and improving access to banking services and products for less digitalised stakeholder categories, ensuring a smoother and more satisfying experience for all customers, regardless of their degree of familiarity with digital technologies, with the ultimate aim of optimising the customer experience.

Through the Group Directive on ICT Governance and Strategy Definition, the Group defined an IT strategy aimed at operational excellence, i.e., constant improvement of the stability, performance, quality and level of satisfaction of the services provided to the Group's Customers and employees.

This strategy aims to develop a bank-customer relationship model centred on the ability to reach the bank at any time and from any device through the use of enabling technologies to provide a distinctive service and anticipate customers' needs.

In defining the contents of the above mentioned policies, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site, <br> corporate intranet)** |
| **Group Policy on Governance and definition of the IT strategy** | &nbsp;&nbsp;It defines the organisational model adopted by the Group, the principles and responsibilities for the "Logical Security Governance" Process with the objective of protecting the company's information assets, providing a medium/long-term general and strategic direction that enables the achievement of the objectives set in its Digital Operational Resilience Strategy. | &nbsp;&nbsp;The Policy is addressed to the Bank and all Group Companies. | &nbsp;&nbsp;The transposition of the Directive must be notified to the corporate reporting unit of the individual company, the IT (Information Technology) function and the Organisation Area. | &nbsp;&nbsp;The Policy is implemented in accordance with the provisions of Bank of Italy Circular 285/2013, which describes the governance and operation of information systems supporting the Bank. | &nbsp;&nbsp;Available to all employees on the corporate intranet. |

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2024 ANNUAL REPORT - Sustainability Reporting

Actions

Against the backdrop of the defined IT strategy, the Group has planned and put in place multiple actions aimed at innovating alternative distribution channels (including by targeting disadvantaged demographics) in the services described below.

**ATM and Electronic money Services**

A migration plan for the ATM pool, which will end in 2025, has been initiated, which includes upgrading the operating system of the machines, aimed at increasing their security and reducing their vulnerability, combating malicious attacks and making the software and hardware released by suppliers more compatible, in order to improve the digital customer experience in terms of protection when using the service.

In the E-money sector, the Group extended the audio guide function of the Parent Company ATMs to cover debit and credit cards on the international circuit. This innovation allows blind or visually impaired customers to access main functions, such as querying balances, current account movements and withdrawals. In addition, the use of Google Pay and ApplePay digital payment wallets was extended to the cards of the Parent Company's and Widiba Bank's customers.

**Internet banking services**

The Parent Company offers internet banking services for its retail and corporate customers. During 2024, the process of optimising the multi-channel platform, improving the counterparty experience and enhancing protection tools, continued. At the same time, the range of online services offered was expanded and the interaction between the branch and online channels improved to enable the extension of full paperless processes and a consequent saving of time for customers and managers by enriching the perimeter of deeds and contracts prepared in the branch and signable through internet banking, and to pursue the objective of minimising the use of paper in line with the Group's commitment to combating climate change and protecting the environment.

2024 saw the continued commitment of the Parent Company to the issues of accessibility and user-friendliness of all channels available to customers and employees. In this regard, Banca MPS uses assistive technologies, consistent with the technology available on the market, to make screen-reader readable sites and apps and integrated engine in smartphones (e.g. voiceovers) and performs periodic checks to identify any technical and user experience issues.

The Parent Company continues to make use of specialised providers and industry associations to ensure complete accessibility and usability of internet banking information and transaction operations from desktop, mobile and apps.

In 2024, Banca MPS, leveraging its well-established open banking platform planned to extend the available services by providing payment cancellation (customers will be able to request the cancellation of a payment through the third party used to dispatch it) and bulk payments (through each third parties will be able to offer a service to send a list of payments in a single transaction). At the same time, solutions are being explored to reduce and/or eliminate difficulties in interactions with third parties when the customer authorises payments.

Objectives

In the area of "Access to products and services in terms of digitalisation of the offering", the Group did not envisage the identification of measurable quantitative targets. However, the effectiveness of the policies and actions adopted, described above, is adequately monitored through the monitoring activities carried out by the Body with Strategic Supervision Function (OFSS) which, in accordance with the "Group Directive on IT Governance and Strategy Definition", assesses the adequacy, functionality and reliability of the entire information system and individual services provided.

In detail, the Body is informed at least annually about the adequacy of the services provided.

BANCA MONTE DEI PASCHI DI SIENA

Responsible business practices of the Group, access to and quality information on products offered in terms of social inclusion

This paragraph is related to the Group's **responsible business practices**, the offering of products to promote social inclusion and the availability of **quality information** on these products.

Policies

Meeting customer needs is a fundamental condition for the Group in conducting its business activities and an inescapable requirement in maintaining and improving a relationship of trust with customers. For this reason, the Parent Company is strongly focused on maintaining transparent, continuous and non-discriminatory communications.

The Group Policy on Commercial Policies ensures effective management and oversight of processes for interactions between the Group and its customers. Taking into account the requirements of external regulations on investment and banking services and the related rules of conduct towards customers, it defines methodologies, models and business rules with reference to key processes such as:

· the definition and management of service models, i.e. the definition and
management of elements supporting the enhancement of the customer relationship;

· the definition of processes and rules to protect customers in the provision
of banking products and services, in compliance with applicable regulatory requirements;

· the definition of commercial marketing plans, which outline the commercial
market strategy, planning annual and periodic objectives and defining the levers in terms of initiatives, pricing, products, promotions
and communications to support their achievement.

· the oversight of customer relationship management;

The Group implements product design, development and marketing policies that take into account the needs of its customers as well as legal provisions on issues of transparency and fairness in customer relations, in order to prevent unfair commercial practices. This is also reiterated in the Code of Ethics, which states that the Group has put in place appropriate operating procedures that allow it to propose the most suitable products or services based on customers' actual needs and requirements. Customers, before subscribing to a product or service, are provided with clear and comprehensive information on the conditions and services offered, to encourage informed choices.

Particular focus is given to the needs of the more vulnerable customers and society in general, with the promotion of access to banking services, informed use of credit, and the prevention of over-indebtedness. Furthermore, the Group fosters social welfare through the creation of sustainable products and services tailored to the needs of its customers by supporting a development model aimed at including categories of people with basic financial needs.

In this context, as stated in the "Sustainability and ESG Guideline", the Group operates with a focus on respect for human rights, fairness and inclusion, fundamental rights on work and standards regarding child labour and forced labour, health and safety, and the adoption of good corporate governance practices. In order to contribute to the protection of the wellbeing of the health and development of the entire community and in line with the values and principles expressed in the Code of Ethics, exclusion and enhanced due diligence policies for certain high social impact sectors have been defined within the Sustainability and ESG Directive. Specifically:

**Production and marketing of armament materials:**

· Exclusion policies aimed at avoiding involvement in the financing and brokering
of transactions related to arms production and trade, as referred to in Law no.185/90. With reference to the production, transit and/or
marketing of armament materials, the Group may support operations that have been authorised by the relevant authorities and that comply
with applicable and current legislation;

· Exclusion policy for counterparties and transactions involving controversial
weapons and/or weapons banned by international treaties, e.g. nuclear, biological and chemical weapons, cluster bombs, weapons containing
depleted uranium, anti-personnel landmines; the Group does not support transactions destined for countries subject to sanctions and embargoes,
countries in armed conflict and/or whose governments have been responsible for serious violations of international human rights conventions,
nor does it have any dealings with entities operating in these market sectors.

2024 ANNUAL REPORT - Sustainability Reporting

**Tobacco Industry and Cultivation:**

A due diligence assessment of transactions aimed at financing counterparties and activities/projects related to tobacco cultivation and the tobacco industry based on the following criteria:

· involvement or otherwise in corrupt or ethically controversial events that
expose the company to particular media attention and criticism;

· state-owned company or state-owned concessionary service provider;

· company with revenues mainly from activities related to the cultivation
and production of tobacco;

· company with revenues mainly from activities related to the cultivation
and production of tobacco for pharmaceutical purposes.

**Development and dissemination of gambling:**

A due diligence assessment of the risks, including reputational risks, associated with the nature and purpose of the transaction and the profile of the counterparty. Specifically, with reference to the nature and purpose of each transaction, the following transactions are subject to extended due diligence:

· the provision of online gambling platforms;

· the purchase, construction, development and expansion of gambling halls;

· the purchase and production of machinery that promotes gambling;

· the marketing and sales promotion activities related to gambling.

In defining the contents of the policies, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

In addition, all Group policies and directives are validated in advance by the Compliance function in order to certify that their contents comply with risk control and external regulations. Policies and directives classified as strategically significant (e.g. product policy, commercial policy, financial product governance and control directive) are subject to review at least every three years and are subject to approval by the Board of Directors.

Policies on strategic guidelines for assuming, managing, monitoring and mitigating the risks to which the Group is exposed are reviewed at least once a year and require the prior opinion of the Risk and Sustainability Committee.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site, <br> corporate intranet)** |
| **Group Policy on Commercial Policies** | &nbsp;&nbsp;The Policy defines the methodologies, models and corporate rules adopted by the Group on Commercial Policies on the set of elements characterising the relationship between the Group and its Customers. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and the Group companies involved in the Commercial Policies (Widiba,, MPS Fiduciaria, MPS Belgio, Montepaschi Banque). | &nbsp;&nbsp;This policy, classified as strategically significant, has been approved by the Board of Directors, which is responsible for the overall commercial policy guidelines. | &nbsp;&nbsp;The Commercial Policies comply with the requirements of external regulations on investment and banking services and the related rules of conduct towards customers (e.g. EU GDPR Regulation 2016/679; MIFID II 2014/65, etc...). | &nbsp;&nbsp;Available to all employees on the corporate intranet. |

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BANCA MONTE DEI PASCHI DI SIENA

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|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site, <br> corporate intranet)** |
| **Group Products Policy** | &nbsp;&nbsp;The Policy defines general models and principles adopted by the Group in the conception, acquisition and control of new products or services; development of new activities; entry into new operational or market segments. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and all Group Companies. | &nbsp;&nbsp;The policy, which is classified as being of strategic importance, has been approved by the Board of Directors, which is responsible for the overall guidelines for issuing, structuring, reviewing and distributing financial products and aligning products with regulatory developments and the interpretations issued by the Supervisory Authorities. The Board of Directors is also involved in approving innovative, strategically significant/risk-relevant products and in the risk assessments deemed necessary by the Control functions subject to the opinion of the Risk Management Committee and the Risk and Sustainability Committee. In addition, proposals that have received a negative opinion from the Risk Control Function, or from the Risk Management Committee, may nevertheless be submitted for approval, and in this case must be approved by the Board of Directors following their discussion by the Risks and Sustainability Committee. Products must comply with the Group's sustainability requirements in terms of risk profiles, business effectiveness, tools and functionalities, processes, impact on the information system, compliance with internal and external regulations. Before being marketed, each product must therefore be reviewed by all necessary functions, including the Control functions, and then approved by a role formally authorised to do so. | &nbsp;&nbsp;The Policy has been drawn up in compliance with current regulations concerning the transparency of banking and financial services and transactions, Supervisory Provisions on the transparency of banking and financial services and transaction and the European Banking Authority's Guidelines on governance and control arrangements for banking products. With regard to insurance investment products, the Policy is in line with EU Directive 2016/97 (IDD Directive) and EU Regulation 2017/2358. | &nbsp;&nbsp;A document overview is available in the Sustainability section of the Group's corporate website. |
| **Rules on investment services: mapping and identification for ESG purposes of financial products** | &nbsp;&nbsp;The document defines the rules for ascertaining the veracity of the ESG qualification, i.e. sustainability, associated with the financial products being placed, in order to manage and contain 'greenwashing' for the perimeter products being analysed. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and Widiba. | &nbsp;&nbsp;The Product Function handles periodic reporting to the Investment and Product Steering Committee - Investment Session. | &nbsp;&nbsp;The Policy is implemented in compliance with Regulation (EU) 2019/2088 as supplemented by Regulation 1288/2022). | &nbsp;&nbsp;Available to all employees on the corporate intranet. |

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2024 ANNUAL REPORT - Sustainability Reporting

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|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site, <br> corporate intranet)** |
| **Group Policy on Governance and Control of Customer Banking Products** | &nbsp;&nbsp;The Policy defines the organisational model adopted for the release of products to be offered to customers. The process describes the activities to be carried out across the various stages:<br> 1. Conception/acquisition, which includes identifying the **Potential Target Market**, to limit the risk that banking products will not meet the characteristics, needs and objectives of the customers for whom they are intended;<br> 2. Preliminary risk assessment in which the Control functions and the Legal function assess product compliance and its risks for the Bank, as well as identifying possible mitigation actions to be taken into account during its implementation;<br> 3. Product Implementation, validation and approval;<br> 4. Product monitoring, which covers all activities to the product's various aspects across its life cycle;<br> 5. Product delisting, setting out the procedures for purging products from the Catalogue. In the case of innovative or strategically important/risk- relevant product design, the preliminary risk assessment phase entails a specific risk assessment to assess its impact on the RAF; this also requires the approval of the Risk Management Committee. | &nbsp;&nbsp;The document is addressed to Banca MPS and the following Group companies: Widiba and Monte Paschi Banque. | &nbsp;&nbsp;The policy, which is classified as being of strategic importance, has been approved by the Board of Directors, which is responsible for the overall guidelines for issuing, structuring, reviewing and distributing financial products and aligning products with regulatory developments and the interpretations issued by the Supervisory Authorities. The Board of Directors of the Parent Company and of each Group Company approves or disapproves proposals to develop new products or changes to existing products intended for its customers, which must be brought to its attention based on the criteria defined in the Group Product Policy (e.g. strategically significant and/ or risk-relevant products and/or products for which a risk assessment is deemed necessary and submitted to the Risk Management Committee for its opinion). The Investment and Product Steering Committee annually approves the plan for product development and evolution. Any unforeseen new products require approval for marketing. | &nbsp;&nbsp;For retail banking products, the Directive takes into account the European Banking Authority's Guidelines on Governance and Control Arrangements for Retail Banking Products and Internal Governance. | &nbsp;&nbsp;Available to all employees on the corporate intranet. |
| **Group Policy on Governance and Control of Customer Financial Products** | &nbsp;&nbsp;The Policy defines the specific Governance and Control over Financial Products and describes the guidelines adopted with reference to the distribution of complex financial products to customers classified as 'retail'. | &nbsp;&nbsp;The Policy is addressed to the Bank and Widiba. This applies to all financial products/ services intended for customers issued/ established after 3 January 2018 and to all financial products/ services issued/ established before 3 January 2018 that are still distributable after that date<sup>49</sup>. | &nbsp;&nbsp;The Policy, which is classified as strategically significant, has been approved by the Board of Directors of the Parent Company, which is responsible for the overall governance of issuing and/or structuring and/or distributing financial products. The Investment and Product Steering Committee annually approves the plan for product development and evolution. Any unforeseen new products require approval for marketing. | &nbsp;&nbsp;The Policy is implemented in coherence with the Product Governance, provided for in Directive 2014/65/ EU (MiFID II), which is supplemented by Delegated Directive (EU) 2017/593. | &nbsp;&nbsp;Available to all employees on the corporate intranet. |

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49 The following are outside the scope of this Policy: (i) Capital Markets products/services and (ii) products intended exclusively for "Eligible Counterparties" for MiFID purposes and "Financial Counterparties" for EMIR purposes

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site, <br> corporate intranet)** |
| **Group Policy on the Distribution of Protection Insurance Products and Supplementary Pension Schemes** | &nbsp;&nbsp;The Guideline defines the organisational model adopted by the Group for the process of 'Distribution of protection insurance products and supplementary pension schemes', setting out the governance and control of these products. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and Banca Widiba.<br> The Directive applies to non-life and life protection insurance policies other than insurance investment products and to newly issued supplementary pension schemes distributed by the Bank, or existing ones if they are substantially modified<sup>50</sup>. | &nbsp;&nbsp;This Policy, which is classified as strategically important in that it concerns distribution mechanisms, has been approved by the Board of Directors of the Parent Company. | &nbsp;&nbsp;The Policy is drafted in line with Directive (EU) 2016/97 ("IDD Directive"), European Commission Delegated Regulation No. 2358 of 21 September 2017 ("EU POG Regulation") as amended by EU Delegated Regulation 2021/1257, IVASS Regulation No. 45. | &nbsp;&nbsp;Available to all employees on the corporate intranet. |
| **Group Policy on Sustainability and ESG** | &nbsp;&nbsp;The Policy defines the organisational model adopted by the Group to address the integration of sustainability principles along the three lines of environmental, social and governance (ESG) in the definition of the strategy, business model and corporate policies pursued in the conduct of its business. Specifically, the document defines the principles, guidelines and relevant sustainability issues that are identified, implemented and monitored in order to respond to all stakeholders. In particular, with regard to the impact on society, the Guideline describes how the Group pursues the cross-cutting objective of: generating a positive impact on the community by guaranteeing opportunities for digital development and sustainable growth to all Customers, areas and communities and identifying solutions and measures to support the cash flow of businesses economically affected by calamitous and extraordinary events (e.g. natural catastrophes); encouraging the emergence of new entrepreneurial activities in regions with lower growth; providing support for female entrepreneurship and particular customer segments; and preventing and combating usury. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and all Group Companies. | &nbsp;&nbsp;The Policy is subject to approval by the Board of Directors, following the opinion of the relevant Board Committees and the Executive Committee. The implementation of the Directive must be notified to the following Structures and Functions of the Parent Company:<br> - Unit to which the individual company reports;<br> - Business Owner structure referring to the process: Chief Financial Officer and Sustainability and ESG Staff;<br> - Organisation Function. | &nbsp;&nbsp;The Policy, in the area of product development and distribution, is implemented in coherence with:<br> - Insurance Distribution Directive (hereinafter also 'IDD');<br> - Directive (EU) No. 2016/97;<br> - EU Delegated Di- rective 2021/1269 (hereinafter also MiFID 2 ESG). | &nbsp;&nbsp;It is available in the Sustainability section of the Group's corporate website. |

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50 The Policy does not apply to insurance products that consist of insurance of large risks.

2024 ANNUAL REPORT - Sustainability Reporting

Actions

As part of the wider process of designing its products and services, the Group ensures that product characteristics are determined taking into account the findings of customer intelligence analyses. These analyses are aimed at detecting the characteristics and needs of customers through, inter alia, the assessment of the behavioural profile of the various customer segments, the MiFID profile and the analysis of customer portfolios for investment products, the potential demand from customers, and the exploitation for cognitive purposes of the multiple moments of interaction between bank and customer and the acquisition of direct and indirect feedback. The product design process also guarantees:

· the evaluation of the risk profile of investment products with regard to
checks on adequacy/appropriateness;

· the definition of economic conditions in compliance with current regulations
(e.g. on usury) and, where applicable, internal pricing policies;

· the definition of the characteristics of the customers for whom the product
is intended;

· compliance with the principles and rules defined in the Group directive
on governance and control of banking products for customers with regard to the definition of the target market;

· compliance with sustainability requirements defined in terms of risk profiles,
business effectiveness, tools and functionalities, processes, impact on the information system, compliance with internal and external
regulations.

**Products aimed at the social inclusion of consumers and end users**

In this context, the Group is committed at all times to supporting the social needs of the most vulnerable categories, offering its customers multiple products aimed at facilitating access to social inclusion for users and end consumers, as described below.

<u>MPS Mio Futuro Account and Free Savings Service</u>

As from 16 December 2024, the new bundled current account for "under-18" customers has been available, a **financial inclusion** and **savings education** tool that gives minors the opportunity, under parental supervision, to start saving.

<u>Mortgages with the First Home Fund guarantee</u>

During 2024, the Parent Company continued to commit to offering mortgages guaranteed by the First Home Fund managed by Consap. These are medium- and long-term mortgage loans intended for the purchase and renovation of properties used as main homes granted up to 100% the value of the property and are in particular for customers eligible under the regulations (First Home Fund) or in favour of:

· young couples, at least one of whom is not over age 35;

· single parent families with minor children;

· tenants in accommodation owned by independent low-income housing associations;

· young people under age 35 with non-standard employment contracts.

<u>SACE Garanzia Futuro</u>

During 2024, the Parent Company joined up to the "Garanzia Futuro" instrument promoted by SACE, through which new financing was provided to support the growth process of companies in Italy and on global markets, investments in infrastructure, support for supply chains and local communities and female entrepreneurship.

*<u>Sustainability Linked Loans</u>*

In the course of 2024, the Sustainability Linked Loans were made commercially available to all customers. "ESG Covenant" allow the linking of customer objectives on sustainability issues, including social, environmental and governance KPIs, to improved pricing conditions. These covenants are associated with certain medium- and long-term financing products with gradual amortisation intended for corporations. During the year 2024, the Group disbursed 27 Sustainability Linked Loans with social covenants totalling EUR 188.5 mln.

<u>Funding to combat usury</u>

To prevent and combat usury, the Group has established specific financing, particularly in this area, with pilot agreements in place with "Fondazione Toscana per la prevenzione dell'usura Onlus" and Adiconsum. A total of around EUR 1.7 mln was disbursed in 2024.

BANCA MONTE DEI PASCHI DI SIENA

<u>Resto al Sud</u>

The Group has released products dedicated to businesses with registered office in the southern regions of Italy. In particular, *MPS Resto al Sud* is a targeted incentive to facilitate new business activities in regions of Southern Italy, areas hit by earthquakes in Central Italy and the smaller islands, and the marine, lagoon and lake areas of Central and Northern Italy. This funding is disbursed in accordance with the provisions of the Minister for Territorial Cohesion and the Mezzogiorno, which promotes it, and the managing entity Invitalia. This incentive covers up to 100% of costs, with a maximum loan amount of EUR 50,000 per applicant. EUR 5.8 mln was disbursed in 2024.

<u>Natural disasters</u>

The Group has established a series of CDP-funded subsidised loans to support those affected by natural disasters. At the end of 2024 two subsidised loans, set up ad hoc by the Group, are still active in favour of those affected by the seismic events that occurred in Emilia-Romagna in 2012 and in Central Italy in 2016. The loans are dedicated to those severely affected by the events, especially as regards property, production plants and public and private services. In addition, in 2024, in connection with the natural disasters occurring in September (Emilia-Romagna), the Parent Company set up a series of loans with favourable conditions for companies resident and/or based in the affected areas that suffered damage.

Finally, initiatives were implemented to suspend loan instalments for the areas affected by the state of emergency based on regional provisions and also at the initiative of the Bank.

<u>Adoption of Protocols, Products and Credit Pools</u>

The Parent Company is a party to the Agreement governing the relationship between Sviluppo Campania and the Lending Bank for the operation of the financial instrument "FONDO ROTATIVO PMI" (FRI Campania). This is an initiative, implemented with Community funds (ERDF), aimed at enabling SMEs in the Campania Region to access the credit market on favourable terms, with a view to strengthening the competitive capacity of companies, supporting the adoption of emerging technologies, innovation processes and corporate reorganisation and restructuring processes.

The Parent Company supports the implementation of aid measures in favour of Tuscan SMEs provided by the Region of Tuscany, which include the reduction of interest on loans granted by banks to Tuscan companies, as part of a European Investment Bank ("EIB") provision.

The Parent Company has adhered to the "Smart Specialisation" measure under the Sustainable Growth Fund to support industrial research and experimental development projects of strategic importance for the production system, consistent with the thematic areas of the national smart specialisation strategy<sup>51</sup>, aimed at identifying technological and application trajectories that evolve from it, with a focus on less developed regions (Basilicata, Calabria, Campania, Molise, Puglia, Sardinia and Sicily).

The Group also planned the following initiatives in 2024 to support households and businesses in coping with rising interest rates:

· renegotiation of floating rate mortgages, according to the methods provided
for by Law 197/22 with particular reference to customers with ISEE [equivalent economic situation indicator] not exceeding EUR 40,000;

· mortgage suspension: possibility of requesting the suspension of the payment
of mortgage instalments in application of the provisions of the Gasparrini law. That allows for the suspension of an entire instalment
under the Fund if at least one of the joint mortgage holders falls into one of the following situations:

- unemployment following the termination of his/her working relationship under Article 409 nr.3 of the Code of Civil Procedure;

- unemployment following the termination of his/her employment;

- suspension from work for at least 30 consecutive working days

reduction of his/her working hours by at least 20% of total working hours for a period of at least 30 consecutive working days;

death or certified severe disability or civil invalidity to a degree of at least 80%;

· activation of the product for the advance payment of TFS-TFR intended to
support civil servants waiting for the settlement of the Treatment by INPS.

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| | |
|:---|:---|
| 51 | The *<u>Smart Specialization Strategy</u>* (NSSS) identifies long-term investment priorities shared with the regions and key stakeholders, ensuring complementarity between centrally planned actions and those at territorial level, so as to reduce the risk of duplication or overlap and strengthen their impact. The objective is to create new value chains that, starting from research and development, lead to the generation of innovative products and services and the development of key enabling technologies for the implementation of the next generations of products to increase wealth, improve its distribution and bet on the possibility of new jobs that can last. |

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2024 ANNUAL REPORT - Sustainability Reporting

**Initiatives to support financial education**

With the aim of guaranteeing its customers access to products and services in a transparent and informed manner, the Group is continuing its initiatives to support the financial education of customers and end consumers.

<u>"Flash Mercati" webinar</u>

The traditional weekly webinar "Flash Mercati" dedicated to the Private and Retail networks continued, with around 45 meetings/webinars in total throughout the year. In addition to these meetings, the Group facilitated dedicated appointments, organised digitally or in person at the request of the network, to address specific market or product issues.

For the Companies network, 45-minute webinars were held monthly under the title "Markets and operating inputs on specialised services (Liquidity Management and Coverage)".

<u>Digital B2B</u>

This is a series of interactive webinars delivered by specialists on specific topics, such as financial market trends, and aimed at Wealth Management specialists and all Private and Family Office Network resources.

<u>Info-training meetings throughout the country</u>

The following initiatives were held during the year: (i) "Le Giornate del Private Banking" ("Private Banking Days"), carried out through three different editions each of which involved around 140 employees from the Private and Family Office network; and (ii) 19 sessions of around 60 minutes each, involving the entire Private and Family Office network, to review in-depth the most important issues relating to the economic and financial context.

Objectives

During 2024, the Group identified financial inclusion as a strategic priority, highlighting the importance of customer relations and links with local communities. This priority is reinforced by a widespread grassroots presence and the historical mission of supporting the community and customers in accessing financial services, through continual listening and engagement, while promoting financial education. In defining targets, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

For the three-year period 2024-2027, the Group has set a target of increasing the financial inclusion of young retail customers by improving their planning and economic resilience. The 18-35 age group is the specific target out of total retail customers. This cluster was identified on the basis of internal and external analyses concerning the socio-economic characteristics of Generation Z and the Italian context, characterised by job insecurity and a low propensity to save.

The Group aims to increase the penetration of savings products, especially savings and pension plans, among retail customers aged 18-35 by 1.2% from 6.2% to 7.4% by 2027. This objective will be pursued through:

· commercial actions aimed at directly engaging the identified cluster;

· facilitated financial solutions with dedicated pricing to encourage access
to savings and pension plans;

· financial education initiatives, aimed at raising young customers'
awareness of the importance of financial planning and long-term savings.

Progress towards the target will be monitored periodically through internal data, which segment retail customers by age group and total deposits, and will be published annually. Key metrics will include the penetration rate of savings products in the target cluster and the effectiveness of sales and training initiatives.

Other monitoring indicators for social issues

In addition, with reference to the investment activities carried out by the Group, within the 2024-2028 Business Plan, targets for disbursements with ESG purposes (which therefore also incorporate social factors in the disbursement criteria) have been strengthened by planning to reach 30 percent by 2028 of ESG volumes disbursed compared to the total volumes disbursed during the year and 25 percent of green and social bond issues compared to the total issues made during the year and for the period 2024-2028.

BANCA MONTE DEI PASCHI DI SIENA

Consumer and end-user involvement processes

The management of material impacts entails that the Group should have its own employee engagement processes in place to take their views into account. In this regard, one of the commitments made by the Group within the Code of Ethics is to create and develop relationships with customers aimed at increasing their satisfaction. The aim is to place the customer at the centre of the Group's commercial strategies in order to respond to their needs and preferences, through transparent behaviour, innovation and valuing customers' needs and characteristics.

To spread the culture of relationships, the Group monitors the achievement of targets related to customer satisfaction and loyalty. In particular, the Group collects suggestions and proposals from customers and other significant stakeholders concerning the services and products offered. The Group adopts an approach based on active listening and customer involvement. The main objective is to guarantee a personalised, innovative and accessible banking experience through an omnichannel model that ensures customer interaction through digital tools and qualified assistance. The monitoring of feedback makes it possible to respond to the different needs of customers, facilitating an update of the products and services offered.

In detail, customer involvement takes place through a Contact Centre divided into two main areas:

· the Network Hub, which provides commercial and specialised
assistance, through the MIA Chatbot, a virtual assistant that handles 44% of requests autonomously, and the presence of consultants, who
via chat (70%) and telephone calls (30%), handle the remaining 56% of requests;

· the Customer Hub, on the other hand, offers information
and transaction assistance, as well as outbound business consulting. Through a multi-channel presence, the Group allows customers to contact
it via telephone, e-mail, webform, certified e-mail and the "call me back" service. An average annual flow of about 420,000
calls and 70,000 enquiries handled through other channels is recorded through these contact structures.

Technological innovation and digitalisation play a significant role in the evaluation of the services offered by the Group. In the area of Digital Banking, services are mainly provided through the bank's official app, available on the Apple and Google Play stores. Customers can review the app and give a rating from 1 to 5 stars, contributing to the continuous improvement of the service. The Bank Customer Service (Level II) monitors and responds to reviews using standard templates defined by the Business Function and validated by the Communication Function. If a standard template is not adequate, a specific response is requested. Monitoring the evaluations allows the Group to take the necessary actions to improve the app and digital services, optimising the user experience.

Within the Group, Banca Widiba is distinguished by certain specificities in its customer experience model. Customer involvement is achieved through a rating system whereby products and services are given a score from 1 to 5, accompanied by comments and suggestions. All feedback is analysed in order to improve the offering and the quality of the service. The figures for 2024 show an average of 16,000 comments per month, 97.2% of which were positive.

2024 ANNUAL REPORT - Sustainability Reporting

Processes to remediate negative impacts and channels for consumers and end-users to raise concerns

As part of the processes to manage material negative impacts on customers and end users, the Group has processes in place to remedy and manage concerns expressed by customers.

Within the Group, the management of customer disputes is based on a structured and uniform process, while taking into account the specific aspects of the different businesses comprising it, including Banca Widiba.

At present, customer disputes may take the form of **complaints** made to the Supervisory Authorities, requests for **mediation** pursuant to Legislative Decree 28/2010 as amended, and **requests** for assisted **negotiation** (pursuant to Legislative Decree 132/2014 as amended). In addition, following unsuccessful or partially unsuccessful complaints for which no response is provided within the prescribed time limits, customers may refer to the Financial Banking Arbitrator (ABF), which handles disputes concerning banking and financial products and services, and the Financial Disputes Arbitrator (ACF), concerning the obligations of diligence, fairness, information and transparency in the provision of investment services and collective asset management.

With regard to the channels made available to consumers, in addition to the grievance handling process, the Bank has structured and formalised management processes concerning:

· applications (submitted by customers or non-customers) including the requests
or reports, mainly of a logistical, relational and commercial nature, received exclusively in written form;

· complaints, which include:

- objections made verbally relating to services rendered by the bank or arising from contractual relations with the bank (including objections made by customers and potential customers concerning the management of the pre-contractual stage);

- all objections, in verbal form, concerning relational problems with Bank employees;

- objections, concerning products or services offered, made via web channels or social networks;

- requests for clarification, remarks and/or objections about products or services offered or alleged inefficiencies, received from journalists/media outlets.

Complaints management

The Group seeks maximum transparency and accessibility of grievance channels, actively informing consumers of their existence through its institutional website, contractual documentation and direct communication at branches and specialist centres.

**Complaints** may be **submitted** by customers in the following ways:

· delivery by hand to a Branch or Specialised Centre;

· ordinary or recorded delivery mail;

· online form available on the Bank's institutional website;

· e-mail and via the certified e-mail address of the Complaints Function.

Operational monitoring of the entire grievance management process, customers' appeals to the ABF or ACF and mediation and assisted negotiations is managed and ensured by the **Complaints and Mediation Department**.

The **various steps in the grievance management procedure** are:

· the receipt of the complaint and its transmission to the Complaints and
Mediation Department;

· registration of the complaint, completed with the aid of the Complaints
Management application (GRB);

· investigation, which is carried out with support from the Branch/Centre
of reference for the customer or supported by the functions responsible for the matter in question;

· decision-making, in compliance with independence aspects envisaged in internal
regulations from time to time;

· accounting treatment and settlement of the complaint, if the outcome envisages
outlay in favour of the customer.

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![](tm2518026d1_ex99-4sp8img02.jpg)

In compliance with the provisions of regulations, with particular regard to Article 17 of the joint Bank of Italy/Consob Regulation, the Bank of Italy's Supervisory Provisions on the transparency of banking and financial transactions and services, and ISVAP Regulation no. 24/2008, the Bank has established the following **maximum timeframes** **<sup>52</sup>** to provide a response to grievances submitted by customers:

· 60 calendar days from the date of receipt of grievances concerning banking
and financial products and services and investment services;

· 45 calendar days from the date of receipt of grievances concerning insurance
brokerage services;

· 30 calendar days for grievances concerning violations of the Code of Conduct
for information systems managed by private consumer credit firms (CIS);

· 15 business days from the date of receipt for grievances concerning payment
services.

The Group ensures the confidentiality of reports and protection from retaliation for individuals who use the complaint mechanisms, in line with the principles of transparency and fairness governing customer relations. The activity carried out by the Complaints and Mediations department is characterised by the utmost objectivity and third party protection of stakeholders' rights, regardless of their geographical area. In addition, the Group promotes the accessibility and clarity of information on how to submit grievances, so that all customers can exercise their rights fully aware of and confident in the compliant handling process.

If the management of grievances brings to light elements for attention or risk or areas for improvement for the Bank, the Complaints Function reports these aspects to the relevant Corporate Functions for the matter in question, informing the Compliance Function and Risk Function.

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| 52 | Exceptions are objections related to the possible violation of the rules pertaining to the "Code of Conduct for Privately Operated Information Systems on Consumer Credit, Reliability and Punctuality of Payments," for which the maximum response time is 30 working days (extendable for an additional two months in exceptional and justified cases) as provided for in Article 12 paragraph 3 of the European Regulation 2016/679 (GDPR). |

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2024 ANNUAL REPORT - Sustainability Reporting

No involvement of stakeholders (i.e. customers submitting complaints or appeals is envisaged) in the planning, review, operations and improvement of the procedure described above. In addition, there is a tracking of the effectiveness of procedures from a stakeholder perspective that allows for the assessment of customer satisfaction, such as the submission of an ABF/ACF complaint or a reiteration of the complaint in itself constitutes a symptom of customer dissatisfaction with the responses provided by the Bank, and similarly, the acceptance of the complaint predictably gratifies the customer.

On the other hand, a quantitative and qualitative monitoring of the activity carried out by the Complaints and Mediation department is provided for in terms of compliance with processing times and in terms of effectiveness; in particular, the focus is on the number of upheld/partially upheld/rejected complaints and the number of favourable/partially favourable/ unfavourable arbitration decisions.

Within this framework, and in accordance with the provisions of Section XI of the Bank of Italy's Supervisory Provisions of 20 June 2012, as amended, on the subject of the "Transparency of banking and financial transactions and services - Fairness of relations between intermediaries and customers", the Group prepares and publishes on its websites an annual report on its complaint handling activities.

In fact, the Complaints Mediation Department is separate and independent from functions in charge of the marketing of products and services, so as to prevent potential conflict-of-interest situations and ensure maximum protection of the customer's interest.

Within the Group, Banca Widiba adopts an approach to grievance handling that, while aligning with the general principles of the Group, has some specific aspects. In this regard, any customer who feels that he/she has not received a level of service in line with his/her expectations and contractual commitments may contact Customer Care through the Mediacenter tools and according to the procedures described on the Banca Widiba's website to suggest possible corrective measures, or contact his/her follow-up advisor.

If it is not possible, for any reason whatsoever, to overcome the differences that have arisen, the customer may address a complaint in writing to Banca Widiba's Complaints Department by the following methods: ordinary mail, with stamped envelope addressed to Ufficio Reclami (Complaints Office) at Banca Widiba, via Messina 38, Torre D, 20154 - Milan; e-mail, to the e-mail address: reclami@widipec.it; direct delivery to their follow up financial advisor.

In the interest of the customer, the grievance must contain at least the following contents: identification data (name, surname, date and place of birth, address) of the customer; relationship identification number (current account or securities deposit); telephone number where the customer can be contacted if necessary; a clear description of the product/service provided by the Bank and the reasons why the customer is dissatisfied; any documentation supporting the disputed facts.

To standardise the management of existing complaints in Banca Widiba with respect to procedures already in place at the Group, and to intervene promptly in the resolution of cases so that a complaint does not turn into a formal grievance, a formal process was created called the "Complaints Register", which is intended to achieve the expected objective:

· the census of all complaints made by customers and financial advisers by
mapping the cases using the ABI Classification of Complaints;

· complaints monitoring.

It is considered that a complaint has occurred if:

· the objection is made verbally concerning services rendered by the Bank
or arising from the contractual relationship with the Bank;

· it is a written objection made on web channels (such as Chat and social
networks);

· the objection is made in the form of a request for clarification, in verbal
or written form, by journalists and newspapers.

Protecting the human rights of consumers and end users

In line with the significance identified in the Double Materiality Analysis of issues related to consumers and end users, the Group is committed to developing relationships of trust and mutual and lasting satisfaction with customers, marked by values of transparency and fairness. The Group has therefore put policies and processes in place to promote the protection of human rights and to follow a conduct inspired by integrity and respect, committing to:

· complying with internal rules and procedures, the external codes and agreements,
both national and international, to which it adheres, contractual provisions and legal and regulatory obligations in force in each geographical
context and sphere of activity where it operates;

BANCA MONTE DEI PASCHI DI SIENA

· assessing the seriousness and reliability of organisations it has a direct
or indirect relationship with, paying attention to their possible involvement in activities that are illegal, harmful to human rights,
or detrimental to human health and safety;

· operating in line with the principles of the UN Global Compact and the UNEP
Principles for Responsible Banking which it endorses;

· complying with the minimum sustainability criteria identified by the Group
as mandatory, consistent with the relevant international, European and national (conventions that apply to all counterparties and projects,
in order not to provide funding to counterparties and projects for which, during the assessment, evidence will emerge of adverse impacts
and of legal proceedings relating to violations of human rights (including health and safety standards), violations of fundamental labour
rights and child and forced labour standards, financial and non-financial reporting fraud, money laundering, corruption or financing of
terrorism, and which involve controversial and/or internationally banned weapons (e.g. nuclear, biological and chemical weapons, cluster
bombs, weapons containing depleted uranium, anti-personnel landmines). The Group does not support transactions destined for countries
subject to sanctions and embargoes, countries in armed conflict and/or whose governments have been responsible for serious violations
of international human rights conventions, nor does it have relations with entities operating in these market sectors.

2024 ANNUAL REPORT - Sustainability Reporting

Section 4 - Governance Information

Business conduct

*[ESRS G1]*

This section provides a description, in relation to the management of 'business conduct' of the impacts, risks and opportunities found to be relevant from the materiality assessment conducted, the policies adopted to prevent, mitigate and correct any non-compliant conduct and the actions to mitigate actual and potential impacts, address risks and seize relevant opportunities, the targets set to monitor the effectiveness of the actions and the metrics used to monitor the effectiveness of the measures adopted.

Role of administrative, management and control bodies in the conduct of businesses

The Group adopts a Code of Ethics that forms the basis of its activities. It is approved by the Board of Directors in the same way as the Bank's Compliance Programme (231 Model) and it sets out the guiding principles, the values and rules of conduct (in addition to legal and regulatory obligations), which the directors, auditors, managers and employees of the Group companies undertake to respect and disseminate in the performance of their duties, in relation to their respective responsibilities.

The Group also undertakes to promote the dissemination of the principles of the Code of Ethics to associated companies, subsidiaries, investees, business partners, consultants and external staff and associates. Compliance with the code is evaluated in current and future relations. The Code of Ethics is therefore a governance tool and an integral part of the 231 Compliance Programme, binding on all those involved. Its implementation is monitored and verified under the internal control system.

In addition, the presence in the Board of Directors and the Board of Statutory Auditors, in the year 2024, of members with specific theoretical knowledge and practical experience on the subject of business conduct, with a focus on administrative liability pursuant to Legislative Decree No. 231/2001, acquired and matured through:

· role as member of Supervisory Bodies pursuant to Legislative Decree 231,
including in listed companies and banks;

· experience as director and/or statutory auditor of listed companies and
banks;

· Lecturer in Master's Course on administrative liability of entities;

· membership of associations/organisations/independent bodies with an ethical
purpose and membership of study groups on administrative liability of entities;

· consulting on economic crime;

· Legal knowledge deriving from studies in law, the practice of law and/or
academia, and the publication of scholarly articles.

Impacts, Risks and Opportunities

The process of mapping impacts, risks and opportunities with reference to the standard in question is based on the analysis of the specific aspects associated with the Group's operational and commercial activities, its strategic and governance documentation, both internal and public, and the identification of the initiatives selected and adopted to protect customers and end consumers (e.g. ongoing training on anti-corruption issues, whistleblowing and the 231 Management Model). In fact, the Group has put in place strong safeguards to define and ensure compliance with the principles relating to corporate culture, to protect whistleblowers and to prevent active and passive corruption. The changing environment could also entail risks for the financial institution, such as risks related to the potential breach of the Group's IT security. Finally, this interaction can also generate opportunities for the Group, e.g. by increasing stakeholder confidence in the safeguards defined to protect whistleblowers.

After conducting the double materiality assessment, the following aspects were found to be **material** with reference to Own Operations:

· **Positive impacts: related to** the adoption of corporate practices
and policies aimed at disseminating a mindful and adequate **corporate culture** within the Group, ensuring the **protection of whistleblowers** and **preventing corruption** through training;

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· **Negative impact:** connected to the lack of adequate safeguards to
ensure the **security of the Group IT and network systems** for the benefit of customers through the implementation of cybersecurity
policies and safeguards;

· **Risks:** related to **Reputational Risk** arising from possible
inadequate cybersecurity safeguards aimed at ensuring the security of IT and network systems for the benefit of the Group customers and
stakeholders, and from breaches of customer privacy/information by employees;

· **Opportunities:** increased stakeholder confidence related to whistleblower
protection.

![](tm2518026d1_ex99-4sp8img03.jpg)

*\*The topic "Active and passive corruption" also includes aspects related to the topic of Cybersecurity*

*\*\*The topic "Corruption and Bribery" also includes aspects related to Anti-Money Laundering and Countering the Financing of Terrorism*

For these issues, the following paragraphs describe the relevant Policies, Actions and Targets defined by the Group on **corporate culture** in terms of **protection of** whistleblowers and **prevention of corruption phenomena, and** cybersecurity in terms of **security of computer and network systems.**

Policies, Actions and Targets on business conduct

Corporate culture

This paragraph covers the issues related to corporate culture.

Policies

Material Group policies on corporate culture include the Group's Code of Ethics and the Group Policy on Governance Security Logic.

**Code of Ethics**

The Group's Code of Ethics contains the principles, values and rules of conduct that the Group is committed to following in all its activities, in its internal relations, in its relations with the market and significant stakeholders, and with the environment.

The Code is an essential part of Model 231 (the Organisation, Management and Control Model for the prevention of offences pursuant to Legislative Decree 231/01) as it supplements the model in terms of expressing and communicating values, principles and rules of conduct.

Any non-compliance and conduct considered not in line with the provisions of the Code can also be detected by each corporate function, as part of control activities pertinent to their own spheres of responsibility. Relevant reports are to be sent at the same time to the Compliance and Internal Audit Functions through the formal reporting procedure. They must be treated confidentially and analysed to assess their relevance, taking corrective and/or improvement action if necessary. To this end, the compliance function examines the reports for the aspects within its competence, also nforming the internal audit function, which, through auditing activities, assesses and ascertains possible conduct that suggests a breach of the Code, and presents the results to the relevant corporate bodies and to the 231 Supervisory Board (hereinafter also referred to as 231 SB).

In defining the contents of the policies, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site,<br> corporate intranet)** |
| **Code of Ethics** | &nbsp;&nbsp;The objectives of the Code are:<br> - define 'good conduct' standards for company policies and procedures;<br> - inform employees of the behaviour required of them;<br> - contribute to the implementation of the Group's sustainability policies;<br> - help make the Group's objectives compatible with the interests of civil society. | &nbsp;&nbsp;The Code of Ethics is applicable to all customers of the Group. The policies adopted by the Group on conduct are addressed to the entire corporate population without exclusions and without distinctions related to the geographical area of reference and the value chain. | &nbsp;&nbsp;The Code and any amendments thereto are subject to the approval of the Bank's Board of Directors.<br>The application and implementation of the Code by Group companies is ensured through the internal control system. | &nbsp;&nbsp;The Group is committed to the following:<br> - internal rules and procedures;<br> - external codes and agreements, including international ones, to which it adheres;<br> - contractual provisions and legal and regulatory obligations in force in each geographical context and sphere of activity in which it operates. | &nbsp;&nbsp;It is available in the Sustainability section of the Group's corporate website. |

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***Cybersecurity***

IT security is one of the fundamental pillars of the Group's culture, which is committed to ensuring the resilience, robustness and responsiveness of its digital system.

In this regard, the **Group** adopts the **Group Directive on Logical Security Governance,** with the aim of minimising the risks associated with **cybersecurity** breaches and ensuring adequate protection of data and information throughout their life cycle. To this end, the Directive defines the **"Information Security Management System"** (ISMS) aimed at ensuring its safeguarding and protection in all company activities.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site,<br> corporate intranet)** |
| **Group Policy on Logical Security Governance** | &nbsp;&nbsp;The Policy defines the organisational model adopted by the Group, the principles and responsibilities for the "Logical Security Governance" Process with the objective of protecting the company's information assets through the "Information Security Management System" (ISMS), adopted at Group level, providing a general and strategic medium/long-term direction. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and all Group Companies. | &nbsp;&nbsp;The Group Companies implement the Directive by resolution of their Top Management by adapting responsibilities, processes and internal rules, in line with their own characteristics and size.<br> The Group's governance logical security is centralised in the Parent Company's Information Security function. Implementation is guided and set up by the Information Security and Information Technology functions. | &nbsp;&nbsp;The Policy regulates how the ISMS is managed in accordance with internal and external applicable standards (e.g. ISO/IEC 2700x (series)). | &nbsp;&nbsp;An overview is available in the Sustainability section of the Group's corporate website. |

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Actions

In order to guarantee and ensure that all employees are aware of and understand the values and principles underpinning the Group's activities, a structured training model is in place which sets out that all employees complete their assigned courses.

The courses are updated on the instructions of the compliance function every time there is a regulatory or procedural innovation. As a result, course enrolment campaigns are planned, with monthly monitoring and a reminder plan for all persons who do not complete the assigned training. Each online course includes a final test, which must be passed to complete the course.

The Group uses a multidimensional training model aimed at a more effective and broad dissemination of risk culture. The interaction of the training model with Model 231/01 made it possible to identify the topics material to the latter, assigning each of them a level of relevance.

As far as information security is concerned, the Bank, with the support and cooperation of all corporate structures and Group companies, has established the Information Security Management System (ISMS), a set of organisational structures, processes, procedures and technological solutions adopted for the purpose of protecting the Group's own information assets and the information that customers exchange with the Group. For more information on the actions taken by the Group in the area of cybersecurity, please refer to the actions mentioned under "Privacy" in the chapter Consumers and End Users.

2024 ANNUAL REPORT - Sustainability Reporting

The following tables also show the percentages of training coverage on 231 relevant and anti-corruption issues for the year 2024 for Group middle managers, executives, and employees, CEOs and C-Levels.

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| | | |
|:---|:---|:---|
| **Training on topics 231 relevant** | **U.o.M.** | **2024** |
| **Group employees who have received training on issues 231 relevant** | **N** | **16433** |
| **Group employees who have received training on issues 231 relevant** | % | 99% |
| **Executives** | **N.** | **155** |
| **Executives** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northeast | N | 12 |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northeast | % | 100% |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northwest | N | 24 |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northwest | % | 100% |
| &nbsp;&nbsp;&nbsp;Of which residents in the South Central | N | 116 |
| &nbsp;&nbsp;&nbsp;Of which residents in the South Central | % | 99% |
| &nbsp;&nbsp;&nbsp;Of which residents of the Islands | N | 3 |
| &nbsp;&nbsp;&nbsp;Of which residents of the Islands | % | 100% |
| **Middle Managers** | **N** | **6088** |
| **Middle Managers** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northeast | N | 1280 |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northeast | % | 100% |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northwest | N | 1070 |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northwest | % | 99% |
| &nbsp;&nbsp;&nbsp;Of which residents in the South Central | N | 3401 |
| &nbsp;&nbsp;&nbsp;Of which residents in the South Central | % | 100% |
| &nbsp;&nbsp;&nbsp;Of which residents of the Islands | N | 337 |
| &nbsp;&nbsp;&nbsp;Of which residents of the Islands | % | 100% |
| **Employees** | **N** | **10190** |
| **Employees** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northeast | N | 1716 |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northeast | % | 99% |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northwest | N | 1594 |
| &nbsp;&nbsp;&nbsp;Of which residents in the Northwest | % | 99% |
| &nbsp;&nbsp;&nbsp;Of which residents in the South Central | N | 6200 |
| &nbsp;&nbsp;&nbsp;Of which residents in the South Central | % | 99% |
| &nbsp;&nbsp;&nbsp;Of which residents of the Islands | N | 680 |
| &nbsp;&nbsp;&nbsp;Of which residents of the Islands | % | 100% |
| **Bank employees who have received anti-corruption training** | **N** | **16159** |
| **Bank employees who have received anti-corruption training** | **%** | **99%** |
| **CEO AND DIRECT REPORTING STRUCTURES** | **N.** | **97** |
| **CEO AND DIRECT REPORTING STRUCTURES** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;**CHIEF AUDIT EXECUTIVE** | **N** | **152** |
| &nbsp;&nbsp;&nbsp;**CHIEF AUDIT EXECUTIVE** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMMERCIAL OFFICER ENTERPRISES AND PRIVATE** | **N** | **2574** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMMERCIAL OFFICER ENTERPRISES AND PRIVATE** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMMERCIAL OFFICER LARGE CORPORATE & INVESTMENT BANKING** | **N** | **225** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMMERCIAL OFFICER LARGE CORPORATE & INVESTMENT BANKING** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMMERCIAL OFFICER RETAIL** | **N** | **9889** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMMERCIAL OFFICER RETAIL** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMPLIANCE EXECUTIVE** | **N** | **67** |
| &nbsp;&nbsp;&nbsp;**CHIEF COMPLIANCE EXECUTIVE** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;**CHIEF FINANCIAL OFFICER** | **N** | **240** |
| &nbsp;&nbsp;&nbsp;**CHIEF FINANCIAL OFFICER** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;**CHIEF HUMAN CAPITAL OFFICER** | **N** | **214** |
| &nbsp;&nbsp;&nbsp;**CHIEF HUMAN CAPITAL OFFICER** | **%** | **97%** |
| &nbsp;&nbsp;&nbsp;**CHIEF LENDING OFFICER** | **N** | **766** |
| &nbsp;&nbsp;&nbsp;**CHIEF LENDING OFFICER** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;**CHIEF OPERATING OFFICER** | **N** | **1332** |
| &nbsp;&nbsp;&nbsp;**CHIEF OPERATING OFFICER** | **%** | **99%** |
| **CHIEF RISK OFFICER** | **N** | **172** |
| **CHIEF RISK OFFICER** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;**CHIEF SAFETY AND SECURITY OFFICER** | **N** | **115** |
| &nbsp;&nbsp;&nbsp;**CHIEF SAFETY AND SECURITY OFFICER** | **%** | **100%** |
| &nbsp;&nbsp;&nbsp;**GROUP GENERAL COUNSEL** | **N** | **151** |
| &nbsp;&nbsp;&nbsp;**GROUP GENERAL COUNSEL** | **%** | **99%** |
| &nbsp;&nbsp;&nbsp;**DGM COMMERCIAL** | N | **165** |
| &nbsp;&nbsp;&nbsp;**DGM COMMERCIAL** | **%** | **100%** |

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Objectives

The internal control system, which is a fundamental element of the overall and ordinary governance system of the Group, ensures compliance with the Code of Ethics. In particular, each corporate function carries out controls aimed at managing, monitoring and governing the set of risks relating to the operational areas and responsibilities falling within its competence, including the risk of non-compliance with the Code.

In addition, there are the Control Functions, which by legislative, regulatory, statutory or self-regulatory provision have control tasks, and the Internal Audit Function, which, through audit and control activities, verifies the regular course of operations and the development of risks, as well as assessing the completeness, adequacy, functionality and reliability of the organisational structure and other components of the internal control system.

With regard to information security, to ensure adequate management thereof, roles and responsibilities relating to information security have been defined within the Group so as to separate tasks and areas of responsibility with potential overlaps.

BANCA MONTE DEI PASCHI DI SIENA

Furthermore, within the ISMS, security frameworks and indicators are defined for the guidance, control and monitoring of protection and safeguard measures of the Group's general principles, and contacts are maintained with the relevant authorities and industry associations to ensure constant alignment and info-sharing.

Protection of whistleblowers

The issue related to the protection of whistleblowers are dealt with in this paragraph.

Policies

With regard to reports of violations received through the Whistleblowing channel, the Group has set up an internal system, defining a procedure for the management of reports that employees and qualified external parties may make in relation to events of fraud, as well as irregularities in the conduct of business or violations of the rules governing banking activity and of European Union law. The relevant process is governed by the Group Directive on the Management of Internal Violation Reporting Systems.

Every employee is expected to actively cooperate in achieving high ethics standards, both directly - by performing their duties correctly - and indirectly - by reporting any violations of laws, regulations and procedures that could have a negative impact on the Group, its customers, employees and the community in general.

In defining the contents of the Directive, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to<br> recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site,<br> corporate intranet)** |
| **Group Policy on the management of whistleblowing systems** | &nbsp;&nbsp;The Policy handles, through the whistleblowing system, actual or potential "non-compliance", such as violations of the principles of equal opportunities, fairness and inclusion set out in the Code of Ethics, and other cases that may constitute violations of European Union law and relevant external and internal regulations. | &nbsp;&nbsp;The Policy applies to all personnel of the Parent Company and Group Companies:<br> - Banca Widiba e Monte<br> - Paschi Fiduciaria. | &nbsp;&nbsp;Its implementation must be notified to the following unit and Functions of the Parent Company:<br> - Directorate of Corporate Reporting;<br> - Staff CAE and Government Audit Subsidiaries;<br> - Organisation Partner;<br> - Organisation Function.<br> The Group's Board of Directors is the body with strategic supervisory functions and approves the internal reporting system for violations, while the Bank's Board of Statutory Auditors has the supervisory function over the entire reporting system. | &nbsp;&nbsp;The document is drafted in compliance with:<br> - Directive 2013/36/EU;<br> - the implementation of these provisions into Italian law (Legislative Decree 72 of 12/5/2015);<br> - the 11th and 34th updates to Bank of Italy Circular 285<br> - Directive 2019/1937/EU. | &nbsp;&nbsp;It is available in the Sustainability section of the Group's corporate website. |

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2024 ANNUAL REPORT - Sustainability Reporting

Actions

Through the dedicated IT platform, which can also be accessed via the internet by "qualified external persons", or orally via a dedicated telephone service, staff and qualified external persons can report negligent, unlawful, irregular or improper circumstances and conduct relating to their work - which they suspect or have become aware of in the course of their duties.

The following categories of parties may report information<sup>53</sup>:

· personnel, i.e. employees and those who otherwise work on the basis of relationships
that determine their inclusion in the company organisation;

· qualified external parties, such as:

- suppliers, self-employed workers, freelancers and consultants working for the Bank;

- terminated staff, where the information reported was acquired in the course of the employment relationship;

- persons for whom the employment relationship has not yet started, where the information reported has been acquired during the selection process;

- shareholders and persons with administrative, management and control functions.

The Fraud Audit unit, set up within the Internal Audit function, receives reports and has the task of carrying out preliminary checks, investigations and internal assessments, in order to define the legitimacy and reliability of what has been reported, obtain evidence and reconstruct the facts. This unit informs the whistleblower, within 7 days from the date of receipt, that his/her report has been correctly received and taken into account. It also provides feedback to the whistleblower, within three months of receipt of the report, on the follow-up action taken.

At the end of each investigation concerning the reports received, a Special Investigation Report is prepared, summarising the results of the activities carried out, or, if the investigations reveal responsibilities of employees, a Special Investigation Report is prepared and published as required by the Standards in force.

The Group protects whistleblowers who have submitted a report in good faith against retaliatory, discriminatory or in any event unfair conduct as a result of the report, which will not, therefore, have a prejudicial effect on continuation of the employment relationship. The Group ensures confidentiality of the report and of the personal data of the whistleblower and any reported person. Penalties are provided for anyone who violates the measures to protect the confidentiality of the whistleblower, commits retaliatory or discriminatory acts against the whistleblower, or takes action to obstruct the report or attempt to obstruct it.

Objectives

The supervisory role over the entire system is guaranteed by the Board of Statutory Auditors of the Parent Company. The Head of Internal Reporting Systems, identified within the Internal Audit function, also ensures the proper conduct of the process and provides an annual report to the Board of Auditors, the Board of Directors, the Risk and Sustainability Committee and the Director in charge of the internal control and risk management system.

The process thus structured ensures adequate protection of whistleblowers, although no quantitative targets have been defined in this respect.

Active and passive corruption

This paragraph covers active and passive corruption issues, including the fight against money laundering and terrorist financing, are covered in this paragraph.

Policies

The Group promotes the principles of transparency, accountability and integrity in its relations with public administrations and external staff by adopting internal anti-corruption procedures and courses of action for all personnel.

To reinforce this commitment, the Group has issued a rule document containing guidelines for the prevention of corruptive events, which constitutes the framework for the prevention of corruption risks. The document complements and reinforces the anti-corruption policy already adopted by the Group over time through the new Code of Ethics, Model 231 and the provision of specific procedures for managing the exercise of signatory powers, the expenditure cycle and relations with suppliers.

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| | |
|:---|:---|
| 53 | Whistleblowing reports include, but are not limited to, administrative irregularities and accounting and tax compliance, potential or actual violations of the provisions laid down to prevent money laundering and the financing of terrorism, market abuse (insider trading, manipulation) and other irregularities in investment services and activities, and violations of data privacy regulations. |

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The Group also pays the utmost attention to compliance with national and international regulations aimed at combating money laundering and terrorist financing<sup>54</sup>. For this reason, it has adopted a "Policy on Combating Money Laundering and Terrorist Financing", reflecting its commitment to fight the aforementioned criminal phenomena on an international basis, devoting particular attention to the tools to use in this fight, in the knowledge that the pursuit of profitability and efficiency must be combined with the continuous and effective monitoring of the integrity of corporate structures.

In defining the contents of the cited documents, the Group gives due consideration to the interests of key stakeholders, as detailed in the Stakeholder Engagement process section of this document.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Policies** | &nbsp;&nbsp;**Description<br> of main contents** | &nbsp;&nbsp;**Reference Scope<br> (e.g. Own Operations/<br> Value Chain Upstream<br> or Downstream,<br> geographical scope)** | &nbsp;&nbsp;**Validation<br> of Top Management** | &nbsp;&nbsp;**Reference to<br> recognised<br> third-party initiatives<br> and/or standards** | &nbsp;&nbsp;**Availability<br> (institutional site,<br> corporate intranet)** |
| **Group Anti- Corruption Policy** | &nbsp;&nbsp;The Document describes the principles and rules of conduct to which Group personnel must adhere in order to prevent potential 'Acts of Corruption'. | &nbsp;&nbsp;The document is addressed to all Group personnel, as well as to all those acting in the name and/or on behalf of individual Group companies, including external consultants. | &nbsp;&nbsp;The Board of Directors approves this document, which sets out the guidelines and principles to be followed by the Group with regard to anti- corruption.<br> The control activities aimed at mitigating the risks of corruption and/ or ascertaining any non- compliant conduct in this regard, are delegated to the Corporate Control Functions, defined within the Internal Control System. | &nbsp;&nbsp;The Group is committed to combating all forms of corruption, in line with the principles of the United Nations Global Compact Programme and the UNEP Principles for Responsible Banking, and in consistent implementation of its Code of Ethics. To this end, it undertakes to comply with the relevant national and international regulations, including the Italian Criminal Code and Civil Code, specific laws and decrees on anti-corruption, as well as conventions and recommendations of international bodies such as the OECD, UN, G20, Transparency International and the Wolfsberg Group. | &nbsp;&nbsp;It is available in the Sustainability section of the Group's corporate website. |
| **Group Policy on Combating Money Laundering and Terrorist Financing** | &nbsp;&nbsp;The document identifies the Group's global policy on combating money laundering and terrorist financing. | &nbsp;&nbsp;The Policy is addressed to the Parent Company and all Group Companies. | &nbsp;&nbsp;The Board of Directors examines and approves the Anti-Money Laundering Policy and the annual report drawn up by the Anti-Money Laundering Function, including the self-assessment exercise on the risk of money laundering and terrorist financing and the plan of activities. | &nbsp;&nbsp;The document is prepared in accordance with the rules and principles dictated by national and EU regulatory provisions, in accordance with the relevant international standards. | &nbsp;&nbsp;It is available in the Sustainability section of the Group's corporate website. |

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Actions

The Group operates in line with its values and with a sense of responsibility towards society by applying "zero tolerance" towards any corrupt practice (direct or indirect, public or private, external or within the organisation, instigated, attempted, committed), to ensure that its staff and all persons working for it comply with anti-corruption regulations, adopting all measures necessary to prevent and effectively counter the risk. In this regard, the Group is committed to carrying out a self-assessment of risks, to be submitted periodically to the corporate functions in order to assess their likelihood of occurrence and the effectiveness of the relevant regulatory and control measures.

The Group periodically identifies, at intervals of no less than two years, the main areas considered to be at risk of corruption related to significantly sensitive activities<sup>55</sup> and, for these, it supplements the existing processes with precise indications aimed at preventing any episodes. In addition to regulatory sanctions, any violation of anti-corruption provisions may lead to disciplinary action against the employee responsible, up to the most serious sanction of termination of employment.

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| | |
|:---|:---|
| 54 | These concepts refer to the risk arising from the breach of legal, regulatory and self-governance provisions necessary for preventing use of the financial system for purposes of money laundering, terrorist financing or the financing of programmes for the development of weapons of mass destruction, as well as the risk of involvement in money laundering, terrorist financing or the financing of programmes for the development of weapons of mass destruction. |

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| | |
|:---|:---|
| 55 | These include: appointments of suppliers; joint ventures, acquisitions and disposals of company shareholdings; gifts and entertainment; events and sponsorships; job offers; disbursement of credit; management of the liability cycle (expenditure); consultancy; transactions in which the Bank is a public service provider (subsidised finance); political contributions, donations, membership fees, non-profit; management of public services. |

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2024 ANNUAL REPORT - Sustainability Reporting

For each business process, the corruption risks to which the Group is potentially exposed are assessed<sup>56</sup>. The results of the last assessment exercise carried out in 2024 showed that, despite the existence of potential risks on all Group structures, there was no need to take further action than the safeguards currently in place. With specific reference to relations with the Public Administration, which are particularly sensitive to the risk of corruption, the Group expressly prohibits the granting of political contributions or any disbursement in cash or in kind to support a particular political cause.

In relation to the safeguards put in place with regard to active and passive corruption, the Group is committed to complying with an anti-corruption programme that provides for:

· a risk self assessment activity to be submitted periodically to the corporate
functions with reference to the risks/safeguards inherent in their respective processes;

· training and awareness-raising plans for employees.

The Training function updates the contents of the anti-corruption course on the instructions of the Compliance function (responsible for the validation of the contents) whenever there are regulatory or procedural changes or gaps in the audit.

In addition, the training plan for the Internal Audit function includes specific training activities for Fraud Audit staff, including a training pill and a more structured course, including through the use of international certification paths (e.g. Certified Fraud Examiner).

For the Boards of Directors of the subsidiaries, specific board induction sessions on administrative liability of entities and the structure of the Group's 231 Models. In the area of combating money laundering and terrorist financing, the Group's controls consist of the activities listed below:

· identifying applicable regulations, assessing the impact on processes and
procedures, updating the internal regulatory framework;

· implementing suitable IT procedures for consistent risk management, due
diligence, data and information storage, continuous monitoring of customers and transactions, detection of potentially suspicious transactions
and reporting to the Financial Information unit;

· assessing <sub></sub> the
adequacy of the risk management process and the suitability of the internal control system and procedures;

· providing anti-money laundering and anti-terrorism training to all employees.

Objectives

As part of its activities to prevent corruptive phenomena, the Compliance Function:

· identifies, with the responsible structures, the corporate processes where
the risk of corruption lies, assessing the adequacy of the safeguards adopted;

· coordinates activities aimed at the correct application of the rules for
the prevention of corruption in the Group (e.g. through the preparation of a training plan);

· provides advice and assistance on anti-corruption issues;

· supports the Human Resources Department in developing an info-training programme
on the prevention of corruption offences to be provided to Group employees.

On 6 February 2024, the Bank's Board of Directors resolved on the programme of activities and controls (2024 Compliance Plan), which the Compliance function undertook to complete during the 2024 financial year. Specifically, for 2024, out of the 692 audits that the function had planned to carry out, 797 took place. Among the activities performed, 758 conformity opinions and 649 validation opinions on internal regulations were also issued.

The Internal Audit function is the structure in charge of carrying out third level controls and, therefore, exercises the responsibilities defined within the company regulations on the Internal Control System.

On the basis of the aforementioned controls, the Group ensures the prevention of the phenomena of active and passive corruption, including the fight against money laundering and terrorist financing, although it has not defined quantitative targets in this respect.

The Anti-Money Laundering function of the Parent Company is in charge of monitoring the risks in this area. At Group level, responsibility is assigned to the department of the Chief Risk Officer, who reports directly to the Board of Directors and exercises these duties centrally also for the Group's Italian subsidiaries. Additionally, in line with the model adopted for

56 These risk cases include, but are not limited to, corruption in judicial proceedings, corruption for an act contrary to official duties perpetrated by a person in charge of a public service, corruption for an official act, concussion, incitement to corruption.

BANCA MONTE DEI PASCHI DI SIENA

the Group's Internal Control System, the Corporate Bodies are specifically involved in mitigating the aforementioned risks, through clearly defined tasks and responsibilities.

Metrics

The metrics used to monitor the effectiveness of the measures taken to manage business conduct, in relation to anti-corruption training and active and passive bribery cases, are reported in this section.

Training on the fight against corruption and bribery

As part of the periodic activities carried out by the Group in order to identify the main areas considered to be "at risk of corruption", within which the mapping of functions at risk carried out by the Compliance function takes place, potentially all corporate structures are exposed to "corruption risk".

In this context, it is specified that 100% of the Parent Company's staff, being potentially exposed to the risk of corruption, are involved in the anti-corruption course enrolment campaign. The following table shows the total number (in no. of workers) of persons in functions at risk who benefited from the training courses, taking into account absences due to illness and abstention. In addition, the table includes information on the nature, scope and topics covered by training programmes against active and passive corruption and the extent to which training is provided to members of the administrative, management and supervisory bodies.

Table on training on the fight against corruption and bribery

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **2024** | **2024** | **2024** | **2024** |
|  |<br>**Functions at risk** |<br>**Executive**<br>**managers** | **The administrative,**<br>**management and**<br>**supervisory bodies** |<br>**Other own workers** |
| **Extent of training (no. of workers)** |  |  |  |  |
| Total | 16439 | 155 | 7 |  |
| Total training recipients | 16321 | 155 | 7 |  |
| **Mode of delivery and duration (hours)** |  |  |  |  |
| Classroom training (total hours) | 19.0 |  | 5.0 |  |
| Computer-based training (total hours) | 12227.0 | 116.3 | 2.0 |  |
| Voluntary computer-based training (total hours) |  |  |  |  |
| **Total training hours** | **12246.0** | **116.3** | **7.0** |  |
| **Frequency (within the year)** |  |  |  |  |
| How often is training required? | 1 | 1 |  |  |
| **Topics covered (Y/N)** |  |  |  |  |
| Definition of corruption | Y | Y |  |  |
| Policy | Y | Y |  |  |
| Suspicion/detection procedures | Y | Y |  |  |

---

Confirmed incidents of corruption or bribery

In 2024, no cases of legal and regulatory non-compliance within the Group were found, without penalty of any kind or with a non-monetary penalty, and there were no confirmed instances of corruption involving workforce.

2024 ANNUAL REPORT - Sustainability Reporting

Section 5 - Annexes

Key performance indicators (kpi) of credit institutions

Introduction

The tables below show the disclosure requirements under Article 8 of the Disclosures Delegated Act supplementing the EU Taxonomy Regulation (2020/852)<sup>57</sup>.

These obligations require financial firms to report KPIs for eligibility and alignment with the Taxonomy commencing the calendar year 2023. This disclosure aims to provide transparency about sustainability and facilitate the transition to a low-carbon economy. In particular, Article 8 of the Regulation requires companies within the scope of the Non-Financial Reporting Directive (NFRD) 2014/95/EU to publish information on how and to what extent their economic activities qualify as "environmentally sustainable" according to the Taxonomy Regulation. The result is presented as the Green Asset Ratio (GAR), i.e. exposure to taxonomy-aligned assets (numerator) divided by total assets (denominator).

At 31 December 2024, the turnover-based GAR and the capex-based GAR were 1.06% (0.50% at 31 December 2023) and 1.15% (0.53% at 31 December 2023), respectively, while total GAR assets were EUR 94,586 mln (EUR 94,254 mln at 31 December 2023).

To calculate GAR at the present date, we would need to have the actual data disclosed by counterparties in order to measure the banks' taxonomy-related KPIs. What this means is that companies that are not required to publish non-financial disclosures (NFRD) are excluded from the calculation, and this lack of data is reflected in the GAR for the bank.

Methodology

The main methodological choices adopted by the Group on the basis of current regulations are outlined below. In particular, the Group has adopted the key performance indicators (KPIs) set out in Annex V of Commission Delegated Regulation (EU) 2021/2178.

The Green Asset Ratio (GAR) is the ratio of (i) exposures to taxonomy-aligned assets to (ii) the value of total covered assets<sup>58</sup>:

The following methodological decisions were made to determine the share of taxonomy-eligible and taxonomy-aligned exposures:

· **Financial undertakings and undertakings not obliged to publish non-financial information (Legislative Decree 254/2016 and/or Regulation (EU) 2013/34/EU- NFRD):** exposures where the *use of proceeds is not known* - as determined with the support of an external
provider - were weighted by the turnover and CapEx KPIs, in relation to taxonomy eligible and aligned activities for the six
environmental objectives, published by these counterparties in their respective non-financial statements. On the other hand, taking
into account the technical screening criteria set out in Delegated Regulation 2021/2139 EU, there are no taxonomy eligible and
aligned exposures where the use of proceeds is known. In light of the interpretative clarifications provided by the European
Commission in the FAQs on 21 December 2023 and in November 2024, the identified NFRD counterparties also included - in contrast with
the situation at 31 December 2023 - counterparties whose parent companies are subject to non-financial reporting requirements;

· **guaranteed household loans:** Based on Delegated Regulation 2021/2139, only loans secured by residential real estate were considered for eligibility.
On the other hand, loans for "building renovations" under the same regulation and for the purchase of "motor vehicles"
were out of scope due to the lack of specific information on identifying "green loans". To determine alignment KPIs, the
technical screening criteria set forth in the aforementioned Delegated Regulation were applied to distinguish between real estate constructed
before and after 31 December 2020. For 2024, with regards to buildings constructed before 2020 that do not meet the requirement of a
class-A energy performance certificate, the Group applied the criterion – in light of the abovementioned clarifications provided
by the European Commission – of whether the building was included in the top 15% of the national or regional building stock in
terms of primary energy requirements. This was because it was able to make use of studies published by private entities, unlike in the
previous financial year;

57 For a full discussion of the relevant regulatory framework, please refer to the section entitled "Disclosure pursuant to Article 8 of Regulation (EU) 2020/852 (Taxonomy Regulation)" in Section 2 "Environmental Information" of this Sustainability Report.

---

| | |
|:---|:---|
| 58 | In keeping with EU Delegated Regulation 2021/2178, "total GAR" means the gross carrying amount of the Group's total assets less trading book exposures and exposures to central governments, central banks and supranational issuers. |

---

BANCA MONTE DEI PASCHI DI SIENA

· **Flows:** In line with Regulation (EU) 2021/2178, the Group considers the amount of new exposures based on the gross book value as the flow; only
positive flows are considered without deducting the amounts of loan repayments or sales of debt/equity instruments that occurred in the
same period;

· assets under management:
 the ratio of the portfolio of equity and debt securities held as Assets Under Management and issued by financial and non-financial
 companies subject to mandatory NFRD to total equity and debt securities held in as Assets Under Management was considered.

Finally, as required by the Regulation, templates referring to 31 December 2023 have been published. However, it should be noted that comparisons are not homogeneous as a result of the above-mentioned changes to the scope of the 2024 disclosure.

Gas & Nuclear templates

In line with Commission Delegated Regulation (EU) 2022/1214 of 9 March 2022 amending Delegated Regulation (EU) 2021/2139, the Group publishes templates for the alignment, eligibility and non-eligibility of gas and nuclear activities.

The compilation of the templates under the Regulation only concerns non-financial companies that have reported the key performance indicators (KPIs) relating to the alignment, eligibility and non-eligibility of their economic activities under the Regulation in their 2023 reporting.

2024 ANNUAL REPORT - Sustainability Reporting

Annex VI - Template for KPIs of credit institutions

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **2024** | **2024** | **2024** | **2024** | **2024** | **2024** | **2024** | **2024** | **2024** |
|  |  |  |  |  |  |  | **% of assets** | **% of assets** |
|  |  |  |  |  |  |  | **excluded from** | **excluded** |
|  |  | **Total** |  |  |  |  | **the numerator** | **from the** |
|  |  | **environmentally** | **Total** |  |  |  | **of the GAR** | **denominator** |
|  |  | **sustainable** | **environmentally** |  |  |  | **(Article 7(2)** | **of the GAR** |
|  |  | **assets -** | **sustainable** |  |  | **% coverage** | **and (3) and** | **(Article 7(1) and** |
|  |  | **Turnover** | **assets - Capex** | **% KPI** | **% KPI** | **over total** | **Section 1.1.2.** | **Section 1.2.4 of** |
|  |  | **(mln €)** | **(mln €)** | **Turnover** | **Capex** | **assets** | **of Annex V)** | **Annex V)** |
| **Main KPI** | **Green asset ratio (GAR) stock** | 997 | 1089 | 1.05 | 1.15 | 75.77 | 44.96 | 24.23 |
| **Additional KPI** | Green asset ratio (GAR) (flows) | 587 | 1055 | 0.62 | 1.12 | 6.54 | n.a | n.a |
|  | Trading book\* |  |  |  |  |  |  |  |
|  | Financial guarantees | 13 | 33 | 1.06 | 2.75 |  |  |  |
|  | Assets under management | 14 | 30 | 3.45 | 7.24 |  |  |  |
|  | Fee and commission income |  |  |  |  |  |  |  |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **2023** | **2023** | **2023** | **2023** | **2023** | **2023** | **2023** | **2023** | **2023** |
|  |  |  |  |  |  |  | **% of assets** | **% of assets** |
|  |  |  |  |  |  |  | **excluded from** | **excluded** |
|  |  | **Total** |  |  |  |  | **the numerator** | **from the** |
|  |  | **environmentally** | **Total** |  |  |  | **of the GAR** | **denominator** |
|  |  | **sustainable** | **environmentally** |  |  |  | **(Article 7(2)** | **of the GAR** |
|  |  | **assets -** | **sustainable** |  |  | **% coverage** | **and (3) and** | **(Article 7(1) and** |
|  |  | **Turnover** | **assets - Capex** | **% KPI** | **% KPI** | **over total** | **Section 1.1.2.** | **Section 1.2.4 of** |
|  |  | **(mln €)** | **(mln €)** | **Turnover** | **Capex** | **assets** | **of Annex V)** | **Annex V)** |
| **Main KPI** | **Green asset ratio (GAR) stock** | 467 | 496 | 0.50 | 0.53 | 75.52 | 49.52 | 24.48 |
| **Additional KPI** | Green asset ratio (GAR) (flows) | 141 | 151 | 0.15 | 0.16 | 75.52 | 49.52 | 24.48 |
|  | Trading book\* |  |  |  |  |  |  |  |
|  | Financial guarantees | 1 | 1 | 0.08 | 0.11 |  |  |  |
|  | Assets under management | 7 | 21 | 0.23 | 0.67 |  |  |  |
|  | Fee and commission income |  |  |  |  |  |  |  |

---

BANCA MONTE DEI PASCHI DI SIENA

1. Assets for the GAR (stock) Turnover calculation

![](tm2518026d1_ex99-4cspimg001.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg002.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg003.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg004.jpg)

BANCA MONTE DEI PASCHI DI SIENA

1. Assets for the GAR (stock) - Capex calculation

![](tm2518026d1_ex99-4cspimg005.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg006.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg007.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg008.jpg)

BANCA MONTE DEI PASCHI DI SIENA

2. GAR sector information of the stock aligned exposures - Turnover

![](tm2518026d1_ex99-4cspimg009.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg010.jpg)

1 Credit institutions must report in this template information on exposures in the banking book with the sectors covered by the taxonomy (NACE sectors 4 levels of detail), using the relevant NACE codes on the basis of the counterparty's principal activity.

---

| | |
|:---|:---|
| 2 | The allocation of the NACE sector of the counterparty must be based solely on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one borrower must be based on the characteristics of the borrower that is most relevant or decisive for the institution to grant the exposure. The distribution by NACE codes of jointly incurred exposures shall be determined by the characteristics of the most relevant or decisive borrower. Institutions must report information by NACE codes with the level of disaggregation required in the template. |

---

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg011.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

2. GAR sector information of the stock aligned exposures - Capex

![](tm2518026d1_ex99-4cspimg012.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg013.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg014.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg015.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

3. Total assets for the stock GAR - Turnover (%) calculation

![](tm2518026d1_ex99-4cspimg016.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg017.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

3. Total assets for the stock GAR - Capex (%) calculation

![](tm2518026d1_ex99-4cspimg018.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg019.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

4. Total assets for the flow GAR - Turnover calculation

![](tm2518026d1_ex99-4cspimg020.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg021.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg022.jpg)

BANCA MONTE DEI PASCHI DI SIENA

4. Total assets for the flow GAR - Capex (%) calculation

![](tm2518026d1_ex99-4cspimg023.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg024.jpg)

BANCA MONTE DEI PASCHI DI SIENA

5 Alignment and Eligibility KPIs related to off-balance sheet exposures - Financial Guarantees and Assets Under Management-Capex Stock-Turnover Stock-Capex Flow-Turnover Flow

![](tm2518026d1_ex99-4cspimg025.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg026.jpg)

BANCA MONTE DEI PASCHI DI SIENA

<u>Additional information on nuclear energy and fossil gas activities</u>

Template 1 - Nuclear and Fossil Gas Activities

![](tm2518026d1_ex99-4cspimg027.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

Template 2 - Taxonomy-Aligned Economic Activities- Capex Stock - Turnover Stock-Capex Flows-Turnover Flows

![](tm2518026d1_ex99-4cspimg028.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg029.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg030.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg031.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

Template 3 - Taxonomy-Aligned Economic Activities- Capex Stock - Turnover Stock-Capex Flows-Turnover Flows

![](tm2518026d1_ex99-4cspimg032.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg033.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg034.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg035.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

Template 4 - Economic activities that are taxonomy-eligible but not taxonomy-aligned- Capex Stock - Turnover Stock - Flows Capex - Flows Turnover

![](tm2518026d1_ex99-4cspimg036.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg037.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

![](tm2518026d1_ex99-4cspimg038.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg039.jpg)

2024 ANNUAL REPORT - Sustainability Reporting

Template 5 - Taxonomy-ineligible economic activities - Capex Stock - Turnover Stock-Capex Flows-Turnover Flows

![](tm2518026d1_ex99-4cspimg040.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4cspimg041.jpg)

![](tm2518026d1_ex99-4imgtop.jpg)

**Consolidated Financial**

**Statements**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Consolidated balance sheet

---

| | | | |
|:---|:---|:---|:---|
| **Assets** |  | **31 12 2024** | **31 12 2023** |
| 10. | Cash and cash equivalents | 13249398 | 14317277 |
| 20. | Financial assets measured at fair value through profit or loss | 6532829 | 6251563 |
|  | &nbsp;&nbsp;&nbsp;a) financial assets held for trading | 6076580 | 5882804 |
|  | &nbsp;&nbsp;&nbsp;c) other financial assets mandatorily measured at fair value | 456249 | 368759 |
| 30. | Financial assets measured at fair value through other comprehensive income | 2337364 | 2477256 |
| 40. | Financial assets measured at amortised cost | 90525940 | 90544417 |
|  | &nbsp;&nbsp;&nbsp;a) Loans to banks | 3365869 | 3790898 |
|  | &nbsp;&nbsp;&nbsp;b) Loans to customers | 87160071 | 86753519 |
| 50. | Hedging derivatives | 94215 | 704125 |
| 60. | Change in value of macro-hedged financial assets (+/-) | (411547) | (561183) |
| 70. | Equity investments | 672284 | 726691 |
| 90. | Property, plant and equipment | 2109077 | 2228699 |
| 100. | Intangible assets | 156066 | 178224 |
|  | - of which goodwill | 7900 | 7900 |
| 110. | Tax assets | 2536890 | 2150906 |
|  | &nbsp;&nbsp;&nbsp;a) current | 104272 | 308381 |
|  | &nbsp;&nbsp;&nbsp;b) deferred | 2432618 | 1842525 |
| 120. | Non-current assets held for sale and disposal groups | 1128665 | 76232 |
| 130. | Other assets | 3670569 | 3519484 |
|  | **Total assets** | **122601750** | **122613691** |

---

2024 ANNUAL REPORT - Consolidated Financial Statements

*continues:* Consolidated balance sheet

---

| | | | |
|:---|:---|:---|:---|
| **Total Liabilities and Shareholders' Equity** | **Total Liabilities and Shareholders' Equity** | **31 12 2024** | **31 12 2023** |
| 10. | Financial liabilities measured at amortised cost | 102751412 | 105026527 |
|  | &nbsp;&nbsp;&nbsp;a) due to banks | 9811321 | 14498833 |
|  | &nbsp;&nbsp;&nbsp;b) due to customers | 82632195 | 80422081 |
|  | &nbsp;&nbsp;&nbsp;c) debts securities issued | 10307896 | 10105613 |
| 20. | Financial liabilities held for trading | 2605745 | 2854721 |
| 30. | Financial liabilities designated at fair value | 119670 | 111325 |
| 40. | Hedging derivatives | 358391 | 330193 |
| 50. | Change in value of macro-hedged financial liabilities (+/-) | (692) | (16081) |
| 60. | Tax liabilities | 5616 | 9057 |
|  | &nbsp;&nbsp;&nbsp;a) current | 1275 | 3601 |
|  | &nbsp;&nbsp;&nbsp;b) deferred | 4341 | 5456 |
| 70. | Liabilities associated with non-current assets held for sale and discontinued operations | 976699 |  |
| 80. | Other liabilities | 3131958 | 3268600 |
| 90. | Provision for employees severance pay | 69739 | 71985 |
| 100. | Provision for risks and charges: | 933928 | 978255 |
|  | &nbsp;&nbsp;&nbsp;a) financial guarantees and other commitments | 149639 | 154276 |
|  | &nbsp;&nbsp;&nbsp;b) post-employment benefits | 3255 | 3381 |
|  | &nbsp;&nbsp;&nbsp;c) other provisions | 781034 | 820598 |
| 120. | Valuation reserves | 60449 | 27929 |
| 150. | Reserves | 2184265 | 445297 |
| 170. | Share capital | 7453451 | 7453451 |
| 190. | Non-controlling interests (+/-) | 336 | 651 |
| 200. | Profit (loss) (+/-) | 1950783 | 2051781 |
|  | **Total Liabilities and Shareholders' Equity** | **122601750** | **122613691** |

---

BANCA MONTE DEI PASCHI DI SIENA

Consolidated income statement

---

| | | | |
|:---|:---|:---|:---|
| **Items** |  | **31 12 2024** | **31 12 2023\*** |
| 10. | Interest income and similar revenues | 4677948 | 4328801 |
|  | of which interest income calculated applying the effective interest rate method | 3844940 | 3619232 |
| 20. | Interest expense and similar charges | (2357199) | (2069416) |
| **30.** | **Net interest income** | **2320749** | **2259385** |
| 40. | Fee and commission income | 1688468 | 1546018 |
| 50. | Fee and commission expense | (233431) | (230299) |
| **60.** | **Net fee and commission income** | **1455037** | **1315719** |
| 70. | Dividends and similar income | 22723 | 26547 |
| 80. | Net profit (loss) from trading | 127877 | 54864 |
| 90. | Net profit (loss) from hedging | (1041) | (4443) |
| 100. | Gains/(losses) on disposal/repurchase of: | (8572) | 9972 |
|  | &nbsp;&nbsp;&nbsp;a) financial assets measured at amortised cost | (7677) | 9115 |
|  | &nbsp;&nbsp;&nbsp;b) Financial assets measured at fair value through other comprehensive income | (270) | 1034 |
|  | &nbsp;&nbsp;&nbsp;c) financial liabilities | (625) | (177) |
| 110. | Net profit (loss) from financial assets and liabilities measured at fair value through profit or loss | (9829) | 5850 |
|  | &nbsp;&nbsp;&nbsp;a) financial assets and liabilities designated at fair value | 1521 | (3121) |
|  | &nbsp;&nbsp;&nbsp;b) other financial assets mandatorily measured at fair value | (11350) | 8971 |
| **120.** | **Net interest and other banking income** | **3906944** | **3667894** |
| 130. | Net impairment (losses)/reversals for credit risk on: | (406883) | (418509) |
|  | &nbsp;&nbsp;&nbsp;a) financial assets measured at amortised cost | (406220) | (419091) |
|  | &nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income | (663) | 582 |
| 140. | Modification gains/(losses) | (9976) | (6827) |
| **150.** | **Net income from banking activities** | **3490085** | **3242558** |
| **180.** | **Net income form banking and insurance activities** | **3490085** | **3242558** |
| 190. | Administrative expenses: | (2073227) | (2066240) |
|  | &nbsp;&nbsp;&nbsp;a) personnel expenses | (1247607) | (1182320) |
|  | &nbsp;&nbsp;&nbsp;b) other administrative expenses | (825620) | (883920) |
| 200. | Net provision for risks and charges: | (63761) | 452572 |
|  | &nbsp;&nbsp;&nbsp;a) commitments and guarantees issued | 3876 | (15022) |
|  | &nbsp;&nbsp;&nbsp;b) other net provisions | (67637) | 467594 |
| 210. | Net adjustments to/recoveries on property, plant and equipment | (101502) | (106123) |
| 220. | Net adjustments to/recoveries on intangible assets | (67847) | (67169) |
| 230. | Other operating expenses/income | 231254 | 215566 |
| **240.** | **Operating expenses** | **(2075083)** | **(1571394)** |
| 250. | Gains (losses) on investments | 74229 | 83608 |
| 260. | Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | (27355) | (53144) |
| 280. | Gains (losses) on disposal of investments | 2668 | 77 |
| **290.** | **Profit (loss) before tax from continuing operations** | **1464544** | **1701705** |
| 300. | Tax (expense)/recovery on income from continuing operations | 508100 | 345576 |
| **310.** | **Profit (loss) after tax from continuing operations** | **1972644** | **2047281** |
| 320. | Profit (loss) after tax from discontinued operations | (22021) | 4344 |

---

2024 ANNUAL REPORT - Consolidated Financial Statements

---

| | | | |
|:---|:---|:---|:---|
| **Items** |  | **31 12 2024** | **31 12 2023\*** |
| **330.** | **Profit (loss) for the year** | **1950623** | **2051625** |
| 340. | Net Profit (loss) attributable to non-controlling interests | (160) | (156) |
| **350.** | **Parent company's net profit (loss) for the year** | **1950783** | **2051781** |

---

*\* The income statement figures as at 31 December 2023 were restated, compared to those published at the reporting date, to take into account the classification of the subsidiary Monte Paschi Banque S.A. as "discontinued operations" in accordance with the provisions of IFRS 5.*

---

| | | |
|:---|:---|:---|
|  | **31 12 2024** | **31 12 2023\*** |
| **Basic Earnings per Share (Basic EPS)** | **1549** | **1629** |
| of continuing operations | 1566 | 1625 |
| of groups of assets held for sale and discontinued operations | (0017) | 0004 |
| **Diluted Earnings per Share (Diluted EPS)** | **1549** | **1629** |
| of continuing operations | 1566 | 1625 |
| of groups of assets held for sale and discontinued operations | (0017) | 0004 |

---

*\* The income statement figures as at 31 December 2023 were restated, compared to those published at the reporting date, to take into account the classification of the subsidiary Monte Paschi Banque S.A. as "discontinued operations" in accordance with the provisions of IFRS 5.*

BANCA MONTE DEI PASCHI DI SIENA

Consolidated statement of comprehensive income

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **31 12 2024** | **31 12 2023** |
| **10.** | **Profit (loss) for the year** | **1950623** | **2051625** |
|  | **Other comprehensive income after tax not recycled to profit or loss** | **(1028)** | **(29495)** |
| 20. | Equity instruments designated at fair value through other comprehensive income | (56) | (3257) |
| 30. | Financial liabilities designated at fair value through profit or loss (change in the entity's own credit risk) | (3445) | (2761) |
| 50. | Property, plant and equipment | (10558) | (20943) |
| 70. | Defined benefit plans | 485 | 4460 |
| 80. | Non current assets held for sale | 7979 | (2415) |
| 90. | Share of valuation reserves of equity-accounted investments | 4567 | (4579) |
|  | **Other comprehensive income after tax recycled to profit or loss** | **33519** | **84391** |
| 120. | Exchange differences | 1411 | (1025) |
| 130. | Cash flow hedges | 11355 | 1600 |
| 150. | Financial assets (other than equity securities) measured at fair value through other comprehensive income | 30224 | 75989 |
| 170. | Share of valuation reserves of equity-accounted investments | (9471) | 7827 |
| **200.** | **Total other comprehensive income after tax** | **32491** | **54896** |
| **210.** | **Total comprehensive income (Item 10+170)** | **1983114** | **2106521** |
| 220. | Consolidated comprehensive income attributable to non-controlling interests | (188) | (180) |
| **230.** | **Consolidated comprehensive income attributable to Parent Company** | **1983302** | **2106701** |

---

2024 ANNUAL REPORT - Consolidated Financial Statements

Consolidated statement of changes in equity – 2024

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Allocation of profit** | **Allocation of profit** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | | | |
|  | | | | **from prior year** | **from prior year** | | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | | | | |
|  |<br>**Balance sheet<br> as at 31 12 2023** |<br>**Change in<br> opening balances** |<br>**Balance<br> as at 01 01 2024** | **Reserves** | **Dividends and other<br> payments** |<br>**Change in Reserves** | **Issue of new shares** | **Purchase of treasury <br> shares** | **Extraordinary<br> distribution of<br> dividends** | **Change in equity<br> instruments** | **Treasury share<br> derivatives** | **Stock options** | **Change in equity<br> investmentes** |<br>**Total<br> comprehensive<br> income <br> as at 31 12 2024** |<br>**Total equity<br> as at 31 12 2024** |<br>**Group equity<br> as at 31 12 2024** |<br>**Non-controlling interest <br> as at 31 12 2024** |
| Share capital | 7454052 |  | 7454052 |  |  |  |  |  |  |  |  |  | (19) |  | 7454033 | 7453451 | 582 |
| &nbsp;&nbsp;&nbsp;a) ordinary shares | 7454052 |  | 7454052 |  |  |  |  |  |  |  |  |  | (19) |  | 7454033 | 7453451 | 582 |
| &nbsp;&nbsp;&nbsp;b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium | 2 |  | 2 |  |  |  |  |  |  |  |  |  |  |  | 2 |  | 2 |
| Reserves: | 444240 |  | 444240 | 1736594 |  | 2109 |  |  |  |  |  |  |  |  | 2182943 | 2184265 | (1322) |
| &nbsp;&nbsp;&nbsp;a) from profits | 576328 |  | 576328 | 1608594 |  | 1255 |  |  |  |  |  |  |  |  | 2186177 | 2187499 | (1322) |
| &nbsp;&nbsp;&nbsp;b) other | (132088) |  | (132088) | 128000 |  | 854 |  |  |  |  |  |  |  |  | (3234) | (3234) |  |
| Valuation reserves | 29190 |  | 29190 |  |  |  |  |  |  |  |  |  |  | 32491 | 61681 | 60448 | 1233 |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net profit (loss) | 2051625 |  | 2051625 | (1736594) | (315031) |  |  |  |  |  |  |  |  | 1950623 | 1950623 | 1950783 | (160) |
| Total equity | 9979109 |  | 9979109 |  | (315031) | 2109 |  |  |  |  |  |  | (19) | 1983114 | 11649282 | 11648946 | 336 |
| Group equity | 9978458 |  | 9978458 |  | (314923) | 2109 |  |  |  |  |  |  |  | 1983302 | 11648946 | 11648946 | X |
| Non-controlling interest | 651 |  | 651 |  | (108) |  |  |  |  |  |  |  | (19) | (188) | 336 | X | 336 |

---

As at 31 December 2024, the Group's net equity, including non-controlling interests and net profit (loss) for the year, amounted to EUR 11,649.3 mln, compared to EUR 9,979.1 mln as at 31 December 2023, with an overall net increase of EUR 1,670.2 mln. This trend is mainly due to: (i) the profit for the year of EUR 1,950.6 mln, and (ii) the net positive change in valuation reserves of EUR 32.5 mln, the details of which are shown in the statement of comprehensive income to which we refer.

BANCA MONTE DEI PASCHI DI SIENA

Consolidated statement of changes in equity – 2023

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Allocation of profit** | **Allocation of profit** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | | | |
|  | | | | **from prior year** | **from prior year** | | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | | | | |
|  |<br>**Balance sheet <br> as at 31 12 2022\*** |<br>**Change in<br> opening balances** |<br>**Balance <br> as at 01 01 2023** | **Reserves** | **Dividends and other<br> payments** |<br>**Change in Reserves** | **Issue of new shares** | **Purchase of treasury<br> shares** | **Extraordinary<br> distribution of <br> dividends** | **Change in equity<br> instruments** | **Treasury share<br> derivatives** | **Stock options** | **Change in equity<br> investmentes** |<br>**Total<br> comprehensive<br> income<br> as at 31 12 2023** |<br>**Total equity<br> as at 31 12 2023** |<br>**Group equity<br> as at 31 12 2023** |<br>**Non-controlling interest <br> as at 31 12 2023** |
| Share capital | 7454061 |  | 7454061 |  |  |  |  |  |  |  |  |  | (9) |  | 7454052 | 7453451 | 601 |
| &nbsp;&nbsp;&nbsp;a) ordinary shares | 7454061 |  | 7454061 |  |  |  |  |  |  |  |  |  | (9) |  | 7454052 | 7453451 | 601 |
| &nbsp;&nbsp;&nbsp;b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium | 2 |  | 2 |  |  |  |  |  |  |  |  |  |  |  | 2 |  | 2 |
| Reserves: | 611082 |  | 611082 | (178605) |  | 14395 | (2629) |  |  |  |  |  | (3) |  | 444240 | 445297 | (1057) |
| &nbsp;&nbsp;&nbsp;a) from profits | 738746 |  | 738746 | (178605) |  | 16190 |  |  |  |  |  |  | (3) |  | 576328 | 577385 | (1057) |
| &nbsp;&nbsp;&nbsp;b) other | (127664) |  | (127664) |  |  | (1795) | (2629) |  |  |  |  |  |  |  | (132088) | (132088) |  |
| Valuation reserves | (25706) |  | (25706) |  |  |  |  |  |  |  |  |  |  | 54896 | 29190 | 27929 | 1261 |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Net profit (loss) | (178509) |  | (178509) | 178605 | (96) |  |  |  |  |  |  |  |  | 2051625 | 2051625 | 2051781 | (156) |
| Total equity | 7860930 |  | 7860930 |  | (96) | 14395 | (2629) |  |  |  |  |  | (12) | 2106521 | 9979109 | 9978458 | 651 |
| Group equity | 7859994 |  | 7859994 |  |  | 14395 | (2629) |  |  |  |  |  | (3) | 2106701 | 9978458 | 9978458 | X |
| Non-controlling interest | 936 |  | 936 |  | (96) |  |  |  |  |  |  |  | (9) | (180) | 651 | X | 651 |

---

*\* The values as at 31 December 2022 were restated, with respect to those published at the reporting date, following the retrospective application of IFRS 17 and IFRS 9 standards by the insurance associates.*

As at 31 December 2023, the Group's net equity, including non-controlling interests and net profit (loss) for the year, amoun-ted to EUR 9,979.1 mln, compared to EUR 7,860.9 mln as at 31 December 2022, with an overall net increase of EUR 2,118.2 mln. This trend is mainly due to: This trend is mainly due to: (i) the profit for the year of EUR 2,051.6 mln, and (ii) to the net positive change in valuation reserves of EUR 54.9 mln, referring to the revaluation of debt securities measured at fair value through other comprehensive income partially offset by the write-down of property, plant and equipment.

2024 ANNUAL REPORT - Consolidated Financial Statements

Consolidated cash flow statement - indirect method

---

| | | |
|:---|:---|:---|
| **A. OPERATING ACTIVITIES** | **31 12 2024** | **31 12 2023** |
| **1. Cash flow from operations** | **2016467** | **1871639** |
| Profit (loss) (+/-) for the year | 1950623 | 2051625 |
| Capital gains/losses on financial assets held for trading and on assets/liabilities designated at fair value (+/-) | (139853) | (119547) |
| Net gains (losses) on hedging activities | 1041 | 4443 |
| Net impairment losses/reversals | 557933 | 582941 |
| Net adjustments/recoveries on property, plant and equipment and intangible assets (+/-) | 196705 | 228780 |
| Net provisions for risks and charges and other costs/revenues (+/-) | 74516 | (443208) |
| Unpaid charges, taxes and tax credit | (508100) | (345117) |
| Net adjustments to/recoveries on discontinued operations, after tax (+/-) | 6526 |  |
| Other adjustments | (122924) | (88278) |
| **2. Cash flow from (used in) financial assets** | **(989765)** | **(526557)** |
| Financial assets held for trading | (44459) | 567307 |
| Other financial assets mandatorily measured at fair value | (99853) | 90062 |
| Financial assets measured at fair value through other comprehensive income | 125567 | 2281679 |
| Financial assets measured at amortised cost | (822051) | (2810014) |
| Other assets | (148969) | (655591) |
| **3. Cash flow from (used in) financial liabilities** | **(1818701)** | **429263** |
| Financial liabilities measured at amortised cost | (1450404) | 1625946 |
| Financial liabilities held for trading | (247611) | (1163373) |
| Financial liabilities designated at fair value | 4736 | 7065 |
| Other liabilities | (125422) | (40375) |
| **Net cash flow from (used in) operating activities** | **(791999)** | **1774345** |
| **B. INVESTMENT ACTIVITIES** |  |  |
| **1. Cash flow from** | **107575** | **118517** |
| Dividends collected on equity investments | 35483 | 116367 |
| Sales of property, plant and equipment | 72092 | 2150 |
| **2. Cash flow used in** | **(68424)** | **(111438)** |
| Purchase of property, plant and equipment | (30772) | (28405) |
| Purchase of intangible assets | (37652) | (83033) |
| **Net cash flow from (used in) investment activities** | **39151** | **7079** |
| **C. FUNDING ACTIVITIES** |  |  |
| Issue/purchase of treasury shares |  | (2630) |
| Dividend distribution and other | (315031) | (96) |
| **Net cash flow from (used in) funding activities** | **(315031)** | **(2726)** |
| **NET CASH FLOW FROM (USED IN) OPERATING, INVESTMENT AND FUNDING ACTIVITIES DURING THE YEAR** | **(1067879)** | **1778698** |

---

**Reconciliation**

---

| | | |
|:---|:---|:---|
| **Accounts** | **31 12 2024** | **31 12 2023** |
| Cash and cash equivalents at beginning of the year | 14317277 | 12538578 |
| Net increase (decrease) in cash and cash equivalents | (1067879) | 1778698 |
| Cash and cash equivalents at end of the year | 13249398 | 14317277 |

---

BANCA MONTE DEI PASCHI DI SIENA

The information required by IAS 7 paragraph 44 A and B is shown below.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | | | **Non monetary charges** | **Non monetary charges** | **31 12 2024** | **31 12 2024** |
| **Items** | **Items** | **31 12 2024** |<br><br>**Cash flows** |<br>**Fair value**<br>**changes** |<br><br>**Others** |<br>**Liabilities**<br>**items 10,**<br>**20, 30** | **Liabilities associated**<br>**with non-current assets**<br>**held for sale and**<br>**discontinued operations** |
| 10. | Financial liabilities measured at amortised cost | 105026527 | (1450404) |  | 88025 | 102751412 | 912736 |
| 20. | Financial liabilities held for trading | 2854721 | (247611) | (1365) |  | 2605745 |  |
| 30. | Financial liabilities designated at fair value | 111325 | 4736 | 3609 | - | 119670 |  |
|  | **Total** | **107992573** | **(1693279)** | **2244** | **88025** | **105476827** | **912736** |

---

![](tm2518026d1_ex99-4imgtop.jpg)

**Notes to the Consolidated <br> Financial Statements**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Part A - Accounting policies

A.1 – General

Section 1 - Statement of compliance with international accounting standards

Pursuant to Italian Legislative Decree no. 38 of 28 February 2005, these consolidated financial statements were prepared in accordance with the international accounting standards issued by the International Accounting Standards Board (IASB) including interpretations by the IFRS Interpretations Committee, adopted by the European Union, pursuant to EC Regulation no. 1606 of 19 July 2002, which remained in force as at 31 December 2024.

The application of the international accounting standards was carried out by also referring to the "Systematic Framework for the preparation and presentation of financial statements" (Conceptual Framework), the Implementation Guidance and Basis for Conclusions documents and any other documents prepared by the IASB or IFRIC to complete the accounting standards issued.

For an overview of the accounting standards and related interpretations endorsed by the European Commission, whose application is scheduled for 2024 (or future financial years), please refer to "Section 5 - Other Aspects" below, which also describes the main impacts for the Group.

Communications of the Supervisory Bodies were also taken into account to the extent applicable (Bank of Italy, ECB, Consob and ESMA) and the interpretative documents on the application of IAS/IFRS prepared by the Organismo Italiano di Contabilità (OIC) [Italian Accounting Body], the Associazione Bancaria Italiana (ABI) [Italian Banking Association] and the Organismo Italiano di Valutazione (OIV) [Italian Evaluation Body], which provide recommendations on the information to be provided in the Financial Report, on certain aspects of greater importance in the accounting field, or on the accounting treatment of particular transactions.

Section 2 - General accounting standards

The Consolidated Financial Statements consist of the balance sheet, income statement, statement of comprehensive income, statement of changes in equity, the cash flow statement and the notes to the financial statements, and are accompanied by the directors' report on operations, financial results achieved, and the Group's equity and financial situation.

The Consolidated Financial Statements as at 31 December 2024 have been prepared based on the provisions contained in Circular no. 262 of 22 December 2005 issued by the Bank of Italy "Bank financial statements: layout and rules for compilation", as amended by the eighth update of 17 November 2022.

The Group has also noted that in the Bank of Italy communication of the Bank of Italy of 14 March 2023 "Update of the provisions of Circular no. 262 - Bank financial statements: layout and rules for preparation" regarding the impacts of COVID-19 and measures to support the economy", which requests, in free format, financial statement disclosure on the loans subject to public guarantee.

The Financial Statements have been prepared based on a going concern assumption, according to the generally accepted principles of accrual accounting, relevance and materiality of information, priority of substance over form and with a view to encouraging consistency with future statements.

The consolidated financial statements are prepared with transparency and provide a true and fair view of the financial position and income statement for the year of Banca MPS and its subsidiaries, as detailed in Section 3 "Scope and Methods of Consolidation" below.

If the information required by international accounting standards and provisions contained in the aforementioned circular were deemed insufficient for providing a true and fair representation, the Notes to the Financial Statements contain supplemental information necessary for that purpose.

If – in exceptional cases – the application of a provision set forth in the international accounting standards proved to be incompatible with a true and fair view of the Group's financial position and result of operations, then such provision would not be applied. The reasons for any deviation and its impact on the representation of the financial position and result of operations would, in such a case, be explained in the notes to the financial statements.

Each item in the balance sheet, income statement and statement of comprehensive income also indicates the amount for the prior financial year, unless an accounting standard or interpretation allows or provides otherwise.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The financial statements provide, in addition to the accounting data as at 31 December 2024, the comparative information relating to the last financial statements approved as at 31 December 2023.

Assets and liabilities, expenses and income cannot be mutually offset, unless this is permitted or required by the international accounting standards or the provisions set forth in Circular no. 262 of the Bank of Italy.

The balance sheet, income statement, and statement of comprehensive income do not include items which did not have balances for the reference financial year or prior financial year. If an item of the assets or liabilities is part of several items of the balance sheet, the notes to the financial statements indicate – whenever this is necessary for the purpose of intelligibility – that this component may also be referred to items other than the one it is posted to.

Revenue is posted with no sign in the income statement, statement of comprehensive income, and the respective section of the notes, whereas expenses are indicated in brackets.

The statement of comprehensive income, beginning with profit (loss) for the year, shows the income items recognised as contra-entries of valuation reserves, net of the related tax effect, in compliance with international accounting standards. Consolidated other comprehensive income is shown by separating income items that will not be transferred to the income statement in the future and those that may be subsequently reclassified to profit or loss for the year when specific conditions are met.

The statement of changes in equity shows the breakdown and changes in net equity accounts during the financial year and the previous financial year, broken down between share capital (ordinary shares), capital reserves, profit reserves and reserves from the valuation of assets or liabilities, equity instruments and profit or loss. Treasury shares in the portfolio are deducted from equity.

The cash flow statement has been prepared according to the indirect method, based on which cash flows from operations are represented by the net profit (loss) for the year adjusted to take into account the effects of non-monetary transactions. Cash flows are broken down amongst those deriving from operations, those deriving from investment activities and those generated by funding activities. In the statement, cash flows generated during the financial year have no sign, while those absorbed are shown between brackets.

In compliance with the provisions of Article 5 of Legislative Decree no. 38 of 28 February 2005, the financial statements have been prepared using the Euro as the reporting currency: The financial statements and the notes to the financial statements are drawn up in thousands of EUR.

Items of a different nature or with different allocation were recognised separately, unless they were considered irrelevant. All amounts shown in the financial statements were adjusted so as to reflect any events subsequent to the reporting date for which an adjustment is mandatory, according to IAS 10 (adjusting events). Non-adjusting events reflecting circumstances that occurred after the reporting date (non adjusting events) are disclosed as part of the notes to the financial statements, Part A, Section 4, if they are material and may affect the ability of users to make proper evaluations and decisions.

Notes for a meaningful comparison of the comparative financial statement schedules

As described in the section on the "Significant events in the 2024 financial year", contained in the Report on Operations, on 13 June 2024 the Board of Directors of the Parent Company approved an exclusive arrangement with a private equity fund for the sale of the subsidiary Monte Paschi Banque S.A., which is expected to be formalised in 2025. Commencing the Half-Yearly Financial Statements for the period ending 30 June 2024, the investee in question was classified as a discontinued operation pursuant to IFRS 5. In particular, in the balance sheet as at 31 December 2024, the assets and related liabilities of the subsidiary are shown in the consolidated balance sheet items "Non-current assets held for sale and disposal groups" and "Liabilities associated with disposal groups", without any restatement of comparative balances. With reference to the income statement, the contribution of the associate was recorded in income statement item 320 "Profit (loss) after tax from discontinued operations" for 2024 and for the previous comparison year, which was therefore restated compared to that originally published. Specifically, the positive contribution of Monte Paschi Banque S.A., amounting to EUR 4.3 mln as at 31 December 2023, which in the 2023 Consolidated Financial Statements was represented in the various income statement items as a result of the line-by-line consolidation, was restated under the aforementioned income statement item. Application of the measurement criterion envisaged in IFRS 5 had a negative impact of -EUR 36.4 mln as at 31 December 2024 on the economic result for the year and on the carrying amount of shareholders' equity.

BANCA MONTE DEI PASCHI DI SIENA

Going concern

These Financial Statements were prepared under the going concern assumption.

After assessment of the evolution of the equity and liquidity positions, with regard to the indications provided in Document no. 2 of 6 February 2009 and Document no. 4 of 3 March 2010, issued jointly by the Bank of Italy, Consob and ISVAP, and subsequent amendments, the Directors can reasonably expect that the Group will continue operating as a going concern in the foreseeable future and therefore consider it appropriate to use the going concern assumption in the preparation of these financial statements.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Section 3 – Scope and methods of consolidation

1. Equity investments in wholly-owned subsidiaries

The equity investments in wholly-owned subsidiaries are listed in the table below. For information on equity investments in companies jointly controlled or subject to significant influence by the Group, please refer to the contents of Part B - In-formation on the consolidated balance sheet - Section 7 - Equity investments, in these Notes to the Financial Statements.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | **Ownership Relationship** | **Ownership Relationship** | |
|  | <br>**Name** | <br>**Headquarters** | <br>**Registered**<br> **Office** | <br>**Type of <br> relationship <br> (\*)** | **Held by** | **Shareholding<br> %** | <br>**Available <br> votes % <br> (\*\*)** |
| **A** | **Companies** |  |  |  |  |  |  |
| A.0 | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Siena | Siena |  |  |  |  |
|  | **A.1 Companies consolidated on a line-by-line basis** |  |  |  |  |  |  |
| A.1 | MONTE PASCHI FIDUCIARIA S.p.a. | Siena | Siena | 1 | A.0 | 10000 |  |
| A.2 | WISE DIALOG BANK S.p.a. - WIDIBA | Milan | Milan | 1 | A.0 | 10000 |  |
| A.3 | MPS TENIMENTI POGGIO BONELLI E CHIGI SARACINI SOCIETA' AGRICOLA S.p.a. | Castelnuovo Berardenga (SI) | Castelnuovo Berardenga (SI) | 1 | A.0 | 10000 |  |
| A.4 | G.IMM. ASTOR S.r.l. | Lecce | Lecce | 1 | A.0 | 5200 |  |
| A.5 | AIACE REOCO S.r.l. in liquidazione | Siena | Siena | 1 | A.0 | 10000 |  |
| A.6 | MAGAZZINI GENERALI FIDUCIARI DI MAN- | Mantua | Mantua | 1 | A.0 | 10000 |  |
|  | TOVA S.p.a. |  |  |  |  |  |  |
| A.7 | MONTE PASCHI BANQUE S.A. (\*\*\*) | Paris | Paris | 1 | A.0 | 10000 |  |
| A.8 | MONTE PASCHI CONSEIL FRANCE SOCIETE PAR ACTIONS SEMPLIFIEE | Paris | Paris |  | A.7 | 10000 |  |
| A.9 | IMMOBILIERE VICTOR HUGO S.C.I. | Paris | Paris |  | A.7 | 10000 |  |
| A.10 | MPS COVERED BOND S.r.l. | Conegliano | Conegliano | 1 | A.0 | 9000 |  |
| A.11 | MPS COVERED BOND 2 S.r.l. | Conegliano | Conegliano | 1 | A.0 | 9000 |  |
| A.12 | CIRENE FINANCE S.r.l. | Conegliano | Conegliano | 1 | A.0 | 6000 |  |
| A.13 | SIENA MORTGAGES 07-5 S.p.a. | Conegliano | Conegliano | 2 | A.0 | 700 |  |
| A.17 | SIENA PMI 2016 S.r.l. | Conegliano | Conegliano | 2 | A.0 | 1000 |  |

---

(\*) Type of relationship:

1 = majority of voting rights at ordinary shareholders' meetings

2 = other forms of control

(\*\*) Votes available in the ordinary shareholders' meeting, distinguishing between actual and potential.

(\*\*\*) the investee MPS Banque S.A. is classified as a discontinued operation pursuant to IFRS 5.

BANCA MONTE DEI PASCHI DI SIENA

2. Significant assessments and assumptions for determining the scope of consolidation

*Scope of consolidation*

**Subsidiaries**

The Montepaschi Group's consolidated financial statements include the balance sheet and profit and loss account results of the Parent Company and the directly and indirectly controlled entities; includes subsidiaries operating in business sectors dissimilar to that of the Parent Company and structured entities, when the requirements of effective control are met, even irrespective of the existence of an equity interest.

Companies in which Banca MPS is exposed to variable returns, or holds rights to such returns, arising from its relationship with them and at the same time has the ability to affect returns by exercising its power over these entities, are considered subsidiaries.

The accounting standard IFRS 10 establishes a concept of control based on the simultaneous presence of three elements: (i) the power to direct the relevant activities, i.e. the activities performed by the entity being invested in that are capable of influencing its returns; (ii) exposure to the variability of returns from the investment entity's business, which may vary up or down, and (iii) the exercise of power to influence returns.

Thus, the aforementioned standard establishes that, to exercise control, the investor must have the ability to direct the entity's relevant activities, as the result of a legal right or a mere de facto situation, and also be exposed to the variability of results deriving from this power.

The Group must therefore consolidate all types of entities if all three control requirements are met. Generally, when an entity is managed through voting rights, control derives from the holding of more than half of those rights. In other cases, the identification of the scope of consolidation requires considering all factors and circumstances that give the investor the practical ability to unilaterally conduct the relevant activities of the entity (de facto control). To this end, it is necessary to consider a set of factors, such as, merely by way of example:

· the purpose and scope of the entity;

· the identification of the relevant
activities and how they are managed;

· any right held through contractual
agreements that grant the power to govern the relevant activities, such as the power to determine the financial and management policies
of the entity, the power to exercise the majority of voting rights in the decision-making body, or the power to appoint or remove
the majority of the decision-making body;

· any potential voting rights that
can be exercised and deemed as substantial;

· involvement in the entity acting
in the capacity of agent or principal;

· the nature and dispersion of any
rights held by other investors.

**Equity investments and equity securities**

Equity investments and equity securities are considered subject to control if the Group directly or indirectly holds the absolute majority of voting rights in the ordinary shareholders' meeting and such rights are substantive, and the relative majority of voting rights if the other voting rights are held by widely-dispersed shareholders. Control may also exist in situations in which the Group does not hold the majority of voting rights, but holds sufficient rights to have the practical ability to unilaterally direct relevant activities of the investee or in the presence of:

· substantive potential voting rights
through underlying call options or convertible instruments;

· rights deriving from other contractual
arrangements which, combined with voting rights, give the Group the de facto ability to direct production processes, other operating
or financial activities able to significantly influence the investee's returns;

· power to influence, through rules
of the articles of association or other contractual arrangements, governance and decision-making procedures regarding relevant activities;

· majority of voting rights through
contractual arrangements formalised with other holders of voting rights (i.e., share- holders' agreements).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

**Structured entities - investment funds**

The Group takes the following positions with respect to funds:

· subscriber of units, held for
long-term investment purposes or for trading;

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· counterparty in Loans/derivatives.

A controlling relationship is established if the Group meets simultaneously the following conditions:

· has the power to direct the relevant
activities, if:

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- it acts as fund manager and there are no substantial rights of dismissal by other investors; or

- it has a substantive right to dismiss the fund manager (outside the Group) without just cause or for reasons attributable to the performance of the funds; or

- the governance of the fund is such as to allow the Group to substantially govern the relevant activities;

· has a significant exposure to
the variable returns of the fund, through the direct holding of units deemed significant, in addition to any other form of exposure related
to the economic results of the fund;

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· it is in a position to affect
these returns through the exercise of power, if:

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- it is the fund manager;

- it has a substantial right to dismiss the fund manager (external to the Group);

- has a right to participate in the fund's committees such as to give to the Group the legal and/or practical authority to control the activities carried out by the manager;

- there are contractual relationships that bind the fund to the Group for the subscription or placement of units.

**Structured entities - securitisation special purpose vehicles**

In checking for the fulfilment of requirements of control over securitisation special purpose vehicles, both the possibility of exercising power over relevant activities for its own benefit and the end purpose of the transaction are taken into consideration, as well as the investor/sponsor's involvement in the structuring of the transaction.

For autopilot entities, the subscription of the substantial entirety of the notes by Group companies is considered an indicator of the presence, particularly during the structuring phase, of the power to manage relevant activities to influence the economic returns of the transaction.

*Equity investments in companies subject to joint control and under significant influence*

Companies are considered as joint ventures, i.e subject to joint control when the voting rights and the control of the economic activities of the investee are equally shared by the Parent Company, directly or indirectly, and by an external entity. Furthermore, an investment is considered as subject to joint control even when voting rights are not equally shared if control over the economic activities and the strategies of the investee is shared, based on contractual agreements, with other entities.

Companies are considered associates, that is, subject to significant influence, when the Parent Company, directly or indirectly, holds at least 20% of voting rights (including "potential" voting rights) or in which - though the voting rights held may be lower - the Parent Company has the power to participate in determining financial and operating policies as a result of specific legal ties, such as adhering to shareholder agreements.

Certain equity interests exceeding 20%, in which the Group doesn't have the power to participate in determining financial and operating policies but only can exercise governance right limited to the protection of proprietary interest, are not considered associates subject to significant influence.

*Methods of consolidation*

With reference to the consolidation methods, subsidiaries are consolidated on a line-by-line basis, interests in jointly controlled companies and investments in companies subject to the Group's "significant influence" are consolidated with the synthetic equity method.

BANCA MONTE DEI PASCHI DI SIENA

**Line-by-line consolidation method**

Line-by-line consolidation consists in the line-by-line acquisition of the balance-sheet and income statement aggregates of the subsidiaries. After the assignment to third parties, under a separate account, of their shares of equity and profit/ loss, the value of the equity investment is eliminated against the recognition of the residual value of the subsidiary's equity.

Differences resulting from this transaction, if positive, are recognised - after any attribution to assets or liabilities of the subsidiary - under intangible assets as goodwill or other intangible assets. Negative differences are charged to the income statement.

Intragroup assets, liabilities, income and expenses are eliminated.

Acquisitions of companies are accounted for based on the "acquisition method" set forth in IFRS 3, based on which identifiable assets acquired and identifiable liabilities assumed (including contingent), must be recognised at their respective fair values at the acquisition date. In addition, for each business combination, any non-controlling interests in the acquired company may be recognised at fair value or in proportion with the share of non-controlling interests in identifiable net assets of the company acquired. Any excess of the consideration transferred (represented by the fair value of the assets transferred, liabilities assumed and equity instruments issued) and any recognition at fair value of the non-controlling interests with respect to the fair value of assets and liabilities acquired is recognised as goodwill; if the price is lower, the difference is allocated to the income statement; if the price is lower, the difference is charged to the income statement.

The "acquisition method" is applied starting from the acquisition date, as described in the paragraph "Business combinations" under section "A.2 – Part relating to the main items of the financial statements" below, to which reference should be made, or beginning when control over the acquired company is effectively obtained. Therefore, the income and expenses of a subsidiary purchased during the reference financial year are included in the consolidated financial statements as of the date of purchase.

On the other hand, the income and expenses of a subsidiary sold are included in the consolidated financial statements up to the date of disposal; the difference between the consideration for the sale and the book value of the investee's net assets is recognised in the income statement in item 280. "Gains (losses) on disposals of investments".

If there is a partial sale of the subsidiary that does not entail loss of control, the difference between the consideration for the sale and the relative book value is recognised as an offsetting entry in equity.

In order to prepare these Consolidated Financial Statements, all wholly-owned subsidiaries prepared a balance sheet and income statement that was compliant with the Group's accounting standards.

Equity investments held for sale were recognised in accordance with the reference IFRS 5 standard, which governs the treatment of non-current assets held for sale. In this case, assets and liabilities held for sale are reclassified under balance sheet item "120. Non-current assets held for sale and disposal groups" and "70. Liabilities associated with disposal groups".

If the ongoing disposal of the equity investment can be configured as a discontinued operation pursuant to IFRS 5, the related income and charges are shown in the income statement, net of the tax effect, under item "320. Profit (loss) after tax from assets held for sale and discontinued operations". Otherwise, the contribution of the investee is shown in the income statement on a line-by-line basis. For further details, please refer to paragraph "8 - Non-current assets and groups of assets held for sale" contained in the following section "A.2 – Part relating to the main items of the financial statements".

If the fair value of the assets and liabilities held for sale, net of sales costs, are less than the carrying amount, an impairment is recognised in the income statement.

**Equity consolidation method**

Equity investments in jointly controlled companies and investments in companies subject to the Group's "significant influence" (associates) are consolidated with the synthetic equity method.

The equity method provides for the initial recognition of the investment at cost and its subsequent value adjustment on the basis of the share pertaining to shareholders' equity. The share of the investee's results for the year is recognised under item 250 "Gains (losses) on equity investments" in the consolidated Income Statement. Any change in the comprehensive income relating to these investee companies is presented, for the portion attributable to the Group, as part of the consolidated comprehensive income under shareholders' equity item "120. Valuation reserves".

In determining the ownership percentages, any potential voting rights are not considered.

After applying the equity method, the equity investment is subject to an impairment test if there is objective evidence of a loss in value that could affect the investee's cash flows and therefore the recoverability of the investment's carrying

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

amount. For further details, please refer to the paragraph "Method of determining impairment losses on equity investments" included in the next section "Use of estimates and assumptions in the preparation of financial statements".

If evidence of impairment indicates that there may have been a loss in value of an equity investment, then the recoverable value of the equity investment (which is the higher of the fair value, less costs to sell, and the value in use) should be estimated. The latter is determined by discounting the future cash flows that the equity investment may generate, including the final disposal value of the investment. Should the recoverable value be less than its book value, the difference is recognised immediately in the income statement, in the item indicated above. Should the reasons for impairment no longer apply as a result of an event occurring after the impairment was recognised, reversals of impairment losses are charged to the same item in the income statement, up to the amount of the previously recognised impairment.

The Group discontinues the use of the equity method on the date it ceases to exercise significant influence or joint control over the investee company; in which case, from that date, the investment is reclassified to "Financial assets at fair value through other comprehensive income" or to "Financial assets at fair value through profit or loss", provided that the associate or jointly controlled company does not become a subsidiary.

For the consolidation of jointly controlled companies and associates, the financial statements (annual or interim) that have been most recently approved by said companies are used. In rare cases, the companies do not apply IAS/IFRS standards, thus, for these companies, it has been ascertained that applying these standards would not result in significant impacts on the Group's consolidated financial statements.

The changes in the consolidation area compared to the situation as at 31 December 2023 are attributable to the exit of the following vehicles:

· SIENA LEASE 2016 2 S.r.l., of
which the Parent Company held 100% of the share capital, already in liquidation and cancelled on 9 January 2024 from the Company Register;

<sub> </sub>

· SIENA LEASE 09-6 S.r.l., of which
the Parent Company held 7% of the share capital, already in liquidation and cancelled on 10 July 2024 from the Company Register;

<sub> </sub>

· SIENA LEASE 10-7 S.r.l., of which
the Parent Company held 7% of the share capital, already in liquidation and cancelled on 11 July 2024 from the Company Register.

3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests

This section is not completed because as at 31 December 2024, in line with the previous financial year, there are no third-party interests in subsidiaries considered significant for the Group, either individually or as a whole, as also shown in the table in "Section 16 – Non-controlling interests" contained in Part B of the liabilities in these Notes to the financial statements.

BANCA MONTE DEI PASCHI DI SIENA

4. Significant restrictions

Listed below are the significant restrictions on the Group's ability to access or use assets and to extinguish liabilities:

*Regulatory restrictions*

The Parent Company, with assets and liabilities, before eliminations of intercompany relationships, amounting as at 31 December 2024 to EUR 128,232.2 mln (EUR 127,733.9 mln as at 31 December 2023), is subject to the prudential regulations set forth in Directive 2013/36/EU (CRD IV) and Regulation (EU) No. 575/2013 (CRR), aimed at preserving adequate capitalisation in accordance with the risks assumed; Therefore, as a general rule, the ability of banks to distribute capital or dividends is subject to compliance with these capital requirement regulations.

*Legal restrictions*

The Parent Company is required, in compliance with statutory provisions, to deduct 10% of annual net profit to form the legal reserve, until it has reached 20% of the share capital. The reserve must be replenished if it is reduced for whatever reason. The Parent Company is also required to form and increase a statutory reserve in an amount not less than 15% and at least 25% from the moment the legal reserve reaches 20% of the share capital.

The Italian subsidiaries other than securitisation special purpose vehicles are required, in compliance with statutory provisions, to deduct 5% of annual net profit to form the legal reserve, until it has reached 20% of the share capital, and an additional 5% to be allocated to a statutory reserve.

*Contractual restrictions*

**Pledged assets**

The Group holds assets not available to it in that they are used to guarantee financing transactions (e.g., repurchase or securitisation transactions).

The disclosure on assets pledged as collateral for liabilities and commitments is provided in the "Other information" section of Part B of these Notes to the consolidated financial statements, to which reference should be made.

**Group assets related to securitisations**

As at 31 December 2024, asset item 40 b) "Financial assets measured at amortised cost: loans and advances to customers' does not include amounts of loans not derecognised on the balance sheet against a liability to the issuing vehicles (against cash received from such disposals) because all "own" securitisations without derecognition have been closed.

*Other restrictions*

The Group's banks are required to hold a compulsory reserve at national Central Banks. The compulsory reserve as at 31 December 2024, included in asset item 40 "Financial assets measured at amortised cost" sub-item "a) Loans to banks", held at Bank of Italy, amounted to EUR 535.0 mln (EUR 501.8 mln as at 31 December 2023).

5. Other information

The financial statements processed for line-by-line consolidation of the subsidiaries include the financial statements as at 31 December 2024, as approved by the Boards of Directors of the respective companies.

Section 4 – Events after the Reporting Date

It should be noted that the significant events occurred in the period between the reporting date (31 December 2024) and the date of approval of the Consolidated Financial Statements by the Board of Directors (6 March 2025), are entirely attributable to non-adjusting events, pursuant to IAS 10, i.e. events that do not entail any adjustments to the Financial Statements, as they are the expression of situations arising after the reporting date.

For more detailed description of the aforementioned events, please refer to the section "Significant events after the end of 2024 financial year" included in the Consolidated Report on operations.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Section 5 – Other Matters

*Interest rate benchmark reform*

Launched in 2016 following the publication of Regulation (EU) 2016/1011 (Benchmarks Regulation), the reform of benchmark rates in Europe can now be considered complete, with two Regulation-compliant rates now published daily: the Euribor rate for maturities up to 12 months, administered by the European Money Market Institute (EMMI); and the Euro Short-term rate (€STR) for overnight maturities, recorded and published by the ECB.

Even outside the Eurozone, risk free rates (RFRs) have now been identified and are in operation for all major currencies, gradually replacing the LIBOR rate. The only exception remained the USD, with the Financial Conduct Authority (FCA) requiring the benchmark administrator in April 2023 to continue to publish 1-, 3- and 6-month synthetic USD LIBOR settings even after the termination date of 30 June 2023 and until September 2024 to facilitate the transition of contracts.

A summary of the new risk-free rates replacing the former IBOR rates is given below, with the institution acting as benchmark administrator indicated.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Currencies** | **Ibor rate** | **Risk-free rate** | **Administration** | **Description** |
| CHF | CHF Libor | SARON | Swiss Infrastructure and Exchange | Guaranteed Interbank Swiss Average Rate Overnight |
| EUR | EUR Libor | €STR | European Central Bank | Non guaranteed Interbank Euro Interbank short-term rate overnight |
| GBP | GBP Libor | SONIA | Bank of England | Non guaranteed interbank Sterling Overnight Average Rate |
| JPY | JPY Libor | TONAR | Bank of Japan | Non guaranteed interbank Tokyo Overnight Average Rate |
| USD | USD Libor | SOFR | Federal Reserve Bank of New York | Guaranteed Secured Overnight Financing Interest Rate |

---

It should be recalled that in 2020 the Group launched a project to implement all necessary measures to adapt its opera-tional and application processes to the new risk-free rates with a view to gradually replacing the IBOR indices, which were scheduled to come to an end between 2021 and 2023, according to the timetable defined by the Regulator.

As at 31 December 2024, the Group had completed the planned actions to adapt its management and accounting systems to the new Alternative Reference Rates, thus replacing the IBOR indices, as required by Regulation (EU) 2016/1011 (Benchmark Regulation).

*The ESEF (European Single Electronic Format) for the preparation of annual financial reports*

The Delegated Regulation (EU) No. 2019/815 (so-called ESEF Regulation), amending the Transparency Directive No. 2004/109/EC, stipulates that issuers whose securities are listed on regulated markets in the European Union must prepare their annual financial reports in accordance with the single electronic reporting format ESEF approved by ESMA: with the eXtensible HyperText Markup language (XHTML), "marking up" the basic financial statements, the consolidated financial statements and the notes to the financial statements, with the specifications of the Inline eXtensible Business Reporting Language (iXBRL).

From an operational point of view, the marking process was carried out in two ways:

· the detailed marking, relating
to the numerical items of the consolidated financial statements, labels each numerical value contained in the statements themselves,
identifying the appropriate tag in the basic taxonomy;

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· the block marking, relating to
the content of the Notes to the financial statements, requires that for each applicable element of the taxonomy, the conceptually corresponding
portion of the Notes to the financial statements, consisting of text and tables (so-called "bloc tag"), is identified.

The basic taxonomy to be used for the single electronic reporting format is updated by ESMA to take into account, among other aspects, the issuance of new IFRSs, the amendment of existing IFRSs and the analysis of information published by issuers. In December 2022, ESMA issued the updated version of the taxonomy (Taxonomy 2022 ESEF), applicable to annual financial reports for financial years beginning on 1 January 2023.

On 15 January 2025, Commission Delegated Regulation (EU) 2025/19, of 26 September 2024, amending the regulatory technical standards set out in Delegated Regulation (EU) 2019/815 with regard to the 2024 update of the taxonomy for the single electronic financial reporting format was published in the Official Journal of the European Union. The entry into force has been set for 1 January 2025, allowing for early application. The Group did not make use of this option, so for the 2024 financial year, the schedules and notes to the consolidated financial statements were "marked up" using the ESEF Taxonomy 2022.

BANCA MONTE DEI PASCHI DI SIENA

Finally, it should be noted, however, that certain information contained in the Notes to the Consolidated Financial Statements when extracted from the XHTML format in an XBRL instance, due to certain technical limitations, may not be reproduced identically to the corresponding information displayed in the Consolidated Financial Statements in XHTML format.

The Annual Financial Report, drawn up in compliance with the ESEF Regulation, was approved by the Board of Directors of Banca MPS on 6 March 2025 and will be made public in accordance with the law.

*ESMA Priorities 2024*

In October 2024, ESMA published the Public Statement European common enforcement priorities for 2024 annual financial reports in which it highlights the thematic areas considered of particular relevance for 2024 reporting. The priorities are divided into specific sections with regard to: financial reporting, sustainability reporting, ESEF reporting and general considerations contained in previous years' statements.

As regards the enforcement priorities for the 2024 Financial Statements, these mainly concern issues related to: (i) liquidity risk and (ii) accounting policies, judgements and significant estimates applied by the entity.

With regard to liquidity risk, ESMA highlights the new disclosure requirements under IAS 7 in relation to Supplier Financial Arrangements (SFA); i.e. material arrangements with suppliers that meet the characteristics described in paragraph 44G of IAS 7. The disclosure requirement applies to acquiring entities that sell their accounts payable to a third party to increase their liquidity by deferring settlement. Such cases are not material for the Group.

The Authority also reiterates, with respect to non-current financial liabilities with covenants, that the issuer must make the disclosure required by IAS 1 regarding the risk that liabilities could become repayable within twelve months after the reporting period, when the issuer classifies liabilities arising from loan arrangements as non-current and when its right to defer the settlement of those liabilities is subject to compliance with covenants within twelve months after the reporting period; It should be noted in this regard that this disclosure is not relevant for the Group given the content of the amendments to IAS 1 and the obligation to apply the formats provided for in Bank of Italy Circular No. 262.

Again with reference to liquidity risk, the ESMA finally makes several transparency-related instructions with regard to preparing the cash flow statement; in this regard, it should be noted that this disclosure is not relevant for the Group due to the obligation to apply the formats provided for by Bank of Italy Circular 262.

With regard to accounting policies, judgments and estimates, ESMA generally reiterates the need for entity-specific disclosures (describing the accounting policies and valuation methods used) while at the same time refraining from making boilerplate disclosures which merely repeat the IFRS requirements. Issuers should clearly disclose: (i) the judgements made that have the most significant effect on the amounts recognised in the financial statements; and (ii) the assumptions about the future and other major sources of estimation uncertainties that have a significant risk of resulting in a material adjustment to the carrying amount of assets and liabilities within the next financial year. Moreover, it is necessary to assess and, if relevant, explain whether and how estimation uncertainty is affected by significant current developments (e.g. macroeconomic, technological, social, climatic and geopolitical). For further details on these aspects, please refer to the section "Use of estimates and assumptions when preparing financial statements" in Part A - Accounting policies.

More specifically, the Authority draws attention to assessments that may require significant judgement, such as:

· when assessing control, joint
control or significant influence. In such cases, careful consideration must be given to the elements of judgement and clear and detailed
disclosures must be provided about the significant judgements made. For these aspects, please refer to Section 3 "Scope and methods
of consolidation" in Part A and section 7.6 "Key considerations and assumptions to determine the existence of joint control
or significant influence" in Part B;

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· of assessing whether the long-term
contracts entered into by the entity meet the definition of customer contracts under IFRS 15. For contracts that meet the standard, attention
must be paid to the proper inclusion in consideration of variable elements covering extremely long time horizons characterised by uncertainty,
and to the consideration of the macro environment in assessing the performance obligation. In addition, ESMA mentions other potentially
critical aspects such as assessments over the roles of agent or principal in specific cases (e.g. online shopping platforms) and the
specific disclosure required by IFRS 15 about the amount and timing of consideration allocated to remaining performance obligations.
These aspects are not material in the context of the customer contracts concluded by the Group.

Finally, among its general considerations, ESMA notes that previous years' priorities regarding climate matters continue to be relevant. The Authority particularly emphasises the importance of consistency and connectivity between the information related to climate risks and opportunities included in financial statements and the information included in the sustainability statement. This is because discordant information on sustainability issues in the annual financial report could be a potential source of greenwashing (without prejudice to the specific characteristics of financial and sustainability reporting).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Finally, ESMA encourages issuers to specify which climate issues addressed in its sustainability reporting do not have a financial impact on the financial statements and to explain the reasons for this. For further details on climate topics and related financial and non-financial effects to the Group, please refer to paragraph "Climate Change" in Section 2 –"Environmental information" of the Sustainability Report included in the Consolidated Report on operations.

*Consob warning notice*

In December 2024, Consob published a warning notice about the climate-related disclosure included in the financial statements.

In the context of ESMA's recommendations set out in the "Public Statement European common enforcement priorities for 2024 annual financial reports"*,* Consob brought attention to the additional documents published by ESMA to support companies in preparing more robust and consistent disclosures *("The Heat is On: Disclosures of Climate-Related Matters in the Financial Statements" report and the "Clearing the smog: Accounting for Carbon Allowances in Financial Statements"* public statement) and warned issuers of a number of key elements that should be taken into account for the 2024 disclosure in light of the monitoring of the disclosures made in the 2023 financial statements and the coming into force of the sustainability reporting requirements under Decree No. 125/2024.

First of all, with a view to facilitating investor access to, and comprehension of, climate-related information, Consob underlines that this should be reported in a specific note to the financial statements or by inserting specific references to the notes in which they are described. Disclosures should be structured to address, among other things, the risks, uncertainties and impacts on financial statement items where these are material or the reasons why no such impacts have been identified. For further details please refer to the Sustainability report included in the Consolidated Report on operations, and to the paragraph "Management overlays" and "ESG risks" included in Part E of these Consolidated Notes to Financial Statements, section "Risk of Prudential Consolidation" and section "Operational Risk" respectively.

Secondly, Consob reiterated the importance of consistency between financial and sustainability reporting. The financial statements should provide relevant information such to enable investors to appreciate the impact on accounting estimates, if any, of the actions identified as part of the transition plans described in the sustainability reporting by explaining the assessments that led to the recognition or non-recognition of impacts in the financial statements. In this regard, Consob referred to the provisions contained in paragraph 31 of IAS 1 "Presentation of Financial Statements" and the guidance contained in the IFRS Interpretation Committee's decision of 11 April 2024 on how issuers' climate-related commitments should be reported in relation to their emission reduction targets.

Furthermore, where scenarios are used in financial statements to assess climate risks, it is appropriate to clarify, if relevant, how these assessments have impacted the valuations contained in the financial statements, also through specific sensitivity analyses, which specifically take into account the assumption made. For more details please see the paragraph "Management overlays" in Part E "Risk of prudential consolidation" of these Notes to consolidated financial statements.

Finally, the considerations made regarding the impacts of climate-related factors should be clearly described.

An illustration of the new accounting standards, or the changes to existing standards approved by the IASB is provided below, as well as the new interpretations or changes to existing interpretations published by IFRIC, with separate reporting on those applicable in 2024 from those that may be adopted in subsequent financial years.

*List of key IAS/IFRS international accounting standards and related SIC/IFRIC interpretations endorsed for mandatory application as of the 2024 Financial Statements*

Regulation (EU) 2023/2579 of 20 November 2023 endorsed the amendments to IFRS16 "Leases: Lease Liability in Sale and Leaseback" (amendment to IFRS 16) issued by the IASB on 22 September 2022. The amendments clarify how a seller-lessee must subsequently measure lease liabilities in sale and leaseback transactions<sup>59</sup> with variable lease payments that satisfy the requirements in IFRS 15 to be accounted for as a sale. The amendments clarified that:

· At initial recognition, the seller-lessee
also includes the variable lease payments (whether or not they depend on an index or a rate) in its measurement of the lease liability
arising from the leaseback;

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· After initial recognition, the
seller-lessee applies the general subsequent measurement requirements for a lease liability under IFRS 16, making sure not to recognise
the gain or loss that relates to the rights of use retained.

The amendments must be applied from 1 January 2024. The requirements must also be retrospectively applied, under IAS 8, to sale and leaseback transactions that were entered into after the date when IFRS 16 was first applied (i.e. 1 January 2019). The changes to the standard are of no particular materiality for the Group, in light of the characteristics of the existing sale and leaseback contracts, which have no variable payments or have insignificant variable payments.

59 Sale and leasebacks are transactions in which the owner of an asset sells the asset and leases that asset back from the new owner for a period of time.

BANCA MONTE DEI PASCHI DI SIENA

Regulation (EU) 2023/2822, of 19 December 2023, endorsed the amendments to IAS 1 presented by the IASB on 23 January 2020 "Classification of Liabilities as Current or Non-Current Date" and on 31 October 2022 "Non-current Liabilities with Covenants", with the aim of clarifying the way in which a company must determine, in the statement of financial position, the debt and other liabilities with uncertain settlement date. Its application, initially scheduled for 2022, was postponed initially until 1 January 2023 and finally until 1 January 2024. Specifically, this last amendment from October 2022 requires that only the covenants that an entity must comply with at the reporting date or before that date are such as to affect the classification of a liability as current or non-current. It is also required to indicate in the notes to the financial statements the information that allows users of the financial statements to understand the risk that non-current liabilities with covenants may become repayable within twelve months. Given the contents of the amendments and the obligation to apply the formats set forth in Bank of Italy Circular No. 262/05, the limited proposed amendments to IAS 1 are not relevant to Banks.

Regulation (EU) 2024/1317 of 15 May 2024 endorsed the amendments to IAS 7 **"Statement of Cash Flows**" and IFRS 7 **"Financial Instruments: Disclosures: Supplier Finance Arrangements"*,*** published by the IASB on 25 May 2023. The amendments introduced new disclosure requirements about a company's supplier finance arrangements (also known as supply chain finance or reverse factoring arrangements). These new requirements are to provide users of financial statements with information enabling them to assess the impact of these arrangements on a company's liabilities and cash flows, and to understand the effect of supplier finance arrangements on a company's exposure to liquidity risk and how the company might be affected if the arrangements were no longer available to it.

The proposed changes affect the entities that enter into finance agreements as purchasers, but do not affect the lender. Therefore, they do not directly affect the Group, which acts solely as lender in supplier finance agreements.

List of endorsed IAS/IFRS international accounting standards and related SIC/IFRIC endorsed interpretations whose application is mandatory after 31 December 2024

The standards or amendments whose application is effective after 31 December 2024 and for which the Group, where envisaged, did not make use of early application, is provided below.

Regulation (EU) 2024/2862, of 12 November 2024, endorsed the amendment to IAS 21 ***"The Effects of Changes in Foreign Exchange Rates: Lack of Exchangeability",*** published by the IASB on 15 August 2023. The amendment clarifies when a currency is convertible or not convertible into another currency, how to estimate the exchange rate if the currency is not convertible, and the disclosures to be made in the notes to the financial statements. The amendment will become effective on 1 January 2025, but early adoption is permitted.

The aforementioned amendment is not expected to have a significant impact on the Group's financial position.

IAS/IFRS international accounting standards and related SIC/IFRIC interpretations issued by the IASB and still awaiting approval from the European Commission

On 9 April 2024, the IASB published IFRS 18 ***"Presentation and Disclosure in Financial Statements"***, which replaces IAS 1 ***"Presentation of Financial Statements"***. The new standard establishes the presentation and disclosure requirements for financial statements with the aim of making the information more transparent and comparable and to ensure that it faithfully represents the assets, liabilities, shareholders' equity, revenues and costs of the entity. The main changes compared to IAS 1 are:

· the classification of income and
expenses in five categories (operating, investing, financing, income taxes, discontinued operations) based on the core business activities
of the entity;

<sub> </sub>

· new statement items with partial
totals (operating profit, profit before financing and income taxes);

<sub> </sub>

· increased obligations relating
to the labelling of items as well as the aggregation and disaggregation of information based on characteristics that agree (or not) with
financial statement items;

<sub> </sub>

· the introduction of disclosure
requirements to include management-defined performance measures (MPMs) – i.e. financial performance measures based on new required
totals or subtotals under IFRS, with certain adjustments (i.e. adjusted profit or loss).

The new standard also involves limited amendments to other standards, including IAS 7 "**Statement of Cash Flows**", IAS 33 "**Earnings per Share**" and IAS 34 "**Interim Financial Reporting**".

Application becomes effective from 1 January 2027; Pursuant to IAS 34, the entity will be required to present its income statement in compliance with IFRS 18 requirements in the 2027 half-yearly financial statements.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The Group is assessing the impacts of the new provisions, also taking into account the aforementioned changes, which affect the presentation of the profit and loss account and disclosures in the financial statement, must be appropriately coordinated with Bank of Italy Circular No. 262 (i.e. the circular regulating financial statement formats and the rules for compiling financial statements of banks).

On 9 May 2024, the IASB published IFRS 19 "**Subsidiaries without Public Accountability**: **Disclosures"**. Under certain conditions, the new standard allows subsidiaries that apply the international accounting standards to provide reduced financial statement disclosures, thus lowering their financial statement preparation costs. In order to apply the standard, the subsidiary: i) must not have public accountability<sup>60</sup>, and ii) must have a parent company, ultimate or intermediate, which prepares consolidated financial statements in accordance with international accounting standards. The application of IFRS 19 is optional for eligible subsidiaries and enters into force from 1 January 2027.

No significant effect on the Group's consolidated financial statements is expected from the adoption of this amendment.

On 30 May 2024, the IASB published the amendments to IFRS 9 and IFRS 7 "***Amendments to the Classification and Measurement of Financial Instruments***". The amendments to the two standards clarify certain critical aspects of the classification and measurement of financial instruments pursuant to IFRS 9 that emerged from the post-implementation review of the standard. In particular, the amendments addressed:

· classification of contractual
cash flow characteristics of financial assets with ESG-linked features. On this topic, the IASB has listed some non-comprehensive examples
of financial instruments for assessing whether a financial asset meets the Solely Payments of Principal ad Interest(SPPI) criterion.
More specifically:

<sub> </sub>

- an arrangement whereby interest is to be paid if the borrower meets a contracted ESG target (e.g. to reduce carbon emissions) is consistent with a basic lending arrangement and, therefore, enables a positive assessment, thus allowing for the passing of the SPPI test;

an arrangement that provides for the adjustment of an market variable-linked interest rate (e.g. the carbon price index) does not compensate the lender for the risks and costs associated with lending the principal amount; therefore, it does not qualify as a basic lending arrangement.

· settling financial liabilities
using an electronic payment system. The amendments permit liability to be settled in cash using an electronic payment system before the
settlement date (by exception from the applicable rules) only when and if payment instruction issued by the entity:

<sub> </sub>

- cannot be withdrawn, stopped or cancelled;

the cash to be used for settlement of the payment instruction cannot be accessed and;

the settlement risk associated with the electronic payment system is insignificant (i.e. when a standard procedure is used to execute the payment instruction and there is a short period between the fulfilment requirements (a) and (b) and the delivery of the cash to the counterparty.

However, the settlement risk would not be insignificant if the execution of the payment instruction is contingent on the entity's ability to deliver cash on the settlement date.

With these amendments to **IFRS 9 - Financial Instruments**, the IASB also introduced additional disclosure requirements to improve transparency for the benefit of investors as regards equity instruments for which the option has been exercised for the recognition of changes in fair value in the statement of comprehensive income (OCI election) and financial instruments with contingent characteristics, e.g. associated with ESG-linked objectives. The amendments apply to financial years beginning on or after 1 January 2026.

The Group is assessing the impact of the new provisions and plans to accordingly update Group policies.

Finally, on 18 July 2024 the IASB published its "**Annual Improvements Volume 11**" containing clarifications, simplifications, corrections and minor amendments to IFRS accounting standards to improve consistency. These concerned the following accounting standards:

· IFRS 1 *"* **First-time Adoption of International Financial Reporting Standards"**;

<sub> </sub>

· IFRS 7 **"Financial Instruments: Disclosures** ' and **Guidance on implementing IFRS 7**;

<sub> </sub>

· IFRS 9 "**Financial Instruments** "**;** 

---

| | |
|:---|:---|
| 60 | A subsidiary has public accountability if: (i) its debt or equity instruments are traded in a public market or it is in the process of issuing such instruments for trading in a public market (a domestic or foreign stock exchange or an over-the-counter market, including local and regional markets), or (ii) one of its principal activities is to hold assets in trust for a large group of persons (e.g., banks, credit unions, insurance companies, securities dealers, mutual funds and investment banks). |

---

BANCA MONTE DEI PASCHI DI SIENA

· IFRS
 10 **"Consolidated Financial Statements"**; and

· IAS
 7 **"Statement of Cash Flow *".*** 

The amendments apply as of 1 January 2026. Early application is permitted.

No significant effect on the Group's consolidated financial statements is expected from the adoption of this amendment.

Finally, on 18 December 2024, the IASB published amendments to IFRS9 and IFRS7 entitled **"Contracts Referencing Nature-dependent Electricity"** requiring specific disclosures in financial statements for contract of these types.

Nature-dependent electricity contracts are contracts that expose the company to variability in the underlying amount of electricity because the source of electricity generation depends on uncontrollable natural conditions (for example, wind, sun, etc. These include both contracts to buy or sell nature-dependent electricity and financial instruments that reference such electricity. These contracts are often structured as long-term power purchase agreements ("PPAs"), which:

· provide
 a quantity of electricity generated by the nature-dependent energy source to the purchaser
 at a fixed unit price ("physical PPAs") in addition to environmental certificates;
 or

· contain
 a swap that pays out the net difference between a fixed-price cash flow and a variable-price
 cash flow related to a quantity of nature-dependent energy ("virtual PPPs" or
 "VPPAs") and provide the corresponding environmental certificates.

A unique feature of these PPAs is that whether and how much electricity is generated by the reference plant at any given time is determined by the nature-dependent sources. The IASB's amendments:

· introduce
 guidelines to assess whether contracts meet "own use" requirements and, therefore,
 can continue to be considered to be held for the purpose of the receipt of energy in accordance
 with the entity's expected usage requirements, thus exempting the contract from the
 accounting treatment provided for contracts to buy or sell non-financial items. This occurs
 if the entity has been, and expects to be, a net purchaser of electricity for the contract
 period (i.e. if it buys sufficient electricity to offset the sales of any unused electricity
 in the same market in which it sold the electricity;

· incorporate
 the hedge accounting treatment required by IFRS 9 if the contract has been designated in
 a cash flow hedging relationship. In this case, it is permissible to designate as the hedged
 item a variable nominal amount of forecast electricity transactions that is aligned with
 the variable amount of nature-dependent electricity expected to be delivered by the generation
 facility as referenced in the hedging instrument;

· introduce
 specific disclosures with regard to contracts to purchase energy from natural sources that
 meet "own use" requirements.

The amendments apply as of 1 January 2026. Early application is permitted. In particular, the changes relating to the "own use" exemption apply retrospectively under IAS 8, while the changes relating to hedge accounting treatment apply prospectively to relationships designated on or after the date of first application.

No significant effect on the Group's consolidated financial statements is expected from the adoption of this amendment.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

A.2 – Part relating to the main items of the financial statements

Accounting standards

The following is a description of the accounting standards that have been adopted with reference to the main asset and liability items for the preparation of the consolidated financial statements as at 31 December 2024 with reference to the stages of classification, recognition, measurement and derecognition of the various asset and liability items, as well as for the methods of recognising revenues and costs. These standards are aligned with those adopted for the preparation of the comparative financial statements as at 31 December 2023.

1 Financial assets measured at fair value through profit or loss (FVTPL)

a) classification criteria

These assets include financial assets other than those classified under "Financial assets measured at fair value through other comprehensive income" and "Financial assets measured at amortised cost". The item in particular includes:

· debt
 securities or loans that are included in an "Other" Business Model, i.e., a procedure
 for managing financial assets that does not have the objective of collecting contractual
 cash flows ("Held to Collect" business model) or collecting contractual cash
 flows and selling financial assets ("Hold to Collect and Sell" business model);

· debt
 securities, loans and units of UCITS whose contractual terms do not exclusively provide for
 repayments of principal and interest on the amount of principal to be repaid (i.e., that
 do not pass the so-called Solely Payment of Principal and Interest (SPPI) test);

· equity
 instruments that cannot be classified as representing control, affiliation, and joint control,
 held for trading purposes or for which, upon initial recognition, the fair value through
 other comprehensive income option was not chosen;

· derivative
 contracts, recognised in financial assets held for trading, that are recognised as assets
 if the fair value is positive, or liabilities if the fair value is negative.

With reference to the latter, it is possible to offset current positive and negative values deriving from outstanding transactions with the same counterparty - including in the case of derivative contracts allocated to the trading portfolio and hedging derivative contracts, as required by Circular 262 - only if the legal right to offset the amounts recognised is currently in place and the entity intends to proceed with the net settlement of offsetting positions.

More detailed information is provided below on the three sub-items that comprise this category, represented by: "Financial assets held for trading", "Financial assets measured at fair value", and "Other financial assets mandatorily measured at fair value".

Financial assets held for trading

Financial assets (debt securities, equity securities, loans, units of UCITS) are classified as held for trading purposes if they are managed with the objective of generating cash flows through their sale, as they are:

· acquired
 for the purpose of selling them in the short-term;

· part
 of a portfolio of financial instruments that are managed on an individual basis and for which
 there is proven existence of a strategy targeted at earning a profit in the short term.

It also includes derivatives with a positive fair value not designated as having an accounting hedge relationship. Derivative contracts include those embedded in complex financial instruments, in which the primary contract is a financial liability, which were subject to separate accounting as:

· their
 economic characteristics and risks are not strictly related to the characteristics of the
 underlying contract;

· the
 embedded instruments, even if separate, satisfy the definition of derivative;

· hybrid
 instruments to which they belong are not measured at fair value with the relative changes
 posted to the income statement.

Financial assets designated at fair value

A financial asset (debt securities and loans) can be designated at fair value irrevocably at the time of initial recognition, only when this designation makes it possible to eliminate or significantly reduce a measurement inconsistency ("accounting mismatch"). This category is not used by the Group at present.

BANCA MONTE DEI PASCHI DI SIENA

Other financial assets mandatorily measured at fair value

Other Financial assets mandatorily measured at fair value represent a residual category and include:

· debt
 securities and loans, when: i) the relative contractual cash flows do not represent solely
 payments of principal and interest on the residual principal (SPPI test failed), or ii) are
 not held as part of a Business Model whose objective is the ownership of assets for purposes
 of collecting contractual cash flows ("Hold to Collect" Business Model) or those
 whose objective is achieved either by collecting contractual cash flows or by selling financial
 assets ("Held to Collect and Sell" Business Model);

· UCITS
 units;

· equity
 securities held for purposes other than trading for which the option of classification at
 fair value through other comprehensive income is not exercised.

b) recognition criteria

Initial recognition of financial assets occurs at settlement date for debt securities, equities and units of UCITS, at disbursement date for loans, and at trade date for derivative contracts. Upon initial recognition, financial assets measured at fair value through profit or loss are recognised at fair value, which usually corresponds to the amount paid, without considering transaction costs or revenues directly attributable to the instrument, which are directly recognised in the income statement.

c) measurement criteria

After initial recognition, financial assets measured at fair value through profit or loss are recorded at fair value, with changes recognised as an offsetting entry in the income statement.

To determine the fair value of financial instruments listed on an active market, market prices recorded at the reporting date are used. In the absence of an active market, commonly adopted estimation methods and valuation models are used, which take into account all the risk factors related to the instruments and which are based on data recorded on the market such as: valuation of listed securities with similar characteristics, discounted cash flow calculations, option pricing models and values recognized in recent comparable transactions. For equity securities and derivatives on equity securities that are not listed on an active market, the cost criterion is used as an estimate of the fair value only on a residual basis and limited to rare circumstances, i.e., if none of the measurement models previously mentioned can be applied, or if there is a wide range of possible fair value measurements, in which case the cost represents the most meaningful estimate.

For further information on the criteria for determining the fair value, please refer to Section "A.4 Information on Fair Value" of Part A of these Notes to the consolidated financial statements.

d) revenue recognition criteria

The interest of the three sub-items that comprise this category is recorded under item "10 - Interest income and similar revenues".

Realised gains and losses, the gains and losses from measurements for "Financial assets held for trading", including derivatives associated with financial assets/liabilities measured at fair value, are booked to the income statement under item "80 - Net trading income (expenses)". These income effects pertaining to "Financial liabilities measured at fair value" as well as "Other Financial assets mandatorily measured at fair value" are booked to the income statement under item "110 - Net profit/loss from financial assets and liabilities measured at fair value through profit and loss", in the sub-items "a) financial assets and liabilities measured at fair value" and "b) other Financial assets mandatorily measured at fair value", respectively.

e) derecognition criteria

Financial assets are derecognised from financial statements: i) upon expiration of the contractual rights on the cash flows resulting from the assets, or ii) when the financial assets are sold and all related risks/benefits are transferred. However, if a relevant portion of the risks and benefits associated with disposed financial receivables have been maintained, they continue to be posted in the financial statements, even if legal ownership of the asset has been effectively transferred.

If it is not possible to ascertain a substantial transfer of risks and benefits, the financial assets are derecognised when control of the assets has been surrendered. Conversely, if such control has been maintained, even partly, the assets should continue to be recognised to the extent of residual involvement, as measured by the exposure to the changes in value of the assets disposed and to the changes in their cash flows.

Finally, disposed financial assets are derecognised if the contractual rights to receive the cash flows are maintained and a contractual obligation is simultaneously undertaken to pay only said flows, without a significant delay, to third parties.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

f) reclassification criteria

According to the general rules established by IFRS 9 on reclassifying financial assets (with the exception of equity securities, for which reclassification is not permitted), reclassifications to other categories of financial assets are not permitted unless the entity changes its Business Model for managing financial assets. In these cases, which are expected to be highly infrequent, financial assets may be reclassified from the category 'measured at fair value through profit or loss' to one of the other two categories envisaged by IFRS 9 (financial assets measured at amortised cost or financial assets measured at fair value through other comprehensive income). The transfer value is represented by the fair value at the time of the reclassification and the effects of the reclassification apply prospectively from the reclassification date. In this case, the effective interest rate of the reclassified financial asset is calculated based on its fair value at the reclassification date and this date is considered as the initial recognition date in assigning it to the various credit risk stages (stage assignment) for purposes of impairment.

For more information on classification criteria for financial instruments, please refer to the section "Classification criteria for financial assets" below.

2 Financial assets designated at fair value through other comprehensive income (FVTOCI)

a) classification criteria

This category includes financial assets represented by:

&nbsp;&nbsp;&nbsp;&nbsp;· debt
 securities, managed as part of a "Hold to collect and sell" business model and
 whose contractual flows represent only payments of principal and interest on the residual
 capital (SPPI test passed);

&nbsp;&nbsp;&nbsp;&nbsp;· equity
 instruments (not qualifiable as control, association and joint control), held as part of
 a Business Model other than trading for which the option for recognition in the individual
 instrument was irrevocably exercised at the time of initial recognition of the individual
 instrument, the option for recognition in the statement of comprehensive income from changes
 in fair value after initial recognition (OCI election).

b) recognition criteria

Financial assets are initially recognised on the date of settlement, with reference to debt or equity instruments, and on the date of disbursement with reference to loans.

On initial recognition, the assets are measured at their fair value, which normally corresponds to the price paid, inclusive of transaction costs or income directly attributable to the instrument.

c) measurement criteria

Financial assets represented by debt securities and loans, following initial recognition, continue to be measured at fair value, with recognition in the income statement of interest (based on the effective interest rate method), expected credit losses and any exchange rate changes. Other impairment gains or losses, on the other hand, are booked to the appropriate equity reserve net of the associated tax effect (item "120 - Valuation reserves"). Upon cancellation of the financial asset, the accumulated profits or losses in the valuation reserve will be subject to recycling to the Income Statement (item "100. Gains (losses) on disposal / repurchase of: b) financial assets measured at fair value through other comprehensive income).

Financial assets represented by equity instruments, following initial recognition, continue to be measured at fair value, with changes booked to the appropriate equity reserve net of the associated tax effect (item "120 - Valuation reserves"). The amounts recognised in this reserve will never be transferred to the income statement, even in the event of a sale; in this case, a reclassification is made to another equity item (item "150 - Reserves"). Furthermore, no write-down to the income statement is envisaged for these assets as they are not subject to any impairment process. The only component of these equity securities that is recognised in the income statement is represented by the related dividends (item "70 - Dividends and similar income").

For equity securities included in this category, which are not listed on an active market, the cost criterion is used as an estimate of the fair value only on a residual basis and limited to rare circumstances, i.e., if none of the measurement models previously mentioned can be applied, or if there is a wide range of possible fair value measurements, in which case the cost represents the most meaningful estimate.

For further information on the criteria for determining the fair value, please refer to Section "A.4 Information on Fair Value" of Part A of these Notes to the consolidated financial statements.

BANCA MONTE DEI PASCHI DI SIENA

Financial assets measured at fair value through other comprehensive income - both in the form of debt securities and loans - are subject to verification of the significant increase in credit risk (impairment) as required by IFRS 9, similar to assets measured at amortised cost, with the consequent recognition in the income statement of a value adjustment to cover expected losses. In summary, an estimated loss at one year is recognised, at the initial recognition date and at every subsequent reporting date, on instruments classified in stage 1 (i.e., on financial assets at the origination date, if not impaired, and on instruments for which there has not been a significant increase in credit risk compared to the initial recognition date). Instead, for instruments classified in stage 2 (performing, for which there has been a significant increase in credit risk compared to the initial recognition date) and stage 3 (non-performing exposures) an expected loss is recorded for the entire residual life of the financial instrument. Conversely, equity securities are not subject to the impairment test.

For more detailed information, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

d) revenue recognition criteria

As regards financial instruments represented by debt instruments:

&nbsp;&nbsp;&nbsp;&nbsp;· interest
 is recorded under item "10 - Interest income and similar revenues";

&nbsp;&nbsp;&nbsp;&nbsp;· expected
 credit losses recognised for the year are accounted for in item "130 - "Net impairment
 (losses)/reversals for credit risk of: (b) financial assets measured at fair value through
 other comprehensive income as a balancing entry to the specific equity valuation reserve
 ("120. Valuation reserves"); the same applies to recoveries of part or all of
 the write-downs made in previous financial years;

&nbsp;&nbsp;&nbsp;&nbsp;· at
 the moment of derecognition, valuations accumulated in the specific equity reserve are reversed
 to the income statement under item "100 - Gains/losses from disposal/repurchase of:
 b) financial assets measured at fair value through other comprehensive income".

As regards financial instruments represented by equity instruments, for which the "OCI election" was exercised, only dividends are booked to the income statement (item "70 - Dividends and similar income").

e) derecognition criteria

Financial assets are derecognised from financial statements: i) upon expiration of the contractual rights on the cash flows resulting from the assets, or ii) when the financial assets are sold and all related risks/benefits are transferred. However, if a relevant portion of the risks and benefits associated with disposed financial receivables have been maintained, they continue to be posted in the financial statements, even if legal ownership of the asset has been effectively transferred.

If it is not possible to ascertain a substantial transfer of risks and benefits, the financial assets are derecognised when control of the assets has been surrendered. Conversely, if such control has been maintained, even partly, the assets should continue to be recognised to the extent of residual involvement, as measured by the exposure to the changes in value of the assets disposed and to the changes in their cash flows.

Finally, disposed financial assets are derecognised if the contractual rights to receive the cash flows are maintained and a contractual obligation is simultaneously undertaken to pay only said flows, without a significant delay, to third parties.

f) reclassification criteria

According to the general rules established by IFRS 9 on reclassifying financial assets (with the exception of equity securities, for which reclassification is not permitted), reclassifications to other categories of financial assets are not permitted unless the entity changes its Business Model for managing financial assets. In these cases, which are expected to be highly infrequent, financial assets may be reclassified from the category 'measured at fair value through other comprehensive income' to one of the other two categories envisaged by IFRS 9 (financial assets measured at amortised cost or financial assets measured at fair value through profit or loss). The transfer value is represented by the fair value at the time of the reclassification and the effects of the reclassification apply prospectively from the reclassification date. If assets are reclassified from this category to the amortised cost category, the cumulative gain (loss) recorded in the valuation reserve is adjusted to the fair value of the financial asset at the reclassification date. If, instead, assets are reclassified to the fair value through profit or loss category, the cumulative gain (loss) recorded previously in the valuation reserve is reclassified from shareholders' equity to profit (loss) for the year.

For more information on classification criteria for financial instruments, please refer to the section "Classification criteria for financial assets" below.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

3 Financial assets measured at amortised cost

a) classification criteria

Included in this category are financial assets represented by loans and debt securities held according to a business model whose objective is achieved through the collection of contractually stipulated cash flows (business model "Hold to collect") and whose contractual flows represent only principal and interest payments on the principal to be repaid (SPPI test passed).

The portfolio of financial assets measured at amortised cost includes:

· the
 entire portfolio of loans in the various technical forms that satisfy the above requirements
 (including repurchase agreements), stipulated with both banks and customers;

· debt
 securities, mainly government bonds, which satisfy the above requirements;

· operating
 receivables connected with providing financial assets and services as defined in the Consolidated
 Banking Law and the Consolidated Law on Finance (e.g., for distribution of financial products
 and servicing activities);

· receivables
 originating from financial lease transactions which, in accordance with IFRS 16, are recognised
 as credits as they transfer risks and benefits to the lessee, including the values referring
 to assets pending financial leasing, such as properties under construction;

· loans
 to banks and central banks other than "at sight".

b) recognition criteria

Financial assets are initially recognised on the date of settlement, with reference to debt securities, and on the date of disbursement, with reference to loans. In particular, as far as loans are concerned, the disbursement date normally coincides with the contract execution date. If this coincidence does not occur, at the time of the contract execution, a commitment to disburse funds is recorded, which closes on the date of disbursement of the loan. The initial recognition is based on the fair value of the financial instrument (which is normally equal to the amount disbursed or price of underwriting), inclusive of the costs/income directly related to the individual instruments and determinable as of the transaction date, even if such costs/income are settled at a later date. This does not include costs which have these characteristics but are subject to repayment by the debtor or which can be encompassed in ordinary internal administrative expenses.

Repurchase agreements with forward repurchase or resale obligation are recorded in the Financial Statements as funding or lending transactions. In particular, spot sales and forward repurchase transactions are recognised in the financial statements as payables for the spot amount received, while spot purchase and forward resale transactions are recognised as receivables for the spot amount paid.

c) measurement criteria and revenue recognition criteria

Following initial recognition, financial assets booked to this category are measured at amortised cost using the effective interest rate criterion. This interest is recorded under item "10 - Interest income and similar revenues". The gross book value is equal to the first-time recognition value:

· less
 principal repayments;

· less/plus
 amortisation – calculated using the effective interest rate method – of the difference
 between the amount disbursed and the amount repayable upon maturity, typically attributable
 to the costs/income directly charged to each receivable.

The effective interest rate is identified by calculating the rate that equals the present value of future flows of the asset, in terms of principal and interest, to the amount disbursed including the costs/income related to the asset. The estimate of cash flows must take into account all contractual clauses that may affect amounts and maturities, without considering the expected losses on the asset. This accounting method, using a financial logic, makes it possible to distribute the economic effect of all transaction costs, commissions, premiums or discounts considered an integral part of the effective interest rate over the expected residual life of the asset. The amortised cost method is not used for short-term receivables, for which the effect of applying a discounting approach is negligible, for loans without a defined maturity, and for revocation loans. For more details on amortised cost, please refer to the paragraph "amortised cost" included in the paragraph "Other significant accounting practices" below.

The book value of financial assets at amortised cost is adjusted to take into account any provision to cover expected losses (expected credit losses). For each reporting period, the aforementioned assets are subject to impairment testing with the aim of estimating expected losses in value for credit risk (ECL - Expected Credit Losses).

BANCA MONTE DEI PASCHI DI SIENA

These losses are recorded in the income statement under item "130 - Net impairment (losses)/reversals for credit risk". If there is no reasonable expectation of recovery, the gross exposure is written-off: in this case, the gross exposure will be reduced by the amount deemed non-recoverable, as a balancing entry to the reversal of the provision to cover expected losses and impairment losses in the income statement, for the part not covered by the provision. For further details on the accounting treatment of "write-offs", please refer to the following paragraph on "derecognition criteria".

More specifically and as better explained in the paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments", the impairment model classifies the assets into three separate stages (stage 1, stage 2, stage 3), according to trends in the debtor's creditworthiness, each of which has different criteria for measuring expected losses:

· stage
 1: includes performing financial assets for which there has been no significant increase
 in credit risk with respect to the initial recognition date, or for which credit risk is
 considered low. Impairment is based on an estimate of expected loss over a one-year time
 horizon (expected loss that would result from default events on financial assets that are
 deemed possible within one year of the reference date);

· stage
 2: includes performing financial assets that have undergone a significant deterioration in
 credit risk with respect to initial recognition. Impairment is measured as the estimated
 expected loss with reference to a timespan equal to the residual life of the financial asset;

· stage
 3: represents non-performing financial assets (probability of default equal to 100%), to
 be assessed based on an estimate of expected loss over instrument's life.

For performing assets, expected losses are determined according to a collective process based on certain risk parameters represented by the probability of default (PD), the loss rate in the event of default (LGD, Loss Given Default) and the exposure value (EAD, Exposure At Default) deriving from internal models for the calculation of regulatory credit risk, appropriately adjusted in order to take into account the specific requirements envisaged by accounting regulations.

For non-performing assets, i.e., assets for which, in addition to a significant increase in credit risk, objective evidence of impairment has been found, impairment losses are quantified based on an analytical or lump-sum measurement process by homogeneous risk categories, aimed at determining the present value of expected future recoverable cash flows, discounted using the original effective interest rate or a reasonable approximation thereof, if the original interest rate cannot be directly determined.

The non-performing asset category includes exposures assigned with the status of bad loan, unlikely to pay, or past-due/ overdrawn for more than ninety days, in accordance with the definitions established by supervisory regulations in effect (Bank of Italy Circular no. 272 "Accounts Matrix") and referred to in Bank of Italy Circular no. 262, as these definitions are deemed consistent with accounting regulations envisaged in IFRS 9 for objective evidence of impairment.

In the event of sale scenarios, the cash flows are calculated based not only on the forecast of the recoverable amounts through internal management activity, but also on the basis of the flows that can be obtained from any sale on the market, according to the approach described in the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

In addition, the expected cash flows include forecasts for collection timing and the realisable value of any guarantees as well as the costs connected with obtaining and selling the guarantee. In this regard, in the event that the Group uses a third party to collect non-performing loans, the fees paid to the outsourcer for activities strictly related to collection are considered for the purpose of estimating impairment losses. These costs are considered for both non-performing and performing exposures, if for the latter it is probable that in the event of a transfer to bad loans, the collection activities will be assigned to third parties.

For fixed-rate positions, the original effective rate used to discount the expected cash flows from collection, calculated as described above, remains unchanged over time even if there is a change in the contractual rate due to the debtor's financial difficulties. For floating-rate positions, the rate used to discount cash flows is updated for the indexing parameter (e.g., Euribor), while keeping the fixed spread at the original level.

The financial asset's original value is restored in subsequent financial years when there is an improvement in the exposure's creditworthiness compared to that which had led to the previous write-down. The reversal is posted to the same item in the income statement ("130 - Net impairment (losses)/reversals for credit risk") and may not, in any case, exceed the amortised cost that the asset would have had without prior adjustments. For more detailed information on the impairment model, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

For non-performing exposures, accrued interest is calculated based on amortised cost, i.e., using the value of the exposure - calculated with the effective interest rate - adjusted for expected losses.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

In case of management of non-performing exposures, or of transfer from stage 3 to stage 2 or stage 1, interest will once again be calculated based on the gross exposure value; the positive difference is recognised, as the recovery of previous impairment losses, as an offsetting entry to item "130. Net impairment (losses)/reversals for credit risk". The same accounting entry is made in the event that the interest collected is greater than the expected cash flows.

Finally, for non-performing exposures that do not accrue contractual interest, such as bad loans, this interest corresponds to the progressive release of the discounting of collection forecasts, as the effect of the simple passage of time.

d) derecognition criteria

Financial assets are subject to derecognition when: (i) the contractual rights to the cash flows arising therefrom have expired, or when (ii) the financial assets are sold with the substantial transfer of all risks and benefits resulting from the ownership. However, if a relevant portion of the risks and benefits associated with disposed financial receivables have been maintained, they continue to be posted in the financial statements, even if legal ownership of the asset has been effectively transferred.

If it is not possible to ascertain a substantial transfer of risks and benefits, the financial assets are derecognised when control of the assets has been surrendered. Conversely, if such control has been maintained, even partly, the assets should continue to be recognised to the extent of residual involvement, as measured by the exposure to the changes in value of the assets disposed and to the changes in their cash flows.

Disposed financial assets are derecognised if the contractual rights to receive the cash flows are maintained and a contractual obligation is simultaneously undertaken to pay only said flows, without a significant delay, to third parties.

Finally, assets subject to substantial changes, as more fully described in the paragraph "Renegotiations", are derecognised.

With regard to non-performing financial assets, the asset may be derecognised following the acknowledgement of the non-recoverability of the exposure and the resulting closure of the collection process (definitive derecognition), and entails the reduction of the nominal value and of the gross book value of the loan. This case occurs when settlement agreements have been reached with the debtor that entail a reduction in the loan (resolution agreement) or in the presence of specific situations such as, for example:

· a
 judgement has been handed down by the court that declares the loan all or partially settled;

· the
 conclusion of bankruptcy or enforcement proceedings against both the principal debtors and
 guarantors;

· the
 conclusion of all possible judicial and extra-judicial actions for credit collection;

· the
 completion of a mortgage lien on an asset under guarantee, with the resulting derecognition
 of the loan guaranteed by the property under lien, in the absence of further specific guarantees
 or other actions that can be taken to recover the exposure.

These specific situations may result in a full or partial derecognition of the exposure but do not necessarily imply a waiver of the legal right to collect the loan.

In addition, non-performing financial assets may be derecognised following their "write-off", upon acknowledgement that there are no reasonable expectations of collection, while continuing with actions aimed at their recovery. This write-off is carried out in the financial year in which the loan, or part of it, is considered non-recoverable - despite not closing the legal procedure - and can take place before the legal actions taken against the debtor and guarantors for credit collection. It does not imply the waiver of the legal right to collect the loan and is made if the loan documentation contains reasonable financial information indicating that the debtor will be unable to repay the loan amount. In this case, the gross nominal value of the loan remains unchanged, but the gross book value is reduced by an amount equal to the amount to be written off, which may represent the full exposure or a portion of it. The write-off amount cannot be subjected to subsequent write-backs following an improvement in collection forecasts, rather only as the result of amounts effectively collected.

In the event of derecognition, the difference between the book value of the asset at the derecognition date and consideration received, inclusive of any assets received net of any liabilities assumed, must be recognised in the income statement, under item "100. a) Profits/(Losses) from disposal or repurchase of: financial assets measured at amortised cost".

e) reclassification criteria

According to the general rules established by IFRS 9 on reclassifying financial assets, reclassifications to other categories of financial assets are not permitted unless the entity changes its Business Model for managing financial assets. In these cases, which are expected to be highly infrequent, financial assets may be reclassified from the category 'measured at amortised cost' to one of the other two categories envisaged by IFRS 9 (financial assets measured at fair value through other comprehensive income or financial assets measured at fair value through profit or loss).

BANCA MONTE DEI PASCHI DI SIENA

The transfer value is represented by the fair value at the time of the reclassification and the effects of the reclassification apply prospectively from the reclassification date. Gains or losses resulting from the difference between the amortised cost of the financial asset and the associated fair value are booked to the income statement in the case of reclassification under "Financial assets measured at fair value through profit or loss" and, under equity, in the appropriate valuation reserve, in the case of the reclassification under "Financial assets measured at fair value through other comprehensive income".

For more information on classification criteria for financial instruments, please refer to the section "Classification criteria for financial assets" below.

4 Hedging transactions

The Group availed itself of the possibility, envisaged on first-time application of IFRS 9, to continue to use all of the provisions of IAS 39 (carved out version endorsed by the European Commission) as regards hedge accounting for all types of hedge (both micro and macro hedges).

a) reclassification criteria - type of hedge

Risk-hedging transactions are aimed at offsetting any potential losses on a certain financial instrument or group of financial instruments that may arise from a specific risk should it occur. The following types of hedging are included:

· fair
 value hedges, which are intended to hedge the exposure to changes in fair value of a recognised
 asset or liability that are attributable to a particular risk. These include generic fair
 value hedges (macro-hedges) having the objective of reducing fluctuations in fair value due
 to interest rate risk, of a monetary amount, arising from a portfolio of financial assets
 and liabilities (including core deposits). Generic hedges cannot be used to cover net amounts
 resulting from the offsetting of assets and liabilities;

· cash
 flow hedges, which are intended to hedge the exposure from variability in future cash flows
 attributable to particular risks associated with a recognised asset or liability or a transaction
 that is deemed highly likely;

· hedges
 of a net investment in a foreign operation, which refers to hedging the risks of an investment
 in a foreign operation denominated in a foreign currency.

Only instruments that involve a counterparty outside the Group can be designated as hedging instruments. Given the choice exercised by the Group of making use of the possibility to continue to fully apply the rules of IAS 39 to hedging relationships, it is not possible to recognise capital securities under Financial assets measured at fair value through other comprehensive income (FVOCI) as hedged for price or exchange risk, as these instruments do not impact the income statement, even in case of sale (other than for the dividends recognised in the financial statement).

b) recognition criteria

Financial hedging derivatives, just as for all derivatives, are initially recognised at fair value on the date the contract is stipulated and are classified, as a function of their positive or negative value, in the asset item "50. Hedging derivatives" or in the liability item "40. Hedging derivatives".

A relationship qualifies as a hedge, and is represented in the accounts, if and only if all the following conditions are met:

· at
 the start of the hedge there is a formal designation and documentation of the hedging relationship,
 the company's objectives in managing the risk and the strategy in carrying out the
 hedge. This documentation includes the identification of the hedging instrument, the hedged
 item or transaction, the nature of the hedged risk and how the company assesses the effectiveness
 of the hedging instrument in offsetting the exposure to changes in the fair value of the
 hedged element or cash flows attributable to the hedged risk;

· the
 hedge is expected to be highly effective;

· the
 planned transaction subject to hedging, for cash flow hedges, is highly probable and presents
 an exposure to changes in cash flows that could affect the income statement;

· the
 effectiveness of the hedge can be reliably measured;

· the
 hedge is valued on the basis of a continuity criterion and is considered highly effective
 for all the reference financial years for which the hedge was designated.

Hedge effectiveness depends on the extent to which changes in the fair value or expected cash flows of the hedged item are offset by corresponding changes in the hedging instrument. Therefore, effectiveness is measured by comparing these changes, taking into account the intent pursued by the company at the time the hedge is put in place. With reference to the hedged risk, the hedging is effective (within the 80% to 125% window) when the changes in fair value (or in the cash flows) of the hedging instrument offset the changes in the hedged item almost entirely.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Effectiveness is assessed at year-end or at interim reporting dates by using:

· prospective
 tests, which justify the application of hedge accounting, as they demonstrate its expected
 effectiveness;

· retrospective
 tests, which show how effective the hedging relationship has been in the period under review
 (i.e. measure how far the actual results have deviated from a perfect hedge).

c) measurement criteria and revenue recognition criteria

Hedging derivatives are measured at fair value. In particular:

**Fair value hedging**

In the case of specific fair value hedging, the change in the fair value of the hedged element (for changes generated by the underlying risk factor) adjusts the book value of the hedged element and is immediately recognised, regardless of the category to which the hedged asset or liability belongs, along with the change in the fair value of the hedging instrument, in income statement item "90 - Net profit (loss) from hedging". Any difference, i.e. partial ineffectiveness of the hedging derivatives, reflects their net P&L impact.

If the hedging relationship is suspended, the hedged instrument, if not derecognised from financial statements, is returned to the original valuation criterion of the class to which it belongs. Specifically for instruments measured at amortised cost, the cumulative revaluations/write-downs recorded as a result of changes in the fair value of the hedged risk are recognised in the income statement in interest income and expense over the residual life of the hedged item, based on the effective interest rate. Instead, if the suspension of the hedge is accompanied by the derecognition from financial statements of the hedged item (e.g., sale or early repayment), the fair value portion not yet amortised is immediately recognised in the income statement under the item "90 - Net profit (loss) from hedging".

With regard to generic fair value hedging transactions (macro-hedges), changes in fair value of the hedged risk of assets and liabilities subject to hedging are recorded in the balance sheet, respectively, under item "60 - Change in value of macro-hedged financial assets" or "50 - Change in value of macro-hedged financial liabilities". The offsetting item for changes in value in both the hedged element and the hedging instrument, similar to specific fair value hedges, is item "90 - Net profit (loss) from hedging" in the income statement. In the event of termination of a generic fair value hedging relationship, the cumulative revaluations/write-downs recorded in the above-mentioned balance sheet items are recognised in the income statement under interest income or expense for the residual duration of the original hedging relationships, subject to verification that the prerequisites have been met.

**Cash flow hedging**

The changes in fair value of the hedging instrument are posted to a specific shareholders' equity reserve (item "120 - Valuation reserves") with reference to the effective portion of the hedge, while fair value changes of the hedging instrument that are not offset by changes in the hedged item's cash flows are posted to the income statement under item "90 - Net profit (loss) from hedging". If the cash flow hedge is no longer considered effective, or the hedging relationship is terminated, the total amount of profits or losses on the hedging instrument, already recognised under "Valuation reserves", is recognised in the income statement only when the hedging transaction will take place or when it is no longer considered possible for the transaction to occur; in the latter circumstance, the profits or losses are transferred from the shareholders' equity item to the income statement item "90. Net profit (loss) from hedging".

**Hedges of foreign currency investments**

Hedges of foreign currency investments are accounted for similarly to cash flow hedges.

d) derecognition criteria

If the tests do not confirm hedge effectiveness, both retrospectively and prospectively, hedge accounting is discontinued as described above. In this circumstance, the hedging derivative contract is reclassified under "Financial assets measured at fair value through profit or loss" and in particular under financial assets held for trading.

BANCA MONTE DEI PASCHI DI SIENA

In addition, the hedging relationship ceases when:

· the
 derivative expires, is extinguished or exercised;

· the
 hedged item is sold, expires, or is repaid;

· the
 hedge no longer fulfils the aforementioned hedge accounting requirements;

· the
 company revokes the designation of the hedging relationship.

As an exception to the provisions of IAS 39, discontinuing is not carried out following the updating of the documentation on the hedging relationship (due to the change in the hedged risk, the hedged underlying, the hedging derivative or the method for verifying the resilience of the hedge) in the event of changes necessary as a direct consequence of the Reform of the reference indices for the determination of interest rates (IBOR Reform) and carried out on an equivalent economic basis.

5 Equity investments

a) classification criteria

This item includes equity interests held in associates or joint ventures, which are recognised in accordance with the equity method.

Companies subject to significant influence are considered *<u>associates.</u>* It is assumed that the company exercises significant influence in all cases in which it holds at least 20% of the voting rights (including "potential" voting rights) and, regardless of the interest held, if the company has the power to participate in management and financial decisions of the investee, by virtue of specific legal connections, such as shareholders' agreements, with the purpose for the agreement's participants to ensure representation in management bodies and to ensure management unity, without having control.

Entities are considered to be *<u>jointly controlled companies</u>* when control is shared between the Group and one or more other parties based on contracts or agreements of another nature, according to which financial and management decisions with strategic purposes are made through the unanimous consent of all parties that share control. This occurs when the voting rights and control of the economic activity of the investee are shared equally by Banca MPS and another entity. In addition, a joint investment is defined as an equity investment in which, even in the absence of an equal share of voting rights, the unanimous consent of all parties sharing control is required for the making of resolutions concerning the relevant activities.

For further information, please refer to section 7.6 "Key considerations and assumptions to determine the existence of joint control or significant influence" in Part B – "Assets" of these Notes to the financial statements.

b) recognition criteria

Initial recognition of financial assets classified in this category occurs on the settlement date, for a total value equal to the cost, including any goodwill paid at the time of acquisition, which is therefore not subject to independent and separate recognition.

c) measurement criteria and revenue recognition criteria

Equity investments are valued using the synthetic equity method. This method envisages that the initial book value is subsequently increased or decreased to reflect the Group's share of the total profits and losses of the investee realised after the acquisition date as an offsetting entry to the income statement item "250 - Gains (losses) on investments".

If it becomes necessary to recognise impairment deriving from changes in the investee's net equity that the investee has not recognised in the income statement (e.g., changes from the fair value measurement of financial assets measured at fair value through other comprehensive income and from the measurement of actuarial gains/losses on defined benefit plans), the portion of these changes attributable to the Group is recognised directly in the equity item "120 - Valuation reserves".

In applying the equity method, the most recent available financial statements of the associate/jointly controlled company are used, appropriately adjusted to reflect any significant events or transactions that took place between the date of these financial statements and the reporting date. If the investee uses accounting standards that differ from those applied by the Group, the investee's financial statements are modified.

After applying the equity method, the equity investment is subject to an impairment test if there is objective evidence of a loss in value that could affect the investee's cash flows and therefore the recoverability of the investment's carrying amount.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

If evidence of impairment indicates that there may have been a loss in value of an equity investment, then the recoverable value of the equity investment (which is the higher of the fair value, less costs to sell, and the value in use) should be estimated. The value in use is the present value of the future cash flows expected to be derived from the equity investment, including those arising from its final disposal. Should the recoverable value be less than its book value, including any good-will, the difference is recognised immediately in the income statement under item "250 - Gains (losses) on investments". Should the reasons for impairment no longer apply as a result of an event occurring after the impairment was recognised, reversals of impairment losses are charged to the same item in the income statement, up to the amount of the previously recognised impairment.

For more detailed information, please refer to the paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on equity investments".

The dividends from these equity investments are recognised in the Parent Company's income statement, regardless of whether it was generated by the investee before or after the acquisition date. In the consolidated financial statements, these dividends are shown as a reduction in the book value of the investee.

The result of the disposal of equity investments measured according to the equity method is recognised in the income statement under item "250 - Gains (losses) on investments", while the result of the disposal of equity investments other than those measured at equity is recognised in the income statement under item "280 - Gains (losses) on disposals of investments".

d) derecognition criteria

Equity investments are derecognised upon maturity of the contractual rights on the cash flows resulting from the assets or when all related risks/benefits associated to them are transferred. If there is a situation that results in loss of significant influence or of joint control, any residual equity investment is reclassified in the IFRS 9 financial asset portfolios. The derecognition of the item "70. Equity investments" may also occur in the presence of circumstances leading to achieving a situation of control. For further details, please refer to the information provided in the section "16 - Other Information, Business Combinations" below.

6 Property, plant and equipment

a) classification criteria

Property, plant and equipment include land, properties for business use, investment properties, systems, furnishings and fixtures, equipment of any type and artworks.

Operating properties are properties owned by the Group and used in the production or supply of goods and services or for administrative purposes (classified as "Property, plant and equipment used in the business" and recognised in accordance with IAS 16), whereas investment properties are those owned by the Group for the purpose of collecting rents and/or held for appreciation of capital invested (classified as "Property, plant and equipment held for investment" and follow the rules set forth in IAS 40).

This item also includes tangible assets classified according to IAS 2 "Inventories", which mainly relate to assets arising from the enforcement of guarantees or from the purchase at auction that the company intends to sell in the near future, without carrying out significant restructuring work, and which do not qualify for classification in the previous categories.

Property, plant and equipment includes those assets associated with finance lease contracts that were returned to the company, as lessor, following contract termination and the simultaneous closure of the original credit position.

This category also includes i) rights of use acquired through leasing, both financial and operating, relating to property, plant and equipment that the Group uses as lessee in the business or for investment purposes, ii) assets granted under operating leases (for lessors), as well as iii) improvements and incremental expenses incurred on owned assets and third-party assets, the latter provided they are identifiable and separable (e.g. ATM).

b) recognition criteria

Property, plant and equipment are originally recognised at cost, which includes the purchase price and any additional charges directly attributable to the purchase and installation of the assets.

Non-recurring expenditures for maintenance which involve an increase in future economic benefits are booked as an increase in the value of the assets, while expenses for ordinary maintenance are booked to the income statement.

BANCA MONTE DEI PASCHI DI SIENA

c) measurement criteria and revenue recognition criteria

Subsequent to initial recognition, property, plant and equipment for business use are valued at cost, as defined above, net of cumulative depreciation and any cumulative impairment, with the exception of:

· real
 estate used in the business for which the Group has adopted the option allowed by IAS 16,
 to measure them on the basis of the revaluation method;

· properties
 held for investment purposes, for which the Group has adopted the option, permitted by IAS
 40, of measuring them on the basis of the fair value method;

· property,
 plant and equipment falling under IAS 2 are valued at the lower of the cost and the net realisable
 value, represented by the estimated sale price less the presumed costs for completion and
 the other costs necessary to make the sale.

The revaluation method requires that assets be carried at a restated amount, equal to the fair value at the date of revaluation, less any accumulated depreciation and value adjustments. More specifically:

· if
 the carrying amount has increased following a revaluation, the increase is recognised with
 an offsetting entry in liability item "120 - Valuation reserves", with the exception
 of write-backs of previous impairment recognised in the income statement. In this case the
 increase is recognised in the income statement in item "260 - Net gains (losses) on
 property, plant and equipment and intangible assets measured at fair value" within
 the limits of the above-mentioned impairment;

· if
 the carrying amount of an asset has decreased following a revaluation, the decrease is recognised
 in the income statement in item "260 - Net gains (losses) on property, plant and equipment
 and intangible assets measured at fair value" unless the asset has been subject to
 a previous revaluation, in which case the impairment is recognised as a reduction of the
 liability item "120 - Valuation reserves", for up to its total amount.

The Group revalues the properties held for business use every six months, using appraisal reports prepared by independent experts.

Property, plant and equipment held for business use, including operating properties measured at the "restated value", are systematically depreciated over their useful life. The depreciable amount, equal to cost (or the net revalued value, if the revaluation method is adopted for valuation purposes) less the residual value (or the amount normally expected to be obtained from disposal, after deducting expected costs to sell, if the asset is already in the conditions, including in relation to age, expected at the end of its useful life), is broken down on a straight-line basis throughout the useful life of the asset, adopting the straight-line approach as the depreciation method. The useful life, subject to periodic review to identify any estimates significantly different from the previous ones, is defined as:

· the
 period of time in which it is expected that an asset will be usable by the company or,

· the
 quantity of products or similar units that the company expects to obtain from the use of
 the asset.

Depreciation begins when the asset is available for use and ends at the most recent date between that on which the asset is classified as held for sale and that of derecognition. For property, plant and equipment valued at cost, depreciation does not end when the asset becomes unused or is withdrawn from active use, unless the asset has already been fully depreciated. If a property for business use becomes unusable or is withdrawn from active use, it is necessary to promptly evaluate the change in the intended use and the resulting reclassification to property held for investment purposes or assets held for sale. In these cases, depreciation is discontinued.

The following are not amortised:

· land,
 either on its own or included in the property value, is not subject to depreciation as it
 has an indefinite useful life;

· works
 of art as their value is generally bound to increase over time;

· investment
 properties, as required by IAS 40, which are measured at fair value with a balancing entry
 in the Income Statement and therefore must not be depreciated;

· tangible
 assets recognised in accordance with IAS 2.

For leasehold improvements, represented by identifiable and separable tangible assets, depreciation is determined according to the useful life of these assets.

Periodic depreciation is posted to the income statement under item "210 - Net Value Adjustments/recoveries on Property, Plant and Equipment".

The presence of any signs of impairment, or indications that assets might have lost value, shall be tested at the end of each reporting period. Should there be indications of impairment, for properties that are owned, with the exception of investment property, and those that are leased, a comparison is made between the carrying amount of the asset and the asset's recoverable value, i.e. the higher of the fair value, less any costs to sell, and the relevant value in use, which is the present value of the future cash flows generated by the asset.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Where the reasons for impairment cease to exist, a reversal is made, which shall not exceed the value that would have been determined (net of depreciation) had no impairment loss been recognised for the asset in prior periods.

Under the fair value method, used for property investments, the positive or negative change in fair value is recognised in the Income Statement in item "260 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value". For the measurement of the fair value of the property assets in question, a fair value estimation process is carried out at least half-yearly.

For the methods used to measure the fair value and the periodicity of recalculation of real estate assets, please refer to the criteria illustrated in "Part A.4 - Information on fair value" below.

Property, plant and equipment falling under IAS 2 are valued in the same way as inventories and, therefore, at the lower of the cost at initial recognition and the net realisable value, represented by the estimated sale price less the presumed costs for completion and the other costs necessary to make the sale. Any losses in value are posted to the income statement under item "210 - Net Value Adjustments/recoveries on Property, Plant and Equipment".

Property, plant and equipment represented by the right of use of assets under lease agreements.

Pursuant to IFRS 16, a "lease" is a contract, or part of a contract, which, in exchange for a consideration, transfers the right of use (RoU) of an asset (the underlying asset) for a period of time.

The right-of-use asset acquired through the lease is recognised in the financial statements at the start date of the contract, i.e. at the date on which the asset is made available to the lessee and is initially valued at cost. This cost includes:

· the
 initial measurement of the lease liability, net of VAT;

· any
 lease payments made by the start date, net of any lease incentives;

· any
 initial direct costs incurred, understood as incremental costs incurred to obtain the lease
 that would not have otherwise been incurred (e.g. brokerage commissions and success fees);

· estimated
 costs of refurbishment and dismantling, in cases where the contract provides for them.

In connection with the right of use asset, the lessee recognises a liability for the lease under item "10 - Financial liabilities measured at amortised cost" corresponding to the present value of payments due for the lease. The discount rate used is the implicit interest rate, if it can be determined; otherwise, the lessee's marginal borrowing rate is used. When there is no implicit interest rate in the contract, the Group uses, as the discount rate, the maturity curve aligned to the individual lease agreements, consisting of the 6M Euribor base rate and the blended funding spread, the latter equal to the weighted average of the funding curves for unsecured senior bonds and for protected and privileged deposits. The adoption of this curve is in line with the characteristics of leasing agreements, which typically provide for fixed rental fees throughout the duration of the contract, and of the underlying assets. The discount rate so defined takes into account the creditworthiness of the tenant, the duration of the lease, the asset underlying the right of use and the economic environment, identified in the Italian market, where the transaction takes place and therefore it is in line with the requirements of the standard.

The lessee may opt to recognise the payments due for the lease directly as a charge in the income statement, on a straight-line basis over the life of the lease agreement or according to another systematic method that represents the manner in which the economic benefits are used in the case of:

· short-term
 leases (equal to or less than 12 months) that do not include a purchase option of the asset
 leased by the lessee;

· leases
 in which the underlying asset is of modest value<sup>61</sup>.

The MPS Group has chosen to recognise the cost in the income statement on a straight-line basis over the life of the lease contract.

The lease term is determined taking into account:

· periods
 covered by an option to extend the lease, if the exercise of the same is reasonably certain;

· periods
 covered by a lease termination option, if the exercise of said option is reasonably certain.

61 The significance threshold identified is EUR 5,000.

BANCA MONTE DEI PASCHI DI SIENA

During the term of the lease, the lessee must:

· measure
 the right of use at cost, net of accumulated amortisation<sup>62</sup> and cumulative value
 adjustments determined and recognised on the basis of the provisions of IAS 36 "Impairment
 of assets", adjusted to take into account any restatements of the lease liabilities;

· increase
 the liability deriving from the lease transaction following the accrual of interest expense
 calculated at the implicit interest rate of the lease, or, alternatively, at the marginal
 borrowing rate and reduce it for payments of principal and interest.

In the event of changes in the payments due for the lease, the liability must be restated; the impact of the recalculation of the liability is recognised as a contra-entry to the asset consisting of the right of use.

d) derecognition criteria

Property, plant and equipment are derecognised from the balance sheet upon their disposal or when the assets are permanently withdrawn from use and no future economic benefits are expected as a result of their disposal.

Any gains and losses deriving from the disposal or sale of property, plant and equipment are calculated as the difference between the net sale price and the book value of the asset and are recognised in the income statement under item "280 - Gains (losses) on disposals of investments".

In the case of the sale of a property for business use, the corresponding valuation reserve accrued is transferred to other components of Shareholders' equity, specifically liability item "150 - Reserves", with no reversal to profit or loss.

The right of use assets, accounted for according to IFRS 16, are derecognised at the end of the lease term.

7 Intangible assets

a) classification criteria

Intangible assets are non-monetary assets, identifiable and without physical substance, originating from legal or contractual rights, held for use over a multi-year or indefinite period, from which it is probable that future economic benefits will flow and whose cost can be reliably measured.

Intangible assets include:

· technology-related
 intangible assets including software licenses, internal capitalised costs, projects and licenses
 under development; in particular, internally incurred costs for software project development
 are intangibles recognised as assets if, and only if: a) the cost for development can be
 measured reliably, b) the entity intends and is financially and technically able to complete
 the intangible asset and either use it or sell it, c) the entity is able to demonstrate that
 the asset will generate future economic rewards. Capitalised costs for software development
 only include the expenses that are directly attributable to the development process;

· customer
 relationship intangible assets, represented by the value of assets under management/custody
 and core deposits in the event of business combinations;

· goodwill,
 equal to the positive difference between the consideration paid for a business combination
 and the fair value of the assets and liabilities pertaining to an acquired company, as best
 specified in paragraph "16 – Other information, Business combinations".

b) recognition criteria

They are recognised at cost, adjusted by any additional charges only if it is probable that the future economic benefits that are attributable to the asset will flow to the entity and if the cost of the asset can be measured reliably. The cost of intangible assets is otherwise posted to the income statement in the financial period it was incurred.

c) measurement criteria and revenue recognition criteria

The cost of intangible assets with a finite useful life is amortised on a straight-line basis over their useful life. In particular, for intangible assets originating from software developed internally and acquired from third parties, amortisation begins when the applications are completed and become operational. Instead, intangible assets with indefinite useful life are not amortised but the book value is periodically assessed for impairment.

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| | |
|:---|:---|
| 62 | In determining the amortisation period, account must be taken of whether or not the transfer of ownership of the underlying asset is envisaged at the end of the lease term or whether the cost of the asset consisting of the right of use reflects the fact that or not that the lessee will exercise the purchase option. In the first case, the amortisation period coincides with the useful life of the underlying asset, determined at the start date. In the second case, the amortisation period coincides with the useful life of the asset consisting of the right of use or, if shorter, the duration of the lease. |

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

At each annual and interim reporting date, the recoverable amount of the assets is estimated where there is evidence of impairment. The amount of the loss recognised in the income statement is equal to the difference between the book value and the recoverable amount of the assets.

The goodwill recognised is not subject to amortisation, but its book value is tested annually (or more frequently) when there are signs of impairment. To this end, the cash flow generating units to which goodwill is attributable are identified. These units represent the lowest level at which goodwill is monitored for internal management purposes and should not be larger than an operating segment as defined by IFRS 8.

The amount of the impairment loss is determined by the difference between the book value of goodwill and its recoverable amount, if lower. Said recoverable amount is the higher of the cash generating unit's fair value, less costs to sell, and its value in use. Value in use is the present value of future cash flows expected to arise from the years of operation of the cash generating unit and its disposal at the end of its useful life. The resulting value adjustments are posted to the income statement under item "220 - Net value adjustments to (recoveries on) intangible assets". The same item includes the periodic amortisation of intangible assets with a finite useful life. An impairment loss recognised for goodwill shall not be reversed in a subsequent period.

d) derecognition criteria

Intangible assets are derecognised from the balance sheet upon disposal and when no future economic benefits are expected.

8 Non-current assets held for sale and disposal groups

a) classification criteria

Non-current assets/liabilities and groups of assets/liabilities for which the book value will presumably be recovered through sale rather than continuous use are classified in assets under item "120 - Non-current assets held for sale and disposal groups" and in liabilities under item "70 - Liabilities associated with disposal groups".

To be classified in these items, the assets or liabilities (or disposal groups) must be immediately available for sale and there must be active and tangible programmes such as to suggest that their disposal is highly probable within one year of the date of classification in this category.

b) measurement criteria and revenue recognition criteria

Following initial recognition, non-current assets held for sale and disposal groups, with the relative liabilities, are valued at the lower of the book value and the fair value net of selling costs, with the exception of certain types of assets, such as, for example, all financial instruments falling under the scope of IFRS 9 - for which IFRS 5 specifically envisages that the measurement criterion of the reference accounting standard must be applied.

Amortisation/depreciation is discontinued at the date the non-current asset is classified as a non-current asset held for sale.

Should the assets and liabilities held for disposal be attributable to disposal group (identifiable with the operations of a significant independent business unit or geographical area, also as part of a single coordinate disposal project, rather than an investee company acquired exclusively for resale), the relative revenues and charges, net of tax, are recognised in the income statement under item "320 - Profit (Loss) after tax from discontinued operations" of the income statement. Profit and loss associated with individual assets under disposal are recognised in the most appropriate income statement item.

c) derecognition criteria

Non-current assets and group of assets/liabilities held for sale and disposal groups are derecognised from the balance sheet upon disposal.

BANCA MONTE DEI PASCHI DI SIENA

9 Current and deferred tax

a) recognition criteria

The effects of current and deferred taxation calculated in compliance with Italian tax laws are recognised on an accrual basis, in accordance with the measurement methods of the income and expenses which generated them, by administering the applicable tax rates.

Income taxes are posted to the income statement, excluding those relating to items directly credited or charged to equity.

Income tax provisions are determined on the basis of a prudential forecast of current tax expense, deferred tax assets and liabilities.

Current tax includes the net balance of current tax liabilities for the financial year and current tax assets with the Financial Administration, comprising tax advances, tax credit arising from prior tax returns and other withholding tax credits. In addition, current tax includes tax credits for which reimbursement has been requested from the relevant tax authorities. Tax credits transferred as a guarantee of own debts shall also be recorded within this scope.

Deferred tax assets and liabilities are determined on the basis of the temporary differences – with no time limits – between the value assigned to the assets or liabilities in accordance with statutory principles and the corresponding values for tax purposes, applying the balance sheet liability method; deferred tax assets and liabilities connected to temporary difference for which it is considered unlikely that the conditions for their taxation will arise in the future, the long-term nature of the investments to which they relate, are not recognised. Also it should be noted that the Group has not recognised and does not provide information on deferred tax assets and liabilities relating to Pillar 2 income taxes published by the Organization for Economic Co-operation and Development (OECD), as stated in paragraph 4A of IAS 12.

Deferred tax assets determined on the basis of deductible temporary differences are recognised in financial statements or interim disclosures for the extent to which they are likely to be recovered on the basis of the capacity of the company involved or all of the participating companies – as a result of exercising the option concerning "Tax consolidation" – to generate a positive taxable profit on an ongoing basis, in light of a probability test.

The probability of the recovery of deferred taxes relative to goodwill, other intangible assets and write-downs on loans (known as "convertible DTAs") is to be automatically considered probable because of existing regulations that provide for conversion into tax credits, if a statutory and/or tax loss is incurred.

In particular, art. 2 - paragraphs 55 et seq. - of Italian Law Decree no. 225 of 29 December 2010 (and subsequent amendments) provides that:

· if
 the financial statements filed by the company show a statutory loss for the year, deferred
 tax assets (IRES and IRAP) relating to goodwill, other intangible assets, and loan write-downs
 will be converted into tax credits for a portion equivalent to the ratio between the statutory
 loss and the book value of shareholders' equity prior to said loss. The conversion
 into tax credits becomes effective from the date when the 'loss-incurring' separate
 financial statements are approved by the Shareholders' Meeting;

· if
 there is a tax loss for the year (that is, for IRAP purposes, a negative production value),
 the deferred tax asset relating to the deductions for goodwill, other intangible assets,
 and loan write-downs, which contributed to the formation of the tax loss (i.e., the negative
 production value) is transformed into a tax credit. Conversion will be effective as of the
 date of submission of the tax return for the financial year in which the loss is incurred.

As a result of the provisions contained in Italian Law Decree no. 83 of 27 June 2015, the convertible DTAs ceased to increase starting from 2016. In particular:

1. for
 deferred tax assets relating to goodwill, other intangible assets newly recognised in financial
 statements from 2016 onwards are excluded from the regulations pursuant to art. 2 - paragraphs
 55 et seq. - of Italian Law Decree 225/2010;

2. for
 deferred tax assets relating to loan write-downs, from 2016 onwards, the accounting assumption
 for recognition in financial statements has ceased and these write-downs are entirely deductible
 in the accounting period. Note that the 2019 financial manoeuvre (Law no. 145 of 30 December
 2018) repealed the full deductibility of loan write-downs upon first-time application of
 IFRS 9, exclusively following the adoption of the model for recognising the provision to
 cover expected losses (ECL), providing for the deductibility (IRES and IRAP) of these write-downs
 on a straight-line basis over 10 years. It was, however, explicitly stated that the relative
 DTAs recorded in financial statements as a result, although referring to write-downs on loans
 to customers, cannot be converted into tax credits pursuant to Italian Law Decree 225/2010.
 It should also be noted with respect to the original instalment plan that the 2019 instalment
 has been deferred to 2028 (see Law no. 160, of 27 December 2019) and the 2025 and 2026 instalments
 have been deferred for payment in four consecutive annual instalments from 2026 to 2029 and
 in three consecutive annual instalments from 2027 to 2029, respectively (see Law no. 207,
 of 30 December 2024).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Furthermore, note that the MPS Group exercised the irrevocable option provided in Italian Decree-Law no. 59 of 3 May 2016 (and subsequent amendments) to maintain the right to convert DTAs relative to goodwill, other intangible assets, and loan write-downs and losses into tax credits; thus, it is necessary to pay an annual fee for each financial year from 2016 onwards, if the conditions apply, until 2030.

Deferred tax assets on unused tax losses are recognised based on the same criteria as those used to recognise deferred tax assets on deductible temporary differences: therefore, they are shown in the balance sheet to the extent to which they are likely to be recovered on the basis of the capacity of the company to generate a positive taxable profit in the future. Since the existence of unused tax losses may be symptomatic of difficulties to generate positive taxable profit in the future, IAS 12 establishes that if losses have been posted in recent periods, suitable evidence must be provided to support the existence of such profit in the future. Furthermore, current Italian tax law allows for IRES losses to be carried forward indefinitely (art. 84, paragraph 1, TUIR); as a result, verifying the existence of future taxable profit against which to use such losses is not subject to any time limits.

As mentioned above, the Group verifies the probability that there will be future taxable income (probability test) using the risk-adjusted approach, which provides for the application of a discount factor to future income. This factor, applied with the compound interest criterion, discounts future income at an increasing rate to reflect its uncertainty. For more details on the assessments made by the Group to verify the possibility of recognising deferred tax assets, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for recognising deferred tax assets (probability test)".

Deferred tax assets and liabilities are calculated using the tax rates expected at the date on which the temporary differences are reversed, on the basis of the provisions in force at the reporting date. Any changes in tax rates or tax standards having a significant effect on deferred tax assets and liabilities that are issued or announced after the reporting date and before the publication authorisation date are treated as events after the balance sheet date that do not entail an adjustment pursuant to IAS 10, with the resulting disclosure in the notes.

Deferred tax assets and liabilities are posted to the balance sheet by offsetting each tax against the defined asset or liability to which it relates.

b) classification and measurement criteria

Deferred tax assets and liabilities are systematically measured to take account of any changes in regulations or tax rates and of any different subjective situations of Group companies.

With reference to fiscal consolidation of the Parent Company and participating subsidiaries, contracts have been stipulated to regulate offsetting flows in relation to the transfers of tax profits and losses. Such flows are determined by administering the applicable IRES tax rate to the taxable income of participating companies. The offsetting flow for companies that transfer tax losses – calculated as above – is posted by the consolidating to the consolidated company when and to the extent to which the consolidated company will transfer positive taxable income in tax periods subsequent to that in which the loss was recorded. Offsetting flows so determined are posted as receivables and payables with companies participating in fiscal consolidation, classified under other assets and other liabilities, offsetting item "300 - Tax expense (recovery) on income from continuing operations".

c) revenue recognition criteria

Where deferred tax assets and liabilities refer to components which affected the income statement, they are offset by income tax. When deferred tax assets and liabilities refer to transactions which directly affected equity without impacting the income statement (e.g. measurement of financial instruments at fair value through other comprehensive income or cash flow hedging derivatives), they are posted as an offsetting entry to shareholders' equity, involving the special reserves if required.

BANCA MONTE DEI PASCHI DI SIENA

10 Provisions for risks and charges

Provisions for risks and charges: commitments and guarantees given

The sub-item in question includes provisions for credit risk on commitments to disburse funds and guarantees given that fall under the scope of application of the impairment rules pursuant to IFRS 9, consistent with the provisions for "Financial assets measured at amortised cost" and "Financial assets measured at fair value through other comprehensive income". For more detailed information on the impairment model, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

In addition, the sub-item also includes provisions for risks and charges established for other types of commitments and guarantees given which, by virtue of their distinct characteristics, do not fall under the scope of application of the impairment rules pursuant to IFRS 9.

Provisions for risks and charges: post-employment benefits

The sub-item "Provision for risks and charges: b) post-employment benefits" includes appropriations, recognised based on IAS 19 "Employee Benefits", for the purpose of closing the technical deficit of defined benefit supplementary pension funds. Pension plans are either defined benefit or defined contribution schemes. The charges borne by the employer for defined contribution schemes are pre-determined; charges for defined benefit plans are estimated and shall take account of any shortfall in contributions or poor investment performance of defined benefit plan assets. For defined benefit plans, the actuarial values are determined by an external actuary in accordance with the Projected Unit Credit method. Actuarial gains and losses – defined as the difference between the book value of the liability and the present value of commitments at the end of the financial year – were the result of changes made to actuarial assumptions and adjustments based on past experience, and are recognised for the full amount in the statement of comprehensive income, under the item "Valuation reserves". For further details, please refer to the following paragraph "16 - Other information - Severance pay and other employee benefits".

Provisions for risks and charges: other provisions

The sub-item "Provisions for risks and charges: c) other provisions" includes allocations made for estimated expenditures for legal or implicit obligations deriving from past events. These expenditures may be i) contractual in nature - allocations for the incentive system for employees and leaving incentives, indemnities envisaged in contractual clauses upon occurrence of certain events - , or ii) for compensation and/or restitution arising from, inter alia, legal obligation for environmental damage caused, form lawsuits - including claw-back actions -, from customers' claims for securities brokerage, and tax disputes.

The sub-item also includes provisions established at the starting date of lease agreements, stipulated as lessee, which require the dismantling/refurbishment of the underlying assets at the end of the contract. These provisions are recognised as a contra-entry of the assets recognised for the value of rights of use of properties (see item "90 - Property, plant and equipment").

Provisions for risks and charges consist of liabilities with uncertain amounts or payment dates and are recognised in the financial statements if:

· there
 is a current (legal or implicit) obligation resulting from a past event;

· an
 outflow of resources producing economic benefits is likely to be necessary in order to settle
 the obligation; and

· a
 reliable estimate can be made of the likely future disbursement.

The amount recognised as a provision represents the best estimate of the financial disbursement necessary to fulfil the obligation existing at the reporting date and reflects the risks and uncertainties inherent in the events and situations reviewed. Whenever the time element is meaningful, the provisions are discounted using the current market rates. With the exception of provisions associated with lease agreements, the allocation and discounting effect are recorded in the income statement under item "200 - Net provisions for risks and charges", as is the increase in the provision due to the passage of time. Provisions are reviewed at each reporting date and adjusted to reflect the best current estimate. When an outflow of resources, intended to produce economic benefits in fulfilment of an obligation, becomes unlikely or when the obligation has lapsed, the provision is reversed.

In addition, each provision is used solely for the expenditures for which it was originally established.

No provision is shown for contingent and unlikely liabilities, but information is provided in the notes to the financial statements, except in cases where the probability of an outflow of resources to settle the amount is remote or the amount is not significant.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

In particular, it should be noted that the provisions relating to:

· civil
 and criminal disputes arising from financial information disclosed in the period 2008-2015
 are determined as the weighted average of two estimates prepared by external experts:

&nbsp;&nbsp;&nbsp;&nbsp;1. the
 "differential damage" criterion, which identifies the damage as the lowest price
 that the investor would have had to pay if he had access to complete and correct information;

&nbsp;&nbsp;&nbsp;&nbsp;2. the
 "full compensation criterion", which is based on the argument that false or incomplete
 information may have a causal impact on the consumer's choice of investments such that,
 in the presence of correct information, they would not have *tout court* made the investment
 in question. On the basis of this argument, the refundable damage is deemed to be the entire
 amount invested, after deduction of (a) the residual value of the security (or the amount
 obtained from the sale of the security), as well as (b) an additional amount that the investor
 could have obtained from the sale of the securities as soon as parity of information had
 been re-established;

· out-of-court
 claims relating to the period 2008-2015, in order to take into account the probability of
 their transformation into real disputes, the funds were determined by applying an experiential
 factor to requests made by counterparties;

· Representations
 and guarantees issued in connection with the transfer and demerger of non-performing loans
 are determined on the basis of the analysis of the validity of the claims received, or, in
 the absence of suitable elements to make a sufficiently reliable estimate, using a statistical
 method. In the second case, the estimate is based on the results of a representative sample
 of exposures transferred/demerged with respect to which the competent functions analyti-cally
 evaluate the compliance or compliance risk for each of the representations and guarantees
 released; in the context of this estimate the sample to be analysed and whose results are
 extrapolated to the entire population is identified.

11 Financial liabilities measured at amortised cost

a) classification criteria

Item "10 - Financial liabilities measured at amortised cost" includes the sub-items "a) due to banks", "b) due to customers", and "c) debt securities issued" and comprises the various types of funding (both interbank and from customers) and funds raised through certificates of deposit and outstanding bonds, net of any repurchase. Debt securities issued include all securities that are not subject to "natural" hedging through derivatives and that are classified as liabilities measured at fair value.

This item also incorporates payables booked by the lessee in relation to any stipulated finance and operating lease transactions, as well as repurchase agreements for funding and securities lent against cash guarantees that are fully available to the lender. Finally, operating payables related to the provision of financial services, as defined in the Consolidated Bank-ing Law and Consolidated Law on Finance, are included in this item.

b) recognition criteria

These financial liabilities are initially recognised upon receipt of the amounts collected or at the time of issuance of debt securities based on their fair value, which is generally equal to the amount received or the issue price, increased by any additional costs/income directly attributable to the individual funding or issuing transaction and not reimbursed by the creditors. Internal administrative expenses are excluded.

Repurchase agreement transactions with the obligation to repurchase are posted as funding transactions for the spot amounts collected.

Should the requirements provided for by IFRS 9 for the separate recognition of embedded derivatives be met in the case of structured instruments, they are separated from the host contract and reported at fair value as a trading asset or liability. Instead, the host contract is recognised at amortised cost.

Lease liabilities recognised in relation to the lessor are measured at the present value of future lease payments for the duration of the lease. For more information on determining the duration, please refer to paragraph 6 "Property, plant and equipment represented by the right of use of assets under lease contracts".

c) measurement criteria and revenue recognition criteria

Following initial recognition, financial liabilities issued, net of any reimbursements and/or repurchases, are measured at amortised cost using the effective interest rate method. Short-term liabilities for which time effect is immaterial are an exception, and are recognised at the amount collected. Interest is charged to the income statement under item "20 - Interest expense and similar charges".

BANCA MONTE DEI PASCHI DI SIENA

Following the commencement date, the book value of lease liabilities:

· increases
 for accrued interest expense, charged to the income statement under item "20 - Interest expense and similar

· decreases
 for lease instalment payments;

· is
 recalculated to take into account any new valuations (e.g., extension or reduction of the
 contract term) or changes in the lease (e.g., renegotiation of the lease payment) that occurred
 after the commencement date; the impact of the recalculation is recorded as a contra-entry
 of the asset for the right of use.

Moreover, funding instruments that have an effective hedging relationship are assessed based on the rules for hedging transactions.

d) derecognition criteria

Financial liabilities are derecognised upon maturity or extinction. Derecognition also occurs if previously issued securities have been repurchased. The difference between the book value of the liabilities and the amount paid to repurchase them is recorded in the income statement in item "100 - Gains (losses) on disposal or repurchase". A new placement in the market of own securities after their repurchase is considered a new issue and posted at the new price of placement, with no impact on the income statement.

12 Financial liabilities held for trading

a) classification criteria

This item includes:

· financial
 liabilities issued with the intention to repurchase them in the short term;

· liabilities
 that are part of a jointly managed portfolio of financial instruments for which there is
 a proven strategy to obtain profits in the short term;

· derivative
 contracts with a negative fair value and not designated as hedging instruments, including
 both those embedded in complex financial instruments that have been unbundled from liabilities
 measured at amortised cost, as well as those related to assets/liabilities measured at fair
 value through profit or loss.

Moreover, liabilities that arise from technical overdrafts generated by securities trading activities are included.

b) recognition criteria

Financial liabilities held for trading are initially recognised on the settlement date for cash liabilities and on the subscription date for derivative contracts.

Upon initial recognition, they are measured at fair value, which usually corresponds to the amount collected net of any transaction costs or income directly attributable to the instrument itself, which are directly posted to the income statement.

c) measurement criteria

After initial recognition, financial liabilities held for trading are measured at fair value, with the result of the measurement recognised in the income statement. For a description of criteria used to determine the fair value of financial instruments, please see Section "A.4.5 Fair Value Hierarchy" in Part A of these Notes to the financial statements.

d) revenue recognition criteria

Profit and losses from trading and capital gains and losses from valuation are recognised under item "80 - Net profit (loss) from trading" in the income statement, including those relating to derivative instruments related to the fair value option.

e) derecognition criteria

Trading financial liabilities are derecognised when the contractual rights on the related cash flows expire or when the financial liabilities are sold with the substantial transfer of all related risks and benefits arising from ownership.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

13 Financial liabilities measured at fair value

a) classification criteria

This category includes financial liabilities for which, upon initial recognition, the option of measurement at fair value through profit or loss was chosen; this option is allowed when:

1. a
 lack of standardisation in the measurement or recognition that would otherwise result from
 the valuation of assets or liabilities or the recognition of the related profits and losses
 on different bases (known as "accounting mismatch") is eliminated or significantly
 reduced; or

2. the
 management and/or measurement of a group of financial instruments at fair value through profit
 or loss is consistent with an investment or risk management strategy documented as such
 by senior management; or

3. a
 host instrument embeds a derivative which significantly modifies the cash flows of the host
 and should otherwise be unbundled.

The option to designate a liability at fair value is irrevocable, is carried out on an individual financial instrument, and does not require the same application to all instruments having similar characteristics. It is not permitted to use the fair value designation for only one portion of a financial instrument, attributable to a single risk component to which the instrument is subject.

The Parent Company has exercised this option in relation to case 1, classifying under this item financial liabilities that are subject to "natural hedging" through derivative instruments. In Section 16 "Other information", a specific paragraph is included to provide insight into the hedging management methods through the adoption of the fair value option.

b) recognition criteria

Upon initial recognition, these financial liabilities are measured at fair value, which usually corresponds to the amount collected net of any transaction costs or income directly attributable to the instrument itself, which are directly posted to the income statement.

c) measurement criteria and revenue recognition criteria

Following initial recognition, financial liabilities are measured at fair value. Gains and losses arising from any changes in the fair value of these liabilities are recognised:

· in
 item "120 - Valuation reserves", for the portion related to the change in fair
 value that is attributable to changes in the issuer's creditworthiness, unless this
 creates or increases an accounting mismatch in the profit (loss) for the year, in which case
 the entire change in fair value of the liability must be charged to the income statement.
 Effects associated with the change in own creditworthiness are recorded in the statement
 of comprehensive income, net of the related tax effect, along with the other income components
 that will not be reversed to the income statement. The amount charged to the specific equity
 reserve will never be reversed to the income statement, even if the liability expires or
 lapses; in this case, the cumulative gain (loss) in the specific valuation reserve must be
 reclassified to another shareholders' equity item ("150 - Reserves");

· in
 the income statement under item "110 - Net profit (loss) from financial assets and
 liabilities measured at fair value through profit or loss", for the portion of the
 fair value change not attributable to changes in own creditworthiness.

For a description of criteria used to determine the fair value of financial instruments, please see Section "A.4.5 Fair Value Hierarchy" in Part A of these Notes to the financial statements.

d) derecognition criteria

Financial liabilities are derecognised when the contractual rights on the related cash flows expire or when the financial liabilities are sold with the substantial transfer of all risks and benefits resulting from the ownership.

For financial liabilities represented by securities issued, derecognition also occurs if previously issued securities have been repurchased. The difference between the book value of liabilities and the amount paid to purchase them is recorded in the income statement under item "110 - Net profit (loss) from financial assets and liabilities measured at fair value through profit or loss", with the exception of profits/losses associated with the change in own creditworthiness, which continues to be recognised in an equity reserve, as described above. A new placement in the market of own securities after their repurchase is considered a new issue for accounting purposes and posted at the new price of placement, with no impact on the income statement.

BANCA MONTE DEI PASCHI DI SIENA

14 Foreign currency transactions

a) Definition

Foreign currency means a currency other than the entity's functional currency; more specifically, this is the currency of the prevailing economy where the entity itself operates.

b) recognition criteria

Upon initial recognition, foreign currency transactions are recognised in the currency of account using the foreign exchange rates on the date of the transaction.

c) measurement, derecognition and revenue recognition criteria

Financial statement entries denominated in foreign currencies are valued at the end of each reporting period as follows:

· monetary
 entries are converted using the exchange rate on the closing date;

· non-monetary
 entries valued at historical cost are converted using the exchange rate on the date of the
 transaction;

· non-monetary
 entries that are measured at fair value in a foreign currency are translated at the closing
 date rate.

Any exchange-rate differences resulting from the settlement of monetary elements, or from the conversion of monetary elements at rates other than those used for initial conversion or conversion in the previous financial statements, are posted to the income statement for the period in which they arise.

When a profit or a loss on a non-monetary element is recognised in equity, the exchange-rate difference in relation to said element is also posted to equity. However, when a profit or a loss is posted to the income statement, the relative exchange-rate difference is also posted there.

The accounting position of foreign branches with different operating currencies is converted into euros by using the exchange rates at the reporting date. Any exchange rate differences attributable to investments in such foreign branches, and those resulting from the conversion into euros of their accounting position, are recognised in equity reserves and transferred to the income statement only in the financial year when the investment is disposed of or reduced.

15 Insurance assets and liabilities

The scope of consolidation does not include any insurance companies.

16 Other information

Other financial statement items

*Cash and cash equivalents*

This item includes currencies that are legal tender, including foreign banknotes and coins and all loans "on demand" in the form of current account and deposits with the central bank of the country or countries in which the Group operates through its own companies or branches, with the exception of the compulsory reserve.

The item is posted at face value. For foreign currencies, the face value is converted into euros at financial year-end exchange rate.

*Change in value of macro-hedged financial assets and liabilities*

These items include, respectively, the positive or negative balance of changes in fair value of assets (item "60 Value adjustment of financial assets subject to macro-hedging") and financial liabilities (item "50 Adjustment of value of financial liabilities subject to macro-hedging"), subject to macro-hedging against interest rate risk, whose economic counter-entry is represented by item "90 Net profit (loss) from hedging", as well as for specific fair value hedges. For more detailed information, please refer to the discussion in paragraph 4 "Hedging transactions".

*Other assets*

This item shows assets not attributable to the other items on the asset side of the balance sheet. It may include, for ex-ample:

· gold,
silver, metals and precious stones;

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

· items
 in processing;

· accrued
 income and prepaid expenses not attributable to their own separate item;

· receivables
 associated with the provision of non-financial goods or services and accrued income other
 than that which is capitalised on the related financial assets, including those resulting
 from contracts with customers pursuant to IFRS 15;

· costs
 incurred for the acquisition and fulfilment of contracts with customers with a multi-year
 duration, capitalised and amortised to the extent that they are incremental and it is expected
 to be recovered, as required by paragraphs 91 et seq. of IFRS 15;

· any
 inventories according to the definition of IAS 2, excluding those classified as inventories
 of property, plant and equipment;

· tax
 credits other than those recognised under item "110 - Tax assets";

· the
 tax credits associated with the "Cura Italia" and "Rilancio" Law
 Decrees;

· improvements
 and incremental expenses incurred on third-party real estate other than those attributable
 to item "90 - Property, plant and equipment" and therefore not independently
 identifiable and separable.

The costs in the latter bullet point are posted to item "130 - Other assets", since the user company exercises control of the assets for the purpose of the tenancy agreement and can obtain future economic benefits from them. Said costs are amortised according to the shorter of the period in which the improvements and incremental expenses can be used and the remaining term of the contract, including the renewal period, where applicable.

*Other liabilities*

This item shows liabilities not attributable to the other items on the liabilities side of the balance sheet and includes, for example:

· items
 in processing;

· payment
 agreements that must be classified as debit entries according to IFRS 2;

· debit
 entries connected with payment for provision of non-financial goods and services;

· accrued
 liabilities other than those to be capitalised for the respective financial liabilities,
 including those deriving from contracts with customers pursuant to IFRS 15;

· sundry
 tax liabilities other than those recognised under item "60 - Tax liabilities",
 associated, for example, with substitute tax assets.

*Severance pay and other employee benefits.*

Employee severance pay is defined as a "benefit subsequent to the employment relationship", in accordance with IAS 19:

· "defined
 contribution plan" for the portions of severance pay accrued starting from 1 January
 2007 (when the supplementary social security reform under Legislative Decree No. 252 of
 5 December 2005 entered into force), both for the case in which the employee opts for supplementary
 social security, as well as the case in which the employee opts for the allocation to the
 INPS treasury fund. For these portions, the amount recognised under personnel costs is determined
 on the basis of the contributions due, without applying any actuarial methodology;

· "defined
 benefit plan" for the portions of severance pay accrued up to 31 December 2006. These
 portions are recognised according to their actuarial values, as determined in accordance
 with the Projected Unit Credit Method, without being pre-rating for service rendered, since
 the current service cost of severance pay is almost fully accrued and its revaluation for
 the years to come is not expected to result in significant benefits for employees.

In general, "post-employment plans" - which include severance pay as well as pension funds - are divided into the two categories "defined benefit" or "defined contribution", based on their characteristics.

In particular, for defined contribution plans, the cost is represented by contributions accrued during the financial year, given that the company has only the obligation to pay the contractually established contributions to a fund and, consequently, has no legal or implicit obligation to pay, in addition to the contribution, additional amounts if the fund does not have sufficient assets to pay all the benefits to employees.

For defined benefit plans, the actuarial and investment risk, that is, the risk of a shortfall in contributions or poor investment performance of the assets in which the contributions are invested, is borne by the company. The liability is calculated by an external actuary based on the Projected Unit Credit method. Based on this method, future disbursements must be

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estimated based on demographic and financial assumptions, to be discounted to consider the time that will pass before the actual payment and to be adjusted for the ratio between the years of service accrued and the theoretical seniority estimate at the time the benefit is paid. For discounting purposes, the rate used is determined with reference to the market yield of primary corporate bonds taking into account the average residual duration of the liability, weighted according to the percentage of the amount paid and advanced, for each maturity, compared to the total to be paid and advanced up to the final settlement of the full bond.

The actuarial value of the liability thus calculated must then be adjusted for the fair value of any assets servicing the plan (net liabilities/assets). Actuarial gains and losses that arise as a result of adjustments to the previous actuarial assumptions formulated, following actual historical data or due to changes in the actuarial assumptions, entail a remeasurement of net liabilities and are offset against an equity reserve (item "120 - Valuation reserves") and are thus presented in the "Statement of comprehensive income". The change in the liability resulting from a change or reduction in the plan is recorded in the income statement as a profit or loss. More precisely, the specific case of a change applies if a new plan is introduced or an existing plan is withdrawn or modified. Instead, there is the case of a reduction due to a significant negative variation in the number of employees included in the plan, such as, for example, redundancy plans for redundant workers (access to the Solidarity Fund).

The Projected Unit Credit method, described above, is also used to measure long-term benefits, such as seniority bonuses for employees. Contrary to that which was described for defined benefit plans, actuarial gains and losses associated with the measurement of long-term benefits are immediately recognised in the income statement.

Valuation reserves

This item includes valuation reserves relating to equity securities designated at fair value through other comprehensive income, financial assets (other than equity securities) measured at fair value through other comprehensive income, foreign investment hedging, cash flow hedges, exchange rate differences, "individual assets" and groups of assets under disposal, the portion of valuation reserves of equity-accounted equity investments, actuarial gains (losses) on defined benefits investment plans, gains/losses related to the change in own creditworthiness relating to liabilities under fair value option, property for business use measured on the basis of the restated value method.

Share capital and Treasury shares

This item ("170 - Capital") includes the amount of issued shares net of any capital subscribed but not yet paid at the reporting date. The item is shown including any treasury shares held by the Group. Treasury shares are recognised in financial statements as a negative component of shareholders' equity.

The original cost of repurchased treasury shares and the profits or losses from their subsequent sale are recognised as changes in shareholders' equity. Transaction costs for a share capital transaction, such as an increase in share capital, are recorded as a reduction in shareholders' equity, net of any related tax benefits. Dividends on ordinary shares are recorded as a reduction of shareholders' equity in the financial year in which the Shareholders' Meeting approved their distribution.

Non-controlling interests

This item represents the portion of consolidated net equity attributable to minority shareholders, calculated based on the "equity ratios". The amount is calculated net of any treasury shares repurchased by the consolidated companies.

Other significant accounting practices

Revenues from contracts with customers (IFRS 15)

Revenues are gross inflows of economic benefits deriving from the ordinary activities of the company. They are recognised at the moment that control of the goods or services passes to the customer, for an amount equal to the consideration which the entity is expected to be entitled to. In particular, revenues deriving from contracts with customers are recorded in financial statements only if the relative contract is identifiable, that is:

· the
 parties have approved the contract and are committed to its execution;

· the
 rights and obligations of the parties can be clearly identified in the contract;

· the
 payment terms for the transferred goods and services can be identified;

· the
 contract has commercial substance, in the sense that it impacts the entity's cash flows;

· it
 is considered likely that the consideration will be collected upon transfer of the assets
 and provision of the services. For this assessment, only the customer's ability and
 intention to pay the amount due should be considered.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

After the contract's consideration has been allocated to individual obligations resulting from the contract, revenue is recognised in the income statement when the customer obtains control of the goods or services promised (or when the performance obligation may be deemed satisfied) and can be:

&nbsp;&nbsp;&nbsp;&nbsp;· at
 a specific point in time (e.g., when the entity fulfils the obligation to transfer the promised
 good or service to the customer);

&nbsp;&nbsp;&nbsp;&nbsp;· over
 a period of time (e.g., as the entity fulfils the obligation to transfer the promised good
 or service to the customer).

The consideration promised in the customer contract may include fixed amounts, variable amounts, or both. Specifically, the contract's consideration may vary based on reductions, discounts, reimbursements, incentives, performance bonuses, or other similar elements. The consideration may also vary depending on whether a future event occurs (as in the case of a fee linked to performance objectives).

The methods suggested by IFRS 15 for estimating the variable portion of remuneration are:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 expected value method, i.e., the weighted sum of the amounts in a range of possible considerations
 (for example, the company has many contracts with similar characteristics);

&nbsp;&nbsp;&nbsp;&nbsp;· the
 most likely amount method, or the most likely in a range of possible considerations (for
 example, the company receives a performance bonus or does not receive it).

If there is an element of variable consideration, revenue is recognised in the income statement only if it is possible to reasonably estimate the revenue and if it is highly probable that this consideration will not be subsequently reversed from the income statement, whether in full or for a significant part. In the event of a high prevalence of factors of uncertainty linked to the nature of the consideration, it will only be recognised at the moment this uncertainty is resolved. In any case, the estimated part of the transaction price must be updated at the end of each reporting period. The presence of financial components is also considered in determining the price, if considered relevant.

In the case of commercial agreements that envisage the recognition of variable non-cash consideration to the entity, linked to the achievement of specific targets and that can be used for services rendered by the commercial partner, the Group recognises these revenues in the income statement in the financial year in which they accrue, at a value that is not more than the fair value of services effectively rendered by the partner.

If the entity receives from the customer a consideration that provides for the reimbursement to the customer, in whole or in part, of the revenue received, a provision for risks and charges is recognised against the expected future repayments. The case may occur, for example, when the customer has a right of withdrawal for the asset or if the contract includes a claw-back clause. This standard also applies to loyalty programmes, against which a refund liability is recognised. The liability for future redemptions is equal to the amount of the consideration received (or receivable) for which it is expected that the entity is not entitled to (i.e., amounts not included in the transaction price). The liability for future redemptions (as well as the corresponding change in the transaction price and, consequently, the liability arising from the contract) must be updated on the closing date of each reporting period to take account of changes in circumstances.

For contracts for the placement of third-party products, which provide for the reimbursement of part of the commissions received in the event of early termination by the customer and in the presence of claw-back clauses linked to the failure to achieve target commission volumes, the Group quantified this provision for risk and charges based on historical trends for early repayments and reimbursements to customers. The monitoring and forecasting of volumes of the collected and reversed fees enable the provision to be adjusted at each reporting date. The model that is used is based on the most likely amount method.

The model that is used is based on the most likely amount method. In addition, the Group has a credit card loyalty programme in place, according to which reward points are granted to customers based on the volumes transacted; reward points are redeemed through prizes purchased mainly from external suppliers. Reward points granted to customers who subscribe to a product/service of the Group entails that recognition of the portion of revenue attributable to the recognised reward points in the income statement is suspended, as an offsetting entry to other liabilities. For this purpose, the transaction price of the performance obligation associated with the reward points granted is estimated, using a model based on the fair value of the reward points, calculated using several factors including: redemption forecasts for the reward points accrued by customers and the cost related to reward purchases. The portion of the consideration able to be allocated to the award points is accounted for as a refund liability; the release to the profit and loss account occurs only when the obli-gations associated with the bonus points have been fulfilled, i.e. at the time of actual redemption by the customer.

Lastly, the incremental costs for obtaining the contract that are expected to be recovered and the costs for fulfilling the contract are capitalised when these costs can be directly attributed to the contract, can generate resources that can be used to fulfil future contractual performance obligations, and be considered recoverable.

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This recognised asset is systematically amortised in accordance with the transfer to the customer of the good or service to which the asset refers and, therefore, in accordance with the accounting of the corresponding revenues.

Revenues and costs relating to financial instruments

With reference to the income and charges relating to financial assets/liabilities, note that:

a) interest
 is booked pro rata temporis on the basis of contractual interest rate or the effective interest
 rate in the event of application of the amortised cost. In this case, any marginal costs
 and income, considered an integral part of the return of the financial instrument, are considered
 in the effective interest rate and recognised under interest. Interest income (or interest
 expense) also includes the spreads or margins, positive (or negative), accrued up to the
 reporting date, in relation to financial derivative contracts:

- hedging assets and liabilities that generate interest;

- classified in the balance sheet in the trading book, but operationally linked to financial assets and/or liabilities measured at fair value (fair value option);

- connected operationally with assets and liabilities classified in the trading book and which entail the settlement of differentials or margins over several maturities;

b) interest
 on arrears is posted to the income statement only upon actual collection;

c) dividends
 are shown in the income statement upon resolution of their payout, i.e. when their payment
 is due;

d) commissions
 for service income are posted in the period when said services were rendered, on the basis
 of existing contractual agreements. The commissions considered in the amortised cost for
 purposes of calculating the effective interest rate are recorded in interest;

e) the
 profits and losses resulting from the initial recognition at fair value, as determined by
 the difference between the transaction price and the fair value of the instrument, are booked
 to the income statement upon reporting of the transaction if the fair value can be determined
 with reference to parameters or recent transactions observable on the same market in which
 the instrument is traded; otherwise, they are distributed over time, taking into account
 the duration and the nature of the instrument;

f) gains
 and losses from the sale of financial instruments are recognised in the income statement
 when the sale is finalised, with the relative transfer of risks and benefits, based on the
 difference between the consideration received and the book value of the instruments themselves.

Costs for constant services and decreasing payments

The IFRS accounting standards do not provide specific guidelines on the accounting treatment to be applied for recognising costs related to service contracts that are rendered by the supplier through an indeterminate number of actions, over a given period of time. If there are cases of services rendered by suppliers through a single performance obligation relating to the provision of a specific number of units, such as a certain volume of services, which remain constant throughout the contract term and this single performance obligation is satisfied over time with a decreasing payment amount due by the customer, the Group analogically applies the accounting treatment envisaged by IFRS 15 accounting standard (see Basis for Conclusions 313-314).

In detail, in cases of the provision of services characterised by a constant volume over time and decreasing payments, an average unit cost is assigned to the services received and the related costs are recognised on straight-line basis. This straight-line method for posting costs entails the need to recognise a prepaid asset which, at each reporting date pursuant to IAS 36, is subject to an assessment to determine if there are impairment indicators which also takes into account the analyses carried out for purposes of onerous contracts. In the event that impairment indicators are identified, the recoverable value of the asset must be calculated and a write-down must be recognised in the financial statements when the recoverable value is lower than the book value.

Share-based payments

These are payments to employees, as consideration for work performed, settled with equity instruments, which consist, for example, in assigning:

· rights
 to subscribe share capital increases with consideration (stock options);

· rights
 to receive shares upon achieving certain objectives or at the end of the employment relationship.

Pursuant to IFRS 2, payments based on treasury shares fall into various categories, including:

· as
 "equity settled" plans, i.e. settled in equity instruments, to be recognised
 on the basis of the fair value of the work services received;

· as
 "cash-settled" plans, i.e. settled in cash for an amount indexed to the value
 of the shares, to be recognised based on the fair value of the liability assumed.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

With regard to "equity-settled" plans, given the difficulties of directly estimating the fair value of employment services received as an offsetting entry to the assignment of shares, the value of the services received can be measured indirectly, using as a reference the fair value of equity instruments at the date they are assigned. The fair value of payments settled by issuing shares is recognised according to the criterion of the service provided, in the income statement item "190 a) - Personnel expenses" as an offsetting entry to an increase in the item "150 - Reserves".

In the case of "cash-settled" plans, on the other hand, the cost of the work services received is recognised in the Income Statement item "190 - a) Personnel expenses" as a balancing entry to a liability to be measured at fair value based on the price of the shares assigned. The fair value must be updated at the end of each financial year and at the settlement date by posting changes in fair value to the income statement until the liability is extinguished.

When the assigned shares or countervalue cannot immediately be used by the employee, but rather are available only after the employee has completed a specific period of service, the company recognises the cost as consideration for the service rendered throughout the accrual period for these conditions ("vesting period").

Financial instruments offsetting

Pursuant to IAS 32, paragraph 42, financial assets and financial liabilities are offset and recognised in the Financial Statements for the net balance if the entity:

· has
 a legal right to effect such set-off, which is currently exercisable in all circumstances,
 whether in the ordinary conduct of business or in situations of non-performance, insolvency
 or bankruptcy of the parties;

· intends
 to settle transactions on a net settlement or on a gross settlement basis whose material
 effect is equivalent to a net settlement.

For derivative instruments covered by netting agreements, which comply with the requirements outlined above, Circular No. 262 provides for netting between all trading derivatives and all hedging derivatives. Should the imbalance of trading derivatives have the opposite sign to the imbalance of all hedging derivatives, a net presentation of these imbalances is provided: Conventionally, the net balance is allocated to the trading portfolio rather than to hedging derivatives, depending on the absolute value of the imbalance between trading and hedging derivatives.

In accordance with the requirements of IFRS 7, more detailed information is provided in the tables contained in Part B - Other Information of these Notes to the financial statements, in which the following are more specifically set out:

· the
 book values of assets and liabilities that meet the requirements of IAS 32, paragraph 42,
 before and after accounting offsetting;

· exposures
 subject to framework offsetting agreements that have not given rise to offsetting but which
 may potentially trigger offsetting as a result of specific circumstances;

· the
 collateral attached to them.

Business combinations

A business combination is defined as the transfer of control of a company (or of a group of assets and integrated goods, conducted and managed as a unit). For the definition of control, please refer to Section 3 "Scope of consolidation" of this part A of the Notes to the financial statements.

A business combination may give rise to an investment link between the acquiring Parent Company and the acquired subsidiary. In these cases, the acquirer applies IFRS 3 "Business combinations" to its consolidated financial statements, while in the separate financial statements it recognises the acquired interest as an equity investment in a subsidiary, consequently applying IAS 27 "Separate financial statements".

A business combination may also provide for the acquisition of the net assets of another entity, including any goodwill, or the acquisition of the share capital of another entity (e.g., mergers, splits, acquisitions of business units). Such a business combination is not an investment link like the one between a parent company and a subsidiary, and therefore in these cases IFRS 3 is also applied to the acquiring entity's separate financial statements.

Business combinations are accounted for using the purchase method, which requires: (i) identification of the acquirer; (ii) determination of the acquisition date; (iii) determination of the cost of the business combination; (iii) allocation of the acquisition price ("Purchase Price Allocation").

**Identification of the acquirer**

IFRS 3 requires that an acquirer is identified for all business combinations, identified as the party that obtains control over another entity, understood as the power to set financial and management policies of the entity in order to receive benefits

BANCA MONTE DEI PASCHI DI SIENA

from its activities. In the case of business combination transactions that result in the exchange of equity interests, identification of the acquirer must consider factors such as: (i) the number of new ordinary voting shares issued out of the total number of ordinary voting shares that will constitute the capital of the existing company after the combination; (ii) the fair value of the entities participating in the combination; (iii) the composition of the new corporate bodies; (iv) the entity issuing the new shares.

**Determination of the acquisition date**

The acquisition must be posted to the accounts on the date when the acquirer effectively obtains control over the entity and/or assets acquired. When the transaction is made in a single exchange transaction, the date of exchange is equal to the date of acquisition unless the parties agree a transfer of control prior to the date of exchange.

**Determination of the cost of the business combination**

The consideration paid in a business combination is equal to the fair value, on the purchase date, of assets sold, liabilities incurred, and equity instruments issued by the acquirer in exchange for obtaining control of the acquired entity. The consideration that the acquirer transfers in exchange to the acquired entity includes any assets and liabilities resulting from an agreement on "contingent consideration", to be recognised at the fair value on the acquisition date. Changes to the consideration transferred are possible if they result from additional information on events and circumstances that existed at the acquisition date and may be recognised within the measurement period for the business combination (i.e., within twelve months from the acquisition date, as specified below). Any other changes deriving from events or circumstances subsequent to the acquisition, such as consideration recognised to the seller linked to the achievement of a certain profit performance, must be recorded in the income statement.

Costs related to the acquisition, which include brokerage fees, consulting, legal, accounting, and professional fees, as well as general administrative costs, are recorded in the income statement as they are incurred, with the exception of the costs of issuing shares and debt securities, which are recognised on the basis of the provisions of IAS 32 and IFRS 9.

**Allocation of the acquisition price ("Purchase Price Allocation")**

According to the purchase method, at acquisition date the acquirer must allocate the cost of the business combination (known as PPA, "Purchase Price Allocation") to the identifiable assets acquired and to the liabilities assumed measured at their fair value on that date, as well as recognising the value of non-controlling interests of the acquired entity. Exceptions to the application of this principle are the detection of: (i) income taxes; (ii) liabilities relating to employee benefits; (iii) assets arising from indemnities; (iv) share-based payment transactions; (v) assets held for sale; leasing where the acquiree is the lessee; (vi) regained rights and (vii) insurance contracts for which the respective reference principles apply.

Therefore, it is necessary to draw up a balance sheet for the acquired entity, at the acquisition date, measuring at fair value the identifiable assets acquired (including any intangible assets not previously recognised by the acquired entity) and identifiable liabilities assumed (including contingent liabilities).

For each business combination, non-controlling interests may be recognised at fair value or in proportion with the percentage of identifiable net assets held in the company acquired.

In addition, if control obtained through subsequent acquisitions (business combinations carried out in several phases), the previously held equity interest is measured at fair value at the acquisition date and the difference compared to the previous book value must be charged to the income statement or to other revenue components in the statement of comprehensive income.

Hence, at the acquisition date, the acquirer must determine the difference between:

· the
sum of:

- the cost of the business combination;

the amount of any non-controlling interests as described above;

- the fair value of any equity interests previously held by the acquirer; and

· the fair value of identifiable net assets acquired, including contingent liabilities.

Any positive difference must be recorded as goodwill; conversely, any negative difference must be charged to the income statement of the entity resulting from the business combination as profit deriving from the purchase at favourable prices (negative goodwill, or badwill), after having performed a new measurement aimed at ascertaining the correct process of identifying all assets acquired and liabilities assumed.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The fair value of assets and liabilities must be definitively identified within the maximum term of twelve months from the acquisition date (measurement period).

Once control has been obtained and the purchase method described above has been applied, any further increase or decrease in the equity interest in a subsidiary in which control is maintained is recognised as a transaction between shareholders. Therefore, the book values of the shareholders' equity of the Group and non-controlling interests must be adjusted to reflect changes in equity interests in the subsidiary. Any difference between the value for which non-controlling interests are adjusted and the fair value of the consideration paid or received must be recognised directly in the Group's shareholders' equity.

If there is an event which results in the loss of control, an entry is made to the income statement equivalent to the difference between (i) the sum of the fair value of the consideration received and the fair value of the residual equity interest held and (ii) the previous book value of the assets (including goodwill) and liabilities of the subsidiary and any minority shareholders' equity. The amounts previously recognised in the statement of comprehensive income (such as the valuation reserves of financial assets measured at fair value through other comprehensive income) must be accounted for in the same way as if the parent company had directly disposed of the assets or the related liabilities (through reclassification in the income statement or shareholders' equity).

The fair value of any equity interest held in the former subsidiary must be considered equal to the fair value upon initial recognition of a financial asset according to IFRS 9, or, where appropriate, equal to the cost at the time of initial recognition in an associate company or a jointly controlled entity.

Business combinations under common control

Business combinations of entities under common control are excluded from the scope of application of IFRS 3 and in the absence of a reference standard, such business combinations are accounted for by referring to Assirevi Preliminary Guidance No. 1 and No. 2 (OPI 1 - "Accounting treatment of business combinations of entities under common control" in the separate and consolidated financial statements and OPI 2 - "Accounting treatment of mergers in the financial statements"). These guidelines consider the economic significance of business combinations on the basis of cash flow impact on the Group. Transactions that do not have a significant impact on future cash flows are recognised on a going-concern basis. In particular, the values adopted are those resulting from the Consolidated Financial Statements of the Group at the date of transfer of the assets. This is in compliance with the provisions of IAS 8, paragraph 10, which requires, in the absence of a specific standard, to use one's judgement in applying an accounting standard in order to provide relevant, reliable, prudent disclosure that reflects the economic substance of the transaction.

Amortised cost

The amortised cost of financial assets or liabilities is the value at which they were measured upon initial recognition, net of principal repayments, plus or minus overall amortisation calculated using the effective interest method, on the differences between the initial value and that at maturity and net of any permanent impairment.

The effective interest rate is the rate which equates the present value of a financial asset or liability with the future contractual payments or collection cash flows until maturity or a subsequent repricing date. To calculate the current value, the effective interest rate is applied to future collection or payment flows over the entire useful life of the financial assets or liabilities – or for a shorter period if certain conditions are met (for example, a change to market rates).

Following initial recognition, the amortised cost makes it possible to allocate income and costs reducing or increasing the instrument over its entire expected life by means of the amortisation process. The determination of the amortised cost is different depending on whether the financial assets/liabilities are subject to valuation at a fixed or variable rate.

For fixed-rate instruments, future cash flows are quantified based on the known interest rate during the term of the financing. For floating-rate financial assets/liabilities, whose variability is not known beforehand (because, for example, it is tied to an index), cash flows are determined on the basis of the last known rate. At every rate review date, the amortisation schedule and the actual rate of return over the entire useful life of the instrument, i.e. until maturity, are recalculated. The adjustment is recognised as cost or income in the income statement.

Financial assets measured at amortised cost and those measured at fair value with an impact on comprehensive income are measured at amortised cost; as well as for financial liabilities measured at amortised cost

Financial assets and liabilities traded at market conditions are initially recognised at their fair value, which normally corresponds to the amount disbursed or paid inclusive - in the case of instruments valued at amortised cost - of transaction costs and commissions directly attributable to the assets and liabilities.

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Transaction costs include marginal internal and external costs and income attributable to the issue, acquisition or sale of a financial instrument that cannot be charged to the customer. These fees, which must be directly attributable to the individual financial assets or liabilities, impact the original effective return and make the effective interest rate associated with the transaction different from the contractual interest rate. Indistinguishable costs related to several transactions and components related to events that may occur during the life of the financial instrument, but which are not certain at the time of the initial definition, are excluded, such as: fees for retrocession, for failure to use, and for early repayment.

Commissions for services collected following the performance of structured finance activities that would have been collected regardless of the subsequent financing of the transaction (such as, for example, facilities and arrangements fees), as well costs for underwriting transactions and participation in syndicated transactions, are also not considered in the calculation of the amortised cost.

With particular reference to loans, fees paid to distribution channels (agents, advisors, brokers) and administrative costs (appraisals, notarial services, etc.) associated with any subrogations are considered costs attributable to the financial instrument; while revenues considered in the calculation of the amortised cost are assessment fees, practical management fees and up-front fees relating to lending at below-market rates.

With regard to securities not measured at fair value through profit or loss, transaction costs include both commissions for contracts with brokers operating on Italian stock markets and commissions paid to intermediaries operating on foreign stock and bond markets defined on the basis of commission tables.

For securities issued, commissions for bond placement paid to third parties, amounts paid to stock exchanges, and fees paid to the auditors for activities performed for each individual issue are considered in the calculation of amortised cost, while commissions paid to rating agencies, legal expenses and consultancy/audit fees for the annual update of the prospectuses, as well as costs for the use of indices and commissions that originate during the life of the bond are not considered in the amortised cost calculation.

Compared to the general approach, the effective interest rate must be calculated differently for those financial instruments measured at amortised cost or at fair value through other comprehensive income, purchased or originated, which at the time of their initial recognition are already credit impaired (known as PCI or OCI).

The amortised cost also applies to the measurement of the impairment of the financial instruments listed above as well as to the recognition of those issued or purchased at a value other than their fair value. The latter are recorded at fair value, rather than for the amount collected or paid, calculated by discounting future cash flows at a rate equal to the effective rate of return of similar instruments (in terms of creditworthiness, contractual maturity, currency, etc.), with a financial income or expense recognised in the income statement at the same time; subsequent to initial valuation, they are valued at amortised cost, with actual interest being higher or lower than nominal interest. Lastly, structured liabilities that are not measured at fair value through profit or loss are also measured at amortised cost as the derivative contract embedded in the financial instrument has been recognised separately.

The criterion for measurement at amortised cost does not apply for hedged financial assets/liabilities for which changes in fair value for the hedged risk are charged to the income statement. However, the financial instrument is re-measured at amortised cost if the hedge is suspended, the moment from which the previously recognised changes in fair value are amortised, by calculating a new effective interest rate that considers the loan value adjusted for the fair value of the hedged element, until the expiry of the hedge that was originally envisaged. Moreover, as mentioned above in the paragraphs relating to financial assets and liabilities measured at amortised cost, the amortised cost measurement does not apply to financial assets/liabilities whose short duration makes the economic effect of discounting negligible or to loans without a defined maturity or revocation.

Purchased or originated credit impaired financial assets (POCI)

These are instruments for which the credit risk is very high and which, in the event of purchase, are purchased at a considerably discounted value compared to the initial disbursement value; for this reason, they are considered already credit impaired at the time of first recognition in the Financial Statements.. Depending on the Business Model with which the asset is managed, these assets are classified in item "30 - Financial assets measured at fair value through other comprehensive income" or in item "40 - Financial assets measured at amortised cost" and among off-balance sheet exposures.

In relation to POCIs, there are two different types:

· instruments
 or portfolios of non-performing loans acquired on the market (Purchased Credit Impaired –
 "PCI");

· credits
 disbursed by the Group to customers characterised by a very high credit risk (Originated
 Credit Impaired – "OCI").

Impaired financial assets acquired through a business combination pursuant to IFRS 3 fall within the scope of application of IFRS 9 PCI.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Note that these financial assets are initially recorded in Stage 3, without prejudice to the possibility of reclassifying them to performing loans (Stage 2), for which an expected loss will continue to be recorded according to an impairment model based on lifetime ECL, as described below. It should be noted that, regardless of the stage in which they are recorded, these financial assets are accounted for separately from the three stages of credit risk.

With reference to the initial recognition, measurement and derecognition criteria, please refer to the discussion corresponding to the asset items into which they can be classified, with the exception of what is specified below in relation to procedures for calculating amortised cost and impairment.

In detail, the amortised cost and consequently the interest income are calculated using an effective interest rate adjusted for the credit (known as "credit-adjusted effective interest rate" or CEIR). For calculating the effective interest rate, the aforementioned credit adjustment entails including the expected credit losses over the entire residual duration of the asset in the estimate of future cash flows. For the purposes of calculating the CEIR, the Group uses contractual cash flows net of expected losses.

In addition, the assets in question require special treatment also with regard to the impairment process, as they are always subject to the determination of an expected loss over the life of the financial instrument (lifetime ECL). After initial recognition, the profit or loss deriving from any change in expected losses over the life of the loan compared to the initial estimate must be recorded in the income statement. Thus, for these assets, expected losses cannot be calculated using the one-year time horizon as a reference.

Renegotiations

In some cases, over the life of financial assets and, in particular, of loans, the original contractual conditions are subsequently modified as agreed by the parties to the contract. When, during an instrument's life, the contractual clauses are changed (both in the case the change is formalised by signing a new contract and when there is an amendment to the existing contract), it is necessary to check whether the original asset must continue to be recognised in financial statements or if, conversely, the original instrument must be derecognised from financial statements and a new financial instrument must be recognised.

In general, changes to a financial asset result in its derecognition and to the recording of a new asset when these changes are "substantial". The determination of the "substantiality" of the change is made by considering only qualitative elements. In particular, renegotiations are deemed to be substantial when:

· introduce
 specific objective elements that impact on the characteristics and/or the financial flows
 of the financial instrument (such as for example the change in the currency, the change
 of the counterparty not belonging to the same group as the original debtor, the introduction
 of indexing to equity or goods parameters, the introduction of the possibility of converting
 the loan into participatory equity/financial instruments/other non-financial assets, and
 the provision of "pay if you can" clauses which allow the debtor the maximum
 freedom in repaying the loan in terms of time and amount) in consideration of the significant
 impact expected from the original financial flows; or

· are
 implemented with respect to customers that have no financial difficulties, with the objective
 of adapt the onerousness of the contract to current market conditions.

In the latter case, note that, if the Group does not allow a renegotiation of contractual conditions, the customer would have the opportunity to obtain funding from another intermediary, with resulting loss to the Group of the revenue streams envisaged in the renegotiated contract. In other words, for a commercial renegotiation, the Group would not have any loss to be recorded in the income statement as a result of the realignment to the best current market conditions for its customers. Instead, for renegotiations considered not to be substantial, the gross value is recalculated by determining the present value of cash flows resulting from the renegotiation, based on the original rate of the exposure prior to the renegotiation. The difference between this gross value and the gross book value prior to the change is recorded in the income statement under item "140 - Gains/losses from contractual changes without derecognition" (known as "modification accounting").

In the case of non-substantial renegotiations, the modifications granted to counterparties experiencing financial difficulties (granting of forbearance measures) are attributable to the Group's attempt to maximise the recovery of the original exposure, whose risks and benefits continue to be borne by the Group. Exceptions are made for changes that introduce substantial objective elements in the contract that can themselves lead to the derecognition of the financial asset, as previously described.

Lastly, the changes to financial assets following the Reform of the reference indices for the determination of interest rates (IBOR Reform), relating to the change in the basis for determining the contractual cash flows (replacement of the reference index for determining the existing interest rates with an alternative reference rate), do not constitute a derecognition but rather are accounted for as a change. These changes, if made as a direct consequence of IBOR Reform and on an equivalent economic basis, are represented by a prospective adjustment of the actual interest rate - applying paragraph B5.4.5 of IFRS 9 instead of "modification accounting" - with impacts on the net interest income of future periods.

BANCA MONTE DEI PASCHI DI SIENA

Fair value option

In its financial risk management policy, relating to financial instruments included in the banking book, the Parent Company has used the Fair Value Option accounting technique alongside fair value hedging and cash flow hedging methods.

The Fair Value Option was used to represent operational hedges on fixed-rate or structured bonds and certificates of deposit issued at fixed rates (accounting mismatch).

The scope of application of the Fair Value Option currently regards primarily fixed-rate securities and structured securities subject to hedges on interest rate risk and the risk deriving from embedded derivative components.

IFRS 9 allows the option of designating a financial instrument under the Fair Value Option to be exercised irrevocably only upon initial recognition. Therefore, the Fair Value Option cannot be used for the accounting management of hedges of funding instruments issued prior to the decision to implement the hedge; for these hedges, the hedge accounting tech-nique must be used, which is also used to manage the hedging of the bond issues that are traded in the secondary market at market values.

Unlike hedge accounting, whose rules provide that only fair value changes attributable to the hedged risk are recognised for the hedged instrument, the Fair Value Option involves the recognition of all fair value changes, regardless of the risk factor that is being hedged.

For the issues in question, the fair value is measured, firstly, by referencing observable prices in markets considered active, such as regulated markets, electronic trading circuits (e.g. Bloomberg) or organised or similar exchanges. If there are no observable prices on active markets, they are measured based on prices of recent transactions for the same instrument in non-active markets in addition to using valuation techniques, based on a cash flow discounting model, which must consider all factors considered relevant by market participants in determining a hypothetical transaction on an exchange. In particular, for determining creditworthiness, the implicit spreads of comparable issues of the same issuer are used in active markets, rather than the Parent Company's credit default swap curve with the same level of subordination of the security being measured. The quantification of effects resulting from the change in own creditworthiness between the issue date and the measurement date is calculated as the difference between the fair value obtained considering all of the loan's risk factors, including the credit risk, and the fair value obtained considering the same factors, excluding the change in own credit risk that occurred during the period.

For further details on methods for calculating fair value, please refer to the exhaustive information provided in the relevant paragraph in "Part A.4 - Information on fair value".

With reference to the criteria for recognition in financial statements, note that:

· derivatives
 connected with financial liabilities measured at fair value are classified under "Financial
 assets measured at fair value through profit or loss: a) financial assets held for trading"
 or "Financial liabilities held for trading";

· spreads
 and margins accrued on derivatives up to the measurement date are included, depending on
 the balance, in "interest income" or "interest expense", consistent
 with the accruals recorded on bonds subject to operational hedges;

· gains
 and losses from realisation and the measurement of loans under the Fair Value Option are
 recorded in the income statement item "110 - Net profit (loss) from other financial
 assets and liabilities measured at fair value through profit or loss", with the exception
 of the valuation and execution effects related to the change in own creditworthiness that
 are recorded as an offsetting entry to a specific equity reserve (item "120 - Valuation
 reserves"), unless this accounting treatment creates or amplifies an asymmetry in the
 economic result, as described in greater detail in the discussion to item "13 - Financial
 liabilities measured at fair value";

· results
 of the measurement of derivatives associated with loans under the fair value option are recorded
 in the income statement item "80 - Net profit (loss) from trading".

From the perspective of prudential supervision, in compliance with regulations in force, distorting effects from changes in fair value due to changes in own creditworthiness are eliminated from own funds.

Lastly, note that gains posted to the income statement under the Fair Value Option and not yet realised are not distributable.

Contributions to deposit guarantee systems and resolution mechanisms

Following the incorporation into national law, Directives 2014/49/EU (Deposit Guarantee Schemes Directive - "DGSD") of 16 April 2014 and 2014/59/EU (Bank Recovery and Resolution Directive - "BRRD") of 15 May 2014, starting from the 2015 financial year, credit institutions are obliged to provide the financial resources necessary for the operation of the FITD (Interbank Deposit Protection Fund) and the National Resolution Fund (merged into the SRF - Single Resolution Fund in

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

2016), through the payment of ex-ante ordinary contributions to be paid annually, until 1% of the total protected deposits are reached by 31 December 2023. Should the financial means available to the FITD and/or the SRF not be sufficient, respectively to guarantee the reimbursement of the protected deposit or to finance the resolution, it is required that credit institutions make the payment of extraordinary contributions. Contributions are recognised under item "190 – Administrative expenses – (b) Other administrative expenses" in the income statement, in application of the IFRIC 21 "Levies" interpretation, on the basis of which a liability related to the payment of levies derives from the occurrence of the "binding event" which triggers the payment obligation. The contributions are considered, from an accounting point of view, similar to a levy and the moment of onset of the "binding event" was identified in the first quarter for the SRF and in the third quarter for the FITD.

With regard to the SRF, it should be noted that after the 1% target for protected deposits was achieved at 31 December 2023, no further contributions were requested from the Group or from the entire European banking system in 2024 (EUR 58.6 mln at 31 December 2023).

The ordinary contribution to the FITD, recognised in the income statement for 2024, amounted to EUR 75.3 mln, which is essentially unchanged from the figure for 2023.

A "Life Insurance Guarantee Fund", in which Italian insurance companies and branches of non-EU insurance companies participate, was established by Law no. 213 of 30 December 2023. The Fund's financial resources are made up of participants' contributions, which must be proportionate to the Fund's liabilities and in any case must be equal to at least 0.4% (the "target") of the amount of participating companies' life insurance technical reserves. This is target to be achieved gradually by 31 December 2035. The contributions levied from insurance brokers are determined in relation to the total volume of life insurance products distributed and associated revenues associated, albeit these levies should not exceed one-fifth of the annual contribution. However, during the initial application phase, the contributions payable by brokers registered in section D of the Single Register of Intermediaries (RUI), which includes banks, are 0.1 per thousand of the life insurance reserves brokered. From an accounting point of view, these contributions are also considered similar to a tax; for 2024, the "obligating event" was identified as November, when participants were identified as entities admitted to the Fund's AGM.

The ordinary contribution to the Life Insurance Guarantee Fund, recognised in the income statement for 2024, amounted to EUR 2.2 mln.

*Synthetic securitisations*

In synthetic securitisation transactions, the Group, through the execution of a financial guarantee contract, acquires protection against the credit risk underlying a loan portfolio, of which it retains full ownership. These transactions have the objective of freeing up regulatory and economic capital by reducing the level of credit risk of the portfolio underlying the transaction (Significant Risk Transfer – "SRT"), which is transferred to an external counterparty without entailing the derecognition of the assets.

The SRT must be constantly monitored also during the life of the transaction, in order to ensure that the regulatory criteria that require the Originator to retain a share of the net economic interest equal to at least 5% of the nominal value of the securitised portfolio, are met.

The transactions are structured in different tranches according to the riskiness of the portfolio. From an accounting point of view, synthetic securitisation transactions are configured as financial guarantees received in which the Group acts exclusively on the purchaser's side of protection against credit risk, if the following aspects are ensured:

· stipulation
 of the contract for the purpose of hedging credit risk, deriving from debt instruments;

· presence
 of the deliverable obligation, for the purposes of activation of the financial guarantee,
 in the financial statements of the protection buyer;

· unbudgeted
 payments in response to changes in specific rates, prices, ratings, exchange rates, indexes
 or other variables that are governed by the rules on derivatives but as a consequence of
 a credit event (such as a change to default);

· repayments
 made by the protection seller only if the protection buyer has suffered losses against the
 hedged asset and for an amount not exceeding the loss actually incurred.

The premium paid by the Group to investors for credit risk protection is recognised in the income statement item "50. Fee and commission expense". The enforcement of the financial guarantee received by the investors upon the occurrence of contractually agreed conditions (known as credit event) relating to securitised loans under income statement item "130. Net impairment (losses)/reversals for credit risk".

For further details, please refer to the information provided in these Notes to the financial statements, under "Part E – Section 1– C. Securitisation transactions".

BANCA MONTE DEI PASCHI DI SIENA

Tax credits linked to the "Rilancio" Italian Law Decree acquired following assignment by the direct beneficiaries or previous purchasers

The Italian Law Decrees no. 18/2020 (so-called "Cura Italia") and no. 34/2020 (so-called "Rilancio") introduced into the Italian legal system incentive tax measures connected with both investment expenses (e.g. eco and sismabonus) and current expenses (e.g. rents of premises for non-residential use). The Government has also intervened on the matter again through Italian Law Decree no. 50/2022 (so-called "Aiuti") mainly by redefining the pool of potential transferees.

These tax incentives apply to households or businesses, are commensurate with a percentage of the expenditure incurred (in some cases up to 110%) and are disbursed in the form of tax credits or tax deductions (optionally convertible into tax credits). The main characteristics of these tax credits are: (i) they may be used for offsetting; (ii) they may be assigned to third-party purchasers; and (iii) they are not refundable by the Tax Authority.

The accounting treatment of tax credits acquired from a third party (transferee of the tax credit) is not subject to a specific international accounting standard. IAS 8 establishes that, when there is a situation not explicitly addressed in an IAS/IFRS, the company management defines an appropriate accounting policy to ensure relevant and reliable disclosure of such transactions.

The Group, in line with the joint document issued by the Authorities<sup>63</sup>, has defined its accounting policy which refers to the accounting rules laid out in IFRS 9, applying provisions compatible with the characteristics of the transaction and considering that, substantially, these credits are equivalent to financial assets.

The Group purchases the credits based on its Tax Capacity with a view to holding them and using them for future offsetting; therefore, these credits are linked to a Hold to Collect Business Model and recognised at amortised cost, with remuneration represented in net interest income throughout the recovery time period.

The valuation of these credits is carried out by considering utilisation flows through estimated future offsetting; however, the accounting framework provided by IFRS 9 does not apply to this specific case for the calculation of expected losses, i.e. the expected credit loss (ECL) is not calculated as there is no counterparty credit risk, taking into account that tax credits are realised through offsetting and not collection.

Lastly, as specified in the joint Authority document, taking into account that for the purposes of the international accounting standards these tax credits do not represent tax assets, public contributions, intangible assets or financial assets, the most appropriate classification for representation in the financial statements is the residual category "Other Assets" in the Balance Sheet.

As at 31 December 2024, the nominal value of the total tax credits acquired amounted to EUR 3,124.8 mln. Taking into account credits offset until this point, totalling EUR 1,136.1 mln, the residual nominal amount as at 31 December 2024 came to EUR 1,988.7 mln. The corresponding carrying amount, recognised in the balance sheet item "130. Other assets" at amortised cost, which takes into account the acquisition price and the net amounts accrued as at 31 December 2024, was EUR 1,804.8 mln.

It should also be noted that, as at 31 December 2024, the Parent Company had received requests for the sale of these receivables for a total of approximately EUR 578.3 mln, currently being assessed/processed. The total amount of credits acquired and assignment requests being processed - the latter appropriately adjusted to factor in the incidence of dossiers abandoned and/or rejected by the Bank -, is in line with the estimate of the overall fiscal capacity (the so-called "Tax Capacity"), i.e., the tax/contribution payments that the Group expects to make and that are available for offsetting with tax credits from "Building Bonuses". The aforementioned valuation also takes into account the significant decrease in the estimated prospective "Tax Capacity" caused by changes to the rules underlying the use of tax credits purchased introduced by Italian Law no. 67 of 23 May 2024, which converted Italian Decree Law no. 39/2024 (the tax benefits decree) into law, with amendments. For more details on the tax benefits decree, please refer to the "New tax regulations" section of the Report on Operations.

**Early retirement incentive plans**

Termination of employment may be attained through the employee's voluntary acceptance of a company plan to reduce staff following a proposal to incentivise voluntary resignations due to redundancies, i.e. in the case of exit incentive plans.

These plans provide employment termination benefits and are drawn up, in terms of the number of exits and the timing of implementation, within the scope of the Business Plan objectives.

The agreements executed between the Group and the trade unions generally provide for the extent of the pool of potential participants and payments made on a lump-sum basis, in addition to the additional payment of other benefits such as, for example, the maintenance of the insurance policy, the maintenance of welfare coverage and supplementary pension schemes, until the employee's reaches the INPS retirement age.

---

| | |
|:---|:---|
| 63 | Accounting treatment of tax credits purchased pursuant to the "Cura Italia" and "Rilancio" Italian Law Decrees published on 5 January 2021 by the coordination table between the Bank of Italy, Consob and IVASS on the application of IAS/IFRS |

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The Group recognises a provision by type, under personnel expenses, as a balancing entry to a provision for risks and charges under item "100 Provisions for risks and charges: c) other provisions for risks and charges" when the requirements of IAS 37 are met, i.e. in the presence of an obligation of a contractual nature to provide the services and benefits covered by the agreement, when it is probable that a flow of resources will be required to fulfil the obligation, for an amount that represents the best possible estimate of the expenditure needed to settle the related obligation in place at the reporting date. Since this is a multi-year obligation, the estimated amount is subject to discounting to reflect the effect of the passing of time (IAS 37.45).

When the uncertainty mainly related to the amount of the redundancy incentive cost is resolved, the Group recognises a liability as a balancing entry to the Provision for risks and charges.

**Classification of ESG financial instruments**

As part of its ESG strategy, the Group offers sustainable project loans on contractual terms that link the contractual cash flows to the achievement of specific environmental sustainability objectives ("ESG covenants"). This approach seeks to reward companies that embark on virtuous sustainability pathways in terms of having a reduced environmental impact (environmental), pursuing policies of inclusion and community support (social) or organisational strengthening (governance). This premium foresees a reduction in the loan spread to a contractually established maximum (usually 10 basis points) if certain borrower-specific sustainability targets ("ESG covenants*"*) are found to have been met.

From an accounting perspective, financial instruments not held for trading, for which cash flows are based on the occurrence of a contingent event linked to the achievement of ESG targets, are recognised according to the Solely Payment Of Principal And Interest (SPPI) assessment. On this aspect, the IASB provided some clarification on how such clauses are treated for SPPI assessment purposes in its amendments to IFRS 9 and IFRS 7 "Amendments to the Classification and Measurement of Financial Instruments" published on 30 May 2024 **,** which take effect for annual periods beginning on or after 1 January 2026.

Based on preliminary analyses performed, the Group believes that the ESG clauses currently in force for the products offered to its customers are SPPI-compliant, since:

&nbsp;&nbsp;&nbsp;&nbsp;· following
 qualitative and quantitative assessments of the residual impact of those clauses on the contractual
 cash flows on the financial instrument, it was found that they are non-critical;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 change in cash flows is linked to a contingent event incumbent on the debtor, such as the
 debtor meeting targets to reduce gas emissions, and not to market parameters/indices;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 cash flows resulting from the occurrence or non-occurrence of the contingency event represent
 neither an investment in the debtor nor exposure to the performance risk of the specified
 assets.

Therefore, the Group's credit products with "ESG covenants" are fully classified in the portfolio of "Financial assets measured at amortised cost", consistent with the HTC business model and the SPPI test passed.

The same considerations apply to the Group's investments in securities that incorporate ESG covenants, for the purposes of classifying them within the portfolio of "Financial assets measured at amortised cost" and "Financial assets measured at fair value through other comprehensive income".

Other Matters

Classification criteria for financial assets

The classification of financial assets in the three categories envisaged by the standard depends on two classification criteria, or drivers: the business model with which the financial instruments are managed and the contractual characteristics of the cash flows of the financial assets (or SPPI Test).

The financial asset classification derives from the combination of these two drivers, as shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· Financial
 assets measured at amortised cost: assets that pass the SPPI test and fall under the Hold
 to Collect business model (HTC);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Financial
 assets measured at fair value through other comprehensive income (FVOCI): assets that pass
 the SPPI test and fall under the Hold to Collect and Sell business model (HTC&S);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Financial
 assets measured at fair value through profit or loss (FVTPL): a residual category, which
 includes financial instruments that cannot be classified in the previous categories based
 on the results of the business model test or the test on the characteristics of contractual
 cash flows (SPPI test failed).

BANCA MONTE DEI PASCHI DI SIENA

Business Model

With regard to the business model, IFRS 9 identifies three cases in relation to the methods by which cash flows are managed and financial assets are sold:

&nbsp;&nbsp;&nbsp;&nbsp;· *Hold to Collect (HTC)*: a business model whose objective is achieved by collecting contractual
 cash flows from the financial assets included in the relative portfolios. The inclusion
 of a financial asset portfolio under this Business Model does not necessarily mean that the
 instruments cannot be sold, though it is necessary to consider the frequency, value, and
 timing of sales in previous financial years, reasons for sales, and expectations regarding
 future sales;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· *Hold to Collect and Sell (HTCS)*: a mixed business model, whose objective is achieved by collecting
 contractual cash flows from the financial assets included in the portfolios and by sales
 activities, which is an integral part of the strategy. Both activities (collection of contractual
 cash flows and sales) are essential for achieving the Business Model's objective. Therefore,
 sales are more frequent and for greater amounts than an HTC Business Model and are an essential
 component of the strategies pursued;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Other/Trading:
 a residual category that includes both financial assets held for trading purposes and financial
 assets managed with a business model other than the previous categories (Held to Collect
 and Hold to Collect and Sell). In general, this classification applies to a portfolio of
 financial assets whose management and performance are assessed based on fair value.

The Business Model reflects the methods by which financial assets are managed to generate cash flows for the entity's benefit and is defined by top management through the appropriate involvement of business structures. It is determined by considering the ways in which financial assets are managed and, as a consequence, the extent to which the portfolio's cash flows derive either from the collection of contractual cash flows, or from the sale of financial assets, or from both of these events.

The assessment does not take place on the basis of scenarios that, based on the entity's reasonable forecasts, are not likely to occur, such as "worst case" or "stress case" scenarios. For example, if the entity expects to sell a given portfolio of financial assets only in a "stress case" scenario, that scenario does not affect the assessment of the entity's Business Model for those assets if that scenario, based on the entity's reasonable forecasts, is not likely to occur.

The Business Model does not depend on the intentions that management has for an individual financial instrument, but refers to the ways in which groups of financial assets are managed for the purpose of achieving a specific business objective.

In summary, the Business Model:

&nbsp;&nbsp;&nbsp;&nbsp;· reflects
 the methods by which financial assets are managed to generate cash flows;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· is
 defined by top management through the appropriate involvement of business structures;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· must
 be determined by considering the methods by which financial assets are managed.

When assessing a Business Model, all relevant factors available at the assessment date are used. These factors include the strategy, risks and their management, remuneration policies, reporting, and the amount of sales. In analysing the Business Model, it is crucial that the factors evaluated are consistent amongst themselves and, in particular, are consistent with the strategy pursued. Evidence of activity not in line with the strategy must be analysed and adequately justified.

For the Hold to Collect portfolios, the Group has defined eligibility thresholds for sales that do not affect the classification (frequent but not significant, individually and in the aggregate, or infrequent though of a significant amount) and, at the same time, established the parameters to identify sales consistent with this Business Model, when they are attributable to an increase in credit risk.

More specifically, as part of an HTC Business Model, sales are permitted i) in the event of an increase in credit risk, ii) when carried out near maturity, and finally, iii) when they are frequent but not significant in terms of value or infrequent, even if their value is significant.

A description of the circumstances on the occurrence of which the Group deems admissible to implement sale transactions of the assets in question is given below.

**Increase in credit risk**

The Group deems that there is an increase in credit risk when events occur that involve:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 classification of the financial asset under stage 2, previously classified under stage 1;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 classification of the financial asset under impaired assets (or stage 3), previously classified
 under stages 1 or 2.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

On the occurrence of these cases, sales are admissible, independently of any frequency or significance threshold; this occurs, for example, in the case of transfers of non-performing loans.

**Proximity of the instrument's expiry**

The Group deems that, independently from any frequency or significance threshold, transfers are compatible with the HTC business model if the time interval before the expiry is 10% of the original duration of the instrument, with a maximum absolute limit of 12 months, and the difference between the amount earned from sales and residual contractual cash flows is not greater than 5% in absolute terms.

**Frequency and significance lower than determined thresholds**

&nbsp;&nbsp;&nbsp;&nbsp;· frequency
 is defined as the percentage ratio between the number of positions sold (ISIN or relationships)
 during the observation period and the total positions in the portfolio present at the beginning
 of the observation period. Sales carried out based on a number lower than a value equal to
 5% of the number of securities held in the portfolio at the start of the year are infrequent
 (this value is equal to zero if the number of securities at the start of the year is under
 40);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· significance
 is defined as the percentage ratio between the nominal value of sales and the total nominal
 value of instruments in the portfolio present at the beginning of the observation period.
 The significance threshold of individual sales identified by the Group is 5%.

The two thresholds must be considered in a separate manner; it derives that individual sales made for an amount higher than 5% compared to initial amount, even if infrequent, are not admissible. In the case that both the frequency and significance thresholds are met for an individual sale, a further assessment is envisaged in terms of aggregate sales volume. In this case, the significance threshold of the aggregate amount of sales identified by the Group is 10%.

These thresholds were established and applied at the level of both the individual legal entity belonging to the Group and the Group itself and only for the debt securities portfolio, as the sales of loans portfolios made by the Group are attributable to an increase in the credit risk and to the strategy of de-risking required by the Supervisory Authority.

"Hold to Collect" Business Model – Sales

The accounting standard IFRS 9 requires that the exposures included in the portfolio of "Financial assets measured at amortised cost" be disposed of under the circumstances described above. With regard to this it should be noted that transfers of debt securities made by the Group in 2024 took place for a total nominal value of approximately EUR 389.5 mln in compliance with the significance and frequency thresholds, declared in the Group's accounting policies, illustrated in part "A.2 Part relating to the main items of the financial statements", paragraph "Other Information, Other Aspects - Business Model", to which reference is made for further details.

In addition, as part of the derisking process described in the "Significant event in 2024" section of the Group's Report on Operations, disposals of non-performing exposures in the form of loans to customers continued in 2024; these were deemed eligible regardless of any frequency and materiality thresholds, in line with the rules set out in IFRS 9 and the Group's policy.

During 2024 and until the date of preparation of these financial statements there were no changes with regard to the admissibility criteria of sales of financial assets managed with the "HTC" Business Model. Lastly, please note that the management of debt securities classified in "HTC" and "HTCS" portfolios continue in accordance with the choices made in previous financial years; therefore, no change in the Business Model has occurred during the financial year which required a reclassification of the securities portfolio.

SPPI test

The other criterion to be used to determine whether a financial asset should be classified under financial instruments measured at amortised cost or at FVOCI - in addition to the Business Model analysis shown above - requires that the terms of contract relating to the asset establish provide for cash flows equivalent to solely payments of principal and interest on the principal amount outstanding (SPPI), repayable on specified dates. This assessment must be carried out for loans and debt securities in particular.

Each financial instrument must undergo SPPI assessment at the time it is recognised in the financial statements.

Subsequent to its initial recognition, and for as long as it is recognised in the financial statements, the asset no longer undergoes further valuations for SPPI assessment purposes. Where derecognising a financial instrument and recognising a new financial asset, the new asset must undergo SPPI assessment.

BANCA MONTE DEI PASCHI DI SIENA

For purposes of the analysis, IFRS 9 proposes a definition of the terms "principal" and "interest", as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 principal is intended as the fair value of the financial asset at the time of its initial
 recognition. This value may change during the life of the financial instrument, for example
 due to repayments of a portion of the principal;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· interest
 is the consideration for the time value of money, for the credit risk associated with the
 principal over a given period of time, for other risks and costs associated with the basic
 risks of a lending transaction, and for the profit margin.

In basic lending arrangements, the value of interest must depend exclusively on the time value of money and on the credit risk associated with the principal over a given period of time. Whenever the contractual terms introduce exposure to risk or volatility of contractual cash flows that is inconsistent with the definition of a basic lending arrangement, such as exposure to changes in equity or commodity prices, the contractual flows do not meet the definition of SPPI.

In cases where the time value of money is modified – for example when the interest rate of the asset is periodically restated, but the frequency of this restatement or the frequency of the payment does not correspond to the nature of the interest rate (for example, the interest rate is revised monthly on the basis of a one-year rate) or when the interest rate is periodically re-determined on the basis of an average of particular short or medium-long term rates – the undertaking must assess, both using quantitative and qualitative elements, if the contractual flows still meet the definition of SPPI (so-called benchmark cash flows test). If the test shows that the contractual cash flows (not discounted) are "significantly different" from the cash flows (also not discounted) of a benchmark instrument (i.e. without the modified time value element) the cash flows contractual agreements cannot be considered as meeting the definition of SPPI.

Particular analyses (so-called "look through tests") are required by the standard and are consequently carried out also for multiple contractually linked instruments ("contractually linked instruments" - CLI) that create concentrations of credit risk for debt relief and for non-recourse assets, for example in cases where the receivable can be asserted only in relation to certain assets of the debtor or the cash flows deriving from certain assets.

In addition, any contractual clauses that could change the frequency or amount of contractual cash flows must be considered in order to assess whether such cash flows meet the requirements to be SPPI compliant (e.g., prepayment options, possibility to defer the contractually agreed cash flows, instruments with embedded derivatives, subordinated instruments, etc.).

However, as required by IFRS 9, a contractual cash flow characteristic does not affect the classification of the financial asset if it can only have a de minimis effect on the contractual cash flows of the financial asset (in each financial year and cumulatively). Similarly, if an element of cash flows is not realistic or genuine, i.e., if it affects the instrument's contractual cash flows only at the occurrence of an extremely rare, highly unusual, and very unlikely event, it does not affect the clas-sification of the financial asset.

For purposes of conducting the SPPI test on transactions in debt securities, MPS Group uses the services of an info-provider. The test is carried out manually using a proprietary tool based on an internally developed methodology (decision trees) only if the securities are not managed by the info-provider.

A proprietary tool based on a method developed in-house (decision trees) was developed to perform the SPPI test for credit approval processes. In particular, given the significantly different characteristics, differentiated management is envisaged for products that have a standard contract (typically, the retail loan portfolio) and tailor-made loans (typically, the corporate loan portfolio). For standard products, the SPPI test is conducted when the standard contract is structured, through the "Product Approval" process, and the test result is extended to all individual relationships that refer to that product in the catalogue. Instead, for tailor-made products, the SPPI test is carried out for each new credit line/relationship submitted to the decision-making body through the use of the tool. Decision trees - included in the proprietary tool - have been prepared internally (both for debt securities and loans) and capture possible features that may not comply with the SPPI test. The trees are used both for the implementation of the rules of the proprietary tool and for the verification and validation of the methodology adopted by the info-providers.

Use of estimates and assumptions when preparing financial statements

The application of certain accounting standards necessarily implies the use of estimates and assumptions that impact the values of the assets and liabilities recognised in the financial statements as well as the disclosure provided on contingent assets and liabilities. The assumptions underlying the estimates developed take into consideration all available information at the date on which these consolidated financial statements were drafted as well as the assumptions considered reasonable, also in light of historical experience. By their very nature, it is therefore not possible to exclude that the assumptions used, albeit reasonable, may not be confirmed in the future scenarios in which the Group will be operating. In this regard, it should be noted that the macroeconomic scenario continues to be affected by significant uncertainty as a result of geopolitical tensions which, following the onset of the Russia-Ukraine conflict and consequent international sanctions, have also affected the Middle East; allied to this is the international awareness of climate risks and the measures needed to counter them. These uncertainties have affected the Financial Statement estimates, with significant judgement required

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

in selecting the assumptions and hypotheses underlying the estimates. The results achieved in the future therefore could differ from the estimates developed in order to draft these consolidated financial statements and as a result adjustments may be required, to an extent that cannot currently be predicted or estimated, with respect to the carrying amount of the assets and liabilities recognised in the financial statements.

In this regard, please note that estimates could need to be revised following changes in the circumstances on which they were based, the availability of new information or the increased experience gained.

Lastly, please note that in order to allow an appreciation of the effects on the financial statements correlated to above mentioned elements of uncertainty, in these consolidated financial statements, for the main items of the financial statements subject to estimates (recoverability of deferred tax assets, expected losses on performing loans, recoverability of intangible assets with an indefinite useful life) information is provided on the main hypotheses and assumptions used in the estimate, as well as a sensitivity analysis with respect to alternative hypotheses.

The accounting policies considered to be the most critical for the purpose of a true and fair representation of the Group's financial situation and results of operations, both in terms of materiality of the values to be recorded in the Financial Statements impacted by these policies, and for the high degree of judgement inherent in the measurements, which implies the use of estimates and assumptions by management, with reference to the specific sections of the Notes to the financial statements for detailed information on the evaluation processes carried out at 31 December 2024.

The main cases in which subjective valuations are mostly opted for by Management include:

&nbsp;&nbsp;&nbsp;&nbsp;a) quantification
 of impairment losses on loans and, more generally, other financial assets;

&nbsp;&nbsp;&nbsp;&nbsp;b) assessment
 of the adequacy of the value of equity investments and of other non-financial assets (goodwill,
 intangible assets, and property, plant and equipment, including right of use assets acquired
 through leasing);

&nbsp;&nbsp;&nbsp;&nbsp;c) use
 of valuation models to measure the fair value of financial instruments not listed in active
 markets;

&nbsp;&nbsp;&nbsp;&nbsp;d) estimation
 and assumptions on recoverability of deferred tax assets;

&nbsp;&nbsp;&nbsp;&nbsp;e) estimation
 of liabilities arising from defined benefit company pension funds;

&nbsp;&nbsp;&nbsp;&nbsp;f) quantification
 of provisions for risks and charges related to legal and tax disputes;

&nbsp;&nbsp;&nbsp;&nbsp;g) quantification
 of the fair value of investment properties and operating properties for business use.

For some of the cases listed above, the main factors that are subject to estimates by the Group, and which therefore contribute to determining the book value of assets and liabilities in the financial statements, can be identified.

In summary, note that:

&nbsp;&nbsp;&nbsp;&nbsp;a) for
 the allocation in the three credit risk stages envisaged in IFRS 9 for loans and debt securities
 classified as "Financial assets measured at amortised cost" and "Financial
 assets measured at fair value through other comprehensive income", and the calculation
 of the expected losses, the main estimates concern:

determination of the parameters of significant increase in credit risk, based essentially on models for measuring the probability of default (PD) at the origination of financial assets and at the reporting date;

- inclusion of forward-looking elements, including macroeconomic, for calculating PD, EAD, and LGD;

calculation of the expected cash flows on non-performing loans, which take account of the expected recovery timing, the estimated realizable value of collaterals, if any, as well as the costs expected to be incurred for the recovery of the credit exposure; and finally

- calculation of the probability of sale for positions that have a disposal plan;

&nbsp;&nbsp;&nbsp;&nbsp;b) for
 calculating the value in use of intangible assets with indefinite life (goodwill) with reference
 to the cash generating units (CGUs) that make up the Group, future cash flows for the forecast
 period and cash flows used to determine the terminal value generated by the CGUs are estimated
 separately and are appropriately discounted. The cost of capital is included in the estimates;

&nbsp;&nbsp;&nbsp;&nbsp;c) for
 calculating the fair value of financial instruments not listed on active markets, if it is
 necessary to use parameters that cannot be inferred from the market, the main estimates concern,
 on one hand, the development of future cash flows (or also profits for equity securities),
 possibly contingent upon future events and, on the other, the level of certain input parameters
 not listed on active markets;

&nbsp;&nbsp;&nbsp;&nbsp;d) for
 quantifying post-employment benefits, the present value of the obligations is estimated,
 taking into account the cash flows, appropriately discounted, resulting from the historical
 statistical analysis and the demographic curve;

&nbsp;&nbsp;&nbsp;&nbsp;e) for
 quantifying provisions for risks and charges, the amount of disbursements necessary to satisfy
 the obligations is estimated, where possible, taking into account the effective probability
 of having to make use of resources;

&nbsp;&nbsp;&nbsp;&nbsp;f) for
 calculating the items related to deferred taxation, the probability that taxes will effectively
 be incurred in the future (temporary taxable differences) and the degree of reasonable certainty
 - if any - of future taxable profits at the time the taxes can be deducted is estimated (temporary
 deductible differences and accumulated tax losses);

&nbsp;&nbsp;&nbsp;&nbsp;g) for
 the determination of the fair value of the properties, carried out through the preparation
 of specific appraisals by a qualified and independent company, certain unobservable input
 data are estimated, such as, for example, the lease fee, the sales price, the discount rate,
 the capitalization rate of income, etc.

BANCA MONTE DEI PASCHI DI SIENA

For points a), b) and f), please refer to the subsequent paragraphs: "Methods for calculating impairment on IFRS 9 financial instruments", "Methods for calculating impairment on equity investments", "Methods for calculating impairment on other non-financial assets" and "Methods for recognising deferred tax assets (probability test)"; for point g) refer to the paragraph "Determination of the fair value of property" and finally for point c) to the contents of paragraph A.4.5 "Fair Value Hierarchy" of these Notes to the financial statements. The actual technical and conceptual solutions used by the Group are analysed in more detail in the individual sections of the notes to the balance sheet and income statement, where the distinct contents of each item in the financial statements are described. With regard to the cases referred to in points d) and e), please refer to Section 10.5 under liabilities in the Notes to the Financial Statements "Defined benefit company pension funds" and Part E of the Notes to the Financial Statements, Section 1.5 "Operational risks".

**Methods for calculating impairment on IFRS 9 financial instruments**

Pursuant to IFRS 9, at each reporting date, financial assets other than those measured at fair value through profit or loss are subject to an impairment test, aimed at estimating the expected credit loss (ECL). A similar analysis is also carried out for commitments to disburse funds and for guarantees issued that fall within the scope to be subject to impairment according to IFRS 9.

In particular, the ECL model provides the aforementioned financial assets must be classified in three distinct "stages", according to their credit quality in absolute terms or relative to that at initial disbursement, to which different measurement criteria for expected losses are applied. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 1: includes performing exposures that have not undergone a significant change in credit risk
 with respect to the initial recognition. The value adjustments correspond to the expected
 losses related to the verification of default in the 12 months following the reporting date;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 2: includes performing exposures whose creditworthiness has been affected by a significant
 change in credit risk, but for which the losses are not yet observable. Adjustments are calculated
 considering the expected loss over the remaining life of the instrument (lifetime);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 3: includes all non-performing exposures that present objective evidence of deterioration
 and which must be adjusted by using the lifetime expected loss concept<sup>64</sup>.

Financial assets considered as impaired since their acquisition or origin (POCI - purchased or originated credit impaired), are an exception to the above, whose accounting treatment was discussed in the paragraph above dedicated to this topic.

The scope of exposures classified in stage 3 includes the corresponding non-performing exposures, in accordance with the provisions of the Bank of Italy rules, defined in Circular no. 272 of 30 July 2008, as updated, and referred to in Bank of Italy Circular no. 262 "Bank financial statements: compilation formats and rules", to the non-performing exposures aggregate pursuant to ITS EBA (EBA/ITS/2013/03/rev1 24/7/2014)<sup>65</sup>.

In detail, the aforementioned circulars identify the following categories of non-performing assets:

&nbsp;&nbsp;&nbsp;&nbsp;· Bad
 loans: these represent the aggregate of on- and off-balance sheet exposures to a party in
 a status of insolvency (even if not judicially certified) or in essentially comparable situations,
 regardless of any loss forecasts made by the Bank;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Unlikely
 to pay exposures: represent the on- and off-balance sheet exposures for which the borrower
 does not meet the conditions for classification under bad loans and for which it is considered
 unlikely that the borrower will be able to fully satisfy the credit obligations (in terms
 of principal and/or interest) without recourse to actions such as the enforcement of collateral.
 This assessment is carried out regardless of the existence of any overdue and unpaid amounts
 (or instalments). The classification among unlikely to pay exposures is not necessarily linked
 to the explicit presence of anomalies, such as a missed repayment, but rather is linked to
 the existence of elements that would indicate a situation of risk that the debtor may default
 (e.g., a crisis in the debtor's business sector);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Past
 due and/or overdrawn exposures: on-balance sheet exposures, other than those classified as
 bad loans or unlikely to pay exposures, which, at the reporting date, are past due and/or
 overdrawn for more than 90 days, according to the significance threshold envisaged in the
 aforementioned legislation. For the MPS Group, non-performing past due and/ or overdrawn
 exposures are determined in reference to the position of an individual debtor.

---

| | |
|:---|:---|
| 64 | The assessment is statistical for positions with a balance of less than EUR 1m and analytical, carried out by the managers, for positions above that threshold. |
| 65 | The regulatory framework of the New Definition of Default was supplemented with the application, starting from 1 January 2021, of the "Guidelines on the application of the definition of default as per Article 178 of EU Regulation no. 575/2013" (EBA/GL/2016/07). |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The Group adopts a "debtor-by-debtor" approach to identify non-performing exposures. In this sense, the other party to the loan is assessed overall and subsequently classified, rather than assessing the individual loans granted to that party.

In addition, the Bank of Italy regulations, in line with EBA standards, have introduced the definition of "forborne exposures". This concerns, in particular, exposures benefiting from tolerance measures, which consist of concessions granted to the debtor, in terms of modification and/or refinancing of a pre-existing loan, exclusively because of, or to prevent, a state of financial difficulty that could have negative effects on the debtor's ability to fulfil the contractual commitments originally assumed, and that would not have been granted to another debtor with a similar risk profile not in financial difficulty. These concessions must be identified at the level of the individual credit line and may relate to exposures of debtors classified either in the performing or the non-performing (impaired) status. For exposures with forbearance measures classified as unlikely to pay exposures, the recovery to a position of performing can only take place after at least one year has elapsed from the time the concession was granted (known as the "cure period") and all the other conditions provided for in para-graph 157 of the EBA ITS are satisfied.

In any case, renegotiated exposures should not be considered forborne when the debtor is not in a situation of financial difficulty (renegotiations carried out for commercial reasons).

**Impairment of performing financial assets**

For performing financial assets, i.e., those assets not considered to be impaired, it must be determined, at the individual relationship level, if there is a significant deterioration of credit risk, by comparing the credit risk associated with the financial instrument at the time of measurement and that at the initial moment of disbursement or acquisition. This comparison is made using both quantitative and qualitative criteria. The results of this assessment, in terms of classification (or, more appropriately, staging) and measurement, are the following:

&nbsp;&nbsp;&nbsp;&nbsp;· when
 these indicators are present, the financial asset is included in stage 2. In this case, the
 assessment requires that impairment is recognised equal to the expected losses over the entire
 residual life of the financial instrument, consistent with the provisions of international
 accounting standards and even if a loss in value has not yet occurred. These adjustments
 are reviewed at each subsequent reporting date both to periodically check that the continuously
 updated loss estimates are consistent, as well as to take into account - in the event that
 indicators of a "significantly increased credit risk" no longer exist - of the
 change in forecast horizon for calculation of expected loss;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· where
 these indicators are not present, the financial asset is included in stage 1. In this case,
 the assessment requires that expected losses are recognised on the specific financial instrument
 over the next twelve months, consistent with the provisions of international accounting standards
 and even if a loss in value has not yet occurred. These adjustments are reviewed at each
 subsequent reporting date both to periodically check that the continuously updated loss estimates
 are consistent, as well as to take into account - if indicators of a "significantly
 increased credit risk" are detected - the change in forecast horizon for calculation
 of expected loss.

As regards the measurement of financial assets and, in particular, the identification of a "significant increase" in credit risk (a necessary and sufficient condition for classification of the asset being assessed in stage 2), the elements that constitute the main determinants to be taken into consideration, according to the standard and its operating procedure implemented by the MPS Group, are the following:

&nbsp;&nbsp;&nbsp;&nbsp;· relative
 quantitative criterion as "main" driver, based on the change (beyond established
 thresholds) in the lifetime probability of default compared to when the financial instrument
 was initially recognised in the financial statements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· absolute
 qualitative criteria, represented by the identification of trigger events or exceeding absolute
 thresholds as part of the credit monitoring process, and backstop indicators, i.e., credit
 delinquency factors, which suggest that there has been a significant increase in credit risk,
 unless there is evidence to the contrary. The category comprises:

<sub> </sub>

- all exposures affected by forbearance measures and for which these measures are still active, regardless of whether the probation period underway is regular;

- exposures of counterparties classified in the Proactive Management portfolio characterised by high risk elements<sup>66</sup>;

- exposures past due by more than 30 days.

- exposures to retail counterparties and businesses with a turnover of less than EUR 50 mln and classified by the early warning system in the highest risk class (A8)<sup>67</sup>.

---

| | |
|:---|:---|
| 66 | On the basis of internal policies, the macro-factors that determine the assignment of the "Proactive Management" management category are the internal rating class (below the D1 threshold) or the "activation" of default detection parameters of the early warning systems classified as highly relevant or binding, which include the EBITDA; these parameters pertain to areas of investigation relating to prejudicial, performance, centralised risks, Financial Statements and the forbearance state in loans. |
| 67 | A8 is the highest EWS risk class for a stage 1 exposure. |

---

BANCA MONTE DEI PASCHI DI SIENA

With particular reference to the relative quantitative criterion applicable to credit exposures with customers, the MPS Group has determined as a reference the change, within internal thresholds differentiated by segment, product, initial rating class, vintage and geographical area, between the lifetime forward-looking cumulative probability of default (PD), calculated at the beginning of the contractual relationship, and the probability of default recorded at the measurement date. If these thresholds are exceeded, it signifies a significant increase in credit risk and the resulting transfer of the individual credit line from stage 1 to stage 2. The comparison is based on the homogeneous residual durations and on homogeneous PD models, for example, if the definition of default changes over time, the original lifetime forward-looking cumulative PD is recalculated to take account of said new definition of default. Cumulative PDs subject to comparison are based on the same model used for ECL purposes (e.g. definition of PIT (Point in Time) PD, macroeconomic scenarios, expected life/contractual life). In order to obtain a unique classification result, use is made of a cumulative PD resulting from the weighted average of the cumulative PDs calculated for the individual prospective scenarios using the probabilities of the scenarios as weights. The threshold of significance is determined by historically measuring, through quantile regression analysis per cluster, that level of ratio, between the lifetime forward-looking cumulative PD at the reporting date and that at the origination date, which may be considered predictive of the classification as NPE<sup>68</sup>. The threshold is determined so as to minimise false positives and false negatives and maximise true positives and true negatives.

In cases where it is difficult to identify risk factors or indicators at the level of individual borrowers, the significant increase in credit risk may be assessed by means of a collective approach that allows the components of the loan portfolio that are most likely to be affected by a crisis to be highlighted without, however, identifying them on an individual basis.

For debt securities that do not have rating equal to or above investment-grade ratings, the relative quantitative criterion is based on the variation in lifetime forward-looking cumulative PD between the reporting date and the origination date above compared with a certain threshold. For corporate issuers, the multi-year PD curve is the multi-year corporate segment one relating to vintage 1 estimated entirely by the Group; for government issues, the multi-year PD curve is the one prepared on the basis of the Moody's, Standard & Poor's and Fitch migration matrices of 1-year for government bonds; Standard & Poor's migration matrices corresponding to the Euro area were used to estimate multi-year PDs of credit exposures to banks and non-banking and financial institutions (NBFIs). Moody's multi-year PD matrix is used for securities issued against both own and third-party securitisations. Cumulative PDs subject to comparison are based on the same model used for ECL purposes and macroeconomic scenarios. In order to obtain a unique classification result, use is made of a cumulative PD resulting from the weighted average of the cumulative PDs calculated for the individual prospective scenarios using the probabilities of the scenarios as weights. The exposures are classified into stage 2 if the ratio between the lifetime forward-looking cumulative PD at the reporting date and that of the origination date exceeds a given threshold of significance equal, both for corporate bonds and government bonds, to that used for corporate exposures in the form of loans.

Debt securities that, at the reporting date, have an investment-grade rating, mainly related to government securities, are classified in stage 1 because in this case, and only for this case, the MPS Group used the "Low Credit Risk Exemption". This exemption consists of the practical expedient of not conducting the test for significant deterioration of credit risk on exposures whose credit risk is considered low. This exemption applies to securities that, at the valuation date, have a rating level equal to investment grade, in full compliance with the provisions of IFRS 9. For debt securities, as well, a qualitative criterion was introduced to identify the existence of a "significant increase" in credit risk, which determines the stage 2 allocation of tranches belonging to counterparties in the high-risk management portfolio. In addition, given the presence of several purchase transactions on one fungible asset (ISIN), it was necessary to identify a methodology to identify the tranches sold in order to determine the residual quantities to which credit quality at initial recognition date can be associated, in order to compare it with credit quality at the measurement date. In this context, the "first-in-first-out" or "FIFO" methodology was deemed most appropriate, as it enables more transparent portfolio management, including from the operational perspective (front office), allowing, at the same time, a continuous updating of the creditworthiness assessment based on new purchases.

In general, the transfer criterion between stages is symmetrical. Specifically, an improvement in credit risk which involves the elimination of the conditions that led to the significant increase in said credit risk involves the reallocation of the financial instrument from stage 2 to stage 1. In this case, the entity recalculates the value adjustment on a twelve-month time horizon rather the previously recognised lifetime losses, by booking a write-back to the income statement. In order to reduce the frequency of transfers between stages, a stabilisation rule was introduced by the Group that requires a probation period both inbound and outbound.

Once the assignment of exposures into the various credit risk stages has been defined, the expected losses (ECL) are calculated, at the level of individual transaction or security tranche, starting from IRB/management modelling, based on the parameters of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), to which specific adjustments are made, in order to ensure compliance with the specific requirements of IFRS 9.

68 The classification as NPE is measured over multi-year time horizons

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The PD, LGD, and EAD are defined as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· PD
 (Probability of Default): likelihood of transferring from a performing status to that of
 non-performing over a one-year time horizon. In models consistent with supervisory provisions,
 the PD factor is typically quantified through the rating. In the MPS Group, PD values derive
 from internal rating models where available, supplemented by external valuations or average
 data for segment/portfolio;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· LGD
 (Loss Given Default): percentage of loss in the event of default. In models consistent with
 supervisory provisions, this factor is quantified using historical data on actual recoveries
 of loans that transferred to non-performing status;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· EAD
 (Exposure At Default) or credit equivalent: amount of exposure at the time of default.

As previously pointed out, in order to comply with the provisions of IFRS 9, specific adjustments must be made to the aforementioned factors, including:

&nbsp;&nbsp;&nbsp;&nbsp;· adoption
 of a Point in Time (PIT) PD against the Through the Cycle (TTC) PD used for regulatory purposes;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· elimination
 of certain additional components from LGD, such as indirect costs (non-recurring costs),
 further conservative margins specifically introduced for statutory models, the component
 linked to the economic downturn; as well as to reflect the most current recovery rates (PIT),
 forward-looking expectations about future trends and the inclusion of any recovery fees if
 collection is assigned to a third party;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· use
 of multi-year PDs and, where necessary, LGDs in order to determine the expected loss for
 the entire residual life of the financial instrument (stages 2 and 3);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· use
 of the effective interest rate of the individual transaction in the process of discounting
 expected future cash flows, as opposed to that which is set forth in regulatory models, in
 which individual cash flows are discounted using discount rates determined in accordance
 with prudential regulations.

In relation to the multi-year EAD, the MPS Group (in line with IFRS 9 provisions), takes as reference the contractual maturity plans to determine when cash flows will be due, whereas for demand exposures it uses a behavioural model to estimate the repayment profile – as also used for liquidity risk and ALM assessments – broken down by type of customer, regardless of the measurement methods (amortised cost or fair value through other comprehensive income). For commitments to disburse funds and guarantees given (off-balance sheet exposures), EAD is instead taken at nominal value weighted by a specific credit conversion factor (CCF).

IFRS 9 establishes that, at each reporting date, an entity must measure the impairment of an asset based on the expected credit loss, based on available, reasonable and consistent information, without incurring excessive costs or making disproportionate efforts. Therefore, the forward-looking approach envisaged by IFRS 9 for purposes of determining the expected loss represents a key aspect of the measurement model.

Given the above, the MPS Group uses the forward-looking approach to estimate the expected loss, both in the analytical and collective measurements. The forward-looking approach is applied to the following statistical parameters:

&nbsp;&nbsp;&nbsp;&nbsp;· PD:
 Probability of Default, used for performing positions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· LGD/EAD:
 Loss Given Default (LGD), used for both performing and non-performing positions measured
 statistically; Credit Conversion Factor (CCF) used to estimate the EAD of performing positions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Cure/Danger
rate: used for unlikely to pay exposures other than positions statistically valued as lower than a given threshold;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· haircut
 for real estate collateral, used when applicable for the analytical measurement of bad loans
 and unlikely to pay exposures other than restructured loans.

Since the expected loss is estimated as the weighted average of a range of possible results, these parameters are first found based on historical data and then adjusted to take into account at least 3 economic scenarios that cover a horizon of at least 3 years in the future: baseline, best and worst.

The forward looking forecasts of the macroeconomic indicators, provided by a leading external consultant and internally re-formulated by the Studies and Research Function, are quantified based on three possible future scenarios, which consider the economic variables deemed relevant (Italian GDP, interest rates, unemployment rate, commercial and residential property prices, inflation, equity indices), with a future time horizon of three years to which the respective probabilities of occurrence are assigned, determined internally by the Group. The macroeconomic scenario is updated at least once a year, at the time of preparation of the separate financial statements and every time the latest base scenario shows, compared with the one already in use, a net cumulated difference of the GDP, over a 3 year period, greater than or equal to 0.5%, in absolute value.

BANCA MONTE DEI PASCHI DI SIENA

In greater detail, for the impairment of loans, in addition to the "baseline" scenario, i.e., the forecast macroeconomic scenario on the basis of which the MPS Group develops its projections of economic/equity and risk data over a short- and medium-term time frame, two symmetrical scenarios are assumed: an alternative severe scenario (severe but plausible) and an alternative improved scenario (best), which differ in their level of favour/adversity to economic development and growth. For more details on the macroeconomic scenarios incorporated in the calculation of expected losses of performing exposures, please refer to the following paragraph "Group macroeconomic scenario for the valuation of receivables in the 2024 financial statements".

The sensitivity of the statistical parameters to macroeconomic variables is estimated. In particular, the associations between the statistical parameter and macroeconomic variables are shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· PD:
 Italian GDP, unemployment rate, interest rates, inflation, commercial property prices, and
 stock indices;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· LGD/EAD:
 Italian GDP, unemployment rate, price of residential properties, interest rates, investments
 in construction, machinery and means of transport;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· cure/danger
 rates: Italian GDP and Residential property prices;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· haircut:
 commercial and residential property prices.

For those statistical parameters (e.g., PD) for which there is no linear relationship with the macroeconomic variable, the parameter measurement is not calculated based on the weighted average of the macroeconomic variables and using the respective probabilities as weights, but based on certain distinct measures of the parameter. In these cases, the weighted average occurs at the expected loss level.

For the estimate of expected losses over the life of the instrument, the reference period is represented by the contractual expiry date; for instruments that do not expire, the estimate of expected losses uses a time horizon estimated through a behavioural model for on-demand products and set to one year from the reporting date, in other cases.

Finally, with reference to the methodologies for estimating impairment of performing financial assets, in certain circumstances the need may arise to make temporary adjustments (management overlays), on a precautionary basis, to the results of the models adopted. That need may arise, for instance, as a result of unexpected external events that are unexpected outside the bank's control which have potential far-reaching consequences on the measurement of portfolio ECLs as a result of elements that are not adequately captured by the IFRS 9 models used. It must be noted that the IFRS 9 estimation methodologies are founded on experience-based assumptions, and are strongly anchored to historical observations, which are considered over a congruous time horizon and in a sufficiently stable backdrop. Therefore, in order to fully understand the effects of particular conditions of volatility or of possible significant economic deviations from the expected macroeconomic scenarios, including in relation to emerging risks, a specific reference framework of action was identified - duly approved by the competent management bodies - to factor in further elements to the ECL calculation that are not yet and/or are insufficiently covered by the models in use.

For further details on the model for determining expected losses on performing exposures, with particular reference to the stage assignment criteria, the method for calculating the risk parameters, the macroeconomic forecast scenarios and related probabilities of occurrence, and management overlays, please refer to the paragraph "Methods to measure expected losses" contained in "Part E - Information on risks and hedging policies" of these Notes to the financial statements.

**Impairment of non-performing financial assets**

As described earlier in the document, for non-performing financial assets, which are assigned a probability of default of 100%, the impairment amount for each loan is equal to the difference between the loan book value at the time of measurement (amortised cost) and the present value of estimated future cash flows, calculated by applying the original effective interest rate (or a proxy if not available). Cash flows are estimated based on expected recovery expectations over the lifetime of the loan, taking into account the presumed realisable value net of any collateral and any costs connected with obtaining the guarantee through sale. In this regard, in the event that the Group uses a third party to collect non-performing loans, the fees paid to the outsourcer for activities strictly related to collection are considered for the purpose of estimating impairment losses. These costs are considered for both non-performing and performing exposures, if for the latter it is probable that in the event of a transfer to bad loans, the collection activities will be assigned to third parties. Commissions paid to outsourcers are considered in LGD estimates used for statistical measurements of all administrative stages, in collection plans for bad loans, and in analytical measurements of unlikely to pay exposures.

For purposes of estimating future cash flows and the relative collection times, the loans in question of a significant amount are subject to an analytical assessment process. For some similar categories of non-performing loans whose unit amount is insignificant, the measurement processes allow that loss forecasts are based on lump-sum/statistical calculation methods, to be analytically assigned to each individual position. The perimeter of exposures subject to a lump-sum/statistical

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

measurement process, that is, based on statistical analyses of operational LGD, differentiated according to the segment and length of time in the risk state ("vintage") and suitably integrated to take into account forward-looking information, is represented by:

&nbsp;&nbsp;&nbsp;&nbsp;· bad
 loans and unlikely to pay exposures with exposures less than or equal to an established significance
 threshold of EUR 1 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· total
 non-performing past due exposures regardless of the exposure's significance threshold.
 In particular, these are loans that show continuous overdrawn situations or delayed payments,
 automatically identified by BMPS Group's IT procedures, according to the aforementioned
 rules of the Supervisory Authority.

The statistical valuation, carried out for bad loans and unlikely to pay exposures of less than EUR 1 mln and for all past-due and/or overdrawn loans, presents specific characteristics depending on the type of exposure involved.

With reference to bad loans, the statistical valuation is based on bad loans LGD grids, where the LGD model is mainly characterised by the differentiation of the loss rates, based on the permanence in the risk status ("vintage"), as well as the type of customer. The LGD grids are also differentiated by other significant analytical characteristics on the model estimation stage (e.g. technical form, type of guarantee, geographical area, exposure band, etc.). The recovery time grids, on the other hand, are broken down mainly by regulatory segment and by other significant analysis axes in the modelling (e.g. recovery procedures, exposure band, technical form).

With reference to unlikely-to-pay and non-performing past due loans, the valuation is carried out by applying statistical LGD grids specifically estimated for positions classified in these administrative categories, in line with the LGD grids estimated for bad loans. The LGD for unlikely-to-pay and non-performing past due loans is obtained by recalibrating the bad loans LGD through the danger rate module. The danger rate is a multiplicative correction factor aimed at recalibrating the bad loan LGD with the information available on other default events, so as to obtain an LGD representative of all possible default events and their evolution.

With regard to the treatment of mass sales, the Group distinguishes between ordinary and extraordinary transactions, where the extraordinary nature of the transfers is connected to the presence of important strategic elements and significant dimensions, and is evidenced by specific decisions of the ECB. Therefore, ordinary transfers are always included in the determination of the accounting LGD as the transfer represents an alternative collection method to a direct collection from the debtor; by contrast, extraordinary transactions are in no way considered representative of the transactions that the Group will carry out in the future, having now reached a physiological NPE ratio level and are therefore excluded from the estimation of the accounting LGD.

The analytical-specific valuation for bad loans and unlikely to pay exposures exceeding EUR 1 mln is an assessment made by the managers on the individual positions based on a qualitative-quantitative analysis of the economic and financial situation of the main debtor and the guarantors in order to identify and quantify the sources and recovery times consistent with the most likely scenario of evolution of the credit relationship, i.e. the restoration of the counterparty to performing status or, alternatively, the progressive decommitment also through the use of scheduled transfers in line with the NPE Strategy.

In particular, for bad loans, a set of factors are taken into account, which may or may not be present depending on the characteristics of the positions, and which must be assessed with the utmost accuracy and prudence, including by way of example:

&nbsp;&nbsp;&nbsp;&nbsp;· nature
 of the credit, preferential or unsecured;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· shareholders'
 equity of obligors/third parties providing collateral;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· complexity
 of existing or potential disputes and/or underlying legal issues;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· exposure
 of obligors to the banking system and other creditors;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· latest
 available financial statements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· legal
 status of obligors and pending bankruptcy and/or individual proceedings.

To find the estimated realizable value of loans secured by real estate and to take into account both the historical collection data, differentiated between commercial and residential properties, and forward-looking considerations, in line with IFRS 9, the approach adopted is focused on the valuation of real estate in reference to the average expected auction and the corresponding reduction in the observed price, calculating the average haircuts differentiated by type of real estate guarantee (residential and non-residential).

With reference to bad property loans deriving from lease contracts, in light of the peculiarities of the product (absence of auctions), the haircut is estimated as the depreciation of the asset observed between the last available appraisal value and the expected sale price, determined on the basis of the evidence emerging from the recovery process.

BANCA MONTE DEI PASCHI DI SIENA

The assessment of unlikely to pay exposures is based on a qualitative-quantitative analysis of the economic, equity and financial situation of the debtor and on a timely verification of the risk situation.

The impairment loss is calculated including the measurement of future cash flows that it is assumed the debtor is able to produce and which will also be used to service the financial debt. This estimate must be made on the basis of two alternative approaches:

&nbsp;&nbsp;&nbsp;&nbsp;· business
 continuity scenario (so-called "Going Concern Approach"): the borrower's
 operating cash flows (or that of effective guarantor) continue to be produced, and are used
 to repay the financial debts contracted, based on the scheduled repayment plans. The going
 concern assumption does not exclude the possible realisation of collateral, but only to the
 extent that this can occur without jeopardising the debtor's ability to generate future
 cash flows. The going concern approach also applies to cases in which the recoverability
 of the exposure is based on the possible sale of assets by the debtor or extraordinary transactions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· scenario
 of cessation of activity (so-called "Gone Concern Approach"): applicable in cases
 in which it is believed that the debtor's cash flows will be significantly reduced
 or even in cases of reduced reliability of the corporate Business Plans. In this context,
 assuming that interventions by shareholders and/or extraordinary restructuring operations
 of the debt in a turnaround situation are not reasonable, loan collection is essentially
 based on the value of the collateral that supports the loan as well as, in the alternative,
 on the realisation value of the assets, taking into account liabilities and any rights of
 pre-emption.

In the case of unlikely to pay exposures secured by real estate and valued on the basis of the gone-concern scenario approach, the haircut is applied not to the entire market value of the guarantee (as in the case of bad loans) but only to the portion pertaining to the credit exposure that is expected to become bad loan; alternatively, the cure rate of the related exposures is taken into account.

The appraisals that can be used for the valuations are carried out by independent experts enrolled in Registers and/or Professional Associations and are subject to an annual update process.

By analysing the analysis of alternative collection scenarios, the Group notes that, for the objectives of reducing the stock of outstanding non-performing loans included in the business plans and the commitments undertaken with Supervisory Authorities, with specific reference to the "NPL Strategy", the Group considers the sale of portfolios as the strategy that can, under certain conditions, maximise the recovery of cash flows, also in consideration of collection times.

Consequently, the estimate of expected losses of exposures that can be sold varies depending on the forecast of the recoverable flows through internal management (work-out), as well as the forecast of recoverable flows through their possible sale on the market. If the Group's business plans and strategies identify specific disposal targets and, therefore, a portfolio of non-performing loans held for sale, the loans included in that portfolio are valued, until the disposal targets are reached, by taking into account both the value recoverable through operational management and market valuations (based on external appraisals) and/or sale prices, if already defined.

In particular, if a broad portfolio of loans held for sale is identified that comprises Group-owned loans that can be sold to meet the sale targets, the book value of that portfolio is measured by weighting the value recoverable through operations against the value recoverable through sale.

Based on these considerations, the accounting model for impairment for the Group's non-performing loans only envisages a different application for:

&nbsp;&nbsp;&nbsp;&nbsp;· loans
 subject to ordinary collection process: application of the relevant accounting policies previously
 illustrated;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loans
 included in the sale programme: measured with the ordinary policy plus any add-ons to adjust
 the portfolios to the presumable realisable value.

To determine the add-on, the Group considers the following elements:

&nbsp;&nbsp;&nbsp;&nbsp;· selection
 of the portfolios that are presumed to be sold: the perimeter includes positions with a certain
 attractiveness on the market that can also be inferred as a result of expressions of interest
 already received, as well as additional positions resulting from assessments of economic
 benefit performed by the Parent Company's competent bodies;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· probability
 of sale: the probability is guided by the target sales level included in the NPL Strategy;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· sale
 prices: derived from mass transactions on similar portfolios and single names made by the
 Group or from transactions carried out on the market in recent years.

The aforementioned add-on is not applied in the case of sales with a price constraint defined to an extent not lower than the net book value determined based solely on the ordinary collection process.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The method described above does not apply to receivables which, at the time of preparing these financial statements, have already been analytically identified as held for sale and which meet the conditions set forth in IFRS 5 for classification in the portfolio of assets held for sale. These receivables are measured according to the sale scenario only, to which a 100% probability is assigned, taking as reference the sale prices or, in any case, the information contained in contracts with counterparties (binding offers).

Within the range of possible approaches to estimation models permitted by the relevant international accounting standards, the use of a methodology or the selection of certain estimation parameters may significantly affect the valuation of receivables. These methodologies and parameters are necessarily subject to a continuous updating process, also in view of the historical evidence available, with the goal of refining the estimates to better represent the presumed realisable value of the credit exposure.

For updates introduced in the measurement of expected losses, please refer to the specific paragraph contained in the "Credit risk" section of "Part E - Information on risks and hedging policies" of these Notes to the financial statements.

In light of the above, it cannot be excluded that alternative monitoring criteria or different methodologies, parameters, assumptions in determining the recoverable value of the Group's credit exposures – also affected by possible alternative recovery strategies approved by the competent corporate bodies as well as the evolution of the economic-financial and regulatory context of reference – may determine different valuations with respect to those carried out for the purposes of preparing the consolidated financial statements as at 31 December 2024.

It should finally be noted that, as reported in the Group's Report on Operations, to which reference should be made for more details, an "on-site" inspection by the ECB got underway on 11 November 2024, regarding the risk of SME exposures. More specifically, the inspection concerns the review of the quality of assets vis-à-vis the aforementioned counterparties, an analysis of the IFRS 9 statistical models used to support the classification into stage 2 and the estimate of expected credit losses as well as the evaluation of the related management processes and procedures.

At the date of this Financial Report, no draft report containing the ECB's preliminary assessments had been received. Nevertheless, the information acquired from discussions with the inspection team, particularly regarding the perimeter of positions subject to analytical verification, have been evaluated and substantially incorporated into the findings of this Financial Report with the intention of making the best estimate of the recoverable value of exposures falling within the perimeter of the inspection in question. We cannot rule out that, following the audit of the Supervisory Body, additional new information may come to light, not known at the date of drafting of this report, to be considered for the purposes of assessing the credit portfolio.

**Incorporation of climatic and environmental risks in the determination of expected losses**

One of the most complex aspects to assess, for the purposes of estimating the expected losses of credit exposures, is the actual relevance of climatic and environmental risks, given the uncertainty that inevitably characterises forecasts of events that, by nature, are likely to occur over a long-term time period.

The models currently used by the Group to calculate expected losses (ECL) do not directly incorporate the risks arising from the exposure of debtor counterparties to climate and environmental factors, however, in 2024 the Group has continued to refine its PD, LGD and EAD models currently in use in order to be able to discriminate within them also the typical variables of climate and environmental risks such as physical and transition risk.

Pending the approval by the ECB of the 2024 model change, the Group has factored climate-environmental risks into the ECL calculation models for the year 2024, estimating the impacts that the different transition scenarios may produce on the accounting models currently in use, taking into account that these are scenarios characterised by transition policies and implementation times that can significantly affect various macroeconomic indicators. These risks were estimated using management adjustments from the core model findings (also known as management overlays), leading to a EUR 23.4 mln increase in expected losses (EUR 38.1 mln at 31 December 2023). Therefore, it cannot be ruled out that the possible development of models capable of more fully factoring climate and environmental risks may result in different assessments with respect to those conducted for the purposes of preparing these Consolidated Financial Statements.

For an illustration of how the Group is working to assess environmental factors in the context of lending policies, please refer to "Part E - Information on risks and hedging policies" of these Notes to the financial statements.

**Methods for calculating impairment on equity investments**

At the end of every reporting period, the equity investments in associates or jointly controlled entities are evaluated to check whether there is objective evidence of impairment that might render the book value of these assets not entirely recoverable.

BANCA MONTE DEI PASCHI DI SIENA

The process of recognising impairment involves verifying the presence of indicators of possible reductions in value and calculating any write-down.

The Group alternatively uses a set of indicators based on several factors, referring to the investee, including the type of business, market listing and budget objectives. The presence of impairment indicators entails the recognition of a write-down in the amount for which the recoverable value is lower than the book value. The recoverable value is the greater of the fair value less costs to sell and the value in use. For the methods used to determine the fair value, refer to the information in chapter A.4 - Information on fair value in the Notes to the Financial Statements. The value in use is the present value of expected cash flows arising from the asset; it reflects the estimate of the cash flows expected from the asset, the estimate of possible changes in the amount and/or timing of cash flows, the time value of money, the price for remunerating the asset's risk and other factors that can influence the pricing, by market dealers, of the cash flows expected from the asset. In determining the value in use, the discount method as applied to future cash flow through discount rates reflecting the cost of capital of the investee<sup>69</sup>.

The impairment test carried out in 2024 did not entail the need to make value adjustments. For information on the book value of the main equity investments, please refer to the section entitled "Equity investments - Item 70" contained in "Part B - Information on the Consolidated Balance Sheet" of these Notes to the Consolidated Financial Statements.

**Methods for calculating impairment on other non-financial assets**

Goodwill posted following acquisitions is subjected to an impairment test at least once a year and whenever there are signs of impairment. The Group has chosen to perform an impairment test with reference to 31 December of each year: The results of the above tests may be considered valid for subsequent interim financial statements, unless evidence emerges that would require an impairment test to be conducted in advance to ascertain the recoverability of the value of intangible assets with an indefinite useful life.

The *test* is performed by considering the value of the identified cash-generating unit (CGU) and to which the goodwill has been attributed. More specifically, goodwill is fully allocated to the Widiba CGU, the only one to be subject to impairment test. The Dividend Discount Model (DDM) was applied to estimate the recoverable amount, identified with the value in use. The cash flows considered in the estimate of the recoverable amount of the CGU were based on the 2025 projections underlying the Group Budget (approved by the Board of Directors of the Parent Company on 12 December 2024) and the 2026-2027 projections underlying the 2025 RAS (approved by the Board of Directors of the Parent Company on 5 February 2025) developed in accordance with the 2024-2028 Business Plan, appropriately considering the macroeconomic scenario approved by the Board of Directors on 7 November 2024 without particular refinements introduced to factor in climate and environmental risks. In fact, it was considered that they were not able to influence the outcomes of the test due to the significant results of the CGU's recoverable value over its book value.

The results of the impairment test conducted as at 31 December 2024 confirmed the recoverability of the goodwill book value, as illustrated in the section "Intangible assets - item 10" contained in "Part B - Information on the consolidated balance sheet" of these Notes to the consolidated financial statements, to which reference is made for further details.

In any case, it should be noted that verifying the recoverability of this asset is a complex exercise, the results of which are affected by the valuation methods adopted, as well as the underlying parameters and assumptions, which may need to be modified to take into account new information or changes that are not expected at the date of preparation of these consolidated financial statements. For this reason, a sensitivity analysis is provided in the aforementioned intangible assets section, in order to assess whether the recoverable value will hold against alternative hypotheses and assumptions.

The property, plant and equipment and intangible assets with definite useful life are tested for impairment in the presence of any indication that the book value of the asset may not be recovered. The recoverable value is computed with reference to the fair value of the property, plant and equipment or intangible asset, net of the disposal charges or the value in use if this can be calculated and exceeds fair value.

In particular, with regards to the software, with reference to closed projects of amounts exceeding EUR 1 mln, the Group performed the recoverable value check using assumptions and estimates in line with those of the 2023 Financial statements. The impairment test conducted as at 31 December 2024 was based on the monitoring of specific key performance indicators (KPIs), identified when the projects were closed, in order to verify the economic benefits assumed in the reference business cases. The outcome of the monitoring showed values of these KPIs exceeding the reference thresholds set in the business cases for all projects. For projects with a value below the aforementioned threshold, and without specific KPIs, the impairment test of the related software was conducted in continuity with previous years and resulted in the recognition of an impairment loss of EUR 1.8 mln. If the conditions are met, the value in use of the assets acquired through leasing are subject to impairment testing. The test is performed when the following events or situations occur: full/partial abandonment, underuse or non-use of the leased asset. In addition, it is necessary to refer to indicators from internal

69 A growth rate applied to available data is used to determine future cash flows that are not made explicit in the companies' plans.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

sources such as signs of obsolescence and/or physical deterioration of the asset, restructuring plans and closures of branches and external sources such as, for example, the increase in interest rates or other rates of return on the market for investments that may cause a significant decrease in the recoverable value of the asset. The outcome of the aforementioned checks as at 31 December 2024 led to the recognition of an impairment loss of EUR 0.8 mln recognised in the item "Impairment losses/reversals on property, plant and equipment".

For information on the rights of use acquired through leasing, please refer to the section "Property, plant and equipment - Item 90" contained in "Part B - Information on the consolidated balance sheet" of these Notes to the Consolidated Financial Statements.

**Determination of the fair value of property**

Real estate used in the business (IAS 16) and real estate held for investment purposes (IAS 40) are valued in accordance with the revaluation criterion and the fair value criterion, respectively. The fair value update, in compliance with the requirements established by the IFRS 13 accounting standard, is determined through the use of specific appraisals prepared by qualified and independent experts, which, depending on the relevance of the individual real estate unit, are conducted in two different alternative ways:

- "full" appraisals: based on a physical inspection of the property assets by the appraiser; or

- "desktop" appraisals, based on an assessment performed with no physical inspection of the property asset and, therefore, based on reference market values.

The valuation methodologies applied by the appraiser in the valuation are in line with international IVS (International Valuation Standards) practice, with what is prescribed in the latest edition<sup>70</sup> of the Red Book of the Royal Institute of Chartered Surveyors (RICS) of the United kingdom, and are compliant with the provision of IFRS 13. The accounting standard requires, in particular, for non-financial assets that the current use by the owner meets the requirement of highest and best use, unless the market expects a different use for the property that would therefore optimise its value. The valuation approach was therefore specified by the expert appraiser based on the current intended use of the properties, assuming this represents the highest and best use, and considering, in a few cases, alternative uses of the properties where this corresponds to market expectations. Therefore, to find the value of each property, the appraiser identifies the most suitable methodology according to the characteristics of the asset and the conditions of the reference market. The methodologies applied by the appraiser are as follows: Discounted cash flow (DCF) method; Market comparison approach (MCA); Transformation method with DCF analysis. In this context, the lease payments, sale prices, discount rates and capitalisation rates were estimated.

With reference to the ESG issue, in which the environmental issue is included, the RICS valuation standards specify the actions to be followed by the appraiser with regard to on-site inspections and the collection of data useful for assessing this aspect. The range of issues to be addressed includes, among others, major physical hazards (floods, heat, fire and storms) and transient hazards (energy efficiency, carbon emissions, climate impact). The impact of these risks is affected by current and historical use of the territory, as well as design, configuration, accessibility, legislation as well as management according to tax regulations.

As at 31 December 2024, the fair values of the entire real estate assets were updated, which is done at least annually unless market situations and/or special conditions make it advisable to bring forward the valuation appraisals from the standard periodicity.

In light of the above, it cannot be ruled out that the valuations may be different from those arrived at for the 2024 financial statements as a result of using different methodologies or estimation parameters, which are influenced by real estate market forecasts relevant to the Group and by the strategies the Group may use to manage its real estate assets (including the disposal of portfolios). As a consequence, there may be a negative impact on the Bank's balance sheet and income statement.

The results of the valuations carried out as at 31 December 2024 are described in the section "Property, plant and equip-ment - item 90" in "Part B - Information on the Consolidated Balance Sheet" of these Notes to the Consolidated Financial Statements, to which reference should be made for further details. For an in-depth analysis of the valuation approach, valuation methods and the selection of estimation parameters that can significantly influence the calculation of fair value, reference should be made to the specific qualitative and quantitative disclosure in Part A.4 - "Information on fair value".

**Methods for recognising deferred tax assets (probability test)**

The Group verifies the possibility of recognising tax assets based on a probability test, as described below.

70 The updated version was issued in November 2021 and is effective from 31 January 2022.

BANCA MONTE DEI PASCHI DI SIENA

Future taxable income, which is calculated for the purposes of recovering deferred tax assets, is determined as follows:

&nbsp;&nbsp;&nbsp;&nbsp;a) for
 the three-year period following the balance sheet date, based on the forecast of the Group's
 income statements according to the new 2024-2028 Business Plan approved on 5 August 2024;

&nbsp;&nbsp;&nbsp;&nbsp;b) after
 the first three years and up to the twentieth year, by projecting forward the pre-tax profit
 of the Group, revalued at a growth rate (g) of 2% per annum, which allows for a Group average
 return on equity (ROE) that does not exceed the average ROE recorded in the banking sector
 over the last 20 years.

In order to reflect the uncertainty associated with realising the economic benefits assumed, a discount factor is used based on data observable on the market and consistent with the risk metrics of the investment in Banca MPS shares. This discount factor was equal to 9%<sup>71</sup> at 31 December 2024, unchanged with respect to the one used for the financial statements as at 31 December 2023; in view of this uncertainty, it is believed that the time period considered for the purposes of the taxable income test, the realisation of which is considered likely, cannot exceed 20 years.

In any case, the framework of the probability test is consistent with that of the impairment test used for the measurement of goodwill, except for the specifics related to regulatory requirements (IAS 12 and IAS 36, respectively) such as, for example, the possibility in the probability test to take into account business restructuring and reorganisation actions included in the forecast plans, which is not considered in the goodwill impairment test. For more information reference should be made to paragraph "Impairment test on Group goodwill" included within Section 11 of the consolidated assets of these Notes to the Financial Statements.

The development of the probability test, where applicable, takes into account the national tax consolidation agreements, for the Group companies participating in them, and the option exercised in the tax return with respect to the possible allocation of residual tax losses in the event of early termination of group taxation. Based on the agreements and the option in force as at 31 December 2024 as well as in previous years, the assessment of the recoverability of the consolidated tax loss carry-forwards and the consequent recognition of the related DTAs, are entirely the responsibility of the Bank as consolidator, which reports the related accounting impacts in its individual financial statements. For further information, please refer to what was described in this Section of the Notes to the financial statements, Part A2, "Part relating to the main items of the financial statements - Current and deferred tax".

For more information, see Section 11 "Tax assets and liabilities" contained in "Part B - Information on the Consolidated Balance Sheet" of these Notes to the Financial Statements, which also provides information on the breakdown of deferred tax assets and the checks carried out on their recoverability, on the sensitivity analyses aimed at allowing an appreciation of the time frame of their recovery, depending on reasonable variations in the main underlying assumptions.

**Impacts of the conflicts in Ukraine and the Middle East**

The geopolitical tensions existing at the date of preparing these Financial Statements, in relation to both the Russia-Ukraine conflict and the conflict in the Middle East, add new economic challenges and uncertainties and thus increase the risk of unpredictability. Looking ahead, these uncertainties could lead to a revision of the estimates made for the items of the Financial Statements as new information becomes available, which is current unforeseeable. In accordance with the recommendations expressed by the supervisory authorities (ESMA and CONSOB)<sup>72</sup>, which aim to ensure proper oversight of the valuation issues impacted by the conflicts in question and to guarantee full and transparent disclosure in the Financial Statements, evidence is given below of the Group's directly or indirectly impacted credit exposures.

**Russia and Ukraine**

The impacts directly related to the Russia-Ukraine conflict for the Group are marginal, considering that there are no operations located in these territories and that credit exposures to customers residing in the aforementioned countries or indirectly related to Russian or Ukrainian counterparties amounted, as at 31 December 2024, to a total of EUR 1.2 mln classified entirely in stage 3. The reduction in gross exposure compared to the previous year, which amounted to EUR 10 mln, is attributable to the closure during the year of certain relationships held with Russian counterparties.

With reference to other risks, exposures denominated in Russian currency are immaterial, and no negative change has been observed in the main liquidity indicators.

With reference to the indirect impacts on credit quality, note that in 2022 the outreach campaigns with customers in the sectors potentially most vulnerable to the conflict – and who were therefore most exposed to the increase in energy prices and to difficulties in sourcing commodities – came to an end. Just as in 2023, no credit monitoring actions were necessary in 2024 other than those already planned as part of the ordinary credit monitoring activities.

---

| | |
|:---|:---|
| 71 | Changes to the discount factor are considered when the average of the last 3 years of the rate calculated at the reference date deviates by at least ±1% from the last rate used. |
| 72 | See, in particular, the documents "ESMA Public Statement: ESMA coordinates regulatory response to the war in Ukraine and its impact on EU financial markets – 14.03.2022", "ESMA: Public Statement – Implication of Russia's invasion of Ukraine on half-yearly financial reports – 13.05.2022 "ESMA: European common enforcement priorities for 2022 annual financial reports – 28.10.22", "CONSOB draws the attention of supervised issuers to the impact of the war in Ukraine based on insider information and financial reporting - 22 March 2022" and finally "Warning Notice No. 3/22 of 19 May 2022". |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

**Middle East**

With regard to the Israel-Palestine crisis, the risks specifically relating to the countries directly involved in the conflict are also marginal. More specifically, the credit exposure to counterparties in Israel and Palestine amounted to EUR 3.3 mln at 31 December 2024 (EUR 3.5 mln at 31 December 2023),out of an authorised line of credit of EUR 27.3 mln.As far as market and counterparty risk is concerned, there is no material exposure to be reported at the end of 2024.

If the analysis is extended to neighbouring countries who could potentially become involved (Egypt, Lebanon, Iran and Qatar), the actual risk level is nevertheless low: Direct exposure to counterparties in those countries for drawdowns of authorised lines of credit amounts to approximately EUR 4.6 mln, while indirect risks for issued guarantees stand at approximately EUR 8.1 mln.

**Macroeconomic forecasts for 2025, 2026 and 2027**

On 12 December 2024, the ECB published its bulletin containing its staff's updated macroeconomic projections for the euro area, with contributions also from the national central banks. The projections anticipate a gradual recovery of the euro area economy in the coming years in spite of the considerable geopolitical and economic uncertainties. Economic growth will be supported both by consumption (bolstered by rising real salaries, employment and an easing of financing conditions) and by funds from the Next Generation EU (NGEU) programme, which should support growth until the expiry of the programme in 2027.

Under the baseline assumption where commodity prices and rate curves will decline and the euro/dollar exchange rate will remain constant, productivity is expected to accelerate over the three-year period 2024-2027. Overall, annual average real GDP growth is projected to be 0.7% in 2024 (0.8% in September), 1.1% in 2025 and 1.4% in 2026 (1.3% and 1.5%, respectively, in September), before decreasing to 1.3% in 2027 (1.4% in September).

Inflation is projected to have risen again in the fourth quarter of 2024, primarily due to effects related to energy price, and is expected to edge down near to the ECB's target of 2% starting from the second quarter of 2025. Headline HICP inflation should decrease over the next two years from 2.3% in 2024 (2.5% in September) to an average of 2.1% in 2025 (2.2% in September) and 1.9% in 2026 (unchanged from September), before edging up temporarily to an average of 2.1% in 2027 as a consequence of budgetary measures relating to the ecological transition.

Under the unfavourable assumption that prices of raw materials will rise due to the impending expiry of the gas transit agreement between Ukraine and Russia and the recent delays in projects concerning liquefied natural gas supplies, GDP is projected to grow in real terms by 0.1 percentage points less than under the baseline assumption during the three-year period. HICP inflation in the euro area is expected to increase by 0.7 percentage points in 2025, by 0.6 percentage points in 2026 and by 0.3 percentage points in 2027.

The specific scenario for Italy, included in the base scenario of the ECB projections, was released by the Bank of Italy in the document "Macroeconomic projections for the Italian economy" published on 13 December 2024 and confirmed in the Economic Bulletin of 17 January 2025. The scenario forecasts GDP growth in the fourth quarter of 2024, followed by sustained growth from the second half of 2025, mainly due to favourable consumption trends and a recovery of exports. On an annual average, GDP would increase by 0.5% in 2024, 0.8% in 2025, 1.1% in 2026 and 0.9% in 2027.

Consumer inflation is expected to average 1.1% this year, before rising to 1.5 in 2025-26. In 2027, the EU Emissions Trading System 2 (ETS2) will scope in the sale of transport fuels and heating of buildings, which is expected to lead to a price increase in energy goods, which in turn would temporarily push up average annual goods inflation to 2%.

**Macroeconomic scenarios of the Group for the valuation of loans in the 2024 financial statements**

In December 2024, the Group approved a set of forecast macroeconomic scenarios for the 2025-2027 period developed internally, taking also as reference the October 2024 forecasts developed by external providers. These scenarios were used as part of the ordinary annual planning process and the calculation of value adjustments of performing and non-performing loans as at 31 December 2024.

The baseline scenario approved by the Group shows a higher level of conservatism compared to the forecasts published by the Bank of Italy in December 2024, in particular, for the years 2026 and 2027, GDP growth is expected to be 0.71% (1.1% Bank of Italy) and 0.45% (0.9% Bank of Italy). In addition to the baseline scenario, in light of the objective uncertainty regarding the evolution of the economic context and the provisions of the Regulators, further alternative scenarios have been outlined, in detail an alternative more negative scenario (severe but plausible) and an alternative improved scenario (so-called best case scenario).

The most severe *(severe but plausible)* alternative scenario is a worsening of geopolitical tensions in the Middle East, the continuation of the war in Ukraine and, following the US elections, a gradual disengagement of the US in the international arena.

BANCA MONTE DEI PASCHI DI SIENA

This scenario would see an increase in oil prices due to supply chain tensions, hindering inflation from declining towards the 2% target and, consequently, leading central banks to slow down their interest rate cuts. In Italy, GDP is expected to stagnate in 2025, with investment hit harder than consumption and industrial activity at a standstill.

The alternative best-case scenario, on the other hand, envisages an easing of geopolitical tensions in both the Middle East and Ukraine and a calmer international environment unaffected by the US election results. In such a scenario, oil prices quickly fall back to bottom levels and favour the emergence of base effects, pushing overall European inflation back under 2% already in the course of 2025 and guaranteeing a strong reduction in interest rates earlier than in the base scenario. In this context, a positive financial market cycle is restarting, so that final demand can also be supported by positive wealth effects.

For information on the performance of macroeconomic variables in the scenarios described above, please refer to "Part E - Information on risks and hedging policies, section 1.1 Credit risk, paragraph 2.3 Methods for measuring expected losses" of these Notes to the Financial Statements.

The table below shows, by way of example, the scenario updates made by the Group in December 2024 on the GDP indicator with the relative comparison with the baseline scenario published by the Bank of Italy in December 2024 and with the scenarios used in December 2023.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Dec-24** | **Dec-24** | **Dec-24** | **Dec- 24** | **Dec-23** | **Dec-23** | **Dec-23** |
|  | **GMPS** | | | **Bank of Italy** | **GMPS** | | |
|  |<br>**Baseline** |<br>**Severe but**<br>**plausible** |<br>**Best** |<br>**Baseline** |<br>**Baseline** |<br>**Severe but**<br>**plausible** |<br>**Best** |
| 2024.0 | n.a | n.a | n.a | 0.50% | 0.43% | -0.40% | 1.49% |
| 2025.0 | 0.79% | 0.09% | 1.50% | 0.80% | 0.83% | 0.45% | 1.40% |
| 2026.0 | 0.71% | 0.41% | 1.34% | 1.10% | 0.88% | 0.49% | 1.18% |
| 2027.0 | 0.45% | 0.30% | 0.82% | 0.90% | n.a | n.a | n.a |

---

Note that the baseline scenario used by the Group in 2024 has always been in line, if not more conservative, with the forecasts provided by the Bank of Italy.

With reference to the risk parameters, it should be noted that all PD, LGD and EAD models used for IFRS 9 accounting valuations were updated in 2024, resulting in higher provisions EUR 48.8 mln being recorded in 2024.

In particular, just as in 2023, the PD, LGD and EAD models were re-estimated to follow the evolution of the regulatory models developed for the purposes of the 2024 Model Change, appropriately adjusted to reflect the current conditions of the economic cycle. In detail, the re-estimation for PD models involved: (i) the macroeconomic models used to estimate default probabilities; (ii) the updating of the time series with the implementation of the evidence of the default rates observed up to January 2024; and (iii) the calibration of pit ratings with the Model Change 2024 scores; for the LGD models the re-estimation resulted in an updating of time series with evidence from 2023 and in a reduction of a duration of time series (from 17 years to 12 years) for bad loans LGD model, to better capture the higher loss rates observed in recent years. Finally, for the EAD model, the time series were updated with evidence from 2023. The re-estimation for these models resulted in higher adjustments of EUR 35.5 mln and a EUR 74 mln reduction in stage 2 exposures.

It should also be noted that, again in 2024, in light of the latest available evidence, the discount parameter used to estimate the expected loss on exposures with a state guarantee was prudentially raised from 12 to 18 months, equal to the average recovery time of the guarantees in the event of the counterparty becoming a non-performing party. Overall, these updates resulted in higher adjustments of EUR 13.3 mln.

For further details on the model updates, please refer to the information provided in the section Credit Risk – paragraph "2.2 Management, measurement and control systems" of Part E of these Notes to the consolidated financial statements.

**Management overlays**

With regard to management overlay the Group has decided to operate, for the purposes of the consolidated financial statements as at 31 December 2024, in substantial continuity of methodology with respect to what was done for the purposes of the 2023 financial statements. It should be remembered that, as at 31 December 2023, "post-model adjustments" had been applied to the results of the ECL estimation methods, within the framework of flexibility allowed by IFRS 9 and in light of the greater prudence necessary in relation to significant risk deriving from the current and forward-looking contexts. In fact, the results of the aforementioned methods, though incorporating forward-looking approaches and updates to the macroeconomic scenarios, were deemed insufficient on the one hand to take into greater account the uncertainties and risks of the forecasts, and on the other due to the estimation characteristics adopted, as they are based on a model strongly anchored to observed long-term relationships, which may not be fully adequate in a developing context that may originate from unobserved and unpredictable events.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

It should be noted that, by contrast with the preparation of the Financial Statements for the year ended 31 December 2023: (i) in the "severe but plausible*"* scenario, the adjustment applied to capture the risk of expected non-performance in the real estate market was discontinued, with this risk now factored into the models following the update of the "severe but plausible*"* assumption being produced in the ECL calculation at the reporting date; and (ii) in line with the practice commenced in the first half of 2024, an adjustment was introduced to the calculation of the expected losses of retail and corporate counterparties, following back testing analyses conducted during the second half of 2024 which showed slightly higher observed loss rates for the aforementioned categories than those estimated.

The Group also confirmed for 2024 the inclusion of climate and environmental factors in its credit risk estimates for 2024 - in line with the requests received from ESMA in 2023 - by integrating to the baseline macroeconomic model adopted the macroeconomic indicators observed in the "Net Zero 2050" climate scenario (updated in November 2024). The latter, characterised by a proactive behaviour of the economic system with respect to the energy transition, would entail a global economic contraction due to the huge costs incurred to achieve the set out objective. The application of these adjustments to the baseline scenario led to higher provisions for a total of EUR 23.4 mln, down EUR 14.7 mln compared to the figure of EUR 38.1 mln recorded in 2023. The downward change is due to the update of the scenario used in which envisaged a smaller contraction in the global economy compared to the scenario used for the 2023 assessments.

Finally, analysis of the default rates on floating-rate mortgages observed in 2024 reaffirmed the signs of criticality observed in 2023. As a result, the Group continued to apply an adjustment to floating-rate retail mortgages by performing a sensitivity analysis of the instalment/income ratio in a stress scenario. The application of this adjustment resulted in higher provisions of EUR 25.2 mln, up from 2023 figure of EUR 9.7 mln, due to the increase in the accrued income ratio resulting from the trend of interest rate during 2024.

Overall, the management overlays used for accounting valuations as at 31 December 2024 resulted in increased loss provision for approximately EUR 69.2 mln (around EUR 54 mln as at 31 December 2023.

For more information on the assumptions used for the estimates, the composition of management overlays and their trends compared to the previous year, as well as the sensitivity analysis with respect to alternative scenarios, please refer to "Part E - Information on risks and hedging policies, section 2 - Risks of the prudential consolidation, 1.1 Credit risk, paragraph 2.3 Methods for measuring expected losses" in these Notes to the financial statements.

**Inclusion of government guarantees**

Finally, with regard to the treatment of government guarantees, it should be noted that, in accordance with the guidance of the Authorities, these did not impact the calculation of the SICR - since the latter does not depend on the guarantees, but on the creditworthiness, which remains specific to the counterparty; they have instead affected the estimate of the ECL, through the use of an LGD parameter that takes into account the government mitigation measures. This approach derives from the assessment carried out on the characteristics of the guarantees that allow them to be considered as an integral part of the contract pursuant to IFRS 9.

• ••

Disclosure on public funding pursuant to Article 1, paragraph 125 of Italian Law no. 124 dated 4 August 2017 ("Annual Law for the Market and Competition")

It should be noted that, as of the reporting date of these financial statements, in the National Register of State Aid, the grants received by the Group for the year 2024 are present and publicly available in the Transparency section "Individual Aid", mainly for training activities provided for a total of EUR 3.0 mln. In this regard, it should be noted that, in line with the provisions of the law, economic benefits below the threshold of EUR 10,000 (threshold referring to the total benefits that the Parent Company or each Group company received from the same authority in the year 2024 in a single deed or in a plurality of deeds) are not reported.

For more details, please refer to the following link: https://www.rna.gov.it/sites/PortaleRNA/it_IT/trasparenza.

It should also be noted that EUR 0.1 mln was received in 2024 by the subsidiary MPS Tenimenti Poggio Bonelli e Chigi Saracini Società Agricola S.p.A., in the form of grants and bonuses to support agricultural production in the European Union countries.

BANCA MONTE DEI PASCHI DI SIENA

A.3 Information on portfolio transfers

The tables on transfers between portfolios of financial assets were not created, as in the 2024 financial year, as in previous years, the Group did not carry out any reclassification transactions following the change in the Business Model, that is to say of the procedures used by the Group to manage financial instruments.

A.4 – Information on fair value

Qualitative information

IFRS 13 defines fair value as the price that would be received for the sale of an asset or that would be paid for the transfer of a liability in a regular transaction among market operators operating on a going concern basis (that is, not in a forced liquidation or a sale below cost) at the conditions prevailing on the valuation date in the main or most advantageous market (exit price). The Group must measure the fair value of an asset or liability by adopting the assumptions that market participants would use in determining the price of the asset or liability, assuming that they act to best meet their economic interests.

For the purposes of measuring financial and non-financial assets and liabilities at fair value, IFRS 13 defines a threefold hierarchy of fair value, based on the source and quality of the inputs used. The methods for classifying financial instruments in the three-level fair value hierarchy are shown below.

**Level 1**

This level shall include financial instruments measured using unadjusted quoted prices in active markets<sup>73</sup> for identical instruments.

**Levels 2 and 3**

An instrument is classified in level 2 if all significant inputs are directly or indirectly observable on the market. An input is observable if it reflects the same assumptions used by market participants, based on independent market data.

Level 2 inputs are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;a) quoted
 prices on active markets for similar assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;b) quoted
 prices for the instrument in question or for similar instruments on non-active markets, i.e.
 markets where: (i) there are few transactions, (ii) prices are not current or vary substantially
 over time and between different market makers , or (iii) little information is made public;

&nbsp;&nbsp;&nbsp;&nbsp;c) observable
 market inputs other than quoted prices (e.g.: interest rates or yield curves observable in
 different buckets, volatility, credit curves, etc.);

&nbsp;&nbsp;&nbsp;&nbsp;d) inputs
 that derive primarily from observable market data, the reporting of which is confirmed by
 parameters such as correlation.

A financial instrument is classified in level 3 if the measurement techniques adopted use non-observable market inputs and their contribution to estimating fair value is deemed significant. All financial instruments not listed in active markets are classified in level 3 where:

&nbsp;&nbsp;&nbsp;&nbsp;· despite
 having observable data available, significant adjustments based on non-observable data are
 required;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 estimate is based on internal assumptions on future cash flows and risk adjustment of the
 discount curve.

For financial instruments, measured at fair value in the financial statements, the Group has adopted a "Fair Value Policy" that assigns the highest priority to prices listed on active markets (level 1) and the lowest priority to the use of non-observable inputs (level 3), as they are more discretionary, in line with the fair value hierarchy represented above. In detail, this policy defines:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 rules for identifying market data, the selection/hierarchy of information sources and the
 price configurations to value the financial instruments contributed on active markets and
 classified under level 1 of the fair value hierarchy;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· valuation
 techniques and related input parameters in all cases in which this is not possible due to
 absence of directly observable prices on markets considered active.

73 Pursuant to IFRS 13, a financial instrument is quoted in an active financial market when:

• the
 quoted prices are readily and regularly available from an exchange, dealer, broker, industry
 group, pricing service, authorised body or regulatory agency;

&nbsp;&nbsp;&nbsp;&nbsp;• the
 quoted prices represent actual and regularly occurring market transactions on an arm's
 length basis.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

In determining fair value, the Group uses information based on market data obtained from independent sources, where available, as this is considered the best evidence of fair value. In this case, fair value is the market price of the instrument being measured (i.e. without modifying or remeasuring the same instrument), which can be inferred from the prices expressed by an active market (classified in level 1 of the fair value hierarchy). In the absence of an active market price or a regularly functioning market (i.e. when the market does not have a sufficient and continuous number of transactions), the fair value of a financial instrument is arrived at from the prices observed in recent transactions involving similar instruments in active markets (adjusted as appropriate for differences in instruments and market conditions), rather than from the prices of recent transactions involving an identical instrument as that being measured on non-active markets; in the absence of observable transaction prices for the instrument being measured or similar instruments, a valuation model must be adopted.

Classification in level 2 rather than level 3 is determined on the basis of market observability of the significant inputs used to determine fair value. A financial instrument must be classified in its entirety in a single level; therefore, if inputs belonging to different levels are used in the valuation technique, the entire valuation must be classified in correspondence with the level of the hierarchy in which the lowest level input is classified, if it is considered significant for the determination of the fair value as a whole.

The following types of investments are normally considered as level 2:

&nbsp;&nbsp;&nbsp;&nbsp;· equities
 not listed on active markets, valued using the market multiples technique, or valued on the
 basis of actual transactions that occurred within a time frame reasonably close to the reference
 date;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· OTC
 derivative financial instruments, if the inputs of the pricing models, used to determine
 the fair value, are observable on the market or, if not observable, are considered such as
 not to significantly affect the measurement of fair value;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· third-party
 debt securities or own issue not listed on active markets whose inputs, including credit
 spreads, are obtained from market sources.

The following financial instruments are generally considered level 3:

&nbsp;&nbsp;&nbsp;&nbsp;· hedge
 funds characterised by low levels of liquidity, when the valuation/disinvestment of their
 assets is believed to require a series of assumptions and estimates to a significant extent.
 The fair value measurement is carried out on the basis of the adjusted NAV to take into account
 the low liquidity of the investment;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· alternative
 investment funds for which the discounted cash flow is used;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· private
 equity and real estate funds valued on the basis of the last available NAV, adjusted if necessary
 to take into account events not included in the valuation of the unit or to reflect a different
 valuation of the assets underlying the fund;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· equity
 securities for which no recent or comparable transactions can be observed, and valued on
 the basis of the equity or income model;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· debt
 securities, ABS and derivative transactions characterised by complex financial structures
 for which publicly unavailable sources are generally used;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· debt
 securities issued by parties in financial difficulty for which the "recovery rate"
 must be estimated;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial
 instruments represented by OTC derivatives for which the non-observable input parameters
 used by the pricing model are considered significant for the purposes of measuring the fair
 value;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· performing
 and non-performing medium/long-term loans valued on the basis of expected cash flows estimated
 with different models depending on the status of the counterparty and discounted using a
 market interest rate.

For information on the fair value of non-financial assets, attributable to property, plant and equipment represented by properties, please refer to the following paragraph.

BANCA MONTE DEI PASCHI DI SIENA

A.4.1 Fair value level 2 and 3: measurement techniques and inputs used

The following tables show, respectively, for Level 2 and 3 financial instruments, the accounting portfolio, a summary of the types of instruments in use at the Group, and evidence of the related valuation techniques and the inputs used.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair value level 2** | **Fair value level 2** | **Fair value level 2** | **Fair value level 2** | **Fair value level 2** | **Fair value level 2** | **Fair value level 2** | | | |
| <br>**item** | **Financial assets held for trading** | **Other financial assets mandatorily measured at fair value** | **Financial assets measured at fair value through other comprehensive income** | **Hedging derivatives** | **Financial liabilities held for trading** | **Financial liabilities designated at fair value** | **Hedging derivatives** | <br>**type** | <br>**Valuation techniques** | <br>**Inputs used** |
| Debt securities | 246121 | 2713 | 1343 | X |  | 119670 | X | Bonds | Discounted Cash Flow | Interest rate curves, CDS cuvers, Basi (yield), Inflation curves |
|  |  |  |  |  |  |  |  | Structured bonds | Discounted Cash Flow | Interest rate curves, CDS cuvers, Basi (yield), Inflation curves + inputs necessary to measure optional component |
|  |  |  |  |  |  |  |  | Notes | Discounted Cash Flow | Interest rate curves, CDS cuvers, Basi (yield |
|  |  |  |  |  |  |  |  | Notes | market price | Market price |
| Equity instruments | 3752 |  | 8039 | X | X | X | X | Share/equity instruments | market price | Market price, recent transactions, appraisals, manager reports |
|  |  |  |  |  |  |  |  | Equity instruments | Discounted Cash Flow | Share price, beta sector, risk free rate |
|  |  |  |  |  |  |  |  | Equity instruments | Net asset adjusted | Carrying Amount Asset/liabilities |
| Debt | X | X | X | X | 228 |  | X | Uncovered short positions | market price, interest rate curves, CDS curves | Share prices, Comparable approach |
| Financial Derivatives | 2312174 | X | X | 94215 | 860309 | X | 358391 | IRS/Asset/Currency Swaps | Discounted Cash Flow | Interest rate curves, CDS cuvers, Basi (yield), Inflation curves, rates correlations |
|  |  |  |  |  |  |  |  | Equity swaps | Discounted Cash Flow | Share price, interest rate curve, Foreing exchenge rate |
|  |  |  |  |  |  |  |  | Forex Singlename Plain | Option Pricing Model | interest rate curve, Foreing exchenge rate, Forex volatility |
|  |  |  |  |  |  |  |  | Forex Singlename Exotic | Option Pricing Model | interest rate curve, Foreing exchenge rate, Forex volatility (Surface) |
|  |  |  |  |  |  |  |  | Equity Singlename Plain | Option Pricing Model | Interest rate curve, Share price, Foreing exchenge rate, Equity volatility |
|  |  |  |  |  |  |  |  | Equity Singlename Exotic | Option Pricing Model | Interest rate curve, Share price, Foreing exchenge rate, Equity volatility (Surface); Parameters models |
|  |  |  |  |  |  |  |  | Equity Multiname Plain | Option Pricing Model | Interest rate curve, Share price, Foreing exchenge rate, Equity volatility, Quanto correlation, Equity/Equity correlation |
|  |  |  |  |  |  |  |  | Equity Multiname Exotic | Option Pricing Model | Interest rate curve, Share price, Foreing exchenge rate, Equity volatility (Surface), Parameters models, Quanto correlation, Equity/Equity correlation |
|  |  |  |  |  |  |  |  | Plain rate | Option Pricing Model | Interest rate curves, Inflation curves, bonds price, Foreing exchange rate, Rate volatility, Rate correlations |
|  |  |  |  |  |  |  |  | Spot/forward | market price\* | Market price, Swap Point |
| Credit Derivatives | 29 | X | X | 0 | 124570 | X | 0 | Default swaps | Discounted Cash Flow | Interest rate curves, CDS cuvers |
| **Total assets** | **2562076** | **2713** | **9382** | **94215** | **X** | **X** | **X** |  |  |  |
| **Total liabilities** | **X** | **X** | **X** | **X** | **985107** | **119670** | **358391** |  |  |  |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair value Level 3 as at 31 12 2024** | **Fair value Level 3 as at 31 12 2024** | **Fair value Level 3 as at 31 12 2024** | | | | |
| <br>**Items** | **Financial assets mandatorily measured at fair value** | **Financial assets measured at fair value through other comprehensive income** | **Financial liabilities held for trading** | <br>**type** | <br>**Valuation techniques** | <br>**Inputs used** | <br>**Range (weighted average)** |
| Debt securities | 49854 |  |  | Notes | Discounted Cash Flow | Disounted rate | 11.24% |
| Equity instruments | 1236 | 165582 | X | Equity investments | Discounted Cash Flow | Liquidity base/Equity Risk Premium/Beta | 20%/8%/0.4 |
|  |  |  |  | Equity investments | Cost/Net Equity | Fair value asset | 0-12.6 Eur/mln |
| Units of Ucits | 258984 | X | X | Closed end Fund | External pricing | Fair value asset | 6.4 Eyr/mln |
|  |  |  |  | Real estate Closed end Fund | External pricing (Management report) | Book value | 234 Eur/mln |
|  |  |  |  | Private Equity Fund | Nav Investor report | Management Report, technical data sheet of Assets Held in Portfolio | 0.28-9.91 Eur/mln |
|  |  |  |  | Alternative investment fund | Discounted Cash Flow | Disounted rate | 8.72% - 10.95% |
| Loans | 143462 |  | X | Loans | Discounted Cash Flow | NPE SPREAD | 1.92% - 2.13% |
|  |  |  |  | Loans | Discounted Cash Flow | LGD | 1.63% - 73.23% |
|  |  |  |  | Loans | Discounted Cash Flow | PD | 0.07% - 41.74% |
|  |  |  |  | Loans | Discounted Cash Flow | PE SPREAD | 0.01% - 1.26% |
| Financial derivatives | X | X | 1515 | IR/Asset/Currency Swaps | Discounted Cash Flow | Surrender Rate | No dynamics/stochastic volatility |
| **Total assets** | **453536** | **165582** | **X** |  |  |  |  |
| **Total liabilities** | **X** | **X** | **1515** |  |  |  |  |

---

The techniques and parameters for calculating the fair value, as well as the criteria for assigning the fair value hierarchy, are defined and formalised in the aforementioned "Fair value policy" adopted by the Group. The reliability of fair value measurements is also ensured by the verification activities carried out by a Risk Management structure, independent of the front office units that hold the positions, which periodically reviews the list of pricing models to be used for the purposes of the fair value policy. These models must represent market standards or best practices and the related calibration techniques must guarantee a result in line with valuations able to reflect "current market conditions". Specifically, to correctly determine the fair value, for each product a pricing model is associated, generally accepted by the market and selected on the basis of the characteristics and market variables underlying the product. With particularly complex products or if the existing valuation model for products in use is deemed to be lacking or inadequate, an internal process is activated to supplement the current models. On the basis of this process, the Risk Management department carries out a first validation of the pricing models, which may be native to the Position Keeping system or be issued by a specific internal unit; this is followed by a stage in which the same unit ensures the reliability of the previously validated model.

In detail, the validation activity, carried out on a range of instruments identified above certain materiality thresholds, is aimed at verifying the theoretical robustness of the model, through an independent repricing of the price, a possible calibration of the parameters and a comparison with the prices of the counterparties.

Following the validation stage, an ongoing review is carried out to confirm the accuracy and alignment to the market of the pricing models used by the Group, and appropriate changes are made, if necessary, to the models and the related underlying theoretical assumptions. To take into account the risk that the pricing models, even if validated, may generate fair value values that are not directly comparable with market prices, an adjustment is made for "Model risk", as described below.

**Financial assets and liabilities measured at fair value on a recurring basis**

Financial assets and liabilities measured at fair value on a recurring basis are represented by all financial instruments measured in the financial statements on the basis of the fair value criterion (items 20, 30, 50 of the balance sheet assets and items 20, 30, 40 of liabilities in the balance sheet). For these financial instruments, in the absence of directly observable prices on active markets, it is necessary to determine a fair value on the basis of the valuation approach described in the previous paragraph. The main valuation techniques adopted for each type of financial instrument are illustrated below.

BANCA MONTE DEI PASCHI DI SIENA

**Debt securities**

The valuation of non-contributed securities (i.e. securities without official prices expressed by an active market) is carried out using a suitable credit spread, identified from contributed and liquid financial instruments with similar characteristics. The sources from which to draw this measure are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· contributed
 and liquid debt securities of the same issuer;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· credit
 default swaps on the same reference entity;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· contributed
 and liquid securities issued by an issuer with the same rating and belonging to the same
 sector. In any case, the different seniority of the security to be priced in relation to
 the issuer's debt structure is taken into account.

Furthermore, for bonds not quoted on active markets, to take into account the higher premium requested by the market compared to a similar contributed security, an additional component, estimated on the basis of the bid/ask spread, is added to the "fair" credit spreads observed on the market.

**Loans that do not pass the SPPI test**

These are loans mandatorily measured at fair value as the contractual cash flows do not exclusively provide for the repayment of principal and payment of interest on the principal to be repaid (i.e., they do not pass the "SPPI test"), either by virtue of clauses originally envisaged in the contract or following subsequent amendments. The fair value is valued with the Discounted Cash Flow approach, which is applied in a different way depending on whether the loans are performing/ non-performing:

&nbsp;&nbsp;&nbsp;&nbsp;· for
 performing loans, the fair value is determined on the basis of cash flows, appropriately
 adjusted for expected losses, based on the unobservable parameters PD and LGD. These flows
 are then discounted on the basis of a market interest rate, adjusted to take into account
 a premium deemed to express the risks and uncertainties. In the presence of implicit option
 components, which, for example, provide for the option of changing the interest rate, the
 fair value also takes into account the value of said components;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· for
 non-performing loans, the measurement of the fair value is based on directly or indirectly
 observable market parameters, which refer to risk factors found in the transfer of NPLs
 in order to obtain a market price, representative of the uncertainty of the collection process.
 In particular, cash flow forecasts are expressed by the analytical repayment plans that represent
 the information on the estimated loss rate on the position. The collection flows estimated
 in this way are discounted using a discount factor that is constructed starting from a spread
 representing the uncertainty of the collection process (unexpected loss) and any other residual
 risk; the discount rate is then calculated by adding this spread to the risk-free interest
 rate curve, without taking into account the contractual rate.

**Unlisted equities**

They are valued with reference to direct transactions on the same security or on similar securities observed over a period of time with respect to the valuation date, using the market multiples method of comparable companies and subordinate to financial, income and equity valuation methods.

**Investments in UCITS**

They are, as a rule, valued on the basis of NAVs or expected flows and/or business plans made available by the fund administrator or management company. If the NAV does not represent fair value, from the perspective of a market participant, the Group may adopt certain adjustments/haircuts. These typically include private equity funds, alternative investment funds among which funds investing in non-performing loans, real estate funds, hedge funds.

In the specific case of alternative investment funds that invest in NPE loans, the Group has estimated the unit value as the sum of the present values of the expected fund distributions (Discounted Cash Flows). The inputs used are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· cash
 flows related to net distributions to investors envisaged in the business plans/management
 accounts of their respective operations;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· discount
 rate between 8.72% and 10.95%, depending on the capital structure and the additional premium
 for the risk of each transaction.

**Credit structured products**

With reference to ABS (asset backed securities), when significant prices are not available, valuation techniques are used that take into account parameters that can be inferred from an active market (level 2 inputs) or must be estimated, if unobservable (level 3 inputs, if significant). In the first case, the cash flows are acquired from info providers or specialised

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

platforms; the spreads are derived from the prices available on the market/info provider, analysing the performance of the underlying assets on the basis of the investor reports. If they are not available, the Group uses valuation techniques aimed at recreating the contractual waterfall of the securitisations in order to estimate the potential recoveries of the outstanding notes.

**Over the counter (OTC) derivatives**

Interest rate, exchange rate, equity, inflation, commodity and credit derivatives, where not traded on regulated markets, are valued using appropriate valuation models, fed by input parameters (such as, for example, interest rate, exchange rate and volatility curves) observed on the market and subject to the monitoring processes described in the "Group Fair Value Policy".

These models estimate the probability that a specific event will occur by incorporating assumptions such as the volatility of the estimates, the price of the underlying instrument and the expected rate of return.

In addition, for the purpose of measuring fair value, the aforementioned "Group Fair Value Policy" envisages that some "fair value adjustments" be considered with the objective of best reflecting the realization price of an actually possible market transaction. In particular, this relates to model risk, liquidity risk and counterparty risk set out below.

<u>Model risk</u>: this adjustment is made to take into account the risk that the pricing models, even if validated, may generate fair value values that are not directly observable or not immediately comparable with market prices. This is the case of pricing algorithms or types of pay-off that are not adequately widespread on the market or in the presence of models particularly sensitive to variables that are difficult to observe on the market.

<u>Liquidity risk</u>: this adjustment is made to take into account the extent of the "bid / ask spread", i.e. the actual cost of disposing of a position in financial instruments in inefficient markets. The correction for the liquidity risk is greater for more structured products, due to the related hedging/disposal costs, and for valuation models that are not sufficiently established and of widespread use among operators, since this makes the valuations more uncertain.

<u>Counterparty credit risk</u>: adjustments to the market value of OTC derivatives, classified as "performing", are made in order to reflect:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 risk of possible counterparty default - Credit Valuation Adjustment (CVA);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 risk of non-fulfilment of the issuer's contractual obligations towards a counterparty
 (own credit risk) - Debt Valuation Adjustment (DVA).

The Group calculates the Credit/Debit Value Adjustment on all positions in OTC derivatives with non-collateralised institutional and commercial counterparties to include counterparty risk in the fair value measurement. The methodology is based on the calculation of expected operational loss linked to counterparty rating and estimated on a position's duration. The impact of the CVA as at 31 December 2024 amounted to -EUR 3.2 mln.

The Group calculates the value adjustment of OTC derivatives in a mirror image fashion and on the same perimeter to take into account its credit worthiness (DVA). As at 31 December 2024, the DVA amounts to a total of EUR 3.3 mln.

BANCA MONTE DEI PASCHI DI SIENA

Financial assets measured at fair value on a non-recurring basis

Financial assets and liabilities measured at amortised cost in the financial statements

For financial assets and liabilities recognised in the financial statements at amortised cost, classified, in the accounting categories of "Financial assets measured at amortised cost" (loans to banks and customers) and "Financial liabilities measured at amortised cost" (due to banks and customers and debt securities issued), the calculation of the fair value is relevant for information purposes only, in line with the provisions of the reference accounting standard IFRS 7. The criteria to calculate the fair value of performing and non-performing loans to banks and customers are the same adopted for the fair value valuation on a recurring basis of the loans that do not pass the SPPI test, to which reference is made. Exceptions to this rule are loans to central banks included in the "Loans to banks" portfolio for which the book value is considered a good approximation of the fair value as allowed by accounting standard IFRS 7, and is classified in level 2 of the hierarchy. The same methodology and classification are used for the "Due to banks" and "Due to Customers" portfolios.

For debt securities classified in the "Loans to banks or customers" or "Debt securities issued" portfolio, the fair value was determined through the use of prices contributed on active markets or through the use of valuation models, such as described in the paragraph "Assets and liabilities measured at fair value on a recurring basis" above, to which reference is also made in relation to the threefold fair value hierarchy.

With reference to the classification of loans to customers and banks within the fair value hierarchy, it should be noted that customers are classified in level 3 and banks in level 2, except in the case of non-performing exposures.

Non-financial assets measured at fair value on a recurring basis

For the Group, non-financial assets measured at fair value on a recurring basis consist of its owned real estate assets.

Fair value of owned real estate assets

The Group applies the method of re-determination of value for the measurement of property assets for business use pursuant to IAS 16 and of the fair value for investment properties pursuant to IAS 40, for measurement subsequent to the initial recognition.

Real estate valuation methodology

The revaluation method requires that the assets used in the business, whose fair value can be reliably measured, are recognised at a restated value, equal to their fair value at the date of the revaluation of value, net of depreciation and any losses for accumulated impairment.

For properties held for investment purposes, the Group has chosen the fair value measurement method, according to which, after initial recognition, all investment properties are measured at fair value.

The fair value of the properties, whether for business or investment use, is determined through the use of specific appraisals prepared by independent qualified companies operating in the specific sector able to provide property valuations on the basis of the RICS Valuation standards. These standards ensure that:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 fair value is determined consistently with the indications of international accounting standard
 IFRS 13, that is it reflects the estimated amount for which an asset or liability is sold
 or purchased, on the valuation date, by a seller and a buyer both willing, and not linked
 by a special relationship, at competitive conditions, after proper marketing and where the
 parties had each acted knowledgeably, prudently and without compulsion;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 experts have professional, ethical and independence requirements in line with the provisions
 of international and European standards.

As an alternative to desktop appraisals (which involve a documentary review and no inspection in the field), full appraisals (which require an inspection of the property as well as a detailed analysis of the available documentation) are carried out on relevant properties (i.e. with a book value of more than EUR 10 mln) at least once a year, and on a rotating basis on all other properties. The Group has decided to carry out "full" appraisals on at least 50% of the overall book value of properties that are either operating assets (IAS 16) or investment assets (IAS 40).

The valuation methodologies applied by the appraiser are aligned with international IVS (International Valuation Standards) practices and with what is set forth in the Red Book of the Royal Institute of Chartered Surveyors (RICS). They refer to the following situations:

&nbsp;&nbsp;&nbsp;&nbsp;· Discounted
 cash flow (DCF) method;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Market
 comparison approach (MCA);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Transformation
 method with DCF analysis.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

The discounted cash flow method is based on the net cash flows that can be generated within a period of time and is the best estimation approach to adequately represent the market value of assets likely to be acquired as properties, both for direct use (instrumental use), and for investment purposes, as a source of ongoing income from rents. The assumption underlying the cash flow approach is that a rational buyer is not willing to pay to buy the asset a price higher than the current value of the economic benefits that the asset will provide in the future. The value of the asset, therefore, is a function of the economic benefits that will be generated by it. The Market Value is calculated as the sum of the discounted net revenues and the discounted net sales value at the valuation date. The net revenues are calculated based on the gross revenues less the operating costs related to the property. The gross revenues are calculated by indexing the rents received for the leased portions, or the market rents for the vacant portions, considering for the calculation of the DCF a time period between 10 and 20 years according to the intended use of the property and the residual duration of outstanding lease contracts. The net sales value is obtained by capitalising in perpetuity the operating income for the last period of the DCF using a capitalization rate (cap rate) in line with average market yields, from which the sales commission is then deducted. After finding the annual net revenues and the net sales value, the discounted values at the beginning of the first period are calculated by using an appropriate discount rate, suitable for each individual property. The main input data are: i) revenues (contractual rents, market rents); ii) vacancy and take up period, contractual step up etc.; iii) costs (administration, property tax, insurance premium, tenant improvements, lease and sales commission, etc. and iv) interest rates (WACC, exit cap rate).

The market comparison approach provides an estimate of the value of the asset through the comparison with properties recently sold or currently on sale on the market that are comparable in terms of type, construction and location. The value of the property is therefore found by taking into account the sale or rental prices, updated as at the valuation date and obtained from an in-depth market survey, and then making specific adjustments as deemed appropriate given the intrinsic and extrinsic characteristics of the property in question, as well as any other factor deemed relevant. The market comparison approach is usually recommended for residential properties for which it is easy to find transactions on comparable assets.

The transformation method with DCF analysis is used in the case of assets that can be transformed or are already being transformed. The value is given by the difference between the most likely market value of the transformed asset and the sum of all the most likely costs of the factors involved in the transformation of the asset itself. The transformation method is often used to express an opinion on the economic benefit of initiatives to renovate existing assets, but it can also be used for an appraisal aimed at providing an estimate value valid for the majority of market operators. This estimation method is based on the discounting, at the valuation date, of the cash flows generated by the real estate transaction over a time period corresponding to its duration, converting the cash flows allocated at the time of their generation into the Net Present Value (NPV) of the real estate transaction through a financial discounting procedure. The model simulates the assumptions of a typical investor, which aims at receiving a satisfactory economic return on the investment. In particular, the model is articulated in a cash flow scheme with income (revenues) and expenses (costs) relating to the real estate transformation project. Expenses include costs for construction, demolition, urbanisation, design, site management and other costs; the income includes sales made for each sector of intended use (residential, industrial, workshops, sales, tertiary and services). The financial model does not consider VAT and other taxes. The main input data are: i) the revenues generated from the sale of buildings built or renovated; ii) the costs (construction costs, urbanisation costs, planning and site management costs, sales commissions, etc., and iii) interest rates (WACC).

The valuation approach is defined considering for each property:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 breakdown in terms of property unit;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 current intended use of each property, assuming this represents the highest and best use,
 and considering alternative uses of the properties where this corresponds to market expectations;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 nature of the property, whether for business use, investment use, mixed.

Depending on the intended use, the occupation status and the nature of the asset, the valuation method deemed most appropriate by the appraiser is applied for each property unit and the value is divided between business use and investment portions.

The properties are valued individually at the level of the single property without considering any discount or premium that can be negotiated in a commercial negotiation phase if all, or part of the portfolio, is sold en bloc, both by lots and entirely.

With regard to the Group's property asset valuation as at 31 December 2024, the prevalent valuation method is the DCF analysis, which is used for approximately 94.2% of properties, followed by the market comparison approach (for approximately 5.7%) and, residually, the transformation method (for approximately 0.1%)

The valuation of the properties is significantly based on estimates that are characterised in nature by elements of judgement and subjectivity, the Group's entire property assets are classified at level 3 in the fair value hierarchy.

BANCA MONTE DEI PASCHI DI SIENA

**Main inputs**

*Rent*

Rent may refer to rent for the lease of occupied spaces or market rents for vacant spaces. Rent under lease is recognised in the valuation model on an annual basis, indexed to 75% or 100% of the increase in the CPI for blue- and white-collar households, excluding tobacco (ISTAT index), until contract expiry; market rents are indexed to 100% of the increase in the ISTAT index. This applies until such time that a new lease commences, whereupon rent is indexed to 75% of the ISTAT index increase. A vacancy period is also assumed upon the expiry of existing leases or for vacant properties, estimated according to the type and size of the property.

*Cash flow discount rates (WACC)*

The cash flow discount rate is represented by the Weighted Average Cost of Capital (WACC), which weighs the specific costs of each component of invested capital: debt (borrowed funds) and equity (own funds). The formula used to calculate WACC is as follows:

**WACC = Kd (D/D+E) + Ke (E/D+E)**

where:

E = equity

D = debt

E + D = invested capital

Kd = cost of debt, calculated as: (1+IRS)\*(1+SPREAD) -1

Ke = cost of equity, calculated as: (1+Risk-free rate)\*(1+Risk premium) -1

The inputs used to calculate the cost of debt (Kd) and the cost of equity (Ke) are as follows:

Risk-free rate = the medium/long-term return on risk-free securities, calculated as the average daily gross yield on BTPs over the last 90 trading days; given the average yields of 5-, 10-, 15-, 20- and 30-year BTPs and, consequently, the average 12-, 18- and 25-year values, the risk-free rate as at the valuation date is in the range of 2.99%-4.20%;

Risk Premium = the specific risk of the property being valued, calculated using a build-up approach that factors in all systematic risk items attributable to a property *(*location, lease status and asset characteristics);

EUR IRS = the medium- to long-term interest rate usually underlying the loans granted by credit institutions, calculated based on the average daily rate over the last 90 trading days on 5-, 10-, 15-, 20- and 30-year loans and, consequently, the averages at 12, 18 and 25 years; the IRS as at the valuation date was in the range 2.32%-2.56%;

SPREAD = profit margin of the credit institution.

*Cap rate*

The methodology developed to calculate cap rate is aligned with the decision-making process of an ordinary investor, taking into account that the cap rate expresses the level of risk/return on the property being valued at the time of final divestment. In particular, a build-up approach is used by combining the real long-term yield of risk-free assets (Risk Free_Exit) with the specific risk forecast at the time of final divestment (Adjusted Risk Premium). The formula is as follows:

**CAP RATE = ((1+ Risk-free_Exit)/(1+Inflation_Exit))\*(1+ Adjusted risk premium)-1**

where:

Risk-free_Exit = long-term return on risk-free securities; the Risk-Free rate factored into the cap rate is the longest maturity rate available – the 30-year average yield of 4.28%)

Adjusted risk premium = the specific risk of the property being valued at the time of final divestment

Inflation_Exit: the inflation figure factored into the cap rate is the 2.00% inflation forecast indicated in the ECB Economic Bulletin.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

*Inflation*

The rate of inflation is used to measure rent indexation and to calculate the cap rate as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· Period
 1 inflation: 0.81%, equal to the rolling average of the last 12 CPI figures for blue- and
 white-collar households excluding tobacco;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Period
 2 inflation: 1.40%, equal to the arithmetical mean between Period 1 inflation and headline
 inflation;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Headline
 inflation: 2.00%, equal to the inflation estimate indicated in the ECB's Economic Bulletin.

*Valuation frequency*

For investment property it is necessary to recalculate the fair value, on an annual basis at least, in accordance with IAS 40.

For property for business use, IAS 16 provides that value re-determinations must be carried out regularly in order to ensure that the book value does not differ significantly from the fair value at the reporting date. The Group has decided to carry out the revaluation, in the same way as for IAS 40 properties, at least once a year. More specifically, as at 31 December 2024, the Group carried out updated appraisals for all real estate assets on a half-yearly basis.

*Summary of the effects of fair value measurements in 2024*

As at 31 December 2024, taking into account the results of the valuation updates carried out as at 30 June 2024, the net negative effect for the 2024 financial year amounts to a total of EUR 42.7 mln, of which EUR 42.9 mln are attributable to the Parent Company, gross of the related taxes. The overall effect was as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· for
 properties classified under IAS 16, a negative effect of EUR 23.5 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· for
 properties classified under IAS 40, a negative effect of EUR 18.4 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· for
 properties classified under IAS 2, a negative effect of EUR 0.8 mln;

<sub> </sub>

offset by:

&nbsp;&nbsp;&nbsp;&nbsp;· item
 260 of the income statement - "Net gains (losses) on property, plant and equipment
 and intangible assets measured at fair value" for a total negative change of EUR 27.3
 mln for the Group (EUR 27.4 mln for the Parent Company) gross of related taxes;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· item
 120 of the balance sheet - "Valuation reserve" for a total negative change of
 EUR 15.4 mln for the Group (EUR 15.6 mln for the Parent Company) gross of related taxes.

*Sensitivity analysis of non-financial instruments*

Like financial instruments, non-financial assets and liabilities measured at level 3 fair value are also subjected to sensitivity analysis for which, based on the valuation model used to determine fair value, execution is possible and whose results are significant.

In this context, a sensitivity analysis was performed for the Group's properties for which the valuation was conducted using the discounted cash flow method, identifying the following variables of major significance: the market rents for real estate used in operations and the exit value for real estate held for investment. Considering a change equal to +/- 5% of the aforementioned variables, the analysis showed an average deviation in the fair value of the properties of approximately -5.3% and +5.3%.

A.4.2 Measurement processes and sensitivity

A description of Level 3 financial instruments that show significant sensitivity to changes in unobservable inputs is provided below.

The column "Other financial assets mandatorily measured at fair value" in the category "Debt securities" measured using the Discount Cash Flow method includes both mezzanine and junior tranches referring to the securitisation of a portfolio of loans classified as non-performing loans called "Siena NPL" for EUR 28.5 mln. For this position, the change in the discount rate (+/-1%) and in the flows of expected distributions (+/-10%), would determine a range of values of EUR 26.3-27.5 mln and EUR 28.1-25.5 mln, respectively.

Also worth mentioning in this category are approximately EUR 18.6 mln relating to some equity investments acquired by the Group under credit restructuring agreements which the sensitivity analysis was not carried out as the unit value of the individual exposures is below the minimum materiality threshold established by the Group.

BANCA MONTE DEI PASCHI DI SIENA

The column "Other Financial assets mandatorily measured at fair value" also includes loans (EUR 143.5 mln) that are mandatorily measured at fair value. The unobservable parameters are Probability of Default (PD), Loss Given Default (LGD) and the different spreads for performing and non-performing assets. The change in these parameters, of 10%, 5%, 1% and 1%, respectively, would have an impact on fair value of approximately EUR -6.2 mln.

The majority of the UCITS units refers, for EUR 124.3 mln, to units of funds received in exchange for the sale of non-performing loans (Back2bonis, IDEA CCR I, II and Nuova Finanza, Clessidra and Efesto). The change in the discount rate (+/-1%) and forecasted distributions (+/-10%) would result in the following range of values: EUR 122.1 - 126.6 mln and EUR 136.9 - 111.6 mln respectively.

The category of UCITS units also contains the total contributions made from June 2016 onwards to the Italia Recovery Fund (formerly Atlante due) for a carrying amount of EUR 6.4 mln calculated on the basis of the latest available NAV.

Lastly, the UCITS category also includes private equity funds and closed-end real estate funds for EUR 128.1 mln, of which EUR 88.0 mln corresponding to the positions of Fondo Etrusco Distribuzione (EUR 82.9 mln) and Fondo Democrito (EUR 5.1 mln) which, following reassessment of the equity relationships between the Bank and those real estate funds, were reclassified during the current year from investments in companies subject to significant influence to financial assets. The change in default probability (+/-1%) and recovery rates (+/-10%) for these positions would result in a range of values of EUR 88.2-87.9 mln, respectively. With regard to the remaining positions, it was not possible to carry out any quantitative analysis of the sensitivity of the fair value with respect to the change in unobservable inputs, as the fair value is the result of a model whose inputs are specific to the entity being measured and for which the information necessary for a sensitivity analysis is not available.

The "Financial assets measured at fair value through other comprehensive income" accounting portfolio includes the equity investment in Bank of Italy (EUR 137.5 mln), measured using the Discounted Cash Flow method. The equity investment was measured with the methodology identified by the Committee of Experts in the document "Revaluation of shareholdings in the Bank of Italy". This document not only details the valuation techniques adopted to reach the end result, but identified the following entity-specific parameters: the market beta, equity risk premium, and the cash flow base. The valuation of that equity investment is also confirmed in market transactions carried out in recent years by certain banks. The range of possible values that can be assigned to these parameters cause the following changes in value: roughly -EUR 9 mln for every 100 bps increase in the equity risk premium, roughly -EUR 18 mln for every 10 pp increase in the market beta, and roughly -EUR 18 mln for every 10 pp increase in the cash flow base.

This category also includes equity securities representing all equity investments designated at fair value that could not be measured according to a market-based model. These positions amount to approximately EUR 28.1 mln. A sensitivity analysis was not conducted for these positions for the same reasons as above with reference to the UCITs.

Financial liabilities held for trading include financial derivatives (approximately EUR 1.5 mln) included for the correct management of the lapse risk inherent in commission flows deriving from the placement of certain unit-linked policies. A sensitivity analysis was not carried out for these positions as they were not considered material for the Group.

A.4.3 Fair value hierarchy

For the purposes of completing the disclosure on transfers between levels provided in paragraphs A.4.5.1, A.4.5.2 and A.4.5.3 below, it should be noted that, for securities held at 31 December 2024 and which had a different fair value level with respect to the one assigned at 1 January 2024, it was assumed that the transfer between the levels took place with reference to the balances held at the beginning of the reference period.

A.4.4 Other information

With reference to paragraph 93 letter (i) of IFRS 13, the Group does not hold any non-financial assets measured at fair value whose current use does not represent its best possible use.

With reference to paragraph 96 of IFRS 13, the Group does not apply the portfolio exception provided for in paragraph 48 of IFRS 13.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Quantitative Information

A.4.5 Fair value hierarchy

A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value level

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset and liabilities measured at** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| **fair value** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1, Financial assets measured at fair value through profit or loss of which: | 3514504 | 2564789 | 453536 | 6532829 | 3525446 | 2360157 | 365960 | 6251563 |
| a) Financiale asset held for trading | 3514504 | 2562076 |  | 6076580 | 3525258 | 2357546 |  | 5882804 |
| c) other financial assets mandatorily measured at fair value |  | 2713 | 453536 | 456249 | 188 | 2611 | 365960 | 368759 |
| 2. Financial assets measured at fair value through other comprehensive income | 2162400 | 9383 | 165582 | 2337365 | 1729670 | 530744 | 216842 | 2477256 |
| 3. Hedging derivative |  | 94215 |  | 94215 |  | 704125 |  | 704125 |
| 4. Property, plant and equipment | - | - | 1738312 | 1738312 | - | - | 1816931 | 1816931 |
| **Total assets** | **5676904** | **2668387** | **2357430** | **10702721** | **5255116** | **3595026** | **2399733** | **11249875** |
| 1. Financial liabilities held for trading | 1619122 | 985108 | 1515 | 2605745 | 1823197 | 1028656 | 2868 | 2854721 |
| 2. Financial liabilities designated at fair value |  | 119670 |  | 119670 |  | 111325 |  | 111325 |
| 3. Hedging derivative | - | 358391 | - | 358391 | - | 330193 | - | 330193 |
| **Total liabilities** | **1619122** | **1463169** | **1515** | **3083806** | **1823197** | **1470174** | **2868** | **3296239** |

---

For information on financial instruments classified in level 3, please refer to the above.

Some financial assets, particularly shares for approximately EUR 3.3 mln, worsened during the year from fair value level 1 to level 2.

With reference to the financial instruments that recorded an improvement in the level of fair value, moving from level 2 to level 1 of the hierarchy, it should be noted that this trend involved bonds measured at fair value for a value of about EUR 313.1 mln

The aforementioned changes in the level of fair value was respectively due to the worsening/improvement in the liquidity conditions of the securities (measured in terms of the bid-ask amplitude of the quoted price) such as to allow, in accordance with the Group's policy on the valuation of financial instruments, the transfer of level.

BANCA MONTE DEI PASCHI DI SIENA

A.4.5.2 Annual changes of financial assets measured at fair value on a recurring basis (level 3)

31 12 2024

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | **Financial assets measured at fair value through profit or loss** | **Financial assets measured at fair value through profit or loss** | **Financial assets measured at fair value through profit or loss** | **Financial assets measured at fair value through profit or loss** | | |
|  |  | **Total** | **of which: <br> a) financial <br> assets held for <br> trading** | **of which:<br> b) financial <br> asset measurd<br> at fair value** | **of whichi: c)<br> financial assets<br> mandatorily<br> measuerd at fair <br> value** | **Financial assets**<br>**measured <br> at fair value<br> through other<br> comprehensive<br> income** | <br>**Property, plant** <br> **and equipment** |
| **1. Opening balance** | **1. Opening balance** | **365960** | **-** | **-** | **365960** | **216842** | **1816931** |
| **2. Increases** | **2. Increases** | **145818** | **-** | **-** | **145818** | **6458** | **22205** |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 | Purchase |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 | Profit charged to: | 20649 |  |  | 20649 | 6457 | 9083 |
|  | 2.2.1 Income statement | 20649 |  |  | 20649 |  | 8582 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital gains | 19739 |  |  | 19739 |  | 8582 |
|  | 2.2.2 Equity |  | X | X | X | 6457 | 501 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 | Transfers from other levels |  |  |  |  | 1 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.4 | Other increases | 125169 |  |  | 125169 |  | 13122 |
| **3. Decreases** | **3. Decreases** | **58242** | **-** | **-** | **58242** | **57718** | **100824** |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1 | Sales |  |  |  |  | 115 | 3139 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2 | Repayements | 25076 |  |  | 25076 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.3 | Losses charged to: | 31837 |  |  | 31837 | 35 | 51067 |
|  | 3.3.1 Income statement | 31837 |  |  | 31837 |  | 35190 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital losses | 31831 |  |  | 31831 |  | 35190 |
|  | 3.3.2 Equity |  | X | X | X | 35 | 15877 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.4 | Transfers to other levels |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.5 | Other decreases | 1329 |  |  | 1329 | 57568 | 46618 |
| **4. Closing balance** | **4. Closing balance** | **453536** | **-** | **-** | **453536** | **165582** | **1738312** |

---

Following are the most significant amounts reported in the column "Other Financial assets mandatorily measured at fair value" under item:

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.1
 Profit charged to the income statement" of approximately EUR 20.6 mln refers mainly
 to revaluations of certain UCITS units (EUR 19.1 mln) and of loans (EUR 0.5 mln);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "2.4
 Other increases" equal to EUR 125.2 mln include approximately EUR 32.0 mln in positions
 that during the year were reclassified from the loan portfolio at amortised cost to the portfolio
 of other assets measured at fair value as per mandatory requirements due to substantial
 credit changes not consistent with the SPPI test, as well as new disbursements. This line
 also includes EUR 88.0 mln for the Fondo Etrusco Distribuzione and Fondo Democrito, which
 during the year were reclassified as financial assets mandatorily measured at fair value
 (for more details, see section 7 Equity Investments - Part B of these Notes to the Consolidated
 Financial Statements);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "3.2
 Repayments" for EUR 25.1 mln, includes approximately EUR 14.6 mln as the partial reimbursement
 of UCITS units held and EUR 10.5 mln for reimbursements on credit positions;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "3.3.1
 Losses charged to the income statement" of EUR 31.8 mln for write-downs, primarily
 referring to EUR 17.4 mln on UCITS units, EUR 12.4 mln on *notes* for the Siena NPL
 securitisation transaction and EUR 1.8 mln on non-performing loans.

The EUR 57.6 mln posted to other decreases in "Financial assets measured at fair value through other comprehensive income" refers to the value of the shareholding in the Bank of Italy and certain equity instruments reclassified as assets held for sale under IFRS 5.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

Property, plant and equipment measured at fair value on a recurring basis consisted of property assets for business and for investment use. The main amounts reported are shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.1
 Profit charged to the income statement of which capital gains" amounting to approximately
 EUR 8.6 mln, refer for EUR 4.2 mln to write-backs on properties classified under IAS 16 that
 were previously written-down in the Income Statement, and for EUR 4.4 mln to revaluations
 of properties classified under IAS 40 following appraisals carried out as at 31 December
 2024;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.2
 Profit recognised in shareholders' equity" amounting to approximately EUR 0.5
 mln refers to reversals of impairment losses on properties classified under IAS 16;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "2.4
 Other increases" of approximately EUR 13.1 mln referred mainly to EUR 8.3 mln in improvements
 and incremental expenses and EUR 3.9 mln in property repossessions under lease agreements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "3.1-Sales"
 in the amount of about EUR 3.1 mln refer to the sale of some IAS 40-listed properties finalised
 during the year;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "3.3.1
 Losses charged to the income statement - of which capital losses" amounted to approximately
 EUR 35.2 mln, refer for EUR 12.4 mln and EUR 22.8 mln related to properties classified under
 IAS 16 and 40 respectively;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "3.3.2
 Losses charged to equity" equal to approximately EUR 15.9 mln refer entirely to write-downs
 on properties classified under IAS 16 subject to a previous revaluation recognised in the
 OCI reserve;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "3.5
 Other decreases" of approximately EUR 46.6 mln refer mainly to the depreciation charge
 relating to properties classified under IAS 16 for EUR 27.5 mln and to properties transferred
 during the year to properties held for sale for EUR 12.5 mln. The item also includes EUR
 6.6 mln relating to real estate assets owned by the subsidiary MPS Banque, classified as
 a discontinued operation pursuant to IFRS 5.

BANCA MONTE DEI PASCHI DI SIENA

A.4.5.3 Annual changes of liabilities measured at fair value on a recurring basis (level 3)

---

| | |
|:---|:---|
|  | **31 12 2024** |
|  | **Financial liabilities held for trading** |
| **1. Opening balance** | **2868** |
| **2. Increases** | **3559** |
| &nbsp;&nbsp;&nbsp;2.1 Issues |  |
| &nbsp;&nbsp;&nbsp;2.2 Losses charged to | 3559 |
| &nbsp;&nbsp;&nbsp;2.2.1 Profit and Loss | 3559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital losses |  |
| &nbsp;&nbsp;&nbsp;2.2.2 Equity | X |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases |  |
| **3. Decreases** | **4913** |
| &nbsp;&nbsp;&nbsp;3.1 Redemptions |  |
| &nbsp;&nbsp;&nbsp;3.2 Repurchases |  |
| &nbsp;&nbsp;&nbsp;3.3 Profit charged to: | 4913 |
| &nbsp;&nbsp;&nbsp;3.3.1 Profit and Loss | 4913 |
| &nbsp;&nbsp;&nbsp;- of which capital gains | 1353 |
| &nbsp;&nbsp;&nbsp;3.3.2 Equity | X |
| &nbsp;&nbsp;&nbsp;3.4 Transfers from other levels |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases |  |
| **4. Closing balance** | **1514** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part A - Accounting policies

A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value level

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Financial asset/liabilities not measured at fair value** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |  |
| **or measured at fair value on a non - recurring basis** | **Book value** | **Level 1** | **Level 2** | **Level 3** | **Total Fair value** |
| 1. Financial assets measured at amortised cost | 90525940 | 8555800 | 11585670 | 69759787 | 89901257 |
| 3. Non-current assets held for sale and disposal groups | 1128665 | 13 | - | 80368 | 80381 |
| **Total assets** | **91654605** | **8555813** | **11585670** | **69840155** | **89981638** |
| 1, Financial liabilities measured at amortised cost | 102751412 | 8687964 | 94386273 |  | 103074237 |
| 2. Liabilities associated to disposal groups | 976699 | - | - | 976699 | 976699 |
| **Total liabilities** | **103728111** | **8687964** | **94386273** | **976699** | **104050936** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Financial asset/liabilities not measured at fair value** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |  |
| **or measured at fair value on a non - recurring basis** | **Book value** | **Level 1** | **Level 2** | **Level 3** | **Total Fair value** |
| 1. Financial assets measured at amortised cost | 90544417 | 8259192 | 11183842 | 70644224 | 90087258 |
| 3. Non-current assets held for sale and disposal groups | 76232 | - | - | 76232 | 76232 |
| **Total assets** | **90620649** | **8259192** | **11183842** | **70720456** | **90163490** |
| 1, Financial liabilities measured at amortised cost | 105026527 | 8715149 | 96468826 | - | 105183975 |
| **Total liabilities** | **105026527** | **8715149** | **96468826** | **-** | **105183975** |

---

For details of the valuation criteria for assets and liabilities measured at fair value on a non-recurring basis, reference should be made to the information provided in the corresponding qualitative section.

In regard to assets under disposal, only the assets measured at fair value or at fair value less disposal costs were indicated.

A.5 Disclosure on "day one profit/loss"

The Group did not recognise "day one profits/losses" on financial instruments pursuant to B.5.1.2A of IFRS 9; therefore, no disclosure is provided pursuant to paragraph 28 of IFRS 7 and other related IAS/IFRS paragraphs.

BANCA MONTE DEI PASCHI DI SIENA

Part B - Information on the balance sheet

ASSETS

Section 1 - Cash and cash equivalents - Item 10

1.1 Cash and cash equivalents: breakdown

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **31 12 2024** | **31 12 2023** |
| a) Cash | 752282 | 708220 |
| b) Demand deposits with central banks | 10917449 | 11907467 |
| c) Demand deposits with banks | 1579667 | 1701590 |
| **Total** | **13249398** | **14317277** |

---

The amount of approximately EUR 10,917.4 mln recorded in line b) Current accounts and sight deposits with Central Banks refers almost entirely to sight deposits with the ECB

Section 2 - Financial assets measured at fair value through profit or loss - Item 20

2.1 Financial assets held for trading: breakdown

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **A. Balance-sheet assets** |  |  |  |  |  |  |  |  |
| 1. Debt securities | 3382364 | 246121 |  | 3628485 | 3332505 | 290363 |  | 3622868 |
| 1.1 Structured securities | 137737 | 45802 |  | 183539 | 177801 | 56628 |  | 234429 |
| 1.2 Other debt securities | 3244627 | 200319 |  | 3444946 | 3154704 | 233735 |  | 3388439 |
| 2. Equity instruments | 104366 | 3752 |  | 108118 | 83546 | 119 |  | 83665 |
| 3. Units of UCITS | 27774 |  |  | 27774 | 104041 |  |  | 104041 |
| 4. Loans |  |  |  |  |  |  |  |  |
| 4.1 Repurchase agreements |  |  |  |  |  |  |  |  |
| 4.2 Others | - | - | - | - | - | - | - | - |
| **Total (A)** | **3514504** | **249873** | **-** | **3764377** | **3520092** | **290482** | **-** | **3810574** |
| **B. Derivatives** |  |  |  |  |  |  |  |  |
| 1. Financial derivatives: |  | 2312174 |  | 2312174 | 5166 | 2067064 |  | 2072230 |
| 1.1 held for trading |  | 2241570 |  | 2241570 | 5166 | 2000653 |  | 2005819 |
| 1.2 fair value option |  | 70604 |  | 70604 |  | 66411 |  | 66411 |
| 1.3 Others |  |  |  |  |  |  |  |  |
| 2. Credit derivatives: |  | 29 |  | 29 |  |  |  |  |
| 2.1 held for trading |  | 29 |  | 29 |  |  |  |  |
| 2.2 fair value option |  |  |  |  |  |  |  |  |
| 2.3 Others | - | - | - | - | - | - | - | - |
| **Total (B)** | **-** | **2312203** | **-** | **2312203** | **5166** | **2067064** | **-** | **2072230** |
| **Total (A+B)** | **3514504** | **2562076** | **-** | **6076580** | **3525258** | **2357546** | **0** | **5882804** |

---

Criteria adopted for classification of financial instruments in the three levels of the "fair value hierarchy" are reported in Section A.4, "Information on fair value" of Part A, "Accounting policies" of the notes to the financial statements, to which reference should be made.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

As a result of the provisions set out in IFRS 9 with regard to the derecognition of financial assets, lines 1.1 Structured securities and 1.2 Other debt securities of the item "Cash assets" also include debt securities pledged in repos and securities lending transactions carried out in respect of own securities posted to the trading book.

Debt securities- structured securities (sub-item 1.1) as at 31 December 2024 amount to EUR 185.5 mln (EUR 234.4 as at 31 December 2023) and is mainly represented by fixed-rate debt securities additionally indexed to inflation.

The aggregate figure as at the reporting date does not include senior, mezzanine or junior exposures taken on by the Group in relation to own and third-party securitisation transactions (EUR 35.6 mln as at 31 December 2023, which are recognised in the level 2 column of line "1.2 Other debt securities" referring to senior and mezzanine exposures).

Derivatives connected with fair value option instruments are also classified as derivative instruments: these cover the risks of funding designated at fair value arising from possible interest rate fluctuations and from any embedded options in fixed-rate and structured bonds issued by the Parent Company (natural hedging). The positive fair value of these derivatives is shown in the table in line "B.1-1.2 – Fair value option".

2.2 Financial assets held for trading: breakdown by borrower/issuer/counterparty

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Items/Amounts** | **31 12 2024** | **31 12 2023** |
| **A. Balance sheet assets** |  |  |
| 1. Debt securities | 3628485 | 3622868 |
| a) Central banks |  |  |
| b) Public entities | 3223167 | 3197425 |
| c) Banks | 195106 | 181166 |
| d) Other financial companies | 150835 | 183408 |
| of which: insurance companies | 11266 | 9055 |
| e) Non-financial companies | 59377 | 60869 |
| 2. Equity instruments | 108118 | 83665 |
| a) Banks | 2984 | 1875 |
| b) Other financial companies | 60887 | 36919 |
| of which: insurance companies | 56840 | 36734 |
| c) Non-financial companies | 44247 | 44871 |
| d) Other issuers: |  |  |
| 3. Units of UCITS | 27774 | 104041 |
| 4. Loans | - | - |
| **Total (A)** | **3764377** | **3810574** |
| **B. Derivatives** | **-** | **-** |
| a) Central couterparties |  |  |
| b) Others | 2312204 | 2072230 |
| **Total (B)** | **2312204** | **2072230** |
| **Total (A+B)** | **6076581** | **5882804** |

---

The breakdown by debtor/issuer was carried out in accordance with criteria of classification by economic activity group and sector laid down by the Bank of Italy.

As for derivatives, it should be noted that the positive fair value of derivatives with customers includes approx. EUR 61.0 mln from balanced trading aimed at providing financial protection to customers of the Group's network. The remaining amount was generated from transactions with financial market participants classified as customers pursuant to the above classification criteria set by the Bank of Italy.

BANCA MONTE DEI PASCHI DI SIENA

The following table adds details to line "A.3. Units of UCITS" of table 2.2 above.

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Categories/Amounts** | **31 12 2024** | **31 12 2023** |
| Exchange Traded Funds (ETF) | 23854 | 97872 |
| Equity | 3920 | 6156 |
| Others | - | 13 |
| **Total** | **27774** | **104041** |

---

2.3 Financial assets designated at fair value: breakdown

2.4 Financial assets measured at fair value: breakdown by borrower/issuer

Tables 2.3 and 2.4 were not completed since the Bank has no financial assets measured at fair value to report for either the current or previous year.

2.5 Other financial assets mandatorily measured at fair value: breakdown

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1. Debt securities |  | 2713 | 49854 | 52567 |  | 2611 | 58826 | 61437 |
| 1.1 Stuctured secutities |  |  |  |  |  |  |  |  |
| 1.2 Other debt securities |  | 2713 | 49854 | 52567 |  | 2611 | 58826 | 61437 |
| 2. Equity instruments |  |  | 1236 | 1236 | 188 |  | 1839 | 2027 |
| 3. Units of UCITS |  |  | 258984 | 258984 |  |  | 182011 | 182011 |
| 4. Loans |  |  | 143462 | 143462 |  |  | 123284 | 123284 |
| 4.1 Repurchase agreements |  |  |  |  |  |  |  |  |
| 4.2 Others | - | - | 143462 | 143462 | - | - | 123284 | 123284 |
| **Total** | **-** | **2713** | **453536** | **456249** | **188** | **2611** | **365960** | **368759** |

---

Line 1.2 "Other debt securities" includes EUR 17.9 mln attributable to SFPs issued as part of compositions with creditors in which the Parent Company took part. The line also includes exposures of EUR 28.5 mln for securitisation of a portfolio of MPS Group non-performing loans, of which EUR 27.9 mln (EUR 36.4 mln as at 31 December 2023) in mezzanine tranches and EUR 0.6 mln (EUR 0.6 mln as at 31 December 2023) in junior tranches.

Line 3 "Units of UCITS" includes, in correspondence with level 3, UCITS units acquired in exchange for the sale of NPE loans for EUR 129.4 mln (EUR 116.3 mln as at 31 December 2023) and the units in the Italia Recovery Fund (formerly Atlante) for EUR 6.4 mln (EUR 7.7 mln as at 31 December 2023). The same line also includes the positions of real estate funds Fondo Etrusco Distribuzione and Fondo Democrito, for a total of EUR 88.0 mln, which during the year were reclassified under this portfolio (for more details see Section 7 - Equity investments, of these Notes to the Consolidated Financial Statements).

Line 4 "Loans" consists of financial assets that must be valued at fair value as a result of their failure to pass the SPPI test.

At the reporting date, there are no equity securities arising from the recovery of impaired financial assets.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

2.6 Other financial assets mandatorily measured at fair value: breakdown by borrower/issuer

---

| | | |
|:---|:---|:---|
| <br>**Items/Value** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1. Equity instruments | 1237 | 2027 |
| &nbsp;&nbsp;&nbsp;of which: banks |  |  |
| &nbsp;&nbsp;&nbsp;of which: other financial companies | 1150 | 1133 |
| &nbsp;&nbsp;&nbsp;of which: non-financial companies | 87 | 894 |
| 2. Debt secuties | 52567 | 61437 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public Entities |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 33918 | 42788 |
| &nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 18649 | 18649 |
| 3. Units of UCITS | 258984 | 182011 |
| 4. Loans | 143461 | 123284 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public Entities |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies |  |  |
| &nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 129600 | 106673 |
| &nbsp;&nbsp;&nbsp;f) Families | 13861 | 16611 |
| **Total** | **456249** | **368759** |

---

The main cumulative losses relating to equity securities of evidently poor credit quality referring to previous financial years are Compagnia Investimento e Sviluppo (EUR 3.8 mln), Newcolle S.r.l. (EUR 2.3 mln), Porto Industriale Livorno (EUR 1.9 mln). The write-downs of equity instruments of clearly poor credit quality, made by the Group during the course of the financial year are of irrelevant amount.

Provided below is the breakdown by main categories of UCITS.

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Categories/Amounts** | **31 12 2024** | **31 12 2023** |
| Hedge Funds | 24 | 23 |
| Private equity | 38058 | 57510 |
| Real estate | 96567 | 8216 |
| Non Performing Exposures | 124335 | 116262 |
| **Totale** | **258984** | **182011** |

---

For the disclosure on mutual funds acquired as part of the sale of loans included in the previous table under "NPE loans", please refer to the specific paragraph in Part E of these Notes to the Financial Statements (Subsection E "Sale Transactions" point "C. Financial assets sold and fully derecognised").

Of the increase recognised in the "Real Estate" line, EUR 88.0 mln refers to the Fondo Democrito and Fndo Etrusco Dis-tribuzione real estate funds (for more details see Section 7 - Equity Investments, of these Notes to the consolidated Financial Statements).

BANCA MONTE DEI PASCHI DI SIENA

Section 3 - Financial assets designated at fair value through other comprehensive income - Item 30

3.1. Other financial assets measured at fair value through other comprehensive income: breakdown

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items/Amounts** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1. Debt securities | 2162400 | 1343 |  | 2163743 | 1729670 | 520213 |  | 2249883 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities | 34581 |  |  | 34581 | 33621 |  |  | 33621 |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 2127819 | 1343 |  | 2129162 | 1696049 | 520213 |  | 2216262 |
| 2. Equity instruments |  | 8039 | 165582 | 173621 |  | 10530 | 216843 | 227373 |
| 3. Loans | - | - | - | - | - | - | - | - |
| **Total** | **2162400** | **9382** | **165582** | **2337364** | **1729670** | **530743** | **216843** | **2477256** |

---

As a result of the provisions set out in IFRS 9 with regard to the derecognition of financial assets, line 1.2 also includes debt securities pledged in repos and securities lending transactions carried out in respect of own securities recognised under financial assets designated at fair value through other comprehensive income.

Debt securities- structured securities (sub-item 1.1) as at 31 December 2024 amount to EUR 34.6 mln (EUR 33.6 mln as at 31 December 2023) and is mainly represented by fixed-rate debt securities additionally indexed to inflation.

The line "1.2 Other Debt Securities" totalling around EUR 2,129.2 mln – of which EUR 256.6 mln (EUR 446.0 mln as at 31 December 2023) subject to specific fair value hedging entirely against interest rate risk– mainly includes Italian government bonds in the amount of around EUR 1,451.9 mln, down from EUR 1,624.6 mln as at 31 December 2023 due to the sale on the market of some bonds approaching maturity. The line also includes EUR 1.3 mln (EUR 5.0 mln as at 31 December 2023) of exposures relating to senior notes of securitisation transactions originated by third parties.

The line "2. Equity instruments" (Level 3 column) includes the EUR 137.5 mln investment in the capital of Bank of Italy.

At the reporting date, the aggregate does not include equity securities arising from the recovery of impaired financial assets.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

3.2. Other financial assets measured at fair value through other comprehensive income: breakdown by borrower/issuer

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Items/Amounts** | **31 12 2024** | **31 12 2023** |
| **1. Debt securities** | **2163743** | **2249883** |
| &nbsp;&nbsp;&nbsp;a) Central banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public entities | 1897392 | 1762611 |
| &nbsp;&nbsp;&nbsp;c) Banks | 225194 | 429543 |
| &nbsp;&nbsp;&nbsp;d) Other financial copanies | 26337 | 14354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 14820 | 43375 |
| **2. Equity instruments** | **173621** | **227373** |
| &nbsp;&nbsp;&nbsp;a) Banks | 151739 | 200966 |
| &nbsp;&nbsp;&nbsp;b) Other issuers: | 21882 | 26407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other financial copanies | 11232 | 17770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Non-financial companies | 10635 | 8622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Others | 14 | 14 |
| **3. Loans** | **-** | **-** |
| **Total** | **2337364** | **2477256** |

---

The main cumulative losses relating to equity securities of evidently poor credit quality refer to the investee Restart S.r.l. and were fully recognised in previous financial years, for an amount of EUR 0.5 mln.

The write-downs of equity instruments of clearly poor credit quality, made by the Group during the course of the financial year are of irrelevant amount.

3.3 Other financial assets measured at fair value through other comprehensive income: gross value and total value adjustments

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Value adjustments** | **Value adjustments** | **Value adjustments** | **Value adjustments** | |
|  | **Stage 1** | **Stage 1** | | | | | | | | |
|  |  | **of which: low<br> credit risk<br> instruments** | <br>**Stage 2** | <br>**Stage 3** | **Purchased or**<br>**originated<br> credit<br> impaired<br> financial<br> assets** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased or**<br> **originated<br> credit<br> impaired<br> financial<br> assets** | <br>**Total<br> Partial<br> write-off <br> (\*)** |
| Debt securities | 2163610 | 2108869 | 2674 |  |  | 1210 | 1331 |  |  |  |
| Loans | - | - | - | - | - | - | - | - | - | - |
| **Total 31 12 2024** | **2163610** | **2108869** | **2674** | **-** | **-** | **1210** | **1331** | **-** | **-** | **-** |
| **Total 31 12 2023** | **2237398** | **2106236** | **14645** | **-** | **-** | **1899** | **261** | **-** | **-** | **-** |

---

\* Value to be presented for disclosure purposes

BANCA MONTE DEI PASCHI DI SIENA

Section 4 - Financial assets measured at amortised cost - Item 40

4.1 Financial assets measured at amortised cost: breakdown of loans to banks

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | |
| <br>**Type of transaction/Amount** | **Stage 1<br> and Stage 2** | **Stage 3** | **of which: <br> impaired<br> or originated <br> impaired <br> financial<br> assets** | **Total** | **L1** | **L2** | **L3** | <br>**Total** |
| **A. Loans to central banks** | **560821** | **-** | **-** | **560821** | **-** | **560821** | **-** | **560821** |
| &nbsp;&nbsp;1. Time deposits | 25001 |  |  | 25001 | X | X | X | X |
| &nbsp;&nbsp;2. Compulsory reserve | 535006 |  |  | 535006 | X | X | X | X |
| &nbsp;&nbsp;3. Reverse repurchase agreements |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;4. Others | 814 |  |  | 814 | X | X | X | X |
| **B. Loans to bank** | **2797015** | **8033** | **-** | **2805048** | **2945** | **2706616** | **8033** | **2717594** |
| 1. Loans | 2059426 | 8033 |  | 2067459 |  | 2058846 | 8033 | 2066879 |
| 1.1 Current accounts and demand deposits |  |  |  |  | X | X | X | X |
| 1.2 Time deposits | 37776 |  |  | 37776 | X | X | X | X |
| 1.3 Other loans | 2021650 | 8033 |  | 2029683 | X | X | X | X |
| &nbsp;&nbsp;- Reverse repurchase agreements | 856438 |  |  | 856438 | X | X | X | X |
| &nbsp;&nbsp;- Finance leases |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;- Others | 1165212 | 8033 |  | 1173245 | X | X | X | X |
| 2. Debt securities | 737589 |  |  | 737589 | 2945 | 647770 |  | 650715 |
| &nbsp;&nbsp;2.1 Sructured securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;2.2 Other debt securities | 737589 | - | - | 737589 | 2945 | 647770 | - | 650715 |
| **Total** | **3357836** | **8033** | **-** | **3365869** | **2945** | **3267437** | **8033** | **3278415** |

---

The line "Loans to Central banks 2. Compulsory reserve" includes the balance of the compulsory reserve which, at the end of the financial year, amounted to EUR 535.0 mln (EUR 501.7 mln as at 31 December 2023). It should be noted that, in accordance with regulations on average maintenance levels, the end-of-period balance of the compulsory reserve may be subject to changes, also substantial, in relation to the Group's contingent treasury requirements.

The item "Loans to banks, 1.3 Other loans – Other", totalling EUR 1,173.2 mln, includes security deposits of approximately EUR 1,007.5 mln.

Note that the line "B.2.2 Other debt securities" includes EUR 428.3 mln (EUR 657.0 mln as at 31 December 2023) of assets subject to specific fair value hedging for interest rate risk.

At the reporting date of this financial statements, as in previous financial year, the aggregate does not include the Group's senior, mezzanine and junior exposures with reference to own and third-party securitisation transactions.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** | **Stage 1<br> and Stage 2** | **Stage 3** | **Purchased<br> or originated <br> impaired <br> financial<br> assets** | **Total** | **L1** | **L2** | **L3** | **Total** |
| **A. Loans to central banks** | **526753** | **-** | **-** | **526753** | **-** | **526753** | **-** | **526753** |
| &nbsp;&nbsp;1. Time deposits | 25001 |  |  | 25001 | X | X | X | X |
| &nbsp;&nbsp;2. Compulsory reserve | 501752 |  |  | 501752 | X | X | X | X |
| &nbsp;&nbsp;3. Reverse repurchase agreements |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;4. Others |  |  |  |  | X | X | X | X |
| **B. Loans to bank** | **3263747** | **398** | **-** | **3264145** | **2924** | **3194214** | **398** | **3197536** |
| &nbsp;&nbsp;1. Loans | 2581828 | 398 |  | 2582226 |  | 2582841 | 398 | 2583239 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Current accounts |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Time deposits | 17136 |  |  | 17136 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Other loans | 2564692 | 398 |  | 2565090 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;- Reverse repurchase agreements | 1030587 |  |  | 1030587 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;- Finance leases |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;- Others | 1534105 | 398 |  | 1534503 | X | X | X | X |
| &nbsp;&nbsp;2. Debt securities | 681919 |  |  | 681919 | 2924 | 611373 |  | 614297 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Sructured securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 Other debt securities | 681919 | - | - | 681919 | 2924 | 611373 | - | 614297 |
| **Total** | **3790500** | **398** | **-** | **3790898** | **2924** | **3720967** | **398** | **3724289** |

---

BANCA MONTE DEI PASCHI DI SIENA

4.2 Financial assets measured at amortised cost: breakdown of loans to customers

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** | **Stage 1<br> and Stage 2** | **Stage 3** | **of which: <br> impaired<br> or originated <br> impaired <br> financial<br> assets** | **Total** | **L1** | **L2** | **L3** | **Total** |
| **1. Loans** | **75059674** | **1860577** | **2156** | **76922407** | **-** | **7032613** | **69751754** | **76784367** |
| &nbsp;&nbsp;&nbsp;1.1 Current accounts | 2643000 | 63327 | 197 | 2706524 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;1.2. Reverse repurchase agreements | 7035199 |  |  | 7035199 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;1.3. Mortgage | 50505907 | 1520290 | 1645 | 52027842 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;"1.4. Credit cards, personal loans and fifth-of-salary backed loans" | 1453661 | 6175 |  | 1459836 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;1.5. Finance lease | 2411284 | 103748 |  | 2515032 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;1.6. Factoring | 2450177 | 15666 |  | 2465843 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;1.7. Other transactiones | 8560446 | 151371 | 314 | 8712131 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: operating receivable | 4610 | 77 |  | 4687 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: leased assets under construction | 91298 | 1984 |  | 93282 | X | X | X | X |
| **2. Debt securities** | **10237664** | **-** | **-** | **10237664** | **8552855** | **1285620** | **-** | **9838475** |
| &nbsp;&nbsp;&nbsp;1.1. Structured securities | 1103945 |  |  | 1103945 | 1020002 |  |  | 1020002 |
| &nbsp;&nbsp;&nbsp;1.2. Other debt securities | 9133719 | - | - | 9133719 | 7532853 | 1285620 | - | 8818473 |
| **Total** | **85297338** | **1860577** | **2156** | **87160071** | **8552855** | **8318233** | **69751754** | **86622842** |

---

"Loans to customers" also includes operating receivables for EUR 4.7 mln (EUR 15.3 mln as at 31 December 2023) - other than those connected with the payment for the supply of non-financial goods and services, posted to Asset item 150 "Other assets", subject to the provisions pursuant to IFRS 9, paragraph 5.5.15 a) i).

The column "Purchased or originated credit impaired" for EUR 2.1 mln (EUR 2.7 mln as at 31 December 2023) is almost entirely made up of assets originating from restructuring agreements on non-performing positions.

In line "2.1 Structured securities" as at 31 December 2024, EUR 1,103.9 mln (EUR 1,109.0 mln as at 31 December 2023) refers to fixed-rate debt securities additionally indexed to inflation.

Line "2.2 Other debt securities" equal to EUR 9,133.7 mln comprises mainly Italian government bonds in the amount of EUR 7,253.1 mln (EUR 7,389.6 mln as at 31 December 2023). In addition, EUR 818.7 mln (EUR 1,003.9 mln as at 31 December 2023) of the senior notes pertaining to the securitisation transaction of the MPS Group's bad loan portfolio. The line also includes bonds not listed in active markets issued mainly by local government bodies, e.g. municipal bonds (it.: Buoni Ordinari Comunali, BOC).

Finally, with respect to the total debt securities of EUR 10,237.7 mln, this figure includes EUR 3,286.5 mln (EUR 3,885.2 mln as at 31 December 2023) in securities subject to fair value micro-hedging for interest rate risk and EUR 1,463.2 mln in floating-rate securities subject to micro-hedging for cash flow risk.

"Loans to customers" include loans disbursed with funds made available by the Government or by other public institutions, with the Group adopting partial or total risk. These funds are managed under the agreements signed by the Group with Cassa Depositi e Prestiti (hereinafter CDP), in direct cooperation with ABI, and with regional financial institutions. In particular, the Group adhered to the agreements specifically structured by ABI and CDP to support the business sector, to support private individuals and in favour of the territory for natural disasters. Except for the latter agreement, whose subsidised loans are backed by State guarantee, the loans disbursed by the Group are characterised by conditions released from the CDP funding, subject to independent negotiation between the parties, and are mandatorily assigned as collateral to CDP.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

In 2024, the Group did not use CDP funds to support the business sector, instead only using funds dedicated to supporting territories affected by natural disasters.

Conversely, with regard to management of resources made available through regional or national measures, the Group's operations refer to specific agreements stipulated with the regional financial institutions, such as Veneto Sviluppo, Finlombarda, Finpiemonte and Puglia Sviluppo, or other regional fund managers (Artigiancredito per il Fondo Multiscopo of the Emilia Romagna region), or with CDP regarding alternative instruments such as the so-called "Rotation Funds". The resources are intended to encourage and support companies operating in certain areas and in specific economic sectors. These loans are generally disbursed with part of the funding made available with public funds and part with the Bank's own resources (co-financing). The funding with public funds varies according to the initiative to be financed: the percentage is defined by specific Regional Laws or Resolutions and, as a rule, the public funds must be integrated with the Bank's own resources to ensure the total coverage of the expenditure.

Finally, it should be noted that, in line with the Bank of Italy communication of the Bank of Italy of 14 March 2023 "Update of the provisions of Circular no. 262 - Bank financial statements: layouts and rules for compilation - concerning the impacts of COVID-19 and of the measures to support the economy", the Group has provided a total of state-guaranteed loans (in application of the Law Decree no. 23, "Liquidity", of 8 April 2020) for an amount of EUR 11.5 bn, with a book value of EUR 4,673.5 mln as at 31 December 2024 (EUR 7,064.2 mln as at 31 December 2023).

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** | **Stage 1<br> and Stage 2** | **Stage 3** | **of which: <br> impaired<br> or originated <br> impaired <br> financial<br> assets** | **Total** | **L1** | **L2** | **L3** | **Total** |
| **Loans** | **74919736** | **1769813** | **2744** | **76692293** | **-** | **6228029** | **70643826** | **76871855** |
| 1.1. Current accounts | 2755274 | 66165 | 228 | 2821667 | X | X | X | X |
| 1.2. Reverse repurchase agreements | 6229986 |  |  | 6229986 | X | X | X | X |
| 1.3. Mortgage | 51837630 | 1406956 | 2212 | 53246798 | X | X | X | X |
| 1.4. Credit cards, personal loans and fifth-of-salary backed loans | 1130474 | 6030 |  | 1136504 | X | X | X | X |
| 1.5. Finance lease | 2873415 | 172868 |  | 3046283 | X | X | X | X |
| 1.6. Factoring | 1776975 | 12618 |  | 1789593 | X | X | X | X |
| 1.7. Other transactiones | 8315982 | 105176 | 304 | 8421462 | X | X | X | X |
| of which: operating recevaible | 15198 | 76 |  | 15274 | X | X | X | X |
| of which: leased assets under construction | 192144 | 1874 |  | 194018 | X | X | X | X |
| **Debt securities** | **10061226** | **-** | **-** | **10061226** | **8256268** | **1234846** | **-** | **9491114** |
| 1.1. Structured securities | 1109029 |  |  | 1109029 | 973952 |  |  | **973952** |
| 1.2. Other debt securities | 8952197 | - | - | 8952197 | 7282316 | 1234846 | - | **8517162** |
| **Total** | **84980962** | **1769813** | **2744** | **86753519** | **8256268** | **7462875** | **70643826** | **86362969** |

---

BANCA MONTE DEI PASCHI DI SIENA

4.3 Financial assets measured at amortised cost: breakdown by borrower/issuer of loans to customers

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Type of transaction/Amount** | **Stage 1 and<br> Stage 2** | **Stage 3** | **Purchased<br> or originated <br> credit impaired<br> financial<br> assets** | **Stage 1 and<br> Stage 2** | **Stage 3** | **Purchased<br> or originated <br> credit impaired <br> financial<br> assets** |
| **1. Debt securities** | **10237664** | **-** | **-** | **10061226** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) Public entities | 9111266 |  |  | 8742542 |  |  |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 919158 |  |  | 1112425 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 62492 |  |  | 62407 |  |  |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 207240 |  |  | 206259 |  |  |
| **2. Loans to** | **75059675** | **1860576** | **2156** | **74919736** | **1769813** | **2744** |
| &nbsp;&nbsp;&nbsp;a) Public Entities | 1518697 | 9442 |  | 1699013 | 6970 |  |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 8510238 | 2420 |  | 7721810 | 2100 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 7887 |  |  | 334 |  |  |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 31460165 | 1156763 | 1950 | 31926044 | 1069315 | 2559 |
| &nbsp;&nbsp;&nbsp;d) Families | 33570575 | 691951 | 206 | 33572869 | 691428 | 185 |
| **Total** | **85297339** | **1860576** | **2156** | **84980962** | **1769813** | **2744** |

---

4.4 Financial assets measured at amortised cost: gross exposure and total value adjustments

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Total value adjustments** | **Total value adjustments** | **Total value adjustments** | **Total value adjustments** | |
| | **Stage 1** | **Stage 1** | | | | | | | | |
| <br>**Type of<br> transaciotns/<br> Amount** | | **of which:<br> low credit <br> risk<br> instruments** | <br>**Stage 2** | <br>**Stage 3** | **Purchased**<br> **or originated<br> credit <br> impaired <br> financial <br> assets** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased**<br> **or originated<br> credit <br> impaired <br> financial <br> assets** | <br>**Total<br> Partial <br> write-off<br> (\*)** |
| Debt securities | 10118410 | 9809348 | 867819 |  |  | 5961 | 5015 |  |  |  |
| Loans | 67746600 |  | 10394196 | 3579404 | 2920 | 112185 | 348689 | 1710795 | 764 | 19501 |
| **31 12 2024** | **77865010** | **9809348** | **11262015** | **3579404** | **2920** | **118146** | **353704** | **1710795** | **764** | **19501** |
| **31 12 2023** | **79234227** | **10398140** | **10023703** | **3473282** | **4805** | **113581** | **372888** | **1703070** | **2061** | **32925** |

---

\* Value to be presented for disclosure purposes

For financial assets included in the stage 3 column and for purchased or originated credit impaired financial assets, the gross value corresponds to the book value gross of the relative overall value adjustments; the latter are equal to the difference between the expected recovery value and the gross book value. For impaired financial assets purchased, the gross value corresponds to the purchase price and the adjustments correspond to the difference between the expected recovery value and the gross book value.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

Section 5 - Hedging derivatives - Item 50

5.1. Hedging derivatives: breakdown by type of contract and underlying asset

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** | **NV<br> as at**<br>**31 12 2024** |
| **A. Financial derivatives** | **-** | **94215** | **-** | **94215** | **10791137** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 77298 |  | 77298 | 9399137 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | 16917 |  | 16917 | 1392000 |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows | - | - | - | - | - |
| **Total** | **-** | **94215** | **-** | **94215** | **10791137** |

---

**key** 

NV = Notional or Nominal Value

The table shows the positive book value (fair value) of hedging derivatives for hedges carried out through hedge accounting.

The year-on-year decrease in the positive fair value of fair value hedges is mainly due to the termination of certain fair value hedges.

Information on the underlying strategies and objectives of hedge transactions can be found in the Section "Market risks" of Part E - "Information on Risks and hedging policies".

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** | **NV<br> as at**<br>**31 12 2023** |
| **A. Financial derivatives** | **-** | **704125** | **-** | **704125** | **20577981** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 704125 |  | 704125 | 20577981 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows | - | - | - | - | - |
| **Total** | **-** | **704125** | **-** | **704125** | **20577981** |

---

**key** 

NV = Notional or Nominal Value

BANCA MONTE DEI PASCHI DI SIENA

5.2. Hedging derivatives: breakdown by hedged portfolios and type of hedging

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash Flows** | **Cash Flows** | | |
| | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | | | | | |
| <br>**Transaction/Type <br> of hedge** | **debt securities <br>and interest<br> rate** | **equity<br> instruments <br>and stock<br> indices** | **currencies and <br>gold** | **Credit** | **Commodities** | **Other** | <br>**Macro-hedge** | <br>**Micro-hedge** | <br>**Macro-hedge** | <br>**Foreign <br>Investments** | <br>**Total <br>31 12 2024** |
| 1. Financial assets measured at fair value through other comprehensive income | 773 |  |  |  | X | X | X |  | X | X | 773 |
| 2. Financial assets measured at amortised cost | 13021 | X |  |  | X | X | X | 16917 | X | X | 29938 |
| 3. Portfolio | X | X | X | X | X | X | 59631 | X |  | X | 59631 |
| 4. Other transactions | - | - | - | - | - | - | X | - | X | - | - |
| **Total assets** | **13794** | **-** | **-** | **-** | **-** | **-** | **59631** | **16917** | **-** | **-** | **90342** |
| 1. Financial liabilities | 3873 | X |  |  |  |  | X |  | X | X | 3873 |
| 2. Portfolio | X | X | X | X | - | X | - | X | - | X | - |
| **Total liabilities** | **3873** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **3873** |
| 1. Expected transactions | X | X | X | X | X | X | X |  | X | X |  |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X | - | X | - | - | - |
| **Total** | **17667** | **-** | **-** | **-** | **-** | **-** | **59631** | **16917** | **-** | **-** | **94215** |

---

The table shows the positive fair values of hedging derivatives, classified by hedged assets or liabilities and type of hedging implemented.

In particular, for financial assets, fair value micro-hedging was used to hedge against interest rate risk on bonds classified in the portfolio "Financial assets measured at fair value through other comprehensive income", in order to protect the portfolio from unfavourable interest rate changes; fair value macro-hedging of the interest rate risk refers to hedges of optional components implicit in floating-rate mortgage loans. Fair value macro-hedging of interest rate risk refers to hedges of fixed-rate mortgage portfolios and optional components implicit in floating-rate mortgage portfolios. Cash flow micro-hedges, on the other hand, hedge against the risk that movements in the interest rate curve will reduce future cash flows on floating-rate debt securities classified within the "Financial assets measured at amortised cost" portfolio.

With reference to financial liabilities, fair value micro-hedging of the interest rate risk refers primarily to hedges of liabilities represented by securities.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

Section 6 - Change in value of macro-hedged financial assets - Item 60

6.1 Change in value of hedged assets: breakdown by hedged portfolios

---

| | | |
|:---|:---|:---|
| <br>**Changes in value of hedged assets / Group components** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Positive changes** | **158844** | **148025** |
| 1.1 of specific portfolios: | 158844 | 148025 |
| &nbsp;&nbsp;&nbsp;a) financial assets measured at amorised cost | 158844 | 148025 |
| &nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income |  |  |
| 1.2 overall |  |  |
| **2. Negative changes** | **570391** | **709208** |
| 2.1 of specific portfolios: | 570391 | 709208 |
| &nbsp;&nbsp;&nbsp;a) financial assets measured at amorised cost | 570391 | 709208 |
| &nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income |  |  |
| 2.2 overall | - | - |
| **Total** | **(411547)** | **(561183**) |

---

The value adjustment concerns mainly fixed and cap/floor floating rate mortgage loan portfolios that were fair value macro-hedged with derivatives to counter possible interest rate risk-induced fluctuations in value. As this is a macro-hedge, any gain or loss on the hedged item attributable to the risk hedged may not directly adjust the value of said item (unlike in micro-hedging), but must be presented in this separate line item of the assets. The amounts in this item must be removed from the balance sheet when the relevant assets or liabilities are derecognised.

The fair value of the corresponding hedging derivatives is shown in Table 5.2 (assets) or Table 4.2 (liabilities), both entitled "Hedging derivatives: breakdown by hedged portfolios and type of hedging".

The assets subject to macro hedging of interest risk refer to fixed and cap/floor floating rate mortgage loan portfolios included in item 40 "Financial assets measured at amortised cost - Loans to customers", amounted to EUR 9,915.4 mln as at 31 December 2024 (EUR 11,285.9 mln as at 31 December 2023). The sum of this amount and the one shown in this table expresses the book value of these receivables, adjusted for profit or loss attributable to the risk hedged.

BANCA MONTE DEI PASCHI DI SIENA

Section 7 – Equity investments – Item 70

7.1 Equity investments: information on shareholding

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Ownership Relationship** | **Ownership Relationship** | |
| <br>**Company Name** | <br>**Headquarters** | <br>**Registered <br> Office** | <br>**Type of <br> relationship (1)** | **Held by** | **Share holding <br> %** | <br>**Avail. % <br> votes** |
| **A. Companies under joint control** |  |  |  |  |  |  |
| Immobiliare Novoli S.p.a. | Florence | Florence | 7 | Banca Monte dei Paschi di Siena | 50.000 |  |
| **B. Companies under significant influence** |  |  |  |  |  |  |
| Axa Mps Assicurazioni Danni S.p.a. | Rome | Rome | 8 | Banca Monte dei Paschi di Siena | 50.000 |  |
| Axa Mps Assicurazioni Vita S.p.a. | Rome | Rome | 8 | Banca Monte dei Paschi di Siena | 50.000 |  |
| Fidi Toscana S.p.a. | Florence | Florence | 8 | Banca Monte dei Paschi di Siena | 27.460 |  |
| Microcredito di Solidarietà S.p.a. | Siena | Siena | 8 | Banca Monte dei Paschi di Siena | 40.000 |  |

---

**(1) Type of relationship:** 

7 = joint control;

8 = companies subject to significant influence.

**(2)** **Votes available in the ordinary shareholders' meeting, distinguishing between actual and potential** 

For further details on changes, see comments to table "7.5 - Equity investments: annual changes".

7.2 Significant equity investments: book value, fair value and dividends earned

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Book value** | **Book value** | | |
| <br>**Company name** | **31 12 2024** | **31 12 2023** | <br>**Fair value** | <br>**Dividends earned** |
| **A. Companies under joint control** |  |  |  |  |
| **B. Companies under significant influence** |  |  |  |  |
| Axa Mps Assicurazioni Vita S.p.a. | 565995 | 523598 |  |  |
| Axa Mps Assicurazioni Danni S.p.a. | 90102 | 97424 |  | 35003 |
| Fidi Toscana S.p.a. | 15587 | 15587 |  |  |
| Fondo Etrusco |  | 84375 |  | 480 |
| Fondo Democrito | - | 5110 | - | - |
| **Total** | **671684** | **726094** | **-** | **35483** |

---

The "Fondo Etrusco" and "Fondo Democrito" real estate funds, which were included within "Equity investments subject to significant influence" as at 31 December 2023, were reclassified during 2024 under "Financial assets measured at fair value through profit or loss" following the reassessment of the equity relationships existing between the Parent Company and these Real Estate Funds. The analysis showed that although the shareholdings exceed the thresholds of significant influence, the ability to actually exercise that influence was absent, as the Parent Company does not participate in the funds' policy-making and decision-making process. Instead, the board of directors of Fabrica Sgr, a management company in which the Parent Company as not involvment.

At the reporting date or for the financial year of comparison, there are no equity investments arising from the recovery of impaired financial assets.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

7.3 Significant equity investments: accounting information

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Cash and <br> cash <br> equivalents** | **Financial<br> assets** | **Non-financial<br> assets** | **Financial<br> liabilities** | **Non-financial<br> liabilities** | **Total<br> revenues** | **Net<br> interest <br> income** | **Value<br> adjustments <br> and<br> writebacks on<br> tangible and <br>intangible<br> assets** | **Profit<br> (Loss) from <br> current<br> operations <br> before tax** | **Profit<br> (Loss) from <br> current<br> operations <br> after tax** | **Profit (Loss)<br> from <br> discontinued <br> operations <br> after tax** | **Profit<br> (Loss) <br> for the <br> year (1)** | **Other<br> comprehensive <br> income after <br> tax (2)** | **Comprehensive<br> income <br>(3) = (1) + (2)** |
| **A. Companies under joint control** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| **B. Companies under significant influence** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Axa Mps Assicurazioni Danni S.p.a. | X | 592399 | 14897 | 400212 | 31512 | 165661 | X | X | 81071 | 56194 |  | 56194 | (369) | 55825 |
| Axa Mps Assicurazioni Vita S.p.a. | X | 18765371 | 304163 | 17759412 | 14109 | 1075136 | X | X | 110413 | 82535 |  | 82535 | (9440) | 73095 |
| Fidi Toscana S.p.a. | X | 142702 | 103845 | 7 | 137965 | 3439 | X | X | 1011 | 1003 |  | 1003 | (535) | 468 |

---

BANCA MONTE DEI PASCHI DI SIENA

7.3a - Reconciliation of accounting information with the book value of equity investments

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **AXA MPS**<br> **ASSICURAZIONI**<br> **DANNI S.P.A.** | **AXA MPS**<br> **ASSICURAZIONI**<br> **VITA S.P.A.** | **FIDI TOSCANA**<br> **S.P.A.**  | **FONDO**<br> **ETRUSCO**  | **FONDO**<br> **DEMOCRITO**  |
| Shareholding | 50.00% | 50.00% | 27.46% | 48.00% | 52.22% |
| Cash and cash equivalents | X | X | X | X | X |
| Financial assets | 592399 | 18765371 | 142702 |  |  |
| Non-financial assets | 14897 | 304163 | 103845 |  |  |
| Fianlcial liabilities | 400212 | 17759412 | 7 |  |  |
| Non-financiale liabilities | 31512 | 14109 | 137965 |  |  |
| Shareholders'equity (100%) | 175573 | 1296012 | 108576 |  |  |
| Group shareholding | 87786 | 648006 | 29815 |  |  |
| Cancellation of unrealised intragoup profit/loss |  | (44683) |  |  |  |
| Goodwill | 2316 | 46796 |  |  |  |
| Value adjustments |  |  | (25633) |  |  |
| Other increases/decreases |  | (84124) | 11406 |  |  |
| **Book value of Associate company as at 31 12 204** | **90102** | **565995** | **15588** | **-** | **-** |
| **Book value as at 31 12 2023** | **97424** | **523598** | **15588** | **84375** | **5110** |
| Profit (loss) for the year | 56194 | 82535 | 1003 |  |  |
| Other comprehensive income after tax | (369) | (9440) | (535) |  |  |
| Comprehensive income attributable to the Group | 27913 | 36548 | 129 |  |  |
| Dividends | (35003) |  |  | (480) |  |
| Value/adjustments and writebacks |  |  |  |  |  |
| Other changes | (232) | 5849 | (129) | (83895) | (5110) |
| **Book value of Associate company as at 31 12 2024** | **90102** | **565995** | **15588** | **-** | **-** |

---

7.3b – Significant equity investments: information on business

---

| | |
|:---|:---|
| **Company name** | **Type of business** |
| **Companies under significant influence** |  |
| Axa Mps Assicurazioni Danni S.p.a. | Company specialising in P&C insurance, offering a comprehensive range of insurance solutions tailored to the needs of customers and businesses. |
| Axa Mps Assicurazioni Vita S.p.a. | Leading company in the domestic insurance market, offering innovative and advantageous solutions for all pension, insurance, savings and investment needs. |
| Fidi Toscana S.p.a. | A Tuscan financial company which aims to facilitate access to credit for small and medium businesses |

---

The associates AXA MPS Assicurazioni Danni S.p.A. and AXA MPS Assicurazioni Vita S.p.A. are strategic for the Group.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

7.4 Non-significant equity investments: accounting information

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Denominazione** | **Book value<br> of equity<br> investment** | **Total <br> assets** | **Total <br> liabilities** | **Total<br> revenues** | **Gain (Loss) <br> from continuing <br>operations <br> after tax** |
| **A. Companies under joint control** |  | 123934 | 122806 | 21742 | 2226 – 2226 – 2226 |
| **B. Companies under significant influence** | 600 | 2253 | 752 | 103 | 7 – 7 – 7 |

---

7.5 Equity investments: annual changes

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Opening balance** | **726691** | **750678** |
| **B. Increases** | **75217** | **107240** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Revaluations | 75217 | 90793 |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  | 16446 |
| **C. Decreases** | **129624** | **131227** |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |
| &nbsp;&nbsp;&nbsp;C.2 value adjustments |  | 6572 |
| &nbsp;&nbsp;&nbsp;C.3 Write-downs | 988 |  |
| &nbsp;&nbsp;&nbsp;C.4 Other decreases | 128636 | 124655 |
| **D. Closing balance** | **672284** | **726691** |
| **E. Total revaluation** | **-** | **-** |
| **F. Total write-downs** | **25633** | **25633** |

---

The line B.3 "Revaluations" include the portion of profits for the year almost entirely realised by the insurance investees and valued using the equity method.

The amount of EUR 128.6 mln recognised in line C4 "Other changes" mainly refers to the reclassification to the portfolio of "other Financial assets mandatorily measured at fair value", starting in the fourth quarter of 2024, of the interests held in the Democritus and Etruscan Funds, in the amount of approximately EUR 88.0 mln. The same line includes, for the portion pertaining to the Group, the reduction in the value of shareholders' equity of the investee companies due to the distribution of dividends, amounting to approximately EUR 35.5 mln.

Reported below is the main embedded goodwill:

---

| | | |
|:---|:---|:---|
| **Embedded goodwill** | **31 12 2024** | **31 12 2023** |
| Axa Mps Assicurazioni Vita S.p.a. | 46796 | 46796 |
| Axa Mps Assicurazioni Danni S.p.a. | 2316 | 2316 |
| **Total** | **49112** | **49112** |

---

BANCA MONTE DEI PASCHI DI SIENA

7.6 Key considerations and assumptions to determine the existence of joint control or significant influence

The Group considers associate companies, and therefore subject to significant influence, those companies in which it holds a fifth or more of voting rights (including potential voting rights) or in which – despite a lower percentage of voting rights– it has the power of participating in the determination of the financial and operating policies of the investee on account of specific legal agreements such as, for example, the participation in shareholders' agreements, the participation in important committees of the investee as well as the presence of vetoing rights on significant decisions.

Certain equity interests exceeding 20%, in which the Group doesn't have the power to participate in determining financial and operating policies but only can exercise governance right limited to the protection of proprietary interest, are not considered associates subject to significant influence.

The Group considers jointly controlled those companies with respect to which the following circumstances occur simultaneously:

&nbsp;&nbsp;&nbsp;&nbsp;· if an agreement has been entered into that assigns co-participation in the management of the investee's activities via a presence on the Board of Directors;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· none of the parties participating in the agreement holds exclusive control;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· decisions relating to relevant activities are made unanimously by the parties identified (each has an implicit or explicit veto right with regard to relevant decisions).

7.7 Covenants on equity investments in jointly controlled companies

No covenants on equity investments in jointly controlled companies are reported.

Covenants on equity investments in companies subject to significant influence

In the context of the agreements implementing the Bancassurance Framework Agreement between AXA and MPS signed in 2007 (hereinafter the "Framework Agreement"), the shareholders' agreement signed in 2007 (the "Shareholders' Agreement"), which regulates the corporate governance of the companies, AXA MPS Assicurazioni Vita S.p.A. (hereinafter "AMAV") and AXA MPS Assicurazioni Danni S.p.A. (hereinafter "AMAD"), provides, inter alia, for put and call options in favour of AXA and MPS, respectively, which may be exercised by them upon the occurrence of the following events: change of control, breach of the lock-up, termination and natural dissolution of the Framework Agreement, serious breach and, finally, invalidity of the entire Framework Agreement as a result of a final and no longer appealable arbitration decision or ruling.

The exercise price of the options in question is equal to the market value of the AMAD and AMAV shares defined as their value at the date of the last day of the calendar quarter preceding the quarter of the calendar year in which the communication of the exercise of the put option of AXA or the call option of MPS, as the case may be, is received by MPS or AXA, respectively. This value, established on the basis of the guidelines contained in the Shareholders' Agreement, is compliant with the methods usually adopted in the practice for the valuation of companies operating in the insurance sector, and refers to general principles and methods consistent with the definition of fair value as stated in IFRS 13.

In general, the aforementioned options are linked to conditions precedent and have a protective value typical of joint venture agreements. From an accounting point of view, it should be noted that the put and call options related to all the events mentioned above are not recognised in the Group's Financial Statements, as they do not qualify as derivatives pursuant to the definition stated in IFRS 9. In this regard, it should be noted thatthe exercise price of the options is given by the fair value of the underlying, therefore the option price is always zero or in cases where the options provide for a weighting factor applied to the exercise price other than 100%, the value of these options is substantially zero given the remote probability of the exercise, which is connected to events under the control of the parties and producing unfavourable economic effects for the party that activates them.

7.9 Significant restrictions

As at the reporting date, there are no significant restrictions on the ability of the jointly controlled company or associated companies to transfer funds to Group companies, except those attributable to regulatory legislation, which may require the maintenance of a minimum amount of own funds, or the provisions of the Italian Civil Code on distributable profits and reserves.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

7.10 Other information

The valuation with the synthetic equity method is carried out on the basis of the Financial Statements referring to 31 December 2024 for the insurance investees; for other companies over which the Group exercises a significant influence or holds joint control and for which the timing of availability of the financial statements at the end of the financial year is not compatible with the timing of the closing of the consolidated Financial Statements of the MPS Group, reference is made to the last available accounting report, represented, in most cases by the accounting situation as at 30 June 2024. In any case, when the accounting reports of the associate or joint venture used in applying the equity method refer to a date other than the financial statements of the MPS Group, adjustments are made to take into account any effects of significant transactions or events that occurred between that date and the reporting date of the MPS Group.

*Impairment tests on equity investments*

As required by the IFRS accounting standards, the equity investments are subject to the impairment test in order to assess whether there is objective evidence that might render the book value of these assets not entirely recoverable. The process of recognising impairment involves verifying the presence of certain indicators and calculating any write-down. For further details, please refer to Part A of these Notes to the consolidated financial statements, paragraph "Use of estimates and assumptions - Methods for determining impairment of equity investments". In the presence of breach of the impairment indicators, the recoverable value was calculated using two distinct approaches:

&nbsp;&nbsp;&nbsp;&nbsp;· for companies without positive income or without a multi-year forecast plan a valuation method based on the company's equity as at 31 December 2024 was used;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· for companies with positive income and/or a multi-year forecast plan the valuation method used was based on the discounting of the dividend flows that may be distributed by the investee company (DDM).

The valuations as at 31 December 2024 did not show any need for value adjustments; the valuations referred to the previous year had shown the need to make a value adjustment of EUR 6.6 mln for the company under significant influence, Fidi Toscana S.p.A.

Section 8 – Insurance activities – Item 80

No values are shown in this section as the insurance companies in which the Group holds equity investments are associates, and therefore these investments are consolidated using the synthetic equity method.

BANCA MONTE DEI PASCHI DI SIENA

Section 9 - Property, plant and equipment - Item 90

9.1 Property, plant and equipment used in the business: breakdown of assets valued at cost

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Asset/Amount** | **31 12 2024** | **31 12 2023** |
| **1. Assets owned** | **188911** | **199806** |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  |
| &nbsp;&nbsp;&nbsp;c) furniture and furnishings | 128187 | 132335 |
| &nbsp;&nbsp;&nbsp;d) electronic systems | 38860 | 40891 |
| &nbsp;&nbsp;&nbsp;e) other | 21864 | 26580 |
| **2. Right of Use acquired through leasing** | **159496** | **185017** |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings | 159132 | 183733 |
| &nbsp;&nbsp;&nbsp;c) furniture and furnishings |  | 155 |
| &nbsp;&nbsp;&nbsp;d) electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) other | 364 | 1129 |
| **Total** | **348407** | **384823** |
| of which: obtained throught the enforcement of the guarantees received |  |  |

---

All the Group's tangible assets are measured at cost with the exception of land and buildings.

Item 1 "Assets owned –c) furnishings" includes artworks whose value amounts to EUR 119.4 mln (EUR 119.8 mln at 31 December 2023).

The rights of use acquired under leasing are nearly entirely attributable to lease contracts used as branches and as spaces intended to accommodate ATMs or internal offices.

As at the reporting date of these Financial Statements, as well as in the comparison financial year, there are no tangible assets obtained through the enforcement of guarantees.

9.2 Property, plant and equipment held for investment: breakdown of assets valued at cost

There were no assets measured at cost.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

9.3 Property, plant and equipment used in the business: breakdown of revalued assets

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Asset/Amount** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **1. Assets owned** | **-** | **-** | **1451630** | **1451630** | **-** | **-** | **1531684** | **1531684** |
| a) land |  |  | 826877 | 826877 |  |  | 883548 | 883548 |
| b) buildings |  |  | 624753 | 624753 |  |  | 648136 | 648136 |
| c) furniture and furnishings |  |  |  |  |  |  |  |  |
| d) electronic systems |  |  |  |  |  |  |  |  |
| e) other |  |  |  |  |  |  |  |  |
| **2. Right of Use acquired through leasing** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| a) land |  |  |  |  |  |  |  |  |
| b) buildings |  |  |  |  |  |  |  |  |
| c) furniture and furnishings |  |  |  |  |  |  |  |  |
| d) electronic systems |  |  |  |  |  |  |  |  |
| e) other | - | - | - | - | - | - | - | - |
| **Total** | **-** | **-** | **1451630** | **1451630** | **-** | **-** | **1531684** | **1531684** |
| of which: obtained throught the enforcement of the guarantees received |  |  |  |  |  |  |  |  |

---

Land and buildings classified as tangible assets used in the business are valued according to the restated value criterion, for valuation subsequent to initial recognition. The line "land" expresses the value of land separately from the value of buildings.

As at 31 December 2024, the Group has granted operating leases of owned assets for business use totalling EUR 2.4 mln, entirely in the categories a) land and b) buildings. For more information on the Group's lease assets, see Part M of these Notes to the Financial Statements.

There were no property, plant and equipment obtained by means of financial leases or through the enforcement of guarantees at the reporting date of these Financial Statements or for the financial year of comparison.

BANCA MONTE DEI PASCHI DI SIENA

9.4 Property, plant and equipment held for investment: breakdown of assets measured at fair value

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Asset/Amount** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **1. Assets owned** | **-** | **-** | **286681** | **286681** | **-** | **-** | **285247** | **285247** |
| &nbsp;&nbsp;&nbsp;a) land |  |  | 114904 | 114904 |  |  | 127300 | 127300 |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  | 171777 | 171777 |  |  | 157947 | 157947 |
| **2. Right of Use acquired through leasing** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) land |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings | - | - | - | - | - | - | - | - |
| **Total** | **-** | **-** | **286681** | **286681** | **-** | **-** | **285247** | **285247** |
| of which: obtained throught the enforcement of the guarantees received |  |  | 27844 | 27844 |  |  | 25764 | 25764 |

---

Assets measured at fair value consist of owned real estate not used for business operations. In this regard, it should be noted that the Group does not hold investment assets represented by rights of use acquired through leases.

As at 31 December 2024, the Group has granted operating leases of owned assets held for investment purposes totalling EUR 55.9 mln, entirely attributable to the categories a) land and b) buildings. For more information on the Group's leasing activity, see Part M of these Notes to the Consolidated Financial Statements.

The criteria for classification of property, plant and equipment as an investment property pursuant to IAS 40 are described in the accounting policies, to which reference is made. The disclosure required by IAS 40 paragraph 75 letter c) is not provided, as the classification is not difficult.

At the reporting date of these financial statements, or for the year of comparison, there were no cases under paragraph 75 letter g), h) of IAS 40 attributable to: restrictions on the feasibility of investment properties or on the remittance of income and collections related to the disposal; contractual obligations for the acquisition, construction or development of investment property or for repairs, maintenance or improvements.

9.5 Inventories of property, plant and equipment governed by IAS 2: breakdown

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Assets/Amounts** | **31 12 2024** | **31 12 2023** |
| **1. Inventories of property, plant and equipment obtained through enforcement of the guarantees** | **-** | **153** |
| &nbsp;&nbsp;&nbsp;a) Land |  | 153 |
| &nbsp;&nbsp;&nbsp;b) Buildings |  |  |
| &nbsp;&nbsp;&nbsp;c) Furniture and furnishings |  |  |
| &nbsp;&nbsp;&nbsp;d) Electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) Others |  |  |
| **2. Others inventories of property, plant and equipment** | **22359** | **26792** |
| **Total** | **22359** | **26945** |

---

Line "1. Inventories of property, plant and equipment, obtained through the enforcement of guarantees received" included land of the subsidiary Aiace, in liquidation, which is classified as "Non-current assets held for sale" at 31 December 2024.

"Other inventories of property, plant and equipment" mainly refer to properties of the Parent Company acquired following the merger by incorporation of former subsidiary MPS Immobiliare S.p.A. in 2014.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

9.6 Property, plant and equipment used in the business: annual changes

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Land** | **Buildings** | **Furniture<br> and furnishings** | **Electronic <br> systems** | **Others** | **Total<br> 31 12 2024** |
| **A. Gross opening balance** | **916330** | **1519369** | **536757** | **839584** | **525481** | **4337521** |
| A.1 Total net decrease | 32782 | 687501 | 404267 | 798693 | 497771 | 2421014 |
| **A.2 Net opening balance** | **883548** | **831868** | **132490** | **40891** | **27710** | **1916507** |
| **B. Increases** | **1903** | **73344** | **1662** | **16560** | **4650** | **98119** |
| B.1 Purchases |  | 8946 | 1604 | 16545 | 4188 | 31283 |
| B.2 Capitalized expenditure on improvements |  | 7401 |  |  |  | 7401 |
| B.4 Increases in fair value booked to: | 1903 | 2783 |  |  |  | 4686 |
| &nbsp;&nbsp;&nbsp;a) shareholders' equity |  | 501 |  |  |  | 501 |
| &nbsp;&nbsp;&nbsp;b) profit and loss | 1903 | 2282 |  |  |  | 4185 |
| B.5 Exchange gains |  | 55 |  | 15 | 2 | 72 |
| B.7 Other increases |  | 54159 | 58 |  | 460 | 54677 |
| **C. Decreases** | **58573** | **121327** | **5965** | **18591** | **10133** | **214589** |
| C.2 Depreciation |  | 70344 | 4275 | 18579 | 9597 | 102795 |
| C.3 Impariment losses booked to: |  | 765 |  |  |  | 765 |
| &nbsp;&nbsp;&nbsp;a) shareholders' equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) profit and loss |  | 765 |  |  |  | 765 |
| C.4 Decreases in fair value booked to: | 19998 | 8135 |  |  |  | 28133 |
| &nbsp;&nbsp;&nbsp;a) shareholders' equity | 13939 | 1788 |  |  |  | 15727 |
| &nbsp;&nbsp;&nbsp;b) profit and loss | 6059 | 6348 |  |  |  | 12407 |
| C.5 Negative exchange differences |  |  |  |  |  |  |
| C.6 Transfer to: | 15074 | 31339 | 1354 |  |  | 47767 |
| &nbsp;&nbsp;&nbsp;a) tangible asset held for investment | 10850 | 21555 | X | X | X | 32405 |
| &nbsp;&nbsp;&nbsp;b) assets held for sale | 4224 | 9784 | 1354 |  |  | 15362 |
| C.7 Other decreases | 23501 | 10744 | 336 | 12 | 536 | 35129 |
| **D. Net closing balance** | **826878** | **783885** | **128187** | **38860** | **22227** | **1800037** |
| D.1 Total net decreases | 32782 | 737842 | 385785 | 815785 | 506407 | 2478601 |
| **D.2 Gross closing balance** | **859660** | **1521727** | **513972** | **854645** | **528634** | **4278638** |
| **E. Carried at cost** | **571821** | **753490** | **-** | **-** | **-** | **1325311** |

---

BANCA MONTE DEI PASCHI DI SIENA

The furniture, electronic systems and property, plant and equipment included in the "Other" column are valued at cost.

On the other hand, land and buildings are valued according to the restated value method, for valuation after initial recognition at cost.

Line B.4 "Positive changes in fair value" shows total changes of EUR 4.7 mln, of which EUR 4.2 mln charged to the Income Statement as write-backs resulting from previous impairment losses and EUR 0.5 mln to valuation reserves. Line C.4 "Negative changes in fair value" shows total changes of EUR 28.1 mln, of which EUR 12.4 mln was charged to the Income Statement and EUR 15.7 mln to the pre-existing valuation reserves. These changes result from the update of the value of real estate attributable to IAS 16 properties carried out as at 31 December 2024. For details of the valuation methodologies, see paragraph "Fair value level 2 and 3: measurement techniques and inputs used" in Part A of these Notes to the Financial Statements.

Line C3 "Impairment losses charged to: lett (b) income statement" shows the impairment on rights of use on properties.

Lines "B.7– Other changes" and "C.7 – Other changes", in the column "buildings", respectively show the increases and decreases related to the rights of use of some properties, resulting from renewals and the renegotiations of contracts finalised during the year (see table 9.6 a.). The same lines also show in the "land" column the transfers of value between the "building" component and that of the "land" of the same property, in relation to the fact that the unit of measurement considered in order to determine the valuation effects, to be recognised in shareholders' equity or in the income statement based on the sign, is the individual property. In this regard, it must, in fact, be specified that the opening of the single property between the two components ("land" and "building") is relevant for the purpose of calculating depreciation, depending on the different deterioration that characterises them; the aforementioned opening, on the other hand, is not relevant for the purpose of a separate determination of the valuation effects, taking into account that the two components of the same property cannot be sold separately.

Line C.6 letter a) "Transfers to property, plant and equipment held for investment purposes" mainly refers to the properties owned by the Group that were reclassified following the change of use of the prevailing portion of the property.

Line E – "Carried at cost" was shown as per the Bank of Italy's instructions, it needs to be completed for assets accounted for at fair value.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

9.6 a Property, plant and equipment used in the business - rights of use acquired: annual changes

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Land**  | **Buildings**  | **Furniture and**<br> **furnishings** | **Electronic**<br> **systems** | **Others**  | **Total**<br> **31 12 2024** |
| **A. Gross opening balance** |  | **417842** | **190** | **20800** | **7461** | **446293** |
| A.1 Total net decrease |  | 234109 | 35 | 20800 | 6332 | 261276 |
| **A.2 Net opening balance** |  | **183733** | **155** | **-** | **1129** | **185017** |
| **B. Increases** |  | **36291** | **57** | **-** | **584** | **36932** |
| B.1 Purchases |  | 8946 |  |  | 296 | 9242 |
| a) shareholders' equity |  | 55 |  |  |  | 55 |
| B.7 Other increases |  | 27290 | 57 |  | 288 | 27635 |
| **C. Decreases** |  | **60892** | **212** | **-** | **1349** | **62453** |
| C.2 Depreciation |  | 42854 |  |  | 1016 | 43870 |
| C.3 Impariment losses booked to: |  | 765 |  |  |  | 765 |
| &nbsp;&nbsp;&nbsp;b) profit and loss |  | 765 |  |  |  | 765 |
| C.6 Transfer to: |  | 6527 | 212 |  |  | 6739 |
| Non current assets held for sale and disposal groups |  | 6527 | 212 |  |  | 6739 |
| C.7 Other decreases |  | 10746 |  |  | 333 | 11079 |
| **D. Net closing balance** |  | **159132** | **-** | **-** | **364** | **159496** |
| D.1 Total net decreases |  | 277728 | 35 | 20800 | 7348 | 305911 |
| **D.2 Gross closing balance** |  | **436860** | **35** | **20800** | **7712** | **465407** |
| **E. Carried at cost** |  | **-** | **-** | **-** | **-** | **-** |

---

Line B.1 "Purchases" includes rights of use on properties deriving from the stipulation of new lease agreements.

The outcome of the impairment test carried out as at 31 December 2024 on the rights of use on properties led to the recognition of an impairment loss equal to EUR 0.8 mln recognised in the income statement item 210 "Net impairment losses/reversals on property, plant and equipment" and included in the aforementioned table in line "C.3 Impairment losses charged to the income statement".

"Other increases" in line B.7 shows the changes in the book value of the rights of use resulting from the renewal of existing contracts. "Other decreases" in line C.7 are mainly due to:

&nbsp;&nbsp;&nbsp;&nbsp;· renegotiations of the economic terms of existing contracts, agreed during the financial year;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· release of rented properties as part of the branch closing plan.

BANCA MONTE DEI PASCHI DI SIENA

9.7 Property, plant and equipment held for investment: annual changes

---

| | | | |
|:---|:---|:---|:---|
|  | **31 12 2024** | **31 12 2024** | **31 12 2024** |
|  | **Lands** | **Builiding** | **Total** |
| **A. Opening balance** | **127300** | **157947** | **285247** |
| **B Increases** | **14376** | **32684** | **47060** |
| B.1 Purchases |  |  |  |
| B.2 Capitalized expenditure on improvements |  | 1132 | 1132 |
| B.3 Increases in fair value | 2202 | 2196 | 4398 |
| B.4 Write-backs |  |  |  |
| B.5 Exchange gains |  |  |  |
| B.6 Transfers from property used in the business | 10850 | 21555 | 32405 |
| B.7 Other increases | 1324 | 7801 | 9125 |
| **C. Decreases** | **26772** | **18854** | **45626** |
| C.1 Sales | 2471 | 668 | 3139 |
| C.2 Depreciation |  |  |  |
| C.3 Decreases in fair value | 11474 | 11310 | 22784 |
| C.4 Impairment losses |  |  |  |
| C.5 Exchange losses |  |  |  |
| C.6 Transfers to other asset potfolios | 6836 | 6836 | 13672 |
| &nbsp;&nbsp;a) properties used in the business |  |  |  |
| &nbsp;&nbsp;b) Non-current assets held for sale and disposal groups | 6836 | 6836 | 13672 |
| C.7 Other decreases | 5991 | 40 | 6031 |
| **D. Closing balance** | **114904** | **171777** | **286681** |
| **E. Measured at fair value** | **-** | **-** | **-** |

---

Property, plant and equipment held for investment purposes, consisting entirely of owned properties, are measured at fair value.

Lines B.3 "Positive changes in fair value" and C.3 "Negative changes in fair value" show the changes attributable to changes in fair value estimates following the update of appraisals as at 31 December 2024, which were negative for a total of EUR 18.4 mln. In this regard, it should be noted that, for the purposes of compiling the table in question, the valuation effects at fair value were represented as "open balances" between the land component and the building component for each building unit. In the table that breaks down the income statement item "260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value", where the above mentioned valuation impact is reported, capital gains (losses) are however determined taking the individual property as reference unit.

Line C.6 "Transfers to: b) non-current assets held for sale and disposal groups" includes properties whose value is expected to be recovered mainly through sale transactions.

The sub-item "E. Measured at fair value", to be completed for investment properties valued at cost, is blank as all properties are valued at fair value. As at 31 December 2024, therefore, the book value of property, plant and equipment held for investment purposes (sub-item D) corresponds to their fair value.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

9.8 Inventories of property, plant and equipment governed by IAS 2: annual changes

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Inventories of property, plant and equipment obtained through<br> enforcement of the guarantees** | **Inventories of property, plant and equipment obtained through<br> enforcement of the guarantees** | **Inventories of property, plant and equipment obtained through<br> enforcement of the guarantees** | **Inventories of property, plant and equipment obtained through<br> enforcement of the guarantees** | **Inventories of property, plant and equipment obtained through<br> enforcement of the guarantees** | | |
|  | **Land** | **Buildings** | **Furniture<br> and furnishings** | **Electronic<br> systmes** | **Others** | **Other<br> Closing <br> balance of** <br>**tangible<br> assets** | <br>**Total** |
| **A. Opening balance** | **153** | **-** | **-** | **-** | **-** | **26792** | **26945** |
| **B. Increase** | **74** | **-** | **-** | **-** | **-** | **197** | **271** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |  |  |  | 197 | 197 |
| &nbsp;&nbsp;&nbsp;B.2 Write-backs | 74 |  |  |  |  |  | 74 |
| &nbsp;&nbsp;&nbsp;B.3 Exchange gains |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  |  |  |  |  |  |  |
| **C. Decreases** | **227** | **-** | **-** | **-** | **-** | **4630** | **4857** |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  | 3009 | 3009 |
| &nbsp;&nbsp;&nbsp;C.2 Impairment losses |  |  |  |  |  | 821 | 821 |
| &nbsp;&nbsp;&nbsp;C.3 Exchange losses |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other decreases | 227 |  |  |  |  | 800 | 1027 |
| **D. Closing balance** | **-** | **-** | **-** | **-** | **-** | **22359** | **22359** |

---

9.9 Commitments to purchase property, plant and equipment

No commitments to purchase property, plant and equipment were registered in 2024, as was the case for the comparison financial year.

9.10 Property, plant and equipment: depreciation rates

---

| | |
|:---|:---|
| **Main categories of property, plant and equipment** | **%** |
| Buildings | 2.0% - 6.77% |
| Furniture and furnishings | 10.0% - 12.0% |
| Alarm and video systems | 20.0% - 30.0% |
| Electronic and ordinary office equipment | 20.0% |
| Electronic data processing equipment | 20.0% - 25.0% |
| Vehicles | 20.0% |
| Telephones | 20.0% - 25.0% |

---

The percentages used for carrying out the depreciations with reference to the main categories of property, plant and equipment are presented in the table. Owing to their indefinite useful life, land and artworks are not depreciated. Investment property measured at fair value is not subject to depreciation.

For buildings for business use, the depreciation rates are determined on the basis of the cluster to which the individual building belongs. The different clusters are defined in terms of useful life, starting from a minimum of 5 years up to a maximum of 50 years.

Note that the rights of use acquired through leasing are depreciated based on the lease contract duration.

BANCA MONTE DEI PASCHI DI SIENA

Section 10 – Intangible assets – Item 100

10.1 Intangible assets: breakdown by type of assets

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Asset / Amount** | **Finite Life** | **Indefinite<br> Life** | **Total** | **Finite Life** | **Indefinite <br> Life** | **Total** |
| **A.1 Goodwill** | **X** | **7900** | **7900** | **X** | **7900** | **7900** |
| A.1.1 Group | X | 7900 | 7900 | X | 7900 | 7900 |
| A.1.2 Minorities | X |  |  | X |  |  |
| **A.2 Other intangible assets** | **148166** | **-** | **148166** | **170324** | **-** | **170324** |
| &nbsp;&nbsp;of which software | 147199 |  | 147199 | 169170 |  | 169170 |
| A.2.1 Assets carried ad cost | 148166 |  | 148166 | 170324 |  | 170324 |
| &nbsp;&nbsp;a) internally generated intangible assets | 29085 |  | 29085 | 33354 |  | 33354 |
| &nbsp;&nbsp;b) other assets | 119081 |  | 119081 | 136970 |  | 136970 |
| A.2.2 Assets valued at fair value: |  |  |  |  |  |  |
| &nbsp;&nbsp;a) internally generated intangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;b) other assets |  |  |  |  |  |  |
| **Total** | **148166** | **7900** | **156066** | **170324** | **7900** | **178224** |

---

All of the Group's intangible assets are valued at cost and have a finite useful life with the exception of goodwill. Goodwill is not systematically amortised but tested for impairment (Impairment Test). The test performed did not result in any impairment losses.

In line "A.2.1 Assets carried at cost – a) internally generated intangible assets" includes intangible assets linked to internally generated technology in the amount of EUR 29.1 mln.

Line "A.2.1 Assets carried at cost – b) Other assets" includes software purchased from/developed by third parties for EUR 119.1 mln.

Software, recognised overall in the financial statements in the amount of EUR 147.2 mln, is normally amortised over a period of three to five years, except in special cases. Finally it should be noted that the analysis was carried out of the future service life of the main capitalised assets to check for impairment, leading to an adjustment of about EUR 1.8 mln.

During preparation of the 2024 financial statements, goodwill recognised was tested for recoverability or impairment. In accordance with Document 4 jointly published by Bank of Italy/Consob/IVASS on 3 March 2010 and provisions set out in IAS 36, "Impairment of Assets", the activities carried out to perform the goodwill recoverability test are described below.

*Impairment test on Group goodwill*

Pursuant to IAS 36, all intangible assets with an indefinite useful life must be tested for impairment at least annually to verify the recoverability of value. The Group performs the impairment test with reference to 31 December of each year, and in any case each time the presence of loss indicators is recorded.

The aforementioned standard requires the determination of the recoverable value, defined as the higher value between fair value and value in use; if it is not possible to directly determine the recoverable value of the specific intangible asset recognised in the Financial Statements, it is necessary to determine the recoverable value of the cash-generating unit to which the asset belongs (hereinafter "CGU - Cash Generating Unit]"). In order to identify the CGUs to which to attribute assets to be tested for impairment, it is necessary that the potentially identified units generate cash inflows from continuing use which are largely independent of the cash inflows from other assets or groups of assets, which the Group is able to recognise separately in its management reporting system.

It should also be noted that the assessment procedure and parameters for the impairment test of goodwill were approved by the Board of Directors independently and in advance of the approval of the Consolidated Financial Statements.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

a) Identification of goodwill

The impairment test was carried out on goodwill; no other indefinite-life intangible assets are recognised in the financial statements.

b) Identification of cash-generating units and allocation of goodwill to the cash-generating units identified

According to IAS 36, each CGU or group of CGUs to which goodwill is allocated represents the lowest level within the entity at which the goodwill is monitored for internal management purposes and should not be larger than an operating segment as defined by IFRS 8 ("Operating Segments").

In continuity with the approach adopted in the impairment test at 31 December 2023, the Group's goodwill was tested by identifying those CGUs into which the Group's operations can be broken down and it is possible to analyse the cash flows that these will be able to generate in future years, based on an approach consistent with the segment reporting presented in the financial statements and, therefore, with management reporting.

The CGUs are identified in line with operating segments (segment reporting), except for the Retail Banking operating segment where it is possible to identify two distinct CGUs, the Retail CGU and the Widiba CGU.

The CGUs, identified on the basis of the above, are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· **"Retail CGU"**, which includes the Income Statement/Balance Sheet results of Retail customers (Value, Premium segments);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **"Widiba CGU"**, which includes the financial results of Banca Widiba (network of financial advisors and Self service channel);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **"Wealth Management CGU"**, which includes the income statement/balance sheet results of Private Banking customers (Private Banking and Family Office segments) and the subsidiary MPS Fiduciaria;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **"CGU Corporate Banking"**, which includes the income statement/balance sheet results of enterprise customers (SME, Corporate Client and Small Business segments) and the Foreign Branches;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **"CGU Large Corporate e Investment Banking"**, which includes the economic/equity results of Large Corporate customers, of the Corporate Finance and Investment Banking and Global Markets Business Units.

They are consistent with the method of primary representation of income/balance sheet data adopted by the Group (Segment Reporting). The goodwill is allocated to the Widiba CGU and is therefore the only CGU subjected to an impairment test.

c) Determination of the recoverable value of the CGU

On the basis of the IAS 36 accounting standard, the amount of the impairment loss is determined by the difference between the book value of the CGU and its recoverable amount, if lower. Recoverable amount is defined as the higher of:

&nbsp;&nbsp;&nbsp;&nbsp;· Fair value net of costs to sell - the amount obtainable from the sale of an asset in a regular transaction between market participants, less the costs of disposal;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Value in use - the present value of estimated future cash flows expected to arise from the continuing use of an asset or from a cash-generating unit (CGU).

The Group's goodwill as at 31 December 2024 was tested for impairment by identifying the recoverable amount of the Widiba CGU as the value in use estimated through the discounting of future distributable cash flows.

This test was conducted on the basis of the 2024 results of Banca Widiba, the 2025 projections of the subsidiary underlying the Group Budget (approved by the Parent Company's Board of Directors in its meeting of 12 December 2024) and the 2026-2027 projections underlying the 2025 RAS (approved by the Parent Company's Board of Directors on 5 February 2025), developed in accordance with the provisions of the 2024-2028 Business Plan, taking into account the macroeconomic scenario approved by the Board of Directors in its meeting of 7 November 2024.

BANCA MONTE DEI PASCHI DI SIENA

The recoverable amount was estimated by applying the Dividend Discount Model (DDM). According to this method, the value of a company is a function of the dividend flow that it is able to generate prospectively. In this case, the method used is the DDM in the Excess Capital variant, which assumes that the economic value of a company is equal to the sum of the present value of future cash flows generated in the chosen planning time horizon and distributable to shareholders while maintaining a level of capitalisation adequate to guarantee the expected future development, and the perpetual capitalisation of the flow of the last forecast year, depending on profitability at full capacity. The application of the DDM involves the use of the following formula:

![](tm2518026d1_ex99-4sp3img001.jpg)

where:

F<sub>t</sub> = cash flows distributable to shareholders over the selected time horizon based on the economic and financial projections made, maintaining a satisfactory level of capitalisation.

i = discount rate represented by the cost of equity (ke).

VT<sub>a </sub>= present Terminal Value calculated as the value of a perpetual yield that is estimated according to an economically sustainable normalised cash flow consistent with the long-term growth rate ("g").

*Cash flow discount rates*

To discount cash flows distributable to shareholders, the cost of equity was used, i.e. the return on equity required by investors/shareholders for investments with comparable risk characteristics. This rate, equal to 9.86%, is the cost of capital of the MPS Group as at 31 December 2024 according to the methodology validated by internal<sup>74</sup> management committees and calculated using the Capital Asset Pricing Model ("CAPM"), based on the following formula:

**ke = Rf + Beta \* ERP+CR**

where:

R<sub>f</sub> = risk-free rate, equal to the rate on risk-free assets as 1-year average of the yield on the 10-year BUND, with a zero floor as at 31 December 2024.

Beta = correlation factor between actual share performance and overall performance of the reference market (measurement of the volatility of a stock relative to the market), equal to 1.145% (as at 31 December 2024, five years, weekly on the FTSE MIB index).

ERP = Equity Risk Premium, premium for the risk required by a mature market (US market, source: Damodaran).

CR = country risk premium that reflects the risk differential between a mature market and Italy (rating based default spread - Moody's BAA3 - source: Damodaran).

The Terminal Value was calculated based on the following formula:

**VT = normalised distributable cash flow/(ke –** **g)**

considering a normalised cash flow and an assumed long-term growth rate (g) of 2.00%, approximated by the long-term inflation rate expected in Italy in the long term ("Inflation, end of period consumer prices" - "International Monetary Fund, World Economic Outlook Database, October 2024").

*Summary of valuation parameters*

The distributable cash flows were therefore determined starting from the 2024-2027 income statement and balance sheet data, as illustrated above, with the following main measurement parameters, which reflect the most recent market conditions, used in determining the recoverable value of the CGU at 31 December 2024:

· a target supervisory ratio (capital ratio) of 9.09% at 2027,
taking into account the characteristics of Widiba ' s business;

· the CGU ' s
cost of capital (k<sub>e</sub>) equal to 9.86%, determined using the method described above;

· a long-term growth rate (g) of 2.00%.

74 Group Finance and Liquidity Committee

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

**d)** Impairment test results

The results (in mln euros) of the impairment test performed on the Widiba CGU on the basis of the analysis are presented below.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Shareholders' equity** | **Shareholders' equity** | **Recoverable Value** | **Recoverable Value** | **Delta** | **Delta** |
| **Widiba CGU** |  | **234** |  | **329** |  | **95** |

---

In conclusion, the impairment test on goodwill did not bring to light impairment losses for the Widiba CGU, as the recoverable value is higher than the book value by EUR 95 mln.

**e)** Sensitivity analysis

In compliance with the provisions of IAS 36, specific sensitivity analyses were carried out on the recoverable value, in order to be able to appreciate the variability of this last value with respect to reasonable changes in some parameters of the valuation model.

In particular, the parameters subject to sensitivity analysis were identified as:

· "cost of capital (Ke)";

· "long-term growth rate (g)";

used in the valuation model both for forecasting purposes (Terminal Value obtained as projection in perpetuity of the last available cash flow at rate "g"), and for the purposes of discounting future distributable cash flows (Ke) and Terminal Value (Ke and g).

Furthermore, the sensitivity analysis also concerned the cash flows used to determine the Terminal Value, corresponding to the expected net profit (loss) for the year in the last year of the updated multi-year projection.

The following table shows the differentials expressed in relative terms, between the recoverable value as determined above and the value obtained, in the event of decreasing and increasing the growth rate (g) and the cost of capital (Ke) respectively by 25 bps, with respect to the rates actually used, keeping all the remaining assumptions unchanged. These analyses lead to a reduction in value in use of between a minimum of -0.9% and a maximum of -1.4%. Finally, with reference to the cash flow considered in determining the Terminal Value, a 25% reduction generates a reduction in value in use of -8.5%; taking a stricter perspective, an impairment of goodwill would only occur in the presence of a reduction of more than 80% of the cash flows in Terminal Value.

---

| | | | |
|:---|:---|:---|:---|
|  | **CHANGE IN VALUE USE** | **CHANGE IN VALUE USE** | **CHANGE IN VALUE USE** |
|  | **Long-term growth rate (g)** | **Discount rate (Ke)** | **Cash flow in Terminal Value** |
|  | -25 bps | +25 bps | -25% |
| Widiba CGU | -0.9% | -1.4% | -8.5% |

---

BANCA MONTE DEI PASCHI DI SIENA

10.2 Intangible assets: annual changes

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **Other intangible assets:<br> generated internally** | **Other intangible assets:<br> generated internally** | **Other intangible assets:<br> other** | **Other intangible assets:<br> other** | **Total** |
|  |<br>**Goodwill** | **finite life** | **Indefinite<br> life** | **finite life** | **Indefinite<br> life** | **31 12 2024** |
| **A. Opening balance** | **6605132** | **551502** |  | **2124028** |  | **9280662** |
| A.1 Total net decreases | 6597232 | 518148 |  | 1987058 |  | 9102438 |
| **A.2 Net opening balance** | **7900** | **33354** |  | **136970** |  | **178224** |
| **B. Increases** | **-** | **10058** |  | **37666** |  | **47724** |
| B.1 Purchases |  |  |  | 37652 |  | 37652 |
| B.2 Increases in internally generated intangible assets | X | 10058 |  |  |  | 10058 |
| B.3 Write-backs | X |  |  |  |  |  |
| B.4 Increases in fair value |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- to net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- to profit and loss | X |  |  |  |  |  |
| B.5 Exchange gains |  |  |  | 1 |  | 1 |
| B.6 Other increases |  |  |  | 13 |  | 13 |
| **C. Decreases** | **-** | **14327** |  | **55555** |  | **69882** |
| C.1 Sales |  |  |  |  |  |  |
| C.2 Write-downs |  | 14327 |  | 53633 |  | 67960 |
| - Depreciation |  | 13699 |  | 52434 |  | 66133 |
| - Write-downs |  | 628 |  | 1199 |  | 1827 |
| &nbsp;&nbsp;&nbsp;+ net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;+ profit and loss |  | 628 |  | 1199 |  | 1827 |
| C.3 Decreases in fair value |  |  |  |  |  |  |
| - to net equity | X |  |  |  |  |  |
| - to profit and loss | X |  |  |  |  |  |
| C.4 Transfers to non-current assets held for sale |  |  |  | 1508 |  | 1508 |
| C.5 Exchange losses |  |  |  |  |  |  |
| C.6 Other decreases |  |  |  | 414 |  | 414 |
| **D. Net closing balance** | **7900** | **29085** |  | **119081** |  | **156066** |
| D.1 Total net value adjustments | 6597232 | 532475 |  | 2025496 |  | 9155203 |
| **E. Gross closing balance** | **6605132** | **561560** |  | **2144577** |  | **9311269** |
| **F. Carried at cost** | **-** | **-** |  | **-** |  | **-** |

---

Line C.4 "Transfers to non-current assets held for sale" refers to the intangible assets of the subsidiary Monte Paschi Banque S.A, which are being disposed of.

Line F - "Carried at cost" was left blank in accordance with Bank of Italy's instructions, as it only needs to be completed for assets measured at fair value.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

10.3 Other information: amortisation rates

---

| | | |
|:---|:---|:---|
| **Main categories of intangible assets** | **%** | **residual depreciation<br> period** |
| Software | 20.0% - 33.3% | 3 years |
| Concessions and other licenses | 20.0% |  |

---

As at the balance sheet date, software is still in use which as been fully amortised (IAS 38, para 128).

Finally, there were none of the following as at 31 December 2024:

· revalued
 intangible fixed assets;

· intangible
 fixed assets acquired through government concessions (IAS 38, par. 44);

· intangible
 fixed assets pledged as loan collaterals;

· commitments
 to purchase intangible assets.

BANCA MONTE DEI PASCHI DI SIENA

Section 11 - Tax Assets and Liabilities - Item 110 (Assets) and Item 60 (Liabilities)

11.1 Deferred tax assets: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Items/Amounts** | **IRES with<br> offsetting<br> entry to P&L** | **IRES with<br> offsetting<br> entry to<br> Balance Sheet** | **IRAP with<br> offsetting<br> entry to P&L** | **IRAP with<br> offsetting<br> entry to<br> Balance Sheet** | **31 12 2024** | **31 12 2023** |
| Receivables | 194743 |  | 28291 |  | 223034 | 266718 |
| Receivables (L. 214/2011) | 74678 |  | 9844 |  | 84522 | 203632 |
| Other financial instruments | 258 |  | 2186 |  | 2444 | 3006 |
| Goodwill (L. 214/2011) | 200651 | 671 | 51026 | 157 | 252505 | 298658 |
| Goodwill | 1690 |  | 342 |  | 2032 | 2177 |
| Property, plant and equipment | 134646 |  | 19677 |  | 154323 | 150212 |
| Intangible assets | 166 |  | 107 |  | 273 | 122 |
| Intangible assets (Law 214/2011) | 14248 |  | 3198 |  | 17446 | 20366 |
| Personnel expenses | 815 | 4154 | 148 | 20 | 5137 | 5482 |
| ACE surplus | 10287 |  |  |  | 10287 | 15018 |
| Tax losses | 1463288 | 48908 |  |  | 1512196 | 686689 |
| Financial instruments - valuation reserves |  | 21965 |  | 5362 | 27327 | 43380 |
| Others | 222084 |  | 5462 |  | 227546 | 237930 |
| **Deferred tax assets (gross)** | **2317554** | **75698** | **120281** | **5539** | **2519072** | **1933390** |
| Offsetting with deferred tax liabilities | (13243) | (59508) | (2037) | (11666) | (86454) | (90865) |
| **Deferred tax assets (net)** | **2304311** | **16190** | **118244** | **(6127)** | **2432618** | **1842525** |

---

Deferred tax assets were recognised after verifying the existence of foreseeable future income (probability test). Impairments and reversals following probability testing are recognised in a balancing entry in the income statement, under taxation (item 300 "Tax (expense)/recovery on income from continuing operations"). For additional information, please refer to paragraph 11.8 "Other information" below.

In addition to deferred taxes referring to the main tax (at the rate of 24%) the amounts shown in the IRES column also include those relating to the additional IRES tax (3.5% rate) introduced by Italian Law no. 208 of 28 December 2015, paragraphs 65-66.

This net figure for this item increased during the year; for a more detailed description of individual effects, please refer to the following paragraphs of this Section.

The line "Loans" includes deferred tax assets recognised in respect of the remaining tenths of value adjustments on loans to customers recognised on first-time adoption of IFRS 9.

The line "Other" includes tax assets relating to provisions for risks and charges in respect of deductible costs expected for future financial periods and other residual items.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

11.2 Deferred tax liabilities: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Items/Amounts** | **IRAP with**<br>**offsetting**<br>**entry to**<br>**P&L** | **IRES with**<br> **offsetting entry**<br>**to Balance**<br>**Sheet** | **IRES with**<br>**offsetting**<br>**entry to**<br>**P&L** | **IRAP with**<br> **offsetting entry**<br>**to Balance**<br>**Sheet** |<br>**Total**<br>**31 12 2024** |<br>**Total**<br>**31 12 2023** |
| Property, plant and equipment and intangible assets | 6422 | 43863 | 2117 | 8491 | 60893 | 68761 |
| Financial instruments | 5231 |  | 94 |  | 5325 | 7381 |
| Personnel expenses | 4053 |  |  |  | 4053 | 4666 |
| Financial instruments - valuation reserves |  | 15333 |  | 3040 | 18373 | 13660 |
| Others | 1 | 1800 |  | 350 | 2151 | 1853 |
| **Deferred tax liabilities (gross)** | **15707** | **60996** | **2211** | **11881** | **90795** | **96321** |
| Offsetting with deferred tax assets | (13243) | (59508) | (2037) | (11666) | (86454) | (90865) |
| **Deferred tax liabilities (net)** | **2464** | **1488** | **174** | **215** | **4341** | **5456** |

---

In addition to deferred taxes referring to the main tax (at the rate of 24%) the amounts shown in the IRES column also include those relating to the additional IRES tax (3.5% rate) introduced by Italian Law no. 208 of 28 December 2015, paragraphs 65-66.

The line "Financial instruments – valuation reserves" includes tax liabilities relating to the valuation of cash flow hedge derivatives, as well as financial instruments classified in the portfolio "Financial assets measured at fair value through other comprehensive income" (OCI).

This net figure for this item decreased during the year; for the quantification of individual effects, please refer to the following paragraphs of this Section.

BANCA MONTE DEI PASCHI DI SIENA

11.3 Deferred tax assets: annual changes (with offsetting entry to the income statement)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **1835647** | **1460999** |
| **2. Increases** | **1075879** | **927059** |
| 2.1 Deferred tax assets arising during the year | 1065562 | 914394 |
| &nbsp;&nbsp;&nbsp;a) relating to previous years |  |  |
| &nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;c) write-backs | 987480 | 827194 |
| &nbsp;&nbsp;&nbsp;d) other | 78082 | 87200 |
| 2.2 New taxes or increases in tax rates |  |  |
| 2.3 Other increases | 10317 | 12665 |
| **3. Decreases** | **473690** | **552411** |
| 3.1 Deferred tax assets derecognised during the year | 457874 | 500357 |
| &nbsp;&nbsp;&nbsp;a) reversals | 457874 | 498755 |
| &nbsp;&nbsp;&nbsp;b) write-downs of non-recoverable items |  | 1602 |
| &nbsp;&nbsp;&nbsp;c) changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;d) other |  |  |
| 3.2 Reduction in tax rates |  |  |
| 3.3 Other decreases | 15816 | 52054 |
| &nbsp;&nbsp;&nbsp;a) conversion into tax credits pursuant to Law no. 214/2011 |  | 8567 |
| &nbsp;&nbsp;&nbsp;b) others | 15816 | 43487 |
| **4. Total** | **2437836** | **1835647** |

---

The major components of "Deferred tax assets arising during the year" as reported in line 2.1 letter d) include those concerning:

· taxed provisions to the provision for risks and charges made during the financial year;

· the write-downs recorded
during the year of owned properties for business use and investment purposes.

The amount shown in line 3.1 letter a) "Reversals" include deferred tax assets relating to:

· the use of past tax losses to offset taxable income for the year;

· the reversal of the portion of value adjustments on loans to customers, deductible during the year pursuant
to art. 16 of Italian Law Decree 83/2015;

· uses and reclassifications to the income statement of provisions for risks and charges taxed in previous
years;

· the reversal of amortisation of goodwill and other intangible assets;

· the reversal of the tenth of the value adjustments on loans to customers recognised at the time of first-time
adoption of IFRS 9.

The table shows the effects of the measurement of deferred tax assets based on the results of the probability test conducted as at 31 December 2024. Specifically, the amount in line 2.1(c) "Reversals" is due to the reversal of deferred tax assets relating to: tax losses accrued but not recognised in previous years, in relation to both IRES (in the Consolidated declaration) and the IRES surcharge (in the Parent Company's separate declaration), and, to a residual extent, to other deductible temporary differences (these are DTAs that cannot be converted into tax credits pursuant to Law 214/2011, such as those relating to provisions for risks and charges, IFRS 9 FTA credit adjustments, etc.). For additional information, please refer to paragraph 11.8 "Other information" below.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

11.4 Deferred tax assets: changes under Italian Law 214/2011 (with offsetting entry to the income statement)

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **521524** | **575738** |
| **2. Increases** | **-** | **675** |
| **3. Decreases** | **167878** | **54889** |
| 3.1 Reversals | 167876 | 45695 |
| 3.2 Conversion into tax credits |  | 8567 |
| &nbsp;&nbsp;&nbsp;a) arising from loss for the period |  | 8547 |
| &nbsp;&nbsp;&nbsp;b) arising from tax losses |  | 20 |
| 3.3 Other decreases | 2 | 627 |
| **4. Closing balance** | **353646** | **521524** |

---

The amount shown in line 3.1 "Reversals" refers to the reversals of the portion of adjustments to loans to customers deductible in the year pursuant to Article 16 of Decree-Law 83/2015 and the amortisation of goodwill and other intangible assets.

11.5 Deferred tax liabilities: annual changes (with offsetting entry to the income statement)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **Opening balance** | **22608** | **24796** |
| **2. Increases** | **887** | **4732** |
| 2.1 Deferred tax liabilities arising during the year | 101 | 1142 |
| &nbsp;&nbsp;&nbsp;a) relating to previous years |  |  |
| &nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;c) other | 101 | 1142 |
| 2.2 New taxes or increases in tax rates |  |  |
| 2.3 Other increases | 786 | 3590 |
| **3. Decreases** | **5577** | **6920** |
| 3.1 Deferred taxes derecognised during the year | 2227 | 4969 |
| &nbsp;&nbsp;&nbsp;a) reversals | 2227 | 4969 |
| &nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;c) other |  |  |
| 3.2 Reduction in tax rates |  |  |
| 3.3 Other decreases | 3350 | 1951 |
| **4. Closing balance** | **17918** | **22608** |

---

BANCA MONTE DEI PASCHI DI SIENA

11.6 Deferred tax assets: annual changes (with offsetting entry to equity)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31** **12 2024** | **Total**<br>**31** **12 2023** |
| **1. Opening balance** | **97743** | **140419** |
| **2. Increases** | **2233** | **10968** |
| 2.1 Deferred tax assets arising during the year | 1562 | 10905 |
| &nbsp;&nbsp;&nbsp;a) relating to previous years | 6 | 1602 |
| &nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;c) other | 1556 | 9303 |
| 2.2 New taxes or increases in tax rates |  |  |
| 2.3 Other increases | 671 | 63 |
| **3. Decreases** | **18739** | **53644** |
| 3.1 Deferred tax assets derecognised during the year | 17891 | 53481 |
| &nbsp;&nbsp;&nbsp;a) reversal | 17891 | 53481 |
| &nbsp;&nbsp;&nbsp;b) write-downs of non-recoverable items |  |  |
| &nbsp;&nbsp;&nbsp;c) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;d) other |  |  |
| 3.2 Reduction in tax rates |  |  |
| 3.3 Other decreases | 848 | 163 |
| **4. Closing balance** | **81237** | **97743** |

---

The cancelled deferred tax assets refer mainly to write-backs on financial instruments classified in the portfolio "Financial assets measured at fair value through other comprehensive income" (OCI).

11.6.1 Deferred tax assets: changes under Italian Law 214/2011 (with offsetting entry to equity)

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Items/Amounts** | **31 12 2024** | **31 12 2023** |
| **1. Opening balance** | **1132** | **1132** |
| **2. Increases** | **-** | **-** |
| **3. Decreases** | **304** | **-** |
| 3.1 Reversals | 304 |  |
| 3.2 Conversion into tax credit |  |  |
| &nbsp;&nbsp;&nbsp;a) arising from loss for the period |  |  |
| &nbsp;&nbsp;&nbsp;b) arising from tax losses |  |  |
| 3.3 Other decreases |  |  |
| **4. Closing balance** | **828** | **1132** |

---

The table shows deferred tax assets that may be converted into tax credits pursuant to Italian Law 214/2011, recognised with an offsetting entry to equity. This refers to goodwill charged by the Parent Company to shareholders' equity as it relates to past business combinations under common control.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

11.7 Deferred tax liabilities: annual changes (with offsetting entry to equity)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **73713** | **85109** |
| **2. Increases** | **6534** | **4105** |
| 2.1 Deferred tax liabilities arising during the year | 6267 | 4022 |
| &nbsp;&nbsp;&nbsp;a) relating to previous years |  |  |
| &nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;c) other | 6267 | 4022 |
| 2.2 New taxes or increases in tax rates |  |  |
| 2.3 Other increases | 267 | 83 |
| **3. Decreases** | **7370** | **15501** |
| 3.1 Deferred tax liabilities derecognised during the year | 6377 | 14515 |
| &nbsp;&nbsp;&nbsp;a) reversal | 6377 | 14515 |
| &nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;c) other |  |  |
| 3.2 Reduction in tax rates |  |  |
| 3.3 Other decreases | 993 | 986 |
| **4. Closing balance** | **72877** | **73713** |

---

Increases mainly refer to deferred tax liabilities that arose during the year in relation to cash flow hedging derivatives and financial instruments classified in the portfolio of "Financial assets measured at fair value through other comprehensive income" (OCI).

The decreases mainly refer to the reabsorption of deferred tax liabilities recognised in previous years in relation to land and buildings (IAS 16).

BANCA MONTE DEI PASCHI DI SIENA

11.8 Other information

*Probability test*

In compliance with the provisions of accounting standard IAS 12 and the ESMA communication of 15 July 2019, the Group recognised deferred tax assets (DTA) after verifying the existence of future taxable income sufficient for the purposes of reabsorption of the same "Probability test".

In this test, the different rules set forth in the Italian tax laws which impact the assessment in question were taken into account, in particular:

· art. 2, paragraphs 55-59, of Italian Law Decree no. 225 of 29 December 2010 (converted, with amendments,
by Italian Law no. 10 of 26 February 2011) which establishes the obligation for financial intermediaries to convert into tax credits DTAs
(IRES and IRAP) relating to goodwill, other intangible assets and impairment losses on receivables, in the case of a loss in the statutory
financial statements and/or a tax loss;

· art. 84, paragraph 1 of the TUIR, which allows for the possibility of carrying forward IRES tax losses
with no time limits;

· paragraphs 61 to 66, art. 1, of the 2016 Stability Law (Italian Law no. 208 of 28 December 2015) reduced
the IRES rate from 27.5% to 24% and simultaneously introduced an IRES additional tax of 3.5% for credit and financial institutions; both
measures are effective as of 2017.

The MPS Group incurred significant consolidated tax losses in the past, particularly in 2016 and 2017, the residual amount of which as at 31 December 2024 was EUR 11.5 bn; these tax losses can be carried forward for offsetting against future taxable income without limits of amount and time and constitute the prerequisite for the recognition in the financial statements of corresponding DTAs, after verifying the existence of future taxable income. In its recent consolidated financial statements, the Group recognised DTAs on tax losses only to a minimal extent with respect to their nominal value, as the future taxable income considered in the valuation time period was largely absorbed by the reversal of DTAs relating to costs with deferred tax deductions, as well as ACE deductions which the Group's main companies were able to benefit from as a result of the capital increases carried out from 2011 onwards; The repeal of this relief, in Italian Legislative Decree 216/2023, therefore increased the tax loss absorption prospects from 2023, triggering a partial reassessment of the related DTAs recognised in the Group's Consolidated Financial Statements at 31 December 2023 (for more information, reference should be made to paragraph 11.8 - Part B - Information on the balance sheet in the explanatory notes to the Consolidated Financial Statements as at 31 December 2023).

In the first half of 2024, the Group noted that it had maintained the level of profitability recorded in 2023, which was well above the levels envisaged in the 2022-2026 Plan; moreover, on account of the favourable short/medium-term outlook in the banking sector and the fact that the targets set out in the Plan had substantially been achieved, on 5 August 2024 the Board of Directors of the Parent Company approved a new Business Plan for the period 2024-2028, which envisaged a consolidation and strengthening of the Group's income growth.

Therefore, for the purpose of the DTA valuation, the Condensed Consolidated Half-Yearly Financial Statements as at 30 June 2024 took into account the new income projections for 2024-2028.

In terms of methodology, the probability test was carried out by following the steps listed below.

DTAs relating to goodwill, other intangible assets - limited to those registered before 2015 - and impairment losses and adjustments on receivables ("qualified" DTAs), were excluded from the total amount of DTAs for which the existence of sufficient future taxable income needs to be identified. This is because the above-mentioned art. 2, paragraphs 55-59 of Italian Law Decree 225/2010 made the recovery of that type of DTA certain, with respect to both IRES and IRAP, regardless of the presence of future taxable income. Indeed, the rule sets forth that, if taxable income for the financial year in which the recovery of qualified DTAs is expected is not sufficient to absorb them, the resulting tax loss would be convertible into a tax credit that may be, alternatively: i) used to offset, with no amount limits, the various taxes ordinarily due from the Bank, or ii) requested in the form of a refund, or iii) transferred to third parties. In addition, qualified DTAs may be converted into tax credit in advance of their natural maturity, in the event of a loss for the year in the statutory financial statements or voluntary liquidation, as well as subjection to bankruptcy proceedings.

In other words, for qualified DTAs the Probability test must be deemed automatically satisfied; this is also confirmed by the joint Bank of Italy, CONSOB and ISVAP document no. 5 of 15 May 2012 "Accounting treatment of deferred tax assets deriving from Italian Law 214/2011".

For DTAs other than qualified DTAs, the financial year in which the relative recovery is expected has been identified (or estimated when uncertain).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

Estimates of taxable income for future financial years were made, consistent with the other relevant corporate valuation processes, on the basis of the expected evolution of the Group's profit and loss accounts derived from the aforementioned income projections included in the 2024-2028 Group Business Plan, approved by the Parent Company's Board of Directors on 5 August 2024. For the purposes of this valuation, the growth in future years' profits outlined in the Business Plan has been prudentially limited to the first three years following the reporting date (2025-2027 in respect of the present Financial Statements as at 31 December 2024); From 30 June 2024, two refinements were also made with respect to the methodology used in previous financial statements for estimating taxable income for years following those of the first three-year period inferred from the Business Plan:

&nbsp;&nbsp;&nbsp;&nbsp;i. from the first year following the three-year
period onwards (from 2028 in the case of these Financial Statements), it is assumed that a pre-tax profit (" cap " or " average YoY income ")
will be achieved which, projected over subsequent years for the twenty-year time horizon considered by the probability test and revalued
at a growth rate g, allows expression of a Group return on equity (ROE) no higher than the average ROE recorded for the banking sector
in the last 20 years; until 31 March 2024, the pre-tax profit projected beyond the three-year period of the Business Plan was equal to
that of the last year of that three-year period; in the absence of that cap (i.e. if the methodology used up to the Interim Report s at
31 March 2024 were to be followed), the use of the new business plan projections would have resulted in an average ROE over the probability
test time horizon higher than that expressed for the industry on average;

&nbsp;&nbsp;&nbsp;&nbsp;ii. the growth rate g (of pre-tax profit projected
beyond the first three-year period) was increased to 2% per year, instead of the 1.35% considered up to 31 March 2024, which was assumed
to be equal to the nominal growth rate of the economy, in line with the inflation target under the ECB' s long-term monetary
policy.

In order to reflect the level of uncertainty that characterises the actual realisation of long-term forecasts, a discount factor was applied to the forecast operating results (Risk-adjusted profits approach) equal to 9%, unchanged from that used for the Financial Statements as at 31 December 2023. This factor is calculated also taking into account observable market parameters. In greater detail, the prudential adjustment of taxable income is obtained by discounting the pre-tax profit forecasts for each year - up to a maximum 20-year time horizon from 2025 - by the factor of 9%, applied according to the compound capitalisation formula. This results in an increasing reduction of the future taxable flows taken into account, based on the time horizon of the estimate.

Taxable incomes were therefore estimated:

· at domestic tax consolidation level, for the IRES Probability test, since the Group ' s
most significant companies pay this tax in accordance with articles 117 et seq. of the Income Tax Act (TUIR);

· at individual level for IRES additional tax;

· at individual level for IRAP.

The valuation exercise conducted with the model described above has resulted in an overall increase in value of DTAs for EUR 987.5 mln, with the following effects on the Group's accounts:

· with reference to DTAs for prior years ' consolidated tax losses,
a write-down of EUR 863.0 mln;

· with reference to DTAs for previous tax losses for purposes of additional IRES, a revaluation of EUR 123.4 mln;

· with regard to DTAs other than " qualified " DTAs and those relating to ACE and tax losses, a total recovery in value equal to EUR 1.1 mln.

It should be noted that the valuation of the DTAs as at 31 December 2024, carried out according to the methodological assumptions used in the Financial Statements as at 31 December 2023, would still have resulted in the DTAs being revalued at EUR 592.7 mln. Indeed, in the previous Business Plan (2022-2026), it was envisaged that, starting with the present financial statements, the cap prudentially adopted based on the Group's economic performance would be eliminated for the purpose of measuring DTAs. Therefore, the taxable income projections for 2025 and 2026 (above the cap, which was set at the projected income for 2024), which were previously excluded from the valuation, would be taken into account.

The DTA valuation in the present Financial Statements was also positively impacted by: the increase in the growth rate *g*, to the tune of EUR 69.6m; and the adoption of the (more positive) income projections included in the new 2024-2028 Business Plan, to the tune of EUR 325.2 mln.

If the cap (or "average YoY income") methodology had not been refined during the year, adopting the new income projections included in the 2024-2028 Business Plan would have resulted in an additional DTA revaluation of EUR 973.6 mln compared to that actually recognised.

BANCA MONTE DEI PASCHI DI SIENA

As a result of the aforementioned valuation, the Group had DTAs not stated as assets in the Balance Sheet, totalling EUR 1,587.5 mln as at 31 December 2024 (EUR 2,575.7 mln as at 31 December 2023).

For the Group, this amount is a potential asset not subject to any time limits according to current tax legislation, with the exception of the limits to carrying forward, in case of extraordinary transactions, envisaged by art. 172 and 173 of Italian Presidential Decree no. 917/1986; the relative recognition in balance sheet assets will be evaluated at the future reporting dates based on the Group's profit outlook.

The MPS Group's tax losses, equal to EUR 11,512 mln, accrued mainly in 2016 and 2017, corresponding to the start of the Group's restructuring process, and derive essentially from significant loan losses for both years. In particular, for 2016 the methodologies and parameters used in measuring loans had to be updated and for 2017 the realisable value of non-performing loans sold during 2018 had to be adjusted. Therefore, pursuant to the provisions of paragraph 36.c) of IAS 12, also taking into account increased Group profitability, it is believed that these unused tax losses derive from "identifiable causes that are unlikely to recur" and in this sense have been included in the valuation process for DTAs that can be partially recognised in financial statements. The following chart shows the expected trend related to the recovery of DTAs recognised in the Financial Statements as at 31 December 2024, both quantitatively and over time, broken down between convertible DTAs pursuant to Italian Law 214/2011, DTAs from non-convertible losses and other non-convertible DTAs.

![](tm2518026d1_ex99-4sp3img002.jpg)

The probability test model in use in MPS Group includes some input data whose fluctuations in value can significantly influence the final result of the DTA valuation recognised in financial statements. Specifically, these are:

&nbsp;&nbsp;&nbsp;&nbsp;1. total " average YoY income " or " cap " (pre-tax profit projected for the years beyond the first three years, taken from the three-year Business Plan – from 2028 onwards in the case of the present Financial Statements – which must express an ROE not higher than the average for the banking sector;

&nbsp;&nbsp;&nbsp;&nbsp;2. discount rate of future results (coefficient used in the risk-adjusted profits approach);

&nbsp;&nbsp;&nbsp;&nbsp;3. tax rates for IRES, IRES additional tax and IRAP.

Certain indications on the sensitivity of results of the valuation model are provided below, assuming both an increase and decrease in each of the input data listed above. The effects shown in the table refer to the difference that would have occurred for the tax item of the 2024 income statement, compared to what was actually recognised, changing the individual variable as indicated.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Inputs** |<br><br>**Decrease** | **Effect on income**<br>**statemetns of**<br>**decrease in DTAs**<br>**(Eur/mln)** |<br><br>**Increase** | **Effect on income**<br>**statemetns of**<br>**increase in DTAs**<br>**(Eur/mln)** |
| Taxable income starting froml 2028 | -100 mln | -140.1 | +100 mln | 140.1 |
| Discount rate of prospective results | -1% | 152.6 | +1% | -135.6 |
| IRES tax rate | -1% | -84.1 | +1% | 84.1 |

---

Current tax assets

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Prepayments of corporate income tax (IRES and IRAP) | 14505 | 476 |
| Other tax credits and withholdings | 186189 | 375653 |
| **Gross current tax assets** | **200694** | **376129** |
| Offsetting with current tax liabilities | (96422) | (67748) |
| **Net current tax assets** | **104272** | **308381** |

---

"Other tax credits and withholdings" consist of income IRES/IRAP credits resulting from prior tax returns in the amount of EUR 101.5 mln, which can be used as a set-off income tax credits claimed for refund, the tax credit arising from DTA transformation, Italian Law no. 214/2011 for the residual amount yet to be used and tax withholdings incurred.

Current tax liabilities

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Items/Amounts** | **Booked to net**<br>**equity** | **Booked to**<br>**P&L** |<br>**Total** | **Booked to net**<br>**equity** | **Booked to**<br>**P&L** |<br>**Total** |
| Corporate income tax (IRES IRAP) payables | (1484) | 99181 | 97697 | (14069) | 85413 | 71344 |
| Other current income tax payables |  |  |  |  | 5 | 5 |
| **Gross current tax payables** | **(1484)** | **99181** | **97697** | **(14069)** | **85418** | **71349** |
| Offsetting with current tax asset | (1484) | 97906 | 96422 | (1767) | 69515 | 67748 |
| **Net current tax payables** | **-** | **1275** | **1275** | **(12302)** | **15903** | **3601** |

---

BANCA MONTE DEI PASCHI DI SIENA

Section 12 - Non-current assets held for sale and disposal groups and associated liabilities - Item 120 (assets) and 70 (liabilities)

*12.1 Non-current assets held for sale and disposal groups: breakdown by type of assets*

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **31 12 2024** | **31 12 2023** |
| **A. Individual assets** |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Financial assets | 57569 | 457 |
| &nbsp;&nbsp;&nbsp;A.2 Equity investments |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Property, plant and equipment | 16187 | 75775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: obtained throught the enforcement of the guarantees received | 227 |  |
| &nbsp;&nbsp;&nbsp;A.4 Intangible assets |  |  |
| &nbsp;&nbsp;&nbsp;A.5 Other non-current assets | **-** | **-** |
| **Total A** | **73756** | **76232** |
| of which valued at cost |  |  |
| of which designated at fair value (level 1) |  |  |
| of which designated at fair value (level 2) |  |  |
| of which designated at fair value (level 3) | 73756 | 76232 |
| **B. Asset groups (discontinued operations)** |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Financial assets held for trading | 13 |  |
| &nbsp;&nbsp;&nbsp;B.2 Financial assets designated at fair value | 13 |  |
| &nbsp;&nbsp;&nbsp;B.3 Financial assets available for sale |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Financial assets held to maturity |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Loans to banks |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Loans to customers | 249219 |  |
| &nbsp;&nbsp;&nbsp;B.7 Equity investments |  |  |
| &nbsp;&nbsp;&nbsp;B.8 Property, plant and equipment | 14859 |  |
| &nbsp;&nbsp;&nbsp;B.9 Intangible assets | 1508 |  |
| &nbsp;&nbsp;&nbsp;B.10 Other assets | 789310 |  |
| **Total B** | **1054909** | **-** |
| of which valued at cost | 1048284 |  |
| of which designated at fair value (level 1) | 13 |  |
| of which designated at fair value (level 2) |  |  |
| of which designated at fair value (level 3) | *6612* |  |
| **C. Liabilities associated with individual assets held for sale** |  |  |
| &nbsp;&nbsp;&nbsp;C.1 Payables |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Securities |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Other liabilities | **-** | **-** |
| **Totale C** |  | **-** |
| of which valued at cost |  |  |
| of which designated at fair value (level 1) |  |  |
| of which designated at fair value (level 2) |  |  |
| of which designated at fair value (level 3) |  |  |
| **D. Liabilities associated with discontinued operations** |  |  |
| &nbsp;&nbsp;&nbsp;D.1 Deposits from banks | 912736 |  |
| &nbsp;&nbsp;&nbsp;D.2 Deposits from customers |  |  |
| &nbsp;&nbsp;&nbsp;D.3 Debt securities issued |  |  |
| &nbsp;&nbsp;&nbsp;D.4 Financial liabilities held for trading | 39136 |  |
| &nbsp;&nbsp;&nbsp;D.5 Financial liabilities designated at fair value | 24827 |  |
| **Total D** | **976699** | **-** |
| of which valued at cost | 976699 |  |
| of which designated at fair value (level 1) |  |  |
| of which designated at fair value (level 2) |  |  |
| of which designated at fair value (level 3) |  |  |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

In the line "A.1 Financial Assets" amounting to EUR 57.6 mln: EUR 50.0 mln refers to the shareholdings in the Bank of Italy for which preliminary purchase agreements were signed in December 2024; and EUR 7.6 mln refers to an additional equity security. These transactions are expected to be closed by the first half of 2025.

The line "A.3 Tangible Assets" amounting to EUR 16.2 mln consists entirely of real estate previously classified as property, plant and equipment held for investment purposes (IAS 40). During 2024, two properties and related artworks (classified under IFRS 5 as at 31 December 2023) were sold to Ardian for a total value of EUR 61.7 mln.

Line "B. Discontinued operations" and "D. Liabilities associated with discontinued operations" totalling EUR 1,054.9 mln and EUR 976.7 mln, respectively, refer to the subsidiary Monte Paschi Banque S.A classified as a discontinued operation under IFRS 5.

At the reporting date or for the financial year of comparison, there are no equity securities of clearly poor credit quality.

12.2 Other information

The following table provides information on the breakdown of the portfolio included in the "Discontinued operations" and "Liabilities associated to discontinued operations" reported in table 12.1 above and referring to the subsidiary Monte Paschi Banque SA as at 31 December 2024.

The sub-item "B7 Other assets" of table 12.1, amounting to EUR 789,3 mln, is mainly attributable to the item "Cash and cash equivalent", the breakdown of which is shown in the table below

*Cash and cash equivalents*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| a) Cash | 2.699 | 3.348 |
| b) Demand deposits with central banks | 700.494 | 629.529 |
| c) Demand deposits with banks | 77.270 | 66.232 |
| **Total** | **780.463** | **699.109** |

---

The sub-item "B.3 Financial assets measured at amortised cost" in table 12.1, amounting to EUR 249.2 mln, refers to Loans to Bank for EUR 5.5 mln and EUR 243.7 mln "Loans to customers". The following tables provide further details.

*Financial assets measured at amortised cost: Loans to banks*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Book value** | **Book value** | **Book value** | **Book value** |
| <br>**Type of transaction/Amount** |<br>**Stage 1 and**<br>**Stage 2** |<br><br>**Stage 3** | **of which: impaired**<br>**or originated**<br>**impaired financial**<br>**assets** |<br><br>**Total** |
| **A. Loans to central banks** | **4.657** |  |  | **4.657** |
| 2. Compulsory reserve | 4.657 |  |  | 4.657 |
| **B. Loans to bank** | **825** |  |  | **825** |
| 1. Loans | 825 |  |  | 825 |
| &nbsp;&nbsp;&nbsp;1.2 Time deposits | 825 |  |  | 825 |
| **Total 31 12 2024** | **5.482** |  |  | **5.482** |
| **Total 31 12 2023** | **8.681** |  |  | **8.681** |

---

BANCA MONTE DEI PASCHI DI SIENA

Financial assets measured at amortised cost: Loans to customers

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Book value** | **Book value** | **Book value** | **Book value** |
| <br>**Type of transaction/Amount** |<br>**Stage 1 and**<br>**Stage 2** |<br><br>**Stage 3** | **of which: impaired**<br>**or originated**<br>**impaired financial**<br>**assets** |<br><br>**Total** |
| **Loans** | **221.056** | **22.683** |  | **243.739** |
| &nbsp;&nbsp;1.1. Current accounts | 15.438 |  |  | 15.438 |
| &nbsp;&nbsp;1.3. Mortgage | 199.470 | 22.683 |  | 222.153 |
| &nbsp;&nbsp;1.4. Credit cards, personal loans and fifth-of-salary backed loans | 2.192 |  |  | 2.192 |
| &nbsp;&nbsp;1.7. Other transactiones | 3.956 | - |  | 3.956 |
| **Total 31 12 2024** | **221.056** | **22.683** |  | **243.739** |
| **Total 31 12 2023** | **300.237** | **22.755** |  | **322.992** |

---

Sub-item "D.1 Financial liabilities measured at amortised cost" in table 12.1, amounting to EUR 912.7 mln, consists of amounts due to bank of EUR 0.6 mln and amounts due to customers of EUR 912.2 mln. The table below shows the breakdown of amounts due to customers by product.

*Financial liabilities measured at amortised cost: due to banks composition by type*

EUR 0.6 mln of "Due to banks" is reported, broken down into "Current accounts and demand deposits" of EUR 0.3 mln and 'Time deposits' of EUR 0.3 mln.

*Financial liabilities measured at amortised cost: due to customers composition by type*

---

| | | |
|:---|:---|:---|
| | **31 12 2024** | **31 12 2023** |
| <br>**Type of transactions/Amounts** | **Book value** | **Book value** |
| **1. Current accounts and demand deposits** | **852.932** | **923.304** |
| **2. Time deposits** | **51.545** | **45.929** |
| **3. Loans** | **145** | **729** |
| &nbsp;&nbsp;3.2 Others | 145 | 729 |
| **5. Lease liabilities** | **7.528** | **8.701** |
| **Total** | **912.150** | **978.663** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

Section 13 - Other assets - Item 130

13.1 Other assets: breakdown

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Tax credits from the Revenue and other tax levying authorities | 2073402 | 1889170 |
| Third party cheques held at the cashier's for collection | 3746 | 5678 |
| Cheques drawn on the Company held at the cashier's for collection | 718 | 982 |
| Gold, silver and precious metals | 100441 | 95369 |
| Property inventory |  |  |
| Items in transit between branches | 315 | 2649 |
| Items in processing | 585119 | 726011 |
| Receivables associated with the provision of goods and services | 6966 | 5811 |
| Improvements and incremental costs on third party assets other than those included under tangible assets | 14133 | 17069 |
| Prepaid expenses and accrued income not attributable to other line items | 560673 | 523278 |
| Biological assets | 1947 | 2037 |
| Other | 323109 | 251430 |
| **Total** | **3670569** | **3519484** |

---

The lines "Items in processing" and "Other" include transactions which were cleared in early 2025.

The line "Tax credits from the Revenue and other tax levying authorities" includes EUR 1,804.8 mln (EUR 1,660.3 mln as at 31 December 2023) pertaining to tax credits, pursuant to the "Rilancio" Italian Law Decree acquired as a result of a transfer by direct beneficiaries or previous purchasers.

The line "Accrued income and prepaid expenses not attributable to its own separate item" includes a total of EUR 232.8 mln (EUR 242.0 mln as at 31 December 2023) as prepaid expenses for back office services outsourced, provided by suppliers continuously over the contract term and financially settled by the Group with decreasing amounts over time. For further details on the methods for identifying these types of services, please refer to Part A, paragraph "Other Information - Costs for constant services and decreasing payments" of these Notes to the Financial Statements.

The line "Other" also includes EUR 4.9 mln relating to recruitment incentives awarded to financial advisors upon achievement of funding targets, connected to the conclusion of new contracts with customers, which qualify as incremental costs for obtaining of the contract pursuant to IFRS 15. The assets attributable to these costs are systematically amortised over a time period corresponding to the transfer to the customer of the goods or services to which the asset refers, estimated at eight years.

The table above does not include cases attributable to the definitions of "contract assets" and "contract liabilities" at either the reporting date or for the comparison financial year, which would require disclosure pursuant to IFRS 15.116 and 118.

BANCA MONTE DEI PASCHI DI SIENA

LIABILITIES

Section 1 - Financial liabilities measured at amortised cost - Item 10

1.1. Financial liabilities measured at amortised cost: breakdown of due to banks

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** |
| <br>**Items/accounts** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** |
| 1. Due to Central banks | 8510879 | X | X | X | 13148229 | X | X | X |
| 2. Due to banks | 1300442 | X | X | X | 1350604 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Current accounts and demand deposits | 80650 | X | X | X | 288575 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 Time deposits | 34477 | X | X | X | 1215 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 Loans | 678703 | X | X | X | 185622 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3.1 Repurchase agreements | 649658 | X | X | X | 138188 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3.2 Other | 29045 | X | X | X | 47434 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.4 Liabilities for commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.5 Lease liabilities |  | X | X | X | 426 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.6 Other liabilities | 506612 | X | X | X | 874766 | X | X | X |
| **Total** | **9811321** | **-** | **9811321** | **-** | **14498833** | **-** | **14498833** | **-** |

---

The balance of the item "Due to central banks" of EUR 8.5 bn (EUR 13.1 bn as at 31 December 2023) refers to funding from the ECB consisting of two short-term loans ("MRO/LTRO"), subscribed for EUR 7.5 bn in two auctions in 2023 and for EUR 1.0 bn in an auction in 2024. The decrease of EUR 5.6 bn compared to the balance as at 31 December 2023 is due to the completion of the TLTRO tranche repayments by June 2024.

Line 2.3.1 "Repurchase agreements" contains the financial liabilities arising from repo transactions with banks on both treasury securities and securities made available through reverse repurchase agreements or securities lending transactions.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

1.2 Financial liabilities measured at amortised cost: breakdown of due to customers

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transactions/Amounts** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** |
| 1. Current accounts and demand deposits | 66327392 | X | X | X | 65446276 | X | X | X |
| 2. Time deposits | 6116647 | X | X | X | 4605312 | X | X | X |
| 3. Loans | 8703895 | X | X | X | 9051306 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1 Reverse repurchase agreements | 6800066 | X | X | X | 6565131 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2 Others | 1903830 | X | X | X | 2486176 | X | X | X |
| 4. Liabilities for commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| 5. Lease liabilities | 166528 | X | X | X | 190730 | X | X | X |
| 6. Other liabilities | 1317733 | X | X | X | 1128457 | X | X | X |
| **Total** | **82632195** | **-** | **82632195** | **-** | **80422081** | **-** | **80422081** | **-** |

---

1.3 Financial liabilities measured at amortised cost: breakdown of debt securities issued

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of Securities/**<br> **Amounts** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| A. Listed securities |  |  |  |  |  |  |  |  |  |  |
| 1. Bonds | 9802805 | 8687964 | 1437666 |  | 10125630 | 9969331 | 8715149 | 1411629 |  | 10126778 |
| 1.1 Structured |  |  |  |  |  |  |  |  |  |  |
| 1.2 Other | 9802805 | 8687964 | 1437666 |  | 10125630 | 9969331 | 8715149 | 1411629 |  | 10126778 |
| 2. Other securities | 505091 |  | 505091 |  | 505091 | 136282 |  | 136282 |  | 136282 |
| 2.1 Structured |  |  |  |  |  |  |  |  |  |  |
| 2.2 Other | 505091 | - | 505091 |  | 505091 | 136282 | - | 136282 |  | 136282 |
| **Total** | **10307896** | **8687964** | **1942757** |  | **10630721** | **10105613** | **8715149** | **1547911** |  | **10263060** |

---

The table shows funding represented by securities, including bonds and certificates of deposit (outstanding and maturities).

Liabilities are net of bonds and repurchased CDs. In this regard, it should be noted that as at 31 December 2024, as in the previous financial year, the Group has no outstanding issues with a State guarantee.

The table includes EUR 4,824.6 mln in liabilities subject to fair value micro-hedging (EUR 3,204.5 mln as at 31 December 2023), to hedge interest rate risk.

BANCA MONTE DEI PASCHI DI SIENA

1.4 Details of subordinated liabilities/securities

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | | | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Type/Item** | <br>**Date of**<br>**issue** | <br>**Date of.**<br>**maturity** | **Early**<br>**repayment**<br>**starting**<br>**from** | <br>**Grand-fathering** | <br>**Currency** | <br>**Rate** | <br>**Step up** | **Nominal**<br>**value** | **book**<br>**value** | **Nominal**<br>**value** | **book**<br>**value** |
| **Subordinated loans to bank** |  |  |  |  |  |  |  |  |  |  |  |
| **Subordinated loans to customers** |  |  |  |  |  |  |  |  |  |  |  |
| **Subordinated debts securities issued** |  |  |  |  |  |  |  |  |  |  |  |
| Subordinated bond loan | 18/01/18 | 18/01/28 | 18/01/23 | NO | Eur | 5,375% fixed\* | NO | 750000 | 820232 | 750000 | 820993 |
| Subordinated bond loan | 23/07/19 | 23/07/29 | NO | NO | Eur | 10,5% fixed | NO | 300000 | 311797 | 300000 | 311448 |
| Subordinated bond loan | 22/01/20 | 22/01/30 | 22/01/25 | NO | Eur | 8,0% fixed | NO | 400000 | 428321 | 400000 | 427992 |
| Subordinated bond loan | 10/09/20 | 10/09/30 | 10/09/25 | NO | Eur | 8,5% fixed | NO | 300000 | 304628 | 300000 | 304179 |
| **Total** |  |  |  |  |  |  |  | **1750000** | **1864978** | **1750000** | **1864611** |

---

\* 5.375% until 18 January 2023, subsequently 5Y EUR mid-swap rate + 5.005%

The subordinated bond with a nominal value of EUR 400 mln was fully repaid in advance on 22 January 2025.

1.5 Details of structured liabilities

This table was not completed as the Group has no such liabilities to report for either the current or the previous year.

1.6 Lease payables

---

| | | |
|:---|:---|:---|
| **Typs of operations/Values** | **31 12 2024** | **31 12 2023** |
| **Lease liabilities** | **236706** | **196933** |
| **Future minimum lease payment included in lease liabilities not discounted up to 5 years** | **200033** | **153948** |
| Up to 1 month | 6890 | 6693 |
| from 1 to 3 months | 5069 | 4829 |
| from 3 months to 1 year | 34498 | 32383 |
| from 1 to 5 years | 153576 | 110043 |
| **Not discounted outgoing cash flow for lease liabilities over to 5 years** | **36673** | **42985** |

---

The table shows the non-discounted outgoing cash flows for lease liabilities broken down by time bracket.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

Section 2 - Financial liabilities held for trading - Item 20

2.1 Financial liabilities held for trading: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Total** | **Total** | **Total** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| **Type of transaction/** |  | **FV** | **FV** | **FV** | **FV** |  |
| **Group item** | **NV** | **Level 1** | **Level 2** | **Level 3** | **Total** | **FV\*** |
| **A. Balance-sheet liabilities** |  |  |  |  |  |  |
| 1. Due to banks | 100738 | 103990 | 228 |  | 104218 | 104218 |
| 2. Due to customers | 1432539 | 1513726 |  |  | 1513726 | 1513726 |
| 3. Debt securities issued |  |  |  |  |  |  |
| &nbsp;&nbsp;3.1 Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other |  |  |  |  |  | X |
| &nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other | - | - | - | - | - | X |
| **Total A** | **1533277** | **1617716** | **228** | **-** | **1617944** | **1617944** |
| **B. Derivatives** |  |  |  |  |  |  |
| 1. Financial derivatives |  | 1407 | 860309 | 1515 | 863231 |  |
| &nbsp;&nbsp;1.1 Trading | X | 1407 | 860309 | 1515 | 863231 | X |
| &nbsp;&nbsp;1.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;1.3 Other | X |  |  |  |  | X |
| 2. Credit derivatives |  |  | 124570 |  | 124570 |  |
| &nbsp;&nbsp;2.1 Trading | X |  | 124570 |  | 124570 | X |
| &nbsp;&nbsp;2.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;2.3 Other | X | - | - | - | - | X |
| **Total B** | **X** | **1407** | **984879** | **1515** | **987801** | **X** |
| **Total (A+B)** | **X** | **1619123** | **985107** | **1515** | **2605745** | **X** |

---

**key**

NV = Nominal or Notional Value

FV = Fair Value

FV\*= Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue

The criteria adopted for classification of financial instruments in the three levels of the "fair value hierarchy" are reported in Section A.3, "Information on fair value" of Part A, "Accounting policies" of the notes to the financial statements.

The amounts recognised in rows "1. Due to banks" and "2. Due to customers" mostly relate to those contained in rows "1. Debt securities" and "4. Loans" of asset table 2.1 "Financial assets held for trading". Please also note that the sub-items "Due to banks" and "Due to Customers", mentioned above, also incorporate uncovered short positions. They are designated at fair value in line with the method applied for "long" positions.

The fair value shown in the table in line B1.1.1 "Financial derivatives for trading" includes value adjustments owing to changes in the Group's creditworthiness, Debit Value Adjustment (DVA), amounting to EUR 3.3 mln (EUR 9.3 mln as at 31 December 2023).

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Total** | **Total** | **Total** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| **Type of transaction/** |  | **FV** | **FV** | **FV** | **FV** |  |
| **Group item** | **NV** | **Level 1** | **Level 2** | **Level 3** | **Total** | **FV\*** |
| **A. Balance-sheet liabilities** |  |  |  |  |  |  |
| 1. Due to banks | 451366 | 442450 |  |  | 442450 | 442450 |
| 2. Due to customers | 1323784 | 1380748 |  |  | 1380748 | 1380748 |
| 3. Debt securities issued |  |  |  |  |  |  |
| &nbsp;&nbsp;3.1 Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other |  |  |  |  |  | X |
| &nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other | - | - | - | - | - | X |
| **Total A** | **1775150** | **1823198** | **-** | **-** | **1823198** | **1823198** |
| **B. Derivatives** |  |  |  |  |  |  |
| 1. Financial derivatives |  |  | 936636 | 2868 | 939504 |  |
| &nbsp;&nbsp;1.1 Trading | X |  | 936636 | 2868 | 939504 | X |
| &nbsp;&nbsp;1.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;1.3 Other | X |  |  |  |  | X |
| **2. Credit derivatives** |  | **-** | **92019** | **-** | **92019** |  |
| &nbsp;&nbsp;2.1 Trading | X |  | 92019 |  | 92019 | X |
| &nbsp;&nbsp;2.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;2.3 Other | X | - | - | - | - | X |
| **Total B** | **X** | **-** | **1028655** | **2868** | **1031523** | **X** |
| **Total (A+B)** | **X** | **1823198** | **1028655** | **2868** | **2854721** | **X** |

---

**key**

NV = Nominal or Notional Value

FV = Fair Value

FV\*= Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue

2.2 Details of item 20 "Financial liabilities held for trading": subordinated liabilities

This table has not been completed as the Group has no such liabilities to report for either the current or the previous year.

2.3 Details of item 20 "Financial liabilities held for trading": structured liabilities

This table has not been completed as the Group has no such liabilities to report for either the current or the previous year.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

Section 3 - Financial liabilities measured at fair value - Item 30

3.1. Financial liabilities measured at fair value: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | | **FV** | **FV** | **FV** | **FV** | |
| <br>**Type of transaction / Amount** |<br>**NV** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**FV\*** |
| 1. Due to banks |  |  |  |  |  |  |
| &nbsp;&nbsp;1.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;1.2 Other |  |  |  |  |  | X |
| 2. Due to customers |  |  |  |  |  |  |
| 2.1 Structured |  |  |  |  |  | X |
| 2.2 Other |  |  |  |  |  | X |
| 3. Debt securities issued | 70441 |  | 119670 |  | 119670 | 127005 |
| &nbsp;&nbsp;3.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;3.2 Other | 70441 |  | 119670 |  | 119670 | X |
| **Total** | **70441** |  | **119670** |  | **119670** | **127005** |

---

**key**

NV = Nominal or Notional Value

FV = Fair value

FV\*= Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue

The table shows the financial liabilities represented by fixed-rate and structured bonds which have been classified at fair value and are subject to hedging. Hedging occurs through derivative contracts and is used to cover the risk of interest rate fluctuations and the risk resulting from embedded options.

In the income statement, positive and negative spreads or margins relative to derivative contracts until the reporting date are recognised as interest income and expense, while valuation profits and losses are posted under item 80 "Net profit (loss) from trading". Profit/loss from financial liabilities measured at fair value is recognised:

· among other revenue items without reversal to the income statement for the amount referring to changes
in own creditworthiness;

· in item 110 " Net profit (loss) from
other financial assets and liabilities measured at fair value through profit or loss " of the income statement for the residual portion of the fair value change.

The above recognition method does not create nor expand accounting asymmetry in the profit (loss) for the year, as the effects of changes in the credit risk of the Group's liabilities are not offset in the income statement by a change in the fair value of another financial instrument measured at fair value through profit or loss for the year.

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | | **FV** | **FV** | **FV** | **FV** | |
| <br>**Type of transaction / Amount** |<br>**NV** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**FV\*** |
| 1. Due to banks |  |  |  |  |  |  |
| &nbsp;&nbsp;1.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;1.2 Other |  |  |  |  |  | X |
| 2. Due to customers |  |  |  |  |  |  |
| &nbsp;&nbsp;2.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;2.2 Other |  |  |  |  |  | X |
| 3. Debt securities issued | 70441 |  | 111325 |  | 111325 | 123789 |
| &nbsp;&nbsp;3.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;3.2 Other | 70441 |  | 111325 |  | 111325 | X |
| **Total** | **70441** |  | **111325** |  | **111325** | **123789** |

---

**key**

NV = Nominal or Notional Value

FV = Fair Value

FV\*= Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue

3.1.a Financial liabilities designated at fair value: fair value option approach

Liabilities for which the fair value option was adopted include natural hedges through debt security derivatives for a book value of EUR 119.7 mln (EUR 111.3 mln as at 31 December 2023).

3.1.b Financial liabilities measured at fair value: structured debt securities

This statement is not completed because for both the current year and the comparative year, the Group has no structured bonds issued and subject to fair value measurement.

3.2 Details of "Financial liabilities measured at fair value": subordinated liabilities

This table was not completed as the Group has no such liabilities to report for either the current or the previous year.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

------

Section 4 - Hedging derivatives - Item 40

4.1. Hedging derivatives: breakdown by type of contract and underlying asset

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** | **VN**<br>**Total** |
| **A. Financial derivatives** |  | **358391** |  | **358391** | **11105812** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 358391 |  | 358391 | 11105812 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** |  | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | - |  | - | - |
| **Total** |  | **358391** |  | **358391** | **11105812** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** | **VN**<br>**Total** |
| **A. Financial derivatives** |  | **330193** |  | **330193** | **3559875** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 330193 |  | 330193 | 3559875 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** |  | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | - |  | - | - |
| **Total** |  | **330193** |  | **330193** | **3559875** |

---

**key**

NV = Nominal or Notional Value

The table displays the negative book value (fair value) of hedging derivatives for hedges carried out through hedge accounting.

Information on the underlying strategies and objectives of hedge transactions can be found in the Section 2 - Market risks in Part E - Information on risks and hedging policies.

BANCA MONTE DEI PASCHI DI SIENA

4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flow<br> Hedge** | **Cash flow<br> Hedge** | | |
| | | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | | | | | |
| **Transaction/Type of <br> hedge** | **Transaction/Type of <br> hedge** | **Debt<br> securities<br> and<br> interest<br> rate** | **Equity<br> instruments<br> and stock<br> indicies** | **currencies<br> and<br> gold** | **Credit** | **Goods** | **Others** |<br>**Macro-hedge** |<br>**Micro-hedge** |<br>**Macro-hedge** |<br>**Foreign<br> investments** |<br>**Total<br> 31 12 2024** |
| 1. | Financial assets measured at fair value through other comprehensive income | 72 |  |  |  | X | X | X |  | X | X | 72 |
| 2. | Financial assets measure at amortised cost | 239452 | X | 74352 |  | X | X | X |  | X | X | 313804 |
| 3. | Portfolio | X | X | X | X | X | X | 44515 | X |  | X | 44515 |
| 4. | Other transaction | - | - | - | - | - | - | X | - | X | - | - |
| **Total assets** | **Total assets** | **239524** | **-** | **74352** | **-** | **-** | **-** | **44515** | **-** | **-** | **-** | **358391** |
| 1. | Financial liabilities |  | X |  |  |  |  | X |  | X | X |  |
| 2. | Portfolio | X | X | X | X | X | X | - | X | - | X | - |
| **Total liabilities** | **Total liabilities** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| 1. | Expected transactions | X | X | X | X | X | X | X |  | X | X |  |
| 2. | Financial assets and liabilities portfolio | X | X | X | X | X | X | - | X | - | - | - |
| **Total** | **Total** | **239524** | **-** | **74352** | **-** | **-** | **-** | **44515** | **-** | **-** | **-** | **358391** |

---

The tables show the negative fair values of hedging derivatives, classified by hedged assets or liabilities and type of hedging implemented.

In particular, on the assets side, fair value micro-hedging was used to hedge against interest rate risk on bonds classified in the portfolio "Financial assets measured at fair value through other comprehensive income" and on securities and loans classified in the portfolio "Financial assets measured at amortised cost", in order to protect them from unfavourable interest rate changes. Fair value macro-hedging was carried out on fixed rate and cap/floor floating rate mortgage loan portfolios.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

------

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flow<br> Hedge** | **Cash flow<br> Hedge** | | |
| | | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | | | | | |
| **Transaction/Type of hedge** | **Transaction/Type of hedge** | **Debt<br> securities<br> and <br> interest rate** | **Equity <br> instruments<br> and stock<br> indicies** | **currencies and<br> gold** | **Credit** | **Goods** | **Others** |<br>**Macro-hedge** |<br>**Micro-hedge** |<br>**Macro-hedge** |<br>**Foreign<br> investments** |<br>**Total<br> 31 12 2023** |
| 1. | Financial assets measured at fair value through other comprehensive income | 382 |  |  |  | X | X | X |  | X | X | 382 |
| 2. | Financial assets measured at amortised cost | 244676 | X | 42905 |  | X | X | X |  | X | X | 287581 |
| 3. | Portfolio | X | X | X | X | X | X | 42230 | X |  | X | 42230 |
| 4. | Other transaction | - | - | - | - | - | - | X | - | X | - | - |
| **Total assets** | **Total assets** | **245058** | **-** | **42905** | **-** | **-** | **-** | **42230** | **-** | **-** | **-** | **330193** |
| 1. | Financial liabilities |  | X |  |  |  |  | X |  | X | X |  |
| 2. | Portfolio | X | X | X | X | X | X | - | X | - | X | - |
| **Total liabilities** | **Total liabilities** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| 1. | Expected transactions | X | X | X | X | X | X | X |  | X | X |  |
| 2. | Financial assets and liabilities portfolio | X | X | X | X | X | X | - | X | - | - | - |
| **Total** | **Total** | **245058** | **-** | **42905** | **-** | **-** | **-** | **42230** | **-** | **-** | **-** | **330193** |

---

Section 5 - Change in value of macro-hedged financial assets - Item 50

5.1 Change in value of hedged liabilities: breakdown by hedged portfolios

---

| | | |
|:---|:---|:---|
| **Fair value change of financial liabilities in hedged portfolios / Values** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| 1. Positive fair value change of financial liabilities |  |  |
| 2. Negative fair value change of financial liabilities | (692) | (16081) |
| **Total** | **(692)** | **(16081)** |

---

The balance of changes in value of the liabilities subject to macro-hedging of interest rate risk is recognised in this item. More specifically, the hedge covers a fixed-rate deposit.

Section 6 – Tax liabilities – Item 60

For comments on tax liabilities, reference should be made to "Section 11 - Tax assets and tax liabilities" of the balance sheet assets.

Section 7 – Liabilities associated with disposal groups– Item 70

For the details of the liabilities associated with assets held for sale, please refer to "Section 12 - Non-current assets and disposal groups and associated liabilities" under balance sheet assets.

BANCA MONTE DEI PASCHI DI SIENA

------

Section 8 – Other liabilities – Item 80

8.1 Other liabilities: breakdown

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Due to the Revenue and other tax levying authorities | 250212 | 217756 |
| Due to social security authorities | 530168 | 740324 |
| Amounts available to customers | 81089 | 95871 |
| Other amounts due to employees | 16535 | 10210 |
| Items in transit between branches | 2607 | 8113 |
| Items in processing | 548055 | 961236 |
| Payables in relation to the payment of supplies of goods and services | 191753 | 195624 |
| Accrued expenses and unearned revenues not attributable to other line items | 41982 | 53283 |
| Other | 1469557 | 986183 |
| **Total** | **3131958** | **3268600** |

---

Sub-items "Items in processing" and "Other" include transactions which were cleared during the first days of 2025.

The amount recognised under the sub-item "Payables to social security institutions" includes the funding of EUR 480.0 mln in favour of the Solidarity Fund, net of the payment of the related contribution portion, made by the Group for the management of staff reduction.

For the disclosures pursuant to IFRS 15.116 and IFRS 15.118, please refer to section 13 of the assets.

Section 9 – Provision for employee severance pay – Item 90

9.1 Provision for employee severance pay: annual changes

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Opening balance** | **71985** | **70210** |
| **B. Increases** | **2469** | **4798** |
| &nbsp;&nbsp;&nbsp;B.1 Provision for the year | 2385 | 2727 |
| &nbsp;&nbsp;&nbsp;B.2 Other increases | 84 | 2071 |
| **C. Decreases** | **4715** | **3023** |
| &nbsp;&nbsp;&nbsp;C.1 Severance payments | 1742 | 2711 |
| &nbsp;&nbsp;&nbsp;C.2 Other decreases | 2973 | 312 |
| **D. Closing balance** | **69739** | **71985** |

---

Line "C.2 Other changes" includes the amount of "Staff severance pay" of the subsidiary MP Banque S.A. classified under disposal, for an amount of EUR 2.7 mln.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

------

9.2 Other information

Employee severance pay is defined as a "defined benefit plan", in accordance with international accounting standards.

The provision for the year, as clarified by the Bank of Italy, does not include amounts which, as a result of the reform introduced by Italian Legislative Decree no. 252 of 5 December 2005, are paid directly by the Bank, depending on the various employee options, to complementary pension schemes or to the treasury fund managed directly by the Italian National Social Security Institute (INPS). These economic components are recognised in personnel expenses 'payments to external pension funds: defined contribution".

9.2.a Changes in net defined benefit liabilities during the year: Severance pay

---

| | | |
|:---|:---|:---|
| | **Present value of DBO** | **Present value of DBO** |
| <br>**Item/Amount** | **31 12 2024** | **31 12 2023** |
| **Opening balance** | **71985** | **70210** |
| Current service cost | 29 | 28 |
| Interest income/expense | 2355 | 2698 |
| Remeasurement of net defined benefit liability (asset): | 37 | 1980 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions |  | (1) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from experience adjustments | (492) | (272) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | 529 | 2253 |
| Payments from plan | (1742) | (2711) |
| Other changes | (2925) | (220) |
| **Closing balance** | **69739** | **71985** |

---

The table above reports the information required by paragraphs 140 and 141 of IAS 19.

*9.2.b Key actuarial assumptions used*

The actuarial valuation of employee severance pay was carried out by an independent actuary using the projected unit credit method (also known as the accrued benefit method) under IAS 19.The valuations relied on the following main demographic assumptions: probability of death of beneficiaries (according to ISTAT 2022 mortality tables, subsequently reduced by 20%); probability of exiting the workforce for causes other than death (1.10%); and probability of early severance payout (2.00%). The table below summarises the main economic and financial assumptions on which the analysis is based – namely, the discount rate and the expected average revaluation rate. In particular, for the discount rate, reference was made to the EUR class AA inerpolated composite curve, recorded at the valuation date, which assumes the yields of securities issued by corporate issuers in the "AA" rating class, belonging to different sectors, including the Utilities, Telephone, Financial, Bank, Industrial and Operating sectors in the Euro area. With regard to the rate of inflation, necessary for the revaluation of the amounts set aside, the rate defined by the "Medium-Term Budget Structure Plan, Italy 2025 - 2029" of 27 September 2024 was used (with the average annual rate of future inflation expected to be 1.8% for the years 2025-2027, 1.90% for the year 2028 and 2.00% for subsequent years).

---

| | | |
|:---|:---|:---|
| **Key actuarial assumptions/percentage** | **31 12 2024** | **31 12 2023** |
| Discount rates | 2.77%-3.35% | 2.96% - 3.26% |
| Expected average revaluation rate | 2.00% | 2.00% |

---

BANCA MONTE DEI PASCHI DI SIENA

------

*9.2.c Sensitivity of defined benefit obligation of severance pay to changes in key actuarial assumptions*

As required by IAS 19, the sensitivity of the severance pay obligation was tested based on the assumption that the discount rate and the revaluation rate would increase or decrese by 25 bps.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Actuarial assumptions** | **Change in DBO** | **Change (%) in DBO** | **Change in DBO** | **Change (%) in DBO** |
| Discount rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Increase of 0.25% | (1249) | -1.79% | (1242) | -1.73% |
| &nbsp;&nbsp;&nbsp;Decrease of 0.25% | 1220 | 1.75% | 1215 | 1.69% |
| Expected average revaluation rate |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Increase of 0.25% | 742 | 1.06% | 739 | 1.03% |
| &nbsp;&nbsp;&nbsp;Decrease of 0.25% | (746) | -1.07% | (741) | -1.03% |

---

Section 10 – Provisions for risks and charges – Item 100

10.1 Provisions for risks and charges: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Item/Amount** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1. Provision for credit risk on commitments and financial guarantees issued | 149639 | 154276 |
| 2. Provision for other commitments and guarantee issued |  |  |
| 3. Pensions and other post retirement benefit obligations | 3255 | 3381 |
| 4. Other provisions for risks and charges | 781034 | 820598 |
| &nbsp;&nbsp;&nbsp;4.1 legal disputes | 468756 | 464360 |
| &nbsp;&nbsp;&nbsp;4.2 personnel charges | 44390 | 66048 |
| &nbsp;&nbsp;&nbsp;4.3 other | 267888 | 290190 |
| **Total** | **933928** | **978255** |

---

For further details of the sub-item 4.3 "others", please refer to table 10.6 below "Provisions for risks and charges - Other provisions".

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

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10.2 Provisions for risks and charges: annual changes

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| <br>**Item/Amount** | **Provisions for<br> commitments and<br> other guarantees<br> issued** | **Pensions and other<br> post retirement<br> benefit obligations** | **Other provisions** | **Total** |
| **A. Opening balance** |  | **3381** | **820598** | **823979** |
| **B. Increases** |  | **2232** | **217218** | **219450** |
| &nbsp;&nbsp;&nbsp;B.1 Provision for the year |  | 110 | 197613 | 197723 |
| &nbsp;&nbsp;&nbsp;B.2 Changes due to the time value of money |  |  | 18181 | 18181 |
| &nbsp;&nbsp;&nbsp;B.3 Changes due to discount rate changes |  |  | 1424 | 1424 |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  | 2122 |  | 2122 |
| **C. Decreases** |  | **2358** | **256782** | **259140** |
| &nbsp;&nbsp;&nbsp;C.1 Use during the year |  | 460 | 164579 | 165039 |
| &nbsp;&nbsp;&nbsp;C.2 Changes due to discount rate changes |  | 1898 | 1148 | 3046 |
| &nbsp;&nbsp;&nbsp;C.3 Other decreases |  |  | 91055 | 91055 |
| **D. Closing balance** |  | **3255** | **781034** | **784289** |

---

10.2-bis Other provisions for risks and charges: annual changes

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| <br>**Item/Amount** | **Provision for Tax <br> and legal disputes** | **Provision for<br> personnel changes** | **Other <br> Provisions** | **Total** |
| **A. Opening balance** | **464361** | **66048** | **290189** | **820598** |
| **B. Increases** | **127680** | **34330** | **55208** | **217218** |
| &nbsp;&nbsp;&nbsp;B.1 Provision for the year | 112009 | 33476 | 52128 | 197613 |
| &nbsp;&nbsp;&nbsp;B.2 Changes due to the time value of money | 14276 | 847 | 3058 | 18181 |
| &nbsp;&nbsp;&nbsp;B.3 Changes due to discount rate changes | 1395 | 7 | 22 | 1424 |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  |  |  |  |
| **C. Decreases** | **123285** | **55988** | **77509** | **256782** |
| &nbsp;&nbsp;&nbsp;C.1 Use during the year | 52272 | 53780 | 58527 | 164579 |
| &nbsp;&nbsp;&nbsp;C.2 Changes due to discount rate changes | 717 | 118 | 313 | 1148 |
| &nbsp;&nbsp;&nbsp;C.3 Other decreases | 70296 | 2090 | 18669 | 91055 |
| **D. Closing balance** | **468756** | **44390** | **267888** | **781034** |

---

For further details, please refer to Section 5 "Operational risks" of Part E of the Notes to the consolidated financial statements.

BANCA MONTE DEI PASCHI DI SIENA

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10.3 Provisions for credit risk relative to commitments and financial guarantees issued

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Provisions for loans commitments and other financial guarantees issued** | **Provisions for loans commitments and other financial guarantees issued** | **Provisions for loans commitments and other financial guarantees issued** | **Provisions for loans commitments and other financial guarantees issued** | **Provisions for loans commitments and other financial guarantees issued** |
|  | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or<br> originated credit<br> impaired financial <br> assets** | **Total <br> 31 12 2024** |
| Commitments to disburs funds | 5405 | 15092 |  |  | 20497 |
| Financial guarantees issued | 6983 | 5835 | 108242 | 8082 | 129142 |
| **Total 31 12 2024** | **12388** | **20927** | **108242** | **8082** | **149639** |
| **Total 31 12 2023** | **17294** | **16226** | **113350** | **7406** | **154276** |

---

10.4 Provisions on other commitments and guarantees given

As at 31 December 2024, the Group did not have any provisions for these types of commitments and guarantees (unchanged from 31 December 2023).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

------

10.5 Defined benefit company pension funds

*10.5.1 Description of funds and related risks*

The information provided below concerns defined benefit pension funds in favour of employees and terminated employees of the Parent Company and the Group companies, i.e. funds in which the obligation of future payment of retirement benefits is undertaken by the funds and indirectly by the Parent Company, which may be called upon to increase the value of the obligation in the event of inadequate capital assessed in accordance with actuarial criteria.

For each definite benefit plan the Parent Company relies on analyses carried out by an independent certified actuary.

In accounting for plans, the determination of the surplus or deficit is estimated through the use of the actuarial methodology of the "projected unit credit method"; therefore, the fair value of the plan assets, if any, was deducted from the current value of the obligation, as shown in the statement of financial position. For more information, see Part A of these Notes to the financial statements.

The valuations concerned the participating employees, whether retired or active (who form a closed group) at the date of valuation, and were carried out on the basis of these groups of employees as measured in December 2024.

In accordance with IAS 19 in determining the total cost of each defined benefit plan, which - as is well-known - may be influenced by many variables, objective and prudential technical bases were adopted in formulating both demographic and financial assumptions.

In view of the evolutionary nature of the main relevant aggregates, actuarial valuations were performed under dynamic conditions, so as to subsume in the medium-long term both the average annual changes in the benefits defined in each plan, and the interest rate trends expected in the financial markets.

Some of the main actuarial assumptions that were formulated and used as valuation bases are mentioned below:

· technical mortality basis: using death probability data as provided in ISTAT's 2022 tables, broken down by gender and age, with mortality reduced by 30% for the funds and by 25% for the "Cassa di Previdenza Aziendale" [Pension Fund] for the staff of Monte dei Paschi di Siena based on longevity risk;

· economic-financial basis: using as annual relative interest rate the interpolated EUR Composite AA rate curve as at 31 December 2024.

For each defined benefit plan, the balance sheet equity resulting from valuations carried after reconciliation of actuarial assets and liabilities as at 31 December 2024 underwent a sensitivity analysis to examine the effects of changes in the key technical assumptions included in the calculation model (average annual discount rate and inflation rate), and the results were presented in specific tables.

The defined benefit funds, in which the Parent Company is co-obliged within the limits set out in the by-laws or in the regulations of each fund, are independent external funds.

The 2023 merger of defined benefit pension schemes within section B of the Monte dei Paschi di Siena Pension Fund does not alter the Bank's pension obligations. Therefore, the Parent Company recognises a net liability where there is an equity deficit in the MPS Fund and a net asset where there is a surplus.

*Monte dei Paschi di Siena Pension Fund*

(Bank Register no. 1643)

The Fund has legal status and full independence in terms of capital and operation.

The Fund's governance consists of a Board of Directors and a Board of Statutory Auditors with joint membership (some of the members are appointed by the Parent Company and others are appointed by the participants) supported by the General Manager.

The Parent Company provides, free of charge, the employees, premises and other resources required for the autonomous management of the Fund and incurs all the related costs and expenses, including those for the functioning of the governing and control bodies.

The Fund, albeit in its subjective unitary nature, is divided into two separate Sections for accounting and equity purposes: Section A, defined contribution with individual capitalisation, which operates according to criteria of correspondence between accumulation and benefits; Section B, defined benefit or collective capitalisation, to which the assets pertaining to the former defined benefit funds are allocated.

BANCA MONTE DEI PASCHI DI SIENA

In terms of guarantees given, in accordance with Article 42 of the Articles of Association, any shortfall in the cover capital of Section B that may emerge from the periodic audits will be settled by the Parent Company in relation to the joint guarantee towards members and third parties assumed by the Parent Company itself.

The assets that make up the reference assets are managed in a separate section set up for this purpose.

The technical financial statements prepared according to IAS 19 by the appointed actuary shows the capital adequacy of Section B.

Section B of the Fund are one and undivided and continues to pay out benefits without interruption in accordance with the regulations and Articles of Association of the former funds merged into it.. While each benefit is specifically defined according to its rules, each benefit is drawn from the common assets of Section B.

For each of the former defined benefit funds merged into Section B of the Monte dei Paschi di Siena Pension Fund, the table below summarises the populations (Retirees, Assets and Deferred), defined benefit obligations, asset fair value and possible surplus as at 31 December 2024.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Retired** | **Active** | **Deferred** | **Asset Fair<br> Value<br> (Eur/mln)** | **Defined Benefit<br> Obligation<br> (Eur/mln)** | **Surplus<br> (Eur/mln)** |
| Supplementary pension provision for staff in the former tax collection division of Banca Monte dei Paschi di Siena S.p.A. -(Register no. 9185) | 255 |  |  |  | 11.04 |  |
| Treatment of INPS (Italian state pension Institute) performance for former Banca Operaia di Bologna staff (Bank Register no.9142) | 60 |  |  |  | 4.04 |  |
| Pension provision for employees of former Banca di Credito Popolare e Cooperativo di Reggio Emilia (Bank Register no.9178) | 5 |  |  |  | 0.40 |  |
| Pension provision for employees of former Banca Popolare Veneta (Bank Register no. 9066). | 8 |  |  |  | 0.13 |  |
| Pension fund for MPS Capital Services Banca per le Imprese S.p.A. (Register no.9134) | 25 |  |  |  | 1.46 |  |
| Pension provision for employees of former Banca Nazionale Agricoltura (Bank Register no. 9047) | 165 |  | 3 |  | 5.93 |  |
| Complementary pension provision for employees of former Banca Toscana (Bank Register no. 9110) | 618 | 3 |  |  | 48.08 |  |
| Pension Fund for personnel of former Banca Agricola Mantovana S.p.A. (Bank Register no. 1341) | 25 |  |  |  | 0.5 |  |
| Pension Fund for personnel of former Banca Antonveneta S.p.a. (Register no. 1033 | 23 | - | - |  | 1.11 |  |
| **TOTAL** | **1184** | **3** | **3** | **85.56** | **72.69** | **12.87** |

---

*Company pension fund for personnel of Monte dei Paschi di Siena*

(Bank Register no. 1127)

The Fund has legal status and full independence in terms of capital and operation.

It is reserved to employees and retirees of the Parent Company hired until 31 December 1990 who, following the agreement of 30 June 1989, opted to remain in the specific supplementary benefit Section under a defined benefit regime.

The Fund's governance consists of a Board of Directors and a Board of Statutory Auditors with joint membership (some of the members are appointed by the Parent Company and others are appointed by the participants) supported by the General Manager.

The Parent Company provides, free of charge, the employees, premises and other resources required for the autonomous management of the Cassa and incurs all the related costs and expenses, including those for the functioning of the governing and control bodies.

In terms of guarantees given, in accordance with art. 26 of the By-Laws, any deficits in Section coverage which should be identified during actuarial checks will be made up by the Parent Company only to the extent necessary to maintain tier 1 services, in accordance with the guarantee to the participants undertaken in compliance with Italian Law no. 218/90 and referred to in the agreement of 24 June 1991.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

The supplementary benefits, which are determined by subtracting the benefits paid out by INPS from the annual amount of the supplementary benefits, are made up of two components. The first component increases the benefits to be paid by the Cassa up to 70% of the fixed items of the salary of an employee of the same level, and the second component increases the supplementary benefits by a further 9%.

The assets that comprise the reference capital consist primarily of investments in securities, managed almost entirely under a financial management agreement, and properties.

The beneficiary population is composed of 2,106 retirees, 86 active employees and 16 employees on deferred retirement.

The technical report prepared in accordance with IAS 19 by the designated actuary shows the capital adequacy of the Supplementary Section with an asset fair value - calculated based on the last available value (30 November 2024) – of EUR 246.62 mln against a defined benefit obligation (DBO) as at 31 December 2024 of EUR 54.64 mln.

· ··

The defined benefit pension fund for personnel of the London branch (BMPS UK Pension Fund) is designed to pay for the employees' benefits upon reaching normal retirement age as well as benefits to other surviving beneficiaries. The pension plan is administered by a Trustee, whose members also include active employees; the financial resources are managed by a specialised company. The technical report prepared in accordance with IAS 19 criteria by the designated actuary at the valuation date of 31 December 2024 shows the capital adequacy of the plan, with a DBO (Defined Benefit Obligation) of EUR 40.39 mln against an asset fair value of EUR 33.17 mln.

· ··

With reference to supplementary benefits associated with the former Credito Lombardo S.p.A, considering the contractual nature of the obligation, the economic costs are incurred directly by the Parent Company. The currently limited population eligible for benefits includes a total of 66 immediate pensions, of which 44 direct and 22 indirect. The actuarial calculations show a DBO (Defined Benefit Obligation) of EUR 1.34 mln at the valuation date of 31 December 2024.

Finally, there is one position referring to a former General Manager of the Parent Company to whom specific economic benefits other than pension benefits are disbursed. In any event, they are assessed on the basis of actuarial parameters in order to determine the value of the Parent Company's obligation. This type of remuneration, specified contractually, con-sists in the payment of monthly benefits revalued on the basis of automatic pension equalisation indexes.

BANCA MONTE DEI PASCHI DI SIENA

*10.5.2 Changes in net defined liability (asset) and reimbursement rights during the financial year*

The following tables show movements for the financial year in internal and external funds which, according to international accounting standards, come under the heading of defined benefit funds.

*10.5.2a Changes in net defined liability (asset) and reimbursement rights during the year: Internal Funds*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **A (-)** | **B (+)** | **C (+)** | **D=A+B+C** |
| <br>**Item/Amount** | **Plan assets** | **Present value of<br> DBO** | **Effect of asset<br> ceiling** | **Net defined benefit<br> liability (asset)** |
| **Opening balance** | **-** | **3381** | **-** | **3381** |
| Current service cost | X |  | X |  |
| Interest income/expense |  | 110 |  | 110 |
| Remeasurement of net defined benefit liability (asset): |  | 224 |  | 224 |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest |  | X | X |  |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demo-graphic assumptions | X |  | X |  |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from experience adjustments | X | 147 | X | 147 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | 77 | X | 77 |
| &nbsp;&nbsp;&nbsp;Changes in effect of limiting net defined benefit asset to asset ceiling | X | X |  |  |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates |  |  |  |  |
| Contributions to plan: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;by employer |  |  | X |  |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan |  | (460) | X | (460) |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes |  |  |  |  |
| **Closing balance** | **-** | **3255** | **-** | **3255** |

---

The net defined benefits liability reported in the "Opening balance" line is attributable to the previously existing Credito Lombardo S.p.A. and Provveditore funds, which were excluded from the 2023 merger of internal funded and unfunded funds into section B of the MPS Pension Fund.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **A (-)** | **B (+)** | **C (+)** | **D=A+B+C** |
| <br>**Item/Amount** | **Plan assets** | **Present value of<br> DBO** | **Effect of asset<br> ceiling** | **Net defined benefit<br> liability (asset)** |
| **Opening balance** | **(82482)** | **94615** | **14367** | **26500** |
| Current service cost | X |  | X |  |
| Interest income/expense |  | 70 |  | 70 |
| Remeasurement of net defined benefit liability (asset): |  | 22 |  | 22 |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest |  | X | X |  |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demo-graphic assumptions | X | (81) | X | (81) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from experience adjustments | X | 183 | X | 183 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | (80) | X | (80) |
| &nbsp;&nbsp;&nbsp;Changes in effect of limiting net defined benefit asset to asset ceiling | X | X |  |  |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates |  |  |  |  |
| Contributions to plan: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;by employer |  |  | X |  |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan |  | (470) | X | (470) |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | 82482 | (90856) | (14367) | (22741) |
| **Closing balance** | **-** | **3381** | **-** | **3381** |

---

BANCA MONTE DEI PASCHI DI SIENA

*10.5.2b Changes in net defined liability (asset) and reimbursement rights during the year: External Funds*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **A (-)** | **B (+)** | **C (+)** | **D=A+B+C** |
| <br>**Item/Amount** | **Plan assets** | **Present value of<br> DBO** | **Effect of asset<br> ceiling** | **Net defined benefit<br> liability (asset)** |
| **Opening balance** | **(379867)** | **170290** | **209578** | **-** |
| Current service cost | X |  | X |  |
| Interest income/expense | (17694) | 5690 | 12004 |  |
| Remeasurement of net defined benefit liability (asset): | 9995 | (570) | (9425) |  |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest | 9995 | X | X | 9995 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions | X | 2 | X | 2 |
| &nbsp;&nbsp;&nbsp;Actuarily gains (losses) arising from experience adjustments | X | 1402 | X | 1402 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | (1974) | X | (1974) |
| &nbsp;&nbsp;&nbsp;Change in effect of limiting net defined benefit asset to asset ceiling | X | X | (9425) | (9425) |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates | (2101) | 1679 | 422 |  |
| Contributions to plan: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;by employer |  |  | X |  |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan | 16586 | (16586) | X |  |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | 513 |  | (513) |  |
| **Closing balance** | **(372568)** | **160503** | **212066** | **-** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **A (-)** | **B (+)** | **C (+)** | **D=A+B+C** |
| <br>**Item/Amount** | **Plan assets** | **Present value of<br> DBO** | **Effect of asset<br> ceiling** | **Net defined benefit<br> liability (asset)** |
| **Opening balance** | **(303433)** | **109964** | **193562** | **93** |
| Current service cost | X |  | X |  |
| Interest income/expense | (16503) | 8195 | 8308 |  |
| Remeasurement of net defined benefit liability (asset): | 21577 | (22929) | (7240) | (8592) |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest | 21577 | X | X | 21577 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions | X | (9881) | X | (9881) |
| &nbsp;&nbsp;&nbsp;Actuarily gains (losses) arising from experience adjustments | X | (12536) | X | (12536) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | (512) | X | (512) |
| &nbsp;&nbsp;&nbsp;Change in effect of limiting net defined benefit asset to asset ceiling | X | X | (7240) | (7240) |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates | (866) | 709 | 157 |  |
| Contributions to plan: | (97657) |  |  | (97657) |
| &nbsp;&nbsp;&nbsp;by employer | (97657) |  | X | (97657) |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan | 16505 | (16505) | X |  |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | 509 | 90856 | 14791 | 106156 |
| **Closing balance** | **(379868)** | **170289** | **209578** | **-** |

---

BANCA MONTE DEI PASCHI DI SIENA

10.5.2c Changes in net defined benefit liabilities (assets) and reimbursement rights during the financial year – Total

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **A (-)** | **B (+)** | **C (+)** | **D=A+B+C** |
| <br>**Item/Amount** | **Plan assets** | **Present value of DBO** | **Effect of asset ceiling** | **Net defined benefit<br> liability (asset)** |
| Internal funds |  | 3255 |  | 3255 |
| External funds | (372568) | 160503 | 212066 | - |
| **Total defined benefit funds** | **(372568)** | **163758** | **212066** | **3255** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **A (-)** | **B (+)** | **C (+)** | **D=A+B+C** |
| <br>**Item/Amount** | **Plan assets** | **Present value of DBO** | **Effect of asset ceiling** | **Net defined benefit<br> liability (asset)** |
| Internal funds |  | 3381 |  | 3381 |
| External funds | (379867) | 170290 | 209578 | - |
| **Total defined benefit funds** | **(379867)** | **173671** | **209578** | **3381** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

10.5.3 Information on the fair value of plan assets

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **Internal pension plans** | **Internal pension plans** | **External pension plans** | **External pension plans** |
| <br>**Item** | **Listed in active<br> markets** | **Not listed in active<br> markets** | **Listed in active<br> markets** | **Not listed in active<br> markets** |
| Cash and cash equivalents |  |  | 109150 |  |
| &nbsp;&nbsp;&nbsp;of which: used by the Group |  |  |  |  |
| Equity instruments |  |  | 37191 |  |
| &nbsp;&nbsp;&nbsp;of which: issued by Group |  |  |  |  |
| Debt instruments |  |  | 143729 |  |
| &nbsp;&nbsp;&nbsp;of which: issued by the Group |  |  |  |  |
| Real estate |  |  |  | 36224 |
| &nbsp;&nbsp;&nbsp;of which: used by the Group |  |  |  |  |
| Derivatives |  |  |  |  |
| UCITS |  |  | 46274 |  |
| Asset-backed securities |  |  |  |  |
| Structured debt | - | - | - | - |
| **Total** | **-** | **-** | **336344** | **36224** |
| of wich:<br> own instruments/assets used by the Group |  |  |  |  |

---

The table shows, for funded defined benefit plans, the total amount of plan assets. In particular, the assets refer to the following funds:

· Cassa di Previdenza Aziendale for Monte dei Paschi di Siena employees, defined benefit section,

<sub> </sub>

· Pension Fund for personnel of the Parent Company of the London branch,

<sub> </sub>

· Monte dei Paschi di Siena Pension Fund Section B.

All funds are in excess of existing obligations at the end of the financial year.

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **Internal pension plans** | **Internal pension plans** | **External pension plans** | **External pension plans** |
| <br>**Item** | **Listed in active<br> markets** | **Not listed in active<br> markets** | **Listed in active<br> markets** | **Not listed in active<br> markets** |
| Cash and cash equivalents |  |  | 110623 |  |
| &nbsp;&nbsp;&nbsp;of which: used by the Group |  |  |  |  |
| Equity instruments |  |  | 32325 |  |
| &nbsp;&nbsp;&nbsp;of which: issued by Group |  |  |  |  |
| Debt instruments |  |  | 150658 |  |
| &nbsp;&nbsp;&nbsp;of which: issued by the Group |  |  |  |  |
| Real estate |  |  |  | 41454 |
| &nbsp;&nbsp;&nbsp;of which: used by the Group |  |  |  |  |
| Derivatives |  |  |  |  |
| UCITS |  |  | 44807 |  |
| Asset-backed securities |  |  |  |  |
| Structured debt |  |  | - | - |
| **Total** |  |  | **338413** | **41454** |
| of wich:<br> own instruments/assets used by the Group |  |  |  |  |

---

*10.5.4 Key actuarial assumptions used*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** |
| <br>**Key actuarial assumptions/percentages** | **Internal pension plans** | **External pension plans** | **Internal pension plans** | **External pension plans** |
| Discount rates | 2.86% | 3.67% | 3.52% | 3.32% |
| Expected average revaluation rate | 2.00% | 2.22% | 1.00% | 1.76% |

---

A discount rate of 2.86% was used for internal plans and of 3.67% for external ones (a range of rates between 2.77% and 3.35% for Provision for severance pay, see table 9.2b), calculated as a weighted average of interest rates in EUR Composite AA yield curve as at 31 December 2024, using, as weights, the ratio between the amount paid/paid in advance for each maturity and the total amount to be paid/pay in advance for the entire duration of the population considered. The EUR Composite AA curve is obtained daily through the Bloomberg information provider and refers to a basket of securities issued by "investment grade" Corporate issuers included in the "AA" rating class resident in the Eurozone and belonging to different sectors, including Utility, Telephone, Financial, Bank and Industrial. The curve expresses the market yields of the securities of leading companies in the country where the Group operates, in line with IAS 19.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

*10.5.5 Information on amount, timing and uncertainty of cash flows*

---

| | | |
|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** |
| <br>**Actuarial assumption** | **Change in DBO** | **Change (%) in DBO** |
| **Discount rate** |  |  |
| Increase of 0,25% | (4458) | -2.72% |
| Decrease of 0,25% | 4310 | 2.63% |
| **Expected average revalutation rate** |  |  |
| Increase of 0,25% | 2581 | 1.58% |
| Decrease of 0,25% | (2944) | -1.80% |

---

---

| | | |
|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** |
| <br>**Actuarial assumption** | **Change in DBO** | **Change (%) in DBO** |
| **Discount rate** |  |  |
| Increase of 0,25% | (370) | -0.21% |
| Decrease of 0,25% | 490 | 0.28% |
| **Expected average revalutation rate** |  |  |
| Increase of 0,25% | 668 | 0.38% |
| Decrease of 0,25% | (1110) | -0.64% |

---

*10.5.6 Plans covering multiple employers* 

 

*10.5.7 Defined benefit plans sharing risks among entities under common control* 

 

Plans having these characteristics are not present for the Group.

 

BANCA MONTE DEI PASCHI DI SIENA

10.6 Provisions for risks and charges: other provisions

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Legal disputes | 468756 | 464361 |
| &nbsp;&nbsp;&nbsp;- Revocatory | 13943 | 17044 |
| &nbsp;&nbsp;&nbsp;- Other legal disputes | 442800 | 429999 |
| &nbsp;&nbsp;&nbsp;- Tax disputes | 12013 | 17318 |
| Personnel charges | 44390 | 66048 |
| &nbsp;&nbsp;&nbsp;- Job disputes | 14819 | 39504 |
| &nbsp;&nbsp;&nbsp;- Leaving incentives | 915 | 406 |
| &nbsp;&nbsp;&nbsp;- Other | 28656 | 26138 |
| Other | 267888 | 290189 |
| &nbsp;&nbsp;&nbsp;- Risks related to the sale of assets/ business units | 5672 | 5878 |
| &nbsp;&nbsp;&nbsp;- Charges due to corporate restructuring | 2492 | 1440 |
| &nbsp;&nbsp;&nbsp;- Payments to financial advisors | 13389 | 12060 |
| &nbsp;&nbsp;&nbsp;- Onerous contracts | 104728 | 132563 |
| &nbsp;&nbsp;&nbsp;- Charges for embezzlement | 734 | 1887 |
| &nbsp;&nbsp;&nbsp;- Claims and Out-of-Court agreements | 11507 | 13953 |
| &nbsp;&nbsp;&nbsp;- Refunds related to sales of diamonds | 1720 | 2156 |
| &nbsp;&nbsp;&nbsp;- Claw back clause (IFRS 15) | 14355 | 16692 |
| &nbsp;&nbsp;&nbsp;- Refunds to customers | 6268 | 5617 |
| &nbsp;&nbsp;&nbsp;- Charges for legal services | 30804 | 32320 |
| &nbsp;&nbsp;&nbsp;- Other | 76219 | 65623 |
| **Total** | **781034** | **820598** |

---

The amount of EUR 104.6 mln recognized in the line "Onerous contracts" represents the provision allocated to cover risks related to contractual guarantees issued as part of derisking transactions of non-performing loans.

The EUR 28.7 mln recognised in the line 'Personnel Expenses - Other' includes the allocation for the personnel incentive scheme.

10.7 Contingent liabilities

---

| | | |
|:---|:---|:---|
| **Item/Type** | **31 12 2024** | **31 12 2023** |
| **Tax and legal disputes** | **1740957** | **1906988** |
| &nbsp;&nbsp;&nbsp;Revocatory | 5424 | 5397 |
| &nbsp;&nbsp;&nbsp;Other legal disputes | 1712257 | 1877116 |
| &nbsp;&nbsp;&nbsp;Tax disputes | 23276 | 24475 |
| **Personnel charges** | **12521** | **16140** |
| &nbsp;&nbsp;&nbsp;Job disputes | 12521 | 16140 |
| **Others** | **271819** | **249513** |
| **Total** | **2025297** | **2172641** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

A contingent liability is defined as i) a possible obligation arising from past events and whose existence will be confirmed only by the occurrence or non-occurrence of one or more future events not totally under control, or ii) a current obligation that arises from past events but is not recognised because use of resources aimed at producing economic benefits will likely not be required to settle the obligation or because the amount of the obligation cannot be measured with sufficient reliability.

Contingent liabilities are not subject to recording but, if deemed "possible", are solely subject to disclosure. Conversely, contingent liabilities that are deemed to be of "remote" likelihood do not require any disclosure, pursuant to the provisions of IAS 37. Hence, the table above shows only "possible" liabilities.

Similar to "probable" liabilities, contingent liabilities are also monitored because they may, over time, become "remote" or "probable", with the need, in the latter case, to make the necessary provisions.

In this context, it should be noted that the classification of contingent liabilities and the relative amount is based on non-objective judgements that require recourse to sometimes extremely complex estimation procedures; therefore, they may be subject to redetermination over time.

Specifically, in reference to the dispute, the table shows the relief sought, where quantified; this value cannot be considered a measurement of the expected disbursement in accordance with IAS 37. In fact, the Group does not deem it practical to provide an estimate of the expected disbursement, as the calculation would be complex and onerous.

For further details, please refer to Section 1.5 "Operational risks" of Part E in the Notes to the consolidated financial statements.

Section 11 – Insurance liabilities – Item 110

The tables in this section have not been completed because for both the current year and the comparative year, the case does not exist.

Section 12 - Redeemable shares - Item 120

The tables in this section have not been completed as no data is present for the current financial year or for the previous financial year.

Section 13 – Group equity – Items 120, 130, 140, 150, 160, 170 and 180

13.1 "Share capital" and "Treasury shares": breakdown

*13.1.a "Share capital": breakdown*

(in units of Eur)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Items/Amounts** | **Implied par value share** | **Total amount of the<br> share capital** | **implied par value share** | **Total amount of the<br> share capital** |
| Ordinary shares | 5.92 | 7453450788 | 5.92 | 7453450788 |
| **Total** |  | **7453450788** |  | **7453450788** |

---

On 6 June 2011 the Bank's Extraordinary Shareholders' Meeting resolved that indication of the nominal value of the classes of shares be eliminated; accordingly, as at 31 December 2011, the so-called "Implied nominal value" is indicated, which is obtained by dividing the total share capital amount by the number of shares in the same category, outstanding at the reference date.

Ordinary shares are registered and indivisible. Each share entitles to one vote. Information on the number of fully paid-up shares can be found in the notes to Table 13.2, "Share capital – number of shares: annual changes".

At the reporting date, the Parent Company's share capital amounted to EUR 7,453,450,788, represented by 1,259,689,706 ordinary shares without a nominal value, all outstanding.

BANCA MONTE DEI PASCHI DI SIENA

*13.1.b "Treasury shares": breakdown*

The Group did not hold any treasury shares at the reporting date of these Financial Statements or for the financial year of comparison.

*13.2 Share capital - Parent company's number of shares: annual changes*

---

| | | |
|:---|:---|:---|
| | **31 12 2024** | **31 12 2023** |
| <br>**Item/Type** | **Ordinary** | **Ordinary** |
| **A. Shares outstanding as at the beginning of the year** | **1259689706** | **1259689706** |
| &nbsp;&nbsp;&nbsp;- fully paid | 1259689706 | 1259689706 |
| &nbsp;&nbsp;&nbsp;- not fully paid |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Treasury shares (-) |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Shares outstanding: opening balance | 1259689706 | 1259689706 |
| **B. Increases** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;B.1 New issuances |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Against payment: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Business combinations |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Bond converted |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- warrants exercised |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- without payment: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to employees |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to directors |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |  |
| B.2 Sale of treasury shares |  |  |
| B.3 Other increases |  |  |
| **C. Decreases** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;C.1 Cancellation |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Purchase of treasury shares |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Business transferred |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other decreases |  |  |
| **D. Shares outstanding: closing balance** | **1259689706** | **1259689706** |
| &nbsp;&nbsp;&nbsp;D.1 Treasury shares (+) |  |  |
| &nbsp;&nbsp;&nbsp;D.2 Shares outstanding as at the end of the year | 1259689706 | 1259689706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- fully paid | 1259689706 | 1259689706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- not fully paid |  |  |

---

At the date of these financial statements, the share capital is fully paid in.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

*13.3 Share capital: other information*

There is no other information to report in addition to that disclosed in ther previous parts of this section.

13.4 Reserves from retained earnings: other information

Group reserves, recognised under item 150 of balance sheet liabilities amounted to EUR 2,184.3 mln , and are classified as follows:

· Reserve from retained earning EUR 2,187.5 mln;

<sub> </sub>

· Other reserves EUR -3.2 mln.

For further details on the evolution of the reserves during 2024, please refer to the "Statement of changes in consolidated Shareholder's equity"; the information required by Article 2427 of the Italian Civil Code, please refer to related paragraph included in the Separate Notes to the financial statements.

13.5 Equity instruments: breakdown and annual changes

As at 31 December 2024, as in the financial year used for comparison, the Group held no equity instruments.

13.6 Other information

See "Part F – Information on consolidated shareholders' equity" of these Notes to the Financial Statements.

Section 14 - Non-controlling interests - Item 190

*14.1 Details of item 190 "Non-controlling interests"*

---

| | | |
|:---|:---|:---|
| **Company name** | **31 12 2024** | **31 12 2023** |
| Equity investments in consolidated companies with significant non-controlling interests |  |  |
| Other equity investments | 336 | 651 |
| **Total** | **336** | **651** |

---

*14.2 Equity instruments: breakdown and annual changes*

No such instruments are present within the Group.

BANCA MONTE DEI PASCHI DI SIENA

Other information

1 Commitments and financial guarantees given

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | |
| <br>**Nominal Amount** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased**<br> **or originated**<br> **credit impaired<br> financial<br> assets** | **Total** |<br>**Total<br> 31 12 2023** |
| Irrevocable commitments to disburse funds | 34881875 | 617048 | 392798 | 245 | 35891966 | 34402023 |
| &nbsp;&nbsp;&nbsp;a) Central banks | 30000 |  |  |  | 30000 |  |
| &nbsp;&nbsp;&nbsp;b) Public entities | 976881 |  |  |  | 976881 | 524879 |
| &nbsp;&nbsp;&nbsp;c) Banks | 1275654 |  | 13510 |  | 1289164 | 1212405 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 11008253 | 1756 | 534 |  | 11010543 | 9450201 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 20144909 | 333077 | 362948 | 245 | 20841179 | 21305046 |
| &nbsp;&nbsp;&nbsp;f) Families | 1446178 | 282215 | 15806 |  | 1744199 | 1909492 |
| Financial guarantees given to | 4241246 | 662106 | 229730 | 8697 | 5141779 | 1909492 |
| &nbsp;&nbsp;&nbsp;a) Central Banks | 60 |  |  |  | 60 | 4993013 |
| &nbsp;&nbsp;&nbsp;b) Public entities | 47152 | 91 |  |  | 47243 | 60 |
| &nbsp;&nbsp;&nbsp;c) Banks | 482279 |  |  |  | 482279 | 43440 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 83039 | 4880 | 666 |  | 88585 | 484484 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 3580924 | 648461 | 227750 | 8697 | 4465832 | 101772 |
| &nbsp;&nbsp;&nbsp;f) Families | 47792 | 8674 | 1314 | - | 57780 | 4274166 |
| **Total** | **39123121** | **1279154** | **622528** | **8942** | **41033745** | **39395036** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

2 Other commitments and guarantees given

---

| | | |
|:---|:---|:---|
|  | **Nominal value** | **Nominal value** |
|  | **31 12 2024** | **31 12 2023** |
| **Other guarantees given to** | **2908** | **12956** |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public entities |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 749 | 6778 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 2159 | 6178 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies |  |  |
| &nbsp;&nbsp;&nbsp;f) Families |  |  |
| **Other commitments** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;of which: non-performing exposures |  |  |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public entities |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies |  |  |
| &nbsp;&nbsp;&nbsp;f) Families | - | - |
| **Total** | **2908** | **12956** |

---

The table shows, at the line "Other guarantees given", the maximum risk resulting from the failure to comply with the representations and warranties issued by the Group in the context of the transactions for derisking of non-performing loans and not yet matured at this reporting date.

3 Assets pledged as collateral for liabilities and commitments

---

| | | |
|:---|:---|:---|
| **Portfolios** | **31 12 2024** | **31 12 2023** |
| 1. Financial assets measured at fair value through profit or loss | 1145240 | 1924188 |
| 2. Financial assets measured at fair value through other comprehensive income | 1152425 | 1169062 |
| 3. Financial assets measured at amortised cost | 37950720 | 36990309 |
| 4. Tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;of which: tangible assets that constitute inventories |  |  |

---

The table summarises the assets pledged by the Group as collateral for its liabilities, mainly represented by repurchase agreements. The amount indicated in line "3. Financial assets measured at amortised cost" includes approx. EUR 20.5 bn related to mortgage loans transferred to the vehicles MPS Covered Bond S.r.l. and MPS Covered Bond 2 S.r.l. under the two programs for the issue of covered bonds and approximately EUR 11.4 bn relative to mortgage loans granted with guarantee at the Eurosystem (ABACO).

4 Investments in unit-linked and index-linked policies: breakdown

The Group does not hold any such investments since no company of the Group issues insurance policies.

BANCA MONTE DEI PASCHI DI SIENA

5 Asset management and trading on behalf of third parties

---

| | |
|:---|:---|
| **31 12 2024** | **Amount** |
| **1. Trading of financial instruments on behalf of third parties** |  |
| &nbsp;&nbsp;&nbsp;a) Purchases | 14371171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Settled | 14371171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Unsettled |  |
| &nbsp;&nbsp;&nbsp;b) Sales | 11388001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Settled | 11388001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Unsettled |  |
| **2. Asset management accounts** | **-** |
| &nbsp;&nbsp;&nbsp;a) individual | 5366566 |
| &nbsp;&nbsp;&nbsp;b) collective |  |
| **3. Custody and administration of securities** |  |
| &nbsp;&nbsp;&nbsp;a) third party securities on deposit associated with custodian bank transactions (excluding asset management) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Securities issued by companies included in consolidation |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Other securities |  |
| &nbsp;&nbsp;&nbsp;b) Other third party securities on deposit (excluding asset management) | 64173262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Securities issued by companies included in consolidation | 42068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Other securities | 64131194 |
| &nbsp;&nbsp;&nbsp;c) third party securities deposited with third parties | 50925065 |
| &nbsp;&nbsp;&nbsp;d) own securities deposited with third parties | 22865652 |
| **4. Other transactions** | **34309506** |

---

6 Financial assets subject to offsetting, enforceable offsetting framework arrangements and similar agreements

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not subject to <br> balance sheet offsetting** | **Related amounts not subject to <br> balance sheet offsetting** | | |
| <br>**Type** |<br>**Gross amount <br> of financial <br> assets (a)** | **Amount of <br> financial**<br>**liabilities offset <br> in balance <br> sheet (b)** | **Net amount <br> of financial <br> assets**<br>**recognised in the <br> balance sheet <br> (c=a-b)** | **Financial <br> instruments <br> (d)** | **Deposits of <br> cash collateral <br> received (e)** |<br>**Net amount <br> (f=c-d-e) <br> 31 12 2024** |<br>**Net amount <br> 31 12 2023** |
| 1. Derivatives | 8253215 | 5939912 | 2313303 | 589196 |  | 1724107 | 1476495 |
| 2. Repurchase agreements | 7891637 |  | 7891637 | 7834765 |  | 56872 | 58512 |
| 3. Securities lending |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- |  |  |  |
| 4. Other | - | - | - | - | - | - | - |
| **Total 31 12 2024** | **16144852** | **5939912** | **10204940** | **8423961** | **-** | **1780979** | **X** |
| **Total 31 12 2023** | **17132719** | **7165734** | **9966985** | **7734646** | **697332** | **X** | **1535007** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part B - Information on the balance sheet

7 Financial liabilities subject to offsetting, enforceable master netting arrangements and similar agreements.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not subject to <br> balance sheet offsetting** | **Related amounts not subject to <br> balance sheet offsetting** | | |
| <br>**Type** |<br>**Gross amount <br> of financial <br> liabilities (a)** | **Amount of <br> financial**<br>**assets offset <br> in balance <br> sheet (b)** | **Net amount <br> of financial <br> liabilities**<br>**recognised in the <br> balance sheet <br> (c=a-b)** | **Financial <br> instruments <br> (d)** | **Deposits of <br> cash collateral <br> received (e)** |<br>**Net amount <br> (f=c-d-e) <br> 31 12 2024** |<br>**Net amount <br> 31 12 2023** |
| 1. Derivatives | 7174199 | 5939912 | 1234287 | 602590 | 355169 | 276528 | 213481 |
| 2. Repurchase agreements | 7449724 |  | 7449724 | 7449724 |  |  | 46472 |
| 3. Securities lending |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- |  |  |  |
| 4. Other | - | - | - | - | - | - | - |
| **Total 31 12 2024** | **14623923** | **5939912** | **8684011** | **8052314** | **355169** | **276528** | **X** |
| **Total 31 12 2023** | **15041907** | **7165734** | **7876173** | **7192642** | **423578** | **X** | **259953** |

---

The two tables above provide the disclosure required by IFRS 7 concerning financial instruments which:

· were offset in the balance sheet pursuant to IAS 32;

<sub> </sub>

· could potentially be offset, given certain conditions, but presented in the balance sheet as open balances as they are governed by "framework offsetting agreements or similar agreements" which do not meet the criteria established in IAS 32 for offsetting.

The EUR 5,940 mln offset presented in the columns "Financial assets set off (b)" columns "Financial liabilities set off (b)" refers almost exclusively to OTC derivatives entered into by the Parent Company by indirect access with central counterparties. These derivatives are shown as a decrease in the following balance sheet items:

· 20. Financial assets measured at fair value through profit and loss (a) Financial assets held for trading – set off by EUR 5,559 mln;

<sub> </sub>

· 50. Hedging derivatives with a positive fair value – set off by EUR 381 mln;

<sub> </sub>

· 20. Financial liabilities held for trading - set off by EUR 5,530 mln;

<sub> </sub>

· 40. Hedging derivatives with a negative fair value – set off by EUR 410 mln.

For the purposes of reconciliation of the amounts shown in the column (c) "net amount of financial assets/liabilities recognised in the balance sheet" with the opening balances shown in "Part B – Information on the balance sheet", it should be noted that:

· the amount related to both trading and hedging derivative financial instruments, aided by netting agreements or similar, is represented in asset items 20 a) "Financial assets held for trading" and 50 "Hedging derivatives" and in liability items 20 "Financial liabilities held for trading" and 40 "Hedging derivatives";

<sub> </sub>

· the amount related to repurchase agreements subject to netting agreements or similar is shown in line "Repurchase agreements/Reverse repurchase agreements" in the tables containing a breakdown of asset item 40 "Financial assets measured at amortised cost" and liability item 10 "Financial liabilities measured at amortised cost".

The Group discloses the following instruments that can potentially be set off upon certain events occurring, presented in the "Related amounts not subject to offsetting" columns:

· for derivative instruments: "ISDA Master Agreement" and netting agreements with clearing houses;

<sub> </sub>

· with regard to repurchase agreements and reverse repurchase agreements: framework "Global Master Repurchase Agreements (GMRA)" and netting agreements with the "Cassa di Compensazione e Garanzia" (CC&G);

<sub> </sub>

· with respect to securities lending transactions: "Global Master Securities Lending Agreements (GMSLA)".

The effects of potentially setting off:

· the book value of financial assets and liabilities are stated in column (d) "Financial instruments", alongside the fair value of financial collateral represented by securities;

<sub> </sub>

· the exposure, alongside cash collateral, is shown in column (e) "Cash deposits received/given as collateral".

BANCA MONTE DEI PASCHI DI SIENA

It should also be noted that:

· the standard also requires the effects of the financial collateral (including
cash collateral) received and given to be taken into account;

<sub> </sub>

· with regard to securities lending transactions, in these tables transactions
involving the payment of cash collateral fully owned by the lender are included in the item "Repurchase agreements";

<sub> </sub>

· the repurchase agreements are recognised in the tables at amortised cost,
while the financial collateral and derivative transactions are reported at their fair value.

In accordance with the compilation methods shown, agreements for the netting of financial instruments and related financial collateral significantly reduce counterparty credit/debt exposure, as indicated in column (f) "Net amount".

8 Securities lending transactions

The Group, as borrower, has not carried out securities lending transactions guaranteed by other securities or securities lending transactions with customers.

9 Information on joint control activities

At the reporting date, as in the previous financial year, there were no jointly controlled arrangements qualifying as "joint operations" within the meaning of IFRS 11, according to which the parties with joint control have rights to the assets and obligations to the liabilities of the arrangement.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Part C - Information on the consolidated income statement

Section 1 - Interest income/expense - Items 10 and 20

1.1 Interest income and similar revenues: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Itme/Type** | **Debt <br> securities** | **Loans** | **Other<br> transactions** | **Total <br> 31 12 2024** | **Total <br> 31 12 2023** |
| 1. Financial asset measured at fair value through profit and loss | 65981 | 4753 | 102 | 70836 | 54245 |
| &nbsp;&nbsp;&nbsp;1.1 Finanicial asset held for trading | 57964 | 585 | 102 | 58651 | 42515 |
| &nbsp;&nbsp;&nbsp;1.2 Financial assets designated at fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 Financial assets mandatorily measured at fair value | 8017 | 4168 |  | 12185 | 11730 |
| 2. Financial asset measured at fair value through other comprehensive income | 42085 |  | X | 42085 | 45856 |
| 3. Financial assets measured at amortised cost | 311626 | 3491229 | X | 3802855 | 3573376 |
| &nbsp;&nbsp;&nbsp;3.1. Loans to banks | 28364 | 82948 | X | 111312 | 112645 |
| &nbsp;&nbsp;&nbsp;3.2 Loans to customers | 283262 | 3408281 | X | 3691543 | 3460731 |
| 4. Hedging derivatives | X | X | 113785 | 113785 | 114451 |
| 5. Other assets | X | X | 648385 | 648385 | 540269 |
| 6. Financial liabilities | X | X | X | 3 | 604 |
| **Total** | **419692** | **3495982** | **762272** | **4677949** | **4328801** |
| &nbsp;&nbsp;&nbsp;of which interest income on credit impaired assets |  | 102139 |  | 102139 | 82905 |
| &nbsp;&nbsp;&nbsp;of which interest income on financial leasing | X | 198153 | X | 198153 | 199744 |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

Line 4 "Hedging derivatives", in the "Other transactions" column, includes the spread related to hedging derivatives rectifying the interest income recognised on the hedged financial instruments under assets.

Line 5 "Other assets", column "Other transactions", shows the interest accrued on sight deposits and current accounts with central banks classified under the item "Cash and cash equivalents" for EUR 488.7 mln (EUR 456.8 mln at 31 December 2023). The same item also includes accrued interest income on tax credits in the amount of EUR 109.0 mln (EUR 56.2 mln as at 31 December 2023).

Interest income, calculated for financial assets measured at amortised cost under the effective interest rate method, is entered in different columns based on the original 'technical form'. The amount accrued during the financial year for positions that are classified as "non-performing" as at the reporting date totalled EUR 102.1 mln (EUR 84.0 mln as at 31 December 2023).

Interest on arrears is posted to net interest income only for the portion actually collected.

For a trend analysis of the concerned items, reference should be made to the Consolidated Report on Operations.

BANCA MONTE DEI PASCHI DI SIENA

1.2 Interest income and similar revenues: other information

*1.2.1 Interest income from financial assets denominated in foreign currency*

Interest income from financial assets denominated in foreign currency for 2024 amounted to EUR 43.8 mln as compared to EUR 42.7 mln in 2023.

1.3 Interest expense and similar charges: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Items** | **Deposits** | **Securities** | **Other<br> transactions** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023\*** |
| 1. Financial liabilities measured at amortised cost | (1775167) | (472769) |  | (2247936) | (1857045) |
| &nbsp;&nbsp;&nbsp;1.1 Due to central banks | (370709) | X | X | (370709) | (540576) |
| &nbsp;&nbsp;&nbsp;1.2 Due to banks | (48495) | X | X | (48495) | (58027) |
| &nbsp;&nbsp;&nbsp;1.3 Due to customers | (1355963) | X | X | (1355963) | (875695) |
| &nbsp;&nbsp;&nbsp;1.4 Debt securities issued | X | (472769) | X | (472769) | (382747) |
| 2. Financial liabilities held for trading |  |  |  |  | (2144) |
| 3. Financial liabilities designated at fair value |  | (4736) |  | (4736) | (4507) |
| 4. Other liabilities | X | X | (127) | (127) | (141) |
| 5. Hedging derivatives | X | X | (104081) | (104081) | (205006) |
| 6. Financial assets | X | X | X | (319) | (573) |
| **Total** | **(1775167)** | **(477505)** | **(104208)** | **(2357199)** | **(2069416)** |
| &nbsp;&nbsp;&nbsp;of which interest expense on leasing liabilities | (4906) | X | X | (4906) | (4915) |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

Line 1.1 "Due to central banks" includes interest on the Parent Company's refinancing transactions with the ECB amounting to EUR 370.7 mln, down from EUR 540.6 mln of previous year following the completion of TLTRO repayments in June and the reallocation of funding in MRO and LTRO auctions.

Lines 1.2, "Due to banks" and 1.3, "Due to Customers", in the "Deposits" column, include interest on payables under repurchase agreements on: treasury securities recognised in the balance sheet or securities not recognised in the balance sheet obtained through repo transactions or from self-securitisations without derecognition.

The increase in interest paid shown in line 1.3 "Due to customers" is due to the higher interest expense on customer borrowings, especially in the first half of 2024.

Line "1.4 Debt securities issued" indicates the interest expense accrued during the financial year on bonds and certificates of deposit valued at amortised cost; the increase over last year is related to the two new issues in March and November 2024.

Line 5 "Hedging derivatives", in the "Other transactions" column, includes the spreads for hedging derivatives providing a correction for the interest expense recognised on hedged fixed-rate commercial funding and bonds.

Line 6. "Financial assets" highlights the negative interest accrued on financial assets.

For a trend analysis of the concerned items, reference should be made to the Consolidated Report on Operations.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

1.4 Interest expense and similar charges: other information

*1.4.1 Interest expense on liabilities denominated in foreign currency*

Interest expense on liabilities denominated in foreign currency for 2024 amounted to EUR 13.6 mln as compared to EUR 9.1 mln in 2023.

1.5 Spreads on hedging transactions

---

| | | |
|:---|:---|:---|
| **Items** | **Total <br> 31 12 2024** | **Total <br> 31 12 2023** |
| A. Positive spreads on hedging transactions | 122227 | 133231 |
| B. Negative spreads on hedging transactions | (112523) | (223784) |
| **C. Balance (A+B)** | **9704** | **(90553)** |

---

BANCA MONTE DEI PASCHI DI SIENA

Section 2 - Fee and commission income/expense - Items 40 and 50

2.1 Fee and commission income: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Amount** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| a) Financial insturments | 127892 | 122365 |
| &nbsp;&nbsp;&nbsp;1. Placement of securities | 32831 | 38618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Underwriting on the basisi of an irrevocable commitment | 16852 | 24105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 without irrevocable commitment | 15979 | 14513 |
| &nbsp;&nbsp;&nbsp;2. Reception and trasmission of orders | 25611 | 25339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Reception and trasmission of orders of financial instruments | 24639 | 23416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Execution of orders on behalf of customers | 972 | 1923 |
| &nbsp;&nbsp;&nbsp;3. Other commission income related to activities linked to financial instruments | 69450 | 58408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: proprietary trading | 14744 | 15109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: individual portfolio management | 54706 | 43299 |
| b) Corporate Finance | 8208 | 7798 |
| &nbsp;&nbsp;&nbsp;1. M&A fees |  |  |
| &nbsp;&nbsp;&nbsp;2. Treasury services | 8208 | 7752 |
| &nbsp;&nbsp;&nbsp;3. Other fees and commission income related to Corporate finance activities |  | 46 |
| c) Investment advisory activities | 8027 | 5504 |
| d) Clearing and settlement | 147 | 285 |
| e) Collective portfolio management |  |  |
| f) Custody and administration of securities | 5770 | 5482 |
| &nbsp;&nbsp;&nbsp;1. Custodian bank |  |  |
| &nbsp;&nbsp;&nbsp;2. Other fees and commission income related to Custody and administration activities | 5770 | 5482 |
| g) Central administrative services for collective portfolio management |  |  |
| h) Trustee business | 2148 | 2115 |
| i) Payment services | 510746 | 504415 |
| &nbsp;&nbsp;&nbsp;1. Current account | 216356 | 219275 |
| &nbsp;&nbsp;&nbsp;2. Credit cards | 66157 | 67998 |
| &nbsp;&nbsp;&nbsp;3. Debit cards and other card payments | 80326 | 77819 |
| &nbsp;&nbsp;&nbsp;4. Transfers and other payment orders | 86742 | 67343 |
| &nbsp;&nbsp;&nbsp;5. Other fees and commission income related to payment services | 61165 | 71980 |
| j) Distribution of third-party services | 678941 | 541433 |
| &nbsp;&nbsp;&nbsp;1. Collective portfolio management | 420121 | 315274 |
| &nbsp;&nbsp;&nbsp;2. Insurance products | 208272 | 192028 |
| &nbsp;&nbsp;&nbsp;3. Other products | 50548 | 34131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: individual portfolio management |  |  |
| k) Structured finance |  |  |
| l) Securitisation servicing activities | 44 | 66 |
| m) Loans commitments given | 173071 | 173361 |
| n) Financial guarantees | 57872 | 49019 |
| of which: credit derivatives |  |  |
| o) Lending transactions | 72642 | 77502 |
| &nbsp;&nbsp;&nbsp;of which: factoring services | 16604 | 15070 |
| p)Currency trading | 3703 | 3572 |
| q) Commodities |  |  |
| r) Other fees and commission income | 39257 | 53101 |
| &nbsp;&nbsp;&nbsp;of which: management of sharign multilateral trading facilities |  |  |
| &nbsp;&nbsp;&nbsp;of which: management of organized trading systems | - | - |
| **Total** | **1688468** | **1546018** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Line r) "Other fee and commission income" includes EUR 10.2 mln related to leasing operations, EUR 12.8 mln related to the preliminary investigation of tax credits and to the recovery of expenses incurred by the Parent Company for the finalisation of transactions, and finally EUR 3.6 mln of agency fees for the role held by the Parent Company as lead/agent of syndicated loans.

For an analysis of the fee and commission income and for the disclosure on disaggregation of revenues, as required by IFRS 15.114-115, the table below shows the trend in fees and commissions for each of the operating segments identified, by type of asset.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SEGMENT REPORTING** | **Operating** | **Operating** | **Operating** | **Operating** | **Operating** | **Operating** |
| <br>**Primary segment** | **Retail banking**<br>**31/12/24** | **Wealth Management**<br>**31/12/24** | **Corporate banking**<br>**31/12/24** | **Large Corp. &<br> Investment Banking**<br>**31/12/24** | **Corporate<br> Center**<br>**31/12/24** | **Total Montepaschi<br> Group**<br>**31/12/24** |
| Commercial banking actitvities | 432947 | 10819 | 391526 | 64453 | 86 | 899831 |
| Fees from mangement and advisory activities | 625146 | 108361 | 18939 | 16118 | 20072 | 788637 |
| **Net fees and commission income** | **1058092** | **119180** | **410465** | **80571** | **20158** | **1688468** |

---

For further details, please refer to the information in PART L "Segment reporting" of these Notes to the Consolidated Financial Statements.

Of the Group's Fee and commission income referring to the Commercial segments, 53.3% derived from fees and commissions related to commercial banking and 46.7% from fees and commissions related to management/brokerage and advisory activities. More specifically, 40.9% of the fee and commission income from Retail banking is attributable to commercial banking and 59.1% to management, brokerage and advisory activities. Wealth Management's fee and commission income is mainly attributable to management, brokerage and advisory activities (90.9%) and to a lesser extent to commercial banking activities (9.1%). Commission income from Corporate Banking originated mainly from commercial banking activities (95.4%) and from management, brokerage and advisory activities (4.6%), as did commission income from Large Corporate & Investment banking, which was mainly concentrated on the commercial banking component (80.0%) compared to the management, brokerage and advisory activities component (20.0%).

The disclosure for performance obligations is provided for the main services offered by Group companies, in accordance with IFRS 15.113, 119:

· collection and payment services, including the offer to customers of credit
and debit cards issued by the Bank. For these services, the customer pays an annual fee in advance for the administrative management of
the card, recognised over time, as well as fees calculated on the individual transactions linked to the card's configuration, which,
if not included in the annual fee, are recognised at a point in time as linked to the individual performance obligation carried out at
a specific time; collection and payment services also include all foreign currency trading services, as well as other generic collection
services that entail the collection of fees against the performance obligation made at consumption and recognised at a point in time;

· administration of current accounts. Within this context, the fees received
for various products offered to customers may include a periodic fee for the current account management service (that may or may not include
a package of services), as well as fees received on individual transactions performed by customers that are not included in the annual
fee. The first type of fee refers to a performance obligation fulfilled over time, while the second refers to services performed at a
specific time and compensated separately from the quarterly fee, and which are structured as a performance obligation fulfilled at a point
in time;

· distribution of third-party products and services based on partnership agreements
with external counterparties, for which placement commissions are collected, recorded at a point in time as they are compensation for
the intermediation performance obligation provided by the Group and continuing commissions connected to the administrative management
of the customer in the network, recorded over time, as they represents compensation for the performance obligation rendered over the
course of the investment's duration. Some distribution agreements also include variable commissions, recognised by external counterparties
upon achieving certain placement volumes or other annual metrics envisaged in the distribution agreements. Based on the various contractual
provisions and in accordance with provisions contained in IFRS 15, if conditions apply in the interim periods, analyses are carried out
in order to determine if there are conditions that allow the advance accounting of the revenue or a portion thereof.

BANCA MONTE DEI PASCHI DI SIENA

The advance recognition is carried out exclusively if it is highly likely that, once the uncertainty has been resolved, there is no downward adjustment of the recorded amount. Lastly, some contracts contain claw-back clauses, which entail, in the event certain conditions apply, the full or partial reimbursement of placement commissions previously recognised upon execution of the initial performance obligation (i.e. point in time): in this case, the claw-back clause represents a variable component of the transaction price, since the amount recognised upon product placement is not definitive, but will depend on future events that are beyond the control of the Group. In such situations the amount of the commissions that could potentially be subject to restitution is estimated, charging the amount that is expected to be returned to the third party to a specific risk provision; the income that is posted to the income statement is equal to the amount recognised against the performance obligation for the placement activity carried out during the financial year, net of the amount set aside in the provision;

· individual portfolio management,
in the context of assets linked to financial instruments, which mainly include management fees, calculated with a percentage proportional
to the assets under management, recognised over time as a remuneration of a service rendered over time;

· complex financial services including consultancy, advisory/asseveration/underwriting
and order collection. The contracts may provide for various types of fees and commissions associated with the various services offered.
Some of these are linked to activities performed throughout the contract's duration (over time) and paid by the customer regardless
of the outcome of the activities, while others are services for which the customer pays only if certain identified events occur, therefore,
they are connected to services provided at a specific point in time. The first type of fee, associated with a performance obligation over
time, is recognised throughout the contract's duration, while the second is recorded when the event occurs, as it represents compensation
for a performance obligation carried out at a point in time;

· fiduciary services to customers via subsidiary MP Fiduciaria, including
the confidential administration of money, financial i nstruments and unlisted equity investments, fiduciary mandates for guarantee purposes,
family portfolio settlements and the intergenerational transfer of wealth. Since they are linked to performance obligations that are protracted
and repeated over time, the fees for fiduciary services are measured over time for continuing commissions. Instead, commissions for opening
the relationship are recognised at a point in time.

With regard to the breakdown in revenues (IFRS 15.116-118), it should be noted that EUR 2.0 mln was recorded as the adjustment price component accrued during the year on commissions collected for placement of third-party services carried out by the Parent Company in the previous year.

This line includes the reversal of revenues for EUR 7.4 mln made against a provision for risks in accordance with IFRS 15, in consideration of the claw-back clauses set forth in a third-party product placement contract.

*2.1.a Fee and commission income: distribution channels of products and services*

---

| | | |
|:---|:---|:---|
| **Channel/Sectors** | **31 12 2024** | **31 12 2023** |
| **a) Group branches** | **649034** | **545775** |
| &nbsp;&nbsp;&nbsp;1. portfolio management | 49413 | 38845 |
| &nbsp;&nbsp;&nbsp;2. placement of securities | 6595 | 37750 |
| &nbsp;&nbsp;&nbsp;3. third party services and products | 593026 | 469180 |
| **b) "Door-to-door" sales** | **72523** | **62866** |
| &nbsp;&nbsp;&nbsp;1. portfolio management | 5290 | 4452 |
| &nbsp;&nbsp;&nbsp;2. placement of securities | 386 | 605 |
| &nbsp;&nbsp;&nbsp;3. third party services and products | 66847 | 57809 |
| **c) Other distribution channels** | 44922 | 14709 |
| &nbsp;&nbsp;&nbsp;1. portfolio management | 3 | 2 |
| &nbsp;&nbsp;&nbsp;2. placement of securities | 25851 | 263 |
| &nbsp;&nbsp;&nbsp;3. third party services and products | 19068 | 14444 |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

2.2 Fee and commission expense: breakdown

---

| | | |
|:---|:---|:---|
| **Type of service/Amount** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023\*** |
| a) Financial instruments | (5042) | (4885) |
| &nbsp;&nbsp;&nbsp;of which: trading in financial instruments | (4422) | (3486) |
| &nbsp;&nbsp;&nbsp;of which: placement of financial instruments |  |  |
| &nbsp;&nbsp;&nbsp;of which: individual portfolio management | (619) | (1400) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- own portfolio |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- third-party portfolio | (619) | (1400) |
| b) Clearing and settlement | (4483) | (2172) |
| c) Collective portfolio management |  |  |
| &nbsp;&nbsp;&nbsp;- own portfolio |  |  |
| &nbsp;&nbsp;&nbsp;- third-party portfolio |  |  |
| d) Custody and administration | (4296) | (3793) |
| e) Collection and payment services | (89169) | (80455) |
| &nbsp;&nbsp;&nbsp;of which: credit card, debit card and other payments cards | (72828) | (61518) |
| f) Securitisation servicing activities |  |  |
| g) Loans commitment |  |  |
| h) Financial guarantees received | (26710) | (46818) |
| &nbsp;&nbsp;&nbsp;of which: credit derivatives |  |  |
| i) Door-to-door sales of financial instruments, products and services | (63996) | (53842) |
| j) Currency trading |  |  |
| k) Other fee and commission expenses | (39735) | (38334) |
| **Total** | **(233431)** | **(230299)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

Line a) "Financial instruments of which: individual portfolio management - third party portfolio" includes commissions payable on the collection of securities orders.

Line b) "Clearing and settlement" includes commissions payable for the derivative clearing service.

Line e) Collection and payment services" includes the commissions from the outsourcing of administrative servicing related to card management.

Line g) Loans commitment includes commission of EUR 17.0 mln (37.8 mln as at 31 December 2023) related to the purchase of protection against credit risk as part of the outstanding synthetic securitisations.

Line i) Door-to-door sales of financial instruments, products and services" includes fees and commissions paid to financial advisors of the Group.

Line k) "Other fee and commission expense" includes EUR 6.2 mln relating to leasing transactions, of which EUR 2.4 mln for commissions and contributions for the brokerage of agents.

For a trend analysis of the concerned items, reference should be made to the Consolidated Report on Operations.

BANCA MONTE DEI PASCHI DI SIENA

Section 3 - Dividends and similar income - Item 70

3.1 Dividends and similar income: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Item/Income** | **Dividends** | **Similar<br> Income** | **Total** | **Dividends** | **Similar<br> Income** | **Total** |
| A. Financial assets held for trading | 4068 | 1056 | 5124 | 4851 | 1103 | 5954 |
| B. Other financial assets mandatorily measured at fair value |  | 8485 | 8485 |  | 8092 | 8092 |
| C. Financial assets measured at fair value through other comprehensive income | 9114 |  | 9114 | 12501 |  | 12501 |
| D. Investments | - | - | - | - | - | - |
| **Total** | **13182** | **9541** | **22723** | **17352** | **9195** | **26547** |

---

The table shows the amount of dividends received on shares traded within the trading book and non-controlling interest classified in the portfolio of "Financial assets measured at fair value through other comprehensive income". Conversely, dividends relating to the Group's subsidiaries and associates, consolidated line-by-line or under the equity method, are excluded.

Line "B Other financial assets mandatorily measured at fair value" refers entirely to income distributed by private equity funds.

Line "C. Financial assets measured at fair value through other comprehensive income" includes the dividend of EUR 8.5 mln (EUR 8.5 mln as at 31 December 2023) collected from the equity investment in the Bank of Italy.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Section 4 - Net profit (loss) from trading - Item 80

4.1 Net profit (loss) from trading: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Net Profit (Loss)** | **Net Profit (Loss)** |
| <br>**Transactions / P&L items** | **Capital**<br>**gains** | **Trading**<br>**Profits** | **Capital**<br>**losses** | **Trading**<br>**Losses** | **31 12 2024** | **31 12 2023\*** |
| 1. Financial assets held for trading | 39831 | 106495 | (12827) | (56592) | 76907 | 170938 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities | 22503 | 90281 | (10119) | (49448) | 53217 | 160616 |
| &nbsp;&nbsp;&nbsp;1.2 Equity instruments | 15499 | 12708 | (2429) | (5903) | 19875 | 6285 |
| &nbsp;&nbsp;&nbsp;1.3 Units of UCITS | 1829 | 3494 | (279) | (1241) | 3803 | 4020 |
| &nbsp;&nbsp;&nbsp;1.4 Loans |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.5 Other |  | 12 |  |  | 12 | 17 |
| 2. Financial liabilities held for trading | 3817 | 22076 | (2453) | (23758) | (318) | (65666) |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities | 3785 | 21544 | (2212) | (23690) | (573) | (65491) |
| &nbsp;&nbsp;&nbsp;2.2 Deposits |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other | 32 | 532 | (241) | (68) | 255 | (175) |
| 3. Other financial assets and liabilities: exchange differences | X | X | X | X | 10024 | (7189) |
| 4. Derivatives | 4687521 | 7980485 | (4565195) | (8089882) | 41264 | (43219) |
| &nbsp;&nbsp;&nbsp;4.1 Financial derivatives: | 4672520 | 7839667 | (4486394) | (8051029) | 3099 | (89941) |
| &nbsp;&nbsp;&nbsp;- on debt securities and interest rates | 4528964 | 7708691 | (4364481) | (7904991) | (31817) | (161117) |
| &nbsp;&nbsp;&nbsp;- on equity instruments and stock indices | 133611 | 72141 | (99530) | (5948) | 100274 | 32318 |
| &nbsp;&nbsp;&nbsp;- on currency and gold | X | X | X | X | 28335 | 47261 |
| &nbsp;&nbsp;&nbsp;- other | 9945 | 58835 | (22383) | (140090) | (93693) | (8403) |
| &nbsp;&nbsp;&nbsp;4.2 Credit derivatives | 15001 | 140818 | (78801) | (38853) | 38165 | 46722 |
| of which natural hedging connected with the fair value option | X | X | X | X | - | - |
| **Total** | **4731169** | **8109056** | **(4580475)** | **(8170232)** | **127877** | **54864** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

It should be noted that, based on the provisions set in the Bank of Italy Circular no. 262, the specification "of which: natural hedges related to the fair value option" refers to a particular type of hedge under IFRS 9. In this regard, it should be noted that there are no amounts to be valued, as the Group opted to continue to use the hedge accounting regime under IAS 39.

During the financial year, the Credit Value Adjustment (CVA) decreased, generating a positive impact of EUR 0.1 mln on OTC derivatives; likewise, the Debit Value Adjustment (DVA) on OTC derivatives recorded a decrease with a consequent negative impact of EUR 6.0 mln.

BANCA MONTE DEI PASCHI DI SIENA

Section 5 - Net profit (loss) from hedging - Item 90

5.1 Net profit (loss) from hedging: breakdown

---

| | | |
|:---|:---|:---|
| **P&L items/Values** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| **A. Gains on:** |  |  |
| A.1 Fair value hedging instruments | 129237 | 223001 |
| A.2 Hedged financial assets (fair value) | 195093 | 519165 |
| A.3 Hedged financial liabilities (fair value) | 940 |  |
| A.4 Cash-flow hedging derivatives |  |  |
| A.5 Assets and liabilities denominated in foreign currency | - | - |
| **Total gains on hedging activities (A)** | **325270** | **742166** |
| **B. Losses on:** |  |  |
| B.1 Fair value hedging instruments | 196319 | 526657 |
| B.2 Hedged financial assets (fair value) | 25639 | 11145 |
| B.3 Hedged financial liabilities (fair value) | 104353 | 208807 |
| B.4 Cash-flow hedging derivatives |  |  |
| B.5 Assets and liabilities denominated in foreign currency | - | - |
| **Total losses on hedging activities (B)** | **326311** | **746609** |
| **C. Net profit (loss) from hedging activities (A - B)** | **(1041)** | **(4443)** |
| of which: hedging result on Net position |  |  |

---

For information on hedging derivatives, the gains and losses on which are indicated in lines A.1 and A.4, B.1 and B.4 of this table, see Section 5 "Hedging derivatives – Item 50" of the assets and Section 4 "Hedging derivatives – Item 40" of the liabilities in Part B of these Notes to the financial statements.

More information on hedged assets and liabilities can be found in the tables in Part B of the Notes to the Financial Statements for each section of the accounts to which hedges are posted.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Section 6 - Gains/(losses) on disposal/repurchase - Item 100

6.1 Gains (losses) on disposal/repurchase: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items / P&L items** | **Gains** | **Losses** | **Net Profit (Loss)** | **Gains** | **Losses** | **Net Profit (Loss)** |
| **Financial assets** |  |  |  |  |  |  |
| 1. Financial assets measured at amortised cost | 5823 | (13500) | (7677) | 15602 | (6487) | 9115 |
| &nbsp;&nbsp;&nbsp;1.1 Loans to banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Loans to customers | 5823 | (13500) | (7677) | 15602 | (6487) | 9115 |
| 2.. Financial assets measured at fair value through other comprehensive income | 1568 | (1838) | (270) | 1034 |  | 1034 |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities issued | 1568 | (1838) | (270) | 1034 |  | 1034 |
| &nbsp;&nbsp;&nbsp;2.2 Loans | - | - | - | - | - | - |
| **Total assets (A)** | **7391** | **(15338)** | **(7947)** | **16636** | **(6487)** | **10149** |
| **Financial liabilities measured at amortised cost** | **-** | **-** | **-** | **-** | **-** | **-** |
| 1. Due to banks |  |  |  |  |  |  |
| 2. Due to customers |  |  |  |  |  |  |
| 3. Debt securities issued | 1 | (626) | (625) | 2 | (179) | (177) |
| **Total liabilities (B)** | **1** | **(626)** | **(625)** | **2** | **(179)** | **(177)** |

---

The "Net profit (loss)" column of the item "Financial assets measured at amortised cost" in line 1.2 "Loans to customers" mainly comprises the net losses from the sale of certain government securities as part of the overall renewal of the Group's securities portfolio.

BANCA MONTE DEI PASCHI DI SIENA

Section 7 - Net profit (loss) from other financial assets and liabilities measured at fair value through profit or loss - Item 110

7.1 Net changes in other financial assets and liabilities measured at fair value through profit or loss: breakdown of financial assets and liabilities measured at fair value

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Net Profit (loss)** | **Net Profit (loss)** |
| <br>**Transaction/P&L items** | **Capital**<br>**Gains** | **Realized**<br>**Profits** | **Capital**<br> **losses** | **Realized**<br>**losses** | **31 12 2024** | **31 12 2023** |
| 1. Financial assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities issued |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Equity instruments |  |  |  |  |  |  |
| 2. Financial liabilities | 2151 |  | (630) |  | 1521 | (3121) |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities issued | 2151 |  | (630) |  | 1521 | (3121) |
| &nbsp;&nbsp;&nbsp;2.2. Due to banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3. Due to customers |  |  |  |  |  |  |
| 3. Financial assets and liabilities in foreign currency: exchange differences " | X | X | X | X | - | - |
| **Total** | **2151** | **-** | **(630)** | **-** | **1521** | **(3121)** |

---

The item includes solely the profit, loss, capital gains and capital losses from structured fixed-rate bonds included in the fair value option. The balances of the economic valuations of derivatives through which said securities are subject to natural hedging are instead recognised under item 80 "Net profit (loss) from trading".

Note that the changes in fair value due to changes in own creditworthiness are recognised under other revenue items without reversal to the income statement.

7.2 Net changes in other financial assets and liabilities measured at fair value through profit or loss: breakdown of other financial assets mandatorily measured at fair value

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Net Profit (loss)** | **Net Profit (loss)** |
| <br>**Transaction/P&L items** | **Capital**<br>**gains** | **Realized**<br>**profits** | **Capital**<br>**losses** | **Realized**<br>**losses** | **31 12 2024** | **31 12 2023** |
| 1. Financial assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities issued | 186 | 25 | (13037) |  | (12826) | 4692 |
| &nbsp;&nbsp;&nbsp;1.2 Equity instruments |  | 66 |  | (3) | 63 | 2345 |
| &nbsp;&nbsp;&nbsp;1.3 Units of UCITS | 19116 | 909 | (17374) | (3) | 2648 | 4071 |
| &nbsp;&nbsp;&nbsp;1.4 Loans | 556 |  | (1809) |  | (1253) | (517) |
| **2. Other financial assets: exchange differences** | **X** | **X** | **X** | **X** | **18** | **(1620)** |
| **Total** | **19858** | **1000** | **(32220)** | **(6)** | **(11350)** | **8971** |

---

The net profit (loss) shown in the line "1.1 Financial assets - Debt securities", includes the EUR 12.4 mln capital loss from the mezzanine and junior tranches of the Siena NPL securitisation.

The net profi (loss) shown in line "1.3 Financial assets – UCITS units', refers to the revaluation of NPE credit funds partly set off by the impairment recognised in some private equity funds.

Line 1.4 "Financial Assets - Loans" includes in the column "Capital Gains" write-backs relating to loans for which there has been an improvement in the risk profile; the column "Capital Losses" includes write-downs of loans classified as "unlikely to pay".

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Section 8 - Net impairment (losses)/reversals for credit risk - Item 130

8.1 Net impairment (losses)/reversal for credit risk on financial assets measured at amortised cost: breakdown

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Reversals** | **Reversals** | **Reversals** | **Reversals** | | |
| | | | **Stage 3** | **Stage 3** | **Purechased<br> or originated<br> credit<br> impaired<br> financial<br> assets** | **Purechased<br> or originated<br> credit<br> impaired<br> financial<br> assets** | | | | | | |
| <br>**Transaction/P&L**<br>**items** | <br>**Stage 1** | <br>**Stage 2** | **Write-off** | **Others** | **Write-off** | **Others** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purechased<br> or originated<br> credit<br> impaired<br> financial**<br>**assets** | <br>**Total**<br>**31 12 2024** | <br>**Total**<br>**31 12 2023\*** |
| **A. Loans to banks** | **(342)** | **-** | **-** | **(5.979)** | **-** | **-** | **113** | **194** | **-** | **-** | **(6.014)** | **192** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Loans | (336) |  |  | (5.979) |  |  | 109 | 194 |  |  | (6.012) | 225 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Debt securities | (6) |  |  |  |  |  | 4 |  |  |  | (2) | (33) |
| **B. Loans to customers** | **(57.431)** | **(169.230)** | **(1.104)** | **(627.077)** | **-** | **(26)** | **64.609** | **138.030** | **252.013** | **10** | **(400.206)** | **(419.283)** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Loans | (56.616) | (168.421) | (1.104) | (627.077) |  | (26) | 62.877 | 138.030 | 252.013 | 10 | (400.314) | (415.418) |
| &nbsp;&nbsp;&nbsp;&nbsp;- Debt securities | (815) | (809) | - | - | - | - | 1.732 | - | - | - | 108 | (3.865) |
| **C. Total** | **(57.773)** | **(169.230)** | **(1.104)** | **(633.056)** | **-** | **(26)** | **64.722** | **138.224** | **252.013** | **10** | **(406.220)** | **(419.091)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

8.2 Net impairment (losses)/reversals for credit risk on financial assets measured at fair value through other comprehen-sive income: breakdown

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Reversals** | **Reversals** | **Reversals** | **Reversals** | | |
| | | | **Stage 3** | **Stage 3** | **Purechased<br> or originated<br> credit<br> impaired<br> financial<br> assets** | **Purechased<br> or originated<br> credit<br> impaired<br> financial<br> assets** | | | | | | |
| <br>**Transaction/P&L**<br>**items** | <br>**Stage 1** | <br>**Stage 2** | **Write-off** | **Others** | **Write-off** | **Others** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purechased<br> or originated<br> credit<br> impaired<br> financial**<br>**assets** | <br>**Total**<br>**31 12 2024** | <br>**Total**<br>**31 12 2023\*** |
| A. Debt securities issued | (118) | (1.253) |  |  |  |  | 525 | 183 |  |  | (663) | 582 |
| B. Loans |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- to banks |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- to customers | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | **(118)** | **(1.253)** | **-** | **-** | **-** | **-** | **525** | **183** | **-** | **-** | **(663)** | **582** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

Section 9 - Gains/losses from contractual changes without cancellation - Item 140

9.1 Modification gains/(losses): breakdown

This item, negative for EUR 9.9 mln as at 31 December 2024 (negative for EUR 6.8 mln as at 31 December 2023) includes the impacts related to contractual changes on medium/long term loans to customers which, without any substantial change, according to the provisions of IFRS 9, as well as the Group's accounting regulations, do not entail accounting derecognition of the assets but rather the recognition to profit and loss of the changes made to the contractual cash flows.

BANCA MONTE DEI PASCHI DI SIENA

Section 10 - Result of insurance services - Item 160

Section 11 - Balance of revenues and costs of a financial nature relating to insurance management - Item 170

The tables of the two sections are not included as the Group does not carry out insurance activities, therefore the cases in question are not pertinent both for the year 2024 and for the year of comparison.

Section 12 - Administrative expenses - Item 190

12.1 Personnel expenses: breakdown

---

| | | |
|:---|:---|:---|
| **Type of Expense / Area** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023\*** |
| 1. Employees | (1254444) | (1188580) |
| &nbsp;&nbsp;&nbsp;a) wages and salaries | (871701) | (837707) |
| &nbsp;&nbsp;&nbsp;b) social-welfare charges | (235226) | (228613) |
| &nbsp;&nbsp;&nbsp;c) severance pay | (58332) | (54639) |
| &nbsp;&nbsp;&nbsp;d) social security expenses |  |  |
| &nbsp;&nbsp;&nbsp;e) provision for staff severance pay | (2385) | (2727) |
| &nbsp;&nbsp;&nbsp;f) pension fund and similar obligations: | (110) | (70) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined contribution |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined benefit | (110) | (70) |
| &nbsp;&nbsp;&nbsp;g) contributions to external pension funds: | (22087) | (20615) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined contribution | (22087) | (20615) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined benefit |  |  |
| &nbsp;&nbsp;&nbsp;h) costs related to share-based payments | (3961) | (1683) |
| &nbsp;&nbsp;&nbsp;i) other employee benefits | (60642) | (42526) |
| 2. Other staff | 9225 | 8815 |
| 3. Directors and Statutory Auditors | (2366) | (2536) |
| 4. Retired personnel | (22) | (19) |
| **Total** | **(1247607)** | **(1182320)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

The net increase in personnel expenses is mainly due to the higher expense following the recognition of the second tranche of the salary increase agreed in the renewed bankers' National Collective Labour Agreement.

Line "f) pension funds and similar obligations" includes amounts set aside for internal funds, while line "g) contributions to external pension funds" includes contributions paid and adjustments made to external pension funds.

Line "h) Costs related to share-based payments" includes estimated cost, measured at fair value, of phantom shares granted to key personnel as the variable part of the incentive scheme, in addition to the recurring fair value adjustment of the same.

Line "i) other employee benefits" amounting to EUR 60.6 mln includes the effect of discounting expenses relating to redundancies or access to the Solidarity Fund.

Line 2 "Other staff" includes approximately EUR 9.6 mln as at 31 December 2024 (EUR 9.5 mln as at 31 December 2023) relating to Fruendo and due to the reinstatement and subsequent secondment of some employees in 2020.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

12.2 Average number of employees by category

---

| | | |
|:---|:---|:---|
| **Category / Average Number** | **31 12 2024** | **31 12 2023** |
| **Employees:** | **15869** | **15797** |
| a) executives | 159 | 162 |
| b) middle managers | 6015 | 5864 |
| c) remaining staff | 9695 | 9771 |
| **Other personnel** | **6** | **8** |
| **Total** | **15875** | **15805** |

---

12.3 Defined benefit company pension funds: costs and revenues

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **Defined benefit company<br> pension funds** | **Defined benefit company<br> pension funds** | | **Defined benefit company<br> pension funds** | **Defined benefit company<br> pension funds** | |
| <br>**Items/Amounts** | **Internal<br> pension plan** | **External<br> pension plan** | **Provision**<br>**for staff<br> severance pay** | **Internal <br> pension plan** | **External<br> pension plan** | **Provision**<br>**for staff<br> severance pay** |
| Interest income/expense | (110) |  | (2355) | (70) |  | (2698) |
| Current service cost and gains (losses) arising from settlements\* |  |  | (29) |  |  | (28) |
| Past service cost |  |  |  |  |  |  |
| Gains (losses) arising from settlements\*\* |  |  |  |  |  |  |
| Other operating costs | - |  | (1) | - |  | (1) |
| **Total** | **(110)** |  | **(2385)** | **(70)** |  | **(2727)** |

---

\* Pursuant to par. 100 of IAS 19, note that the past service cost and the amount of gains and losses arising from settlements need not be distinguished if they occur together.

\*\* Only in the event of settlement not set out in the terms of the plan.

12.4 Other employee benefits

No information to report pursuant to paragraphs 53, 158 and 171 of IAS 19.

BANCA MONTE DEI PASCHI DI SIENA

12.5 Other administrative expenses: breakdown

---

| | | |
|:---|:---|:---|
| **Items/Amounts** | **31 12 2024** | **31 12 2023\*** |
| Stamp duties | (178349) | (164746) |
| Indirect taxes and duties | (27265) | (25668) |
| Municipal real estate property tax | (19969) | (20278) |
| Property rentals | (958) | (1032) |
| Cleaning service contracts | (15114) | (16303) |
| Insurance | (15826) | (16910) |
| Sundry lease payments and Rentals | (113701) | (114061) |
| Remuneration of external professionals | (60724) | (60255) |
| Third-party data processing | (29803) | (31314) |
| Lease of equipment | (32272) | (18153) |
| Utilities | (35914) | (45222) |
| Maintenance of movable and immovable properties (used in the business) | (30112) | (31566) |
| Postage | (16160) | (15983) |
| Advertising, sponsorships and promotions | (2982) | (6223) |
| Membership dues | (2694) | (3364) |
| Reimbursement of employee car and travel expenses | (2826) | (2428) |
| Security services | (6118) | (6728) |
| Software | (46857) | (55526) |
| Expenses for personnel training | (2252) | (2172) |
| Corporate entertainment expenses | (862) | (669) |
| Printing and stationery | (3550) | (4999) |
| Telephone, telefax and telegraph | (5679) | (7492) |
| Transportation | (19627) | (18760) |
| Sundry occupancy expenses and refunds for release of immovable property used in the business | (5498) | (5594) |
| Contributions Resolution Funds (SRF) and Deposits Guarantee Schemes (DGS) and Assurance guarantee Fund | (77528) | (133489) |
| DTA fee | (61252) | (62927) |
| Others | (11728) | (12058) |
| **Total** | **(825620)** | **(883920)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

The line "Sundry lease payments and rentals" includes EUR 77.6 mln (EUR 76.9 mln as at 31 December 2023) referring to costs for outsourced services regarding back office accounting and administrative activities related to the management and provision of specific services by the Group. These services entail decreasing considerations over the duration of the contract, against a constant volume of services received by the Group. In accordance with the accounting policies (see Part A, Other information - Costs for constant services and decreasing payments), the recognition of the afore-mentioned costs in the income statements follows a linear trend over the contract duration with the consequent necessity for the Group to recognise a prepayment. The cumulative figure as at 31 December 2024 amounted to EUR 232.8 mln (EUR 242.0 mln as at 31 December 2023) and is shown under item "Other assets", line "Accrued income and prepaid expenses not attributable to its own separate item" of Part B of these Notes to the financial statements. The line also includes costs relating to short-term and low-value lease agreements for EUR 3.1 mln (EUR 3.5 mln as at 31 December 2023).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

The line "Contributions to resolution funds (SRF), Deposit guarantee Systems (DGS) and Assurance guarantee Fund" amounting to EUR 77.5 mln (EUR 133.5 mln as at 31 December 2023), includes the contributions paid to the DGS of EUR 75.3 mln (EUR 75.1 mln as at 31 December 2023), and the estimated EUR 2.2 mln contribution that the Group expects to pay to the Life Insurance Guarantee Fund. In the previous year a contribution to the Single Resolution Fund of EUR 58.6 mln was recognised, which was not required for 2024.

The line "DTA fee" includes the expenses related to the fee paid on convertible DTAs into tax credit as set forth in art. 11 of Italian Law Decree no. 59 of 3 May 2016, converted into Italian Law no. 119 of 30 June 2016.

Section 13 - Net provisions for risks and charges – Item 200

13.1 Net provisions for credit risk relative to commitments to disburse funds and financial guarantees issued: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Transaction/P&L items** | **Stage 1** | **Stage 2** | **Stage 3** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| 1) financial guarantees issued | 4294 | 1412 | 6377 | 12083 | (30146) |
| &nbsp;&nbsp;&nbsp;Provision for the year | (4492) | (4036) | (35443) | (43971) | (42218) |
| &nbsp;&nbsp;&nbsp;Write-backs | 8786 | 5448 | 41820 | 56054 | 12072 |
| 2) Commitments to disburs funds | 3394 | (11601) |  | (8207) | 15124 |
| &nbsp;&nbsp;&nbsp;Provision for the year | (3783) | (14284) |  | (18067) | (9472) |
| &nbsp;&nbsp;&nbsp;Write-backs | 7177 | 2683 | - | 9860 | 24596 |
| **Total** | **7688** | **(10189)** | **6377** | **3876** | **(15022)** |

---

\*The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

13.2 Net provisions relative to other commitments and guarantees issued: breakdown

At the reporting date of these Financial Statements and for the financial year of comparison, there were no provisions of this type.

13.3 Other net provisions for risks and charges: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023\*** | **31 12 2023\*** | **31 12 2023\*** |
| <br>**Items/Amount** | **Provisions for<br> the year** | **Write-backs** | **Net Provisions** | **Provisions for<br> the year** | **Write-backs** | **Net Provisions** |
| Legal disputes | (127681) | 71013 | (56668) | (117212) | 503785 | 386573 |
| &nbsp;&nbsp;&nbsp;- cost | (112009) | 70296 | (41713) | (87979) | 500133 | 412154 |
| &nbsp;&nbsp;&nbsp;- discounting effect | (15672) | 717 | (14955) | (29233) | 3652 | (25581) |
| Personnel expenses | (2794) | 2186 | (608) | (5165) | 5127 | (38) |
| Other risks and charges | (26577) | 16216 | (10361) | (21817) | 102876 | 81059 |
| **Total** | **(157052)** | **89415** | **(67637)** | **(144194)** | **611788** | **467594** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

The net releases of EUR 467.6 mln recognised in the previous year were almost entirely due to the improved litigation risk profile compared to the financial disclosures for the period 2008-2015 as a result of the positive judgments issued in the last quarter of 2023.

BANCA MONTE DEI PASCHI DI SIENA

Section 14 - Net Value Adjustments/recoveries on Property, Plant and Equipment - Item 210

14.1 Net value adjustments to property, plant and equipment: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Assets / P&L items** | **Depreciations** | **Impairment<br> losses** | **Recoveries** | **Net Profit (loss)<br> 31 12 2024** | **Net Profit (loss)<br> 31 12 2023\*** |
| A. Property, plant and equipment |  |  |  |  |  |
| A.1 Used in de business | (100737) | (765) |  | (101502) | (106123) |
| &nbsp;&nbsp;&nbsp;- owned | (58109) |  |  | (58109) | (60066) |
| &nbsp;&nbsp;&nbsp;- Right of Use acquired through leasing | (42628) | (765) |  | (43393) | (46057) |
| A.2 Held for investment |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- owned |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Right of Use acquired through leasing |  |  |  |  |  |
| 3. Inventories | X | - |  | - | - |
| **Total** | **(100737)** | **(765)** |  | **(101502)** | **(106123)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

Section 15 - Net Value Adjustments/recoveries on Intangible Assets - Item 220

15.1 Net value adjustments to intangible assets: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Assets/P&L items** | **Depreciations** | **Impairment<br> losses** | **Recoveries** | **Net profit (loss)<br> 31 12 2024** | **Net profit (loss)<br> 31 12 2023\*** |
| **A. Intangible assets** | | | | | |
| of which: software | (65963) | (1765) |  | (67728) | (67116) |
| A.1 Owned | (66020) | (1827) |  | (67847) | (67169) |
| &nbsp;&nbsp;&nbsp;- generated internally by the company | (13699) | (628) |  | (14327) | (16461) |
| &nbsp;&nbsp;&nbsp;- other | (52321) | (1199) |  | (53520) | (50708) |
| A.2 Right of Use acquired through leasing | - | - |  | - | - |
| **Total** | **(66020)** | **(1827)** |  | **(67847)** | **(67169)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Section 16 - Other operating expenses/income - Item 230

16.1 Other operating expenses: breakdown

---

| | | |
|:---|:---|:---|
| **Item/Values** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023\*** |
| Costs of robberies | (1007) | (510) |
| Depreciation of leasehold improvements recognised as Other assets | (4299) | (6166) |
| Cost of financial lease transactions | (5730) | (5644) |
| Costs from judgments and settlement agreements | (25214) | (19822) |
| Other | (23874) | (25198) |
| **Total** | **(60124)** | **(57340)** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS

16.2 Other operating income: breakdown

---

| | | |
|:---|:---|:---|
| **Item/Value** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023\*** |
| Rents from investment real estate | 7090 | 8229 |
| Recovery of taxes | 189640 | 171211 |
| Recovery of insurance premiums | 1327 | 2148 |
| Income from financial lease transaction | 6627 | 6110 |
| Recovery of other expenses | 35158 | 29822 |
| Other | 51538 | 55384 |
| **Total** | **291380** | **272904** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

The amount of EUR 35.1 mln classified under "Recovery of other expenses" includes, among other things, the compensation of legal fees incurred for the enforced recovery of bad loans of EUR 4.0 mln (EUR 4.0 mln as at 31 December 2023).

The Group has no income deriving from the sublease of assets consisting in the right of use (IFRS 16.53 (f)).

"Other operating income" does not include any revenues under the scope of IFRS 15.

The Group does not have any variable income not related to an index or a rate deriving from leasing activities (IFRS 16.90 b).

BANCA MONTE DEI PASCHI DI SIENA

Section 17 - Gains (losses) on investments - Item 250

17.1 Gains (losses) on investments: breakdown

---

| | | |
|:---|:---|:---|
| **P&L items/Sectors** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| **1) Jointly owned companies** |  |  |
| &nbsp;&nbsp;&nbsp;A. Income |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Revaluations |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other income |  |  |
| &nbsp;&nbsp;&nbsp;B. Expense |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Write-downs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Impairment losses |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other expenses | - | - |
| **Net Profit (Loss)** | **-** | **-** |
| **2) Companies subject to significant influence** |  |  |
| &nbsp;&nbsp;&nbsp;A. Income | 75217 | 91058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Revaluations | 75217 | 90793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other income |  | 265 |
| &nbsp;&nbsp;&nbsp;B. Expense | (988) | (7450) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Write-downs | (988) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Impairment losses |  | (6572) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other expenses | - | (878) |
| **Net Profit (Loss)** | **74229** | **83608** |
| **Total** | **74229** | **83608** |

---

The amount of EUR 75.2 mln recognised in line 2) A.1 "Revaluations" is predominantly due to the results of equity investment in associates, especially AXA MPS Vita S.p.A. and AXA MPS Danni S.p.A.

As at 31 December 2024, there were no impairment losses on investee companies (EUR 6.6 mln as at 31 December 2023 attributable to the associate Fidi Toscana).

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part C - Information on the consolidated income statement

Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 260

18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (or revalued) or at presumed realisable value: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | **Exchange difference** | **Exchange difference** | | |
| <br>**Assets/P&L items** |<br>**Revaluations (a)** |<br>**Write-downs (b)** | **Positive (c)** | **Negative (d)** | **Net profit (loss)**<br>**(a+b+c+d)** | **Net profit (loss)**<br>**31 12 2023** |
| A. Properties, plant and equip- ments | 8656 | 36011 |  |  | (27355) | (53144) |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Used in the business | 4184 | 12407 |  |  | (8223) | (28435) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- owned | 4184 | 12407 |  |  | (8223) | (28435) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- right of use acquired through leasing |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 held for investment | 4398 | 22783 |  |  | (18385) | (23424) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- owned | 4398 | 22783 |  |  | (18385) | (23424) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- right of use acquired through leasing |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 Inventories | 74 | 821 |  |  | (747) | (1285) |
| B. Intangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Owned |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- generated internally by the company |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Right of use acquired through leasing | - | - |  |  | - | - |
| **Total** | **8656** | **36011** |  |  | **(27355)** | **(53144)** |

---

The item, which was negative for a total of EUR 27.4 mln (EUR 53.1 mln was the negative balance of the previous financial year), includes the results of the fair value measurement of "revalued property, plant and equipment used in the business", "property, plant and equipment held for investment purposes", "inventories of property, plant and equipment" and, finally, "assets held for sale", consisting of owned real estate assets.

Section 19 - Impairment of goodwill - Item 270

19.1 Impairment of goodwill: breakdown

Owing to its indefinite or unlimited useful life, goodwill is tested at the end of each financial year to assess whether its book value is fairly stated or recoverable. The impairment test performed in 2024 did not result in any value adjustments on the goodwill allocated to the Widiba CGU (Cash Generating Unit), as it confirmed the recoverability of the book value.

For additional information concerning the methods for conducting impairment tests, see the appropriate section in Part B of the Notes to the Financial Statements, Section 10.1 of Assets "Intangible Assets: breakdown by type".

BANCA MONTE DEI PASCHI DI SIENA

Section 20 – Gains (losses) on disposal of investments – Item 280

20.1 Gains (losses) on disposals of investments: breakdown

---

| | | |
|:---|:---|:---|
| **P&L items/Sectors** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023\*** |
| A. Property | 2666 | 151 |
| &nbsp;&nbsp;&nbsp;- Gains on disposal | 8813 | 156 |
| &nbsp;&nbsp;&nbsp;- Losses on disposal | (6147) | (5) |
| B. Other assets | 2 | (74) |
| &nbsp;&nbsp;&nbsp;- Gains on disposal | 4 | 3 |
| &nbsp;&nbsp;&nbsp;- Losses on disposal | (2) | (77) |
| **Net Profit (Loss)** | **2668** | **77** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

The net gain of EUR 2.7 mln recognised in item A. Property refers almost entirely sale transactions completed in previous years and classified as assets held for sale as at 31 December 2023.

It should be noted that the Group, as at 31 decembre 2024, recognised gains from sale and leaseback transactions in the amount of EUR 8.7 mln.

Section 21 – Tax expense (recovery) on income from continuing operations – Item 300

21.1 Tax (expense)/recovery on income from continuing operations: breakdown

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**P&L items/Sectors** | **31 12 2024** | **31 12 2023\*** |
| 1. Current tax (-) | (98164) | (85661) |
| 2. Adjustments to current tax of prior years (+/-) | (1065) | 4757 |
| 3. Reduction of current tax for the year (+) |  |  |
| 3. bis Reduction in current tax for the period due to tax credits under Law 214/2011 |  | 8567 |
| 4. Changes in prepaid taxes (+/-) | 603672 | 414239 |
| 5. Changes in deferred taxes (+/-) | 3657 | 3674 |
| **6. Tax expense for the year (-) (-1+/-2 +3+3bis+/-4+/-5)** | **508100** | **345576** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

The amount under line 4. "Deferred tax assets: annual changes" reflects the positive imbalance between the overall effect of the DTA valuation arising from the results of the probability test, amounting to EUR 987.5 mln, and the net reversals for the year. For a more detailed breakdown of the DTA reassessment, please refer to paragraph 11.8 – Part B – Information on the Balance Sheet of these Notes to the financial statements.

2024 ANNUAL REPORT **-** Notes to the consolidated annual report - Part C - Information on the consolidated income statement

21.2 Reconciliation of theoretical to actual tax charge

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Items/Amounts** | **31 12 2024** | **%** | **31 12 2023\*** | **%** |
| **Pre-tax profit (loss) from continuing operations** | **1464544** |  | **1701705** |  |
| **Profit(loss) befor tax from assets and group of assets held for sale** | **(20053)** |  | **4803** |  |
| **Profit (lloss) before tax** | **1444491** |  | **1706508** |  |
| **Theoretical IRES Payable** | **(397235)** | **27.5%** | **(469290)** | **27.5%** |
| **Permanent increases** | **(1401)** | **0.1%** | **(1452)** | **0.1%** |
| &nbsp;&nbsp;&nbsp;Non-deductible interest expense |  | 0.0% |  | 0.0% |
| &nbsp;&nbsp;&nbsp;Losses on sale of equity instruments designated at fari value through other comprehensive income |  | 0.0% | 20 | 0.0% |
| &nbsp;&nbsp;&nbsp;Non-deductible administrative expenses (Municipal real estate property tax, vehicles, telephone, etc.) | (1401) | 0.1% | (1472) | 0.1% |
| **Permanent decreases** | **45** | **0.0%** | **35008** | **-2.1%** |
| &nbsp;&nbsp;&nbsp;Gains on sale of equity instruments designated at fari value through other comprehensive income | (11) | 0.0% | (115) | 0.0% |
| &nbsp;&nbsp;&nbsp;Gains on disposal of subsidiaries and associates |  | 0.0% | 486 | 0.0% |
| &nbsp;&nbsp;&nbsp;Deduction IRAP | 56 | 0.0% | 17 | 0.0% |
| &nbsp;&nbsp;&nbsp;Deduction ACE |  | 0.0% | 34620 | -2.0% |
| Reversal of impairment losses on subsidiaries and associates | 22201 | -1.5% | 26028 | -1.5% |
| DTA write-downs related to prior tax losses | 986401 | -68.3% | 670410 | -39.3% |
| Other DTA write-downs | 1085 | -0.1% | 154423 | -9.0% |
| DTA ACE write-downs |  | 0.0% | 2361 | -0.1% |
| Tax on Profit (losses) from group of assets held for sale | (11699) | 0.8% | 862 | 0.0% |
| Other components (IRES relative to previous years, spreads between Italian and foreign tax rate, etc.) | (966) | 0.1% | (3866) | 0.2% |
| **Effective IRES Payable** | **598432** | **-41.4%** | **414484** | **-24.3%** |
| **Theoretical IRAP payable** | **(67169)** | **4.65%** | **(79353)** | **4.65%** |
| **Economic items not relevant for IRAP purposes** | **(7989)** | **0.6%** | **15636** | **-0.9%** |
| &nbsp;&nbsp;&nbsp;Value adjustments and credit losses | (327) | 0.0% | 35 | 0.0% |
| &nbsp;&nbsp;&nbsp;Non-deductible costs of personnel | (254) | 0.0% | (181) | 0.0% |
| &nbsp;&nbsp;&nbsp;Profit (loss) on subsidiaries and associates | (1040) | 0.1% | (2460) | 0.1% |
| &nbsp;&nbsp;&nbsp;Other non-deductible administrative expences (10%) | (3860) | 0.3% | (4126) | 0.2% |
| &nbsp;&nbsp;&nbsp;Amortization non-deductible (10%) | (788) | 0.1% | (811) | 0.0% |
| &nbsp;&nbsp;&nbsp;Provisions for risk and charges | (2741) | 0.2% | 21710 | -1.3% |
| &nbsp;&nbsp;&nbsp;Other economic items not relevant | 1022 | -0.1% | 1469 | -0.1% |
| Increase regional rates effect | (13078) | 0.9% | (10967) | 0.6% |
| Tax on profit/(loss) on financial asset and group of assets available for sale | (1978) | 0.1% | 223 | 0.0% |
| Tax refunds from previous years |  | 0.0% | 4077 | -0.2% |
| Other components (IRAP relative to previous years, spreads between Italian and foreign tax rate, etc,) | (2085) | 0.1% | 1018 | -0.1% |
| **Effective IRAP payable** | **(92299)** | **6.4%** | **(69366)** | **4.1%** |
| **Total effective IRES and IRAP tax expense** | **506132** | **-35.0%** | **345118** | **-23.9%** |

---

\* The data were restated in the 2023 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

\*\* Includes any "tax" component of item 320 "Profit (loss) after tax from discontinued operations".

BANCA MONTE DEI PASCHI DI SIENA

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The reconciliation relating to IRES includes, aside from the main tax at the rate of 24%, also the additional tax of 3.5% introduced by Italian Law no. 208 of 28 December 2015, par. 65-66.

The reconciliation shows that the theoretical charge of the nominal taxation on the pre-tax profit was more than offset in the year by the income deriving from the valuation of the DTAs; in the table, the lines entitled "DTA valuation effect" express the amount of deferred tax assets, accrued but not recognised in the financial statements of the previous year due to lack of estimated future taxable income, which were revalued in the current financial statements, in part to the extent in which were mostly used during the year to offset the positive final income higher than forecasts, and in part due to adoption of the new revenue forecasts included in the 2024-2028 Business Plan. Apart from the aforementioned factors, in accordance with current tax regulations and assuming the achievement of the income results outlined in the Group's business plan, it is reasonable to expect that the Parent Company will in any case record a progressive reassessment of DTAs from tax losses in each of the next financial years in the medium term (until they are fully recognised), with corresponding income under taxes in the income statement, which will reduce the tax rate in the financial statements; this, considering the high amount of tax loss carried forwards available with off-balance sheet DTAs and the prudential assumptions underlying the probability test (time period limited to 20 years and application of a discount rate to the prospective results). For further information, please refer to paragraph 11.8 – Part B – Information on the Balance Sheet of these Notes to the financial statements.

Section 22 - Profit (loss) after tax from discontinued operations - Item 320

22.1 Profit (loss) after tax from assets held for sale and discontinued operations: breakdown

---

| | | |
|:---|:---|:---|
| <br>**P&L items/Sectors** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023\*** |
| 1. Income | 50020 | 48479 |
| 2. Charges | (31395) | (29406) |
| 3. Resultus of valuations of disposal group and associated liabilities | (39856) | (14547) |
| 4. Realized profit (loss) | 1178 | 276 |
| 5. Taxes | (1968) | (458) |
| **Profit (loss)** | **(22021)** | **4344** |

---

\* The data as at 31 December 2023 have been restated to reflect the classification of the subsidiary MP Banque S.A. as a discontinued operation in accordance with IFRS 5.

The table above refers to the subsidiary MP Banque S.A., classified as of 30 June 2024 as a discontinued operation pursuant to IFRS 5.

Line 3 "Result of valuation of disposal group and associated liabilities" includes the amount of EUR -36.4 mln is attributable to the valuation of the subsidiary in accordance to the aforementioned standard, ant the amount of EUR -3.4 mln concerning the net value adjustments for credit risk related to financial assets measured at amortised cost.

22.2 Breakdown of taxes on income from discontinued operations

Income tax form discontinued operations as at 31 December 2024 amounts to EUR 2.0 mln (EUR 0.5 mln as at 31 December 2023).

2024 ANNUAL REPORT **-** Notes to the consolidated annual report - Part C - Information on the consolidated income statement

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Section 23 – Profit (loss) attributable to non-controlling interests – Item 340

23.1 Details of item 340 "Profit (loss) attributable to non-controlling interests"

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Consolidated equity investments with significant non-controlling interests |  |  |
| Other equity investments | (160) | (156) |
| **Total** | **(160)** | **(156)** |

---

Section 24 – Other information

There is no information further to that already provided in the previous sections.

Section 25 - Earnings per Share (EPS)

25.1 Average number of diluted ordinary shares

25.2 Other information

---

| | | |
|:---|:---|:---|
| **Items/Amounts** | **31 12 2024** | **31 12 2023\*** |
| **Weighted average number of ordinary shares outstanding (no. of Shares)** | 1259689706 | 1259689706 |
| **Ner Profit (loss) (euro th)** |  |  |
| &nbsp;&nbsp;&nbsp;Related to Parent Company continuing operations | 1972804 | 2047437 |
| &nbsp;&nbsp;&nbsp;Related to Parent Company discontinued operations | (22021) | 4344 |
| &nbsp;&nbsp;&nbsp;Attributable to Parent Company | 1950783 | 2051781 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **EPS (euros)** | **Base** | **Diluted** | **Base** | **Diluted** |
| Related to Parent Company continuing operations | 1.566 | 1.566 | 1.625 | 1.625 |
| Related to Parent Company discontinued operations | (0.017) | (0.017) | 0.004 | 0.004 |
| Attributable to Parent Company | 1.549 | 1.549 | 1.629 | 1.629 |

---

\* Earnings per share as at 31 December 2023 were restated, compared to those published at the reporting date, to take into account the classification of the subsidiary Monte Paschi Banque S.A. as "discontinued operations" in accordance with the provisions of IFRS 5.

Note that, at 31 December 2024, Basic EPS and Diluted EPS are the same, as there were no outstanding financial instruments with potential dilutive effects.

BANCA MONTE DEI PASCHI DI SIENA

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Part D - Consolidated statement of comprehensive income

Analytical consolidated Statement of comprehensive income

---

| | | | |
|:---|:---|:---|:---|
| | <br>**Items** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **10.** | **Proft (loss) for the year** | **1950623** | **2051625** |
|  | **Other income components without reversal to profit or loss** | **(1028)** | **(29495)** |
| 20. | Equity instruments measured at fair value through other comprehensive income | (13) | (4491) |
|  | a) changes in fair value | 2960 | 2228 |
|  | b) Transfer to other component of net equity | (2973) | (6719) |
| 30. | Financial liabilities designated at fair value through profit or loss (change in the entity's own credit risk) | (5130) | (4111) |
|  | a) changes in fair value | (5130) | (4111) |
| 50. | Property, plant and equipment | (15821) | (31085) |
| 70. | Defined benefit plans | (261) | 7500 |
| 80. | Non-current assets held for sale and disposal groups | 8755 | (2790) |
| 90. | Share of valuation reserves of equity instruments valued at equity | 6601 | (6619) |
| 110. | Tax income related to other income components without reversal to profit or loss | 4841 | 12101 |
|  | **Other income components with reversal to profit or loss** | **33519** | **84391** |
| 130. | Exchange differences: | 2101 | (1526) |
|  | a) changes in fair value |  |  |
|  | b) reversal to profit & loss |  |  |
|  | c) other changes | 2101 | (1526) |
| 140. | Cash flow hedges: | 16910 | 2383 |
|  | a) changes in fair value | 16910 | 2383 |
|  | b) reversal to profit & loss |  |  |
|  | c) other changes |  |  |
|  | of which: results of Net positions |  |  |
| 160. | Fiancial assets (other than equity instruments) measured at fair value through other comprehensive income | 45080 | 113243 |
|  | a) changes in fair value | 41857 | 97453 |
|  | b) reversal to profit & loss | 3223 | 15790 |
|  | -impairment provisions |  |  |
|  | -relised net gains/losses | 3223 | 15790 |
|  | c) other changes |  |  |
| 180. | Share of valuation reserves of equity-accounted investments | (13691) | 11314 |
|  | a) changes in fair value | (13691) | 11314 |
|  | b) reversal to profit & loss |  |  |
|  | -impairment provisions |  |  |
|  | -relised net gains/losses |  |  |
|  | c) other changes |  |  |
| 210. | Tax income related to other income components whit reversal to profit or loss | (16881) | (41023) |
| **220.** | **Other income components** | **32491** | **54896** |
| **230.** | **Total comprehensive income (Item 10 + 190)** | **1983114** | **2106521** |
| 240. | Consolidated comprehensive income attributable to non-controlling interests | (188) | (180) |
| **250.** | **Consolidated comprehensive income attributable to Parent Company** | **1983302** | **2106701** |

---

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

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Part E - Information on risks and hedging policies

**Note: Public Disclosure (Basel III Pillar) is published on the**

**Group's website: *<u>https://www.gruppomps.it/investor-relations</u>*<u>.</u>**

**Foreword**

A summary of the organisation of the MPS Group's risk governance and the related processes and key functions is described below. An estimate of the Overall Internal Capital and a description of the relative assessment models are also provided.

For more detailed information on the Group's Risk Governance and risk culture, please refer to the Consolidated Report on Operations.

**Risk governance system**

The risk governance system adopted by the Group is characterised by a clear-cut distinction of roles and responsibilities of the different functions at first, second and third level of control.

Policies relating to the assumption, management, coverage, monitoring and control of risks are defined by the statutory bodies of the Parent Company. In particular:

&nbsp;&nbsp;&nbsp;&nbsp;· the Parent Company's Board of Directors defines and approves strategic guidelines and risk management policies and, at least once a year, quantitatively expresses the Group's overall risk appetite in terms of economic capital (Risk Appetite);

&nbsp;&nbsp;&nbsp;&nbsp;· the Board of Statutory Auditors and the Risk and Sustainability Committee
evaluate the level of efficiency and adequacy of the internal control system, with particular regard to risk control;

&nbsp;&nbsp;&nbsp;&nbsp;· the CEO/General Manager is responsible for ensuring compliance with risk
policies and procedures;

&nbsp;&nbsp;&nbsp;&nbsp;· the Director in charge of the internal control and risk management system,
appointed in compliance with the Corporate Governance Code for listed companies, is responsible for creating and maintaining an effective
system of internal control and risk management.

Specific Management Committees responsible for risk issues have been established in order to promote efficiency and flexibility in the decision-making process and facilitate interactions between the various company functions involved:

&nbsp;&nbsp;&nbsp;&nbsp;· the Risk Management Committee establishes Risk Management policies, evaluates
the Group's risk appetite in accordance with annual and long-term Group value-creation targets and ensures and monitors overall
compliance with the limits defined for the various operating levels; evaluates the risk profile reached and therefore the capital consumption
at both Group level and for each individual company;

&nbsp;&nbsp;&nbsp;&nbsp;· the Finance and Liquidity Committee formulates the principles and strategic
guidelines relating to proprietary finance; resolves on and submits proposals regarding exposure to interest rate and liquidity risk in
the banking book and defines capital management actions;

&nbsp;&nbsp;&nbsp;&nbsp;· the Credit Committee formulates policies in relation to credit processes
and formulates an opinion, at least once per year, on credit policies by verifying their commercial sustainability and consistency with
risk appetite levels. Based on the authorities assigned to it, it is also responsible for taking decisions with respect to lending and
the management of problem receivables and assets.

As part of the Internal Control System, the Chief Audit Executive Department conducts third-level controls, the Risk Management Function and the Chief Compliance Executive Department carry out second-level controls and the Business Control Units (BCUs) carry out first-level controls.

BANCA MONTE DEI PASCHI DI SIENA

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The Chief Audit Executive Department performs an independent and objective assurance and advising activity, aimed both at monitoring operations compliance and risk trends (including through on-site audits) as well as assessing the efficiency of the overall internal control system in order to improve the effectiveness and efficiency of the organisation. It also acts as Internal Secondary Supervisor with a view to focusing on the main characteristics of the prudential supervision process adopted by the European Supervisory Authority and on the orientations/priorities outlined by the latter over time so as to evaluate the Group's positioning with respect to the expectations of the Single Supervisor.

The Risk Management Function, reporting directly to the Board of Directors and functionally to the Chief Executive Officer, performs the tasks of risk control and internal validation function. The Anti-Money Laundering (hereinafter AML) and Countering the Financing of Terrorism Function was spun off from the Risk Management Function in 2024 and placed under the direct reporting of the CEO. The Head of the Risk Management Function also reports to the Head of the Internal Validation Function, as defined by the Supervisory Regulations and internally implemented in the Group's policy on the internal control system.

The Risk Management Function, which includes six second-level organisational units (Risk Integration and Reporting, Credit Risk, Rating, Operational Risk, Market Risk and Wealth Risk Management, Liquidity Risk and ALM) is therefore responsible for:

&nbsp;&nbsp;&nbsp;&nbsp;· guaranteeing the overall functioning of the risk management system;

&nbsp;&nbsp;&nbsp;&nbsp;· participating in the definition and control of the Risk
Appetite Framework (RAF), as well as ensuring that significant transactions are consistent with the RAF;

&nbsp;&nbsp;&nbsp;&nbsp;· verifying capital adequacy based on the ICAAP and liquidity adequacy based
on the ILAAP;

&nbsp;&nbsp;&nbsp;&nbsp;· monitoring the Recovery Plan indicators;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· ensuring the necessary reporting flows to the Group's Top Management
and Governance bodies;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· guaranteeing proper and adequate control activities
for the Group Companies that have outsourced the similar corporate function;

&nbsp;&nbsp;&nbsp;&nbsp;· performing the function of internal validation of risk management models.

The Chief Compliance Executive Department performs the function of monitoring compliance with the regulations for the Parent Company. The function is directly responsible for managing risks relating to the violation of the most significant rules in Bank-Customer relations and it periodically reports to the company's top management and supervisory authorities regarding the overall state of compliance of the Bank's systems and operations. The Compliance function reports directly to the CEO.

The Financial Reporting Manager exercises governance, oversight and coordination functions over the entire accounting and corporate disclosure process, for which they are responsible for control, documentation of procedures and internal and external communication to the Group. With this in mind:

&nbsp;&nbsp;&nbsp;&nbsp;· sets out adequate administrative and accounting procedures
for the preparation of the separate financial statements and the consolidated financial statements;

&nbsp;&nbsp;&nbsp;&nbsp;· promotes the evolution of the methods and systems for
controlling the reliability of corporate accounting information, in terms of identification, management, control and mitigation;

&nbsp;&nbsp;&nbsp;&nbsp;· oversees, limited to its own area of competence, the
functioning of the risk management system of the company and verifies compliance with it;

&nbsp;&nbsp;&nbsp;&nbsp;· verifies the adequacy and effectiveness of the measures taken to remedy
the shortcomings identified;

&nbsp;&nbsp;&nbsp;&nbsp;· verifies the correctness of the accounting system, preparing adequate analysis
methods;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· draws up the certifications/declarations in compliance with the formal obligations
required by law and regulations.

The outlying BCUs operating within the subsidiaries or main business areas, carry out compliance checks on the transactions and are the first level of organisational supervision of transactions within the broader Internal Control System.

In compliance with the requirements of autonomy and independence of each participating function, there is also a Function Coordination Committee in place with control responsibilities. The Committee promotes and shares operational and methodological aspects to identify possible synergies in control activities carried out by second and third-level Functions, coordinate methods and timing for planning and reporting to the Corporate Bodies and project initiatives connected with the Internal Control System, and share areas for improvement identified by all Functions with control responsibilities as well as the Supervisory Authorities.

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

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**Requirements of autonomy and independence of the Risk Management Function**

The Risk Management Function's autonomy and independence are ensured as it reports directly to the Corporate Body with strategic supervisory functions (the Board of Directors) and only functionally to the Management Body (CEO). It has direct access to the Body with control functions (Board of Statutory Auditors) and may communicate continuously with no restriction or intermediation. The Head of the function (Chief Risk Officer -CRO*)* is also entitled at their discretion to participate in Risk and Sustainability Committee meetings to intervene or propose discussions on specific topics.

The appointment/reappointment of the Head of the Parent Company's function takes place on the basis of an appointment by the Board of Directors, at the proposal of the Risk and Sustainability Committee, which is supported by the Appointments Committee, after consulting the Board of Statutory Auditors.

The determination of the CRO's remuneration structure is decided by the Board of Directors, on the proposal of the Remuneration Committee, after consulting the Risk and Sustainability Committee.

**Activities relating to the international Regulatory framework**

Pillar 1: since 2008, the Group has used internal models validated by the Bank of Italy for the measurement and management of credit risk (AIRB - Advanced Internal Rating Based) and operational risk (AMA - Advanced Measurement Approach). Over time, and in collaboration with the Supervisory Authorities, these models have been further enhanced and their scope of application extended to Group entities not originally included in the initial validation scope.

Pillar 2: during the year, in particular, work continued with activities aimed at ensuring compliance with the Supervisory Review and Evaluation Process (SREP) framework and further improving the Group's capital adequacy and liquidity self-assessment processes (ICAAP - Internal Capital Adequacy Assessment Process and ILAAP - Internal Liquidity Adequacy Assessment Process), with the mandatory reporting provided to the Supervisors.

The internal assessment of capital/liquidity adequacy are two processes that are part of the more general Risk Management macro-process, in direct connection with the Risk Appetite Framework (RAF) through the annual formulation of the Risk Appetite Statement (RAS) with related thresholds.

The overall internal capital/liquidity adequacy assessment process takes place periodically as part of the strategic ICAAPs and ILAAPs mainly through:

&nbsp;&nbsp;&nbsp;&nbsp;1. ICAAP/ILAAP Outcomes, or quantitative (inherent risk) and qualitative (risk management and controls) assessments
on risk positioning prepared by the Risk Control Function and submitted to the Board of Directors for its own resolutions (Capital Adequacy
Statement and Liquidity Adequacy Statement), i.e. the summary declarations prepared by the Board of Directors where it expresses its vision
and awareness regarding the management of the adequacy of the capital situation and the current and future adequacy of liquidity;

&nbsp;&nbsp;&nbsp;&nbsp;2. ongoing ICAAP/ILAAP, which consists substantially of periodical analyses of capital and liquidity adequacy
which are described in the periodical reports of the Risk Control Function to the corporate bodies.

In 2024, the Risk Appetite Framework, the overall internal reference framework for the determination of the Group's risk appetite, was further developed. The Group was also engaged in various project activities related to the improvement of the management system for various risks and in particular for Pillar 2 risks (Credit Spread Risk Banking Book, IRRBB, Issuer Risk Banking Book and Business and Strategic Risk).

Pillar 3: public disclosure is provided on a quarterly basis through the Group's internet site www.mps.it/investors and is continuously updated in accordance with regulatory developments.

BANCA MONTE DEI PASCHI DI SIENA

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**Analysis of the Internal Capital**

The Overall Internal Capital (or Overall Absorbed Internal Capital) is the minimum amount of capital resources required to cover economic losses resulting from unforeseen events caused by the simultaneous exposure to different types of risk.

The main types of risks incurred by the Group in its day-to-day operations can be summarily described as follows: credit risk, market risk; operational risk; interest rate risk in the banking book; credit spread risk of the banking book; issuer risk of the banking book; counterparty credit risk; real estate risk; issuer risk; concentration risk; equity investment portfolio risk; business/strategic risk; model risk; liquidity risk and reputational risk.

All of the types of risk mentioned above are involved in quantifying the overall Internal Capital, with the exception of liquidity and reputational risk that, instead, are mitigated through organisational policies and processes.

Risks inherent in investment products/services for the Group's customers are also monitored, with a view to protecting the customer and preventing any potential reputational repercussions.

**Risk assessment models**

The Risk Management Function regularly quantifies the Internal Capital for each type of risk and periodically reports these to the Risk Management Committee and to the Governing Bodies.

The approach used to quantify and supplement the risks-to-capital with regard to which the Group is exposed is known as Pillar 1 Plus. This approach envisages that the Pillar 1 requirements for credit and counterparty risk (which already include those relating to issuer risk on the banking book, equity investment risk and real estate risk) and operational risk, be in-creased (avoiding double counting) by the requirements from internal models relating to market risks, of both trading book and banking book, banking book interest rate risk (financial risk), credit spread risk and issuer risk of the banking book, concentration risk, and business/strategic and model risk.

Overall Internal Capital is calculated without considering inter-risk diversification, therefore by directly adding together the internal capital contributions of the individual risks (building block approach). This approach aims to incorporate the indications in the SREP (Supervisory Review and Evaluation Process) Guidelines published by the EBA.

![](tm2518026d1_ex99-4sp6img001.jpg)

The Group also manages and quantifies liquidity risk on an ongoing basis (risk-to-liquidity, as defined in the SREP Guidelines) through internal organisational methodologies and policies.

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Section 1 – Consolidate accounting risk

Quantitative Information

A. Credit quality

For the purposes of quantitative information on credit quality:

&nbsp;&nbsp;&nbsp;&nbsp;· the term "on-balance sheet exposure" refers to all on-balance
sheet financial assets with regard to banks or customers, regardless of their portfolio of accounting recognition (measured at fair value
through profit or loss, measured at fair value through other comprehensive income, measured at amortised cost, non-current financial assets
held for sale and disposal groups). Sight receivables from banks and central banks fall within the definition of on-balance sheet exposures
but are conventionally excluded from the tables in Section 1, except in the cases expressly indicated in which they must be considered;

&nbsp;&nbsp;&nbsp;&nbsp;· the term "off-balance sheet exposure" refers to all financial
transactions other than on-balance sheet ones (financial guarantees given, revocable and irrevocable commitments, derivatives, etc.) that
involve the assumption of credit risk, regardless of the purpose for such transactions (trading, hedging, etc.). Off-balance sheet exposures
also include the counterparty risk connected to securities lending transactions and repurchase agreements and to the granting or assumption
of goods on a loan basis, as well as to transactions with margins included within the notion of Securities Financing Transactions as defined
by prudential regulations.

Non-performing loans (on and off-balance sheet) do not include financial assets held for trading and hedging derivatives, which are therefore traditionally recognised among performing exposures.

Equity securities and units of UCITS are excluded.

A.1 Non-performing and performing loans: amounts, value adjustments, changes, trend and breakdown by business sector

A.1.1 Breakdown of financial assets by portfolio category and credit quality (book values)

**31 12 2024**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Portfolio/quality** |<br><br>**Bad loans** |<br><br>**Unlikely to pay** | **Past-**<br>**due non**<br>**performing**<br>**exposures** |<br>**Past-due**<br>**performing**<br>**exposures** |<br>**Other**<br>**performing**<br>**exposures** |<br><br>**Total** |
| 1. Financial assets measured at amortised cost | 426613 | 1377254 | 66051 | 371404 | 88284618 | 90525940 |
| 2. Financial assets measured at fair value through other comprehensive income |  |  |  |  | 2163743 | 2163743 |
| 3. Financial assets designated at fair value |  |  |  |  |  |  |
| 4. Other financial assets mandatorily measured at fair value | 2884 | 2615 | 131 | 573 | 189826 | 196029 |
| 5. Financial asset held for sale | 15799 | - | 6883 | 2507 | 224030 | 249219 |
| **Total 31 12 2024** | **445296** | **1379869** | **73065** | **374484** | **90862217** | **93134931** |
| **Total 31 12 2023** | **444480** | **1230281** | **102664** | **521874** | **90679722** | **92979021** |

---

As at 31 December 2024, forbearance exposures amounted to EUR 1,750.1 mln (EUR 1,862.7 mln as at 31 December 2023), of which EUR 736.6 mln was impaired (EUR 716.9 mln as at 31 December 2023) and EUR 1,013.5 mln was non-impaired (EUR 1,145.8 mln as at 31 December 2023) and are predominantly in the "Financial assets measured at amortised cost - Loans to customers" portfolio. For further information on these exposures, please refer to table A.1.5 below.

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A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Non perfoming assets** | **Non perfoming assets** | **Non perfoming assets** | **Non perfoming assets** | **Performing assets** | **Performing assets** | **Performing assets** | |
| **Portfolio/quality** | **Portfolio/quality** | **Gross**<br>**exposure** | **Impairment**<br>**(loss)** | **Net**<br>**exposure** | **Total Partial**<br>**Write-off\*\*** | **Gross**<br>**exposure** | **Impairment**<br>**(loss)** | **Net**<br>**exposure** | **Total**<br>**(Net**<br>**exposure)** |
| 1. | Financial assets measured at amortised cost | 3581474 | 1711557 | 1869917 | 16100 | 89127874 | 471851 | 88656023 | 90525940 |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  | 2166283 | 2540 | 2163743 | 2163743 |
| 3. | Financial assets designated at fair value |  |  |  |  | X | X |  |  |
| 4. | Other financial assets mandatorily measured at fair value | 12375 | 6745 | 5630 | 2 | X | X | 190399 | 196029 |
| 5. | Financial asset held for sale | 84716 | 62034 | 22682 | - | 227095 | 558 | 226537 | 249219 |
| **Total 31 12 2024** | **Total 31 12 2024** | **3678565** | **1780336** | **1898229** | **16102** | **91521252** | **474949** | **91236702** | **93134931** |
| **Total 31 12 2023** | **Total 31 12 2023** | **3507882** | **1730455** | **1777427** | **29260** | **91511024** | **488631** | **91201594** | **92979021** |

---

\*\*Value to be presented for disclosure purposes

At the reporting date, the Group has 44 positions relating to creditors who have applied for an arrangement of creditors (19 in 2023) for a net exposure of approximately EUR 17.4 mln (EUR 27.1 mln as at 31 December 2023).

As at 31 December 2024, the Group holds impaired financial assets acquired for a nominal value of EUR 19.0 mln, classified in the portfolio "Financial assets measured at amortised cost" at the price of EUR 0.7 mln.

The following table provides evidence of the credit quality referring to credit exposures classified in the portfolio of financial assets held for trading (securities and derivatives) and hedging derivatives (not shown in the previous table):

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | **Low quality assets** | **Low quality assets** | **Other assets** |
| **Portfolio/quality** | **Portfolio/quality** | **Cumulative losses** | **Net exposure** | **Net exposure** |
| 1 | Financial assets held for trading | 57561 | 546 | 5940142 |
| 2 | Hedging derivatives | - | - | 94215 |
| **Total 31 12 2024** | **Total 31 12 2024** | **57561** | **546** | **6034357** |
| **Total 31 12 2023** | **Total 31 12 2023** | **58511** | **332** | **6398891** |

---

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B. Information on structured entities (other than securitisation vehicles)

B.1 Consolidated structured entities

As at 31 December 2024, there are no structured entities consolidated in the accounts, other than the securitisation companies, falling within the scope of the MPS Group.

B.2 Structured entities not consolidated for accounting purposes

*B.2.1. Prudentially consolidated structured entities*

As at 31 December 2024, there are no prudentially consolidated structured entities, other than the securitisation companies, falling within the scope of the MPS Group.

B.2.2 Other structured entities

Qualitative Information

For disclosures pursuant to IFRS 12 please refer to the comments provided under the table below.

*Quantitative Information*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Accounting portfolio: Assets** | **Accounting portfolio: Assets** | **Accounting portfolio: Assets** | | **Accounting<br> portfolio:<br> Liabilities** | | | | |
| <br>**Balance sheet<br> item/Type of<br> structured entity** | **Held for <br> trading** | **Financial assets <br> measured <br> at fair value <br> through profit<br> and loss** | **Financial assets<br> measured <br> at fair value <br> through other<br> comprehensive<br> income** |<br>**Total assets <br> (A)** | **Held for<br> trading** |<br>**Total<br> liabilities <br> (B)** |<br>**Net book<br> value<br> (C=A-B)** |<br>**Maximum<br> exposure to<br> loss (D)** |<br>**Difference<br> between<br> exposure<br> to loss and<br> book value<br> (E=D-C)** |
| 1. Special Purpose vehicles |  |  |  |  |  |  |  |  |  |
| 2. UCITS | 718337 | 258984 | 25770 | 1003092 | 435110 | 435110 | 567982 | 582432 | 14450 |
| **Total** | **718337** | **258984** | **25770** | **1003092** | **435110** | **435110** | **567982** | **582432** | **14450** |

---

**UCITS**

The aggregate includes, in the column 'Financial assets held for trading':

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 27.7 mln (EUR 97.9 mln as at 31 December 2023) relating to the interests
held by the Group in units of Bond Funds and Exchange Traded Funds that invest in shares, bonds and derivatives. These units are purchased
for the hedging of risks associated with the issue of structured bonds and funds placed through the network by the Parent Company or for
repurchase on the secondary market of the structured funds that had been originally structured;

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 690.6 mln (EUR 819.0 mln as at 31 December 2023) relating to financial
derivative exposures with a positive fair value to Anima Funds for EUR 325.6 mln - an Irish-registered fund managed by Anima Asset Management
- and to Anima Patrimonio - an Italian-registered fund managed by Anima SGR - and to the internal funds of AXA MPS Financial Limited
- managed by AXA Investment Managers - for EUR 346.9 mln and EUR 203.8 mln, respectively. The internal funds of MPS AXA Financial Limited
are the funds to which the benefits of the unit-linked policies placed with the Group's customers under the names "AXA MPS
Valore Dividendo" and "AXA MPS Rendimento Plus" are linked.

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The column "Financial assets measured at fair value through profit or loss" includes:

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 32.4 mln (EUR 53.2 mln as at 31 December 2023) relating to interests
held by the Parent Company in private equity funds, whose purpose is to increase the value of the respective equity through mainly medium
to long-term investments chiefly in the purchase and/or subscription of shares, units and securities in general representing the equity
of target enterprises, exclusively in the best interest of the investors;

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 4.7 mln (EUR 4.3 mln as at 31 December 2023) relating to the closed-end
Italian direct lending fund Anima Alternative A, reserved for professional investors that invest primarily in debt instruments and for
and a non-controlling interest in minority shareholdings;

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 124.3 mln (EUR 116.3 mln as at 31 December 2023) relating to units held
in multi-segment closed-end Italian alternative investment fund (Idea CCR I and II, Back2Bonis, Efesto, Clessidra). These funds aim to
contribute to the re-launch of medium-sized Italian companies in financial difficulty;

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 8.5 mln (EUR 8.2 mln as at 31 December 2023) relating to units held
in a closed-end private contribution real estate fund for qualified investors (Athens RE Fund B). The fund, managed by Unipol Sai Investimenti
SGR, holds prestigious tourism complexes located in Tuscany and Sicily.

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 88.0 mln related to the interests held in Fondo Immobiliare Democrito
- a reserved real estate fund aimed at collective capital investment transactions in real estate, real estate rights and participations
in real estate companies - and in Fondo Etrusco - a real estate fund reserved for institutional investors, whose portfolio is based on
sale and lease back transactions of commercial real estate.

&nbsp;&nbsp;&nbsp;&nbsp;· EUR 0.02 mln (EUR 0.02 mln as at 31 December 2023) consisting of interests
held in hedge funds, particularly side pockets and funds under liquidation.

The column "Financial assets measured at amortised cost" includes loans granted to the counterparty Athens RE Fund B of EUR 25.8 mln (EUR 27.3 mln as at 31 December 2023).

The "Financial liabilities held for trading" column includes EUR 435.1 mln (EUR 258.5 mln as at 31 December 2023) relating to the negative fair value of financial and credit derivatives to Anima Funds for EUR 154.4 mln and to the securities funds Anima Patrimonio and MPS AXA Financial Limited's internal funds amounting respectively to EUR 9.9 mln and EUR 270.9 mln.

The entities in question finance themselves by issuing units.

The maximum exposure to the risk of loss was determined to be equal to book value for exposures to units of UCITS other than the financial and credit derivatives for which reference is made to positive fair value plus the add-on (calculated also taking into account positions with a negative fair value). For UCITS, the maximum risk exposure also includes the Group's commitments not yet called up by the funds, to subscribe additional units.

Further involvement by the Group in structured entities is the placement of investment fund shares with its customers. In 2024, this activity resulted in net revenues of about EUR 420.1m (EUR 315.3m as at 31 December 2023).

During the financial year under review, the Group did not provide and does not intend to provide financial or other support to the non-consolidated structured entities referred to above.

There are no sponsored non-consolidated entities for which the Group holds no interests at the reporting date.

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Section 2 - Risks of prudential consolidation

1.1 - Credit risk

Qualitative Information

1 General

Within the guidelines approved by the Parent Company's Board of Directors, and in line with the evolution of the supervisory regulatory framework, the Group pursues the primary objective of improving the quality of the loan book and consequently reducing the cost of credit.

The Group's credit activity is managed with a view to strong proactive behaviour in risk monitoring and enhancement of growth opportunities, through the development of credit policies and systems aimed at making the most of trend data in connection with individual debtors, against a background of in-depth knowledge and strategic management of positions.

During the year, the MPS Group continued its action of promptly contacting retail customers with a debt scoring indicative of a presumed financial difficulty in order to assess the sustainability of the financial plan and resort, where appropriate, to proposing changes to the credit framework or contractual conditions. As part of this initiative - in order to strengthen the monitoring process - the Group started a process of updating the income data of its customers.

With regard to corporate customers, it should be noted that 2024 was characterised by a slowdown in the economy due both to the waning of the inflationary impulse - which contributed positively to turnover and which showed the growing weakness in the demand for services and consumer goods - and to a geopolitical framework of great instability, which did not favour the propensity to consume and invest.

Against this backdrop, the Group strengthened the effectiveness of its early management controls to promptly mitigate credit risk, particularly in those segments most affected by the slowdown in production and profitability; The early warning system was also further refined, both through the application of a synthetic risk indicator and through the clustering by level of severity of the entire set of expected trigger events.

2 Credit risk management policies

2.1 Organisational aspects

As its distinctive mission, the Chief Lending Officer Department performs activities of credit risk taking and operational monitoring of credit quality, giving guidance and support to the network in credit activities, directly managing impaired loans, including financial restructuring transactions, and monitoring the impacts of various credit transactions on the cost of credit.

The aforementioned department is sub-divided, inter alia, into three functions specialised in the management of performing and non-performing loans. The Performing function, divided into Retail Lending and Corporate Lending, exercises decision-making autonomy consistent with credit policy objectives and prepares credit operation plans aimed at preserving the quality of exposures and promptly resolving anomalies in the relationship with debtor customers.

Within the Retail Lending chain there is a structure called "Credit Management and Proactive Retail", which exercises responsibility for the disbursement of credit and for monitoring the quality of the credit portfolio for the purpose of preventing deterioration events; in the Corporate Lending chain, the disbursement and prevention of anomalies are assigned to two separate functions, respectively called "Corporate Credit" and "Proactive Business Management". In addition, functions specialising in consumer credit and industrial management of small amounts operate within the Retail Lending chain; finally, two Guidance and Monitoring structures have been set up, both in Retail and Corporate chain, responsible for defining and implementing initiatives to improve the quality of the credit portfolio.

Mirroring the Retail and Corporate commercial Departments, the Regional Retail and Corporate Credit Departments, within the Chief lending Officer Department , which implement the guidelines received from their respective functions in the Head Office, exercising delegated powers in credit matters consistently with the credit strategies defined by the Parent Company.

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The NPL function, which is responsible for the management of non-performing loans, consists of five structures; Among these, Unlikely to pay, Restructuring and Workout exercise their assigned decision-making powers to manage exposures classified as probable Unlikely to pay and non-performing, both in the ordinary way, through the use of collection strategies, write-offs and balances on accounts, and in the extraordinary way, by supporting in the setting up and execution of block sale transactions; the other two functions are the NPE Guidance and Monitoring, responsible for operationally and strategically directing the deliberating functions in line with the Parent Company's credit policy objectives, and the Post Sale Portfolio Management in charge of managing relations with assignees, with particular reference to the analysis of claims received after asset disposal operations.

The Chief Lending Officer (CLO) also has two other functions reporting directly to him:

&nbsp;&nbsp;&nbsp;&nbsp;· The Credit Portfolio Governance, which is divided into
four offices, is responsible for monitoring the value of collateral and document management, for the governance of the liability cycle,
for the definition of credit strategies and standards, and, through the Credit Innovation function, the implementation of decision-making
systems for credit disbursement and monitoring by means of scoring, segmenting and algorithms;

&nbsp;&nbsp;&nbsp;&nbsp;· Credit Control, as the function responsible for supporting
the CLO in monitoring, supervision and management reporting activities, both in terms of key performance indicators (KPIs) and key risk
indicators (KRIs), as well as carrying out the relevant credit controls pursuant to Law 262 and in compliance with the provisions on the
definition of default.

2.2 Management, measurement and control systems

Banca Monte dei Paschi di Siena, in its capacity as Parent Company, has defined the standards of conduct that must be adopted in order to ensure the balanced assumption and management of credit risk; to this end, it quantifies and monitors credit quality so that it is always consistent with the set out objectives.

The main metrics used to pursue these guidelines are: the Probability of Default (PD) which expresses the probability that the customer will default over a given period of time, typically one year; the Loss given default (LGD) which expresses the expected loss in the event of insolvency - taking into account the effect of the guarantees that mitigate the assumption of risk related to the credit line - the size of the exposure in the event of default (EAD) and the duration of the exposure (maturity).

Since 2008, the Supervisory Authority has authorised the Group to use advanced internal rating systems to determine capital requirements for credit risk. In particular, the Group is currently authorised to use, for the business portfolio and retail exposures, the internal estimates of the PD, LGD and EAD on Banca MPS and Widiba.

These internal models, as well as for reporting purposes, are used in various management processes for the Group's operating purposes.

All credit processes use the borrower rating as a decision-making driver, and they are defined based on the specific nature of various customer segments in order to optimise the use of resources employed in loan management/monitoring and to achieve the right balance between the push for sales and an effective loan management system.

In particular, as regards the credit process related to the granting of credit, this is differentiated according to the type of customer and transaction requested and provides for the possibility of performing the rating process for each counterparty, not allowing the exercise of decision-making powers in the absence of a valid rating. The counterparty rating of the Group is the result of a process that assesses in a transparent, structured and homogeneous manner all economic, financial, performance and qualitative information relating to customers that generate credit risks. The official rating thus determined has ordinary validity until the twelfth subsequent month and must be revised by the end of that month. It is subject to a monitoring process that can anticipate its ongoing revision if significant changes in statistical PDs are identified, exceeding certain cut-offs.

In order to increase efficiency levels in managing internal ratings, the internal rating agencies operating in local areas have become the single point of reference for all units on rating issues. The role of the rating agencies allows for a closer interaction with the network to make assistance more effective, generate more synergies and enable a more efficient transfer of knowledge.

Credit quality is also part of a monthly monitoring process aimed at ensuring compliance with the thresholds established both in the Risk Appetite Framework (RAF) and in the Credit Policies in order to ensure consistency on an ongoing basis between the Group's actual risk profile and the risk appetite decided ex-ante by the Board of Directors.

The annual RAF is formalised in the "Risk Appetite Statement" (RAS) approved by the Board of Directors and based on a set of key risk indicators (KRI) defined at Group, legal entity and business unit level, including indicators aimed at monitoring the expected concentration levels on large exposures and related parties and which also make it possible to monitor the maximum level of exposure and therefore of RWA on individual counterparties.

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As part of the RAS, the risk management and measurement systems put in place by the Group allow continuous monitoring of the risk profile and periodic reporting to the Corporate Bodies, with the activation of appropriate escalation and remediation mechanisms in the event of breaches of the relevant thresholds.

Forecast sustainability, as regards credit risk, is ensured by the definition of concrete loan book actions which are communicated to the outlying networks through an internal regulatory document as well as by amending the credit disbursement and management processes and criteria.

Value adjustments to performing and non-performing exposures are determined using methodologies compliant with IFRS 9, as described in section "2.3 Methods to measure expected losses".

Also in the area of value adjustments, the Parent Company's Board of Directors, having received a favourable opinion from the Risk and Sustainability Committee, approves changes that are likely to have a 'significant' impact<sup>75</sup>, concerning: (i) the verification of the significant credit risk (SICR) for the allocation of credit portfolios to the various risk stages and (ii) the determination of the assumptions and data for the expected loss determination (ECL) models on a collective and analytical basis.

The above changes also include management overlays for the purpose of including ad hoc adjustments, not captured by current models, to better reflect uncertainties related to the macroeconomic environment in the valuation of loans. In this regard, the Group has adopted a process that involves a cross-functional working group on a quarterly basis which, having reviewed the salient variables of the most current macroeconomic scenarios available, defines the metrics of any overlays to be activated, which are subsequently subject to control by the Validation function. The results of the analyses carried out are brought to the attention of the Risk Management Committee which, subject to the opinion of the Validation Function, may approve the results.

Lastly, with regard to accounting and management credit risk, the Group has defined a macroeconomic regression model to estimate changes in PD/LGD/EAD as a function of key macroeconomic variables. Drivers that significantly explain variations in individual models are first identified and on the basis of the regression model, credit driver disturbances are then estimated according to the current and prospective economic situation. The shock caused by macroeconomic factors determines the change in the parameters of the credit portfolio, triggering for example the simulation of a hypothetical counterparty downgrading.

2.3 Methods to measure expected losses

The internal PD, LGD and EAD models for credit risk measurement are one of the main elements of assessment for all Group units involved in the credit industry, both at Head Office level (Risk Management, Credit, Chief Financial Officer, General Management, Risk Committee, Board of Directors) and at branch level (rating agencies and managers). As noted in the preceding paragraph, the Group is currently authorised to use the Advanced Internal Rating Based (AIRB) models to determine capital requirements against credit risk, according to PD, LGD and EAD parameters, on business portfolios and retail exposures of the Parent Company and, starting from the regulatory reporting of 31 December 2023, of Banca Widiba S.p.A.

The development of the internal rating systems involved the adoption of strict and advanced statistical methodologies in compliance with the requirements set out in the regulations; at the same time, models were selected in such a way as to make results consistent with the historical experience of the Group in credit management. Finally, in order to optimise the proper use of these new instruments, the rating models were shared with a top-down approach – from Risk Management down to individual client managers. Estimation of the LGD model was based on internal data relative to capital flows, recoveries and expenses actually incurred on positions transferred to the "default" portfolio. Results obtained from model application were then compared with data recorded by the Workout function which is dedicated to the management and recovery of non-performing loans.

75 Significant changes are those that, individually or as a whole, during a quarter, involve changes in expected losses exceeding a given absolute or relative threshold.

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The main characteristics of the advanced rating systems are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· for all validated regulatory portfolios, the rating is calculated with a
counterparty-based approach for each individual borrower, in line with the accepted management practice which provides for the assessment
of credit risk, both in the disbursement and monitoring phases;

&nbsp;&nbsp;&nbsp;&nbsp;· ratings are based upon a Group logic: each individual counterparty is assigned
a unique rating at Group level; while LGD is defined at the ratio level;

&nbsp;&nbsp;&nbsp;&nbsp;· the rating model segmentation is defined in such a way as to make the individual
model clusters consistent with commercial objectives, credit processes and regulatory portfolios set out in the regulations;

&nbsp;&nbsp;&nbsp;&nbsp;· the calculation of the final rating is differentiated by type of counterparty.
The credit process envisages a level of indepth analysis proportional to counterparty risk: the assessment of loan disbursements is based
on a complex multi-level structure for medium-large corporate counterparties, whose exposure and concentration risks are higher, and
a simplified structure for SMEs, Small Business and Retail clients;

&nbsp;&nbsp;&nbsp;&nbsp;· In line with this process, the final rating for medium-to-large corporate
companies, counterparties with a turnover of more than EUR 50 mln and a loan balance of more than EUR 2 mln, is determined as i) an integration
of several components: statistical rating, ii) qualitative rating, iii) override option and rating of the economic group to which they
belong;

&nbsp;&nbsp;&nbsp;&nbsp;· in the case of SMEs, small business and retail counterparties, on the other
hand, the rating is normally calculated on the basis of statistical factors alone (except in the case of reasoned requests for override,
so-called statistical rating modified to correct technical anomalies or for optional corporate override on substantiated requests);

&nbsp;&nbsp;&nbsp;&nbsp;· the rating has a 12-month internal validity period and is usually reviewed
on a yearly basis, except for rating reviews following well-structured codified practices or that are brought forward on client managers'
request or following serious counterparty deterioration; the Group adopts individual cluster scales that allow each entrusted or to be
entrusted, not in default, to be assigned a risk profile best suited to the characteristics of the segment in which it falls. These different
risk segments/models are linked to a single master scale for all types of exposures for management purposes, allowing all structures involved
in credit management an immediate comparison of the risk associated with different counterparties or portfolios; furthermore, the probabilities
of default of internal rating classes were mapped against Standard&Poor's external rating scale so as to make internal risk
measurements comparable to those available on the financial market;

&nbsp;&nbsp;&nbsp;&nbsp;· LGD reflects the economic (and not only the accounting) loss incurred; for
this reason, LGD estimates must also include the costs incurred for the recovery process and a time factor;

&nbsp;&nbsp;&nbsp;&nbsp;· Loss given default is differentiated by type of loans and an LGD value is
assigned at the level of each individual transaction; it is also differentiated by geographical area since historical and current recovery
rates are different among northern Italy, central and southern Italy and islands;

&nbsp;&nbsp;&nbsp;&nbsp;· the estimation of the loss rate on positions in a state of default other
than bad position was carried out according to the danger rate logic.

The development and monitoring of rating systems has been functionally assigned to the Risk Management function and is subject to control by the Internal Validation and Internal Control functions.

Below are the highlights of the AIRB models currently implemented (Model change 2021) in the context of regulatory PD, LGD and EAD models.

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<u>PD models:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· The segmentation of PD models is defined to identify parameters corresponding
to the different customer categories in the portfolio. For this purpose, specific thresholds were identified using statistical approaches
on some analytical risk drivers such as customer turnover and/or product type on the estimate perimeter;

&nbsp;&nbsp;&nbsp;&nbsp;· the model design includes certain stages (Risk differentiation-score model
estimate, Risk Quantification-calibration and introduction of the Margin of Conservatism (MoC));

&nbsp;&nbsp;&nbsp;&nbsp;· the Risk Quantification phase can be conducted in two ways: at calibration
segment level or at individual class level on the cluster scale. The choice of the best methodology of the two depends on the characteristics
of the analysis segment;

&nbsp;&nbsp;&nbsp;&nbsp;· definition of different cluster scales for each calibration segment to meet
all regulatory requirements;

&nbsp;&nbsp;&nbsp;&nbsp;· the long-term default rate on which the PD model calibration is defined
is based on the Likely range of variability;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· estimation of Appropriate Adjustment and MoC (pejorative factor), to address
weaknesses in terms of data and/or changes in internal processes that may have an impact on PD.

<u>LGD Model Before and After Classification as Bad Loan (jointly LGD) and EAD:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· the estimate sample includes all customers in default not classified as
Bad Loans until January 2020 for the models of LGD Before Classification as Bad Loans, and all Bad Loans until 31 December 2019 for the
model of LGD Bad Loan; for EAD, the estimation sample includes all customers in default until January 2020;

&nbsp;&nbsp;&nbsp;&nbsp;· to calculate LGD rates and EAD values appropriate to the different types
of customers in the portfolio, specific analysis axes were identified to sub-segment the estimate sample;

&nbsp;&nbsp;&nbsp;&nbsp;· the LGD and EAD estimate process was integrated with specific statistical
and econometric tests to guarantee more robust results;

&nbsp;&nbsp;&nbsp;&nbsp;· estimate of a downturn adjustment to include in the LGD and EAD a worsening
due to the occurrence of recessions;

&nbsp;&nbsp;&nbsp;&nbsp;· revision of the MoC estimate;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· new analyses of model performance (i.e. back testing) through specific statistical
tests that compare the LGD and EAD estimated values with the values actually observed;

&nbsp;&nbsp;&nbsp;&nbsp;· introduction for the LGD of a specific approach to manage Incomplete Workouts
(i.e. customers for which the collection process is still ongoing) and art. 500 CRR2 (i.e. securitised customers);

&nbsp;&nbsp;&nbsp;&nbsp;· cash
 flows (recoveries and costs) of LGD are discounted using the 3-month Euribor rate + a prudential
 spread equal to 5%;

&nbsp;&nbsp;&nbsp;&nbsp;· management of multiple defaults (i.e. default that reoccur within 9 months
from the end of the previous default) for the LGD Before Classification as Bad Loan;

&nbsp;&nbsp;&nbsp;&nbsp;· estimate of the expected loss for the exposures in default (LGD Expected
Loss Best Estimate);

&nbsp;&nbsp;&nbsp;&nbsp;· segregation of the interest portion and calculation of the loss on the principal
amount only (for LGD Before Classification as Bad Loan);

&nbsp;&nbsp;&nbsp;&nbsp;· for the LGD Bad Loan alone, a time factor (Maximum Recovery Period-MRP)
is estimated to identify those recovery processes for which, despite being still in progress, no further and significant recoveries are
expected.

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*2024 Model Change AIRB Models*

During 2023 and the first half of 2024, the revision of the AIRB models(Model change 2024 -MC24) was carried out, this included the resolution of the findings reported by the ECB on the AIRB models as a result of the Internal Model Investigation (IMI) activities in 2022 and 2023. The application for prior authorisation was sent to the Supervisory Authority in September 2024 for the PD and LGD models only. The EAD parameter, on the other hand, has been excluded because, although it has been estimated in compliance with the regulatory rules in force at the time and validated by the internal validation function, it presents certain aspects of deviation from Regulation (EU) 2024/1623 (so-called CRR 3, which came into force in January 2025) In detail a dialogue is underway with the Supervisory Authority to understand how to transpose, as part of the convergence to the new regulatory framework, the EBA Statement of 17 July 2024<sup>76</sup> which specifies the expected publication of further guidelines by the EBA - by 2026 - regarding the credit conversion factor (CCF).

As mentioned in the Report on operations to which we refer for more details, the on-site inspection (IMI-2024-ITMPS-0241024) by the ECB concerning the above-mentioned substantial change to the models started in December 2024. The salient features are highlighted below:

<u>PD models:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· recalibration of all models with the update of the calibration time series,
i.e. inclusion of the years from 2020 to 2022;

&nbsp;&nbsp;&nbsp;&nbsp;· refinement of the Likely range of variability (LRoV);

&nbsp;&nbsp;&nbsp;&nbsp;· Evaluation of the possible introduction of the Physical Risk (Climate and
Environment - C&E) component into the models by assessing the impact that the physical risk components may have in the determination
of the counterparty rating and consequently in the definition of the scoring model and the final PD. To this end, physical risk variables
- determined on the basis of physical risk variables available in the ISPRA, ISTAT and State Forestry Corps databases - were applied to
a sample of counterparties based on the retail and corporate segments falling within the statistical rating perimeter (companies with
a turnover of less than EUR 50 mln) in the rating models currently in production;

&nbsp;&nbsp;&nbsp;&nbsp;· revision of the qualitative questionnaire component for the corporate segments;

&nbsp;&nbsp;&nbsp;&nbsp;· revision of segment cluster scales; in continuity with the model currently
in production (MC21); individual cluster scales were built by rating segment, then linked into a master scale, the latter used only for
management purposes;

&nbsp;&nbsp;&nbsp;&nbsp;· updating of the various frameworks. In particular, the MOC framework, with
the revision and quantification of MOC C (general estimation error) defined by rating class.

<u>LGD Model Before and After Classification as Bad Loan and EAD:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· the estimate sample includes all customers in default not classified as
Bad Loans until January 2023 for the models of LGD Before Classification as Bad Loans, and all Bad Loans until 31 December 2022 for the
model of LGD Bad Loan; for EAD, the estimation sample includes all customers in default until January 2023;

&nbsp;&nbsp;&nbsp;&nbsp;· modification of the definition of the Maximum Recovery Period (MRP): refinement
of the process of identifying the MRP with the verification of additional risk drivers;

&nbsp;&nbsp;&nbsp;&nbsp;· refinement of the framework for estimating the Expected Loss Best Estimate;

&nbsp;&nbsp;&nbsp;&nbsp;· revision of the methodological approach for estimating EAD, in particular,
a switch from the variable window approach (cohorts) to the fixed window approach.

76 Statement on the application of CRR 3 in the area of credit risk for the Internal Ratings Based Approach

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Accounting models

For the determination of the expected losses required by IFRS 9, the Parent Company has adopted specific accounting models that have been developed starting from the regulatory models indicated above through a number of adjustments, including in particular:

&nbsp;&nbsp;&nbsp;&nbsp;· adoption of a Point in Time (PIT) PD, appropriately supplemented with forward-looking
information, against the Through the Cycle (TTC) PD used for regulatory purposes;

&nbsp;&nbsp;&nbsp;&nbsp;· the removal of some specific components of the regulatory provisions from
the LGD as detailed below;

&nbsp;&nbsp;&nbsp;&nbsp;· the use of multi-period PDs and LGD rates that adjust according to the temporal
dynamics of the model's drivers (such as loan-to-value) in order to determine the expected loss over the entire residual life of
the financial instrument (stage 2 and 3).

During 2024, the PD, LGD and EAD models were also re-estimated to follow the evolutions of the regulatory models developed for the purpose of the Model Change 2024, appropriately adjusted to reflect the *current conditions* of the business cycle in continuity with what was also done in the 2023 re-estimation. The re-estimation in question entailed higher adjustments for a total of EUR 35.5 mln, mainly attributable to the LGD and PD parameters, with stage 2 exposures remaining largely unchanged.

For additional details on the methods to determine expected losses under IFRS 9, definition of default and the methods used by the Group to classify financial assets among non-performing assets, see the paragraph "Methods for calculating impairment on IFRS 9 financial instruments" of Part A "Accounting policies", as well as the paragraph below "Non-performing loans" of these notes to the consolidated financial statements.

<u>PD IFRS 9</u>

The restatement resulted in lower net value adjustments totalling EUR 40.2 mln and concerned:

&nbsp;&nbsp;&nbsp;&nbsp;· the updating of the macroeconomic models used for the forward-looking estimation
of default probabilities through: i) lengthening the estimation period with the inclusion of the latest available data (Q1 2012 to Q2
2024) ii) maintaining the differentiation of retail customers' riskiness between fixed-rate and variable-rate mortgages and iii)
maintaining greater sectoral detail on corporate customers by using sectoral gross value added (GVA) (i.e. sector GDP); This update resulted
in lower provisions totalling EUR 8 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· the updating of default probability curves by: i) lengthening the time series
used by including the period January 2023-January 2024; ii) updating the PIT rating with the Model Change 2024 scores, adjusting the historical
series with default rates from 2004 to 2024; iii) adjusting the calibration of the PIT rating, in application, to the backtesting evidence
and finally (iv) updating the segmentation drivers. This measure led to higher provisions for a total of EUR 32.2 mln.

The estimation of the multi-period PD curves is characterised by a statistical analysis on the available drivers through a segmentation process of the estimation database, followed by a parametric modelling of the survival data. The database used for the estimation was obtained from the historical data of observed Group relationships for the period, which goes from January 2012 to January 2024. The segmentation process is based on the analysis of the survival curves, which consists in finding the rates of survival to the default event within the pre-set drivers, and the degree of separation between the survival curves for the modes of each driver is calculated through a statistical test (LogRank Test). Following the definition of the clusters through the segmentation process, we chose the type of survival models to be used for the construction of the cumulative PD curves and estimated them. The model in production therefore provides for the identification of specific curves differentiated by segment, product, rating class, seniority of the loan, geographical area of counterparty, and Ateco class.

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<u>LGD IFRS 9</u>

Compared to the regulatory model, specific elements have been removed in order to comply with accounting regulations and to achieve a more predictive LGD measure, including:

&nbsp;&nbsp;&nbsp;&nbsp;· elimination of downturn effects, i.e. the LGD estimates do not include negative
factors related to any recessionary periods observed in the Bank's history;

&nbsp;&nbsp;&nbsp;&nbsp;· any MoCs are not considered;

&nbsp;&nbsp;&nbsp;&nbsp;· indirect expenses, i.e. expenses that the Group incurs to manage the entire
collection process and not directly attributable to the individual customer (i.e. personnel costs, legal expenses, etc.), are not considered
for the purpose of determining the LGD;

&nbsp;&nbsp;&nbsp;&nbsp;· the final LGD is discounted at the effective interest rate (EIR) in order
to consider the time effect in the management of the collection process;

&nbsp;&nbsp;&nbsp;&nbsp;· in order to obtain a reactive LGD to possible future macroeconomic conditions,
a forward-looking factor is estimated starting from specific econometric analyses conducted on macroeconomic forecasting scenarios;

&nbsp;&nbsp;&nbsp;&nbsp;· inclusion of any type of guarantee linked to the customer in the portfolio;

&nbsp;&nbsp;&nbsp;&nbsp;· regarding unlikely to pay exposures and non-performing past-due loans, the
regulations require special precautions in the development of AIRB models, including the representation of the risk drivers selected for
the final grid over time. The aggregation of the Past Due (PD) and Unlikely To Pay (UTP) risk classes arises from the evidence observed
in recent years according to which UTP cases are currently much more present than historical averages, while PD cases are less relevant
and limited only to initial vintage. For accounting purposes, to capture the inherent riskiness between the different default states,
the separation between PD and UTP is maintained. For UTP counterparties, loss rates have been estimated considering only UTP customers.
Instead, given the lower significance of PD counterparties, which may make the process of estimating the contextual loss parameters less
robust, the estimation approach of using the sample composed of both PDs and UTPs was retained;

&nbsp;&nbsp;&nbsp;&nbsp;· treatment of massive disposals: the losses realised by "ordinary"
disposals over the last few years were included in the data-set of the LGD estimate, in place of the incomplete work-out treatment set
forth in the regulatory models. Therefore, the so-called "extraordinary" transactions, i.e. those relating to positions subject
to LGD Waiver (Valentine transaction and partially Morgana and Merlino) are excluded from the estimate.

The re-estimation of the LGD model carried out in 2024, following the regulatory models developed for the purposes of the 2024 Model Change, appropriately adjusted to reflect the current conditions of the economic cycle (point in time perspective). In detail, the re-estimation concerned:

&nbsp;&nbsp;&nbsp;&nbsp;· LGD Bad loans: some analyses were carried out to verify the possibility
of estimating a more predictive model than the regulatory version, over a very long time period, which in the new Model Change 24 version
reaches a range of 23 years (1999-2022). The analyses carried out led to a further reduction of the time series from 17 to 12 years (2012-2023)
compared to December 2023, as this time period is being considered, also with regard to the results of the back- testing, the one that
best makes it possible to appreciate the reduction in recovery rates due to higher disposals. In detail, the choice fulfils the combined
provisions of three purposes: (i) time series as "point-in-time" as possible, (ii) significant number of applications that
have completed the work-out process and (iii) quality of back-testing results.

&nbsp;&nbsp;&nbsp;&nbsp;· LGD Before Classification as Bad Loans: the time series used for the restatement
does not include the years 2009, 2010, 2011, in line with the regulatory models. The amendment was made to eliminate the impact in the
estimates of the short cycles of default observed in that period due to the application of the historical reconstruction of the new definition
of default, and supplemented with the new defaults observed up to January 2024.

The overall re-estimation of the LGD model resulted in higher provisions for a total of EUR 75.2 mln, of which EUR 30.9 mln relating to the Bad loans LGD and 44.3 mln to the LGD Before Classification as Bad Loans

Finally, the alignment of the accounting model with the regulatory model on the deductibility of interest following entry into default was confirmed. Consequently, the exposure on which the loss realised is calculated, where possible, is equal to only the principal portion.

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<u>EAD IFRS 9</u>

Also as part of Model Change 2024, the Group updated the IFRS 9 EAD model to include the last available year, from 2012-2022 to 2012-2023. The latter deviates from the regulatory model by the removal of the downturn component, any MoCs and the inclusion of expected forward looking trends.

*Measurement of significant increase in credit risk (SICR)*

As is well known, IFRS 9 requires that if there is Significant Increase in Credit Risk (SICR) - which involves the need to classify exposures to stage 2, it is necessary to assess the expected losses over the entire remaining life of the credit exposure. In the other cases (absence of significant increase in credit risk), the expected loss is calculated with reference to the time frame of 12 months (exposure included in the so-called stage 1).

In the approach adopted by the Group, the parameter that measures the change in credit risk and, therefore, any "significant" increase in risk, is the default risk, expressed by the changes in the lifetime probability of default over the entire residual life of the financial asset (hereafter, "Delta PD lifetime"), measured between the date of first recognition of the relationship, or tranche if a debt security, and the observation date, with respect to a threshold value, specific to each transaction, determined according to the relevant risk characteristics.

In addition to PD lifetime, the MPS Group takes four other elements into consideration when identifying the SICR: (i) days past due as an indicator of deterioration in the creditworthiness of the counterparty, which deterioration becomes presumptively 'significant' if the past due exceeds 30 days; (ii) the granting of forbearance measures; (iii) the presence of high risk elements recognised for positions belonging to the *Proactive Management* portfolio; iv) classification of retail and corporate customers with turnover below EUR 50 mln by the internal early warning system into the highest internal risk class.

The table below shows the percentage incidence of the different classification criteria described above: with respect to the gross exposure of loans classified as stage 2 as at 31 December 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Group** | **Group** | **Group** | **Group** |
| <br>**Classification criteria** | **% of criteria incidence on<br> GBV stage 2 credits** | **of which: Corporate** | **of which: retail** | **of which: other** |
| 30 days past due | 0.96% | 66.88% | 32.82% | 0.30% |
| Forborne | 9.34% | 65.31% | 30.30% | 4.39% |
| High Risk | 62.53% | 76.66% | 19.31% | 4.03% |
| EWS | 0.35% | 23.69% | 76.31% | 0.00% |
| Quantitative | 26.81% | 57.81% | 40.28% | 1.91% |

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With regard to debt securities, the Group has decided to i) use the "Low Credit Risk Exemption" whereby securities characterised by low credit risk, identified by a rating equal to "investment grade", are classified in stage 1 and only in the case of loss of the "investment grade" level are subject to a test relative to the significant deterioration of credit risk with respect to the initial date (ii) use the FIFO (First In-First Out) method, in order to compare, for each individual tranche of debt securities purchased, the original creditworthiness of the same with that assigned to it at the reporting date; (iii) use for the purposes of identifying the existence of a "significant increase" in credit risk a qualitative criterion that determines the stage 2 allocation of tranches belonging to counterparties in the high risk management portfolio.

With particular reference to the quantitative indicator, it should be noted that the lifetime PD is assigned to the individual relationships based on the segment, product, initial rating class and vintage, both at the date of first recognition and at the reporting date. The PDs used in the assessment of the SICR are the same as those used for the calculation of the ECL, which include the forecast of future macro-economic factors. The above-described relative change in lifetime PD represents the quantitative indicator of the change in credit risk over the reporting period from origination. In order to establish whether an increase is to be considered significant, and therefore if it would entail a different allocation in the stages, specific thresholds are defined:

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&nbsp;&nbsp;&nbsp;&nbsp;· if the relative change in lifetime PD observed on the position is lower
than the significance threshold, then the increase in credit risk is deemed not significant and the position is classified in stage 1
with assessment of the expected loss in the following 12 months;

&nbsp;&nbsp;&nbsp;&nbsp;· if the relative change in lifetime PD observed on the position is higher
than the significance threshold, then the increase in credit risk is considered significant and the position is classified in stage 2
with assessment of the expected loss over the entire residual life of the instrument.

This threshold value is determined using statistical models deriving from the analysis of the distribution of lifetime PD changes in the portfolio. The calibration of the threshold is defined at a level for which the significant increase in credit risk is set at least equal to the level of long-term non-performance of the portfolio, which is observed from the historical migration matrices of the ratings.

By way of example, the following table shows the maximum values of the transfer thresholds for the Group's main loan portfolios consisting of cash loans to customers belonging to the corporate and retail segments of Banca MPS and Widi-ba. It should be noted that the table shows an aggregation with respect to the drivers represented by the rating, at origina-tion, and by the vintage.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Segments** | **Products (\*)** | **Ateco** | **Area** | **Threshold (max)** |
| Large Corporate | All | Other than Real estate and construction | All | 76.02% |
| Large Corporate | All | Real estate and Constructions | All | 76.02% |
| Corporate | All | Other than Real estate and construction | All | 76.02% |
| Corporate | All | Real estate and Constructions | All | 76.02% |
| Multi-year real estate companies | Other | All | All | 10.76% |
| Multi-year real estate companies | Single leasing product or instalment product, or multiple products at the same time | All | All | 11.06% |
| SMEs | Other | All | All | 11.35% |
| SMEs | Single leasing product or instalment product, or multiple products at the | All | All | 21.79% |
|  | same time |  |  |  |
| Small Business | Other | All | All | 18.01% |
| Small Business | Single leasing product or instalment product, or multiple products at the | All | All | 20.17% |
|  | same time |  |  |  |
| Partnerships - Sole proprietorships | Other | All | All | 26.20% |
| Partnerships - Sole proprietorships | Single leasing product or instalment product, or multiple products at the same time | All | All | 27.28% |
| Small SMEs | Other | All | All | 4.44% |
| Small SMEs | Single leasing product or instalment product, or multiple products at the | All | All | 4.44% |
|  | same time |  |  |  |
| Retail mortgages | All | All | NORTH | 1.02% |
| Retail mortgages | All | All | CENTRE | 1.02% |
| Retail mortgages | All | All | SOUTH and ISLANDS | 1.02% |
| Retail no mortgages | Other | All | All | 1.52% |
| Retail no mortgages | Single leasing product or instalment product, or multiple products at the same time | All | All | 2.18% |

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It should also be noted, although insignificant in terms of impacts on the transition to stage 2, the mandatory classification in stage 2 in the event of an increase of more than 200% of the Lifetime PD. In fact, it should be noted that the thresholds indicated above are lower than the trigger of 200%.

The Group adopts a quantitative staging criterion to reduce the risk that periods of high uncertainty may lead to excessive staging volatility. The solution adopted was to stabilise the staging based on the quantitative criterion alone, identifying, according to the observations of the previous months, the optimal window of balances in the new stage so that the transition can be confirmed. The Group identified four continuous months (the current month plus the previous three months) as the optimal balance period for the validation of the stage.

On the other hand, the 'forbearance' trigger represents in any case a marginal share of the Stage 2 classification causes; it should be noted that the permanence in Stage 2 is anchored to the duration of the probation period, consequently the possible return to Stage 1 is subject to at least two years from the date of the grant and the absence, in the event of return to fully performing status, of additional qualitative-quantitative indicators of significant increase in credit risk.

Lastly, it should be noted that at the reporting date, the were no exposures classified in Stage 2 using a collective approach.

Measurements of expected losses

The methodology for estimating the ECL adopted for the purposes of the determination of value losses on credits in accordance with the IFRS 9 international standard is carried out, as previously indicated, at the level of individual transaction or security tranche, starting from AIRB modelling for the parameters of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), to which appropriate adjustments are made, in order to ensure compliance with the requirements of the standard.

In particular, the measurement of financial assets reflects the best estimate of the effects of future conditions, especially in relation to the economic context, on which the forward-looking PD and LGD are dependent. In the context of IFRS 9, also based on indications from international Regulators, importance is given in particular to information on future macroeconomic scenarios in which the Group may operate and clearly affects the situation of debtors in reference to both the "riskiness" that exposures migrate to lower quality classes (thus referring to "staging") as well as recoverable amounts (thus the calculation of expected loss on exposures). From a methodological perspective, in compliance with the provisions of IFRS 9, based on which the ECL estimate must result from the weighting of a range of possible forward-looking scenarios ("weighted probability"), the impairment model adopted by the Group provides for the use of a baseline scenario, i.e. the use of the scenario that is believed to be most likely, together with two alternative scenarios. The scenarios are processed internally by the Study and Research Function, also on the basis of forecasts contributed by a leading external supplier, they are approved by the Board of Directors and are also adopted in other processes of the Group that use forward looking elements such as the Risk Appetite Framework (RAF), Recovery Plan, budget, forecast, impairment tests of goodwill and equity investments. The scenarios differ in their degree of favour/adversity to economic development and growth, a detailed description of which can be found in Part A – Section "A. 2 - Part relating to the main items of the financial statements" and in particular in the paragraph "Macroeconomic scenarios of the Group for the valuation of loans in the 2024 financial statements", to which reference is made.

In December 2024, the Group approved a set of forecast macroeconomic scenarios for the 2025-2027 period developed internally, taking also as reference the forecasts developed by external providers in October 2024. These scenarios were used as part of the ordinary annual planning process and the calculation of value adjustments of performing and non-performing loans as at 31 December 2024.

As at 31 December 2024, for the purposes of estimating the ECL, as was the case at 31 December 2023, the Group has adopted the symmetrical treatment for both the SICR and the ECL calculation, using a baseline scenario, an improving and a pejorative one, weighted on the basis of the reference percentiles.

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Following is information on the main macroeconomic and financial indicators used in the "baseline" and "severe but plau-sible-case" and "best-case" scenarios, referring to the three year period 2025-2027, the estimate of which was developed in October 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· the "baseline" scenario appears to be a modest growth scenario
characterised by an expansion of Italy's GDP of 0.79% in 2025, 0.71% in 2026 and 0.45% in 2027, a slightly decreasing unemployment
rate from 6.97% in 2025 to 6.48% in 2027 and decreasing short-term and increasing long-term interest rates;

&nbsp;&nbsp;&nbsp;&nbsp;· the 'severe but plausible' scenario is characterised by a stagnation
of Italy's GDP in 2025 (+0.09%) and a modest growth in 2026-2027 of 0.41% and 0.30% respectively, at the same time slightly increasing
unemployment rates of 7.27% in 2025 and 7.46% in 2027 are expected. The expected trend of short-term interest rates is decreasing, while
that of long-term interest rates is increasing;

&nbsp;&nbsp;&nbsp;&nbsp;· the "best" scenario is characterised by sustained growth in
Italy's GDP, especially in the first two years, an expected decreasing unemployment rate, from 6.72% in 2025 to 5.16% in 2027, an
expected trend in rates of slightly decreasing short-term interest and increasing long-term interest rates.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Scenario** | **Year** | **GDP** | **Unemployment<br> rate** | **Consumer<br> Price Index** | **Interbank rate<br> interest 3M** | **Eurirs 10Y** | **Interest rate<br> on Btp's <br> 10-years** | **short-term<br> interest rate on<br> loans<br> to families<br> and companies** |
|  | **2025** | 0.79% | 6.97% | 1.87% | 2.45% | 2.43% | 3.28% | 4.44% |
| **Baseline** | **2026** | 0.71% | 6.76% | 2.01% | 2.24% | 2.62% | 3.48% | 4.04% |
| **2024 Financial Statement** | **2027** | 0.45% | 6.48% | 2.04% | 2.25% | 2.99% | 3.76% | 3.81% |
|  | **AVG** | 0.65% | 6.74% | 1.97% | 2.31% | 2.68% | 3.51% | 4.10% |
|  | **2025** | 0.09% | 7.27% | 2.31% | 2.67% | 2.37% | 3.56% | 4.61% |
| **Severe but plausible** | **2026** | 0.41% | 7.43% | 2.12% | 2.31% | 2.53% | 3.81% | 4.14% |
| **2024 Financial Statement** | **2027** | 0.30% | 7.46% | 1.99% | 2.25% | 2.89% | 4.08% | 3.85% |
|  | **AVG** | 0.27% | 7.39% | 2.14% | 2.41% | 2.60% | 3.82% | 4.20% |
|  | **2025** | 1.50% | 6.72% | 1.19% | 2.28% | 2.65% | 3.29% | 4.29% |
| **Best** | **2026** | 1.34% | 6.00% | 1.84% | 2.25% | 2.85% | 3.41% | 4.02% |
| **2024 Financial Statement** | **2027** | 0.82% | 5.16% | 2.05% | 2.25% | 3.22% | 3.67% | 3.79% |
|  | **AVG** | 1.22% | 5.96% | 1.70% | 2.26% | 2.91% | 3.46% | 4.03% |

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The most relevant macroeconomic variable for the purposes of determining the ECL is GDP and, therefore, it is the representative variable that drives all the others: the average value over the three-year period 2025-2027 is 0.65%, 0.27% and 1.22% in the baseline, severe but plausible and best case scenarios, respectively.

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*Inclusion of government guarantees*

The acquisition of these guarantees, also in consideration of what was declared by ESMA, does not impact the calculation of the SICR of credit exposures, as the latter is not connected to the guarantees, but to the creditworthiness that remains that specific to the counterparty, observing however for the purpose of measuring the expected loss to the extent that the guarantees are not subject to separate recognition in the Financial Statements and are considered an integral part of the contractual conditions governing the loans.

The calculation of the impairment of exposures backed by a state guarantee, is made through the application of an LGD parameter that took into account the mitigations attributable to the government, introduced and expanded with the "Cura Italia" and "Liquidità" decrees, and in line with ESMA and EBA guidelines. In detail, Expected Credit Losses were calculated using an LGD defined according to the probability of default (0.30%) and the recovery risk associated with the country Italy.

Lastly, it should be noted that in 2024, in light of the latest available evidence, the discount time used to estimate the expected loss on exposures with a state guarantee was prudentially raised from 12 to 18 months, equal to the average recovery time of the guarantees in the event of the counterparty becoming a non-performing party. Overall, the aforementioned updates resulted in higher adjustments of Eur 13.3 mln.

*Management overlay*

With reference to the methodologies for estimating impairment losses on performing credit exposures, it is possible that in certain circumstances there may be a need to make adjustments to the valuations, related to particularly complex and volatile macroeconomic contexts, with respect to the outcomes of the modelling adopted. This may arise as a result of new events or risks of an unexpected nature that were not observed in the time series underlying the preparation of the models and cannot be reliably projected for the purposes of the forward-looking component required by IFRS 9.

These aggravations were applied by the Group with the emergence of the COVID 19 pandemic from the financial year 2020 and in subsequent financial years maintained, albeit with different dimensions, in connection with the Russian-Ukrainian conflict, the subsequent consequences on energy and commodity prices and the resulting inflation and monetary policy growth scenario.

Also with reference to the 2024 Financial Statements, as the geopolitical context and macroeconomic forecasts present strong elements of uncertainty and volatility, the Group has maintained the application of these aggravations. As at 31 December 2024, overlays resulted in higher value adjustments totalling EUR 69.2 mln, up by approximately EUR 15.2 mln compared to EUR 54 mln as at 31 December 2023. In detail, the stem from:

&nbsp;&nbsp;&nbsp;&nbsp;1. C&E scenarios - the Group confirmed the inclusion of climate-environmental factors
in its credit risk estimates by integrating the macroeconomic indicators observed in the NGFS "Net Zero 2050" scenario updated
in November 2024 into the baseline scenario adopted by the Group. The latter, characterised by a proactive behaviour of the economic system
with respect to the energy transition, would entail a global economic contraction due to the huge costs incurred to achieve the goals
of reducing emissions and combating climate change. The application of these adjustments to the baseline scenario in December 2024 resulted
in higher adjustment provisions totalling EUR 23.4 mln (EUR 38.1 mln as at 31 December 2023);

&nbsp;&nbsp;&nbsp;&nbsp;2. Variable-rate *retail* mortgages classified as *stage* 2 - the default rates
observed in 2024 on variable-rate mortgages confirmed the signs of criticality already seen in 2023. This led to the confirmation for
the financial year 2024 of the correction applied to these types of exposure determined through a sensitivity analysis carried out on
the instalment-income ratio in a stress scenario in which further increases in rates lead to a doubling of the instalment and a consequent
worsening of the customer's instalment-income ratio. The application of this correction, in December 2024, resulted in higher adjustment
provisions of EUR 25.2 mln (EUR 11.8 mln);

&nbsp;&nbsp;&nbsp;&nbsp;3. Back-testing analysis - starting in the first half of 2024, the Group carried out
back-testing on the expected loss on single models, by comparing LGD rates estimated on a historical basis with the loss rates actually
observed on positions closed in the period 2021-2023. The comparison between the ECLs thus determined highlighted at overall level the
conservative nature of both statistical and analytical provisions. However, the analysis showed for some clusters of the statistical LGD
the effective rates slightly higher than those estimated, the higher adjustments of EUR 20.6 mln as at 31 December 2024 were recognised
in the Income Statement.

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The above-mentioned increase compared to last year is mainly related to (i) the introduction of the correction related to the backtesting and (ii) the higher provisions recognised as a result of the correction on variable-rate retail mortgages, which takes into account the impact of interest rate trends during 2024. These effects are partially mitigated by (i) the removal of the correction on the *'severe but plausible*' scenario (EUR 2.7 mln at 31 December 2023) previously used to capture the risk of expected deterioration in the real estate market and now factored into the models with the *'severe but plausible'* scenario update in production and (ii) the re-estimation of the C&E overlay as a result of the 'Net Zero 2050' scenario update, which forecasts a lower global economic contraction compared to the scenario used for the 2023 valuations.

This without prejudice to the transitional nature of the aforementioned management overlays linked to the capacity of expected credit loss models to recognise emerging risks, in addition to the consideration that results deriving from models calculating expected losses are influenced by macroeconomic scenarios largely dependent on phenomena that are not fully consolidated and in any case still subject to extreme variability and uncertainty.

*Sensitivity analysis of expected losses*

In accordance with the provisions of paragraphs 1 and 125 of IAS 1, the notes to the financial statements must provide information on the main factors of uncertainty that characterise the Financial Statements estimates. Paragraph 129 below provides that this disclosure must be provided in such a way as to allow the reader of the Financial Statements a clear understanding of the elements of judgement used by the management and all related impacts. Among the examples mentioned to pursue this objective are sensitivity analyses, through which the reader is able to appreciate the impacts on the Financial Statements estimates resulting from alternative calculation models, reasonably foreseeable changes in the inputs and assumptions underlying the estimates.

The Financial Statement values whose estimation process is characterised by the presence of significant factors of uncertainty certainly include the adjustment provisions for performing credit exposures (ECL).

As shown in "Part A - Accounting Policies", the determination of expected credit losses involves significant elements of judgement, with particular reference to the model used to measure losses and the related risk parameters, to the triggers deemed to express significant credit deterioration and the selection of macroeconomic scenarios.

In particular, the inclusion of forward-looking factors is a particularly complex exercise, as it requires macroeconomic forecasts to be formulated, scenarios and associated probabilities of occurrence to be selected, and a model to be defined capable of expressing the relationship between the aforementioned macroeconomic factors and the default rates of the exposures subject to valuation, as explained in the previous paragraph.

In order to assess how forward looking factors may influence expected losses, it is considered reasonable to carry out a sensitivity analysis in the context of different scenarios based on forecasts consistent with the evolution of the various macroeconomic factors. The innumerable interrelations between the individual macroeconomic factors are such as to render a sensitivity analysis of expected losses based on the individual macroeconomic factor of little significance.

The table below highlights the sensitivity for the main credit portfolios of the Group consisting of cash loans to customers, belonging to the corporate and retail segments of the 2 banks (Banca MPS and Widiba), which represent almost all of the Group's total gross exposure, net of loans classified in the portfolio of non-current assets held for sale and disposal groups. The analysis shows, in line with the same approach adopted for 2023, the impact from each level of risk on gross exposures, on the adjustments and on the coverage ratio in the cases where a weight equal to 100% of the baseline, severe but plausible and best-case scenarios, respectively, is used instead of the scenario defined as weighted - i.e. based on weightings that the Group has attributed to each scenario<sup>77</sup> - used by the Group for estimating the stages of risk and value adjustments as at 31 December 2024.

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| | |
|:---|:---|
| 77 | The weighted scenario was determined using weightings of 26.3%, 52.6% and 21.1% for the Best, Baseline and Severe but plausible scenarios, respectively |

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The weighted scenario used for the accounting valuations as at 31 December 2024 is positioned, in terms of adversity, between the severe but plausible and best cases. In particular, for non-impaired exposures:

&nbsp;&nbsp;&nbsp;&nbsp;· the portfolio's sensitivity to the severe but plausible-case scenario
would see (i) a shift of counterparties to stage 2, whose gross exposure would increase by EUR 651.7 mln (+6.34%), with a consequent increase
in the 2024 ECL estimated at around 14.70% (around EUR 46.7 mln), and a higher average coverage of around 24 bps, (ii) a specular reduction
of counterparties in stage 1, whose exposure would decrease by EUR 651.7 mln (-1.03%), an increase in the ECL of around 1.4% (around EUR
1.4 mln) with an average coverage that would remain substantially unchanged;

&nbsp;&nbsp;&nbsp;&nbsp;· the sensitivity of the portfolio to the baseline scenario would see (i)
a decrease in counterparties in stage 2, whose exposure would decline slightly by about EUR 25.3 mln (-0.25%) with a consequent decrease
in the 2024 estimated ECL at around 0.72% (about EUR 2.3 mln) and an average coverage that would remain substantially unchanged (-1.0
bps), (ii) a modest increase in terms of both exposures of around EUR 25.3 mln (+0.04%) and a slight reduction in ECL of around EUR 0.3
mln (-0.27%) for stage 1 with an unchanged average coverage;

&nbsp;&nbsp;&nbsp;&nbsp;· Conversely, the sensitivity analysis of the portfolio to the best-case scenario
would see (i) a reduction in the stock of stage 2 positions equal to EUR 437.5 mln (a reduction of 4.25%) with a potential economic benefit
on the 2024 ECL of about EUR 40.5 mln (12.76%), and a consequent decrease in the coverage ratio of about 27 bps; (ii) a symmetrical increase
in stage 1 counterparties, whose exposure would grow by EUR 437.5 mln (+0.69%), a decrease in ECL of about 2.02% (about EUR 2.0 mln) with
average coverage essentially unchanged.

*ECL estimate – Stage 3*

With reference to the models used to determine expected losses on exposures classified as stage 3, i.e. non-performing exposures, please refer to the discussion in the section entitled "Methods for calculating impairment on IFRS 9 Financial Instruments" in Part "A.2 - Part relating to the main items of the financial statements".

As discussed in the paragraph "Use of estimates and assumptions when preparing Financial Statements'' in "Part A - Accounting Policies", the calculation of expected losses on non-performing loans involves significant elements of judgement, with particular reference to the estimate of flows deemed recoverable and the relative timing of recovery.

In further detail, as at 31 December 2024, expected losses on non-performing loans are determined analytically on the basis of recovery forecasts, either formulated by the manager or resulting from the application of statistical calculation methodologies, discounted on the basis of the original effective interest rates and the related recovery timeline.

The sensitivity analysis of the impairment losses on impaired exposures would see an increase of EUR 21.0 mln (+1.30%) and EUR 0.5 mln (+0.03%) respectively in the severe but plausible scenario and in the baseline scenario (+0.03%), and a decrease of EUR 27.4 mln (-1.69%) in the best-case scenario.

However, it is not possible to rule out that a deterioration in the credit situation of debtors, also as a consequence of the possible negative effects on the economy related to the international geopolitical situation, may result in the recognition of additional losses, even significant, compared to those considered at 31 December 2024 based on the conditions existing at the reporting date.

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Scenarios (Delta in EUR/Mln)** | **Scenarios (Delta in EUR/Mln)** | **Scenarios (Delta in EUR/Mln)** | **Scenarios (Delta in EUR/Mln)** |
|  | **Weighting** | **Severe but plausible** | **Baseline** | **Best** |
| **STAGE 1 Gross exposure** | **63172.0** | **(651.7)** | **25.3** | **437.5** |
| of which CORPORATE | 34964.6 | (615.8) | 18.2 | 392.9 |
| of which RETAIL | 28207.4 | (35.9) | 7.1 | 44.6 |
| **STAGE 1 Value Adjustments** | **100.1** | **1.4** | **(0.3)** | **(2.0)** |
| of which CORPORATE | 70.5 | (0.5) | (0.1) | (0.3) |
| of which RETAIL | 29.5 | 1.9 | (0.2) | (1.8) |
| **STAGE 1 coverage ratio (%)** | **0.16%** | **0.00%** | **0.00%** | **0.00%** |
| of which CORPORATE | 0.20% | 0.00% | 0.00% | 0.00% |
| of which RETAIL | 0.10% | 0.01% | 0.00% | -0.01% |
| **STAGE 2 Gross exposure** | **10283.1** | **651.7** | **(25.3)** | **(437.5)** |
| of which CORPORATE | 7962.1 | 615.8 | (18.2) | (392.9) |
| of which RETAIL | 2321.0 | 35.9 | (7.1) | (44.6) |
| **STAGE 2 Value Adjustments** | **317.5** | **46.7** | **(2.3)** | **(40.5)** |
| of which CORPORATE | 262.1 | 41.2 | (1.7) | (35.1) |
| of which RETAIL | 55.5 | 5.5 | (0.6) | (5.4) |
| **STAGE 2 coverage ratio (%)** | **3.09%** | **0.24%** | **-0.01%** | **-0.27%** |
| of which CORPORATE | 3.29% | 0.24% | -0.01% | -0.29% |
| of which RETAIL | 2.39% | 0.20% | -0.02% | -0.19% |
| **STAGE 3 Gross exposure** | **3506.4** | **-** | **-** | **-** |
| of which CORPORATE | 2662.8 |  |  |  |
| of which RETAIL | 843.6 |  |  |  |
| **STAGE 3 Value Adjustments** | **1620.0** | **21.0** | **0.5** | **(27.4)** |
| of which CORPORATE | 1338.4 | 10.2 | 0.3 | (13.5) |
| of which RETAIL | 281.6 | 10.8 | 0.2 | (14.0) |
| **STAGE 3 coverage ratio (%)** | **46.20%** | **0.60%** | **0.01%** | **-0.78%** |
| of which CORPORATE | 50.26% | 0.38% | 0.01% | -0.51% |
| of which RETAIL | 33.38% | 1.28% | 0.02% | -1.66% |
| **TOTAL Value Adjustments** | **2037.5** | **69.1** | **(2.1)** | **(70.0)** |
| of which CORPORATE | 1670.9 | 50.9 | (1.4) | (48.8) |
| of which RETAIL | 366.6 | 18.2 | (0.7) | (21.2) |

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2.4 Credit risk mitigation techniques

Mitigation techniques are an important tool to reduce or transfer part of the credit risk associated with the exposure portfolio. In line with its low risk appetite, which characterises its operations, the Group pursues the mitigation of credit risk through the acquisition of guarantees, collateral or unsecured, and certain contracts that determine a reduction in credit risk.

With regard to collateral guarantees, the cash and security pledge deposited with the Parent Company and the mortgages on real estate represent essentially the entire nominal amount of the collateral guarantees acquired and all of them ensure compliance with the regulatory/legal/organisational requirements of the Supervisory Provisions for the application of credit risk mitigation rules. The Group has developed one single process for the acquisition of collaterals which is at the same time a working instrument and the expression of the Group's management policies. The management of collaterals is activated after loan disbursement is approved and its process is organised into a number of different stages:

&nbsp;&nbsp;&nbsp;&nbsp;· acquisition
 (including multiple acquisition): the controls of (formal and amount) consistency with the
 guarantees proposed during the authorisation phase are performed in this stage;

· adjustment/change/amendment:
 useful to amend the characteristics of a guarantee without interrupting loan protection;

&nbsp;&nbsp;&nbsp;&nbsp;· query: gives information about the present data and the historical trend of guarantees received;

&nbsp;&nbsp;&nbsp;&nbsp;· repayment/cancellation.

If the measures for monitoring collaterals on loans show operational irregularities during the acquisition phase or any inadequacies/losses of the values received as collateral, events falling within the scope of credit monitoring policies are put in place, which trigger operational obligations of credit risk assessment.

In particular, mortgage collateral is mainly acquired in the retail segment and, to a lesser extent, in the corporate segment.

Mortgage guarantees are managed through an IT platform integrated within the Parent Company's systems which is used to automatically transfer information about the property acquired from appraisers directly to those systems. The platform automatically updates all of the Parent Company's loan management applications and digitally archives the appraiser's documentation. It is also capable of standardising the set of information provided.

The appraisers are chosen on the basis of an individual verification of their skills, professionalism and experience and are included in a special list of accredited professionals; their work is also constantly monitored by means of a specific control of deviations between surveyed values and market benchmark data; In addition, for exposures above certain thresholds, a second-opinion valuation entrusted to a highly reputable agency specialised in real estate services is envisaged. The appraisers must prepare their estimates according to valuation methods consistent with the Guidelines for banks on non-performing loans (NPLs).

For the phase of monitoring the assets pledged, the Group has a policy establishing the amounts of the secured exposure and the age of the appraisal, beyond which the properties are appraised again. For exposures lower than the thresholds defined, the Group in any event conducts half-yearly monitoring of the property value based on market data.

In addition, in order to ensure the eligibility of guarantees within the Credit Risk Mitigation process, a specific function within the Credit function activates re-assessment processes in cases where the materiality thresholds are exceeded, processes that are consistent with the policy guidelines, with particular reference to the criteria of age of the appraisal, exposure values, loan to value, and deviations from geo-referenced valuations.

The disbursement of loans secured by collaterals is subject to specific control measures, differentiated by type of guarantee pledged, which are applied during the phase of disbursement and monitoring.

The general requirements for ensuring the legal certainty and enforceability of guarantees are verified by checking compliance with the following relevant conditions:

&nbsp;&nbsp;&nbsp;&nbsp;· binding nature of the legal obligation entered into by the parties and enforceability
in the event of legal proceedings;

&nbsp;&nbsp;&nbsp;&nbsp;· documented evidence and enforceability of the instrument against third parties
in all relevant jurisdictions for the purpose of its exercise and execution;

&nbsp;&nbsp;&nbsp;&nbsp;· timely liquidation in case of non-fulfilment;

&nbsp;&nbsp;&nbsp;&nbsp;· compliance with organisational requirements.

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With reference to compliance with organisational requirements, mitigation of risk is ensured by:

&nbsp;&nbsp;&nbsp;&nbsp;· the presence of an IT system in support of the life
cycle phases of the guarantees (acquisition, valuation, management, re-valuation and enforcement);

&nbsp;&nbsp;&nbsp;&nbsp;· the existence of regulated policies for the management of guarantees (principles,
practices, processes), available to all users.

Another important risk mitigation tool that complies with prudential regulations on Credit Risk Mitigation is represented by personal guarantees issued by Government Organisations such as Sace, Fondo Centrale, Ismea and Consap, which, also thanks to the adoption of the Temporary Framework on Government Aid aimed at managing the impacts on the economy and the stability of the financial system generated first by the Covid-19 pandemic emergency and then by the Russian-Ukrainian conflict, represent a significant share compared to the Group's total loans.

In addition, the Group uses other credit protection instruments that can be summarised in the following categories: (i) Guarantees (including omnibus guarantees and personal guarantees given by third parties); (ii) endorsement; (iii) guarantee policy; (iv) credit mandate; (v) strong/binding patronage letter; (vi) negotiable effects; (vii) performance bond agreement; (viii) debt delegation; (ix) expromission; (x) assumption of debt; (xi) personal collateral governed by foreign law; (xii) credit derivatives: credit default swaps; total return swaps; credit linked notes.

The main lenders are: (i) sovereign governments and central banks; (ii) public sector and local agencies; (iii) multilateral development banks; (iv) regulated intermediaries; (v) guarantee institutions (Confidi); (vi) companies and individuals.

Nearly all personal guarantees, net of government guarantees, are traceable to companies and individuals as guarantors. Only to a limited portion of these customers can an internal rating be assigned, since these guarantors are not borrowers of Group companies.

With reference to exposures with public guarantees, a task force was confirmed, in line with the previous year, dedicated i) to the process of enforcing guarantees, in particular those relating to letter "m" of Article 13, paragraph 1 of the Liquidity Decree, and ii) to the specific monitoring of the deadlines within which the fulfilment of the obligations resulting from the reporting of risk events and the activation of state and consortium guarantees must be completed.

Also with regard to public guarantees, the comprehensive assessment, initiated during 2023, on the completeness of the documentation relating to the guarantees acquired during the pandemic emergency by Covid-19 was concluded in June 2024, at the end of which, for credit lines with persistent anomalies, the guarantee was excluded for the purposes of both the Group's RWA and ECL calculation; from the fourth quarter 2024, a second wave of documentary checks was launched on a further portion of the remaining portfolio with the same purpose as the first initiative.

The presence of collateral or personal guarantees is reflected, as mentioned above, in the quantification of Expected Credit Losses (ECLs) of the Financial Statements. With regard to collective assessments, the main 'transmission' channel is LGD, one of the input parameters used for the assessments: for this purpose, each exposure is divided into tranches, determined according to the different types of collateral backing the exposure, and a specific LGD is calculated for each tranche.

With regard to analytical valuations, the presence and updating of the value of collateral is directly reflected in the case of a gone concern valuation approach, applied, beyond certain thresholds, to all bad loans as well as on unlikely to pay exposures where a going-concern scenario is excluded or where the partiality and lack of reliability of the company's business plans do not allow for a plausible estimate of the company's ability to honouring the debt through the cash flows generated by the business activity (going-concern method). In the gone concern approach, specific haircuts are applied, calculated within time series of the Group which contain the results of foreclosure proceedings and factor in real estate market development scenarios.

As regards the mitigation of counterparty risk for OTC (unregulated) derivatives and SFT (Securities Financing Transactions or security lending and repurchase agreements), the Group uses bilateral netting agreements that allow, in the event of counterparty default, the offsetting of credit and debit positions. This is done through the signing of framework agreements referring to the international standards published respectively by International Swap Derivatives Association (ISDA Master Agreement), International Securities Lending Association (GMSLA) and International Capital Market Association (GMRA), which also allow, in compliance with supervisory regulations, the reduction of regulatory capital absorption. These master agreements also regulate the exchange of collateral (or margins) to secure the exposure arising from the relevant transactions. Through these collateralisation agreements (concerning both the exchange of variation margins and initial margins), the Group fulfils its margining obligations under EMIR regulations, in reference to OTC derivatives.

In addition, the Group has collateral agreements in place, mainly with daily margin setting, to hedge its transactions in OTC derivatives (Credit Support Annex), also due to the obligation to margin set derivatives that cannot be centrally offset, as required by EMIR regulations; for SFTs, the Group has daily margining agreements (GMRA - Global Master Repurchase Agreements and GMSLA - Global Master Securities Lending Agreements).

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Finally, as at 31 December 2024, there are two synthetic securitisation transactions finalised by the Group in July 2021 with a view to optimising capital absorption, called "Siena 2021-RegCap-1" and "Siena 2021". - RegCap - Specialised Lending". For details of the transactions, please see Section C. Securitisation Transactions in this chapter.

Significant risk transfer (SRT) to investors was achieved for afore-mentioned transactions through the acquisition by a third-party investor of a financial guarantee in the form of a term deposit pledge.

3. Non-performing loans

3.1 Management strategies and policies

The classification of non-performing exposures into the different risk categories (e.g. bad loans, unlikely to pay exposures and non-performing past due loans; collectively, non-performing exposures), is carried out in accordance with EBA regulations, supplemented by internal provisions that establish criteria and automatic rules for the transfer of loans within the different risk categories. In particular, classification is carried out by bodies within the loan decision-making chain based on a process that provides for a series of codified controls aiming to guarantee proper asset classification, except for loans more than 90 days past due and/or overdrawn, which are measured using automated procedures. To activate the controls, default detection parameters have been integrated within the Group's business procedures (Credit Monitoring) so as to subject the most critical positions to assessment, including for any reclassification if required.

The Group has procedural mechanisms in place for the automatic default classification of counterparties with overdrawn forborne unlikely to pay exposure on which the binding classification parameter always applies; In addition, an automatic classification as a probable default is envisaged for exposures backed by government guarantees and affected by the initiation of the overrun risk event exceeding 90 days, in order to make the guarantee activation process and the start of the subsequent enforcement process even more timely, since almost all of the aforementioned guarantees are of the 'first demand' type; During the financial year 2024, the use of the unitary procedure for crisis management by a company was also provided for, as a further parameter for automatic classification as default, since it was found that this event is, in most cases, prodromal to the activation of protective precautionary measures and/or mechanisms of composition or liquidation, including bankruptcy-type resolutions.

On the corporate customer front, on the other hand, specific rules were defined to regulate assessments of prospective debt sustainability for companies affected by certain default detection parameters mainly related to balance sheet data; In detail, it became mandatory to perform a specific impairment test on the business plan in order to assess the requirements for maintaining a performing status or for moving to stage 3.

The Group's procedures also manage the phases for transfer to non-performing categories, in particular forborne positions. A "forborne exposure" (as defined in Bank of Italy Circular 272) is a debt agreement for which measures of tolerance have been applied (otherwise identifiable as "forbearance measures"). The measures of tolerance consist of concessions - in terms of the amendment and/or refinancing of the pre-existing debt agreement - to the debtor who has or is on the verge of having difficulty in meeting its financial commitments (in other words, the debtor is in financial difficulty).

In the context of the processes of granting forbearance measures for retail customers, the correct determination of residual income, i.e. the actual disposable income, used to assess the repayment capacity of the post-granted debt, is relevant in the decision-making framework. Only in the case of positive residual income is the sustainability of the amortisation plan assessed by verifying compliance with tolerance thresholds determined on the basis of specific indicators such as loans service to income and debt service to income.

Positions are classified into the various categories of non-performing assets at the proposal of the regional network responsible for the commercial relationship as well as peripheral and central specialised functions responsible for loan control and management. For non-performing past due loans, classification as non-performing takes place via automatic procedures if specific objective conditions of default have been satisfied. This refers, for instance, to loans that are continuously past due and/or in arrears above certain thresholds and for certain periods and to performing positions subject to forbearance measures (forborne performing positions from forborne non-performing positions) for which the so-called 'probation period' of 24 months has not yet been exceeded, if they meet the requirements provided for by the reference regulations for reallocation among impaired loans through the verification of objective parameters and in particular, for relationships already subject to forborne tagging, the so-called reiteration (i.e. the granting of a further forbearance measure) and/or the presence of continuous overdrafts in excess of 30 days above certain absolute thresholds) and transactions subject to onerous restructuring with a loss greater than 1%.

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Non-performing exposures, governed by the Supervisory Authority as well as by specific internal regulations, are returned to performing status at the initiative of the above-mentioned structures responsible for loan control and management, after it is Unlikely to pay that the critical conditions and state of insolvency no longer apply. Impaired past due and/or in arrears exposures and probable defaults, which are not subject to forbearance measures, must continue to be classified as such until at least three months have elapsed since they no longer meet the conditions to be classified as such. During this probation period, the conduct of the counterparty must be assessed in light of its financial situation (in particular, by verifying the absence of overruns above the materiality thresholds). For counterparties classified as likely to default forborne, the application of the so-called "cure period" of at least 12 months prevails, at the end of which the position may be reclassified as performing, provided that there are no overdrafts on the part of the debtor and the debtor has paid a significant amount of principal and interest and that, more generally, the criteria for the return to performing status of counterparties are met. With regard to non-performing past-due loans, the "cure" applies automatically once the exposure has been repaid and after the elapse of an observation period of 90 days during which the credit relationship must not be affected by risk events such as further overdrawn situations or the occurrence of default detection parameters.

As regards assessment, bad loans and unlikely to pay exposures with a gross exposure exceeding a given threshold value (EUR 1 mln) are valued analytically. For all remaining non-performing exposures, the valuation is carried out statistically on the basis of parameters determined by Risk Management.

The evaluation is carried out at the time of their classification, when significant events take place, such as the shift of the counterparty towards another decision-making chain and, in any event, reviewed periodically. In particular, the loan valuation is subject to review any time knowledge is gained of significant events that could change prospects for recovery. For such events to be promptly taken into consideration, all debtor and guarantor information is periodically monitored.

The NPE Strategy envisages for 2025, in line with the objectives of the new 2025-28 Plan, i) a strengthening of the levers for the proactive management of the portfolio with state guarantees, in order to accelerate the collection time during enforcement and ii) the timely application of forbearance measures, both on performing and non-performing customers, in order to benefit from the continuity of repayment plans, thus limiting the recourse to balances and write-offs or, as a last resort, to judicial enforcement proceedings for the forced recovery of the amounts due.

In order to comply with the objectives of the Gross NPE Ratio plan, the 2025 non-performing strategies also envisage the activation of competitive processes for the disposal on the market of various clusters of non-performing credit portfolios, selected after in-depth analyses on the transferability characteristics of the various counterparties and with a particular focus on the Commercial Real Estates sector.

The "cure" objectives set out in the 2025 Credit Strategies were set through the identification of the portion of the NPE portfolio with the expiring "cure period", in order to subject it to systematic monitoring to ensure compliance with a return to performing requirements, such as the timely processing of parameters that would stop the observation period.

3.3 Write-offs

With regard to non-performing loans, the Group resorts to the write-off/cancellation - in whole or in part - of uncollectable accounting items and consequently allocates to losses the residual amount not yet adjusted in the following cases:

· as a result of a voluntary waiver, when one freely assesses the financial
standing of a debtor and decides to write-off part of the exposure to that debtor due to a verified uncollectability, or

· when it is deemed that the gross value is no longer recoverable in whole
or in part: such an assessment does not imply the waiver of the debt nor does it affect recovery actions but it is an acknowledgement
that at least part of the debt is not recoverable.

The assumptions underlying an unrealistic assessment of recoverability, in relation to which it is considered appropriate to abandon interruption of the limitation period, occur when the composition, bankruptcy, enforcement and even inheritance procedures have come to an end, together with the absence of co-obligors or guarantors to be enforced, as well as in cases of documentary verification of impossible and/or infeasible recovery from debtors/guarantors and, lastly, upon conclusion of out-of-court settlements.

The control process aimed at identifying the lack of realistic recovery prospects focuses on the counterparties with a given coverage level as well as a certain vintage. In detail, the Group has decided to carry out total/partial write-offs, at least for bad loans with seniority (understood as a period of permanence in the status of "non-performance" of more than three years) and an impairment level of more than 95%, where there are no reasonable expectations of further collections.

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At the reporting date, the total exposures subject to write-offs relating to counterparties for which enforcement procedures (insolvency and/or executive) are still in progress is approximately EUR 37 mln, In total, write-offs of about EUR 106.0 mln were made during the year.

3.4 Purchased or originated impaired financial assets

The purchased or originated financial assets (POCI) include financial instruments, acquired or originated, which were already credit impaired at their initial recognition, that is, they showed some signs of impairment in credit quality.

The accounting rules relating to POCIs apply to financial instruments measured at amortised cost or at fair value through other comprehensive income; that is, SPPI-compliant financial instruments in the HTC and HTC&S business models. For further details on the accounting treatment of this type of financial asset, refer to the paragraph "Purchased or originated credit-impaired financial assets" (POCI)" in the Notes to the Financial Statements - Part A - "Accounting policies".

The Group includes the following cases as POCI financial assets:

1. substantial changes to the loans (other than those that result in failure of the SPPI
test), agreed with non-performing customers, to which derecognition accounting is applied, in accordance with accounting policy;

2. new credit facility to a non-performing counterparty;

3. acquisition of a portfolio of non-performing loans as part of business combinations;

4. purchase of individual financial instruments.

In particular, the first two refer to "Originated credit-impaired financial assets (OCI)" and the others to "Purchased credit-impaired financial assets (PCI)".

Originated credit-impaired financial assets are identified as part of the lending procedure. Specifically, the PEF application of the credit function was appropriately supplemented with some specific credit limits: their selection and the co-presence of an impaired status of the counterparty, determines the occurrence of the "OCI" flag of the individual credit line. This reporting is passed on to summary systems for the necessary measurements, both for amortised cost as well as impairment.

For purchased non-performing loans, the event is processed by the respective business functions and reported through appropriate reporting systems to management.

At the reporting date of these consolidated financial statements, the POCI portfolio of the Group was fully classified under financial assets at amortised cost, amounting to a gross book value of approximately EUR 2.9 mln (EUR 4.8 mln as at 31 December 2023), of which EUR 1.6 mln represented by repurchases of positions already transferred to bad loans (PCI), while EUR 1.3 mln represented contractual changes which, although substantial, did not affect the original characteristics of the credit relationship (OCI).

4. Financial assets subject to commercial renegotiations and exposures subject to forbearance

Financial assets subject to commercial renegotiations

This category includes renegotiations of credit exposures - by changing the original contractual conditions - granted by the Group for commercial reasons to performing customers, with the objective of maintaining the relationship with the customer. The changes in question are divided into the two categories set out below, depending on the purposes and effects of the amended contracts agreed between the parties:

1. transactions that entail a change in the original payment schedule (re-scheduling), to the benefit of
the debtor;

2. transactions that do not entail a change in the original payment schedule and that
seek to adjust the debt burden to market conditions. These transactions result in a change in the original contract conditions, usually
at the customer's request, that reference aspects associated with the debt burden.

Requests to reschedule the loan entail, in any event, the assessment of whether the customer is experiencing financial difficulties - in line with the preliminary review process for the loan - which is carried out based on predominantly objective assumptions to avoid errors in assigning the forborne classification and is also governed from a subjective/qualitative perspective by specific Group guidelines.

With regard to the measures to revise the terms and conditions on land and mortgage loans for private individuals, however, the assessment of financial distress is envisaged through the initiation of a PEF investigation process in the event that a reasonable business opportunity does not exist or in the event of active default detection parameters or other operational events of a credit nature.

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BANCA MONTE DEI PASCHI DI SIENA

The Group's processes do not envisage massive initiatives aimed at renegotiation, but specific evaluation approaches for the requests received, always managing the latter with a view to retention. This phenomenon is primarily attributable to the residential mortgages sector, using qualitative/quantitative metrics (based both on the risk-adjusted profitability and the market benchmark, or the level of pricing expressed by the banking system), appropriately associated with commercial valuations, such as the expected benefits deriving from maintaining or achieving the reference status with the individual customer.

Forborne exposures

Forbearance measures are activated, both on the retail as well as corporate segment, when a financial criticality emerges that may impact the counterparty's capacity to satisfy their financial commitments in relation to debt repayment.

It is decisive, in order to identify the sustainable concession measure, to verify the impact of the financial distress on the debt: the concession measure is only implemented if the aforementioned impacts are nevertheless assessed as surmountable through the use of the concession measure itself.

The degree of financial difficulty in which the customer finds themselves (serious or not) must be identified in order to determine the measure (suspension of payments or mere rescheduling of debt) and to allow the measure to be credibly aimed at solving the customer's difficulty.

To reach this objective in the corporate world, an analysis of historic data is not sufficient. Forecast and medium to long-term strategy information on the company must also be obtained; at the individual level, it is essential to assess the instalment/income ratio, the employment situation and the future commitments of the household.

The relationship managers use a special simulation tool in order to define the measure or set of measures that make it possible to obtain a new sustainable repayment plan for the customer, in consideration of parameters such as the residual duration of the loan, the age of the debtor, the type of rate.

More generally, the use of the forbearance measure follows a tailor-made logic in order to reformulate the plan in a way that is sustainable in terms of debt repayment, favouring as much as possible contractual modification options that commit the customers to making payments already in the short term, as opposed to altogether debt moratorium measures.

To this end, the Group has developed a specific product portfolio that provides for legal acts of recognition, rescheduling and amortisation of debt, both for retail and corporate customers, differentiating the offer according to the type of secured/unsecured loans being measured, the duration of rescheduling and the Loan-to-Value of mortgage loans. These products also envisage that the rate used in forbearance does not exceed the original contractual rate.

The 2024 trend in the stock of gross forborne performing exposures (probation period) shows a reduction in the portfolio in question of about EUR 131.9 mln mainly due to the decrease in the repayment rate among fully performing exposures equal to about 21% (43% as of 31 December 2023). This trend is in part due to the high repayment rate recorded in the previous year, which led to a reduction in the vintage of the portfolio of loans classified as forborne performing such that the exposures classified in the current year in the fully performing portfolio following the exceeding of the minimum threshold of 24 months (probation period) were considerably reduced.

The stock of gross non-performing forborne exposures remained virtually unchanged at about EUR 1,239.4 mln (EUR 1,201.0 mln as at 31 December 2023) characterised by a cure rate and recovery rate of about 11% and 19% respectively, in line with the previous year.

The amount of gross outstanding credit exposures to customers (non-performing and performing) subject to concessions is set out in Table A.1.7-bis below, in the Quantitative Information - A. Credit Quality section, to which reference should be made for further details. With regard to the impact, in the process of assessing the SICR and measuring expected losses, please refer to Section 2.3 "Methods for measuring expected losses" of the previous Section.

With specific reference to impairment, note that all forborne exposures other than non-performing are classified in stage 2 and are valued, similarly to the exposures in stage 3, for an amount equal to the expected losses throughout the life of the loan. Any decrease in credit risk and the resulting classification in stage 1 and measurement of impairment for an amount equal to expected credit losses in the subsequent 12 months, is linked, in the absence of further indicators of significant increases in the risk of credit, to the return to the fully performing status of the exposure or to the loss of the forborne classification.

526

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Quantitative Information

A. Credit quality

A.1 Non-performing and performing loans: amounts, value adjustments, changes, trend and breakdown by business sector

A.1.1 Prudential consolidation - Breakdown of financial assets by past due ranges (book values)

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Stage 1** | **Stage 1** | **Stage 1** | **Stage 2** | **Stage 2** | **Stage 2** | **Stage 3** | **Stage 3** | **Stage 3** | **Purchased or originated<br> credit impaired** | **Purchased or originated<br> credit impaired** | **Purchased or originated<br> credit impaired** |
| **Portfolio/staging** | **Portfolio/staging** | **Up to 30<br> days** | **from 30<br> to 90 days** | **Over 90<br> days** | **Up to 30<br> days** | **from 30<br> to 90 days** | **Over 90<br> days** | **Up to 30<br> days** | **from 30<br> to 90 days** | **Over 90<br> days** | **Up to 30<br> days** | **from 30<br> to 90 days** | **Over 90<br> days** |
| 1. | Financial assets measured at amortised cost | 128572 |  |  | 140826 | 80912 | 21094 | 50813 | 121537 | 1022602 |  |  | 1283 |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  |  |  |  |  |  |  |  |  |
| 3. | Financial assets held for sale | - | - | - | 821 | 1686 | - | 921 | 826 | 20936 | - | - | - |
| **Total 31 12 2024** | **Total 31 12 2024** | **128572** | **-** | **-** | **141647** | **82598** | **21094** | **51734** | **122363** | **1043538** | **-** | **-** | **1283** |
| **Total 31 12 2023** | **Total 31 12 2023** | **90748** | **-** | **-** | **258538** | **94839** | **37374** | **79017** | **155097** | **896948** | **48** | **-** | **1339** |

---

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A.1.2 Prudential Consolidation - Financial assets, commitments to disburse funds and financial guarantees issued: changes in overall value adjustments and total allocations

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** |
|  | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** |
| **Sources/risk stages** | **Lonas to<br> banks and<br> Central<br> banks** | **Fiancial<br> assets<br> measured<br> at<br> amortised<br> cost** | **Financial<br> assets<br> measured at<br> fair value<br> through other<br> comprehensive<br> income** | **Financial<br> assets<br> held for<br> sale and<br> disposal<br> group** | of which:<br> specific<br> writedowns | of which:<br> collective<br> writedows | **Fiancial<br> assets<br> measured<br> at<br> amortised<br> cost** | **Lonas to<br> banks and<br> Central<br> banks** | **Financial<br> assets<br> measured at<br> fair value<br> through other<br> comprehensive<br> income** | **Financial<br> assets<br> held for<br> sale and<br> disposal<br> group** | of which:<br> specific<br> writedowns | of which:<br> collective<br> writedows |
| **Overall value adjustments, opening balance** | **88** | **113581** | **1899** | **-** |  | 115569 | **-** | **372888** | **261** | **-** |  | 373149 |
| Increase in purchased or originated financial assets |  | 15756 | 46 |  |  | 15802 |  | 16347 |  |  |  | 16347 |
| Derecognition different from write-off | (3) | (7471) | (229) |  |  | (7703) |  | (17185) |  |  |  | (17185) |
| Net losses (recoveries) on impairment | 26 | (65938) | (506) |  |  | (66419) |  | 28321 | 1253 |  |  | 29574 |
| Modification gains/losses |  |  |  |  |  |  |  | (106) |  |  |  | (106) |
| Change in evaluation methodology |  |  |  |  |  |  |  |  |  |  |  |  |
| Write-off |  | (1) |  |  |  | (1) |  | (58) |  |  |  | (58) |
| Others | (11) | 62219 |  | 241 |  | 62449 |  | (46503) | (183) | 329 |  | (46358) |
| **Overall value adjustments, closing balance** | **100** | **118146** | **1210** | **241** |  | 119697 | **-** | **353704** | **1331** | **329** |  | 355363 |
| Recoveries from collections of financial assets subject to write-off |  |  |  |  |  |  |  |  |  |  |  |  |
| Write-off recognised through income statements |  | (8) |  |  |  | (8) |  | (966) |  |  |  | (966) |

---

528

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Total provision on commitments** | **Total provision on commitments** | **Total provision on commitments** | **Total provision on commitments** | |
|  | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Purchased or originated credit<br> impaired financial assets** | **Purchased or originated credit<br> impaired financial assets** | **Purchased or originated credit<br> impaired financial assets** | **Purchased or originated credit<br> impaired financial assets** | **Purchased or originated credit<br> impaired financial assets** | **to disburs funds and financial <br> guarantees issued** | **to disburs funds and financial <br> guarantees issued** | **to disburs funds and financial <br> guarantees issued** | **to disburs funds and financial <br> guarantees issued** | |
| **Sources/risk<br> stages** | **Fiancial<br> assets<br> measured<br> at<br> amortised<br> cost** | **Financial<br> assets<br> held for<br> sale and<br> disposal<br> group** | **Financial<br> assets<br> measured at<br> fair value<br> through other<br> comprehensive<br> income** | **Financial<br> assets<br> held for<br> sale and<br> disposal<br> group** | *of which:<br> specific<br> writedowns* | *of which:<br> collective<br> writedows* | **Fiancial<br> assets<br> measured<br> at<br> amortised<br> cost** | **Financial<br> assets<br> measured at<br> fair value<br> through other<br> comprehensive<br> income** | **Financial<br> assets<br> held for<br> sale and<br> disposal<br> group** | *of which:<br> specific<br> writedowns* | *of which:<br> collective<br> writedows* | **Stage 1** | **Stage 2** | **Stage 3** | **Commitment<br> to disburse<br> fund and<br> financial<br> guarantees<br> issued** | **Total** |
| **Overall value adjustments, opening balance** | **199** | **1703070** | **-** | **-** | 759550 | 943720 | **2061** | **-** | **-** | 1467 | 593 | **17294** | **16225** | **113349** | **7406** | **2348321** |
| Increase in purchased or originated financial assets |  | 486 |  |  | 486 |  | X | X | X | *X* | *X* | 1324 | 5354 | 3080 |  | 42393 |
| Derecognition different from write-off |  | (340768) |  |  | (90858) | (249910) | (1432) |  |  | (1432) |  | (1076) | (866) | (17274) |  | (386304) |
| Net losses (recoverise) on impairment | 39 | 514637 |  |  | 233804 | 280872 | 135 |  |  |  | 135 | (10896) | 7177 | 8087 | 676 | 483011 |
| Modification gains/losses |  | (1056) |  |  | (196) | (860) |  |  |  |  |  |  |  |  |  | (1162) |
| Change in evaluation methodology |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Write-off |  | (85305) |  |  | (52794) | (32511) |  |  |  |  |  |  |  |  |  | (85364) |
| Others |  | (80269) |  | 62034 | (16008) | (2228) |  |  |  | (35) | 34 | 5742 | (6965) | 999 |  | (2367) |
| **Overall value adjustments, closing balance** | **238** | **1710795** | **-** | **62034** | 833984 | 939083 | **764** | **-** | **-** |  | 762 | **12388** | **20925** | **108241** | **8082** | **2398528** |
| Recoveries from collections of financial assets subject to write-off |  | 3663 |  |  | 3663 |  |  |  |  |  |  |  |  |  |  | 3663 |
| Write-off recognised through income statements |  | (1104) |  |  | (1065) | (38) |  |  |  |  |  |  |  |  |  | (2078) |

---

During the 2024 financial year, total impairment provisions posted an overall increase, compared with 1 January 2024, of around EUR 50.2 mln, due almost entirely to value adjustments of financial assets carried at amortised cost. In particular, with reference to this accounting portfolio, the following elements contributed to this trend in the line:

for "Derecognition different from write-offs" a reduction in provisions for a total of EUR 366.9 mln, mainly attributable to the deconsolidation of the non-performing positions included in the "Bricks" transaction and certain single-name disposals;

for "Write-offs not recognised directly in the income statement", a reduction in provisions for non-performing loans for a total of EUR 85.4 mln, referring in their entirety to Stage 3 positions. Note that the derecognitions not covered by provisions have generated an income statement impact of EUR 1.1 mln;

for "Net losses (recoveries) on impairment", a net increase in provisions of EUR 477.0 mln, of which EUR 514.6 mln referred to stage 3. The main factors that affected this latter performance include inter alia the other adjustments related to the disposal of non-performing loans carried out during the year, to management overlays and to the update of the IFRS 9 PD and LGD models. In this regard, reference is made for further details to paragraph "2.3 Methods to measure expected losses" Part E of the Notes to the consolidated financial statements.

"Other changes" the overall reduction in provisions of EUR 64.5 mln is attributable for EUR 62.0 mln to the reclassification of the provisions of the subsidiary MPS Banque - recognised as discontinued operations pursuant to IFRS 5 - from the amortised cost portfolio to the portfolio of financial assets held for sale.

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A.1.3 Prudential Consolidation - Financial assets, commitments to disburse funds and financial guarantees issued: transfers among the different stages of credit risk (gross and nominal values)

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** |
| | | **Transfers between<br> Stage 1 and Stage 2** | **Transfers between<br> Stage 1 and Stage 2** | **Transfers between<br> Stage 2 and Stage 3** | **Transfers between<br> Stage 2 and Stage 3** | **Transfers between<br> Stage 1 and Stage 3** | **Transfers between<br> Stage 1 and Stage 3** |
| **Portfolio/Staging** | **Portfolio/Staging** | **From Stage 1<br> to Stage 2** | **From Stage 2<br> to Stage 1** | **From Stage 2<br> to Stage 3** | **From Stage 3<br> to Stage 2** | **From Stage 1<br> to Stage 3** | **From Stage 3<br> to Stage 1** |
| 1. | Financial assets measured at amortised cost | 5778478 | 2765411 | 760812 | 161171 | 452266 | 5689 |
| 2. | Financial assets measured at fair value through other comprehensive income |  | 11309 |  |  |  |  |
| 3. | Financial assets held for sale |  |  |  |  |  |  |
| 4. | Commitments to disburse funds and financial guarantees issued | 2301793 | 785837 | 159844 | 4852 | 37484 | 7237 |
| **Total 31 12 2024** | **Total 31 12 2024** | **8080271** | **3562557** | **920656** | **166023** | **489750** | **12926** |
| **Total 31 12 2023** | **Total 31 12 2023** | **5752111** | **4943103** | **690566** | **193714** | **456948** | **15016** |

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530

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.1.4 Prudential consolidation – Balance sheet and off-balance sheet credit exposure to banks: gross and net values

31 12 2024

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposures** | **Gross exposures** | **Gross exposures** | **Gross exposures** | **Gross exposures** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | | |
| <br>**Portfolio/quality** | **Total gross<br> exposure** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired** | **Total<br> impairment<br> (losses) and<br> total<br> provisions** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired** | <br>**Net<br> Exposure** | <br>**Total<br> Partial<br> Write-off\*** |
| **A. Balance-sheet exposure** |  |  |  |  |  |  |  |  |  |  |  |  |
| **A.1 On Demand** | **13275229** | **13274872** | **-** | **357** | **-** | **(349)** | **(111)** | **-** | **(238)** | **-** | **13274880** |  |
| a) Non-Perfoming | 357 | X |  | 357 |  | (238) | X |  | (238) |  | 119 |  |
| b) Performing | 13274872 | 13274872 |  | X |  | (111) | (111) |  | X |  | 13274761 |  |
| **A.2 Others** | **3798773** | **3589247** | **-** | **14420** | **-** | **(7123)** | **(736)** | **-** | **(6387)** | **-** | **3791650** |  |
| a) Bad loans |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne |  | *X* |  |  |  |  | *X* |  |  |  |  |  |
| b) Unlikely to pay | 14420 | X |  | 14420 |  | (6387) | X |  | (6387) |  | 8033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne |  | *X* |  |  |  |  | *X* |  |  |  |  |  |
| c) Past-due non performing exposures |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne |  | *X* |  |  |  |  | *X* |  |  |  |  |  |
| d) Past-due performing exposures |  |  |  | X |  |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne |  |  |  | *X* |  |  |  |  | *X* |  |  |  |
| e) Other assets not impaired | 3784353 | 3589247 |  | X |  | (736) | (736) |  | X |  | 3783617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne | - | - | - | *X* | - | - | - | - | *X* | - | - | - |
| **Total A** | **17074002** | **16864119** | **-** | **14777** | **-** | **(7472)** | **(847)** | **-** | **(6625)** | **-** | **17066530** | **-** |
| **B. Off-balance-sheet** |  |  |  |  |  |  |  |  |  |  |  |  |
| **exposure** |  |  |  |  |  |  |  |  |  |  |  |  |
| a) Performing | 13510 | X |  | 13510 |  |  | X |  |  |  | 13510 |  |
| b) Non performing | 2638970 | 1792098 | - | X | - | (255) | (255) | - | X | - | 2638715 | - |
| **Total B** | **2652480** | **1792098** | **-** | **13510** | **-** | **(255)** | **(255)** | **-** | **-** | **-** | **2652225** | **-** |
| **Total (A+B)** | **19726482** | **18656217** | **-** | **28287** | **-** | **(7727)** | **(1102)** | **-** | **(6625)** | **-** | **19718755** | **-** |

---

\* Value to be presented for disclosure purposes

At the reporting date for these financial statements, the table does not include purchased or originated impaired financial assets.

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A.1.5 Prudential consolidation – Balance sheet and off-balance sheet credit exposure to customers: gross and net values

31 12 2024

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposures** | **Gross exposures** | **Gross exposures** | **Gross exposures** | **Gross exposures** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | | |
| <br>**Portfolio/quality** | **Total gross<br> exposure** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired** | **Total<br> impairment<br> (losses) and<br> total<br> provisions** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired** | <br>**Net<br> Exposure** | <br>**Total<br> Partial<br> Write-off\*** |
| **A. Balance-sheet exposure** |  |  |  |  |  |  |  |  |  |  |  |  |
| a) Bad loans | 1323533 | X |  | 1318891 | 1659 | (878237) | X |  | (877431) | (706) | 445296 | 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne | 246418 | *X* |  | 246260 | 118 | (159891) | *X* |  | (159790) | (75) | 86527 | 173 |
| b) Unlikely to pay | 2241573 | X |  | 2231918 | 411 | (869738) | X |  | (863053) | (56) | 1371835 | 15231 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne | 988218 | *X* |  | 981812 | 411 | (341780) | *X* |  | (337360) | (56) | 646438 | 8264 |
| c) Past due non performing exposures | 99040 | X |  | 98892 |  | (25974) | X |  | (25958) |  | 73066 | 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne | 4803 | *X* |  | 4803 |  | (1173) | *X* |  | (1173) |  | 3630 |  |
| d) Past-due perfomring exposures | 389757 | 129122 | 260062 | X |  | (15148) | (468) | (14680) | X |  | 374609 | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne | 26217 |  | 26217 | *X* |  | (1287) |  | (1287) | *X* |  | 24930 |  |
| e) Other assets not impaired | 91166026 | 76523917 | 11018054 | X | 850 | (459066) | (118381) | (340683) | X | (2) | 90706960 | 3344 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which forborne | 1055771 | - | 1037713 | *X* | - | (67157) | - | (67157) | *X* | - | 988614 | 622 |
| **Total A** | **95219929** | **76653039** | **11278116** | **3649701** | **2920** | **(2248163)** | **(118849)** | **(355363)** | **(1766442)** | **(764)** | **92971766** | **19503** |
| **B. Off-balance-sheet exposure** |  |  |  |  |  |  |  |  |  |  |  |  |
| a) performing | 617715 | X |  | 609018 | 8696 | (116324) | X |  | (108242) | (8082) | 501391 |  |
| b) Non performing | 43018800 | 37429568 | 1279515 | X | 245 | (41149) | (12133) | (20927) | X | - | 42977651 | - |
| **Total B** | **43636515** | **37429568** | **1279515** | **609018** | **8941** | **(157473)** | **(12133)** | **(20927)** | **(108242)** | **(8082)** | **43479042** | **-** |
| **Total (A+B)** | **138856444** | **114082607** | **12557631** | **4258719** | **11861** | **(2405636)** | **(130982)** | **(376290)** | **(1874684)** | **(8846)** | **136450808** | **19503** |

---

\* Value to be presented for disclosure purposes

Please see the Report on Operations for quantification of and reporting on capital ratios for hedging of lending relationships.

For detailed information on originated impaired financial assets, reference should be made to paragraph 3.3 "Purchased or originated impaired financial assets", section 1 "Credit risk - Qualitative information" in these Notes to the financial statements.

As at 31 December 2024, the Group held acquired impaired loans with a nominal value of EUR 16.1 mln; The loans were classified in the portfolio "Financial assets measured at amortised cost" at the purchase price of EUR 0.7 mln, appropriately adjusted in order to align the net book value to the initial recognition fair value.

532

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.1.6 Prudential consolidation – Balance sheet credit exposure to banks: changes in gross non-performing loans

---

| | | | |
|:---|:---|:---|:---|
| <br>**Source/Categories** |<br>**Bad loans** |<br>**Unlikely**<br>**to pay** | 31 12 2024<br>**Non-performing**<br>**Past due** |
| **A. Gross exposure, opening balance** |  | **1177** |  |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |
| **B. Increases** |  | **13608** |  |
| &nbsp;&nbsp;&nbsp;B.1 Transfers from performing loans |  | 13608 |  |
| &nbsp;&nbsp;&nbsp;B.2 Transfers from purchased or originated credit impaired financial assets |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Transfers from other non performing loans |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Modification gains/losses |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Other increases |  |  |  |
| **C. Decreases** |  | **8** |  |
| &nbsp;&nbsp;&nbsp;C.1 transfers to performing loans |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 write-offs |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 collections |  | 8 |  |
| &nbsp;&nbsp;&nbsp;C.4 amounts realised upon disposal of positions |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Losses from disposal |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 transfers to other categories of non performing exposure |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Modification gains/losses |  |  |  |
| &nbsp;&nbsp;&nbsp;C.8 other decreases |  |  |  |
| **D. Gross exposure, closing balance** |  | **14777** |  |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |

---

At the reporting date, there are no impaired financial assets purchased during the financial year through either business combination transactions or other types of acquisitions.

*A.1.6bis Prudential consolidation – Balance sheet credit exposure to banks: changes in gross forborne exposure broken down by credit quality*

This table was not completed as the Group did not hold forborne exposures to banks either in the current year or in the previous year.

533

BANCA MONTE DEI PASCHI DI SIENA

A.1.7 Prudential consolidation – Balance sheet credit exposure to customers: changes in gross non-performing loans

---

| | | | |
|:---|:---|:---|:---|
| <br>**Source/Categories** |<br>**Bad loans** |<br>**Unlikely to pay** | 31 12 2024<br>**Non-performing<br> Past due** |
| **A. Gross exposure, opening balance** | **1404772** | **1971181** | **131109** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |
| **B. Increases** | **491508** | **1355494** | **98139** |
| &nbsp;&nbsp;&nbsp;B.1 Transfers from performing loans | 85478 | 1147027 | 83228 |
| &nbsp;&nbsp;&nbsp;B.2 Transfers from purchased or originated credit impaired financial assets | 477 | 31 |  |
| &nbsp;&nbsp;&nbsp;B.3 Transfers from other non performing loans | 360516 | 58281 | 233 |
| &nbsp;&nbsp;&nbsp;B.4 Modification gains/losses |  | 163 |  |
| &nbsp;&nbsp;&nbsp;B.5 other increases | 45037 | 149992 | 14678 |
| **C. Decreases** | **572747** | **1085102** | **130208** |
| &nbsp;&nbsp;&nbsp;C.1 transfers to performing loans | 943 | 153437 | 25012 |
| &nbsp;&nbsp;&nbsp;C.2 write-offs | 48470 | 40445 | 189 |
| &nbsp;&nbsp;&nbsp;C.3 collections | 139542 | 486362 | 31475 |
| &nbsp;&nbsp;&nbsp;C.4 amounts realised upon disposal of positions | 82201 | 14507 |  |
| &nbsp;&nbsp;&nbsp;C.5 Losses from disposal | 1778 | 204 |  |
| &nbsp;&nbsp;&nbsp;C.6 transfers to other categories of non-performing exposure | 1097 | 346929 | 71004 |
| &nbsp;&nbsp;&nbsp;C.7 Modification gains/losses |  | 7865 | 5 |
| &nbsp;&nbsp;&nbsp;C.8 other decreases | 298716 | 35353 | 2523 |
| **D. Gross exposure, closing balance** | **1323533** | **2241573** | **99040** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  | **-** |

---

The line item Other decreases, amounting to a total of EUR 336.6 mln, is attributable for EUR 264.2 mln to non-performing exposures subject to disposal during the year, of which EUR 250.5 mln is classified as bad loans and EUR 13.7 mln as unlikely to pay.

With reference to bad loans, 13% of total payments received are from judicial collections, 24% from out-of-court settlements, 10% from property leasing sales, and 21% from enforcement of consortium guarantees (first-demand); in addition, around EUR 82.2 mln relating to collections from disposal.

At the reporting date, there are no impaired financial assets that were purchased during the financial year through business combination transactions.

534

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

*A.1.7bis Prudential consolidation – Balance sheet credit exposure to customers: changes in gross forborne exposure broken down by credit quality*

---

| | | |
|:---|:---|:---|
| <br>**Source/Categories** |<br>**Non performing forborne<br> exposures** | 31 12 2024<br>**Performing forborne<br> exposures** |
| **A. Goss esposure, opening balance** | **1200992** | **1213969** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |
| **B. Increases** | **516349** | **536382** |
| &nbsp;&nbsp;&nbsp;B.1 Transfers from performing loans | 205446 | 356262 |
| &nbsp;&nbsp;&nbsp;B.2 Transfers from performing forborne esposures | 168905 | X |
| &nbsp;&nbsp;&nbsp;B.3 Transfers from Non-performing forborne esposures | X | 126937 |
| &nbsp;&nbsp;&nbsp;B.4 Transfers from Non-performing loans | 61155 | 2101 |
| &nbsp;&nbsp;&nbsp;B.5 Other increases | 80843 | 51082 |
| **C. Decreases** | **477901** | **668363** |
| &nbsp;&nbsp;&nbsp;C.1 Transfers to performing loans | X | 249350 |
| &nbsp;&nbsp;&nbsp;C.2 Transfers to performing forborne exposures | 127409 | X |
| &nbsp;&nbsp;&nbsp;C.3 Transfers to non-performing forborne exposures | X | 169001 |
| &nbsp;&nbsp;&nbsp;C.4 Write-offs | 9236 | 32 |
| &nbsp;&nbsp;&nbsp;C.5 Collections | 217920 | 233366 |
| &nbsp;&nbsp;&nbsp;C.6 Amounts realised upon disposal of positions | 27656 |  |
| &nbsp;&nbsp;&nbsp;C.7 Losses from disposal |  |  |
| &nbsp;&nbsp;&nbsp;C.8 Other decreases | 95680 | 16614 |
| **D. Gross exposure, closing balance** | **1239440** | **1081988** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |

---

535

BANCA MONTE DEI PASCHI DI SIENA

A.1.8 Prudential consolidation – Non-performing balance-sheet credit exposure to banks: changes in overall value adjustments

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  |  | 31 12 2024 |
|  | **Bad loans** | **Bad loans** | **Unlikely to pay** | **Unlikely to pay** | **Non-performing Past due** | **Non-performing Past due** |
|  |  | of which |  | of which |  | of which |
| **Source/Categories** | **Total** | forborne | **Total** | forborne | **Total** | forborne |
| **A. Opening balance of overall adjustments** | **-** | **-** | **620** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |  |  |  |
| **B. Increases** | **-** | **-** | **6005** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;B.1 Net impairment of purchased or originated impaired financial assets |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;B.2 Other value adjustments |  |  | 5979 |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Loss from disposal |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Transfers from other categories of non-performing exposures |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Modification gains/losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Other increases |  |  | 26 |  |  |  |
| **C. Decreases** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;C.1 Write-backs from valuation |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Write-backs from collection |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Profit from disposal |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Write-offs |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Transfers to other categories of non performing exposure |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Modification gains/losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases |  |  |  |  |  |  |
| **D. Closing balance of overall adjustments** | **-** | **-** | **6625** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |  |  |  |

---

At the reporting date, there are no impaired financial assets purchased during the financial year through either business combination transactions or other types of acquisitions.

536

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.1.9 Prudential consolidation – Non-performing balance-sheet credit exposure to customers: changes in overall value adjustments

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  |  | 31 12 2024 |
|  | **Bad loans** | **Bad loans** | **Unlikely to pay** | **Unlikely to pay** | **Non-performing Past due** | **Non-performing Past due** |
| **Source/Categories** | **Total** | of which<br> forborne | **Total** | of which<br> forborne | **Total** | of which<br> forborne |
| **A. Opening balance of overall adjustments** | **960293** | 156177 | **741296** | 325398 | **28445** | 2562 |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |  |  |  |
| **B. Increases** | **340290** | 74266 | **504369** | 160523 | **23824** | 1252 |
| &nbsp;&nbsp;&nbsp;B.1 Net impairment of purchased or originated impaired financial assets | 477 | *X* | 8 | *X* |  | *X* |
| &nbsp;&nbsp;&nbsp;B.2 Other value adjustments | 181164 | 41071 | 447807 | 131459 | 21432 | 989 |
| &nbsp;&nbsp;&nbsp;B.3 Loss from disposal |  |  | 204 |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Transfers from other categories of non-performing exposures | 149798 | 25031 | 14053 | 1376 | 55 | 7 |
| &nbsp;&nbsp;&nbsp;B.5 Modification gains/losses |  | *X* | 31 | *X* |  | *X* |
| &nbsp;&nbsp;&nbsp;B.6 Other increases | 8851 | 8164 | 42266 | 27688 | 2337 | 256 |
| **C. Decreases** | **422346** | 70552 | **375927** | 144141 | **26295** | 2641 |
| &nbsp;&nbsp;&nbsp;C.1 Write-backs from valuation | 47248 | 8638 | 67298 | 42444 | 3144 | 25 |
| &nbsp;&nbsp;&nbsp;C.2 Write-backs from collection | 43652 | 13053 | 93041 | 46.150 | 4381 | 809 |
| &nbsp;&nbsp;&nbsp;C.3 Profit from disposal |  |  | 751 |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Write-offs | 48470 | 4911 | 40445 | 4324 | 188 |  |
| &nbsp;&nbsp;&nbsp;C.5 Transfers to other categories of non-performing exposure | 417 | 33 | 146266 | 24835 | 17223 | 1546 |
| &nbsp;&nbsp;&nbsp;C.6 Modification gains/losses |  | *X* | 1114 | *X* | 1 | *X* |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases | 282559 | 43917 | 27012 | 26388 | 1358 | 261 |
| **D. Closing balance of overall adjustments** | **878237** | 159891 | **869738** | 341780 | **25974** | 1173 |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |  |  |  |

---

The line "Other decreases in non-performing assets", amounting to EUR 310.9 mln, refers mainly to the closing of provisions referring to the non-performing exposures sold in 2024, of which EUR 250.5 mln relates to positions classified as non-performing and EUR 13.7 mln to positions classified as unlikely to pay.

At the reporting date, there are no impaired financial assets that were purchased during the financial year through business combination transactions.

537

BANCA MONTE DEI PASCHI DI SIENA

*Exposure to sovereign debt risk*

Below are the net sovereign credit risk exposures in government bonds, loans and credit derivatives held by the Group as at 31 December 2024.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Debt securities** | **Debt securities** | **Debt securities** | **Debt securities** | **Debt securities** | | |
| | | | **Financial assets measured** | **Financial assets measured** | | | |
| | **Financial assets measured** | **Financial assets measured** | **at fair value through other** | **at fair value through other** | | | |
| | **at fair value through profit or loss** | **at fair value through profit or loss** | **comprehensive income** | **comprehensive income** | **Financial**<br>**assets**<br>**measured at**<br>**amortised cost** | | |
| <br>**Country** | <br>**Nominal** | **Fair value=book**<br>**value** | <br>**Nominal** | **Fair value=book**<br>**value** | <br>**Book value** | <br>**Loans**<br>**Financial**<br>**assets**<br>**measured at**<br>**amortised cost**<br>**Book value** | (Eur/mln)<br>**Credit**<br>**derivatives**<br>**Financial**<br>**assets held**<br>**for trading**<br>**Nominal** |
| Argentine | 0.5 |  |  |  |  |  |  |
| Belgium |  |  | 8.0 | 3.3 |  |  |  |
| France |  |  | 45.0 | 42.7 | 11.1 |  |  |
| Italy | 1840.3 | 1572.9 | 1519.0 | 1451.9 | 8407.0 | 1528.1 | 1475.9 |
| Mexico | 0.1 |  | 15.0 | 11.8 |  |  |  |
| Perù |  |  | 2.0 | 1.6 |  |  |  |
| Portugal | 0.3 | 0.2 | 19.6 | 11.7 | 2.9 |  |  |
| Romania |  |  | 30.0 | 25.6 |  |  |  |
| Spain |  |  |  |  | 666.5 |  |  |
| United States |  |  | 48.1 | 36.0 |  |  |  |
| Sud Africa |  |  | 5.0 | 5.1 |  |  |  |
| Other Countries | - | 0.1 | - | - | - | - | - |
| **Total 31 12 2024** | **1841.2** | **1573.2** | **1691.7** | **1589.7** | **9087.5** | **1528.1** | **1475.9** |
| **Total 31 12 2023** | **1636.4** | **1339.6** | **1891.3** | **1737.7** | **8719.0** | **1706.0** | **2325.6** |

---

Details on the Group's exposure is presented taking into consideration that, according to instructions from the European Securities and Markets Authority (ESMA), "sovereign debt" is defined as bonds issued by central and local Governments and by government Entities, as well as loans disbursed to aforementioned entities.

These financial instruments were measured according to the standards applicable to the category to which they belong.

As at 31 December 2024, the residual duration of the exposure to the most significant component of sovereign debt (Italian debt securities) was 6.73 years. The overall exposure to loans and debt securities amounted to EUR 13,778.5 mln, almost entirely in Italian debt, and is concentrated in the portfolio of financial assets measured at amortised cost. Exposures to Italy are almost entirely classified in level 1 of the fair value hierarchy, less EUR 411.3 mln classified in level 2 and mainly attributable to government securities.

538

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Following are the details of reserves on securities measured at fair value through other comprehensive income and of Italian credit derivatives (in EUR/mln):

---

| | | |
|:---|:---|:---|
| **Securities measured at fari value through other comprehensive income: Italy** | **31 12 2024** | **31 12 2023** |
| Book value | 1451.9 | 1624.6 |
| O.C.I reserve (after tax) | (19.2) | (39.8) |
| of which: hedging effect (after tax) | 0.1 | (20.1) |

---

---

| | | |
|:---|:---|:---|
| **Credit derivatives - Italy** | **31 12 2024** | **31 12 2023** |
| **Purchase of protection** |  |  |
| Nominal | (79.8) | (79.5) |
| Positive fair value |  |  |
| Negative fair value | (4.7) | (5.5) |
| **Sale of protection** | **-** | **-** |
| Nominal | 1555.7 | 2405.1 |
| Positive fair value |  |  |
| Negative fair value | (45.0) | (85.9) |

---

539

BANCA MONTE DEI PASCHI DI SIENA

A.2 Classification of exposures by external and internal ratings

A.2.1 Prudential consolidation – Breakdown of financial assets, commitments to disburse funds and financial guarantees issued by external rating class (gross values)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **External class rating** | **External class rating** | **External class rating** | **External class rating** | **External class rating** | **External class rating** | | |
| <br>**Exposures** | **class 1** | **class 2** | **class 3** | **class 4** | **class 5** | **class 6** | <br>**No rating** | 31 12 2024<br>**Total** |
| **A. Financial assets measured at amortised cost** | **698669** | **1076959** | **9204212** | **1212261** | **106194** | **28** | **80411025** | **92709348** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 698669 | 1076959 | 9154814 | 341843 | 34307 |  | 66558417 | 77865009 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  | 49398 | 870418 | 71887 | 28 | 10270284 | 11262015 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  | 3579404 | 3579404 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  |  |  |  |  | 2920 | 2920 |
| **B. Financial assets measured at fair value through other comprehensive income** | **379648** | **11736** | **1717484** | **54737** | **-** | **2674** | **3** | **2166282** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 379648 | 11736 | 1717484 | 54737 |  |  | 3 | 2163608 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  | 2674 |  | 2674 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  |  |  |  |  |  |  |
| **C. Financial assets held for sale** | **15** | **1440** | **7122** | **32545** | **21228** | **44060** | **205401** | **311811** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 15 | 1440 | 7122 | 31694 | 13680 |  | 159718 | 213669 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  | 227 | 3019 | 339 | 9841 | 13426 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  | 624 | 4529 | 43721 | 35842 | 84716 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | - | - | - | - | - | - |
| **Total (A+B+C)** | **1078332** | **1090135** | **10928818** | **1299543** | **127422** | **46762** | **80616429** | **95187441** |
| **D. Commitments to disburse funds and financial guarantees given** | **130429** | **643006** | **1300120** | **1245460** | **78484** | **12713** | **37624182** | **41034394** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 130429 | 525258 | 1298551 | 1245460 | 73407 | 10388 | 35839917 | 39123410 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  | 117748 | 1569 |  | 5077 | 2325 | 1152795 | 1279514 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  | 622528 | 622528 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | - | - | - | - | 8942 | 8942 |
| **Total (A+B+C+D)** | **1208761** | **1733141** | **12228938** | **2545003** | **205906** | **59475** | **118240611** | **136221835** |

---

class 1=AAA/AA- class 2=A+/A- class 3=BBB+/BBB- class 4=BB+/BB- class 5=B+/B- class 6=lower than B-

The external rating categories used to complete the table are from Standard & Poor's. On-balance-sheet exposures taken into account are those in Table A.1.2 "*Breakdown of financial assets by portfolio and credit quality*" above, while off-balance-sheet exposures are those in Tables A.1.4 (exposures to banks) and A.1.5 (exposures to customers). If multiple external ratings are assigned, the rating is selected based on Bank of Italy's criteria (when two ratings are available, the lower of the two is used, and when three or more ratings are assigned, the second highest rating is selected). To ensure relevance of information, internal cross-reference tables were used to convert classification by various rating agencies into classification by Standard & Poor's.

540

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.2.2 Prudential consolidation – Breakdown of financial assets, commitments to disburse funds and financial guarantees issued per internal rating class (gross values)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| |  |  |  |  |  |  |  |  | 31 12 2024 |
| | **Internal class rating** | **Internal class rating** | **Internal class rating** | **Internal class rating** | **Internal class rating** | **Internal class rating** | **Internal class rating** | **Internal class rating** | **Internal class rating** |
| <br>**Exposures** | **High <br> quality** | **Average<br> quality** | **Fair <br> quality** | **Mediocre<br> quality** | **Poor<br> quality** | **Default** | **Group<br> administrative<br> default** | **No rating** | **Total** |
| **A. Financial assets measured at amortised cost** | **10127144** | **21740274** | **20451104** | **9308583** | **515663** | **3581200** | **-** | **26985380** | **92709348** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 9870156 | 21145008 | 17428036 | 3976122 | 799 |  |  | 25444888 | 77865009 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 | 256988 | 595266 | 3022218 | 5332461 | 514864 |  |  | 1540218 | 11262015 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  | 3579130 |  | 274 | 3579404 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  | 850 |  |  | 2070 |  |  | 2920 |
| **B. Financial assets measured at fair value through other comprehensive income** | **912** | **7079** | **-** | **-** | **-** | **-** | **-** | **2158292** | **2166283** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 912 | 7079 |  |  |  |  |  | 2155618 | 2163609 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  | 2674 | 2674 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  |  |  |  |  |  |  |  |
| **C. Financial assets held for sale** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **311811** | **311811** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 |  |  |  |  |  |  |  | 213669 | 213669 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  | 13426 | 13426 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  | 84716 | 84716 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | - | - | - | - | - | - | - |
| **Total (A+B+C)** | **10128056** | **21747353** | **20451104** | **9308583** | **515663** | **3581200** | **-** | **29455483** | **95187442** |
| **D. Commitments to disburse funds and financial guarantees given** | **6328834** | **8452461** | **8463522** | **2006732** | **45232** | **631225** | **-** | **15106388** | **41034394** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 6104283 | 8282198 | 7991896 | 1622468 | 25551 |  |  | 15097014 | 39123410 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 | 224551 | 170263 | 471381 | 384264 | 19681 |  |  | 9374 | 1279514 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  | 622528 |  |  | 622528 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | 245 | - | - | 8697 | - | - | 8942 |
| **Total (A+B+C+D)** | **16456890** | **30199814** | **28914626** | **11315315** | **560895** | **4212425** | **-** | **44561871** | **136221836** |

---

High Quality customers (Master Scale categories AAA and A1) Good Quality customers (Master Scale categories A2, A3 and B1) Fair Quality customers (Master Scale categories B2, B3, C1 and C2) Mediocre Quality customers (Master Scale categories C3, D1, D2 and D3) Poor Quality customers (Master Scale categories E1, E2 and E3)

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BANCA MONTE DEI PASCHI DI SIENA

The table provides a breakdown of customers of the MPS Group by risk categories assigned on the basis of ratings arising from internal models. For this purpose, account is given only of exposures (borrowers) for which an internal rating is periodically recorded for models/legal entities/portfolios which have been subject to a validation process with the Supervisory Authority without any cross-reference from official ratings to internal ratings, especially with regard to the following customer segments: "Banks," "Non-banking financial institutions," and "Governments and Public Administration". Thus, based on this provision, exposures related to the latter segments, even if covered by official ratings, were reported as "unrated" in the internal rating models.

542

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.3 Breakdown of secured credit exposures by type of collateral

A.3.1 Prudential consolidation – Balance sheet and off-balance sheet secured credit exposure to banks

31 12 2024

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | |  |  |  |  | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | |
|  | | |  |  |  |  | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | |
|  | | | **Collaterals** | **Collaterals** | **Collaterals** | **Collaterals** | | **Other derivatives** | **Other derivatives** | **Other derivatives** | **Other derivatives** | | | | | |
|  | <br>**Gross <br> exposures** | <br>**Net <br> exposures** | **Real<br> estate <br> mortgages** | **Real <br> estate <br> leasing** | **Securities** | **Other <br> collaterals** | <br>**CLN** | **Central <br> counterparties** | **Banks** | **Other <br> financial <br> entities** | **Other <br> entities** | <br>**Public <br> Entities** | <br>**Banks** | <br>**Other <br> financial <br> entities** | <br>**Other entities** | <br>**Total <br> collaterals <br> and <br> personnel <br> guarantees** |
| **1. Secured balance-sheet exposures** | **859081** | **859076** | **802** | **-** | **850465** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **24** | **851291** |
| 1.1 totally secured | 857245 | 857240 | 802 |  | 850465 |  |  |  |  |  |  |  |  |  |  | 851267 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 1.2 Partially secured | 1836 | 1836 |  |  |  |  |  |  |  |  |  |  |  |  | 24 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| **1. Secured off-balance sheet exposures** | **225867** | **225867** | **-** | **-** | **9659** | **196314** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **205973** |
| 1.1 totally secured | 9659 | 9659 |  |  | 9659 |  |  |  |  |  |  |  |  |  |  | 9659 |
| &nbsp;&nbsp;&nbsp;- of which non-performing |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 1.2 Partially secured | 216208 | 216208 |  |  |  | 196314 |  |  |  |  |  |  |  |  |  | 196314 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

---

In addition to balance-sheet exposures, the table shows the amount of off-balance-sheet exposures to banks (including de-rivative contracts with banks) which are fully or partially secured. As regards personal guarantees, the economic segments to which guarantors and sellers of protection belong (in the case of unsecured loans and credit derivatives, respectively) are identified making reference to the classification criteria provided for in the brochure "classification of customers by segments and groups of economic activity" published by the Bank of Italy.

Exposures are classified as either "totally secured" or "partially secured" by comparing the gross exposure with the amount of the guarantee established in the contract; for that purpose, any supplemental guarantees are also considered.

The fair value of collaterals estimated as at the reporting date is shown in the columns "Collaterals" and "Personal guarantees" or, if such information is not available, the contractual value is reported. Please note that both values may not be higher than the book value of secured exposures, in line with the Bank of Italy Circular 262.

543

BANCA MONTE DEI PASCHI DI SIENA

A.3.2 Prudential consolidation – Balance sheet and off-balance sheet secured credit exposure to customers

31 12 2024

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | |  |  |  |  | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | **Personnel guarantees** | |
|  | | |  |  |  |  | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | |
|  | | | **Collaterals** | **Collaterals** | **Collaterals** | **Collaterals** | | **Other derivatives** | **Other derivatives** | **Other derivatives** | **Other derivatives** | | | | | |
|  | <br>**Gross <br> exposures** | <br>**Net <br> exposures** | **Real<br> estate <br> mortgages** | **Real <br> estate <br> leasing** | **Securities** | **Other <br> collaterals** | <br>**CLN** | **Central <br> counterparties** | **Banks** | **Other <br> financial <br> entities** | **Other <br> entities** | <br>**Public <br> Entities** | <br>**Banks** | <br>**Other <br> financial <br> entities** | <br>**Other entities** | <br>**Total <br> collaterals <br> and <br> personnel <br> guarantees** |
| **1. Secured balance-sheet exposures** | **63061269** | **61383051** | **36491097** | **1665374** | **7449793** | **1123877** | **-** | **-** | **-** | **-** | **-** | **7529601** | **1980** | **583165** | **4738498** | **59583385** |
| 1.1 totally secured | 57010003 | 55492835 | 36486586 | 1665374 | 7312369 | 1063892 |  |  |  |  |  | 3773134 | 1537 | 529276 | 4425990 | 55258158 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing | *2610675* | *1435525* | *931606* | *85737* | *5159* | *16567* | *-* | *-* | *-* | *-* | *-* | *277090* | *-* | *16521* | *95091* | *1427771* |
| 1.2 Partially secured | 6051266 | 5890216 | 4511 |  | 137424 | 59985 |  |  |  |  |  | 3756467 | 443 | 53889 | 312508 | 4325227 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing | *419486* | *282250* | *448* | *-* | *2093* | *432* | *-* | *-* | *-* | *-* | *-* | *214143* | *-* | *3189* | *14765* | *235070* |
| **1. Secured off-balance sheet exposures** | **17660285** | **17630387** | **340524** | **21006** | **10273682** | **747689** | **-** | **-** | **-** | **-** | **-** | **764236** | **2926** | **497890** | **4248964** | **16896917** |
| 1.1 totally secured | 15627174 | 15601679 | 337859 | 21002 | 10243864 | 162130 |  |  |  |  |  | 466401 | 2926 | 454639 | 3844427 | 15533248 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing | *85639* | *75372* | *5086* | *1362* | *2130* | *1300* | *-* | *-* | *-* | *-* | *-* | *5339* | *-* | *1431* | *58595* | *75243* |
| 1.2 Partially secured | 2033111 | 2028708 | 2665 | 4 | 29818 | 585559 |  |  |  |  |  | 297835 |  | 43251 | 404537 | 1363669 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non-performing | *24907* | *21949* | *-* | *-* | *219* | *561* | *-* | *-* | *-* | *-* | *-* | *3160* | *-* | *262* | *14239* | *18441* |

---

In addition to balance-sheet exposures to customers, the table shows the amount of off-balance-sheet exposures, including derivative contracts with customers, which are fully or partially secured. As regards personal guarantees, the economic segments to which guarantors and sellers of protection belong (in the case of unsecured loans and credit derivatives, respectively) are identified making reference to the classification criteria provided for in the brochure "classification of customers by segments and groups of economic activity" published by the Bank of Italy. Exposures are classified as either "totally secured" or "partially secured" by comparing the gross exposure with the amount of the guarantee established in the contract; for that purpose, any supplemental guarantees are also considered.

The fair value of collaterals estimated as at the reporting date is shown in the columns "Collaterals" and "Personal guarantees" or, if such information is not available, the contractual value is reported. Please note that both values may not be higher than the book value of secured exposures, in line with the Bank of Italy Circular 262.

544

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.4 Prudential consolidation – Financial and non-financial assets obtained through enforcement of guarantees received

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | | | | **Book value** | **Book value** |
|  | <br>**Derecognised <br> credit exposure** | <br>**Gross Value** | <br>**Impairment <br> (losses)** | | ***of which: <br> obtained during <br> the year*** |
| **A. Tangible assets** | **48647** | **53749** | **25905** | **27844** | **3882** |
| &nbsp;&nbsp;&nbsp; A.1. Used in the business |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; A.2. Held for investments | 48647 | 53749 | 25905 | 27844 | 3882 |
| &nbsp;&nbsp;&nbsp; A.3. Inventories |  |  |  |  |  |
| **B. Equity instruments and Debt securities** | **24214** | **24214** | **(3001)** | **27215** | **-** |
| **C. Other assets** | **-** | **-** | **-** | **-** | **-** |
| **D. Non current assets and group of assets held for sale** | **758** | **637** | **410** | **227** | **-** |
| &nbsp;&nbsp;&nbsp; D.1. Property, plant and equipment | 758 | 637 | 410 | 227 |  |
| &nbsp;&nbsp;&nbsp; D.2. Other assets |  |  |  |  |  |
| **Total 31 12 2024** | **73619** | **78600** | **23314** | **55286** | **3882** |
| **Total 31 12 2023** | **96743** | **74967** | **21968** | **52999** | **-** |

---

The "Financial and non-financial assets obtained through enforcement of guarantees received" shown in the table above include assets:

- resulting from non-redemption of assets in leasing and termination of non-performing finance lease agreements;

- resulting from datio in solutum.

As at 31 December 2024, the Group held financial instruments with a book value of EUR 24.2 mln (EUR 27.1 mln as at 31 December 2023), classified in the accounting portfolio of "Financial assets mandatorily measured at fair value", which represent financial assets not previously granted by the debtor as collateral for pre-existing loans granted, but acquired as part of bilateral agreements with the latter, as a result of which the Group arranged for the derecognition of the related credit exposure.

Line D. Non-current assets and group of assets held for sale include tangible assets acquired at court auctions from the Real Estate Owned Company (REOCO) and reclassified by the latter under assets held for sale in accordance with IFRS 5.

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BANCA MONTE DEI PASCHI DI SIENA

B. Breakdown and concentration of credit exposures

B.1 Prudential consolidation - Breakdown of balance sheet and off-balance sheet credit exposures to customers by business segment

31 12 2024

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Public entities** | **Public entities** | **Fianncial companies** | **Fianncial companies** | **Financial companies: <br> of which insurance <br> companies** | **Financial companies: <br> of which insurance <br> companies** | **Non-financial companies** | **Non-financial companies** | **Families** | **Families** |
| <br>**Exposures/Counterparties** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** |
| **A. Balance sheet exposure** |  |  |  |  |  |  |  |  |  |  |
| A.1 Bad loans | 176 | 813 | 3444 | 938 |  |  | 333322 | 695262 | 108355 | 181224 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne |  |  | 186 | 168 |  |  | 61768 | 114976 | 24573 | 44747 |
| A.2 Unlikely to pay | 1636 | 2078 | 1531 | 1546 |  |  | 819197 | 613526 | 549471 | 252587 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne | 13 | 10 | 705 | 896 |  |  | 301597 | 198276 | 344123 | 142598 |
| A.3 Past-due nonperforming | 7631 | 6048 | 145 | 106 |  |  | 26437 | 7960 | 38853 | 11860 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne |  |  |  |  |  |  | 1650 | 678 | 1980 | 495 |
| A.4 Performing exposures | 15750521 | 7240 | 9637344 | 8989 | 81645 |  | 32079565 | 296723 | 33614140 | 161261 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne | 18200 | 30 | 40960 | 794 |  |  | 607947 | 48982 | 346437 | 18638 |
| **Total A** | **15759964** | **16179** | **9642464** | **11579** | **81645** |  | **33258521** | **1613471** | **34310819** | **606932** |
| **B. Off-balance-sheet exposures** |  |  |  |  |  |  |  |  |  |  |
| B.1 Non performing exposures |  |  | 996 | 204 |  |  | 483857 | 115537 | 16538 | 583 |
| B.2 Performing exposures | 3578588 | 20 | 12581581 | 193 | 243571 |  | 25032383 | 38380 | 1785099 | 2556 |
| **Totale B** | **3578588** | **20** | **12582577** | **397** | **243571** |  | **25516240** | **153917** | **1801637** | **3139** |
| **Total (A+B) 31 12 2024** | **19338552** | **16199** | **22225041** | **11976** | **325216** |  | **58774761** | **1767388** | **36112456** | **610071** |
| **Total (A+B) 31 12 2023** | **19807728** | **19238** | **20119112** | **29055** | **125013** |  | **58987364** | **1684810** | **36276060** | **647678** |

---

546

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

B.2 Prudential consolidation - Breakdown of on- and off-balance-sheet exposures to customers by geographic area

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **ITALY** | **ITALY** | **OTHER EUROPEAN <br> COUTRIES** | **OTHER EUROPEAN <br> COUTRIES** | **AMERICA** | **AMERICA** | **ASIA** | **ASIA** | **REST OF THE WORLD** | **REST OF THE WORLD** |
| <br>**Exposures/Gerographic Areas** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** |
| **A. Balance sheet exposure** |  |  |  |  |  |  |  |  |  |  |
| A.1 Bad loans | 428703 | 813204 | 16380 | 63118 | 154 | 1676 | 58 | 213 | 1 | 26 |
| A.2 Unlikely to pay | 1365753 | 861059 | 5424 | 7749 | 391 | 326 | 267 | 590 |  | 14 |
| A.3 Past-due nonperforming | 63401 | 24862 | 8808 | 841 | 174 | 10 | 643 | 251 | 40 | 9 |
| A.4 Performing exposures | 88028367 | 471793 | 1239558 | 1358 | 524206 | 493 | 113652 | 111 | 1175787 | 458 |
| **Total A** | **89886224** | **2170918** | **1270170** | **73066** | **524925** | **2505** | **114620** | **1165** | **1175828** | **507** |
| **B. Off-balance-sheet exposures** |  |  |  |  |  |  |  |  |  |  |
| B.1 Non performing exposures | 500652 | 116324 | 2 |  | 2 |  | 734 |  |  |  |
| B.2 Performing exposures " | 40776040 | 41082 | 1770417 | 65 | 320148 | 2 | 49696 | - | 61350 | - |
| **Total B** | **41276692** | **157406** | **1770419** | **65** | **320150** | **2** | **50430** | **-** | **61350** | **-** |
| **Total (A+B) 31 12 2024** | **131162916** | **2328324** | **3040589** | **73131** | **845075** | **2507** | **165050** | **1165** | **1237178** | **507** |
| **Total (A+B) 31 12 2023** | **130329306** | **2302828** | **3931640** | **74206** | **575961** | **2316** | **155905** | **1212** | **197454** | **217** |

---

547

BANCA MONTE DEI PASCHI DI SIENA

B.3 Banking Group - Breakdown of on- and off-balance-sheet exposures to banks by geographic area (book values)

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **ITALY** | **ITALY** | **OTHER EUROPEAN <br> COUTRIES** | **OTHER EUROPEAN <br> COUTRIES** | **AMERICA** | **AMERICA** | **ASIA** | **ASIA** | **REST OF THE WORLD** | **REST OF THE WORLD** |
| <br>**Exposures/Gerographic Areas** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** | **Net <br> exposure** | **Total <br> impairment <br> (losses)** |
| **A. Balance sheet exposure** |  |  |  |  |  |  |  |  |  |  |
| A.1 Bad loans |  |  |  |  |  |  |  |  |  |  |
| A.2 Unlikely to pay |  |  | 420 | 748 | 7732 | 5877 |  |  |  |  |
| A.3 Past-due nonperforming |  |  |  |  |  |  |  |  |  |  |
| A.4 Performing exposures | 14614816 | 140 | 2139517 | 243 | 48374 | 4 | 158657 | 450 | 97013 | 11 |
| **Total A** | **14614816** | **140** | **2139937** | **991** | **56106** | **5881** | **158657** | **450** | **97013** | **11** |
| **B. Off-balance-sheet exposures** |  |  |  |  |  |  |  |  |  |  |
| B.1 Non performing exposures |  |  |  |  | 13510 |  |  |  |  |  |
| B.2 Performing exposures | 554942 | 32 | 928235 | 79 | 199464 | 2 | 619577 | 37 | 205280 | 104 |
| **Total B** | **554942** | **32** | **928235** | **79** | **212974** | **2** | **619577** | **37** | **205280** | **104** |
| **Total (A+B) 31 12 2024** | **15169758** | **172** | **3068172** | **1070** | **269080** | **5883** | **778234** | **487** | **302293** | **115** |
| **Total (A+B) 31 12 2023** | **16865708** | **413** | **2836997** | **1171** | **289080** | **60** | **594346** | **264** | **281006** | **108** |

---

B.4 Large exposures

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Item/Amount** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| a) Book value |  | 108084090 |  | 85843375 |
| b) Weighted value |  | 2903086 |  | 1975437 |
| c) Number |  | 7 |  | 7 |

---

Regulations provide for positions to be defined as "large exposures" by making reference to credit-risk unweighted expo-sures.

An exposure is deemed as a "large exposure" when its amount is equal to or greater than 10% of own funds.

The increase over the year for the "Book value" is mainly due to the positive change in transactions with eligible central counterparties, which are exempt from the calculation of the weighted value, as provided for in CRR, art. 400 (1) letter j). The increase in the "Weighted Value" referred to 2024, compared to 2023, is substantially attributable to the increase in guaranteed factoring operations (acquisition of bank guarantees from leading banks).

548

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

C. Securitisation transactions

Qualitative Information

Structures, processes and goals

Law 130/99 "Provisions on the securitisation of receivables" (as amended) introduced in the Italian legal system the possibility of carrying out, through specifically established Italian companies, so-called SPV – Special Purpose Vehicle, securi-tisation transactions that allow to "transform" illiquid financial assets, capable of generating cash flows, such as loans, in tradable assets, i.e. in bonds called Asset Backed Securities (ABS).

Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 as amended, has established a general framework for securitisation and a specific framework for simple, transparent and standardised securitisations.

The structure of a securitisation envisages the sale of the assets, recorded in the financial statements of a party (called Originator), to the Special Purpose Vehicle, which, to finance the purchase, issues bonds then placed on the market, paying the amount collected back to the transferor. The return and repayment of the securities issued are dependent on the cash flows generated by the assets sold.

With reference to securitisation transactions, the Montepaschi Group operates both as originator of own securitisations, and as investor, by underwriting third-party securitisation securities and as servicer of its own and third-party transactions. To date, the Group has not promoted any securitisation activities as a sponsor.

In the context of own securitisations, a distinction can be made between:

---

| | |
|:---|:---|
| ·<sub></sub> | securitisation transactions placed entirely or in part on the market and originated with the aim of achieving economic benefits regarding the optimisation of the loan portfolio, the diversification of funding sources, the reduction of their cost and the matching of natural maturities for assets with those for liabilities (strictly speaking securitisations). In this context, the Group currently has two securitisation transactions with derecognition that substantially transfer all the risk and return of the portfolio transferred; |

---

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· securitisation transactions in which the originator subscribes at the time
of issue, or later, the set of liabilities issued that are aimed at diversifying and strengthening the available funding instruments,
through the transformation of the transferred loans into securities that can be refinanced (self-securitisations). These transactions
are part of the more general policy of strengthening the Group's liquidity position and are not included in the disclosure of this
section but in the "Liquidity risk" section.

The execution of securitisation transactions, keeping with the organisational model established at Group level for the governance and management of risks, is governed by specific internal regulations.

The Parent Company's Structural Liquidity function establishes general practices and coordinates activities in relation to securitisation transactions. The management of the portfolio underlying these transactions is instead overseen by the Guarantees Management function.

In particular, for performing loan securitisations, the Guarantee Management function, within the Credit Portfolio Govern-ance structure, is responsible for managing aspects and obligations associated with servicing activities and for monitoring the performance of existing transactions through monthly and quarterly reports on collections of residual principal, posi-tions in arrears and disputed positions arising from securitisation transactions. This same function prepares the summary statements containing the data of the portfolio sold and, as part of critical situation management, it reports cases that may pose potential risks for note-holders to the relevant functions in the organisation.

For securitisations of non-performing loans, the servicing and debt collection performance control services are handled by market operators outside the Group.

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*Synthetic securitisation transactions*

The main objective of a synthetic securitisation is to free up regulatory and economic capital by reducing the credit risk of the portfolio underlying the transaction (Significant Risk Transfer-SRT). In general, it is envisaged, through the stipulation of guarantee contracts, the purchase of protection of the credit risk underlying a loan portfolio, of which the Originator retains full ownership.

Synthetic securitisations are therefore aimed at transferring the credit risk from the Originator to an external counter-party. This transfer does not entail the derecognition of assets and, therefore, assets remain in the originator's financial statements. The reference legislation for such transactions is EU Regulation 575/2013 (Capital Requirements Regulation, 'CRR'); it establishes, in art. 245, the conditions under which the Significant Risk Transfer (SRT) criterion is met, i.e. the sig-nificant transfer of risk to third parties, for prudential purposes, through real or personal credit protection. In particular, the Significant Risk Transfer must be constantly monitored during the life of the transaction, in order to verify that the criteria envisaged by the regulations are respected.

Also in accordance with regulatory requirements (art. 405 CRR), the originator must retain a portion of the net economic interest equal to at least 5% of the nominal value of the securitised portfolio. This means – within the transaction structure chosen by the Group – that at least 5% of each securitised loan is considered unsecured.

The transaction is structured with a tranching (normally Junior-J, Mezzanine-M and Senior-S tranches) that is a function of the riskiness of the portfolio.

As at the reporting date of this Annual Report, there were two synthetic securitisation transactions implemented in July 2021, named "Siena 2021 - RegCap-1" and "Siena 2021 - RegCap-Specialized Lending".

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

The following table illustrates the main features of these operations.

---

| | | |
|:---|:---|:---|
| **Securitisation name** | **Securitistion Siena2021-RegCap-1** | **Securitisation Siena 2021-Specialised Lending** |
| **1. Transaction characteristcs** |  |  |
| Type of operation | Synthetic securitisation | Synthetic securitisation |
| Originator/Servicer/Arranger/ Calculation agent " | Banca Monte dei Paschi di Siena S.p.a. | MPS Capital Services Banca per le Imprese S.p.A. |
| Purpose of the operation | Credit risk hedging | Credit risk hedging |
| Guarantee Provider | Private Investor | Private Investor |
| Type of securitised assets | Loans to Corporate and SMEs | Loans to Corporate |
| Quality of securitised assets | performing | performing |
| Closing date | 23/07/21 | 23/07/21 |
| Portfolio nominal value | 755386943.72 | 817087257.14 |
| Retention rate (%) | 5% of securitised loans | 5% of securitised loans |
| Guarantees received | Guarantee in the form of pledge on a term deposit | Guarantee in the form of pledge on a term deposit |
| Legal expiring date | 31/12/2040 | 31/12/2036 |
| Early termination clauses | Regulatory Event, Time Call, Clean-up Call, Tax Event | Regulatory Event, Time Call, Clean-up Call, Tax Event |
| Rating Agency | N.a. | N.a. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **2. Tranching value and conditions** | **Senior** | **Mezzanine** | **Junior** | **Senior** | **Mezzanine** | **Junior** |
| - Guaranteed portfolio at the closing date | 650161596.53 | 51310000.00 | 16146000.00 | 577618564.75 | 37819037.11 | 72201071.68 |
| - % of the portfolio guaranteed | 90.60% | 7.15% | 2.25% | 84.00% | 5.50% | 10.50% |
| - Total guaranteed |  | 48878417.13 |  |  | 16818974.54 | 32021653.22 |
| - Not guaranteed portfolio at the reporting date | 226747830.36 |  |  | 256879938.55 |  |  |
| **Breakdown of the securitised asset by geographical area** | **Breakdown of the securitised asset by geographical area** |  |  |  |  |  |
| - North Italy | 28.64% |  |  | 59.39% |  |  |
| - Center | 41.68% |  |  | 30.92% |  |  |
| - South and Islands | 29.68% |  |  | 9.69% |  |  |
| **Total** | **100.00%** | **0.00%** | **0.00%** | **100.00%** | **0.00%** | **0.00%** |
| **Major clients of securitised portfolio** |  |  |  |  |  |  |
| - Corporate | 13.81% |  |  | 33.71% |  |  |
| - SME | 86.19% |  |  |  |  |  |
| - OTHER |  |  |  | 66.29% |  |  |
| **Total** | **100.00%** | **0.00%** | **0.00%** | **100.00%** | **0.00%** | **0.00%** |

---

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BANCA MONTE DEI PASCHI DI SIENA

For the duration of each transaction, the SRT is constantly monitored in order to verify that the CRR criteria regarding the effective transfer of credit risk are met. For the purposes of calculating capital requirements, as at 31 December 2024, the Group recognises significant risk transfer on both transactions.

The aforementioned transactions are monitored by the relevant functions; if critical issues or significant changes with respect to the forecasts are identified, information is provided to Top Management. In this regard, it should be noted that early termination clauses have been formalised in the contracts, such as "time call", "clean up call" and others that may be applied in the event of significant changes in regulatory and/or legislative provisions.

Lastly, as regards the accounting treatment, it should be noted that the aforementioned transactions were classified as financial guarantees; please refer to paragraph "Other significant accounting treatments - Purchase of protection from credit risk through financial guarantee contracts" of Part A of these Notes to the Consolidated Financial Statements. It should also be noted that the premium paid by the Group to the Investor for credit risk protection is recognised in the Income Statement under fee and commission expense. The enforcement of the financial guarantee received by the Investor upon the occurrence of contractually agreed conditions (known as credit event) relating to the securitised loans contributes to the overall determination of the Income Statement item "Net impairment (losses)/reversals for credit risk".

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Quantitative Information

C.1 Banking Group - Exposures arising from major own securitisation transactions broken down by type of securitised assets and type of exposure

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** |
| | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| <br>**Quality of underlying assets/esposures** | **Book <br> value** | **Impairment <br> (loss)/ <br> reversals** | **Book <br> value** | **Impairment <br> (loss)/ <br> reversals** | **Book <br> value** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** |
| **A. Fully derecognised** | **818735** | **(615)** | **27920** | **(8949)** | **585** | **(3445)** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;Non performing loans | 818735 | (615) | 27920 | (8949) | 585 | (3453) |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Mortgages loans |  |  |  |  |  | (40) |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Shipping loans |  |  |  |  |  | 48 |  |  |  |  |  |  |  |  |  |  |  |  |
| **B. Partially derecognised** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| **C. Not derecognised** | **483628** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;SME and Corporate Mortgages (synthetic securitisation) | 483628 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | **1302363** | **(615)** | **27920** | **(8949)** | **585** | **(3445)** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| *Of vhich: non-performing* | *818735* | *(615)* | *27920* | *(8949)* | *585* | *(3445)* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* |
| *Of vhich: others* | *483628* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* |

---

In relation to securitisation transactions with own underlying assets, the table indicates balance sheet exposures, unsecured exposures, and other forms of credit enhancement.

The table above shows, for synthetic securitisations, the amount of risk retained in transactions not derecognised from the Financial Statements.

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C.2 Prudential consolidation - Exposures arising from major 'third-party' securitisation transactions broken down by type of securitised asset and type of exposure

31 12 2024

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** |
| | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| <br>**Quality of underlying assets/esposures** | **Book <br> value** | **Impairment <br> (loss)/ <br> reversals** | **Book <br> value** | **Impairment <br> (loss)/ <br> reversals** | **Book <br> value** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** | **Net <br> exposure** | **Impairment <br> (loss)/ <br> reversals** |
| Non-performing loans | 4702 | (6075) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Shipping loans |  |  |  |  |  | 35 |  |  |  |  |  |  |  |  |  |  |  |  |
| Commiercial mortgages | 10090 | 727 | 10952 | 2949 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| First mortgages real estate loans | - | - | - | - | - | (35) | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | **14792** | **(5348)** | **10952** | **2949** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |

---

The table provides the exposures taken by the Group for each third-party securitisation transaction as well as reporting the contractual type of assets sold. The column "Write-downs/write-backs" indicates the amount of any write-downs or write-backs during the year as well as depreciations and revaluations posted to the income statement or directly to equity reserves, in the case of securities in the portfolio "Financial assets measured at fair value through other comprehensive income".

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

C.3 Prudential consolidation - Stakes in securitisation special purpose vehicles

31 12 2024

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Assets** | **Assets** | **Assets** | **Liabilities** | **Liabilities** | **Liabilities** |
| <br>**Consolidation** | <br>**Sede legale** | <br>**Consolidation** | **Credit** | **Debt <br> securities** | **Other** | **Senior** | **Mezzanine** | **Junior** |
| Belvedere SPV | Via Vittorio Betteloni 2, Milano | NO | 241838 |  | 138120 | 214958 | 70000 | 95000 |
| Deco 2019 - Vivaldi S.r.l. | Via Vittorio Betteloni 2, Milano | NO | 200000 |  |  | 110852 | 73599 | 15549 |
| Pietra Nera Uno S.r.l. | Via V.Alfieri, 1 Conegliano (TV) | NO | 194408 |  |  | 101101 | 83577 | 9730 |
| Siena Npl 2018 S.r.l. | Via Piemonte, 38 Roma | NO | 2159166 |  | 120038 | 812988 | 901215 | 565000 |
| **Total** |  |  | **2795412** | **-** | **258158** | **1239899** | **1128391** | **685279** |

---

Liabilities of third-party securitisation transactions do not have the remaining items different from the financial instruments issued, including cumulative profit (loss) for the year.

C.4 Prudential consolidation - Non-consolidated securitisation special purpose vehicles

The table represents the Group's interests in unconsolidated securitisation vehicles used for transactions in which the Group is an originator or investor; It also shows assets, liabilities and any off-balance sheet exposures, non-cancellable credit lines and financial guarantees (in the column 'Difference between exposure to loss risk and book value').

31 12 2024

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Accounting Portfolio Assets** | **Accounting Portfolio Assets** | **Accounting Portfolio Assets** | **Accounting Portfolio Assets** | | **Accounting<br> Portfolio Liabilities** | **Accounting<br> Portfolio Liabilities** | | | | |
| <br>**Balance-sheet item/ <br> Type of stuctured entity** | **Financial <br> assets <br> held<br> for <br> trading** | **Financial <br> assets <br> mandatorily <br> measured at <br> fair value <br> through <br> profit or <br> loss** | **Financial <br> assets <br> measured <br> at amortised <br> cost** | **Financial <br> assets <br> measured at <br> fair value <br> through<br> other <br> comprehensive <br> income** | <br>**Total <br> Assets <br> (A)** | **Fiancial <br> liabilities <br> held for <br> trading** | **Financial <br> liabilities <br> measured <br> at <br> amortised <br> cost** | <br>**Total <br> Liabilities <br> (B)** | <br>**Net book <br> value <br> (C=A-B)** | <br>**Maximum <br> esposure <br> to <br> loss (D)** | <br>**Difference <br> between <br> exposure <br> to loss <br> and<br> book <br> value <br> (E=D-C)** |
| Own securitisations vehicle (Originator). |  | 28505 | 818735 |  | 847241 |  |  |  | 847241 | 847241 |  |
| ABS issuing SPVs (Investor) | 24401 | - | - | 1343 | 25744 | - | - | - | 25744 | 25744 | - |
| **Total** | **24401** | **28505** | **818735** |  | **872985** | **-** | **-** | - | **872985** | **872985** | - |

---

It should be noted that the Group, in the role of investor holds interests in securitisation special purpose vehicles of the Italian banking system of performing and non-performing residential mortgages. The interests held by the Parent Company, as originator, relate to the following SPVs:

<u>Norma SPV</u>: on 1 July 2017, as part of a securitisation of non-performing loans, also originated by banks outside the Group, Banca MPS and its former subsidiary MPS Capital Services completed the sale of a portfolio of non-performing loans issued in the real estate and shipping sectors, consisting of 19 loans for a total of EUR 284.9 mln, of which: (i) 12 loans disbursed by the Parent Company for EUR 24.0 mln in the real estate sector and EUR 145.3 mln in the shipping sector; and (ii) 7 loans disbursed by the former subsidiary MPS Capital Services for EUR 28.8 mln in the real estate sector and EUR 86.8 mln in the shipping sector.

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BANCA MONTE DEI PASCHI DI SIENA

To fund the acquisition of this portfolio, on 21 July 2017 the SPV issued Class A1, B, C and D ABS securities (the "securities") for the real estate sector and Class A1, B, C1, C2 and D ABS securities for the shipping sector. The senior classes of both sectors were placed with institutional investors, while the mezzanine and junior classes were subscribed by each transferring bank in proportion to the transferred loans. In particular, the MPS Group subscribed the following classes:

&nbsp;&nbsp;&nbsp;&nbsp;· Real Estate: Class B notes for a nominal amount of EUR 31.2 mln; Class C
notes for a nominal amount of EUR 4.2 mln; Class D notes for a nominal amount of EUR 15.8 mln.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Shipping: Class B notes for a nominal amount of EUR 75.5 mln; Class C1 notes
for a nominal amount of EUR 32.7 mln; Class C2 notes for a nominal amount of EUR 10.4 mln; Class D notes for a nominal amount of EUR 105.6
mln.

On 21 October 2024, noteholders including the Parent Company entered into an Unwinding Agreement authorising the unwinding of both segments of the Norma SPV Securitisation following payments on that date of EUR 0.4 mln in respect of real estate and USD 0.1 mln in respect of Shipping. Subsequently, the Termination Letter was signed on 23 October 2024 and the notes were removed on 2 January 2025.

<u>Siena NPL 2018 S.r.l.</u>: in 2017, the Group completed a securitisation transaction on a portfolio of bad loans. The portfolio was sold on 20 December 2017 to the special purpose vehicle Siena NPL 2018 S.r.l., established for this purpose. The SPV financed the purchase of the portfolio through the issue of asset-backed securities with limited recourse of the Senior A1, Senior A2, Mezzanine and Junior class, centralized in dematerialized form at Monte Titoli S.p.A. and initially not listed on any regulated market in Italy and/or abroad.

On 9 January 2018, the transfer of 95% of the Mezzanine notes to Quaestio Capital SGR on behalf of the Italian Recovery Fund (formerly Fondo Atlante II) was completed. In May 2018, at the end of the rating assignment process, the senior notes were restructured into a single class, obtaining an investment grade rating from the 3 ratings agencies involved. The securities issued by the special purpose vehicle following the restructuring are therefore the following:

i. Senior A notes for EUR 2,918 mln, initial rating A3/BBB+/BBB (Moody's/Scope Ratings/DBRS). The outstanding
amount as at 31 December 2024 was around EUR 813 mln. The rating as at 31 December 2024 is Ba1/BBB+/BB high (Moody's/ Scope Ratings/DBRS);

ii. Mezzanine B notes for EUR 848 mln, without rating and sold to the Italian Recovery Fund, for a portion
of 95% of the issue. The outstanding amount as at 31 December 2024, also due to the capitalisation of the interest (payment-in-kind),
was about EUR 901 mln;

iii. Junior for EUR 565 mln, without rating and transferred to the Italian Recovery Fund, for a 95% share of
the issue.

The transfer of 95% of the Mezzanine and Junior securities resulted in the deconsolidation of the entire securitised port-folio in June 2018. The remaining 5% of the Mezzanine and Junior notes was retained for the purpose of compliance with the "retention rule".

Lastly, in July 2018, the MEF granted, with a decree, the government guarantee (GACS) on the senior tranche of the securitisation. Obtainment of the GACS completed the entire securitisation process.

C.5 Prudential Consolidation - Servicer activities - own securitisations: collections of securitised loans and redemptions of securities issued by the special purpose securitisation vehicle

As at 31 December 2024, the Group does not carry out servicer activities in its own securitisation transactions in which the assets sold have been derecognised in the Financial Statements pursuant to IFRS 9.

C.6 Prudential consolidation - Consolidated securitisation special purpose vehicles

*Own securitisations without derecognition of the underlying assets*

As at 31 December 2024, the Group had no consolidated special purpose securitisation vehicles.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

D. Transfers

A. Financial assets sold and not fully derecognised

Qualitative Information

As at 31 December 2024, the Group had no outstanding multi-originator transfers of loan portfolios to mutual funds with allocation of the relevant units to the transferor intermediaries that did not result in the derecognition of the transferred loans in accordance with IFRS 9.

At the same date, the transfer transactions that did not result in the derecognition from the financial statements of the underlying financial assets are represented by:

&nbsp;&nbsp;&nbsp;&nbsp;· securitisation transactions of credit exposures to customers, for which
reference is made to the contents in section 4 "Liquidity risk" of these Notes to the financial statements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· repurchase agreement payables on securities owned, mainly classified in
the following portfolios: "Financial assets held for trading", "Financial assets measured at fair value through other
comprehensive income", and "Financial assets measured at amortised cost".

For repurchase agreements, the non-derecognition of the security, subject to spot transfer, derives from the fact that the Bank substantially retains all the risks and benefits associated with the security, having the obligation to repurchase it forward to a contractually established price. The transferred securities therefore continue to be represented in the accounting portfolios to which they belong; the sale consideration is recognised under 'Financial liabilities measured at amortised cost: a) due to banks or b) due to customers', depending on the type of counterparty. In this regard, it should be noted that the following tables do not show repurchase agreement payables carried out on securities not recognised in the financial statements, if their availability is a result of repurchase agreement receivables.

For securitisation transactions, described in the previous paragraph "C. Securitisation transactions" and in section 4 "Liquidity risk", the non-derecognition is a result of the Group's subscription of tranches of junior securities or similar exposures, which entail the risk of first losses for the Group and, likewise, the benefit associated with the return on the portfolio of transferred assets. In return for the transfer, the consideration received is recognised as a balancing entry to a liability due to the special purpose vehicle, net of any tranches of securities subscribed or any use of liquidity support in favour of the special purpose vehicle in order to make principal payments. The loan recognised in this way to the special purpose vehicle company will be reduced by the amounts collected by the originator, as "servicer", and transferred to the same vehicle.

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BANCA MONTE DEI PASCHI DI SIENA

Quantitative Information

D.1 Prudential consolidation - Financial assets sold and fully recognised and associated financial liabilities: book values

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets sold and fully recognised** | **Financial assets sold and fully recognised** | **Financial assets sold and fully recognised** | **Financial assets sold and fully recognised** | **Associated financial liabilities** | **Associated financial liabilities** | **Associated financial liabilities** |
|  | | | ***of which:*** | | | | ***of which:*** |
|  |<br><br>**Book value** |<br>***of which: subject***<br>***to securitization***<br>***transactions*** | ***subject to***<br>***repurchase***<br>***agreement*** |<br>**of which:**<br>**non-**<br>**performing** |<br><br>**Book value** |<br>***of which: subject***<br>***to securitization***<br>***transactions*** | ***subject to***<br>***repurchase***<br>***agreement*** |
| **Fiancial assets held for trading** | **1134044** |  | ***1134044*** | **X** | **1136731** |  | ***1136731*** |
| 1. Debt securities | 1134044 |  | 1134044 | X | 1136731 |  | 1136731 |
| 2. Equity instruments |  |  | *-* | X |  |  | *-* |
| 3. Loans |  |  | *-* | X |  |  | *-* |
| 4. Derivatives |  |  | *-* | X |  |  | *-* |
| **Financial assets mandatorily measured at fair value**  | **-** |  | **-** | **-** | **-** |  | **-** |
| 1. Debt securities |  |  |  |  |  |  |  |
| 2. Equity instruments |  |  | *-* | X |  |  | *-* |
| 3. Loans |  |  | *-* |  |  |  | *-* |
| **Financial assets designated at fair value** | **-** |  | *-* | **-** | **-** |  | *-* |
| **1. Debt securities** | **-** |  | ***-*** | **-** | **-** |  | ***-*** |
| Loans |  |  | *-* |  |  |  | *-* |
| **Financial assets measured at fair value through other comprehen-sive income**  | **929299** |  | *929299* | **-** | **932973** |  | *932973* |
| **1. Debt securities** | **929299** |  | ***929299*** | **-** | **932973** |  | ***932973*** |
| 2. Equity instruments |  |  | *-* | X |  |  | *-* |
| 3. Loans |  |  | *-* |  |  |  | *-* |
| **Fiancial assets measured at amortised cost**  | **3566353** |  | *3566353* | **-** | **3150049** |  | *3150049* |
| 1. Debt securities | 3566353 |  | *3566353* |  | 3150049 |  | *3150049* |
| 2. Loans | - |  | *-* | - | - |  | *-* |
| **Total 31 12 2024** | **5629696** |  | *5629696* | **-** | **5219753** |  | **5219753** |
| **Total 31 12 2023** | **3697203** |  | *3697203* | **-** | **3500295** |  | **3500295** |

---

D.2 Prudential consolidation - Financial assets sold and partially recognised and associated financial liabilities: book values

This table was not created as the Group did not have any financial assets sold and partially recognised in the current financial year or previous financial year.

D.3. Prudential consolidation - Transfers relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: *fair value*

This table is empty because in both the current and previous years, the Group did not have any sales transactions relating to liabilities with repayment exclusively based on assets sold and not fully derecognised.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

*B. Financial assets sold and fully derecognised with assessment of continuing involvement*

Qualitative Information

Quantitative Information

None to report as at 31 December 2024.

C. Financial assets sold and fully derecognised

Following are multi-originator transfers, regarding loan portfolios, to a mutual investment fund with the attribution of the related units to the transferor intermediaries. The transactions outlined below led to the derecognition of the receivables sold pursuant to IFRS 9 ("derecognition"), as the Group did not substantially retain the risks and benefits of the transferred assets and also did not retain any substantial control over these assets, which were instead assumed by the fund management company (hereinafter also SGR). In particular, the risks and benefits that the Group could achieve from the units held in exchange for the contribution of receivables, are not anchored in the an, nor the quantum or the timing, to events affecting the assigned loans, given that the economic and financial trends related to individual receivables will not automatically and directly affect the returns of individual shareholders, which will instead depend on the general performance of the fund managed by the SGR.

Qualitative and quantitative Information

Efesto Fund

In November 2020, the MPS Group finalised a sale of a multi-originator type of a portfolio of loans classified as "unlikely to pay", issued to industrial and service companies located in Italy and with an average turnover of EUR 20 mln in the last 3 years, to a Fund - managed by Finanziaria Internazionale Investments S.G.R. S.p.A. The price settlement was determined by offsetting the loan owed by the Fund with the concurrent underwriting of freed up units of the Fund.

As at the date of sale, the portfolio consisted of loans payable to the MPS Group and other banking groups by 51 target companies (for the MPS Group 11 debtors) for a total gross exposure of EUR 432.5 mln (for the MPS Group EUR 126.2 mln - of which 57% secured - at a total price of EUR 197.2 mln (for the MPS Group about EUR 55.8 mln). The net book value of the loans as at the sale date for the MPS Group was EUR 53.3 mln.

The loans sold are fully derecognised as the assets of the Group as at 31 December 2020 and the fund units are recognised for a total of EUR 50.9 mln, equal to around a 28.3% investment in the fund.

As at 31 December 2024, the Group held 3.0% of the Fund's units (5.0% as at 31 December 2023) for a book value of EUR 21.5 mln (EUR 26.4 mln as at 31 December 2023). The reduction in percentage equity investment is mainly due to new contributions made to the Fund by unit holders other than the Group.

Back2Bonis Fund

On 27 December 2019, the MPS Group, UBI Banca and Banco BPM finalised with AMCO and the Prelios Group a transaction named Cuvée which provided for the creation of a multioriginator platform to manage UTP (Unlikely to pay) loans, from EUR 3 mln to EUR 30 mln, issued to companies of the real estate sector that are in a restructuring phase or in financial difficulties.

The first step of this transaction was completed in December 2019 - which was joined by the MPS Group - when the positions of 46 debtors were transferred to the Fund (for the MPS Group, 7 debtors) for a total of about EUR 453 mln (of which EUR 11 mln for the MPS Group) at a price of about EUR 242 mln (EUR 43 mln for the MPS Group). The assignor banks received, as payment for the sale, units of Fondo of which the MPS Group holds 17.7%. The loans sold are fully derecognised as the assets of the Group as at 31 December 2019 and the fund units are recognised for a total of EUR 32.3 mln.

As at 31 December 2024, the Group held 4.0% of the Fund's units (4.1% as at 31 December 2023) for a book value of EUR 33.0 mln (EUR 34.3 mln as at 31 December 2023). The reduction in percentage equity investment is mainly due to new contributions made to the Fund by unit holders other than the Group.

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Clessidra Fund

In September 2019, the Group finalised a sale of a multi-originator type of a portfolio of loans classified as "unlikely to pay", issued to industrial and service companies located in Italy and with a turnover not under EUR 50 mln, to a Fund - managed by Clessidra SGR S.p.A. The price settlement was determined by offsetting the loan owed by the Fund with the concurrent underwriting of freed up units of the Fund.

The Fund was established for the purpose of improving the performance for the recovery of the loans acquired, thanks to the value increase of the target companies through:

· inputs of a managerial nature, made possible through the substantial addition
of the Fund to the net financial positions of the companies and to any conversion of the acquired loans into equity instrument of the
same companies;

<sub> </sub>

· contribution of financial resources aimed at improving the industrial and
financial turnaround.

The Fund has issued four categories of units with different economic rights:

· units A reserved to the transferring banks;

<sub> </sub>

· units B and C intended for two categories of institutional investors who
contribute a "new finance";

<sub> </sub>

· units D reserved to the Fund management team.

As at the date of transfer, the portfolio consisted of loans from the MPS Group and other banking groups to 13 target companies (for the MPS Group, 8 debtors) for a total gross exposure of approximately EUR 274 mln (for the MPS Group, approx-imately EUR 102 mln, of which EUR 91.2 mln relate to the Parent Company and EUR 10.7 mln to the former subsidiary MPS Capital Services S.p.A.) at a total price of approximately EUR 196 mln (for the MPS Group, approximately EUR 78 mln for a 39.8% interest in the fund). The net book value of the loans as at the sale date for the MPS Group was about EUR 71 mln.

As at 31 December 2024, the Group held 39.5% of the Fund's units (unchanged from 31 December 2023), with a book value of EUR 58.5 mln (EUR 40.6 mln as at 31 December 2023).

Idea I and Idea II Fund

In 2016 and 2017, the Group carried out two multioriginator sale transactions concerning loan portfolios (with full derecognition in the Financial Statements) to a mutual investment fund, with attribution of the related units to the transferor intermediaries. This refers to a project of Idea Capital Fund S.g.r., a management company that has established two multi-seg-ment mutual investment funds called Fondo Idea CCR I (2016) and Fondo Idea CCR II (2017).

With regard to the Idea CCR I fund, the Group had contributed 6 positions to the fund for an aggregate total of EUR 20.0 mln out of an aggregate total of EUR 217 mln at a price of EUR 14.3 mln, receiving 8.1% of the shares of the Idea CCR I fund as consideration for the sale.

On the other hand, with regard to the Idea CCR II Fund, the Group contributed 5 positions to the fund for a total of EUR 51.5 mln against a total of EUR 328.9 mln at a price of EUR 32.7 mln, receiving 14.1% of the shares of the Idea CCR II Fund as consideration for the transfer.

As at 31 December 2024, the Group holds 6.39% and 1.65% of the units of sub-fund A respectively of the Idea CCR I Fund and the Idea CCR II Fund (6.39% and 4.00% as at 31 December 2023). The book value of these shares is respectively EUR 3.0 mln (EUR 4.4 mln as at 31 December 2023) and EUR 8.3 mln (EUR 10.5 mln as at 31 December 2023). The reduction in percentage equity investment in Idea CCR II Fund is mainly due to new contributions made to the Fund by unit holders other than the Group.

For more information on the criteria for determining the units fair value, please refer to Part A of these Notes to the consolidated financial statements.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

D Covered bond transactions

Characteristics of the issuance programmes

The Group has two Covered Bond Issuance Programmes.

The first programme, intended for institutional investors, was launched in 2010 in the amount of EUR 10,000 mln. The main purpose of this programme is to offer a secured product on the market, proposing it as a preferred instrument for improving the medium- and long-term financial profile, but also to realise eligible instruments as collateral in refinancing operations with the European Central Bank or in repurchase agreements, increasing the availability of liquid assets to cope with the Bank's liquidity risk (counterbalancing capacity). In light of the developments in the financial markets, the programme should be considered as part of a wider strategy, aimed at:

· curbing the costs of funding: covered bonds are widely preferred, inasmuch
as they are issued directly by the Bank and their repayment is also guaranteed by a segregated pool of assets (in this case, residential
mortgage loans); in the event of issuer bankruptcy, covered bond holders enjoy a right of recourse on a portfolio of segregated high-quality
assets and are, therefore, willing to accept a lower yield than the one offered by similar uncovered bonds;

· diversifying the Bank's funding sources on the international market;

<sub> </sub>

· lengthening its average debt maturity profile.

On 26 June 2015, the first programme's meeting of the covered bond holders approved the proposed amendments in order to:

· amend the programme, to obtain a rating from DBRS (in addition to Moody's
and Fitch) for the covered bonds issued and to be issued as part of the programme; and

<sub> </sub>

· activate, if specific cases of default take place pursuant to the programme,
a "conditional pass through" type mecha-nism for the repayment of the bonds issued.

At the time of the annual renewal of the programme, on 23 December 2017, its maximum amount was increased from EUR 10,000 mln to EUR 20,000 mln.

In order to strengthen the Group's counterbalancing capacity, in 2012, a second (OBG) issuance programme was authorised, collateralised by a separate asset pool of residential and commercial mortgages, with a maximum capacity of EUR 20,000 mln. The programme is not intended for the market, but is aimed at the realisation of eligible instruments as collateral in refinancing operations with the European Central Bank or in repurchase agreements, increasing the availability of liquidable assets to cope with the Bank's liquidity risk(counterbalancing capacity). The programme, which did not have an explicit rating at its launch, was rated by DBRS in 2013.

The structure of the Group's Covered Bond programmes requires fulfilment of the following activities:

a. the Parent Company or another Group company transfers, without recourse, a pool of assets, consisting
of appropriate assets (real-estate backed, residential and commercial mortgage loans), to the vehicles MPS Covered Bond S.r.l. and MPS
Covered Bond 2 S.r.l., thereby forming a segregated cover pool;

b. the transferor grants a subordinated loan to the vehicle, for the purpose of financing payment of the
assets' purchase price by the vehicle;

c. the Parent Company issues Covered Bonds secured by an autonomous, irrevocable and unconditional first-demand
guarantee issued by the vehicle for the only benefit of the bond-holding investors and senior creditors in the programme (the guarantee
involves limited recourse to the assets of the Cover Pool owned by the vehicle, which acts as guarantor).

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Accounting treatment

Pursuant to IFRS 9, the derecognition of a financial instrument from the balance sheet of the transferor is determined on the basis of the substance of the contract, not its legal form. Having said this, the deal is recognised as follows:

· Transferred loans continue to be recognised as assets in the balance sheet
of the Parent Company's financial statements under item 40 b) of the assets "Financial assets measured at amortised cost:
loans to customers", under the sub-item "Mortgages", as the Parent Company continues to hold the risks and rewards associated
with the ownership of the legally assigned mortgages;

<sub> </sub>

· the loan disbursed by the Parent to the vehicle is not classified as a separate
item in the balance sheet, since it is offset with the amount due to the vehicle linked to the initial transfer price. The loan, therefore,
is not subject to credit risk as-sessment, because this risk is entirely reflected in the assessment of transferred loans, which continue
to be reported in the Parent Company's balance sheet.

<sub> </sub>

· Loans are subject to movements based on own events (figures and assessment);
instalments collected by the Parent (which also acts as a servicer) are reallocated daily to the Vehicle's "Collection Account"
and accounted for by the Parent as follows:

<sub> </sub>

- collection of principal from borrower is recognised as an offsetting entry to the reduction in the loan to the borrower;

- reallocation of principal to the Vehicle is recognised as an offsetting entry to the recognition of a loan to the Vehicle;

- this loan is paid off upon repayment of the subordinated loan;

- the portion of interest received from the borrower is recognised as an offset to item 10 of the income statement "Interest income: loans to customers" (interest on loans continues to be recognised on an accruals basis through the allocation of accruals);

- reallocation of interest to the Vehicle is recognised as an offsetting entry to the recognition of a loan to the Vehicle;

- this loan is paid off upon collection of interest on the subordinated loan.

· the vehicles "MPS Covered Bond S.r.l." and "MPS Covered
Bond 2 S.r.l." are invested in by the Parent Company for a control stake of 90%, recognised under Item 70 "Equity Investments"
and included in the Group's Consolidated Financial Statements on a line-by-line basis;

<sub> </sub>

· OBGs issued are recorded as liabilities under item 10 c) "Financial
liabilities measured at amortised cost: debt securities issued" on the liabilities side, and related interest expense is recognised
on an accrual basis.

In consideration of the characteristics and accounting treatment of the deal, the swaps associated with the transaction are not recognised in the balance sheet, since their recognition would entail, pursuant to par. B3.2.14 of IFRS 9, a duplication of rights and obligations already recognised due to mortgage loans transferred being maintained on the balance sheet.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Risks and Control Measures

In order to allow the transferee to meet the obligations related to the collateral pledged, the Parent Company uses appropriate Asset & Liability Management techniques to secure a trend of substantial balance between the maturities of cash flows arising from the assets sold and maturities of payments due in relation with the covered bonds issued and other costs of the transaction.

The Programmes have been structured in compliance with the applicable legislative and regulatory provisions, and have undergone a thorough review to bring them into line with the provisions contained in the 42nd update of the Supervisory Provisions, implementing Italian Legislative Decree no. 190/2021, which introduced the Title I-bis in Italian Law 130/99 to implement the "Covered Bond Directive" in Italy.

The structure of the debt issuance programmes of the Parent Company (in the role of transferor and servicer) is subject to stringent regulatory requirements and calls for continuous actions, on a regular basis and for each transaction, by the Credit Portfolio Governance, Finance, Treasury and Capital Management and Risk Management functions, as well as the Credit Audit function and an external auditor (Deloitte & Touche) as Asset Monitor. In particular, these actions include:

· assessments on the quality and integrity of the assets pledged as security
for the obligations, in particular, the appraisal of the value of the real estate, both residential and commercial, on which the mortgage
is secured in relation to the land and mortgage loans assigned; intervention may take the form of repurchases, additions and new disposals
of additional assets, compliance with the loan-to-value limits of Article 129 of the CRR;

<sub> </sub>

· assessments on the maintenance of the correct ratio between the OBG issued
and the assets pledged as collateral (cover pool - residential land and mortgage loans for the first programme and both residential and
commercial for the second programme) and compliance with the liquidity buffer requirement;

<sub> </sub>

· assessments on compliance with the internal operating limits for the transfer
of eligible assets, as well as, if they are exceeded, the adoption of the necessary corrective measures;

<sub> </sub>

· assessment <sub></sub> on whether risks are effectively and adequately hedged by any derivative contracts in relation to the trans action;

· the trend of financial flows related to the programme;

<sub> </sub>

· the completeness, truthfulness and timeliness of the information made available
to investors.

In the course of 2013, the mitigation strategy for interest rate risk on the first programme was restructured in order to minimise the Special Purpose Vehicle's exposure to market counterparties. In particular, the newly-defined strategy aims to only cover the Special Purpose Vehicle's net exposure to interest rate risk, as opposed to the nominal amount. At the same time, a number of outstanding Covered Bond Swaps with market counterparties, which expired in July 2024, were outsourced.

The paragraphs below provide information on the nature of the risks associated with the interest in the MPS Covered Bond S.r.l. vehicle, whose assets are pledged as collateral of bond issues of the Parent Company partly placed with the market. In particular, the terms of the agreements that could require the Group to provide financial support to the vehicle MPS Covered Bond S.r.l. are as follows:

· the Parent Company is committed to ensuring compliance with coverage and
liquidity requirements on an ongoing basis; regulatory and contractual tests calculated according to the methodologies defined by the
rating agencies from time to time;

<sub> </sub>

· repayment is possible, even in several instalments, in advance of each subordinated
loan if the legally required tests and the level of over collateralisation are complied with and if there are available funds. Repayment
is also permitted, in order to comply with the maximum cash limit that can be accumulated by the special purpose vehicle, as established
by the regulations to the extent that it is not possible, for the special purpose vehicle, to purchase new eligible assets to replace
the cash, pursuant to the subordinated loan agreement);

<sub> </sub>

· the Parent Company, pursuant to the Master Definition Agreement, is obliged
to continuously comply with the liquidity requirement by setting up and adjusting the amount of the variable liquidity reserve in accordance
with the criteria defined both by regulations and in agreement with the rating agencies.

With regard to the second programme, the terms of the contractual agreements that may provide for the Group to provide financial support to the vehicle MPS Covered Bond 2 S. r.l. are the same as those indicated above for the vehicle MPS Covered Bond S.r.l..

There are no cases of financial or other support to a previously non-consolidated structured entity as a result of which the structured entity was controlled by the Group.

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The Group does not intend to provide financial or other support to the vehicle, nor to assist the entity in obtaining financial support.

Description of individual disposals and issuances

In the context of the first programme, on 31 January 2024, the Parent Company, disposed of a portfolio of 18,680 performing residential mortgages, with no outstanding instalments at the date of portfolio valuation as well as meeting identified selection criteria, substantially comparable to those used for previous disposals, for an amount of EUR 2,077.58 mln.

Here follows a summary of the main characteristics regarding transfers in the <u>first programme</u>:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Cover Pool <br> transfer date** | **Type of <br> securitsed assets** | **Transferor** | **Total value<br> of asset tranferred <br> (in units of eur)** | **N° of <br> mortagage <br> loans<br> transferred** | **Breakdown of <br> transferred debtors<br> by business sectors** |
| 25/05/10 | Residential mortage loans | MPS Bank | 4413282561 | 36711 | 100% natural persons |
| 19/11/10 | Residential mortage loans | MPS Bank | 2400343584 | 19058 | 100% natural persons |
| 25/02/11 | Residential mortage loans | MPS Bank | 3887509799 | 40627 | 100% natural persons |
| 25/05/11 | Residential mortage loans | Banca MPS (formerly Antonveneta Bank) | 2343824924 | 26804 | 100% natural persons |
| 16/09/11 | Residential mortage loans | MPS Bank | 2323368355 | 27973 | 100% natural persons |
| 14/06/13 | Residential mortage loans | MPS Bank | 415948266 | 4259 | 100% natural persons |
| 18/09/15 | Residential mortage loans | MPS Bank | 1529531983 | 15080 | 100% natural persons |
| 31/10/16 | Residential mortage loans | MPS Bank | 775933585 | 7630 | 100% natural persons |
| 22/12/16 | Residential mortage loans | MPS Bank | 237758336 | 1903 | 100% natural persons |
| 03/05/18 | Residential mortage loans | MPS Bank | 1311870107 | 12401 | 100% natural persons |
| 27/02/19 | Residential mortage loans | MPS Bank | 1809753193 | 16880 | 100% natural persons |
| 16/10/19 | Residential mortage loans | MPS Bank | 1262890758 | 12008 | 100% natural persons |
| 15/06/20 | Residential mortage loans | MPS Bank | 1433158855 | 13107 | 100% natural persons |
| 18/05/21 | Residential mortage loans | MPS Bank | 1665859006 | 15074 | 100% natural persons |
| 20/06/22 | Residential mortage loans | MPS Bank | 912293907 | 8837 | 100% natural persons |
| 31/01/24 | Residential mortage loans | MPS Bank | 2077583275 | 18680 | 100% natural persons |

---

The remaining debt balance on the portfolio as at 31 December 2024 amounted to EUR 11,044.2 mln for 146,038 mortgage loans.

As part of the first programme, the Parent Company completed over the years a total of thirty five<sup>78</sup> issuances, eleven of which had not yet matured or been repaid early for a nominal amount, as at 31 December 2024, of EUR 6,700.0 mln, of which EUR 3,688.5 mln is on the market and EUR 3,011.5 mln is held by the Parent Company.

During 2024, under the first Covered Bond programme, the following issues were carried out:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Date of isse** | **Notional Amount** | **Coupon** | **Frequency** | **Date of maturity** |
| 23/04/24 | 750.000.000 | 350% | yearly | apr-29 |
| 16/07/24 | 750.000.000 | 3375% | yearly | Jul-30 |
| **Total** | **1.500.000.000** |  |  |  |

---

78 This number of issues includes 3 registered covered bonds, private issues under the programme.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

As part of the second programme, on 16 July 2024 a portfolio for a total of 5,921 performing residential and commercial mortgage loans was sold, with no outstanding payments at the date of portfolio valuation, as well as meeting selection criteria substantially comparable to those used for previous disposals, for a total amount of EUR 645.9 mln.

Here follows a summary of the main characteristics regarding transfers in the <u>second programme</u>:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Cover Pool <br> transfer date** | **Type of <br> securitsed assets** | **Transferor** | **Total value of <br> asset tranferred <br> (in units of eur)** | **N° of <br> mortagage <br> loans<br> transferred** | **Breakdown of <br> transferred debtors<br> by business sectors** |
| 30/04/12 | Residential mortgage loans | MPS Bank | 2384995478 | 27047 | 100% natural persons |
| 26/06/12 | Residential and commercial mortgage loans | MPS Bank | 2478270455 | 13993 | Mixed |
| 28/08/12 | Residential and commercial mortgage loans | MPS Bank | 1401965498 | 17353 | Mixed |
| 24/09/12 | Residential and commercial mortgage loans | MPS Bank | 2473677574 | 9870 | Mixed |
| 18/02/13 | Residential and commercial mortgage loans | MPS Bank | 1286740404 | 9033 | Mixed |
| 24/06/13 | Residential and commercial mortgage loans | MPS Bank | 2147692217 | 12771 | Mixed |
| 25/03/14 | Residential and commercial mortgage loans | MPS Bank | 1464170335 | 5645 | Mixed |
| 20/10/15 | Residential and commercial mortgage loans | MPS Bank | 977548353 | 5671 | Mixed |
| 18/07/16 | Residential and commercial mortgage loans | MPS Bank | 2010907195 | 24162 | Mixed |
| 26/08/16 | Residential and commercial mortgage loans | MPS Bank | 813253156 | 7211 | Mixed |
| 24/03/17 | Residential and commercial mortgage loans | MPS Bank | 789153182 | 5799 | Mixed |
| 08/05/18 | Residential and commercial mortgage loans | MPS Bank | 685537103 | 4718 | Mixed |
| 09/11/18 | Residential and commercial mortgage loans | MPS Bank | 470369358 | 3002 | Mixed |
| 27/09/19 | Residential and commercial mortgage loans | MPS Bank | 727237065 | 4549 | Mixed |
| 26/02/20 | Residential and commercial mortgage loans | MPS Bank | 1034517196 | 8625 | Mixed |
| 19/04/21 | Residential and commercial mortgage loans | MPS Bank | 1519843073 | 12916 | Mixed |
| 30/11/21 | Residential and commercial mortgage loans | MPS Bank | 1751398674 | 14646 | Mixed |
| 18/07/22 | Residential and commercial mortgage loans | MPS Bank | 1000344594 | 7363 | Mixed |
| 21/11/23 | Residential and commercial mortgage loans | MPS Bank | 1124698093 | 10798 | Mixed |
| 16/07/24 | Residential and commercial mortgage loans | MPS Bank | 645897467 | 5921 | Mixed |

---

The remaining debt balance on the portfolio as at 31 December 2024 amounted to EUR 9,662.3 mln for 109,476 mortgage loans.

As part of the second programme, the Parent Company completed forty-seven issues, of which twelve not yet matured or redeemed early, which were not intended for the market but repurchased by the Parent Company and used as collateral for refinancing transactions in the Eurosystem, for a total as at 31 December 2024 of EUR 7,550.0 mln.

As part of the second Covered Bond Programme, the maturities of the following issues were extended in 2024:

---

| | | | |
|:---|:---|:---|:---|
| **Date of isse** | **Notional Amount** | **Coupon** | **Date of maturity** |
| 16/09/20 | 750000000 | 3mE + 0520% | apr 2027 |
| 16/09/20 | 750000000 | 3mE + 0.53% | apr 2027 |
| 14/05/21 | 700000000 | 3mE + 0.28% | oct 2027 |
| 19/07/21 | 700000000 | 3mE + 0.27% | Jan 2028 |

---

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E. Prudential consolidation - Credit risk measurement models

This paragraph provides information of a quantitative nature related to the models for the measurement of credit risk, the qualitative characteristics of which have been described in Chapter 2 "Credit risk management policies" of Section 2 "Prudential consolidation risk" of these Notes to the consolidated financial statements.

The chart below provides a credit quality breakdown of the Group portfolio as at 31 December 2024 by Exposure to Risk (REG EAD) and Regulatory Capital (REG CAP). It should be noted that about 59% (57% as at 31 December 2023) of risk exposure relates to high- and good-quality customers (positions in financial assets are excluded). It should be noted that the ranking below also includes exposure to banks, government agencies and non-regulated financial and banking institutions, which are not included in the AIRB approaches. The quality is measured in terms of probability of default assigned to customers through the AIRB models of the MPS Group. Non-AIRB counterparties are nevertheless subject to a credit standing assessment using official ratings where available or appropriate internally determined benchmark values.

![](tm2518026d1_ex99-4img25.jpg)

On the other hand, the following chart provides a breakdown of credit quality only for Corporate and Retail portfolios (which are largely validated by the Supervisory Authority for the use of internal PD and LGD models). As at 31 December 2024, high or good quality exposure accounted for approximately 50% of total exposure (47% as at 31 December 2023).

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

![](tm2518026d1_ex99-4img26.jpg)

With reference to Risk Exposure, the Parent Company covers 98.9% of the Group's total, while Widiba covers the remaining 1.1%.

![](tm2518026d1_ex99-4img27.jpg)

The Regulatory Capital for credit risk is absorbed mainly by the Parent Company (99.4%), followed by Widiba (0.6%).

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An analysis conducted at the end of 2024 shows that the Group's risk exposure is mainly toward "Manufacturing Companies" (46.7% of total loans disbursed), "Households" (35.6%), "Governments and Public Administration" (15.6%) and "Banks and Financial Institutions" (2.1%).

![](tm2518026d1_ex99-4img29.jpg)

In terms of Regulatory Capital, 75.7% is absorbed by the "Manufacturing Companies" customer segment. The 'Families' segment stands at 19.7%; followed by "Governments and Public Administration" and "Banks and Finance" with 3% and 1.7% respectively:

![](tm2518026d1_ex99-4img30.jpg)

An analysis of the geographical breakdown of the Group customers shows that exposure to risk is primarily concentrated in the regions of the Centre (42.5%), followed by those in the North West (20.8%), North East (17.6%), South (12.4%), Is-lands (4.3%) and abroad (2.3%).

![](tm2518026d1_ex99-4img31.jpg)

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Regulatory Capital absorption is also higher in Central Italy (29.6%), in North West Italy (29.2%) and North East Italy (20.1%) due to the greater concentration of loans in those areas. These are followed by the South (13.7%), Abroad (4.6%) and the Islands (2.8%):

![](tm2518026d1_ex99-4img32.jpg)

Lastly, the following graphs show, solely for Italian corporate customers, the percentage breakdown of Default Exposure by individual Geographic Area and Regulatory Capital absorption by Business Sector.

The largest share (53%) of Default Exposure for businesses in all Geographic Areas is accounted for by the "Services" sector. The remaining 47% is distributed as follows: Industry (33%), Building (8%) and Agriculture (6%):

![](tm2518026d1_ex99-4img33.jpg)

Also as regards Regulatory Capital (REG CAP), the greater concentration relates to the Services sector in all Geographic Areas. Of the Group total, the predominant sector remains Services (54%).

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BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4img34.jpg)

The comparison between expected loss and actual loss is performed on an annual basis by the internal control function as part of PD and LGD back testing procedures.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

1.2 – Market risks

1.2.1 Interest rate and price risk – Regulatory trading book

Market risks relating to the Trading Book

*Market risk management model for the Trading Book*

The Group's Regulatory Trading Book (PNV - Portafoglio di Negoziazione di Vigilanza) consists of the set of Trading Books managed by the Parent Company (BMPS), in particular by the Chief Financial Officer (CFO) Division and the Chief Commer-cial Officer Large Corporate & Investment Banking (CCO LCIB or LCIB) Department. The subsidiaries' portfolio are immune to market risk. Trading in derivatives, which are brokered on behalf of customers, is centralised at LCIB Department.

The market risks in the trading book are monitored in terms of Value-at-Risk (VaR) for operational purposes. The Group's Finance and Liquidity Committee is responsible for directing and coordinating the overall process of managing the Group's proprietary finance thereby ensuring that the management strategies of the various business units are consistent.

The Group's Trading Book is subject to daily monitoring and reporting by the Risk Management function of the Parent Com-pany on the basis of proprietary systems. VaR for management purposes is calculated separately from the operating units, using the internal risk measurement model implemented by the aforementioned function, in line with leading international best practices. The Group uses the standardised methodology in the area of market risks solely for reporting purposes.

Operating limits defined for trading activities are expressed by level of delegated authority in terms of VaR, which is diver-sified by risk factors and portfolios, monthly and annual stop losses, and stress. Furthermore, the trading book's credit risk, in addition to being included in VaR computations and in the respective limits for the credit spread risk component, is also subject to specific operating limits for issuer and bond concentration risk which specify maximum notional amounts by type of guarantor and rating class.

VaR is calculated with a 99% confidence interval and a holding period of one business day. The Group adopts the method of historical simulation with daily full revaluation of all basic positions, out of 500 historical entries of risk factors (lookback period) with daily scrolling. The VaR calculated in this manner takes account of all diversification effects of risk factors, portfolios and types of instruments traded. It is not necessary to assume, a priori, any functional form in the distribution of asset returns, and the correlations of different financial instruments are implicitly captured by the VaR model on the basis of the combined time trend of risk factors. The historical scenarios used in the model are constructed as a daily variation, in terms of ratio, of the individual risk factors; the realised shock is applied at the current market level making the VaR measure responsive to changing market conditions.

Periodically, information on market risks is transmitted to the Risk Management Committee and to the Top Bodies as part of the information flows with which Top Management and the Governing Bodies are informed about the Group's overall risk profile.

The categories of risk factors covered by the Internal Market Risk Model are: interest rates on all relevant curves, inflation curves and related volatilities (IR); share prices, indexes, baskets and relative volatilities (EQ); commodity prices (CO), ex-change rates and their volatilities (FX) and credit spread levels (CS).

· VaR (or diversified or net VaR) is calculated and broken down daily for
internal management purposes, even with respect to other dimensions of analysis: (i) organisational/management analysis of portfolios;
(ii) for financial instruments and for (iii) risk families.

It is then possible to assess VaR along each combination of these dimensions in order to facilitate highly detailed analyses of events characterising the portfolios.

In particular, with reference to risk factors the following are identified: Interest Rate VaR (IR VaR), Equity VaR (EQ VaR), Commodity VaR (CO VaR), Forex VaR (FX VaR) and Credit Spread VaR (CS VaR). The algebraic sum of these items gives the so-called Gross VaR (or non-diversified VaR), which, when compared with diversified VaR, makes it possible to quantify the benefit of diversifying risk factors resulting from holding portfolios on asset class and risk factor allocations which are not perfectly correlated. This information can also be analysed along all the dimensions referenced above.

The model enables the production of diversified VaR metrics for the entire Group in order to get an integrated overview of all the effects of diversification that can be generated among the portfolios on account of the specific joint positioning of the various business units.

Moreover, scenario and stress-test analyses are regularly conducted on various risk factors consistent with the stress test programme approved by the Board of Directors, with different degrees of granularity across the entire tree structure of the Group's portfolios and for all categories of instruments analysed.

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Stress tests are used to assess the Group's capacity to absorb large potential losses in extreme market situations, so as to identify the measures necessary to reduce the risk profile and preserve assets.

Stress tests are developed on the basis of discretionary and trend-based scenarios. Trend-based scenarios are defined on the basis of previously registered real situations of market disruption. Such scenarios are identified based on a time frame in which risk factors were subjected to stress. No particular assumptions are required with regard to the correlation among risk factors since trend-based data for the stress period identified has been measured.

Stress tests based upon discretionary scenarios assume extreme changes occurring to certain market parameters (interest rates, exchange rates, prices of goods and shares, stock indices, credit spreads and volatility) and measure the corresponding impact on the value of portfolios, regardless of their actual occurrence in the past. Simple discretionary scenarios are currently being developed (variation of a single risk factor) as are multiple ones (variation of several risk fac-tors simultaneously). Simple discretionary scenarios are calibrated to independently deal with one category of risk factors at a time, assuming shocks do not spread to the other factors. Multiple discretionary scenarios, on the other hand, aim to assess the impact of global shocks that simultaneously affect all types of risk factors.

It should be noted that the VaR methodology described above is also applied for internal management purposes to that portion of the Banking Book consisting of financial instruments similar to trading instruments (FVTPL), e.g. equities/bonds held in portfolios classified for accounting purposes among the'financial assets compulsorily measured at fair value' (FVTPLM), 'financial assets measured at fair value with impact on comprehensive income' (FVOCI) and 'financial assets measured at amortised cost' (AC). The measurements and the charts below refer to the Regulatory Trading Book.

• ••

During 2024, the market risks of the Group's Regulatory Trading Book showed, in terms of VaR, a performance determined by a trend driven by the operations of the Parent Company's LCIB Department, mainly for proprietary trading activities in the Credit Spread and Interest Rate segments (transactions in Italian government bonds and hedges via swaps and long futures) and, to a lesser extent, client-driven activities in the Equity segment related to the structuring of bancassurance products. The CFO Department's portfolio contribution to total VaR was negligible.

The Group's VaR remained at lower average levels compared to the previous year, due to the maintenance of a general risk containment process, settling at minimum levels in the last months of the year. Contributing to the downward trend is the sliding of the model's underlying time window, with the 2022 tail events related to interest rate and credit spread tensions exiting later in the year, as a result of the abrupt restrictive monetary policies adopted to counter the inflationary process amplified by the energy crisis following the outbreak of war in Ukraine.

VaR volatility, albeit limited over the year, was affected by the operations of the auctions on Italian government bonds for primary dealer activities, with temporary changes in the overall CS Italy risk exposure, primarily short term.

Despite some temporary increases in exposure in conjunction with the auctions for the aforementioned primary dealer activities, the average holding of Italian sovereign securities in the Group's trading portfolios remained low during the year (annual average of EUR 1.08 bn in nominal terms), slightly higher than the 2023 average (EUR 0.4 bn).

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![](tm2518026d1_ex99-4sp9img1.jpg)

With reference to the Parent Company management, LCIB CCO contributed 90% to the overall risk as at 31 December 2024, while the CFO contributed 10%.

![](tm2518026d1_ex99-4sp9img2.jpg)

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A breakdown of VaR by risk factors shows that 29.7% of the Group's portfolio consists of interest rate risk factors (IR VaR), 26.2% of credit spread risk factors (CS VaR), 23.8% of equity risk factors (EQ VaR), 16.5% of foreign exchange risk factors (FX VaR) and the remaining 3.9% of commodity risk factors (CO VaR).

**Gruppo Montepaschi**

**VaR PNV 99% 1 day in EUR/mln**

---

| | | | |
|:---|:---|:---|:---|
|  | **VaR** | **VaR** | **Data** |
| End Period |  | 1.48 | 31/12/2024 |
| Min |  | 1.36 | 21/11/2024 |
| Max |  | 6.49 | 09/02/2024 |
| Average |  | 3.29 |  |

---

In 2024, the Group's VaR in the Regulatory Trading Book ranged between a high of EUR 6.49 mln recorded on 9 February 2024 and a low of EUR 1.36 mln on 21 November 2024 recording an average of EUR 3.29 mln, down from the previous year. The Regulatory Trading Book VaR at the end of 2024 was EUR 1.48 mln

*VaR model back testing*

The Group has implemented a back testing procedure compliant with current regulations governing Market Risk as part of its own risk management system.

Back testing refers to a series of tests conducted on VaR model results against day-to-day changes in the trading book value, with a view on assessing the model's forecasting capacity as regards the accuracy of the calculated risk metrics. If the model is robust, by periodically comparing the estimated daily VaR in t-1 against the results of the trading activity in t, it should be possible to determine that the actual losses are greater than the VaR with a frequency consistent with that defined by the confidence level.

Based on current supervisory instructions, the Risk Management Function considered it appropriate to apply the actual back testing methods, integrating these into the Group's management reporting system.

The actual back testing meets the need for verifying the VaR model's forecasting reliability in reference to the actual Group operations (daily trading profit and losses) less the effect of any interest accrued between trading days t-1 and t on bonds, and less the effect of fees and commissions.

These results 'cleaned' of income statement components are compared with the VaR of the previous day. If the losses are greater than those forecast by the model an "exception" is recorded.

The chart below shows the actual back testing results of the internal Market Risks model in relation to the Group's Regulatory Trading Book for 2024:

![](tm2518026d1_ex99-4sp9img3.jpg)

The back testing shows no exceptions in 2024.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

*Structured credit product*

As at 31 December 2024, the Group's structured credit securities segment was not particularly significant in terms of either total financial assets or total assets.

These investments are subject to risk limits defined by the Board of Directors and monitored daily by the Parent Company's Risk Management function; The Bank defines Stop Loss, risk and nominal limits for maximum exposure for major issuer categories, broken down by rating.

As at 31 December 2024, there were no direct or indirect exposures to US sub-prime mortgage loans, Alt-A or monoline insurers.

*Positions in Securitisations of third-party issuers*

As at 31 December 2024, the securities positions on structured credit products other than own securitisations had a total book value of EUR 25.7 mln compared to EUR 40.3 mln as at 31 December 2023.

This section does not analyse the securitisations issued by Siena NPL from the transfer of bad loans carried out on 22 December 2017 (deconsolidated in June 2018) since the loans transferred to the Special Purpose Vehicle originated from the MPS Group. Likewise, the ABS issued by the Norma SPV as part of a securitisation of non-performing loans, also originated by banks outside the MPS Group, are not considered.

From an economic point of view, the following is noted: a positive component respectively under item 80 of the income statement 'Net profit (loss) from trading' for EUR 2.2 mln and under item 10 'Interest income and similar revenues' for EUR 3.9 mln. Finally, within the portfolio of financial assets measured at amortised cost, a write-down of EUR 1.3 mln was recognised under item 130 'Net impairment (losses)/reversals for credit risk'.

With regard to the regulatory classification, the positions are primarily held by the LCIB (94.8%) and allocated to the Trading Book (94.8% in terms of book value); the instruments are classified for accounting purposes into FVTPL (94.8%) and FVOCI (5.2%).

As regards the types of underlyings transferred through securitisation transactions, commercial mortgages (81.7%) prevailed over non-performing loans (18.3%).

Geographically speaking, all loans transferred originated in Italy. Overall, 62.8% of the book value of the exposures consists of investment grade securities (with rating up to BBB- included). Senior tranches constitute 57.5% of the exposures in terms of book value while the remaining 42.5% are mezzanine tranches.

*Credit Derivative Positions*

All exposures analysed in this section are standardised credit indices, synthetic tranches, options on credit indices and single-name CDS.

As at 31 December 2024, the net exposures to this type of derivatives had a book value of EUR 124.5 mln (EUR 92.0 mln as at 31 December 2023); these financial instruments are all attributable to the Trading Portfolio.

From an economic point of view, a positive result of EUR 38.2 mln was recorded under item 80 'Net profit (loss) from trading'.

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Qualitative Information

A. General aspects

Each bank of the MPS Group which is relevant as a market risk-taking centre contributes to the generation of interest rate risk and price risk in the overall Trading Book, which are concentrated on the Parent Bank (BMPS). As mentioned above, the subsidiaries' portfolios are closed to market risks.

Trading activities are mainly carried out by the Parent Company's LCIB Department for liquidity providing/market making activities through the offer of products and services for corporate and institutional customers (bancassurance products, hedging derivatives, structured bonds and certificates). Operations are characterised by active risk management with a view to risk warehousing and opportunistic proprietary trading positioning represented by typically short/medium-term strategies with position rotation, diversification of risk sources and restriction to liquid instruments with low transaction costs.

A.1 Interest rate risk

With reference to the Parent Company, trading activities are mainly carried out by the Global Markets structure of the CCO - LCIB Department and, to a limited extent, by the Finance Treasury and Capital Management (FTCM) structure of the CFO Department, functional to yield enhancement, protection and profitability support of the Banking Portfolio.

The LCIB function manages a proprietary portfolio which takes trading positions on interest rates and credit. In general, interest rate positions are taken by purchasing or selling bonds, and by creating positions in listed derivatives (futures) and OTCs (e.g. IRS, swaptions). Trading is carried out exclusively on the Bank's own behalf, with objectives of absolute return, in compliance with the delegated limits of monthly and yearly VaR and stop loss.

In particular, the above mentioned function operates in the short-term portion of the main interest rate curves, mostly through bonds and listed derivatives.

With regard to credit risk in the trading book, the equity positions are generally managed through the purchase or sale of bonds issued by companies or by creating synthetic positions in derivatives. The activity is oriented to achieve a long or short position on individual issuers, or a long or short exposure on specific market sectors. The activity is carried out solely on the Bank's own behalf with objectives of absolute return and in compliance with other specific issuer and concentration risk limits.

A.2 Price risk

Also in relation to Price risk factor, the unit in charge of the trading activity is the Global Markets structure of the CCO - LCIB Department, which manages a proprietary portfolio and assumes trading positions on equities, indices and commodities, mainly related to client-driven activities. In general, positions on equity securities are taken both through the purchase/sale of equities and through the positions created in listed derivatives (e.g. futures) and OTC (e.g. options). Commodity positions refer to Client-Driven activities serving commercial clients through trading in OTC derivatives (e.g. commodity swaps) with exposure hedges through listed instruments (e.g. commodity futures. Trading is carried out exclusively on the Bank's own behalf, with objectives of absolute return, in compliance with the delegated limits of monthly and yearly VaR and stop loss. Similarly for the CFO Department, trading activities, which are limited in scope, are carried out by the FTCM function.

B. Interest rate risk and price risk: operational processes and measurement methods

With regard to the process concerning the measuring of interest rate and price risk, see the above paragraph entitled "Market risk management model for the trading book".

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Quantitative Information

1. Regulatory Trading Book: breakdown of balance sheet financial assets/liabilities and financial derivatives by residual life (repricing date).

This table was not prepared since an analysis of the Regulatory Trading Book's sensitivity to interest rate risk and price risk is produced based on internal models.

2. Regulatory Trading Book: breakdown of exposures in equity instruments and stock indices by major countries of the listing market.

This table was not prepared since an analysis of the Regulatory Trading Book's sensitivity to interest rate risk and price risk is produced based on internal models.

3. Regulatory Trading Book: internal models and other sensitivity analysis methods

The rate and price risk of the Trading Book is monitored in terms of VaR and scenario analysis.

3.1 Interest rate risk

Each business unit within the Group operates independently on the basis of the objectives and powers it has managed by special desks provided with specific operational limits. Each desk adopts an integrated risk management approach (covering more than rate risk, when allowed) in order to benefit from the natural hedge resulting from simultaneously holding positions on risk factors that are not perfectly correlated. The VaR by risk factor (specifically, Interest Rate VaR) has operational relevance for the purpose of risk management analyses, even though it is the global VaR diversified among risk factors and portfolios that is used by the operating units. Below is information on the Group's diversified Interest Rate Regulatory Trading Book VaR:

![](tm2518026d1_ex99-4sp9img4.jpg)

The trend in Interest Rate VaR during 2024 was influenced by the trading activities of the LCIB Department, primarily in bonds and derivatives. The portfolio was managed by maintaining a limited exposure to interest rate risk factors and, as a result, the Interest Rate VaR metric was limited in size and characterised by low volatility, standing at EUR 0.90 mln at the end of December, below the average for the year.

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Gruppo Montepaschi <br> VaR PNV 99% 1 day in EUR/mln

---

| | | | |
|:---|:---|:---|:---|
|  | **VaR** | **VaR** | **Data** |
| End Period |  | 0.90 | 31/12/2024 |
| Min |  | 0.48 | 20/11/2024 |
| Max |  | 3.66 | 02/04/2024 |
| Average |  | 1.70 |  |

---

Simulations include the following interest rate risk scenarios:

· *+100 bps parallel shift for all interest rate and inflation curves;*

· -*100 bps parallel shift for all interest rate and inflation curves;*

*· +1 point parallel shift for all volatility surfaces of interest rate curves.*

The positions are all accounted for as financial assets held for trading. Below is the overall effect of the scenario analyses:

**Montepaschi Group: Trading Book**

**EUR/mln**

---

| | | | |
|:---|:---|:---|:---|
| **Risk Family** | **Scenario** | **Overall Effect** | **Overall Effect** |
| Interest Rate | +100bp on each curve |  | 5.38 |
| Interest Rate | -100bp on each curve |  | 2.69 |
| Interest Rate | +1 point interest rate volatility |  | 0.19 |

---

To complete the interest rate risk analysis, details are also provided on the credit spread risk of the Group's Trading Book associated with the volatility of issuers' credit spreads. The VaR by risk factor (specifically, Credit Spread VaR) has operational relevance for the purpose of risk management analyses, even though the operating units use the overall VaR diversi-fied among all risk factors and portfolios.

![](tm2518026d1_ex99-4sp9img5.jpg)

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

In 2024, the trend in Credit Spread VaR was mainly affected by trading activities of the LCIB Department, primarily in Italian short-term government bonds, linked to cycles of auctions, with partial derivatives hedging (medium BTP futures). At the end of December, the Credit Spread VaR stood at EUR 0.79 mln, lower than the average for the year.

**Montepaschi Group**

**VaR PNV CS 99% 1 day in EUR/mln**

---

| | | |
|:---|:---|:---|
|  | **VaR** | **Data** |
| End Period | 0.79 | 31/12/2024 |
| Min | 0.79 | 27/12/2024 |
| Max | 6.46 | 07/02/2024 |
| Average | 2.72 |  |

---

For the purposes of sensitivity analysis, the simulation scenario is a +1 bp parallel shift for all credit spreads.

The positions are all accounted for as financial assets held for trading. Below is the overall effect of the scenario analyses:

**Montepaschi Group: Trading Book**

**EUR/mln**

---

| | | |
|:---|:---|:---|
| **Risk Family** | **Scenario** | **Overall Effect** |
| Credit Spread | +1bps on each curve | (0.12) |

---

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3.2 Price risk

Each business unit within the Group operates independently on the basis of the objectives and powers it has been as-signed. The positions are managed by special desks provided with specific operational limits. Each desk adopts an inte-grated risk management approach (covering more than price risk, when allowed) in order to benefit from the natural hedge resulting from simultaneously holding positions on risk factors that are not perfectly correlated. The VaR by risk factor (specifically, Equity VaR and Commodity VaR) has management relevance for the purpose of risk management analyses, even though it is the global VaR diversified among risk factors and portfolios that is used by the operating units.

Below is information on the Group's diversified Equity VaR.

![](tm2518026d1_ex99-4sp9img6.jpg)

In 2024, the Equity VaR, which was of limited volatility, was influenced by the LCIB Department's activities related to the structuring and hedging of bancassurance products, and to a lesser extent by the trading activities, mostly on options and futures with key market indexes as underlying. At the end of December, the Equity VaR came to EUR 0.72 mln, slightly below the average for the year.

**Montepaschi Group**

**VaR PNV EQ 99% 1 day in EUR/mln**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **VaR** | **VaR** | **Data** | **Data** |
| End Period |  | 0.72 |  | 31/12/2024 |
| Min |  | 0.72 |  | 31/12/2024 |
| Max |  | 2.60 |  | 04/01/2024 |
| Average |  | 1.36 |  |  |

---

The simulated price scenarios are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· +1% of each equity or index price;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· -1% of each equity or index price;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· +1 point of all volatility surfaces of all equity risk factors.

The positions are all accounted for as financial assets held for trading. Below is the overall effect of the scenario analyses for the equity component:

**Montepaschi Group: Trading Book**

---

| | | |
|:---|:---|:---|
| **Risk Family** | **Scenario** | **Overall Effect** |
| Equity | +1% Equity Prices (prices, indicies) | 0.26 |
| Equity | -1% Equity Prices (prices, indicies) | (0.20) |
| Equity | +1 point Equity Volatility | 0.09 |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

In terms of exposure to commodity risk, during the year trends in the Commodity VaR, which were negligible in absolute terms, were affected by the LICB Department due to activities carried out in support of the customers, primarily on commodity swaps, and exposure hedges through commodity futures with underlying the main listed commodity indices. At the end of December, the Commodity VaR came to EUR 0.12 mln, slightly above the average for the year.

![](tm2518026d1_ex99-4sp9img7.jpg)

**Montepaschi Group**

**VaR PNV CO 99% 1 day in EUR/mln**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **VaR** | **VaR** | **Data** | **Data** |
| End Period |  | 0.12 |  | 31/12/2024 |
| Min |  | 0.01 |  | 28/10/2024 |
| Max |  | 0.24 |  | 23/07/2024 |
| Average |  | 0.09 |  |  |

---

The simulated price scenarios are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· +1% of each commodity price;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· -1% of each commodity price;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· +1 point of all volatility surfaces of all com-modity risk factors.

The positions are all accounted for as financial assets held for trading.

Below is the overall effect of the scenario analyses for the Commodity component:

**Montepaschi Group**

**EUR/mln**

---

| | | |
|:---|:---|:---|
| **Risk Family** | **Scenario** | **Overall Effect** |
| Commodity | +1%Commoditiy Prices | 0.03 |
| Commodity | -1% Commoditiy Prices | (0.03) |
| Commodity | +1 point Commodity Volatility | 0.00 |

---

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1.2.2 Interest rate and price risk - Banking Book

Qualitative Information

A. General aspects, operational processes and measurement methods for interest rate risk and price risk

*A.1 Interest rate risk*

The Banking Book consists of all exposures not included in the Trading Book and, in accordance with international best practices, identifies the set of the Group's commercial trades connected to the transformation of maturities in the assets and liabilities and Asset Liability Management - ALM financial activities (treasury and risk hedging derivatives).

The strategic interest rate risk choices of the banking book are defined periodically in the IRRBB Strategy document, validated in the Group Finance and Liquidity Committee and approved by the Board of Directors; These choices are based on interest rate risk measures expressed in terms of changes in both the economic value and the interest margin.

With reference to the sensitivity test on economic value, the Montepaschi Group applies a predefined set of interest rate scenarios in line with the Basel guidelines, which envisage non-parallel movements of the curve aside from parallel shifts of 25, 100 and 200 bps. As net interest income analyses focus on the short term, they consider exclusively the application of parallel scenarios. The economic value sensitivity measures are determined by clearing the origination of the cash flows of the components not directly relating to interest rate risk.

The Group is committed to the continual updating of risk measurement methodologies by gradually fine-tuning the estimation models so as to include all major factors that progressively modify the interest rate risk profile of the banking book.

Risk metrics are calculated by using a model for the valuation of demand items (Non-Maturity Deposits, NMDs) whose characteristics of stability and partial insensitivity to interest rate changes are described in the systems with a statistical approach which takes into consideration the time series of customer behaviours.

The Montepaschi Group, in order to take into account the prepayment phenomenon on the Parent Company's mortgages, uses a scenario-dependent behavioural model, based on survival analysis, for the cluster of fixed-rate performing retail residential mortgages and a simplified CPR (constant prepayment rate) approach for the complementary part of the over-all portfolio. In addition, the Group uses a behavioural model, based on survival analysis, to factor in the phenomenon of early repayment on the Parent Company's fixed-rate time deposits (Redemption Risk) and an approach for the treatment of non-performing loans net of their credit impairment.

The Group adopts an interest rate risk governance and management system known as the IRRBB Framework which avails itself of:

· <sub></sub> a quantitative model, which provides the basis for monthly calculation of the exposure of the Group and the individual companies to interest rate risk in terms of risk indicators;

<sub> </sub>

· <sub></sub> risk monitoring processes, aimed at periodically verifying compliance with the operational limits (risk limits and risk tolerance) assigned to the Group overall and to the individual legal entities within the RAS;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· risk control and management processes, geared toward bringing about adequate
initiatives for optimising the risk profile and activating any necessary corrective actions in the case of exceptions from and/or misalignments
with the IRRBB Strategy.

Within the above system, the following responsibilities are centralised in the Parent Company:

· definition of strategic and operational policies for managing
 the Group's Banking Book and controlling its interest rate risk;

&nbsp;&nbsp;&nbsp;&nbsp;· coordination of Group policies' implementation by the companies included
in the scope;

<sub> </sub>

---

| | |
|:---|:---|
| <sub></sub>· | governance of the Group's short-, medium- and long-term rate risk position, both overall and at individual company level, through centralised operational management.Nella sua funzione di governo la Capogruppo definisce pertanto criteri, politiche, responsabilità, processi, limiti e strumenti per la gestione del rischio di tasso. |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

In its governance function, the Parent Company therefore defines criteria, policies, responsibilities, processes, limits and instruments for rate risk management.

The Group Companies included in the scope of application are responsible for abiding by the rate risk policies and limits defined by the Parent Company and the requirements set by the relevant Supervisory Authorities.

Within the model defined, the Finance, Treasury and Capital Management unit (FTCM) of the Parent Company is responsi-ble for the operational management of the Group's overall interest rate and liquidity risk.

Specifically, within FTCM, the Proprietary Finance function manages short-term rate risk and structural rate risk. In addition, FTCM carries out hedge monitoring and management activities consistent with accounting policies, involving centralised oversight for definition of the network's internal rates (BMPS and other Group companies) for euro and foreign currency transactions with maturities beyond the short term.

*A.2 Price risk*

The Group's Banking Book, subject to price risk, consists primarily of equity investments, equities and UCITS, measured at fair value. Trading in UCITS is carried out exclusively through the direct purchase of the funds/SICAVs, with no use being made of derivative contracts. Exposure to commodities of the Group's Banking Book was equal to zero.

Price risk measurement is carried out on positions held primarily for strategic or institutional/instrumental purposes.

The instrument used for measuring price risk applied to equity securities and UCITS, other than equity investments, is the VaR, the methodology of which is described in Section 2 - "Market risks" of this Part E of the Notes to the financial statements.

Stress tests are conducted regularly as part of price risk governance strategies for the banking book in order to assess the Group's ability to absorb potential losses resulting from extreme events.

With reference to the equity investments component, the internal measurement system uses, for determining the Internal Capital, a metric borrowed from the Supervisory approach according to the standard method. This method calls for exposures to equity instruments to be assigned a risk weighting factor of 100% or 150% if high risk, unless they need to be deducted from Own Funds. The Own Funds deduction mechanisms according to current supervisory rules (CRD4/CRR) further expand the perimeter of deductions to also include non-significant investments in financial sector entities (<10%) and provide for deduction exemptions. It is worth noting that the most significant portion of the MPS Group's equity investment portfolio is included within the aggregate of significant investments in other financial sector entities (the equity investment in the AXA Group).

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Quantitative Information

1 Banking book: breakdown of financial assets and liabilities by residual life (repricing date)

This table has not been prepared since an analysis of the banking book's sensitivity to interest rate risk and price risk is produced based on internal models.

2 Banking book: internal models and other sensitivity analysis methods

*2.1 Interest rate risk*

The sensitivity of the Group's economic value (EVE) over the full year 2024, was indicative of exposure to rate hike risk. The negative sensitivity of the economic value at risk, for a parallel shift in the interest rate curves of +100 bps, recorded an average value of EUR -282.2 mln in 2024, with a minimum value of EUR -186.5 mln and a maximum value of EUR -388.1 mln, coinciding with the year-end level. The increase in negative sensitivity between the end-2024 figure and the end-2023 figure, amounting to EUR -228.2 mln, is mainly related to the increase in fixed-rate lending exposures.

The sensitivity of the Group's 1-year net interest income (NII) over the full year 2024 shows a risk exposure to a downward shift in the interest rate curve. The negative sensitivity of net interest income, due to a parallel shift in the interest rate curves of -100 bps, averaged EUR -140.7 mln in 2024, with a high of EUR -166.9 mln and a low of EUR -114.2 mln, coinciding with the year-end level. The negative sensitivity reduction between the figure for the end of 2024 and the end of 2023, amounting to EUR +8.3 mln, reflects the positive effects of the strategy adopted by the Group to optimise the interest margin in the event of falling rates.

**(EUR/mln)**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **[Jan-24; Dec-24]** | **[Jan-24; Dec-24]** | **[Jan-24; Dec-24]** |
| **IRRBB Sensitivity**<br>**Metrics** | <br>**Shock Scenario** | **31 12 2024** | **31 12 2023** | **Min.** | **Max.** | **Average** |
| EVE | +100 bps | -388.1 | -159.9 | -186.5 | -388.1 | -282.2 |
| EVE | -100 bps | 294.2 | 78.9 | 83.9 | 294.2 | 185.3 |
| NII | +25 bps | 28.4 | 28.7 | 23.8 | 40 | 33.8 |
| NII | -25 bps | -28.5 | -30.3 | -28.5 | -41.4 | -35.2 |
| NII | +100 bps | 103.7 | 108 | 91.4 | 150.4 | 125.5 |
| NII | -100 bps | 114.2 | -122.5 | -114.2 | -166.9 | -140.7 |

---

*Note: Min and Mas always refer to the absolute value*

At 31 December 2024, the regulatory limits in terms of Supervisory Outlier Test for EVE and NII were met. Note that the risk measures in question do not consider the contribution of the subsidiary Monte Paschi Banque S.A., which is classified as discontinued operations under IFRS 5.

The internal measurement system is independently developed by the Risk Management function of the Parent Company, which periodically reports on the extent of portfolio risks and their changes over time. The results are regularly brought to the attention of the Parent Company's Risk Management Committee and governing bodies.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

*2.2 Price risk*

Shown below is a scenario analysis which includes all directional positions assumed by the Group in equity securities and UCITS, measured at fair value (e.g. securities classified as "Financial assets measured at fair value through other comprehensive income" and as "Financial assets mandatorily measured at fair value"):

EUR/mln

**MPS Bank Banking Book**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Risk Family** | **Scenario** | **Effect on Net Banking<br> Income and Economic<br> result** | **Ettect on Net Capital** | **Overall Effect** |
| Equity | +1% Equity Prices (prices, indicies) | 2.60 | 1.74 | 4.34 |
| Equity | -1% Equity Prices (prices, indicies) | (2.60) | (1.74) | (4.33) |
| Equity | +1 point Equity volatility | 0 | 0 | 0 |

---

The equity investment in the Bank of Italy represents approximately 79% of the effect on the shareholders' equity relating to the scenario analysis described above.

1.2.3 Foreign exchange risk

Qualitative Information

A. Foreign exchange risk: general aspects, operational processes and measurement methods.

Foreign exchange operations are mainly based on short-term trading, with the systematic balance of the transactions originated by the franchise and the retail banks which automatically feed into the Group's position.

Trading, which is centralised at the parent company, is carried out by the LCIB management, with active exchange rate risk management. Among the Parent Company's foreign branches, only the Shanghai branch remained active, no longer operating with customers and is awaiting the withdrawal of its banking licence in 2025. Turnover, on cash and in derivatives, remained on a linear risk path with ongoing and careful use of delegated powers. Foreign currency equity investments are typically financed by funds denominated in the same currency, with no assumption of foreign exchange risk.

For a description of stress tests used in the risk governance strategy on exchange rates and the model applied, please refer to the section "Market risk management model for the Trading Book".

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BANCA MONTE DEI PASCHI DI SIENA

B. Hedging of exchange rate risk

Quantitative Information

1. Breakdown by currency of assets, liabilities and derivatives

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | 31 12 2024 |
| | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** |
| <br>**Items** | **US dollar** | **Pound sterling** | **Yen** | **Canadian Dollars** | **Swiss Franc** | **Other currencies** |
| **A. Financial assets** | **1274109** | **102231** | **40455** | **2912** | **8549** | **44473** |
| &nbsp;&nbsp;&nbsp;A.1 Debt securities | 522577 | 274 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Equity securities | 53907 | 2426 | 198 | 26 | 1543 | 782 |
| &nbsp;&nbsp;&nbsp;A.3 Loans to banks | 150092 | 93393 | 36737 | 1708 | 1428 | 34290 |
| &nbsp;&nbsp;&nbsp;A.4 Loans to customers | 547533 | 6138 | 3520 | 1178 | 5578 | 9401 |
| &nbsp;&nbsp;&nbsp;A.5 Other financial assets |  |  |  |  |  |  |
| **B. Other assets** | **57597** | **1054** | **488** | **181** | **861** | **6959** |
| **C. Financial liabilities** | **871237** | **17441** | **28755** | **3803** | **2610** | **12143** |
| &nbsp;&nbsp;&nbsp;C.1 Deposits from banks | 264003 | 995 | 2 | 708 | 283 | 1934 |
| &nbsp;&nbsp;&nbsp;C.2 Customer accounts | 607234 | 16446 | 28753 | 3095 | 2327 | 10209 |
| &nbsp;&nbsp;&nbsp;C.3 Debt securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other financial liabilities |  |  |  |  |  |  |
| **D. Other liabilities** | **21285** | **334** | **53** | **37** | **45** | **9220** |
| **E. Financial derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Options |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;+ Long positions | 109078 | 7826 | 1064 |  |  | 8146 |
| &nbsp;&nbsp;&nbsp;+ Short positions | 171832 |  | 10071 |  |  | 38671 |
| &nbsp;&nbsp;&nbsp;- Other |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;+ Long positions | 862398 | 155969 | 37889 | 5333 | 13971 | 86669 |
| &nbsp;&nbsp;&nbsp;+ Short positions | 1250306 | 246629 | 40699 | 3374 | 18065 | 62182 |
| **Total assets** | **2303182** | **267080** | **79896** | **8426** | **23381** | **146247** |
| **Total liabilities** | **2314660** | **264404** | **79578** | **7214** | **20720** | **122216** |
| **Difference (+/-)** | **(11478)** | **2676** | **318** | **1212** | **2661** | **24031** |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

2. Internal models and other sensitivity analysis methods

Exchange risk is monitored in terms of VaR and scenario analysis (for the methodology see the paragraph "Market risk management model for the Trading Book"). Shown below is information concerning the Group's diversified Forex VaR.

![](tm2518026d1_ex99-4sp9img8.jpg)

The Group's Forex VaR in 2024 is represented by the Parent Company's exposure to bonds in foreign currency (USD), mainly in the financial category, recognised under "Financial assets measured at amortised cost". Forex VaR volatility in 2024 was affected by temporary variations in the exposure of the Trading Book of the LCIB department, due primarily to activities on foreign exchange EUR/USD derivatives.

At the end of December the Forex VaR came to EUR 0.86 mln, slightly above the average for the year:

**Montepaschi Group**

**VaR FX 99% 1 day in EUR/mln**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **VaR** | **VaR** | **Data** | **Data** |
| End Period |  | 0.86 |  | 31/12/2024 |
| Min |  | 0.15 |  | 06/03/2024 |
| Max |  | 1.02 |  | 19/12/2024 |
| Average |  | 0.58 |  |  |

---

The following scenarios were used for foreign exchange rate simulations:

· +1% for all foreign exchange rates to the
 Euro;

· -1% for all foreign exchange rates to the Euro;

· +1 point for all volatility surfaces of all foreign exchange rates.

The effect on net interest and other banking income and the result for the year was estimated by taking into account the positions accounted for in the FVTPL and FVTPLM portfolios. The effect on shareholders' equity is instead estimated with reference to the positions accounted for in the OCI portfolio and the related fair value hedges (FVH), the total effect being the algebraic sum of the two components. Below is a summary of the scenario analyses.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | Valori in milioni di euro | Valori in milioni di euro | Valori in milioni di euro |
| **Montepaschi Group** |  |  |  |  |
| **Risk Family** | **Scenario** | **Effect on Net** <br> **Banking Income and<br> Economic Result**<br> **Effect** | **Effect on**<br> **Net capital** | **Overall**<br> **Effect** |
| Forex | +1% FX against EUR | 0.56 | (0.35) | 0.21 |
| Forex | -1% FX against EUR | (0.64) | 0.35 | (0.29) |
| Forex | +1 punto Forex Volatility | 0.39 | 0.00 | 0.39 |

---

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BANCA MONTE DEI PASCHI DI SIENA

1.3 Derivatives and hedging policies

1.3.1 Derivatives for trading

A. Financial derivatives

A.1 Financial derivatives for trading: end of period notional amounts

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Attività sottostanti/<br> Tipologie derivati** |<br>**Central<br> couterparties** | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts<br> not subject to<br> Master netting<br> agreements** |<br>**Organised financial<br> markets** |<br>**Central <br> couterparties** | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts<br> not subject to<br> Master netting<br> agreements** |<br>**Organised financial<br> markets** |
| **1. Debt securities and interest rate** |  | **254728640** | **4441654** |  |  | **220294182** | **4548336** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 6002399 | 1120499 |  |  | 6114878 | 1284219 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 248544778 | 3052979 |  |  | 213994778 | 3076729 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  | 268176 |  |  |  | 187388 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  | 181463 |  |  |  | 184526 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **2. Equity securities and stock indices** | **-** | **3438909** | **3640** | **26302** | **-** | **7025975** | **16093** | **136737** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 1990874 | 3640 | 26302 |  | 4504097 | 16093 | 122954 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 1343460 |  |  |  | 2271760 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  | 104575 |  |  |  | 250118 |  | 13783 |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **3. Exchange rates and gold** | **-** | **257374** | **1743620** | **-** | **-** | **120930** | **1542058** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 182477 | 526333 |  |  | 44500 | 509261 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  | 74897 | 1217287 |  |  | 76430 | 1032797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **4. Commodities** | **-** | **76378** | **189858** | **-** | **-** | **87983** | **183004** | **-** |
| **5. Other underlying** | **-** | - | **-** | **-** | **-** | **-** | **-** | **-** |
| **Total** | **-** | **258501301** | **6378772** | **26302** | **-** | **227529070** | **6289491** | **136737** |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.2 Financial derivatives for trading: gross positive and negative fair value - breakdown by products

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of<br> derivative** | <br>**Central <br> couterparties** | **Contracts <br> subject to <br> Master netting<br> agreements** | **Contracts<br> not subject to <br> Master netting<br> agreements** | <br>**No Central<br> counterparties** | <br>**Central <br> couterparties**  | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts<br> not subject<br> to Master netting<br> agreements** | <br>**No Central<br> counterparties** |
| **1. Positive Fair value** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 174794 | 10528 | 206 |  | 251836 | 9142 | 3255 |
| &nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 7555081 | 32112 |  |  | 8562918 | 24306 |  |
| &nbsp;&nbsp;&nbsp;c) Cross currency swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Equity swap |  | 42543 |  |  |  | 39507 |  |  |
| &nbsp;&nbsp;&nbsp;e) Forward |  | 1569 | 26975 |  |  | 156 | 10104 |  |
| &nbsp;&nbsp;&nbsp;f) Futures |  | 545 |  |  |  | 218 |  |  |
| &nbsp;&nbsp;&nbsp;g) Other |  |  | 23045 |  |  | 2097 | 25839 |  |
| **Total** | **-** | **7774532** | **92660** | **206** | **-** | **8856732** | **69391** | **3255** |
| **2. Negative fair value** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 133687 | 29652 | 358 |  | 181922 | 51859 | 2848 |
| &nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 6133688 | 56154 |  |  | 7367386 | 98442 |  |
| &nbsp;&nbsp;&nbsp;c) Cross currency swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Equity swap |  | 8090 |  |  |  | 19013 |  |  |
| &nbsp;&nbsp;&nbsp;e) Forward |  | 787 | 18264 |  |  | 1296 | 13927 |  |
| &nbsp;&nbsp;&nbsp;f) Futures |  | 1712 |  |  |  | 135 |  |  |
| &nbsp;&nbsp;&nbsp;g) Other | - | - | 7835 | - | - | 3409 | 24579 | - |
| **Total** | **-** | **6277964** | **111905** | **358** | **-** | **7573161** | **188807** | **2848** |

---

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BANCA MONTE DEI PASCHI DI SIENA

A.3 Financial OTC derivatives for trading: notional amounts, gross positive and negative fair value by counterparties

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying assets** | **Central<br> Counterparties** | **Banks** | **Other Fiancial <br> Companies** | **Other entities** |
| **Contracts not subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X | 116667 | 401064 | 3923923 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  | 1985 | 32771 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X | 7804 | 1611 | 69423 |
| **2) Equity securities and stock indices** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  | 2989 | 651 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  | 3206 | 3 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| **3) Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X | 325591 | 14438 | 1403591 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X | 15985 |  | 16372 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X | 486 | 986 | 23760 |
| **4) Commodities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  | 189858 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  | 22338 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  | 7835 |
| **5) Other underlying** |  |  |  |  |
| **Contracts subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 62527550 | 189590011 | 2611079 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 2151246 | 5424855 | 131586 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 1718125 | 4339043 | 89804 |
| **2) Equity securities and stock indices** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 693731 | 2570570 | 174608 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 32375 | 28600 | 3023 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 23277 | 99776 | 3579 |
| **3) Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 150130 | 24010 | 83234 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 1329 | 241 | 732 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 2301 | 233 | 114 |
| **4) Commodities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  | 76378 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  | 545 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 1712 |  |
| **5) Other underlying** |  |  |  |  |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.4 Residual life of financial OTC derivatives for trading: notional amounts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying asset/residual life** | **Up to 1 year** | **1 to 5 years** | **Over 5 years** | **Total** |
| A.1 Financial derivatives on debt securities and interest rates | 79218704 | 88356854 | 91594736 | 259170294 |
| A.2 Financial derivatives on equity securities and stock indices | 2373700 | 998218 | 70631 | 3442549 |
| A.3 Financial derivatives on exchange rates and gold | 1859443 | 130723 | 10828 | 2000994 |
| A.4 Financial derivatives on other underlying assets | 220001 | 46235 |  | 266236 |
| A.5 Other financial derivatives | - | - | - | - |
| **Total 31 12 2024** | **83671848** | **89532030** | **91676195** | **264880073** |
| **Total 31 12 2023** | **73937669** | **77240084** | **82640808** | **233818561** |

---

B. Credit derivatives

B.1. Credit derivatives for trading: end of period notional amounts

---

| | | |
|:---|:---|:---|
| | **Trading book** | **Trading book** |
| <br>**Transaction categories** | **single name** | **with multiple counterparties<br> (basket)** |
| 1. Purchases of protection |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 136203 | 59500 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap | 90908 |  |
| &nbsp;&nbsp;&nbsp;d) Others | - | - |
| **Total 31 12 2024** | **227111** | **59500** |
| **Total 31 12 2023** | **136538** | **50200** |
| 2. Sales of protection |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 1555724 | 59500 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap |  |  |
| &nbsp;&nbsp;&nbsp;d) Others | - | - |
| **Total 31 12 2024** | **1555724** | **59500** |
| **Total 31 12 2023** | **2405174** | **13700** |

---

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BANCA MONTE DEI PASCHI DI SIENA

------

B.2. OTC credit derivatives: gross positive and negative fair value - breakdown by products

---

| | | |
|:---|:---|:---|
|  | **Total 31 12 2024** | **Total 31 12 2023** |
| **1. Positive fair value** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 3416 | 777 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap | 29 |  |
| &nbsp;&nbsp;&nbsp;d) Other | - | - |
| **Total** | **3445** | **777** |
| **2. Negative fair value** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 53769 | 92797 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap | 74217 |  |
| &nbsp;&nbsp;&nbsp;d) Other | - | - |
| **Total** | **127986** | **92797** |

---

B.3. OTC credit derivatives for trading: notional amounts, gross fair value (positive and negative) by counterparties

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Contracts not subject to netting agreements** | **Central<br> counterparties** | **Banks** | **Other financial <br> companies** | **Other entities** |
| **Contracts not subject to master netting agreements** | | | | |
| **1) Purchase of protection** |  |  |  |  |
| **2) Sales of protection** |  |  |  |  |
| **Contracts subject to master netting agreements** |  |  |  |  |
| **1) Purchase of protection** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 38502 | 248109 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  | 162 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 597 | 82315 |  |
| **2) Sales of protection** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  | 1615224 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  | 3282 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 45075 |  |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

B.4 Residual life of OTC credit derivatives for trading: notional amounts

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Underlying asset/residual life** | **Underlying asset/residual life** | **Up to 1 year** | **1 to 5 years** | **Over 5 years** | **Total** |
| 1. | Sales of protection | 2211 | 673608 | 939406 | 1615225 |
| 2. | Purchase of protection | 2888 | 203723 | 80000 | 286611 |
| **Total 31 12 2024** | **Total 31 12 2024** | **5099** | **877331** | **1019406** | **1901836** |
| **Total 31 12 2023** | **Total 31 12 2023** | **96380** | **1291197** | **1218036** | **2605613** |

---

B.5 Credit derivatives related to the fair value option: annual changes

This table was not drawn up as the Group does not apply the hedge accounting rules pursuant to IFRS 9.

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BANCA MONTE DEI PASCHI DI SIENA

1.3.2 Hedges

Qualitative Information

The Group, in applying IFRS 9, has exercised the option provided by the standard to continue to fully apply IAS 39 for all types of hedging (micro and macro). Therefore, the provisions of IFRS 9 in terms of hedging do not apply.

A. Fair value hedging

The purpose of interest rate risk hedging is to protect the banking book from changes in the fair value of deposits and loans caused by movements in the interest rate curve or to reduce the variability of cash flows linked to a particular asset/liability.

The risk predominantly hedged is the interest rate risk with fair value hedges, for a total of approximately EUR 20.6 bn in nominal amount of hedging derivatives.

The Group uses the following hedges to manage interest rate risk:

&nbsp;&nbsp;&nbsp;&nbsp;· *fair value micro hedges: hedging of trading assets (loans/mortgage loans), security portfolio and bonds;* 

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· *fair value macro hedges: hedging of non-trading assets (loans/mortgage loans) and corporate funding (time deposits).* 

The fair value hedges at Group level regard both micro hedges of assets and liabilities, identified specifically and represent-ed by government bonds in the Banking Book and bonds issued by the Parent Company, as well as macro hedges (version with bottom layer approach) of retail fixed-rate deposits.

The derivatives used for this purpose are primarily interest rate swaps (IRS) and options on rates realised with third parties or with other companies of the Group which, in return, hedge the market risk so that the requirements for outsourcing hedg-ing with counterparties, necessary to qualify the hedging at the consolidated financial level, are complied with.

Derivatives are not listed in regulated markets, but are traded within the scope of OTC circuits. OTC agreements also in-clude those brokered through Clearing Houses.

B. Cash-flow hedging

Hedging activities carried out by the Group aim at covering exposure to fluctuations in future cash flows, attributable to changes in the interest rate curve, associated with a specific asset/liability, as payments of future floating interests on a payable/receivable or to a highly probable future transaction.

The Group adopts only specific hedges (micro cash flow hedge) of floating interest securities.

Hedging derivatives for cash flow hedging transactions, predominantly interest rate swaps (IRS), amounts to about EUR 1,392 mln in nominal value.

C. Hedging of foreign investments

The Group does not have any such hedging in place.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

D. Hedging instruments

The main causes of ineffectiveness of the model adopted by the Group for verifying the effectiveness of hedges are attributable to the following phenomena:

&nbsp;&nbsp;&nbsp;&nbsp;· mismatch between notional amount of the derivative and the underlying hedged
item recognised at the time of initial designation or generated subsequently, such as in the case of partial repayments of loans or repurchases
of bonds;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· inclusion in the effectiveness test of the value of the variable interest
rate cash flows of the hedging derivative, assuming a fair value hedge.

The ineffectiveness of the cover is promptly detected for the purposes: (i) the determination of the effect on the income statement; and (ii) the assessment as to whether hedge accounting rules can continue to be applied.

The Group does not use dynamic hedges, as defined in IFRS 7, paragraph 23C.

E. Hedged items

The main types of hedged items for the Group are:

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities under assets;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities issued;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· fixed-rate commercial loans;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· optional component implicit in the floating-rate mortgage loans;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· fixed-rate commercial funding.

E.1 Debt securities under assets

Hedging relationships of these assets are especially of a micro fair value hedge type; derivatives used for this purpose are mainly IRS and the hedged risk is the interest rate risk.

The Dollar Offset Method is used to verify the efficacy of the hedge. This method is based on the relationship between the cumulated changes (from the beginning of the hedging) in the fair value of the hedging instrument, attributable to the hedged risk, and the past changes in the fair value of the hedged item, net of the accrued interest component.

E.2 Debt securities issued

These are securities covered by hedges in the fair value micro hedge category; derivatives used as hedging instruments are primarily IRS. The hedged risk is the interest rate risk.

The Dollar Offset Method is used to verify the efficacy of the hedge. This method is based on the relationship between the cumulated changes (from the beginning of the hedging) in the fair value of the hedging instrument, attributable to the hedged risk, and the past changes in the fair value of the hedged item, net of the accrued interest component.

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------

E.3 Fixed-rate commercial loans

In these cases, the hedging relationships in place are of a macro fair value hedge type and the derivatives used as hedging instruments are primarily IRS. The hedged risk is the interest rate risk.

For macro hedges, the hedged loan portfolio is open-ended, i.e. dynamically composed of fixed interest rate loans hedged, at an aggregate level, through hedging derivatives entered into over time.

The effectiveness of the macro hedging on fixed-rate loans is periodically verified through specific forward- and back-ward-looking tests aimed at demonstrating that the possible hedged portfolio contains an amount of assets for which the sensitivity profile and the changes in the fair value for the interest rate risk can be said to match those of the hedging derivatives. It should be noted that for the purpose of the forward- and backward-looking tests, the hedged portfolio takes into account the prepayment estimates, determined on the basis of the model used from time to time to manage interest rate risk.

E.4 Optional component implicit in the floating-rate mortgage loans

The optional components implicit in mortgage loans with floating interest rate are hedged with a fair value macro hedge using, as hedging instruments, cap/floor options.

The effectiveness of the hedging is verified by using the resilience of the capacity test.

E.5 Fixed-rate commercial funding

Fixed-rate commercial funding is subject to hedging relationships in the fair value macro hedge category, mainly through the use of hedging instruments such as IRS derivatives. The hedged risk is the interest rate risk.

The effectiveness of the macro hedges on the commercial funding with fixed interest rate is verified using the Dollar Offset Method. This method is based on the relationship between the cumulated changes (from the beginning of the hedging) in the fair value of the hedging instrument, attributable to the hedged risk, and the past changes in the fair value of the hedged item. The effectiveness is verified through a capacity test that compares the amount of the hedged items and the amount of the hedging instrument.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Other information

Following is the table containing details, by nominal amounts, of the hedging according to the reference index of the inter-est rates.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Assets** | **Assets** | **Assets** | **Liabilities** | **Liabilities** | |
| | **Nominal hedging** | **Nominal hedging** | **Nominal hedging** | **Nominal hedging** | **Nominal hedging** | |
| <br>**Interest rate** | **Micro-FVH** | **Macro FVH** | **Micro-CFH** | **Micro-FVH** | **Macro FVH** |<br>**Total** |
| EURIBOR 1M |  | 1430355 |  | 500000 |  | 1930355 |
| EURIBOR 3M |  | 1978879 |  | 750000 |  | 2728879 |
| EURIBOR 6M | 3511692 | 6737032 | 1392000 | 3488500 | 108699 | 15237924 |
| USD 3M LIBOR | 372509 |  |  |  |  | 372509 |
| FALLBACK SOFR |  |  |  |  |  |  |
| USD SOFR | 48128 |  |  |  |  | 48128 |
| EURIBOR 30Y CMS | 80097 |  |  |  |  | 80097 |
| ESTR | 199000 |  |  |  |  | 199000 |
| **Total** | **4211426** | **10146266** | **1392000** | **4738500** | **108699** | **20596892** |

---

The table shows the notional amounts of hedging derivatives inclusive of the netting carried out pursuant to IAS 32.

As explained in Part A Accounting Policies, the Group has applied, as of the 2019 Financial Statements, Regulation No. 34/2020 of 15 January 2020, which adopted the document issued by the IASB in September 2019 on the "Reform of Interest Rate Benchmarks (Amendments to IFRS 9 Financial Instruments, IAS 39 Financial Instruments: recognition and measurement" and IFRS 7 "Financial instruments: supplementary information'). With the regulation in question, a number of changes were introduced in the area of hedge accounting with the aim of avoiding that uncertainties about the amount and timing of cash flows resulting from the rate reform could lead to the discontinuation of existing hedges and difficulties in designating new hedging relationships.

The Group's hedging derivatives are mainly indexed to Euribor, the calculation methodology of which was revised during 2019 through the adoption of a hybrid-type calculation methodology, which fully complies with the requirements for so-called critical benchmarks, the EU Benchmark Regulation 2016/1011 and the IOSCO principles.

Therefore, the Group does not consider there to be any uncertainty about the timing or amount of cash flows parameterised to Euribor and does not consider Euribor-linked hedges to be impacted by the reform, in continuity with the approach already adopted in previous years.

As at 31 December 2024, there were no rate-indexed hedges impacted by the IBOR Reform, pursuant to paragraph 24H of IFRS 7.

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Quantitative Information

A. Financial hedging derivatives

A.1 Financial hedging derivatives: end of period notional amounts

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of derivative** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts<br> not subject to<br> master netting<br> agreements** | <br>**Organised<br> financial<br> markets** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts<br> not subject to<br> master netting<br> agreements** | <br>**Organised <br> financial<br> markets** |
| **1. Debt securities and interest rate** | **-** | **21524440** | **-** | **-** | **-** | **21298226** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 2969649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- |  |  | 3971432 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 18554791 |  |  |  | 17326794 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **2. Equity securities and stock indices** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **3. Exchange rates and gold** | **-** | **372509** | **-** | **-** | **-** | **350226** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 372509 |  |  |  | 350226 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **4. Commodities** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| **5. Other underlying** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| **Total** | **-** | **21896949** | **-** | **-** | **-** | **21648452** | **-** | **-** |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

A.2 Financial hedging derivatives: gross positive and negative fair value - breakdown by products

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of derivative** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts<br> not subject to<br> master netting<br> agreements** | <br>**Organised <br> financial<br> markets** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts<br> not subject to<br> master netting<br> agreements** | <br>**Organised <br> financial<br> markets** |
| **1. Positive fair value** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 8130 |  |  |  | 12785 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 466902 |  |  |  | 998597 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) others |  | - |  |  |  | - |  |  |
| **Total** | **-** | **475032** | **-** | **-** | **-** | **1011382** | **-** | **-** |
| **2. Negative fair value** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Opzioni |  | 32533 |  |  |  | 33509 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 661006 |  |  |  | 593369 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swap |  | 74352 |  |  |  | 42905 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Others |  | - |  |  |  | - |  |  |
| **Total** | **-** | **767891** | **-** | **-** | **-** | **669783** | **-** | **-** |

---

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A.3 Financial OTC hedging derivatives: notional amounts, gross positive and negative fair value by counterparties

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Contracts not subject to netting agreements** | **Central**<br>**counterparties** |<br> **Banks** | **Other financial**<br>**companies** |<br>**Other entities** |
| **Contracts not subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| **2) Equity securities and stock indices** |  |  |  |  |
| **3) Exchange rates and gold** |  |  |  |  |
| **4) Commodities** |  |  |  |  |
| **5) Other underlying** |  |  |  |  |
| **Contracts subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 20792864 | 731576 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 458385 | 16648 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 596959 | 96580 |  |
| **2) Equity securities and stock indices** |  |  |  |  |
| **3) Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 372509 |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 74352 |  |  |
| **4) Commodities** |  |  |  |  |
| **5) Other underlying** |  |  |  |  |

---

A.4 Residual life of financial OTC hedging derivatives: notional amounts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying asset/residual life** | **Up to 1 year** | **1 to 5 years** | **Over 5 years** | **Total** |
| A.1 Financial derivatives on debt securities and interest rates | 448488 | 8227672 | 12848280 | 21524440 |
| A.2 Financial derivatives on equity securities and stock indices |  |  |  |  |
| A.3 Financial derivatives on exchange rates and gold | 372509 |  |  | 372509 |
| A.4 Financial derivatives on other underlying assets |  |  |  |  |
| A.5 Other financial derivatives |  |  |  |  |
| **Total 31 12 2024** | **820997** | **8227672** | **12848280** | **21896949** |
| **Total 31 12 2023** | **2296632** | **4902199** | **14449621** | **21648452** |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

B. Credit hedging derivatives

B.1 Credit hedging derivatives: end of period notional amounts

B.2 Credit hedging derivatives: gross positive and negative fair value - breakdown by products

B.3 OTC credit hedging derivatives: notional amounts, gross positive and negative fair value by counterparties

B.4 Residual life of OTC credit hedging derivatives: notional amounts

The table above was not completed as the Group had no outstanding credit hedging derivatives for either the current or the previous year.

C. Non-derivative hedging instruments

C.1 Hedging instruments other than derivatives: breakdown by accounting portfolio and type of hedge

The Group avails itself of the possibility, envisaged upon the introduction of IFRS 9, to continue to apply all hedge account-ing provisions of IAS 39 (carved out version endorsed by the European Commission) for all types of hedge (both micro and macro hedges). For this reason, the Group has no financial instruments in its portfolio which would be reported in the table.

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D. Hedged instruments

The Group avails itself of the possibility, envisaged upon the introduction of IFRS 9, to continue to apply all hedge account-ing provisions of IAS 39 (carved out version endorsed by the European Commission) for all types of hedge (both micro and macro hedges).

D.1 Fair value hedging

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | |
|  | <br>**Micro hedge:<br> book value** | <br>**Micro-hedges -<br> net positions:<br> balance sheet<br> value of assets <br> or liabilities<br> (before netting)** | **Cumulative<br> changes in<br> fair value of <br> the hedged<br> instrument** | **termination of <br> hedge: residual<br> cumulative <br> changes in fair <br> value** | **Change in value<br> used to <br> recognise the<br> ineffectiveness <br> of the hedge** | <br>**Macro hedge:<br> book value** |
| **A. Assets** |  |  |  |  |  |  |
| **1. Financial assets measured at fair value through other comprehensive income– hedge of:** | **257911** | **-** | **(344)** | **(25553)** | **(141)** |  |
| &nbsp;&nbsp;&nbsp;1.1 debt securities and interest rate | 257911 |  | (344) | (25553) | (141) | X |
| &nbsp;&nbsp;&nbsp;1.2 Equity |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Foreign exchange and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.4 Credits |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |  |  | X |
| **2. Financial assets measured at amortaised cost –hedge of:** | **3916758** | **-** | **214476** | **(329261)** | **10183** | **9915422** |
| &nbsp;&nbsp;&nbsp;2.1 debt securities and interest rate | 3534477 |  | 202556 | (329261) | 10183 | X |
| &nbsp;&nbsp;&nbsp;2.2 Equity |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2.3 Foreign exchange and gold | 382281 |  | 11920 |  |  | X |
| &nbsp;&nbsp;&nbsp;2.4 Credits |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2.5 Other |  |  |  |  |  | X |
| **Total 31 12 2024** | **4174669** | **-** | **214132** | **(354814)** | **10042** | **9915422** |
| **Total 31 12 2023** | **5188517** | **-** | **(167319)** | **(19328)** | **151449** | **11285899** |
| **B. Liabilities** |  |  |  |  |  |  |
| **1. Financial liabilitites measured at amortised cost - hedge of:** | **4824626** | **-** | **(20223)** | **(33951)** | **88025** | **108007** |
| &nbsp;&nbsp;&nbsp;1.1 debt securities and interest rate | 4824626 |  | (20223) | (33951) | 88025 | X |
| &nbsp;&nbsp;&nbsp;1.2 Foreign exchange and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Other |  |  |  |  |  | X |
| **Total 31 12 2024** | **4824626** | **-** | **(20223)** | **(33951)** | **88025** | **108007** |
| **Total 31 12 2023** | **3204465** | **-** | **(111131)** | **(121725)** | **117192** | **792263** |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

D.2 Cash-flow and foreign investment hedging

---

| | | | |
|:---|:---|:---|:---|
|  | **Change in value used<br> to recognise hedging<br> ineffectiveness Hedging <br> of foreign investments** | **hedging reserves** | **Termination of hedging:<br> residual value of<br> hedging reserves** |
| **A. Cash flows hedge** | | | |
| **1. Assets** | **16910** | **19293** |  |
| &nbsp;&nbsp;&nbsp;1.1 debt securities and interest rate | 16910 | 19293 |  |
| &nbsp;&nbsp;&nbsp;1.2 Equity |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 Foreign exchange and gold |  |  |  |
| &nbsp;&nbsp;&nbsp;1.4 Creditiì |  |  |  |
| &nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |
| **1. Financial liabilitites measured at amortised cost - hedge of:** | **-** | **-** |  |
| &nbsp;&nbsp;&nbsp;1.1 debt securities and interest rate |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Foreign exchange and gold |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 Other |  |  |  |
| **Total A 31 12 2024** | **16910** | **19293** |  |
| **Total A 31 12 2023** | **2383** | **2383** |  |
| **B. Hedging of foreign investments** | **X** | **-** |  |
| **Total (A+B) 31 12 2024** | **16910** | **19293** |  |
| **Total (A+B) 31 12 2023** | **2383** | **2383** |  |

---

E. Effects of hedging transactions on equity

E.1. Reconciliation of equity items

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** |
| | **Debt<br> securities<br> and interest<br> rate** | **Equity<br> instruments<br> and stock<br> indicies** | **Currencies<br> and gold** | **Credits** | **Others** | **Debt<br> securities<br> and interest<br> rate** | **Equity<br> instruments<br> and stock<br> indicies** | **Currencies <br> and gold** | **Credits** | **Others** |
| **Opening balance** | **2383** |  |  |  |  |  |  |  |  |  |
| Fair value change | 16910 |  |  |  |  |  |  |  |  |  |
| Reversal to profit and loss |  |  |  |  |  |  |  |  |  |  |
| of which: future transactions not expected |  |  |  |  |  | X | X | X | X | X |
| Other changes |  |  |  |  |  |  |  |  |  |  |
| of which: transfer at initial book value of hedged instruments |  |  |  |  |  | X | X | X | X | X |
| **Closing balance** | **19293** | **-** | **-** |  |  | **-** | **-** | **-** |  |  |

---

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1.3.3 Other information on derivatives (trading and hedging)

A. Financial and credit derivatives

A.1 OTC financial and credit derivatives: net fari value by counterparties

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Underlying assets** | **Central**<br>**counterparties** |<br> **Banks** | **Other financial**<br>**companies** |<br>**Other entities** |
| **A. Financial derivatives** |  |  |  |  |
| **1. Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 71147765 | 176789740 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 307022 | 742242 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |
| **2. Equity securities and stock indices** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |
| **3. Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |
| **4) Commodities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |
| **4. Other underlying** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  | 1531358 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 1254 |  |
| **B. Credit derivatives** |  |  |  |  |
| **1. Purchase of protection** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  | 138813 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 187 |  |
| **2. Sales of protection** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |

---

The table shows the positive or negative fair values of the derivatives subject to offsetting pursuant to IAS 32.42.

604

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

In particular, it relates to the over-the-counter (OTC) financial and credit derivatives for trading and hedging that are out-standing through various third-party cleaning members with whom the Prent Company has entered into clearing agree-ments, drafted in accordance with international standards (ISDA/FIA contract forms), for which fair values have been offset in the financial statements.

For OTC financial derivatives on 'Debt securities and interest rates', the offsetting result is a positive EUR 1,049.3 mln split between banking counterparties and other financial companies (positive fair value of EUR 6,976.1 mln and negative fair value of EUR 5,926.8 mln), of which EUR 19.8 mln is attributable to hedging derivatives and EUR 1,029.5 mln to trading de-rivatives. There are also OTC financial derivatives, sub-item 'Other', the offsetting result of which is a total negative EUR 1.3 mln (negative fair value of EUR 10.7 mln and positive fair value of EUR 9.4 mln), attributable entirely to trading derivatives.

605

BANCA MONTE DEI PASCHI DI SIENA

1.4 – Liquidity risk

Qualitative Information

A. Liquidity risk: general aspects, operational processes and measurement methods

In 2024, the Montepaschi Group continued the evolution, strengthening and streamlining of its strategic and operational liquidity risk management processes, paying particular attention to, inter alia, the analysis of risk factors related to climate and environmental changes and their possible impact on the Group's liquidity situation, as well as investments in the auto-mation of processes aimed at reducing operational risks.

Group Liquidity Risk Framework

The Montepaschi Group has used a **Liquidity Risk Framework** for many years now, intended as the set of tools, methodol-ogies, organisational and governance set-ups which ensures both compliance with national and international regulations and adequate liquidity risk governance in the short (Operating Liquidity) and medium/long (Structural Liquidity) term, under business as usual and stress conditions.

The reference Liquidity Risk model for the Montepaschi Group is "centralised" and calls for the management of short-term liquidity reserves and medium/long-term financial balance at Parent Company level, guaranteeing solvency on a consoli-dated and individual basis for the subsidiaries.

The internal assessment of liquidity adequacy is a process that is part of the more general Risk Management macro-pro-cess, in direct connection with the Risk Appetite Framework (RAF) through the annual formulation of the Risk Appetite Statement (RAS) with related thresholds.

The overall internal liquidity adequacy assessment takes place periodically as part of the strategic ILAAP (Internal Liquidity Adequacy Assessment Process) process consisting mainly of:

&nbsp;&nbsp;&nbsp;&nbsp;· ILAAP Outcomes, or quantitative (inherent risk) and qualitative (risk management
and controls) assessments on risk positioning prepared by the Risk Management function and submitted to the Board of Directors, the document
accom-panied by the so-called Liquidity Adequacy Statement (LAS), i.e., the summary statement of the Board of Directors which expresses
its vision and awareness for the purposes of liquidity adequacy management;

&nbsp;&nbsp;&nbsp;&nbsp;· ILAAP ongoing, which consists substantially of periodical analyses of liquidity
adequacy which are described in reports to the corporate bodies.

Liquidity Risk Management

The management of the Group's **Operational Liquidity** aims at ensuring the capacity of the Montepaschi Group to meet the cash payment obligations within a short-term time frame. The essential condition for a normal course of business in banking is the maintenance of a sustainable imbalance between cash inflows and outflows in the short term. From the op-erational perspective, the benchmark metric in this respect is the difference between net cumulative cash flows and Coun-terbalancing Capacity, i.e. the reserve of liquidity in response to stress conditions over a short time horizon, in addition to the Liquidity Coverage Ratio (LCR) regulatory measure - Delegated Act. From the extremely short-term perspective, the Group adopts a system for the analysis and monitoring of intraday liquidity, with the goal of ensuring normal development during the day of the bank's treasury and its capacity to meet its intraday payment commitments.

Management of the Group's **Structural Liquidity** is intended to ensure the structural financial balance by maturity buckets over a time horizon of more than one year, both at Group and individual company level. Maintenance of an adequate dy-namic ratio between medium/long-term assets and liabilities is aimed at preventing current and prospective short-term funding sources from being under pressure. In addition to the regulatory measure of the Net Stable Funding Ratio (NSFR), provided for by the so-called CRR2, the reference metrics are the so-called gap ratios, which measure both the ratio of total deposits to loans with maturities over 1 year and over 5 years, and the ratio of deposits to commercial loans<sup>79</sup>. The Monte-paschi Group also defined and formalised:

---

| | |
|:---|:---|
| 79 | Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) no. 575/2013 with regard to leverage ratio, net stable funding ratio, own funds and eligible liabilities requirements, counterparty risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements and Regulation (EU) no. 648/2012. |

---

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

&nbsp;&nbsp;&nbsp;&nbsp;· the asset encumbrance management and monitoring framework with the goal
of analysing:

the overall degree of encumbrance of total assets;

- the existence of a sufficient quantity of assets that may be encumbered but which are free;

- the capacity to transform bank assets into eligible assets (or in an equivalent manner, to encumber non-eligible as-sets in bilateral transactions);

and

&nbsp;&nbsp;&nbsp;&nbsp;· the monitoring framework of the concentration risk, with the goal of analysing:

- the concentration of the funding sources, by counterparty and by type of channel;

- the concentration of the assets composing the liquidity reserves of the Group.

The liquidity position is monitored under business-as-usual conditions and under specific, system-wide and/or combined stress scenarios (with adverse and extreme intensity) according to the Liquidity Stress Test Framework. The purposes of these exercises are:

&nbsp;&nbsp;&nbsp;&nbsp;· to show, in a timely manner, the main Group's vulnerability to liquidity
risk;

&nbsp;&nbsp;&nbsp;&nbsp;· to calculate the survival time frame under stress conditions;

&nbsp;&nbsp;&nbsp;&nbsp;· to enable a prudential determination of surveillance levels, to be applied
to the Liquidity Risk measurement metrics within the scope of the annual Risk Appetite Statement.

Within the scope of Risk Appetite Framework, the Liquidity Risk Framework identifies the tolerance thresholds for liquid-ity risk, that is to say the maximum risk exposure deemed sustainable in a business-as-usual scenario and under stress conditions. The short/medium and long-term liquidity risk limits derive from the setting of these risk appetite thresholds.

The system of operating limits, known as Liquidity Risk Limits, is defined so as to make it possible to promptly identify approaches to the risk tolerance threshold as defined in the annual Risk Appetite Statement process.

In order to immediately identify the emergence of vulnerabilities in the liquidity's position, the Group has developed a range of early warnings, classified as generic or specific, also in the ESG sphere, depending on whether the individual indicator is designed to detect potential vulnerabilities in the overall economic context of reference or in the Group structure.

With specific reference to climatic and environmental risk factors, the updated materiality analysis confirmed them as non-material, by virtue of the low impact in terms of liquidity outflows on customer deposits and the pull on available credit lines by the physical events analysed, namely flood, landslide, fire, wind and earthquake.

The materiality analyses were also extended to non-environmental climate risks (water and bio-diversity) returning, again, a non-material outcome.

Group's Liquidity Management

Operating and Structural Liquidity management is governed by the Parent Company's Liquidity Management Department, which is responsible for defining and implementing funding strategies in the short and medium/long-term.

With reference to the management of Operating Liquidity, Liquidity Management manages the "liquidity reserves" so as to guarantee the Parent Company's capacity to deal with expected and unexpected outflows, to that end making recourse to various interbank market instruments (unsecured deposits, collateralised deposits, repos) as well as transactions with the European Central Bank.

With reference to the management of Structural Liquidity, the aforementioned function pursues the objectives detailed in the annual Funding Plan, which operationally implements the medium-long term strategies defined in the "Liquidity and Funding Strategy". The Group's Liquidity and Funding Strategy defines the funding activity guidelines of the Montepaschi Group in terms of risk appetite, with a multi-year time horizon, in compliance with the long-term risk tolerance thresholds on operating and structural liquidity indicators, internal and regulatory, defined within the Group's Risk Appetite Statement (RAS).

In addition, to complete the Funding Plan, the same function prepares the Contingency Funding Plan, which represents the operational tool for liquidity risk management intended to define intervention strategies in the case of liquidity tensions, laying out procedures and actions that may be promptly activated to obtain sources of funds in a stress scenario.

607

BANCA MONTE DEI PASCHI DI SIENA

Liquidity position: regulatory indicators

The Montepaschi Group uses the following main indicators to assess its liquidity profile:

&nbsp;&nbsp;&nbsp;&nbsp;· *Liquidity Coverage Ratio (LCR), which is the short-term liquidity indicator corresponding to the ratio between the amount of high quality liquid assets and the total net cash outflows in the subsequent 30 calendar days. The indicator must comply with a minimum regulatory requirement of 100% and is subject to supervisory reporting on a monthly basis;* 

&nbsp;&nbsp;&nbsp;&nbsp;· *Net Stable Funding Ratio (NSFR), which is the structural 12-month liquidity indicator corresponding to the ratio between the available stable funding amount and the compulsory stable funding amount. This indicator, whose regulatory minimum requirement is 100% is subject to supervisory reporting on a quarterly basis;* 

&nbsp;&nbsp;&nbsp;&nbsp;· *Loan to Deposit Ratio, which represents the ratio of loans to customers to direct deposits (understood as the sum of the following items: due to customers, securities in issue and financial liabilities designated at fair value).* 

Following are the three indicators in the reporting financial year compared with the previous financial year:

---

| | | |
|:---|:---|:---|
| **Indicator** | **31 12 2024** | **31 12 2023** |
| LCR | 166.5% | 163.3% |
| NSFR | 134.1% | 130.1% |
| Loan to Deposit Ratio | 82.3 | 84.7 |

---

In general, the development of regulatory liquidity indicators during 2024 was influenced by the maturity in March and June 2024 of the last two outstanding TLTRO III tranches, which were only partially replaced by MRO and LTRO auctions; In de-tail, the total amount of indebtedness to the ECB as at 31 December 2024 was EUR 8.5 bn (EUR 13.0 bn as at 31 December 2023), of which LTRO amounted to EUR 5 bn and MRO to EUR 3.5 bn.

The short-term liquidity indicator, the Liquidity Coverage Ratio (LCR), as at 31 December 2024, was 166.5%, which is higher than the applicable minimum regulatory requirement for 2024 and lower than in December 2023 (163.3%).

The medium/long-term liquidity indicator, the Net Stable Funding Ratio (NSFR), was 134.1% as at 31 December 2024, high-er than the minimum regulatory requirement for 2024, and down from December 2023 (130.1%).

As at 31 December 2024, the operating liquidity position showed an unencumbered counterbalancing capacity level of EUR 33 bn, up compared to 31 December 2023 (EUR 29.8 bn).

Faced with institutional maturities for the year 2024 of EUR 3.3 bn, represented by: EUR 0.75 bn senior unsecured, about EUR 2.3 bn covered bonds and about EUR 0.25 bn bilateral funding, and a starting situation of excess liquidity, the Funding Plan 2024 envisaged a return to public covered issues and senior public issues; the latter, in particular, were planned in order to meet MREL targets and to improve structural liquidity indicators.

Public unsecured issues amounted to EUR 1.25 bn during the year (exceeding the planned target), while covered bond issues amounted to EUR 1.5 bn (of which EUR 0.75 bn represented the first social European covered bond issued by Banca MPS).

608

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Quantitative Information

1. Breakdown of financial assets and liabilities by residual contractual duration - Currency: Euro

31 12 2024

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Account** | **On<br> demand** | **1 to 7 <br> days** | **7 to 15 <br> days** | **15 days to <br> 1 month** | **1 to 3 <br> month** | **3 to 6 <br> month** | **6 month to <br> 1 year** | **1 to 5 <br> years** | **Over<br> 5 years** | **Unspecified<br> maturity** |
| **Balance-sheet assets** | **10927629** | **15178156** | **2259259** | **2038085** | **5523734** | **5567402** | **6132879** | **26858539** | **37265013** | **544118** |
| A.1 Government securities |  | 3335 | 178269 | 71511 | 680666 | 282119 | 313889 | 6203572 | 6189648 |  |
| A.2 Other debt securities | 116777 | 931 | 704 | 20615 | 52574 | 86442 | 103784 | 536967 | 2476095 | 3431 |
| A.3 Units of UCITS | 271238 |  |  |  | 13 |  |  |  |  |  |
| A.4 Loans | 10539614 | 15173890 | 2080286 | 1945959 | 4790481 | 5198841 | 5715206 | 20118000 | 28599270 | 540687 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Banks | 3204840 | 10960817 | 421515 | 178844 | 200355 | 48764 | 32797 | 35936 | 26261 | 535006 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Customers | 7334774 | 4213073 | 1658771 | 1767115 | 4590126 | 5150077 | 5682410 | 20082064 | 28573009 | 5681 |
| **Balance-sheet liabilities** | **70740978** | **5769024** | **4558666** | **1592970** | **7273227** | **2307152** | **3231305** | **6442516** | **2875004** | **-** |
| B.1 Deposits and current accounts | 66765568 | 92647 | 466472 | 453160 | 1398503 | 1385597 | 1773226 | 476197 | 3139 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Banks | 69027 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Customers | 66696541 | 92647 | 466472 | 453160 | 1398503 | 1385597 | 1773226 | 476197 | 3139 |  |
| B.2 Debt securities | 504757 |  |  | 109441 | 74490 | 786874 | 1196525 | 5605150 | 2376658 |  |
| B.3 Other liabilities | 3470653 | 5676377 | 4092194 | 1030369 | 5800234 | 134681 | 261554 | 361169 | 495207 |  |
| **Off-balance-sheet transactions** |  |  |  |  |  |  |  |  |  |  |
| C.1 Financial derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions | 12900 | 227067 | 100191 | 785446 | 607425 | 369021 | 94939 | 16376 | 56466 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 85743 | 182311 | 39441 | 295901 | 255747 | 190691 | 124051 | 92478 | 774174 |  |
| C.2 Financial derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions | 7309273 | 3 |  | 239 | 31211 | 18053 | 58611 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 5894494 | 1355 | 17407 | 224 | 15015 | 41539 | 75574 |  |  |  |
| C.3 Deposits and borrowings to be received |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  | 22614461 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions |  | 22010403 | 502065 |  | 101993 |  |  |  |  |  |
| C.4 Irrevocable commitments to disburse funds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions | 339640 | 9073944 | 204046 | 545754 | 185581 |  | 8282 | 230511 | 989827 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 1568261 | 10009326 |  |  |  |  |  |  |  |  |
| C.5 Financial guarantees given | 9336 |  | 17 | 99 | 715 | 1853 | 3028 | 6732 | 3097 |  |
| C.6 Financial guarantees received |  |  |  |  |  |  |  |  |  |  |
| C.7 Credit derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  |  |  |  |  |  | 2211 | 624108 | 1019406 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions |  |  |  |  |  |  | 2211 | 624108 | 1019406 |  |
| C.8 Credit derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions | 3409 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 77597 |  |  |  |  |  |  |  |  |  |

---

609

BANCA MONTE DEI PASCHI DI SIENA

2. Breakdown of financial assets and liabilities by residual contractual duration - Currency: Other

31 12 2024

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Account** | **On<br> demand** | **1 to 7 <br> days** | **7 to 15 <br> days** | **15 days to <br> 1 month** | **1 to 3 <br> month** | **3 to 6 <br> month** | **6 month to <br> 1 year** | **1 to 5 <br> years** | **Over<br> years 5** | **Unspecified<br> maturity** |
| Balance-sheet assets | 244293 | 45144 | 57104 | 87247 | 338028 | 150227 | 26871 | 78491 | 641523 | 3092 |
| A.1 Government securities |  |  |  |  | 17 | 1048 | 1081 | 868 | 64640 |  |
| A.2 Other debt securities |  |  | 2082 | 2 | 11673 | 8937 | 18578 | 74533 | 576883 |  |
| A.3 Units of UCITS | 15520 |  |  |  |  |  |  |  |  |  |
| A.4 Loans | 228773 | 45144 | 55022 | 87245 | 326338 | 140242 | 7212 | 3090 |  | 3092 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Banks | 176926 | 22992 | 14064 | 28184 | 48618 | 24727 | 1928 | 664 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Customers | 51847 | 22152 | 40957 | 59061 | 277720 | 115515 | 5284 | 2426 |  | 3092 |
| **Balance-sheet liabilities** | **563338** | **33208** | **70707** | **4813** | **222375** | **39807** | **1738** | **-** | **-** | **-** |
| B.1 Deposits and current accounts | 559764 | 33208 | 70707 | 4813 | 5371 | 39807 | 1738 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Banks | 12881 | 32727 | 1745 |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Customers | 546883 | 481 | 68962 | 4813 | 5371 | 39807 | 1738 |  |  |  |
| B.2 Debt securities |  |  |  |  |  |  |  |  |  |  |
| B.3 Other liabilities | 3574 |  |  |  | 217004 |  |  |  |  |  |
| **Off-balance-sheet** |  |  |  |  |  |  |  |  |  |  |
| **transactions** |  |  |  |  |  |  |  |  |  |  |
| C.1 Financial derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  | 454876 | 87157 | 268422 | 190982 | 113961 | 141530 | 8706 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 14438 | 505321 | 168583 | 102345 | 534127 | 111133 | 145839 | 10960 | 3609 |  |
| C.2 Financial derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions | 43449 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 44314 |  |  |  |  |  |  |  |  |  |
| C.3 Deposits and borrowings to be received |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions |  |  |  |  |  |  |  |  |  |  |
| C.4 Irrevocable commitments to disburse funds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  |  | 9659 | 1062 | 2449 | 124 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions | 3635 | 9659 |  |  |  |  |  |  |  |  |
| C.5 Financial guarantees given | 66 |  |  |  | 4 |  | 178 |  |  |  |
| C.6 Financial guarantees received |  |  |  |  |  |  |  |  |  |  |
| C.7 Credit derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  |  |  |  |  | 2888 |  | 43315 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions |  |  |  |  |  | 2888 |  | 43315 |  |  |
| C.8 Credit derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- long positions |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- short positions |  |  |  |  |  |  |  |  |  |  |

---

610

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Self-securitisations

The securitisation transactions whereby the Group underwrites securities issued by vehicle companies (self-securitisa-tions), or for which only securities fully subscribed by the Group remained outstanding, are not shown in the tables of Part E of the Notes to the Financial Statements, section "C. Asset securitisation and disposal transactions", pursuant to the provisions of Circular 262 of the Bank of Italy.

Self-securitisations of assets are transactions aimed at improving liquidity risk management by optimising the amount of assets readily available to cover liquidity requirements.

Although the Group's direct and full underwriting of the notes issued by the vehicles does not make it possible to obtain direct liquidity from the market, it still provides the Group with securities that could be used for ECB refinancing (limited to the senior tranches as ECB eligible) and for purchase agreements by increasing the availability of disposable assets, thus improving the MPS Group safety margin against liquidity risk (counterbalancing capacity). From an accounting point of view, loans continue to be reported under item 40b) "Financial assets measured at amortised cost: loans to customers" on the assets side, while underwritten notes are not reported.

As at 31 December 2024, this category includes the self-securitisations completed in December 2007 (Siena Mortgages 07–5), April 2008 (Siena Mortgages 07-5 II series) and in April 2019 (Siena PMI 2016 Series 2)<sup>80</sup>.

Siena Mortgages 07-5, I and II series

On 21 December 2007, the Group, through the special purpose vehicle Siena Mortgages 07-5 S.p.A., has finalised a secu-ritisation of performing loans consisting of a portfolio of 57,968 residential mortgage loans for a total of EUR 5,162.4 mln, with EUR 462.8 mln (10,888 mortgage loans) outstanding as at 31 December 2024.

In order to fund the acquisition, the vehicle issued Residential Mortgage Backed Floating Rate Notes (RMBS) in the follow-ing classes, rated by Moody's and Fitch as at 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· class A notes (Aa3 and AA-) for a nominal amount of EUR 4,765.9 mln, of
which EUR 4,701.7 mln redeemed;

&nbsp;&nbsp;&nbsp;&nbsp;· class B notes (Aa3 and AA-), for a nominal amount of EUR 157.4 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· class C notes (Ba1 and B-), for a nominal amount of EUR 239.0 mln.

At the same time as the securities listed above, the vehicle also issued class D securities for an initial amount of EUR 124.0 mln, the proceeds of which were partly allocated to the establishment of a cash reserve. The target level of the cash re-serve was gradually reduced based on the performance of the transaction: as at 31 December 2024, this reserve amounted to EUR 38.8 mln. The Class D notes were redeemed until reaching the 10% threshold (EUR 12.4 mln).

Through the same special purpose vehicle (Siena Mortgages 07-5 S.p.A.), on 24 April 2008 a second transaction was final-ised (Siena Mortgages 07-5 series 2), collateralised by a separate pool of assets consisting of an additional sale of a port-folio of performing loans composed of 41,888 residential mortgage loans for a total of EUR 3,416.0 mln and with a residual life of about 20 years. As at 31 December 2024, this portfolio had a residual debt of EUR 342.4 mln (6,778 mortgages).

In order to fund acquisition of the loans, the vehicle issued RMBS notes in the following classes, rated by Moody's and Fitch as at 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· class A notes (Aa3 and A+) for a pair value of EUR 3,129.4 mln, of which
EUR 3,074.9 mln redeemed;

&nbsp;&nbsp;&nbsp;&nbsp;· class B notes (Aa3 and A+), for a nominal amount of EUR 108.3 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· class C notes (NR and CCC), for a nominal amount of EUR 178.3 mln.

At the same time as the securities listed above, the vehicle also issued class D securities for an initial amount of EUR 82.1 mln, the proceeds of which were partly allocated to the establishment of a cash reserve. The target level of the cash re-serve was gradually reduced based on the performance of the transaction: as at 31 December 2024, this reserve amounted to EUR 25.7 mln. The Class D notes were redeemed until reaching the 10% threshold (EUR 8.2 mln).

80 The Siena PMI 2016 Series 2 transaction, following redemption of the securities placed on the market, became a self-securitisation in 2022 since the outstanding securities were entirely underwritten by the Parent Company.

611

BANCA MONTE DEI PASCHI DI SIENA

Siena PMI 2016 Series 2

On 12 April 2019, the Group finalised a securitisation transaction through the vehicle named Siena PMI 2016 Srl. The Parent Company sold a portfolio of performing loans granted to Italian small and medium-sized enterprises, amounting to EUR 2,258.4 mln. As of 31 December 2024, the residual debt amounted to EUR 316.1 mln, for 2,793 loan agreements.

To fund the acquisition of the portfolio sold, on 19 June 2019 the SPV issued asset-backed securities (ABS) in the following classes, rated by Fitch and DBRS as at 31 December 2024 as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· class A1 notes for a nominal amount of EUR 519.4 mln, redeemed in full;

&nbsp;&nbsp;&nbsp;&nbsp;· class A2 notes for a nominal amount of EUR 813.0 mln, redeemed in full;

&nbsp;&nbsp;&nbsp;&nbsp;· class B notes for a nominal amount of EUR 225.8 mln, redeemed in full;

&nbsp;&nbsp;&nbsp;&nbsp;· class C notes for a nominal amount of EUR 271.0 mln, redeemed in full;

&nbsp;&nbsp;&nbsp;&nbsp;· class B notes (AA and AAH) for a nominal amount of EUR 248.5 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· class J notes (not rated) for a nominal amount of EUR 180.7 mln.

The class A2 notes were placed with institutional investors for a total of EUR 720 mln; the remaining senior notes, together with the mezzanine and junior notes, were instead underwritten by the Parent Company.

In 2019, the partial sale of the Class A2 notes on the market did not entail the derecognition of the underlying assets from the balance sheet of the assignor bank, which had substantially retained all risks and benefits associated with the owner-ship of the assets sold. Following the full repayment of this class in 2022, the 'own securitisation without derecognition' transaction was included in the self-securitisation transactions.

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1.5 – Operational risk

Qualitative Information

A. Operational risk: general aspects, operational processes and measurement methods

General aspects and Framework structure

By an administrative ruling dated 12 June 2008, the Bank of Italy authorised the Group to use internal models for the determination of capital requirements for credit and operational risks. The adoption of the advanced model (AMA) calls for banks to:

&nbsp;&nbsp;&nbsp;&nbsp;1. adopt an internal organisation which defines the roles of the corporate bodies and functions involved
in the risk management process;

&nbsp;&nbsp;&nbsp;&nbsp;2. establish a control function for data gathering and storing, capital requirement calculation, risk profile
assessment and reporting;

&nbsp;&nbsp;&nbsp;&nbsp;3. perform ongoing checks on the quality of the management system and its compliance with regulatory provisions;

&nbsp;&nbsp;&nbsp;&nbsp;4. delegate the internal auditing body to perform periodic audits on the operational risk management system;

&nbsp;&nbsp;&nbsp;&nbsp;5. guarantee over time that the system is actually used by the corporate management (use test).

For this purpose, the Group has adopted an integrated system for operational risk management, i.e. an internal frame-work built around a governance model that involves all companies included in the AMA model scope of application. The approach defines the standards, methods and instruments that make it possible to measure risk exposure and the effects of mitigation by business area.

The advanced approach is designed to integrate all major qualitative and quantitative (LDA-Scenario mixed model) infor-mation sources (information or data).

The quantitative Loss Distribution Approach (LDA) component is based on the collection, analysis and statistical modelling of internal and external time series of loss data (the latter supplied by the Italian Database of Operational Losses, DIPO).

The qualitative component focuses on the evaluation of the risk profile of each unit and is based on the identification of relevant scenarios. In this framework, the companies included in the AMA scope area are involved in the: identification of the processes and risks to be assessed; assessment of risks by process managers in charge; identification of possible mit-igation plans; discussion of priorities and technical-economic feasibility of mitigating actions with Head Office functions.

Next is a phase for monitoring progress on the implementation of actions scheduled and compliance with objectives and deadlines.

The Framework identifies the Group Risk Management unit as the operational risk control function.

The Parent Company's Risk Management unit calculates the capital required to hedge operational risks by the use of different components of the model (internal data, external data, contextual and control factors, qualitative analyses), supports deci-sion-making by Top Management from the standpoint of creating value by containment, mitigation and transfer of the risks detected, and as it does for other companies included in the scope, it gathers internal loss data and identifies the risks to be evaluated in qualitative analyses.

The advanced approach is used for the Parent Company, while the basic methods are adopted for the remaining Group companies. As at 31 December 2024 internal model coverage in terms of the relevant indicator exceeded 90%.

The Risk Management unit has also set up a reporting system which ensures timely information on operational risks for the Top Management, which transposes the strategic principles of the management system into specific operating policies. Reports are regularly submitted to the Risk Management Committee and corporate bodies.

Over time, the adoption of the AMA model has ensured better-informed management of operational risk, guaranteeing a material progressive reduction of the Group's operational risk.

As of 30 June 2017, the Advanced Measurement Model was changed to increase the historical depth of internal loss data from 5 to 10 years and to introduce the scaling of external data in order to discourage unexpected requirement fluctuations.

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Quantitative Information

Following is the percentage breakdown of the number of events and operating losses recognised in 2024, broken down into risk classes:

![](tm2518026d1_ex99-4cp3img001.jpg)

![](tm2518026d1_ex99-4cp3img002.jpg)

As at 31 December 2024, the number of operational risk events remained largely stable as compared to December 2023, while operational losses increased. The types of event with the greatest impact on the income statement remain attrib-utable to operational and process management shortfalls (under "Process management, execution and delivery": approx-imately 48% of the total) and the non-fulfilment of professional obligations with customers (under "Customers, products and operating practices': approximately 38% of the total).

With regard to operational and process management shortfalls, these events mainly refer to cases of debt collection and legal actions.

With regard to breaches of professional obligations towards customers, on the other hand, the events mainly refer to dis-putes over the application of compound interest and over derivative transactions.

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The graph below shows the breakdown of the regulatory requirement by risk class within the AMA scope:

![](tm2518026d1_ex99-4cp3img003.jpg)

The Regulatory Requirement as at 31 December 2024 slightly increased compared to the requirement of December 2023 (+0.9%), both as a result of the update of the internal loss time series and as a consequence of the increase in operating losses recognised in the year compared to the previous year.

The breakdown of operating losses recognised in the period differs from the breakdown of the requirement in that the latter is calculated using a 10-year historical series of internal and external losses, and was predominantly due to the unexpected loss component.

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Main types of legal, employment and tax risks

The following were pending as at 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· legal proceedings with *relief sought*, where quantified, totalling
EUR 3,400.8 mln.;

&nbsp;&nbsp;&nbsp;&nbsp;· out-of-court claims with *relief sought*, where quantified, totalling
EUR 81.9 mln.;

&nbsp;&nbsp;&nbsp;&nbsp;· risks associated with contractual guarantees with *relief sought,* where quantified, of EUR 271.3 mln.

These amounts, in accordance with IAS 37, include all disputes, out-of-court claims and contractual risks for which the risk of disbursement of economic resources deriving from potential loss has been assessed as likely or possible and, therefore, does not include disputes for which the risk has been assessed as remote. The aforementioned risks were spe-cifically and carefully analysed by the Group, particularly in the presence of a likely risk gradient and if a reliable estimate of the relative amount could be made, and specific and appropriate provisions were allocated to the Provision for Risks and Charges. Without prejudice to the risk of uncertainty that characterises every dispute, the estimate of the obligations that could emerge from the disputes - and therefore the amount of any provisions made - derives from the forecast assess-ments regarding the outcome of the proceedings.

These forward-looking assessments are in any case carried out on the basis of the information available at the time of the estimate and updated during the course of the valuation. As indicated in the paragraphs "Use of estimates and assump-tions when preparing financial statements", to which reference is made, the complexity of the situations forming the basis of the disputes imply significant elements of proceedings that could affect the if, how much and related materialisation timing of the liability. In this regard, therefore, although the Group's estimates are considered robust, reliable and compliant with the dictates of reference accounting standards, it cannot be excluded that charges arising on final settlement of the disputes may prove different, even significantly, from those allocated. The above aggregate includes:

1. Legal disputes and out-of-court claims

The following were pending as at 31 December 2024:

&nbsp;&nbsp;&nbsp;&nbsp;· legal disputes with a total *relief sought*, where quantified, of EUR
3,320.7 mln, of which approximately EUR 1,603.0 mln as *relief sought* relating to disputes classified as a "likely"
risk, for which provisions for EUR 456.7 mln are recognised and approximately EUR 1,717.7 mln as relief sought *attributed to disputes* classified as having "possible" risk;

&nbsp;&nbsp;&nbsp;&nbsp;· out-of-court claims for a total *relief sought*, where quantified,
of approximately EUR 81.9 mln, of which approximately EUR 40.4 mln classified with a "likely" risk of losing the case and
approximately EUR 41.5 mln with a "possible" risk of losing the case.

The disputes of greatest relevance by macro-category or individually are illustrated below.

*Disputes regarding compound interest, interest rates and conditions*

The total relief sought in these disputes as at 31 December 2024 amounted to EUR 184.1 mln (EUR 227.7 mln as at 31 December 2023), while the allocated provisions amounted to EUR 79.7 mln (down from the provision of EUR 97.9 mln as at 31 December 2023).

*Dispute regarding claw-back actions in insolvency proceedings*

The total relief sought in these disputes as at 31 December 2024 was EUR 30.9 mln (EUR 52.6 mln as at 31 December 2023), while allocated provisions totalled EUR 13.9 mln (a decrease of EUR 17.0 mln compared to 31 December 2023).

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*Dispute with purchasers of subordinated bonds issued by Group companies*

Following the burden-sharing plan implemented in 2017 in application of Italian Law Decree no. 237/2016, some investors who had purchased subordinated bonds issued by the Bank (later becoming shareholders as a result of the aforemen-tioned measure, with resulting losses compared to the amount initially invested) sued the Parent Company, claiming that, at the time of the investment, it did not inform customers regarding the nature and characteristics of the financial instru-ments purchased, also raising objections on the proper fulfilment of obligations with which the Bank must comply as a financial intermediary.

This dispute is primarily related to investments in Lower Tier II bonds; indeed, in the majority of the cases the investors had their securities converted into ordinary shares pursuant to the law, without being able to benefit from the public offering for settlement and exchange promoted by the Bank pursuant to Decree no. 237/2016 (known as Burden Sharing Decree) intended for retail investors only.

However, for the sake of comprehensiveness, we would like to point out other cases where, despite purchasing Upper Tier II securities, the counterparties claim to have been unable to participate in the public offering due to misselling by the Bank, or in any event to have had objections relating to the Upper Tier II securities purchased after 31 December 2015 (cut-off date). Lastly, a limited number of disputes concerns cases in which investors sold their bonds prior to the Burden Sharing pursuant to Decree no. 237/2016. The focus of the opposing claims is concentrated on the alleged lack of disclosure and/ or in any case violations of specific regulations on financial intermediation.

The total relief sought in these disputes as at 31 December 2024 was EUR 30.8 mln (EUR 34.7 mln as at 31 December 2023), whilst allocated provisions totalled EUR 16.0 mln (an increase of EUR 0.5 mln compared to 31 December 2023).

*Derivatives litigation*

Litigation concerning OTC derivative contracts is mostly concerned with the ascertainment of the nullity of the product on the assumption that the financial instrument lacks the indication of elements such as the mark to market and the proba-bilistic scenarios considered essential by the now prevailing jurisprudence following the well-known ruling of the Supreme Court in United Sections no. 8770/2020 (later confirmed by pronouncements no. 21830/2021 and no. 22014/2023).

On the assumption of nullity, the counterparties therefore request that the Bank be ordered to return all the amounts paid for the financial instruments in question, or the repetition of the spreads paid, the commissions as well as the failure to take on the residual mark to market in cases in which the derivative is still in place.

The total relief sought in these disputes as at 31 December 2024 was EUR 126.0 mln (EUR 124.2 mln as at 31 December 2023), while allocated provisions totalled EUR 40.8 mln (a decrease of EUR 45.5 mln compared to 31 December 2023).

*Disputes and out-of-court claims related to financial information*

As at 31 December 2024, the Parent Company was exposed to civil actions, to the consequences of decisions arising from criminal proceedings (955/16, 33714/16 and 29877/22) with regard to the financial information disclosed during the past periods. The total relief sought at the same date for this type of dispute was equal to approx. EUR 1,343 mln, broken down as follows (data in EUR mln):

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Type of disputes** | **31/12/24** | **30/09/24** | **30/06/24** | **31/03/24** | **31/12/23** |
| Civil dispute | 674 | 675 | 675 | 670 | 685 |
| Filed civil claim cp 955/16 | 160 | 160 | 160 | 160 | 160 |
| Filed civil claim cp 33714/16 | 483 | 483 | 483 | 495 | 495 |
| Filed civil claim cp 29877/22 | 26 |  |  |  |  |
| **Total legal proceedings** | **1343** | **1318** | **1318** | **1325** | **1340** |

---

With reference to civil litigation, the decrease in relief sought recorded as at 31 December 2024 compared to the end of the previous year is mainly attributable to the settlement of certain disputes following the appearance of the plaintiffs in criminal case PP 33714/16.

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With reference to criminal proceedings, it is noted: (i) in PP 33714, the decrease in the relief sought, amounting to approxi-mately EUR 12 mln, is due to the exclusion of certain civil parties ordered by order dated 22 April 2024; (ii) in PP 29877/22 the *relief soughtin* the amount of EUR 26 mln, is represented for the first time in the fourth quarter of 2024, following the incorporation of the Parent Company in November 2024 as civilly liable party. The aforementioned *relief sought* where quantified, has been determined having regard to the claims of the civil parties formed in the aforementioned proceedings reduced by what has already been claimed in the joined PP 33714/16 by the civil parties intervening in both proceedings.

The main disputes pending as at 31 December 2024 are shown below.

*Banca Monte dei Paschi di Siena S.p.A. vs. Alken Fund Sicav and Alken Luxembourg S.A. (now VIRMONT SA) dispute*

On 22 November 2017, the opposing parties (the "Funds") served a complaint on the Parent Company, as well as Nomura International ("Nomura"), Giuseppe Mussari, Antonio Vigni, Alessandro Profumo, Fabrizio Viola and Paolo Salvadori, before the Court of Milan, requesting that the court confirm and declare: (i) an alleged liability of the Parent Company under Article 94 of the TUF and Article 2935 of the Italian Civil Code for the torts committed against the Claimants; (ii) alleged liability of the defendants Mussari and Vigni in relation to the investments made by the Funds in 2012 on the basis of the untrue information; (iii) an alleged liability of the defendants Viola, Profumo and Salvadori in relation to the investments made by the Funds after 2012 and finally (iv) an alleged liability of Nomura pursuant to Article 2043 of the Italian Civil Code.

On these grounds, the Funds sought an order that the defendants be jointly and severally ordered to pay compensation for pecuniary loss in the amount of EUR 423.9 mln for Alken Funds Sicav and EUR 10 mln for lower management fees and reputational damage for the management company Alken Luxembourg SA, as well as an order that the defendants pay compensation for non-pecuniary loss, subject to a finding of the crime of false corporate communications. The Parent Company duly appeared and set out its defence; Four individuals also intervened in the case, claiming damages totalling approximately EUR 0.7 mln. In a ruling dated 7 July 2021, the Court of Milan rejected all the claims of the Funds, which were ordered to pay the Bank's legal fees. The request of an intervener was only partially accepted, in relation to which the Parent Company was ordered to pay the sum of approximately EUR 52 thousand (for principal and interest) jointly with No-mura and in part with Messrs. Antonio Vigni and Giuseppe Mussari. Both the Parent Company and Nomura and the Funds appealed (the latter for relief sought of approximately EUR 454 mln) against the ruling before the Court of Appeal of Milan. The three proceedings were joined and finally the Court of Appeal of Milan, with a ruling published on 9 November 2023, rejected the Funds' claims in their entirety, while upholding the appeals of Banca MPS, Nomura, Mussari and Vigni. On 9 January 2024, the Funds filed an appeal with the Court of Cassation, where the Parent Company duly appeared, requesting the rejection of the opposing appeal and an order that the Funds pay the costs.

*Banca Monte dei Paschi di Siena S.p.A. vs. Fondi York and York Lussemburgo*

On 11 March 2019, York Funds and York Luxembourg served a writ of summons, bringing an action before the Court of Milan (Section specialised in corporate matters) against the parent Company, Messrs. Alessandro Profumo, Fabrizio Viola, and Paolo Salvadori as well as Nomura International PLC, ordering the defendants, jointly and severally, to pay damages for pecuniary damages quantified in a total of EUR 186.7 mln and non-pecuniary damages to be settled on an equitable basis pursuant to Article 1226 of the Italian Civil Code, plus interest and revaluation.

The plaintiffs' claim relates to losses incurred as part of its investment transactions in Banca MPS totalling EUR 520.3 mln, carried out through the purchase of shares (investment of EUR 41.4 mln by the York Luxembourg Fund) and through synthetic purchases of equity swap contracts (whose value was linked to the performance of the MPS share at a 1:1 ratio) (investment of EUR 478.9 mln by the York Funds). The counterparties claimed that they had disposed of the investments described above with losses totalling EUR 186.7 mln, losses that, according to the Funds, were caused by unlawful conduct of the Bank's top management that distorted the financial representation in the financial statements, significantly altering the assumptions underlying the valuation of the financial instruments issued by the Parent Company.

The Parent Company duly appeared before the court.

In its judgment of 16 May 2024, the Court of Milan dismissed all the claims of the Funds, which were condemned to pay legal costs amounting to EUR 240 thousand in addition to the payment of the sum of EUR 120 thousand pursuant to Article 96 of the Italian Code of Civil Procedure in favour of each defendant.

On 17 June 2024, the Funds appealed against this judgment; the Parent Company duly entered an appearance in view of the first hearing set for 22 January 2025. At that hearing, the death of Mr Salvadori was acknowledged and the case was declared discontinued. With an appeal served on 28 February 2025, the Funds resumed the case, the next hearing of which is scheduled for 25 June 2025.

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*Banca Monte dei Paschi di Siena S.p.A. / Civil action and third-party action of the Parent Company as civilly liable party*

**Criminal proceedings no. 955/16**

On 12 May 2017 the committal for trial of the representatives Alessandro Profumo, Viola Fabrizio and Salvadori Paolo was requested within new criminal proceedings before the Court of Milan, in which they were charged with false corporate disclosures (art. 2622 of the Italian Civil Code) in relation to the accounting of the "Santorini" and "Alexandria" transac-tions with reference to the Parent Company's financial statements, reports and other corporate communications from 31 December 2012 to 31 December 2014 and with reference to the half-yearly report as at 30 June 2015, as well as market manipulation (art. 185 of the Consolidated Law on Finance) in relation to the disclosures to the public concerning the ap-proval of the financial statements and the balance sheets specified above.

On 15 October 2020, the Court of Milan read the conclusion of the ruling of first instance, registered under number 10748/20, sentencing all accused natural persons and the Parent Company pursuant to Italian Legislative Decree 231/01. The reasons were filed on 7 April 2021.

The Parent Company filed an appeal before the Court of Appeal of Milan against the ruling of first instance, as the civilly liable party, jointly and severally liable with the defendants, having administrative liability under Italian Legislative Decree 231/2001.

On 11 December 2023, the Court overturned the first instance ruling. The defendants were fully acquitted because the fact does not exist, both with reference to the crime pursuant to Article 2622 of the Italian Civil Code (false corporate commu-nications) in relation to the financial statements as of 31 December 2012 and to the interim report as of 30 June 2015, and with reference to the crime pursuant to Article 185 of the TUF (market manipulation) in relation to the press releases concerning the approval of the financial statements as of 31 December 2012 to 31 December 2014 and to the interim report as of 30 June 2015, on the assumption that there was no existence, beyond reasonable cause, of the alleged false accounting representation of the Santorini and Alexandria transactions. Likewise, the Parent Company was acquitted of administrative infringements as the predicate offences proved groundless. The ascertained lack of the objective element of the alleged offences also eliminated the prerequisite for claims for damages advanced by the civil parties against the defendants and the Bank as civilly liable party.

On 22 July 2024, an appeal against the ruling was filed before the Court of Appeal by both the Public Prosecutor's Office and the civil party Bluebell Capital Partners. At the hearing of 20 February 2025, the V section of the Court of Cassation rejected the appeals of both parties, upholding the judgment of the Court of Appeal of Milan of 11 December 2023 to acquit the defendants and the Parent Company.

**Criminal proceedings no. 33714/16**

In relation to criminal proceedings no. 33714/16 pending before the Milan Public Prosecutor's Office, the Parent Company was originally implicated as party bearing administrative liability pursuant to Italian Legislative Decree no. 231/2001 in connection with an allegation of false corporate communications (pursuant to art. 2622 of the Italian Civil Code) relating to the 2012, 2013, 2014 Financial Statements and the 2015 half-yearly report due to the alleged overstatement of so-called non-performing loans.

On 4 May 2018, the Bank's position was dismissed by the Public Prosecutor's Office due to the groundlessness of the crime (a measure also confirmed by the General Prosecutor's Office on 15 March 2019).

On 25 July 2019, the GIP [Preliminary Investigations Judge] of the Court of Milan, while acknowledging the dismissal of the proceedings against the Parent Company, as the liable entity pursuant to Italian Legislative Decree No. 231/2001 and ordered the continuation of the investigations of the defendant natural persons (i.e. chairman of the Board of Directors, Managing Director/CEO and pro-tempore Chairman of the Board of Statutory Auditors) which initially continued in the form of the evidence gathering procedure during which two experts were appointed by the GIP who, on 30 April 2021, filed their report.

Subsequently, in the context of further investigations, the Public Prosecutor ordered two new technical consultations which, although noting some alleged accounting errors, reached significantly different conclusions from those of the ex-pert report ordered ex officio by the GIP in the context of the evidence gathering procedure.

On 16 September 2022, a notice was received concerning the conclusion of preliminary investigations pursuant to art. 415-bis of the Italian Code of Criminal Procedure against three former members of the Bank (two Chairmen of the Board of Directors and one Chief Executive Officer) and a former Executive manager (responsible for the preparation of corporate accounting documents). Despite the previous dismissal, the Bank also received the same notice as party bearing adminis-trative liability pursuant to Italian Legislative Decree 231/01.

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On 14 December 2022, a request for committal for trial was issued against the above-mentioned representatives and the former Executive manager; On 12 December 2022, the Bank's position as administratively liable pursuant to the Compli-ance Model under law 231 was instead dismissed.

The natural persons are charged with the offences of false corporate communications (pursuant to art. 2622 of the Italian Civil Code) and market manipulation (pursuant to art. 185 of the Consolidated Law on Finance) with reference to the 2013-2014-2015 Financial Statements and the 2015-2016 half-yearly reports, as well as of false information (pursuant to art. 173-bis of the Consolidated Law on Finance) in relation to the 2014-2015 prospectuses.

At the preliminary hearing, civil parties with a combined total of more than 5,000 names appeared. Most of the aforemen-tioned civil parties requested the summoning of Banca Monte di Paschi di Siena as civilly liable and at the hearing of 10 November 2023, the Bank duly appeared.

At the hearing of 22 April 2024, the Judge for the Preliminary Hearing read the order concerning the issues on civil action, ordering the exclusion mainly for formal defects of almost 300 civil parties with a relief sought, where quantified, of ap-proximately EUR 12 mln.

At the hearing of 20 June 2024, the Preliminary Hearing Judge, assigned to the matter of compulsory indictments relating to Criminal Proceedings no. 29877/2022 (see below), issued an order expressing opinion in favour of merging the two proceedings, deeming the legal prerequisites to be met. These proceedings were, accordingly, merged at the hearing of 20 January 2025.

At the hearing of 28 February 2025, the Public Prosecutor requested that a "ruling not to proceed" be issued for all the natural persons in relation to the charges in both criminal proceedings 33714/16 and in the joined criminal proceedings 29877/22, with the exception of the charge relating to false corporate communications, with reference to the financial statements relating to the financial year 2015 and to the half-yearly financial report as at 30 June 2016, for which the Pub-lic Prosecutor requested the indictment of the former Chairman of the Board of Directors, of the former Chief Executive Officer and of the former Financial Reporting Officer.

This will be followed by the hearings on 9 April and 8 May for the conclusions of the civil parties and the discussion of the civil defendant and the defendants' defence respectively.

**Criminal Proceedings no. 29877/2022, Court of Milan**

On 28 May 2024, a number of employees, former employees and former representatives of the Parent Company received an order pursuant to Articles 409 and 410 of the Italian Criminal Code concerning "non-performing loans", regarding the al-leged failure to recognise prior losses. This de facto order extends the period covered by criminal proceedings 33714/2016 on the same matter, regarding financial statements from 31 December 2013 to 30 June 2016, also to the financial state-ments as at 31 December 2016 and 31 December 2017. This order commands public prosecutors to proceed with com-pulsory indictment of five natural persons. With the request for commitment to trial, the public prosecutors simultaneously filed an application to merge this case into the main proceedings (see above, case ref. PP33714/2016).

At the preliminary hearings, held on 23 July 2024 and 23 September 2024, approximately 2,080 civil parties appeared, of which approximately 1,900 had already appeared in cp 33714/2016, with a simultaneous request to summon the Parent Company and Consob as civilly liable.

At the hearing on 28 November 2024, the Parent Company appeared as civilly liable, and at the subsequent hearing on 19 December 2024, the Judge issued the order ordering: (i) the exclusion of Consob as civilly liable party, (ii) the exclusion of 20 civil parties for formal defects.

At the hearing on 20 January 2025, the judge ordered the two proceedings to be merged.

In addition, in the aforementioned order of indictment of 28 May 2024, the Preliminary Hearing Judge ordered a supple-ment to investigations with regard to alleged fraud against the State with reference to the precautionary recapitalisation transaction. The investigation is still ongoing.

• ••

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The procedural events described in greater detail above and connected to (i) the hearing on 20 February 2025 before the Court of Cassation, which confirmed the sentence of the Milan Court of Criminal Appeals acquitting the defendants and the Parent Company, within the framework of the criminal proceeding no. 955/16 and (ii) at the preliminary hearings in the criminal proceedings on non-performing loans 33714/2016 and in the merged criminal proceedings 29877/2022, relating to the accounting of Banca MPS's non-performing loans in the financial statements from 2013 to 2017, following the order of 28 May 2024, whereby the GIP at the Criminal Court of Milan ordered the compulsory indictment of certain employees, former employees and former officers of the Bank, have led, also taking into account the progressive stratification of further positive judgements in all clusters of civil litigation related to the disclosure of financial information in the period 2008- 2015, to confirm the assessments of the risk of losing the case already made last year.

In detail: civil litigation, relating to the 2014 and 2015 capital increase transactions and the subject of criminal proceedings 955/2016 and 29877/2022 are classified as at 'probable' risk; civil litigation, relating to the 2014 and 2015 capital increase transactions and the subject of criminal proceedings 955/2016, 33714/2016 and 29877/2022 as well as the criminal pro-ceedings 955/2016 are classified as at "possible risk"; and the civil litigation, relating to the 2008-2011 capital increase transactions, and the out-of-court complaints filed by investors concerning the alleged false information relating to the accounting of the Alexandria and Santorini transactions and of the 'non-performing loans' are classified at 'remote' risk.

The provisions for risks and charges relating to proceedings classified as "likely risk" were determined so as to take into account the amount invested by the counterparty in specific periods of time by the disputed information alterations (net of any disinvestments made during these same periods). The damage subject to compensation was then determined on the basis of the "differential damage" criterion, which identifies the damage as the lowest price that the investor would have had to pay if he had access to complete and correct information. For the purposes of this determination, econometric analysis techniques have been adopted - with the support of qualified experts - suitable to eliminate, among other things, the component inherent in the performance of the equity securities belonging to the banking sector during the reference period. More in detail, the total damage caused by each event potentially capable of generating information alterations was first quantified and then the amount abstractly attributable to the individual civil party was calculated, taking into account the share of capital held from time to time. From a prudential standpoint, along with the differential damage, the different criterion of "full compensation" was also taken into account (of a minor importance in the prevailing law, including the one that is currently taking shape on this specific subject matter), and that is based on the argument that false or incomplete information may have a causal impact on the investment choices of the investors to such an extent that, in the presence of correct information, they would not have made the investment in question; in this case, the damage is therefore commen-surate to the invested capital, net of the amounts recovered from the sale of shares by the civil party.

In any case, the Parent Company has exercised the possibility granted by IAS 37 of not providing disclosures on the provi-sions allocated in the balance sheet as it believes that such information could seriously jeopardise its position in disputes and in potential settlement agreements.

Overall, settlement agreements were reached which led to the closure of disputes and out-of-court claims for a total relief sought of approximately EUR 4.4 bn with a total outlay of approximately EUR 242 mln (5.5% of the relief sought); these amounts include the transaction for EUR 150 mln with the MPS Foundation, which took place in 2021, against a relief sought of EUR 3.8 bn (4% of the relief sought).

It should also be noted that up to December 2024, disputes and criminal proceedings for relief sought of approximately EUR 946 mln have reached judgement, at least at first instance. Unfavourable judgements represent less than 2% of the relief sought which reached judgement and resulted in the Bank being ordered to pay damages for approximately 0.1% of the relief sought which reached judgement.

• ••

*Banca Monte dei Paschi di Siena S.p.A. vs. Fresh 2008 bondholders*

Certain holders of FRESH 2008 Bonds maturing in 2099, by document served on 15 November 2017, sued the Parent Company, Mitsubishi UFJ Investors Services & Banking Luxembourg SA (which replaced the issuing Bank of New York Mellon Luxembourg), the English company JP Morgan Securities PLC and the American company JP Morgan Chase Bank N.A. (which entered into a swap agreement with the issuer of the bond) before the Court of Luxembourg in order to: (i) establish the inapplicability of the Burden Sharing Decree to the holders of the FRESH 2008 Securities and, conse-quently, to hold that the said bonds cannot be forcibly converted into shares, (ii) assert the validity and effectiveness of the said bonds in accordance with the terms and conditions of their issue as governed by Luxembourg law, and, fi-nally, (iii) assert that the Parent Company is not entitled, in the absence of the conversion of the FRESH 2008 Secu-rities, to obtain from JP Morgan the payment of EUR 49.9 mln to the detriment of the holders of the FRESH 2008 Se-curities. The Court of Luxembourg, by order of 11 January 2022, rejected the Parent Company's requests for a stay of the proceedings until the international courts have ruled on the preliminary objections raised by the Parent Company.

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Instead, it upheld the plea of lack of jurisdiction of the court in relation to the claim concerning the usufruct contract en-tered into by the Parent Company with JP Morgan Securities PLC and JP Morgan Chase in the context of the 2008 share capital increase transaction. In relation to the aforementioned usufruct contract, the Luxembourg court reserved its deci-sion pending the decision of the Italian court. On the contrary, it declared its jurisdiction in relation to the swap contract entered into by the Parent Company with the same counterparties in the context of the 2008 capital increase transaction.

It is noted that, following the start of the proceedings in question by the holders of the FRESH 2008 Securities, the Parent Company, on 19 April 2018, has brought a legal action before the Court of Milan against JP Morgan Securities Ltd JP Morgan Chase Bank N.A. London Branch, as well as the representative of the FRESH 2008 securities holders and Mitsub-ishi Investors Services & Banking Luxembourg S.A. to ascertain that the Italian Judge is the only one with jurisdiction and competence to decide about the usufruct contract and the company swap agreement signed by the Parent Company with the first two defendants in the context of the operation of the share capital increase in 2008. Consequently, the Bank asked:

&nbsp;&nbsp;&nbsp;&nbsp;· to ascertain, pursuant to Article 22, paragraph 4 of Decree 237 of 23 December
2016, the ineffectiveness of the usufruct contract and the company swap agreement that provide for payment obligations in favour of JP
Morgan Securities PLC and JP Morgan Chase Bank NA;

&nbsp;&nbsp;&nbsp;&nbsp;· to ascertain the ineffectiveness and/or termination and/or discharge of
the usufruct contract or, in the alternative;

&nbsp;&nbsp;&nbsp;&nbsp;· to ascertain the termination of the usufruct contract due to the capital
deficiency event of 30 June 2017.

The first hearing was held on 18 December 2018 and the Investigating Judge, considering the prejudicial nature of the issue of jurisdiction raised by the defendants, in view of the fact that a dispute is pending before the Luxembourg Court involving the same relief sought and the same cause, had granted the parties terms to reply only to the procedural objec-tions and adjourned the hearing to 16 April 2019 for assessment of the disputed issue. At the subsequent hearing on 2 July 2019, the case was held over for decision and by order of 2 December 2019, the Court of Milan ordered the proceedings to be suspended pending the decision of the aforementioned Luxembourg Court. Against this order, the Parent Company had filed a petition with the Court of Cassation for the referral to a different competent court. The court has rejected the petition of the Parent Company with ruling dated 31 March 2021.

In the meantime, the holders of the Fresh securities challenged the first instance ruling issued by the Luxembourg Court in November 2022, against which the Parent Company in turn filed a cross-appeal. The decision in the case was deferred to a later date; The next hearing is scheduled for 4 April 2025.

At the same time, the Parent Company – based on the ruling issued by the Court of Luxembourg – filed an appeal with the Court of Milan for the resumption of proceedings initiated there in 2018, but the Court of Milan, with an order of 11 Janu-ary 2024, declared this inadmissible, pointing out that suspension of the Italian proceedings had been ordered at the time (02.12.2019) until the final decision of the Luxembourg Court. That decision, however, which had as previously mentioned been the subject of both the main appeal and the cross-appeal, did not become final, and consequently the conditions that at the time had prompted the Italian court to keep proceedings suspended still applied.

In the event of a favourable outcome of the dispute, the FRESH 2008 Securities will be converted into the shares, already issued, of the Parent Company which will also collect the amount of EUR 49.9 mln, recording corresponding economic proceeds.

In the event of an unfavourable outcome of the dispute, the principle of burden sharing cannot be applied and therefore the bond-holders will retain the right to receive the coupon (equal to Euribor 3M + 425 bps on a notional amount of EUR 1 bn) provided that the Parent Company generates distributable profits and pays dividends.

Considering that the Parent Company had not paid dividends from the date of the burden sharing, any unfavourable out-come of the dispute will only produce effects starting with the decision to distribute dividends in May 2024 on 2023 profit. Note that, as at the reporting date of these Financial Statements, no further claims of any kind have been brought over and above the disputes described herein. In any case, at the current stage of the dispute, the Parent Company considers all rights of the 2008 FRESH bond-holders null and void pursuant to the application of art. 22, paragraph 4 of Italian Legisla-tive Decree 237/2016 and of the capital deficiency event recorded as at 30 June 2017. It therefore determined the equity ratios and earnings per share as at 31 December 2024 (in continuity with 31 December 2023) without taking into account the 2008 FRESH coupon.

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Other proceedings

*Banca Monte dei Paschi di Siena S.p.A. vs. Fatrotek*

This case, where the Parent Company was sued together with other credit institutions and companies with the summons of 27 June 2007, seeks the assessment of alleged monetary and non-monetary damage suffered by the plaintiff, as a result of an alleged unlawful report filed with the Italian Central Credit Register. The relative relief sought amounts to EUR 157 mln. The plaintiff also asks that the defendant banks be found jointly liable, each proportionately to the seriousness of its behaviour. The Parent Company's defence was based on the fact that the company's extremely severe financial situation fully justified the Parent Company's initiatives.

On 5 June 2018, the bankruptcy of the company was declared, which prompted the receivership to take up the case again. At the end of the preliminary investigation, during which an expert was court-appointed, the case was withheld for decision on 6 October 2022. Subsequently, on 11 November 2022, the Court of Salerno ascertained and settled only the non-pecuniary damage, amounting to EUR 20,000 for each bank (thus totalling EUR 100,000), plus interest and costs of litigation. The disbursement attributable to the Bank is approximately EUR 34 thousand. The case concerning the appeal lodged by the Receivership was held on 11 July 2024, for the acquisition of the official technical report carried out as part of the first instance proceedings. At present, the trial has been postponed to the hearing on 25 September 2025 for closing arguments; the Court deferred to the decision-making phase any assessment regarding renewed court appointment of an expert requested by the counterparty.

*Banca Monte dei Paschi di Siena S.p.A. vs. Renova Red S.p.A.*

On 9 September 2024, Renova Red brought the Parent Company before the Court of Siena to ascertain the defendant's failure to comply with the framework agreement on the ecobonus, stipulated in September 2021 between Banca MPS and the plaintiff for a total nominal value of approximately EUR 76 mln.

The counterparty argument is that the Parent Company arranged the purchase of only a minimal part of the receivables envisaged in the aforementioned framework agreement, then unjustifiably refusing to purchase subsequent receivables from November 2021. This would have forced Renova Red to find other brokers on the market to complete subsequent factoring only six months later with considerable damages in terms of financial and non-financial losses, estimated by the plaintiff as approximately EUR 32 mln.

With act dated 14 Novembre 2024 the Parent Company entered an appearance and, following the Court's adjournment, the first appearance hearing was set for 29 April 2025. Starting from 20 March 2025, both parties will be called upon to file their respective supplementary briefs.

*Banca Monte dei Paschi di Siena S.p.A. vs. Riscossione Sicilia S.p.A. (now ADER - Revenue Agency - Collections)*

**Dispute brought by Riscossione Sicilia**

By writ of summons served on 15 July 2016 Riscossione Sicilia S.p.A. (today the ADER, Italian Revenue Agency - Col-lections, which took over all legal relations of Riscossione Sicilia from 1 October 2021, pursuant to art. 76 of Italian Law Decree no. 73/2021 converted with Italian Law no. 106/2021) had summoned the Parent Company before the Court of Palermo, asking for it to be ordered to pay the total sum of EUR 106.8 mln.

With judgement no. 2350/22, filed on 30 May 2022, the Court of Palermo, essentially adhering to the conclusions of the court-appointed expert, rejected Riscossione Sicilia's counterclaims and sentenced the latter to pay the Bank approximate-ly EUR 2.9 mln plus legal interest and court fees.

This judgment was appealed on 27 December 2022 by summons before the Court of Appeal of Palermo. The Bank made an entry of appearance with a petition filed on 13 April 2023, explaining a cross-appeal. The case is currently adjourned for closing arguments until 7 November 2025.

• ••

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BANCA MONTE DEI PASCHI DI SIENA

**Legal action brought by the Finance Department of the Sicily Regional Government ("the Department")**

On 17 July 2018, the Finance Department of the Sicily Regional Government served an injunction order upon the Parent Company pursuant to art. 2, Italian Royal Decree no. 639/1910 and for repayment of a total of around EUR 68.6 mln pur-suant to art. 823, paragraph 2 of the Italian Civil Code. After integration of the cross-examination of Riscossione Sicilia S.p.A., by ruling no. 3649/2021, published on 4 October 2021 and notified on 5 October 2021, the Court of Palermo rejected the Parent Company's objection to the aforementioned order with simultaneous sentencing of the Parent Company to pay legal costs. Banca MPS lodged an appeal against this decision before the Palermo Court of Appeal. With an order filed on 11 February 2022, the Court of Appeal ordered the integration of the cross-examination against the Revenue Collection Agency (ADER), as successor of Riscossione Sicilia S.p.A., setting the collegial hearing for the new appearance on 1 July 2022. Currently, the case has been adjourned to the hearing of 18 December 2025 for closing arguments.

• ••

**Actions brought by Banca Monte dei Paschi di Siena S.p.A.**

In the additional and separate administration proceedings (case ref. 2201/2018) brought by the Parent Company before the Regional Administrative Court of Sicily to obtain a declaration of invalidity and cancellation of the injunction order pursuant to art. 2, Italian Royal Decree no. 639/1910, by ruling no. 3043 of 17 November 2023 the Court accepted the Par-ent Company's appeal, cancelling the challenged order limited to the alternative claim of the Sicily Regional Government, deeming that the Regional Government could not object to any action for protection of possession pursuant to art. 823, paragraph 2, of the Italian Civil Code, since it constitutes a right of claim rather than a right in rem, and ordered the costs to be offset between the parties. The judgment was not appealed and has become final.

Following service upon the Parent Company on 21 September 2022 of the tax demand stating the amount claimed by the Department pursuant to ruling no. 3649/2021, by writ of summons of 21 November 2022, the Parent Company filed claims before the Court of Siena (RG 2737/2022) against ADER and the Department in other proceedings opposing enforcement of the tax demand as an executive order pursuant to art. 615 of the Code of Civil Procedure, also for the purpose of sus-pending enforceability. These proceedings ended with a ruling on 13 December 2023, which rejected the Parent Company's opposition and ordered it to pay the costs of EUR 91.6 thousand; By summons of 21 June 2024, said ruling was appealed before the Court of Appeal of Florence, which adjourned the case for decision to the hearing of 20 January 2026.

The other actions undertaken by the Parent Company to respond to the credit claim of the Regional Government referred to in ruling no. 3649/2021 – specifically, the application before the Court of Auditors brought on 21 November 2022 pursuant to art. 172 paragraph 1.d) of the Code of Accounting Justice to declare null and void the actions carried out for recovery of the amounts as well as the petition of 16 November 2022 pursuant to Law 228/2012 to obtain suspension of the collection of the amount indicated in the tax demand – were unsuccessful and therefore, on 27 January 2023, in strict compliance with the tax demand, which in the itemised credit items of the tax authority interest at the legal rate was contemplated, the payment of a total EUR 74 mln was arranged as full repayment of the amount demanded by the Sicily Regional Government.

Lastly, the steps necessary to recover the afore-mentioned credit of about EUR 68.6 mln from ADER, to which the Parent Company is entitled, as the sole successor of Riscossione Sicilia S.p.A., are underway.

*Banca Monte dei Paschi di Siena S.p.A. vs. Nuova Idea*

With a writ of summons served on 21 December 2021, Nuova Idea S.r.l. summoned the Parent Company before the Court of Caltanissetta in order to have it declare that it was obliged to compensate all the damages, financial and non-financial, suffered by the company as a consequence of the protest of a bill of EUR 2,947 domiciled at the Caltanissetta branch, which according to the plaintiff's prospect would have been raised due to the Parent Company's exclusive acts and negligence.

The plaintiff argues that the illegitimate protest constituted the only causation of a chain of events described in the writ of summons which resulted in the sharp reduction of its equity investment in a Temporary Grouping of Companies (RTI) that had been awarded a service contract with ASL Napoli 1 Centro, consequently requesting, principally, that the Bank was ordered to pay in its favour the amount of EUR 57.3 mln by way of loss of earnings as well as an amount of EUR 2.8 mln by way of loss of profit, and thus a total of EUR 60.1 mln, in addition to compensation for damage to the corporate image and commercial reputation to be paid on an equitable basis.

With ruling No. 26 of the Court of Caltanissetta, published on 8 January 2025, the first instance of the case was finalised with the Bank being ordered to pay EUR 2.8 mln as compensation for the damage suffered by Nuova Idea S.r.l., with full compen-sation for legal costs. The Court held that there was a causal link between the non-payment of the bill by Banca MPS and the marginalisation of the company in the public tender obtained in RTI. Since there are valid grounds for review, the Parent Company, with a notice of appeal dated 17 February 2025 contested the first instance ruling before the Court of Appeal of Cal-tanisetta, requesting a suspension of the enforceability of the judgment. The first paper hearing is scheduled for 10 July 2025.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

*Banca Monte dei Paschi di Siena S.p.A. vs. EUR S.p.A.*

EUR S.p.A. sued before the Court of Rome the former subsidiary MPS Capital Services S.p.a. (now merged by incorporation into the Parent Company - hereinafter referred to as MPSCS), jointly with three other financing banks, principally in order to obtain the declaration of nullity or, in the alternative, the annulment and/or ineffectiveness of the following contracts: 1) Interest rate swap (IRS) concluded on 24 April 2009; 2) IRS of 29 July 2009; 3) the Novation Confirmation of 15 July 2010 by which the IRS sub 2 was transferred from Eur Congressi Spa to Eur Spa; 4) the close-out contract dated 29 July 2010 relating to IRS sub 1; 5) the Termination Agreement of 18 December 2015 relating to the IRS sub 2. Also principally, the plaintiff seeks an order that the pool banks be ordered, jointly and severally, by way of restitution of undue payments and compensation for pre-contractual and/or contractual and/or non-contractual damages, to pay the amount of approximate-ly EUR 57.7 mln representing the relief sought indicated by the plaintiff.

Since this amount relates to all the derivatives concluded by the 4 banks of the pool with EUR S.p.A., it should be noted that in the unlikely event of losing, the burden arising from the ruling will be divided among the banks in the pool in proportion to their share in the financing, which for MPSCS was 12.61%.

On 21 April 2023, rejecting the claims put forward by Società EUR, the Court of Rome issued the judgment in which: 1) it declared the lack of jurisdiction of the Italian Court, in favour of the UK Court; 2) it declared that the objection of lis pendens cease to obtain, alternatively, by the defendant Banks pursuant to art. 7, paragraph 1, Law no. 218 of 31 May 1995; 3) it ordered that legal costs be fully offset between the parties.

On 5 December 2023, EUR notified the appeal against the first instance judgement, challenging the decision of the Court to refer the case to the jurisdiction of the English court and re-proposing in substance all the claims and arguments put forward in the first instance. In February 2025, a settlement agreement was reached with the other party that resulted in the dismissal of the appeal.

*Banca Monte dei Paschi di Siena S.p.A. vs. Italtrading*

In February 2020, the Italtrading receiver sued the former subsidiary MPS Leasing & Factoring, as civilly liable for the damage pursuant to art. 2049 of the Italian Civil Code caused through a former employee, consisting of the irregular recognition in the financial statements of lower payables to the banking system and at the same time of lower receivables from subsidiaries and some customers. This is in violation of the provisions of art. 2423 of the Italian Civil Code, resulting in a concealment of the loss of share capital and, therefore, an aggravation of the insolvency. The claim for damages was quantified at EUR 132.8 mln.

During the lawsuit, in which the former subsidiary appeared before the court, following the conclusions of the insolvency proceedings, the claim was reduced to EUR 63 mln with the request for a provisional payment of EUR 6 mln.

With ruling of 19 May 2023, the Court of Milan acquitted the former employee of the charges against him, with conse-quent release effect for Banca MPS, which had taken over by virtue of incorporation from MPS L&F. Appeal proceedings are pending before the Court of Appeal of Milan, filed last October by the Italtrading receiver. The first appeal hearing was held on 4 July 2024. The Public Prosecutor deferred the case to the Court, given the exclusively civil nature of the matter. At the hearing on 5 March 2025the Court granted the request for a rehearing by one of the defendants, by ordered a further postponement to 7 April 2025.

*Banca Monte dei Paschi di Siena S.p.A. vs. Privilege Yard Spa in Fall - Appeal*

By ruling no. 14832/2022 of 4 October 2022, the Court of Rome ascertained the liability of various credit institutions, in-cluding the former subsidiary MPS Capital Services S.p.A. (now merged into the Parent Company), defendants jointly and severally for complicity pursuant to art. 2055 of the Italian Civil Code in the misadministration by the directors of Privilege Yard S.p.A. pursuant to art. 2393 of the Italian Civil Code and consequently ordered them to pay as compensation for the damage caused to the assets of Privilege Yard S.p.A. an amount, quantifiable by way of application of the net equity crite-rion, equal to EUR 57.1 mln, in addition to legal costs and expenses.

In agreement with the other banks, which were originally part of the pool, the decision was to proceed with the spontane-ous payment, although subject to repetition at the outcome of the appeal, by paying in the agreed amount of one fifth, for each bank, of the sentenced amount plus costs, fees and expenses.

All banks, including the former subsidiary, appealed independently. The first appearance hearing held in February 2024 was postponed for closing arguments to November 2025.

Several proposals were submitted by third parties to the banks for transfer of the dispute, some formalised, others only verbal to explore the Banks' possible willingness to settle. However, no proposal was made official.

625

BANCA MONTE DEI PASCHI DI SIENA

*Banca Monte dei Paschi di Siena S.p.A. vs. Barbero Metalli S.p.A.*

The proceedings, with relief sought equal to EUR 37.5 mln, were brought by B.M. 124 S.R.L. - official assignee of the com-position in bankruptcy pertaining to Barbero Metalli Spa in JV with BeCause - against the directors and external auditors of the company, as well as the different credit institutions jointly and severally, for having contributed to the insolvency of the company through the predatory lending.

The plaintiff asks for the directors, auditors and banks to be found jointly and severally liable for approximately EUR 37.5 mln as additional loss incurred by the company, and in the alternative liable for EUR 22.9 mln, as the value of individual detrimental transactions carried out by the company and expressly listed in the summons (the contribution indicated for the Parent Company would consist in having advanced EUR 8.8 mln to the company since 2009).

On 13 September, due to the failure of the settlement proposal put forward, the judge ordered the opening of the prelimi-nary investigation of the case by means of technical advice. On 4 December 2024, the court-appointed expert was sworn in and the Bank appointed its own expert witness.

*Banca Monte dei Paschi di Siena S.p.A. vs. Isoldi S.p.A.*

In June 2020, a summons was served by the bankruptcy receiver of Isoldi Holding S.p.A. in liquidation against several cred-it institutions (including the Parent Company) on the assumption of joint and several liability of the banks with the board of directors of Isoldi Holding S.p.A. in liquidation for having contributed to the commission of acts disposing of the com-pany's assets, to the artificial survival of the company despite its insolvency and to the worsening thereof, identified as:

&nbsp;&nbsp;&nbsp;&nbsp;· purchase of shares and the related option rights of
the company Aedes S.p.a., carried out at prejudicial conditions com-pared to market prices with an increase in indebtedness, in a position
of equity and financial instability of the bankrupt company;

&nbsp;&nbsp;&nbsp;&nbsp;· access to a reorganisation plan pursuant to art. 67,
paragraph 3, letter d), of the Bankruptcy Law, signed on 9 May 2011 by 7 banks (the Parent Company for 19%) and Isoldi Holding through
the establishment of two new companies for the transfer of business units bound to the satisfaction of debtors with collaterals (Newco
Isoldi and I.R.O.) and the dis-bursement of new funding for a total of EUR 17.6 bn secured by mortgages in grade II and sureties of Isoldi
Holding.

The first hearing was held on 16 February 2023 with the judge reserving judgment on the various preliminary claims brought by the parties without granting the six-month postponement requested by the Receivers for the definition of an insolvency agreement and subsequent continuation of proceedings by the insolvent party. On 9 January 2024, the Judge withdrew his reservation, recognising, on a preliminary basis, the assignee's legitimacy to continue the proceedings initi-ated by the receivers and approving the court-appointed expert in relation to the two macro transactions referred to in the summons. The lawsuit, scheduled for January 2025, was then postponed as negotiations were opened to settle out of court the pending litigation with the bankrupt Isoldi Holding (formerly Isoldi Spa), now BeCause. On 13 February 2025, the Parent Company paid the agreed sum net of the court-appointed expert's fee, for which payment remains outstanding. It is expected that relief from proceedings will be granted.

*Banca Monte dei Paschi di Siena S.p.A. vs. Parrini S.p.A.*

The lawsuit, with relief sought equal to EUR 42.2 mln, was brought against different credit institutions jointly and severally alleged to have contributed to the insolvency of the company through predatory lending.

Notably, in regard to the position of the former subsidiary MPS Capital Services S.p.A. (now merged into the Parent Company), the complaint concerns the connivance with the acts of maladministration of the directors, who made use of credit at a time when the state of crisis of the company was no longer remediable, not in view of a corporate restructuring, but for the sole pur-pose of continuing the business activity and management, without letting this state of crisis become public, thus delaying the declaration of insolvency, and causing damage to the company and its creditors by granting a mortgage loan on 4 August 2011.

Given the content of the claims, the share of the risk pertaining to the former subsidiary MPS Capital Services S.p.A., jointly and severally summoned with the other defendants to pay the entire amount requested in relief, has not been quantified.

On 3 February 2022, the Judge lifted the reserve by postponing the case to the hearing of 31 October 2022 to produce items of evidence. The receivers asked for the appointment of a court-appointed expert. At the hearing, the Receivers insisted on the request for an economic-financial and accounting court-appointed expert report and the request for the issuance of the order to produce evidence concerning the investigation carried out by the banks prior to the granting of the loans to Parrini.

On 26 March 2024, the Parrini Spa receivership filed an "Application to fast track first instance rulings" with the Court of Rome, for the Judge to lift the reserve and appoint a court-appointed expert, an application that was made again on 16 July 2024, but to date the reserve has not yet been lifted.

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*Banca Monte dei Paschi di Siena S.p.A. vs. Le Camelie S.R.L dispute*

The lawsuit was brought by "Le Camelie S.r.l." and by Giacomo Polito, as third-party mortgage lender, against the Parent Company and the former subsidiary MPS Capital Services S.p.A. together with Siena NPL 2018, for alleged simulation of the allocation of the amounts disbursed for mortgage loans, for abuse of credit disbursement and for nullity of contracts due to unlawful causes.

The compensation claim amounts to a total of EUR 45.2 mln, a value corresponding to the sum of the values attributed by the plaintiffs to their foreclosed assets in the enforcement proceedings initiated in relation to the loans in question.

During the June 2023 hearing, the Judge deemed the case ripe for decision and set the hearing for the presentation of closing arguments as 6 February 2024. The proceedings were postponed to 24 May 2024, pursuant to art. 309 of the Italian Code of Civil Procedure, for a settlement with the transferee. The case was settled at the hearing of 18 June 2024, pursuant to art. 309 of the Italian Civil Code, given the intervening transaction between the transferee Siena NPL and the plaintiff.

*Banca Monte dei Paschi di Siena S.p.A. vs. Società Italiana per Condotte D'Acqua S.P.A. under extraordinary administration*

By means of a writ of summons served on the Parent Company on 23 December 2022, Società Italiana per Condotte D'Ac-qua S.p.A. under extraordinary administrative arrangements brought an action for damages against the credit institutions in conjunction with the factoring companies (32 counterparties), the independent auditors, the members of the Managing Board and of the Supervisory Board of the company in bonis, for having contributed - through the use and granting of credit - to the commission of acts of misadministration that caused (or contributed to causing) serious damage to the company and to the entire creditors' class. The damage is quantified:

&nbsp;&nbsp;&nbsp;&nbsp;· jointly and severally among all defendants in the amount of EUR 389.3 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· alternatively EUR 322.0 mln (increase in insolvency liabilities);

&nbsp;&nbsp;&nbsp;&nbsp;· or alternatively in the amount of EUR 39.5 mln with reference to individual
transactions (referring to associates).

At the hearing of 22 April 2024, a number of parties filed action against third parties; in authorising these claims against third-parties, the Judge adjourned the first appearance hearing to February and, then again, to 1 July 2025 for the same issues, pending proof that the amended summons had been served on Banco Do Brasil S.A..

627

BANCA MONTE DEI PASCHI DI SIENA

*Banca Monte dei Paschi di Siena S.p.A. vs. Extraordinary Administrators of Impresa S.p.A.*

By means of a writ of summons served on 11 November 2016, Impresa S.p.A. in extraordinary administration sued the Parent Company, together with other banks participating in a pool (our share 36.48%), to ascertain and declare the liability of said companies, of the members of the Board of Directors of Impresa S.p.A., and of the independent auditors, and to order them to pay damages, jointly, allegedly suffered by the company in the amount of EUR 166.9 mln.

According to the allegations, the banks, in conspiracy with the statutory auditors, directors and auditors, by financing the acquisition of the infrastructure branch of B.T.P. S.p.A. by Impresa S.p.A. caused the latter's bankruptcy. The Parent Company appeared before the court.

At the hearing on 7 January 2023, the judge admitted a Court Appointed Expert (CTU), filed on 29 March 2024. On the basis of the report, the disputed transaction would have generated an imbalance in the company's sources of financing, causing the unsustainability of the debt and the consequent insolvency of Impresa S.p.A., quantifying the relative damage at EUR 86.1 mln and noting how the credit rating was not adequately assessed by the financing banks at the time of disbursement.

At the hearing on 22 April 2024, the Judge recorded the parties' exceptions and granted a time limit for written notes to 31 May 2024. After filing the authorised notes by the stated deadlines, the Judge' decision to lift the reservation is pending.

*Banca Monte dei Paschi di Siena S.p.A./Berloni Immobiliare Srl*

By writ of summons served on 2 November 2018, Berloni Immobiliare Srl and Berloni Marcello sued before the Court of Pesaro (G.R. 2923/2018) Banca MPS Spa together with 7 other banking and financial institutions, the assessor and the drafting company, in order to obtain the declaration of nullity and/or annulment of all the acts carried out in execution of the recovery plan and the financing agreement reached between the defendant Banks and the companies of the Berloni Group (financing, mortgage registrations, pledges, contribution of shares, etc.), as well as an order that the defendants be ordered jointly and severally to pay damages, both pecuniary and non-pecuniary, allegedly suffered. The total claim for damages is quantified at EUR 53.5 mln and the Parent Company has entered an appearance. In May 2019, Berloni Immobiliare srl filed a quitclaim. The lawsuit continued for a relief sought of approximately EUR 30 mln. In November 2022, a court-appointed expert was ordered to verify the 'manifest unsuitability' of the recovery plan drawn up. The case was decided by order of 3 October 2024.

*Compensation for transactions in diamonds*

With reference to the "diamonds" case and the allegations of self-money laundering, the Public Prosecutor's Office at the Court of Siena, as part of the criminal proceedings, issued a request for dismissal on 12 September 2022 versus the natural persons (4 former executive managers and the only executive manager still employed), who had been investigated for self-money laundering and also issued a decree for dismissal with regard to the Bank as a party bearing administrative liability and has also ordered the revocation of the preventive seizure issued in relation to the offence of self-money laundering pursuant to Italian Legislative Decree no. 231/2001, for the amount of EUR 0.2 mln. On 16 November 2022, the Attorney General of the Court of Appeal of Florence had ratified the decree of dismissal against the Bank, while the Judge for Preliminary Investigations on 5 October 2022 had issued a decree of dismissal against the natural persons.

With regard to the criminal proceedings pending before the Court of Rome, listed under no. 44268/21 concerning the offences of aggravated fraud, against only natural persons, including 5 former members of the Bank, and 8 employees, on 18 June 2024, a ruling was made that there was no need to proceed due to the statute of limitations of the offence.

About the same case, additional criminal proceedings for the offences of aggravated fraud, self-money laundering and hindering the exercise of the functions of Public Supervisory Authorities were commenced before the Public Prosecutor's Office at the Court of Milan against seven former executive managers (of which five in the main line of litigation) and the Chief Executive Officer and pro tempore General Manager of the Bank.

These proceedings were moved, following the lack of territorial jurisdiction, to i) Rome for the hypothesis of aggravated fraud formulated against natural persons and in the context of which we are awaiting, as in the case of the trial aforementioned, the decision not to proceed due to the lapse of the statute of limitations; ii) Siena for the crime of self-laundering and obstruction of the functions of the Public Supervisory Authorities, the latter concluded on 8 February 2024 with the decree of dismissal.

With this last decree of dismissal, the criminal proceedings relating to the diamond operation involving the Parent Company as administrative head are all to be considered settled.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

2. Employment law disputes

As at 31 December 2024, tax disputes were pending for which the total relief sought, where quantified, was equal to approximately EUR 44.6 mln. Specifically:

· approx. EUR 32.1 mln in relief sought for disputes for which there is a
 "likely" risk of losing the case, for which provisions of about EUR 14.8 mln have been recognised;

<sub> </sub>

· approx. EUR 12.5 mln as relief sought for disputes
for which there is a "possible" risk of disbursing financial resources. Information on the most significant disputes pending
as at 31 December 2024 is provided below.

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*Banca Monte dei Paschi di Siena S.p.A. vs. Fruendo*

The transaction for the sale of the "back office" business unit of Banca MPS to Fruendo, dating back to 1 January 2014 for 1064 resources, was declared unlawful in all levels of proceedings and resulted in the reinstatement with the Parent Company of 452 plaintiffs (1 April 2020), at the same time seconded to the company.

It should also be noted that in the case of the transfer of a branch of business deemed unlawful, the Court of Cassation, with reference to the salary obligation incumbent on the transferor, has ruled in a manner that differs from the settled opinion of the Court of Cassation itself. In fact, numerous rulings, issued starting from July 2019, stated that, in the event the transfer of the employment relationship, in the broader context of the transfer of business units, is declared unlawful, the transferor employer, who does not reinstate the employees, is still liable to fulfil the remuneration obligations in addition to those fulfilled by the transferee employer, since the principle that the payment made by the latter would discharge the former is considered not applicable to the case in question.

Based on this change in case law ("double remuneration"), as at the reporting date of these Financial Statements, 52 workers involved in the transfer of the business unit and recipient of the above rulings in their favour, have sued the Parent Company in order to request the remuneration allegedly due. These actions were lodged before the Courts of Siena, Florence, Mantua and Rome, with hearings currently scheduled between December 2024 and November 2025.

The progress of litigation, in its various stages, has led to negotiations for the settlement of disputes that have resulted in 350 settlements to date.

With reference to the "unlawful contract" line of the suit, a first group of appeals by Fruendo workers (52 then reduced to 32 following waivers/settlements) was rejected at first instance by the Court of Siena on 25 January 2019. This ruling was challenged by 16 workers before the Court of Appeal of Florence Labour Law Division which, on the other hand, ascertained the illegitimacy of the contract, ordering the reinstatement in service of 14 workers (as for 2 workers, the matter of the dispute was declared to have ceased to exist following waivers/conciliations), which was implemented with effect from 1 March 2022. The final ruling against the Bank was pronounced by the Supreme Court of Cassation by order of 17 May 2024.

Further actions were filed to ascertain the unlawfulness of the contract, which currently involve 30 Fruendo workers, all of which have been brought before the Court of Siena - labour section:

· for two groups of plaintiffs (18 in total, subsequently
reduced to 14 as a result of waivers/conciliations) who brought class actions, first instance rulings were pronounced in favour of the
Bank by the Labour Law Division of the Court of Siena. The Florence Court of Appeal, by rulings issued on 5 April 2024, rejected the workers'
appeals and the cases are currently pending in Cassation;

<sub> </sub>

· for another group of applicants (18 in total, subsequently
reduced to 16 as a result of waivers/conciliations), a first in-stance decision is currently pending before the Court of Siena, Labour
Law Division, next hearing date 14 February 2025;

<sub> </sub>

· for the only applicant filing individual proceedings,
the Labour Law Division of the Court of Siena issued a ruling against the Parent Company. The employee was readmitted to service on 1
March 2024 and the case was settled out of court on 10 September 2024.

3. Tax disputes

As at 31 December 2024, tax disputes were pending for which the total *relief sought*, where quantified, was equal to approximately EUR 35.5 mln. Specifically:

· approx. EUR 12.2 mln as relief sought for disputes for
which there is a "likely" risk of disbursing financial resources, for which provisions of approx. EUR 12.0 mln have been allocated;

· approx. EUR 23.3 mln as relief sought for disputes for which there is a
 "possible" risk of disbursing financial resources.

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Risk linked to representations and warranties given in the transfer and demerger of non-performing loans

In previous years, the Group launched an important destocking plan for non-performing loans with the aim of significantly reducing its NPE ratio. As part of these transfers of non-performing loan portfolios, indemnities are envisaged to be paid to the transferee counterparties if the representations and warranties (R&W) issued prove untrue.

In this regard, note the securitisation transaction carried out by the Group in December 2017 in favour of Siena NPL which resulted in the cancellation of bad loans for a gross exposure of over EUR 22 bn, whose R&W expired on 31 July 2021. At the reporting date of these financial statements, all claims received by the deadline were reviewed, of which a small percentage were assessed as well-founded and were paid.

Also noteworthy are, (i) the "Hydra-M" demerger transaction in the 2020 financial year concerning EUR 7.2 bn of gross impaired loans whose R&W matured on 1 December 2022 and for which all claims received were analysed and paid where deemed justified; (ii) the 2022 "Fantino" sale transaction concerning EUR 0.9 bn of impaired loans whose representations and warranties expired between 28 October 2023 (Intrum Spa) and 20 May 2024 (Amco Spa and Illimity Spa); all claims received have been analysed and paid where deemed justified, with the exception of the assignee Amco Spa, for which negotiations are underway to define the claims notified close to their due date; (iii) the 2023 "Mugello" sale transaction concerning EUR 0.2 bn of impaired loans, whose representations and warranties will expire in the first quarter of 2025; to date, a small number of claims have been notified; all claims received were analysed and paid where deemed justified; (iv) the 2024 'Bricks' sale transaction finalised through the signing of three sale agreements with different assignees and concerning a total of EUR 0.3 bn of impaired loans, whose representations and warranties will expire between December 2025 and the first quarter of 2026; To date, no claims have been notified.

The total relief sought for these transactions as at 31 December 2024 amounted to EUR 271.3 mln, of which around EUR 63.9 mln classified as "likely" risk of losing and around EUR 207.5 mln as "possible" risk of losing.

For all the aforementioned transactions, a risk remains limited to that part of the claims already analysed and considered non-indemnifiable by the Group in addition, where present, to the residual component of claims to be analysed.

In general, the risk provisions for this type of transaction, if the claims are not fully analysed and/or the expiry date has not yet matured, are also determined through the use of statistical techniques to take into account the overall expected risk.

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ESG Risks

In view of the growing importance of ESG risk factors in regulation, government policies and stakeholder sensitivities, and also following specific initiatives promoted by the ECB, in particular on climate-related and environmental risks - C&E risks, the Group is pursuing a number of activities related to the integration of C&E risk factors into the Group's risk management framework and governance and strategic processes.

The process of identifying, verifying the materiality and relevance of C&E risks in the short, medium and long term, prepara-tory to the definition of the Group's Risk Appetite Statement continued, in line with previous years, on the environmental climate risk factors (hereinafter E-climate Risks).

The materiality analyses performed on E-climate risks, within the Group's risk management framework, were integrated into the Double Materiality Assessment according to the process described in the section 'Double Materiality Analysis' in the section 'Sustainability report' included in the Consolidated Report on operations.

With regard to Environmental risk factors, in continuity with the previous year, environmental climate risks affecting credit risk and reputational risk were confirmed as material in the short, medium and long term. Specifically, the climatic risks affecting credit risk are confirmed to be "very high" on transition risk and "high" on physical risk, depending on the potential exposure associated with each risk factor as detailed in the following sections; the E- climate risks on credit risk were also subject to stress tests - aimed at evaluating the impacts of adverse scenarios for ICAAP purposes, in terms of additional credit costs.

Based on the findings of the materiality analyses for the E-climate risk factors, four specific Key Risk Indicators (KRIs) - defined in the Risk appetite statment (RAS) - in the components of physical risk and transition risk for both 'private individuals' and 'non-financial corporate counterparts' were monitored during 2024, and relative operating limits were set on the structures most affected by operations/perimeter concerned.

The analysis of the materiality of E-climate risk factors on other major financial risks (market, liquidity and operational) was carried out using "what-if" analyses aimed at stressing:

· for liquidity risk, liquidity buffers represented by the deposits of retail
customers and non-financial companies, depending on the occurrence of physical risk events concentrated in very short periods of time
and on geographical impact zones (whole province for flood risk, single municipality for landslide risk); run-offs of deposits were assumed
both crash (100% withdrawal of deposits in the affected area) and based on similar eventualities that actually occurred. The materiality
assessment is carried out also through: (i) introduction of cumulative deposit runoff scenarios, (ii) extension of potential risk factors
to natural events related to wind and fire, (iii) execution of assessments based on short/ medium and long-term scenarios/horizons and
finally (iv) introduction of the assessment of a component of potential impact on liquidity determined by the pressures of climate variables
on the economic activities of companies and there-fore on the draft of margins available from the same counterparties;

· for market risk, the market value of non-financial corporate portfolios
(bonds and equity) and risk exposure to non-financial and non-collateralised counterparties relating to positions in derivatives; the
materiality check on market risk is carried out over a short-term period of time, taking into account that C&E risks tend to be non-material
in the medium/ long-term, as the securities and financial instruments portfolios can be liquidated in the medium/long-term and can be
modified according to the evolution of risks (especially transition risks) to which the issuers and related counterparties are subject;

· for operational risks, business continuity depending on a number of scenario
drivers, such as: (i) customer hardship (based on the deposit pools), (ii) employee hardship (based on the number of non-operational employees
in the scenario), (iii) operational hardship (based on the number of branches closed), (iv) economic damage (based on the loss of profitability
for the Bank at risk in the scenario) and (v) physical damage (based on the loss of value of property owned); As with the other risks,
the range of risk factors analysed and the horizons over which materiality is assessed were extended.

The analyses showed a non-materiality of the C&E risk factors with respect to these core risks. The Group carries out such analyses periodically, on the basis of indicators and thresholds suitable to accommodate changes in the structure of the positions and activities concerned with consequent implementations in the risk management methodologies and processes and possible activation of related operating limits.

Finally, it should be noted that with reference to E-non climate risk – i.e.risks related to "Water resources", "Circular economy", "Pollution" and "Biodiversity and Ecosystems" – the process of identification and verification of materiality will be improved for RAS 2025 with the analysis of non-climate environmental risk factors, in the two perspectives of physical risk and transition risk, in terms of the Group's primary financial risks (credit, operational, market and liquidity risk).

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

These indicators, transition risk E-non-climate (Water Resources, Circular Economy, Pollution and Biodiversity and Eco-systems) and physical risk E-non-climate (Water Resources and Biodiversity and Ecosystems), have been approved as KRI RAS 2025, and their respective operational limits have been reduced to the structures most involved in the operation/ perimeter concerned.

The following is a summary of the analysis activities performed by the Group during the year, aimed at identifying the exposure of credit portfolios to environmental/climate factors, for risk factors found to be material and regularly monitored as KRI RAS during 2024.

Climate transition risk non-financial institutions

With regard to **climate transition risk** - understood as the financial loss that a company may incur, directly or indirectly, as a result of the adjustment process towards a low-carbon and more environmentally sustainable economy - with regard to corporate customers, the Group quantifies the exposure of counterparties (or of their individual credit exposures) to this risk by means of an internally calculated sector indicator, which expresses the transition risk of the financed entity and the respective production activity. A higher value of the indicator therefore corresponds to a lower distance from full environmental sustainability of the activity and the related financing and, consequently, a lower transition risk for the counterparty or portfolio considered.

Among the aspects most affecting the transition/credit risk of production companies, particularly relevant are the objectives and related risks linked to climate change, deriving from the impact that human activities (production and otherwise) have on the phenomenon, mainly through GHG (Greenhouse Gases) emissions released into the atmosphere.

To better understand the specific scope of risk and strategic aspects related to climate change and its mitigation through the process of energy transition and reduction of GHG emissions, the Group has used a specific "emissions" transition risk indicator, defined as Transition Exposure Coefficient or TEC CCM (Climate Change Mitigation).

The indicator focuses on risk factors specifically related to the reduction of GHG emissions and thus to the energy transition; and is therefore representative of the share of an exposure exposed to transition risk. To calculate the TEC CCM, the Group combines elements assessed at the level of a company's business sector with customer-specific elements collected through a questionnaire administered to business customers. Exposures are also classified into transitional risk classes<sup>81</sup>.

The KRI RAS introduced for 2024 is based on the TEC CCM, on which the respective operating limits are defined and adapted to the responsible units. The objectives in terms of the containment of the average portfolio TEC will be more suitable to address the "financed" GHG emission reduction plans incorporated in the strategies of the Net Zero Banking Alliance initiative and, in general, to the path towards making the Bank's assets sustainable from a CCM perspective.

As at 31 December 2024, the overall measure at Group level of exposure to transition risk, (measure entered as KRI in the 2024 RAS context), was 42.5%, as shown in the table and graph below, which show the distribution of loans within the scope (EUR 40.7 bn) on the classes of TEC CCM.

---

| | | | |
|:---|:---|:---|:---|
|  | | | EUR/mln |
| **Montepashi Group** |  |  |  |
| **Climate Transition Risk Level (TEC)** | **Credit GCA** | **Trans. Risk Exp.** | **Avg TEC** |
| 0 - Null TEC | 5248 |  | 0.0% |
| 1 - Very Low | 2047 | 223 | 10.9% |
| 2 - Low | 3537 | 805 | 22.8% |
| 3 - Medium | 15890 | 6614 | 41.6% |
| 4 - High | 11247 | 7317 | 65.1% |
| 5 - Very High | 2762 | 2356 | 85.3% |
| **Total Non Fin. CTP Loans & Adv.** | **40731** | **17316** | **42.5%** |

---

81 The TEC CCM is also divided into five qualitative ranges in order to classify the positions of a given scope into transition risk classes: Very High, High, Medium, Low and Very Low.

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![](tm2518026d1_ex99-4su11img001.jpg)

GHG emissions

With reference to receivables from non-financial companies, on a total reference scope of approximately EUR 40.7 bn<sup>82</sup>, the following graphs show the breakdown of loans by different types of sectors.

GHG-intensive sectors' are identified consistently with the top ten NACE/ATECO groupings with the highest GHG emissions<sup>83</sup>. The "Other climate-relevant sectors" are those indicated as sectors which "highly contribute to climate change" in the EBA ITS 2022/01 for preparation of the Pillar 3 ESG Disclosure.

![](tm2518026d1_ex99-4su11img002.jpg)

---

| | |
|:---|:---|
| 82 | The figure of EUR 40.7 bn is an operating figure referring to the total loans disbursed, both for deposits and unsecured loans to business custormers. |

---

83 Emission intensity levels as a system median, according to the results ofthe 2022 ECB Climate Stress Test exercise.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

![](tm2518026d1_ex99-4su11img003.jpg)

The following graph shows the detail of the grouping based on the reference NACE/ATECO, by GHG intensity decreasing from top to bottom, referring to the sectors with high GHG emission intensity equal to 18.4% (about EUR 7.5 bn) of the total area observed.

Lending included in the perimenter results in "financed emissions"<sup>84</sup> of 20.3 mln tonnes of which 37% is attributable to GHG-intensive sectors and 61% to other climate-intensive sectors. The two sectors coincide with loans to sectors that "highly contribute to climate change", according to the EBA ITS for Pillar3 – ESG (equal to approximately 86.4% of total credit exposure) to which approximately 98% of the financed issues are thus attributable.

Co2 eq. /000 tons, € mln as of 31/12/2024

**Montepaschi Group**

**GHG EMISSIONS & CREDIT EXPOSURE vs. NON-FIN.CORPORATES**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **FINANCED EMISSIONS** | **FINANCED EMISSIONS** | **FINANCED EMISSIONS** | **CREDIT EXPOSURE** | **CREDIT EXPOSURE** |
|  | **Scope 1-2-3** | **Scope 1-2-3** | **of which Scope 3** | | |
|  | **Co2 eq. /000 tons** | **% of total** | **Co2 eq. /000 tons** |<br>**€ mln** |<br>**% of total** |
| High Intensity CST Sectors | 7538 | 37.1% | 6563 | 7496 | 18.4% |
| Highly contrib. Other | 12382 | 61.0% | 11335 | 27682 | 68.0% |
| Highly contrib. Total | 19920 | 98.1% | 17898 | 35178 | 86.4% |
| Other "not relevant" Sectors | 393 | 1.9% | 356 | 5554 | 13.6% |
| **Total Non-Fin. Corporate** | **20313** |  | **18254** | **40731** |  |

---

---

| | |
|:---|:---|
| 84 | "Funded GHG emissions" represent the part of GHG emissions produced by a counterparty (production company) corresponding to the Group's financing share with respect to the company's total assets. |

---

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Climate transition risk - Private

For **Private Customers**, the energy performance labels (APE in Italy, EPC in the European context) of mortgaged properties are the most significant indicator approximating the emission impact and more generally the attitude towards climate change mitigation for mortgage loans. In order to identify transition risk, the Group is currently placing this risk in direct relation to the characteristics of the properties offered as mortgage security, being therefore able to provide a first proxy of alignment to the transition, through characteristics of energy efficiency.

The level of energy performance of residential mortgage properties, and the related information on consumption and GHG emissions, will be compulsorily collected at underwriting for new mortgages from April 2023.

As at 31 December 2024, approximately 47.4% of the residual debt on residential mortgages secured by real estate was covered by the energy label (42.5% at the end of 2023).

At the same date, the component of mortgages covered by the energy label was broken down by APE levels according to the table and graph below.

---

| | | |
|:---|:---|:---|
|  | | EUR/mln |
| **Montepashi Group** |  |  |
| **EPC label level** | **outstanding** | **%** |
| A | 1020.95 | 3.3% |
| B | 454.02 | 1.5% |
| C | 656.50 | 2.1% |
| D | 1280.52 | 4.1% |
| E | 2263.07 | 7.3% |
| F | 3704.53 | 12.0% |
| G | 5287.50 | 17.1% |
| **Total mortgages covered by actual EPC** | **14667.07** | **47.4%** |
| **Without/Unknown EPC** | **16251.50** | **52.6%** |
| **Total residential mortgages** | **30918.57** | **100.0%** |

---

![](tm2518026d1_ex99-4su11img004.jpg)

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

Physical Climate risk – Non-financial institutions

The "transmission channel" of the impacts of **physical climate risk** on **companies** consists of the damages that events of **acute physical risk** (landslides, floods, atmospheric precipitation, hurricanes, fire) may cause to the company's production assets, possibly resulting in prolonged business interruptions that may compromise the company's regular operation with consequences of loss of profitability or even closure and bankruptcy.

There is also another way of transmitting physical/climatic events to the prospective profitability and solvency of a produc-tion company, transitioning from the gradual but inexorable change in the conditions in which the production unit operates, which may compromise the context or the business model. In this case, we refer to a chronic physical risk, linked, for example, to increased temperatures or the frequency of precipitation, conditions that could compromise the production process especially in those sectors of activity that are more dependent or exposed to such conditions (e.g. agriculture or activities carried out outdoors, such as construction, etc.).

As at 31 December 2024, 20% of deposits and unsecured loans to non-financial companies, equal to approximately EUR 40.7 bn, were exposed to "high" or "very high" physical risk (acute or chronic).

The following graphs show the distribution on loans to non-financial companies of the levels of physical risk in general and then of the main acute physical risk factors (landslide and flood) and finally the seismic risk<sup>85</sup> (earthquake).

![](tm2518026d1_ex99-4su11img005.jpg)

85 Seismic risk is not considered as climate-related risk, but is nevertheless monitored alongside physical climate risk, as a further potential natural risk factor.

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Physical climate risk – Private

As regards the **physical risk** related to private customers, the riskiness of the real estate securing residential mortgages is monitored, based on the location of the real estate. The perimeter exposure of loans was mapped by geolocalising the real estate, and thus attaching the appropriate zone of the applicable risk factor mapping (based on point location by census cell for properties already in the systems, based on ISPRA maps for properties related to new loan transactions) for hydro-geological risks or specific grid for other risks.

The analysed risk factors that can cause acute physical damage to a property are Landslide, Flood, Wind Fire (widely considered as climate-related) in addition to the seismic risk that is monitored although not related to climate change.

The data used to determine the short-, medium- and long-term risk maps and the corresponding RAS Key Risk Indicator (KRI) monitored quarterly during the year were retrieved from specialised data providers and from ISPRA (Institute for Environmental Protection and Research) public databases.

As at 31 December 2024, 17.6% (16.6% at the end of 2023) of the total outstanding residential mortgage loans of EUR 30.9 bn had collateralised properties located in geographic areas (municipalities) at 'high' or 'very high' risk for at least one of the risks "landslide" and "flood", "'wind", "fire".

The graphs below show the breakdown of residential mortgage loans at the level of riskiness of the location of their collateral properties, as regards the monitored risk factors.

![](tm2518026d1_ex99-4su11img006.jpg)

A further risk associated with ESG aspects, considered relevant for the MPS Group, is the reputational risk.

The related reputational risk indicator, subject to RAS monitoring, includes a component that takes into account the impacts on reputation linked to ESG factors.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

The ESG component takes into account the external perception of the MPS Group's attention to ESG issues, as resulting from sustainability ratings expressed by independent agencies on the Group, the volume of exposure to sectors exposed to transition risk and linked to controversial activities and the weight, in customer portfolios, of investments in financial instruments considered non-sustainable by the Group, the ESG ratings of the main Suppliers and Business Partners as well as the rating obtained by the Group on the Gender Equality Certification.

For further details on Reputational Risks, please refer to the paragraph included in the section "Operational Risks" of these Notes to Consolidated Financial Statements.

Financial risks of investment services

Foreword

The Group pays particular attention to the governance of risks regarding investment services that are a direct and indirect result of the risks incurred by customers in relation to the performance of investment services.

Governance of these risks is aimed at protecting customers and at preventing any potential negative impacts on the Group in terms of operational and reputational risk.

Organisational responsibility at Group level for supervising financial risk measurement, monitoring and control activities and for mapping investment products/services for the purposes of MiFID adequacy is an integral part of the Group's integrated risk management responsibilities, and is assigned centrally to the *Market Risk and Wealth Risk Management function*. This is to ensure centralised governance of the direct and indirect risks which the Group incurs during the course of its operations.

"Wealth risk management" focuses on the overall set of operational and management processes as well as measurement and monitoring tools/methods used to ensure overall consistency between customers' risk profiles and the risk of invest-ment products and portfolios offered to - or in any case held by - customers.

The investment products (of the Group and of third parties), whether or not included in the overall offering to the Group's customers, are mapped for risk on the basis of quantitative measurements of market and credit risk factors and makes assessments of the liquidity, complexity, and sustainability characteristics of these products. Product mapping is one of the guiding criteria for carrying out investment adequacy checks as part of the consulting service offered.

For the sake of simplicity, investment product risk mapping, performed with reference to individual risk macro-factors, is grouped under specific risk categories.

A special focus is given by the Group to the monitoring and prevention of potential financial and reputational risks which investment services, particularly in contexts of financial crisis, may generate as a consequence of increased market vola-tility. The fast-moving and not always predictable market trends may result in rapid changes in product risks and generate potential financial losses, as well as prompting a changing attitude by customers towards their own financial investments.

Customers have regularly been informed of changes in the risk of financial instruments held, so as to ensure timely disclo-sure transparency and facilitate possible decisions aimed at rebalancing the risk profile of their investments

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Consultancy services offered

The strategic choice of the Parent Company is to systematically combine the placement of financial products with advisory so as to ensure the highest level of protection for the investor and, at the same time, enhance the role played by relationship manager. Again, with a view to protecting customers, the obligation to verify appropriateness has also been extended to the trading activities on the secondary market of the bonds and the certificates issued by the Group.

The advisory service is offered by the Parent Company on the basis of two different methods:

· a "basic" advisory, aimed at verifying the suitability of a
single specific investment recommendation, or several investment transactions or several disinvestment transactions in relation to the
risk of the customer's investment portfolio as a whole. In this regard, the adequacy model adopts a multivariate control approach
to the individual risk factors, taking the risk of the customer's portfolio, including the recommended investment product(s), as
a reference;

· an "Advanced" advisory, aimed at verifying the suitability of
the overall set of advised transactions based on a range of investment/disinvestment transactions targeted at the construction of one
or more portfolios of advanced advisory, consistent with the respective investment objectives, in reference with an optimal asset allocation
that aims at obtaining maximised future returns, based on the investment portfolio risk given the customer's risk profile. In this
regard, the adequacy model adopts a multivariate control approach to the individual risk factors, taking the risk of the customer's
portfolio, including the recommended investment product(s), as a reference.

Wealth risk management activities cover the entire distribution perimeter of the network of Group branches, the invest-ment services operated by Banca Widiba.

Banca MPS and Banca Widiba adopt customer profiling methods and rules to determine the indicators underlying the customer's risk profile, using the MiFID questionnaire in line with MiFID II (Directive 2014/65/EU) which, together with the MiFIR o Markets in Financial Instruments Regulation (Regulation (EU) 600/2014), regulate the financial products market.

Within the framework of the regulatory guidance contained in EU Delegated Regulation 2021/1253, which provides for amendments to Delegated Regulation (EU) 2017/565 supplementing MiFID II, intermediaries carry out an assessment of their customers' sustainability preferences. The customer profiling questionnaire captures the degree of customer preference with respect to environmental, social and governance (ESG) sustainability preferences.

The graphs below show the distribution as at 31 December 2024 of the Investment Objective, Time Horizon and Interest in Sustainability indicators issued by Retail customers of the group who have fully completed the MiFID questionnaire and who hold positions in investment products.

![](tm2518026d1_ex99-4su11img007.jpg)

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part E - Information on risks and hedging policies

![](tm2518026d1_ex99-4su11img008.jpg)

![](tm2518026d1_ex99-4su11img009.jpg)

At the end of 2024, the portfolios held by Consumer/Retail customers on the basis of formalised "advanced" advisory proposals to obtain optimum asset allocation were mainly distributed into the recommended, especially long-term, asset allocation macro-classes.

![](tm2518026d1_ex99-4su11img010.jpg)

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Section 3 - Insurance companies risks

Neither the Group nor its subsidiaries perform insurance activities. However, the Group has holdings in the share capital of insurance companies, such as "AXA MPS Assicurazioni Danni S.p.A." and "AXA MPS Assicurazioni Vita S.p.A.". These equity investments are carried at equity and are recognised under consolidated assets, item 70 "Equity investments". Pur-suant to prudential supervisory provisions, the Group deducts the amount of such equity investments that exceeds certain regulatory thresholds from its own funds and holds a capital requirement against the amount not deducted.

Section 4 - Other companies risks

There are no significant additional risks for the remaining companies included in the scope of consolidation that are not part of the Banking Group or insurance companies. With regard to the company MPS Tenimenti Poggio Bonelli e Chigi Saracini Società Agricola S.p.A., it should be noted that the book value at which the properties, plant and vineyards are recognised is consistent with the values inferred from specific appraisals and valuations. The Group meets a capital re-quirement for this equity investment calculated in accordance with prudential supervisory provisions.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part F - Information on consolidated shareholders' equity

Part F - Information on consolidated shareholders' equity

Section 1 - Consolidated shareholders' equity

A. Qualitative Information

The Group pursues strategic objectives focused on quantitative and qualitative strengthening of capital, structural rebal-ancing of liquidity and achievement of sustainable profitability levels, compatible with the undertaken risks; through the close interaction between the processes of Multi-year Planning and Budget, Governance of the Risk Appetite Framework (RAF) and Capital Adequacy Assessment (ICAAP), a risk appetite is defined aimed at guaranteeing operational stability and at the same time quantifying resources useful for financing growth strategies.

In this perspective, capital management, planning and allocation activities play a crucial role in ensuring compliance over time with the minimum capitalisation requirements set by the regulations and the supervisory authorities, as well as with the risk appetite level approved by the Group's strategic supervision body.

For these purposes, as part of the RAF, the target capitalisation levels are estimated annually, verifying, on the basis of the ICAAP process, that the capital adequacy is sufficient to guarantee compliance with the minimum requirements approved by the Board of Directors. Capital adequacy is also assessed prospectively and over a period of several years, under both normal and stress conditions, taking into account both the regulatory perspective, focused on compliance with operational capital requirements aimed at guarding against risks not covered by regulatory requirements, as well as further prudential assessments decided by the strategic supervision body.

The objective of capital adequacy is primarily pursued through the generation of positive income, as well as through the optimisation of risk-weighted assets; Compliance with capital requirements is also ensured through specific actions to support total own funds, such as the issuance of subordinated bonds.

Capital management is understood as a dynamic activity aimed at constantly seeking to optimise the capital components (ordinary shares and other capital instruments) in order to achieve objectives and implement identified strategies. With this in mind, the Parent Company exercises coordination and guidance activities over the Banks and Companies belonging to the Group, monitoring the management of assets and issuing the appropriate guidelines.

The Group uses methodologies for the correct measurement of profitability, based on risk, by adopting these indicators also within the RAF framework, with related monitoring and management of the total expected risk/return profile.

In this context, the RAPM (Risk Adjusted Performance Measure) metrics are also used to make the appropriate assess-ments and provide the necessary indications, to the functions of the Parent Company and to the business units, for a timely recognition of the actual absorption of capital resources allocated and for the direction of future distribution choices; the capital is allocated to the business units on the basis of the expected development, return and estimated risk levels and is constantly monitored during the year to verify the achievement of the objectives and compliance with the minimum requirements defined internally.

The definitions of equity applied are those used in Supervisory Regulations: *Common Equity Tier 1, Tier 1 and Own Funds*. In addition, as part of the RAPM metrics, additional definitions of capital are used, such as:

· the Invested Capital, i.e. the amount of Shareholders' equity needed
to achieve Tier 1 Capital values, whether determined ex ante as target levels or realised ex post;

<sub> </sub>

· the Allocated Capital corresponds to the Total Internal Capital Requirement
defined in the ICAAP;

<sub> </sub>

· the capital absorbed corresponds to the capital actually at risk and is
determined in proportion to the risk weighted assets (RWA) observed in the final balance.

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BANCA MONTE DEI PASCHI DI SIENA

According to the European Central Bank's final decision on capital requirements, as of 1 January 2025 the Group at the consolidated level must comply with a Total SREP Capital Requirement (TSCR) of 10.50%, which includes:

· a minimum own funds requirement - Pillar 1 ("P1R") of 8% (of
which 4.50% in terms of CET1); and

<sub> </sub>

· an additional Pillar 2 ('P2R') requirement of 2.50%, an improvement
of 25 bps over the levels required for 2024 (2.75%), to be held at least 56.25% in the form of primary tier 1 capital - CET1 - and 75%
in the form of tier 1 capital - Tier 1.

Moreover, with regard to Pillar II Capital Guidance (P2G), the Group has to maintain, on a consolidated basis, a requirement of 1.15%, continuing from 2024, to be fully met with Common Equity Tier 1, in addition to the overall capital requirement.

The overall minimum requirement in terms of Total Capital ratio, obtained by adding a Combined Buffer Requirement (CBR) of 2.89%<sup>86</sup> to the TSCR, is 13.39%.

The overall minimum requirement for the CET 1 ratio is 8.79%, the sum of P1R (4.50%), P2R (1.41%<sup>87</sup>) and CBR (2.89%); the overall minimum Tier 1 requirement is 10.76%, including P1R of 6%, P2R of 1.88%<sup>88</sup> and CBR of 2.89%.

With reference to own funds, it should be noted that in 2018, the MPS Group has chosen to apply IFRS 9 transitional regime (2018-2022) both to the impact of the first application (with reference to exposures classified in stages 1,2 and 3), as well as the effect resulting from the comparison between the value adjustments at 1 January 2018 and the subsequent report-ing periods up to 31 December 2022 (limited to any increases in value adjustments on exposures classified in stages 1 and 2). Following the entry into force of Regulation (EU) 2020/873 ("*Quick-fix*"), which amended the IFRS 9 transitional regime in order to mitigate the capital impacts related to the COVID-19 emergency, as of 30 June 2020, the MPS Group also chose to sterilise the capital impacts related to the increase in value adjustments on loans, recognised in the period 2020 - 2024 compared to 1 January 2020 for the stage 1 and 2 portfolios.

The MPS Group also applies the exemption from the deduction of assets in the form of software from CET 1 introduced by Regulation (EU) 2019/876 ("CRR II"). In line with the provisions of Delegated Regulation (EU) 2020/2176, as of 31 Decem-ber 2020, the Group deducts from CET1 the positive difference between the value of accumulated prudential amortisation, calibrated over a maximum period of three years, and the sum of accumulated statutory amortisation and any accumulat-ed impairment losses, while the portion of the net book value of software assets not deducted is included in RWA with a risk weight of 100%.

With reference to the regulatory provision contemplated in Article 3 of CRR ("Application of stricter requirements by insti-tutions"), as from September 2021, the MPS Group, on a voluntary basis, will make an additional deduction from CET1 in order to incorporate the minimum coverage expectations for non-performing loans as defined in the SREP Decision and the Addendum to the ECB Guidelines (so-called calendar provisioning).

Finally, note that from 30 September 2024, the MPS Group applies the prudential filter relating to the Other Comprehensive Income Reserve to government bonds re-introduced by Regulation (EU) 2024/1623 (CRR III). This temporary treatment, applicable until 31 December 2025, makes it possible to exclude from elements of CET1 the amount of unrealised profits and losses accumulated starting from 31 December 2019, accounted for in the financial statement item "Changes in the fair value of debt instruments measured at fair value through other comprehensive income", with reference to exposures to central administrations, provided such exposures are classified as performing financial assets.

---

| | |
|:---|:---|
| 86.0 | The Combined Buffer Requirement (CBR) consists of the Capital Conservation Buffer (2.50 per cent), the Countercyclical Capital Buffer (0.028 per cent) and the Systemic Risk Buffer - SyRB (0.36 per cent). The latter represents the capital buffer that the bank must hold against systemic risk equal to 0.50 per cent of its credit and counterparty risk-weighted exposures to Italian residents as of 31 December 2024. |
| 87.0 | Calculated considering 56.25% coverage of P2R from CET 1. |
| 88.0 | Calculated considering 75% coverage of P2R from Tier 1. |

---

644

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part F - Information on consolidated shareholders' equity

B. Quantitative Information

B.1 Consolidated shareholders' equity: breakdown by business areas

**31 12 2024**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Net equity items** |<br>**Prudential**<br>**Consolidation** |<br>**Insurance**<br>**companies** |<br>**Other**<br>**companies** | **Consolidation**<br>**cancellations**<br>**and**<br>**adjustments** |<br><br>**Total** |<br><br>**of which Group** |<br>**of which**<br>**minority**<br>**interests** |
| Shareholders' equity | 7454033 | 304317 | 111303 | (415620) | 7454033 | 7453451 | 582 |
| Share premium | 2 |  |  |  | 2 |  | 2 |
| Reserves | 2182943 | 415529 | (16562) | (398967) | 2182943 | 2184265 | (1322) |
| Equity instruments |  |  |  |  |  |  |  |
| Treasury shares (-) |  |  |  |  |  |  |  |
| Valuation reserves | 61681 | 5715 | 3965 | (9680) | 61681 | 60447 | 1234 |
| • Equity instruments measured at fair value through other comprehensive income | (14167) |  |  |  | (14167) | (14167) |  |
| • Financial assets (other than equity instruments) measured at fair value through other comprehensive income | (29852) |  |  |  | (29852) | (29852) |  |
| • Tangible assets | 109307 |  | 3978 | (3978) | 109307 | 109112 | 195 |
| • Intangible assets |  |  |  |  |  |  |  |
| • Cash flow hedges | 12955 |  |  |  | 12955 | 12955 |  |
| • hedging Instruments - not designated items |  |  |  |  |  |  |  |
| • Exchange difference | 4395 |  |  |  | 4395 | 4395 |  |
| • Non-current assets and disposal group | 9498 |  |  |  | 9498 | 9498 |  |
| • Financial liabilities measured at fair vale through profit and loss (changes in own credit worthiness) | 4925 |  |  |  | 4925 | 4925 |  |
| • Actuarial gains (losses) on defined benefit plans | (46712) |  | (14) | 14 | (46712) | (46712) |  |
| • Share of valuation reserves of equity investments valued at equity " | 5715 | 5715 |  | (5715) | 5715 | 5715 |  |
| • Special revaluation laws | 5617 |  |  |  | 5617 | 4578 | 1039 |
| Profit (loss) for the year - Group and minority interests | 1950623 | 75214 | (1564) | (73650) | 1950623 | 1950783 | (160) |
| **Net equity** | **11649282** | **800775** | **97142** | **(897917)** | **11649282** | **11648946** | **336** |

---

645

BANCA MONTE DEI PASCHI DI SIENA

B.2 Valuation reserves for financial assets measured at fair value through other comprehensive income: break-down

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | |  |  |  |  | **Consolidation** | **Consolidation** |  |  |
| | **Prudential** | **Prudential** |  |  |  |  | **cancellations and** | **cancellations and** |  |  |
| | **Consolidation** | **Consolidation** | **Insurance companies** | **Insurance companies** | **Other companies** | **Other companies** | **adjustments** | **adjustments** | **TOTAL** | **TOTAL** |
| <br>**Asset/Amount** | **Positive**<br>**reserve** | **Negative**<br>**reserve** | **Positive**<br>**reserve** | **Negative**<br>**reserve** | **Positive**<br>**reserve** | **Negative**<br>**reserve** | **Positive**<br>**reserve** | **Negative**<br>**reserve** | **Positive**<br>**reserve** | **Negative**<br>**reserve** |
| 1. Debt securities | 13426 | (43722) | 1009 | (1452) |  |  | (1009) | 1452 | 13426 | (43722) |
| 2. Equity instruments | 7002 | (21169) |  |  |  |  |  |  | 7002 | (21169) |
| 4. Loans | - |  |  |  |  |  |  |  |  |  |
| **Total 31 12 2024** | **20428** | **(64891)** | **1009** | **(1452)** | **-** | **-** | **(1009)** | **1452** | **20428** | **(64891)** |
| **Total 31 12 2023** | **25119** | **(100478)** | **7969** | **(9140)** | **-** | **-** | **(7969)** | **9140** | **25119** | **(100478)** |

---

B.3 Valuation reserves for financial assets measured at fair value through other comprehensive income: annual changes

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Debt securities** |<br>**Equity instruments** | **31 12 2024**<br>**Loans** |
| **1. Opening balance** | **(56744)** | **(18615)** |  |
| **2. Increases** | **37028** | **7285** |  |
| 2.1 Increases in fair value | 33440 | 6823 |  |
| 2.2 Net losses (recoveries) on impairment |  | X |  |
| 2.3 Reversal to profit and loss of negative reserves | 3390 | X |  |
| 2.4 Transfers to other component of equity (equity instruments) " |  | 1 |  |
| 2.5 Other increases | 198 | 461 |  |
| **3. Decreases** | **10579** | **2837** |  |
| 3.1 Decreases in fair value | 9108 | 40 |  |
| 3.2 impairment provisions |  |  |  |
| 3.3 Reversal to profit and loss of positive reserves: followiong disposal " | 1273 | X |  |
| 3.4 Transfers to other component of equity |  | 2774 |  |
| 3.5 Other decreases | 198 | 23 |  |
| **4. Closing balance** | **(30295)** | **(14167)** |  |

---

646

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part F - Information on consolidated shareholders' equity

B.4 Valuation reserves for defined benefit plans: annual changes

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Internal funds** |<br>**External funds** | **Provisions for**<br>**employees**<br>**severance pay** | **31 12 2024** |
| **Opening balance** | **(71)** | **(30694)** | **(16728)** | **(47493)** |
| **Remeasurement of net defined benefit liability (asset):** | **(163)** | **-** | **(27)** | **(190)** |
| Return on plan assets excluding interests |  | (5) |  | (5) |
| Actuarial gains (losses) arising from changes in demographic assumptions |  | (2) |  | (2) |
| Actuarily gains (losses) arising from experience adjustments | (107) | (1017) | 356 | (768) |
| Actuarial gains (losses) arising from changes in financial assumptions | (56) | 1432 | (383) | 993 |
| Changes in effect of limiting net defined benefit asset to asset ceiling |  | (408) |  | (408) |
| Gains (losses) on settlements |  |  |  |  |
| Others | 53 | 619 | 67 | 739 |
| **Closing balance** | **(181)** | **(30075)** | **(16688)** | **(46944)** |

---

Section 2 – Regulatory banking capital and ratios

See the information on own funds and capital adequacy contained in the public disclosure (Pillar 3).

647

BANCA MONTE DEI PASCHI DI SIENA

Part G - Business combinations

Section 1 – Business combinations during the financial period

1.1 Business combinations

1.1.1 Transactions included in the scope of application of the international accounting standard IFRS 3 "Business combi-nations"

No business combinations, as defined by IFRS 3, were carried out in 2024..

1.1.2 Business combinations under common control

In 2024, no business combinations were carried out between entities under common control.

Section 2 – Business combinations completed after the financial period

There are no transactions to report.

Section 3 – Retrospective adjustments

No retrospective adjustments are reported.

648

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part H - Related-party transactions

Part H - Related-party transactions

1. Compensation of key management personnel

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Board of Director** |<br>**Board of Statutory**<br>**Auditors** | **Other Managers**<br>**with strategic**<br>**responsibility** |<br>**Total** |
| Short - term benefits (1) | 1216 | 228 | 4559 | **6003** |
| Post-retirement benefits (2) |  |  | 98 | **98** |
| Termination benefits (3) |  |  | 1044 | **1044** |
| Share based payments (4) |  |  | 1821 | **1821** |
| Other benefits (5) | - | - | 1234 | **1234** |
| **Total as at 31 12 2024** | **1216** | **228** | **8756** | **10200** |
| Short - term benefits (1) | 1229 | 230 | 4611 | **6070** |
| Post-retirement benefits (2) |  |  | 98 | **98** |
| Termination benefits (3) |  |  |  | **-** |
| Share based payments (4) |  |  | 1164 | **1164** |
| Other benefits (5) |  |  | 797 | **797** |
| **Total as at 31 12 2023** | **1229** | **230** | **6670** | **8129** |

---

*(1)* *includes salaries and fringe benefits;* 

*(2)* *includes company contributions to pension funds;* 

*(3)* *includes contractual indemnities due for termination of employment;* 

*(4)* *includes the cost of share-based payments under the incentive scheme;* 

*(5)* *includes variable compensation under the incentive scheme.* 

In compliance with the instructions provided by accounting standard IAS 24 and in light of the current organisational structure, the Group has opted for the disclosure scope to include not only the Directors, Statutory Auditors, the General Manager and the Deputy General Managers, but also other Key Management Personnel.

The information regarding remuneration policies is contained in the "Remuneration Report pursuant to art. 123 ter of the Consolidated Law on Finance", available on the Parent Company's internet site, which contains the following data:

· a detailed breakdown of compensation paid to the Administration and Control
Bodies, General Managers and, in aggregate form, to Key Management Personnel;

<sub> </sub>

· quantitative information on the remuneration of "Identified Staff";

<sub> </sub>

· monetary incentive plans in favour of members of the Administration and
Control Body, the General Managers, the Deputy General Managers and other Key Management Personnel;

<sub> </sub>

· information on the equity investments of members of the Administration and
Control Bodies, the General Managers and other Key Management Personnel.

In the financial year 2024, there were 3 terminations of employment of key executives of the Parent Company.

649

BANCA MONTE DEI PASCHI DI SIENA

Related-party transactions

In compliance with the provisions of Consob Resolution no. 17221, 12 March 2010, as subsequently amended (hereinafter the "Consob Regulations"), as well as art. 53 Consolidated Banking Law and its implementing provisions (Bank of Italy Circular 285/2013 Part Three, Chapter 11 "Risk assets and conflicts of interest with respect to associated parties"), the "Committee for Related-party Transactions" was established, composed of between three and five independent directors, carrying out the functions envisaged by the Articles of Association and the current legislative and regulatory provisions on transactions with related and associated parties.

The "*Group Directive concerning Management of regulatory obligations on related parties, associated parties and obligations of bank representatives*" (hereinafter the "Group Directive"), accompanied by the "*Group Regulation concerning Management of regulatory obligations on related parties, associated parties and obligations of bank representatives*" (hereinafter the "Group Regulations"), approved by the Parent Company's Board of Directors, with the prior favourable opinions of the Committee for Related Party Transactions and the Board of Statutory Auditors, contains provisions and internal procedures on related parties, aligned with the provisions of the Consob Regulation. The Group Directive was most recently updated on 3 July 2024 to adapt to the current organisational structure of the Parent Company.

The Group Directive defines the organisational model adopted by the MPS Group (principles and responsibilities) for the management process of the provisions applicable to related parties, associated parties and obligations of the bank repre-sentatives, and in particular, governs, at the MPS Group level, the principles and rules for the control of risks arising from situations of possible conflicts of interest with some subjects close to the decision making centres of the Parent Company.

Within the Group Directive, the following is also defined:

· the formulation of the responsibilities assigned within the MPS Group (tasks
and responsibilities of the top management bodies and corporate functions of the Parent Company and subsidiaries);

<sub> </sub>

· the scope of the related parties, associated parties ("Group Scope")
and other subjects in a potential conflict of interest;

<sub> </sub>

· the criteria for the identification of transactions, level of relevance
of the transactions;

<sub> </sub>

· the decision-making procedures and exemption cases;

<sub> </sub>

· the internal policies in the area of control.

For the purpose of the Group Directive, significance is attributed to the transactions carried out with the subjects operating within the Group Scope which involve the performance of risk activities, the transfer of resources, services and obligations, regardless of the requirement of a consideration. With regard to the type of transactions, these are classified in detail in the aforementioned Group Regulations, as:

· **"most significant transactions":** transactions where at
least one of the following relevance indicators, applicable according to the specific transaction, exceeds the 5% threshold (greater
relevance threshold):

<sub> </sub>

*countervalue relevance index:* the ratio of the countervalue of the transaction to the total of the own funds resulting from the most recent published consolidated balance sheet;

*relevance index of the assets:* the ratio of the total assets of the entity to which the transaction refers, to the total assets of the Parent Company;

*relevance index of the liabilities:* the ratio of the total liabilities of the acquired entity to the total assets of the Parent Company;

· **"transaction of lesser relevance":** transactions above
the small amount and up to the large amount threshold; in the context of transactions of lesser significance, transactions in which the
amount exceeds EUR 100.0 mln and up to the threshold of **greater significance** (significance index of the equivalent value) are considered
to be of lesser significance as a "significant amount", or, in the case of acquisitions, mergers and demergers for an amount
equal to or less than EUR 100.0 mln, the significance index of the assets and/or liabilities is equal to or greater than the ratio of
EUR 100.0 mln and own funds at a consolidated level;

<sub> </sub>

· **"transactions of a negligible amount":** transactions of
EUR 250.0 thousand or less where the counterparty is a legal person; transactions of EUR 100,000 or less, where the counterparty is a
natural person.

650

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part H - Related-party transactions

The provisions and procedures applicable to transactions with related parties, in the versions in force at the time, are published on the website www.gruppomps.it in the section "*Corporate Governance - Transactions with related parties*".

From 2016, the Parent Company's Board of Directors formally resolved to approve inclusion of the Ministry of Economy and Finance (MEF) and of the relevant directly and indirectly subsidiaries within the scope of related parties on a discretionary basis pursuant to the provisions of the Group Directive, excluding the prudential regulation.

Following completion of the Parent Company's precautionary recapitalisation procedure, after which the MEF became the controlling shareholder from August 2017, the Parent Company received notification on 18 December 2017 from the Supervisory Authorities with regard to the methods for the resulting application of limits to risk assets laid out in prudential regulations, pursuant to art. 53 of the Consolidated Law on Banking (TUB) and its implementing provisions (Bank of Italy Circ. no. 263/06 Title V, Section 5), through application to the Parent Company of the "silo" approach for calculation of the reference limits.

On 27 December 2024, the status of the MEF became that of a shareholder with significant influence following changes to the Parent Company's corporate structure and the composition of its Board of Directors in November and December 2024.

Since the MEF was a controlling shareholder for almost the entirety of 2024, MEF's scope as a controlling shareholder was kept unchanged for the purposes of disclosing the Parent Company's transactions 2024. With reference to the MEF scope, the Parent Company has availed itself of the exemption provided by paragraph 25 of IAS 24 on the disclosure of transac-tions and balances of existing transactions with government-related entities. The main transactions carried out with the MEF and with its subsidiaries and associated companies, in addition to financing transactions, include Italian government securities recorded in the portfolios "Financial assets measured at fair value through other comprehensive income" for a nominal amount of EUR 1,519.0 mln, "Financial assets measured at fair value through profit or loss" for a nominal amount of EUR 1,840.3 mln and "Financial assets measured at amortised cost" for a nominal amount of EUR 8,047.8 mln.

Information is provided below regarding the most significant transactions, in terms of amount, carried out by the Parent Company with related parties in 2024.

*MEF related-party transactions*

i. <u>Transactions with SACE S.p.A.</u>

On 6 February 2024, the Board of Directors of the Parent Company, subject to opinion in favour from the Related Party Transactions Committee, voted in favour of including Banca MPS in the proposed arrangement with creditors (pursuant to art. 161, paragraph 6 of the Bankruptcy Law) formulated by GRUPPO PSC S.p.A., which with regard to short and medium/ long-term cash exposure for a total of EUR 24.2 mln particularly envisages voting on: (a) quarterly repayment by SACE S.p.A. of EUR 15.5 mln in accordance with the original exposure recovery plan guaranteed by SACE S.p.A.; (b) repayment of 2.05% (amounting to EUR 51.0 k) of SACE's total unsecured exposure of EUR 2.5 mln; (c) repayment of 2.03% (approximately EUR 127.0 k) of the total exposure of EUR 6.3 mln.

On 20 February 2024, the Credit Committee of the Parent Company approved the framework resolution with a credit pool of EUR 390.0 mln, concerning the Parent Company's operations with SACE S.p.A., relating to the issue of financial guarantees by SACE S.p.A. against credit lines/loans granted by Banca MPS to companies that will be able to benefit from the SACE Futuro guarantee, aimed at promoting growth in global markets, supporting technological innovation and the digitalisation process, investing in infrastructure and sustainability, supporting strategic supply chains and economically disadvantaged areas, contributing to the growth of the social ecosystem through the development of female entrepreneurship, with a particular focus on initiatives related to the National Recovery and Resilience Plan (NRRP, the "DQSACEFUTURO2024"). On 16 December 2024, the Credit Committee resolved to increase the ceiling to EUR 500.0 mln. The DQSACEFUTURO2024 is valid for a period of 12 months from the date of acceptance by the parties of the special terms and conditions applicable to the loans. It applies only to the Parent Company, not at Group level.

Also on 19 March 2024, the Parent Company's Credit Committee resolved in favour of the Parent Company's customers to grant a 10-year unsecured loan for a total of EUR 49.0 mln for the construction of a tourism-hotel structure abroad, 80% guaranteed by SACE S.p.A. among others ("Political Risk" guarantee).

On 26 March 2024, the Parent Company's Credit Committee authorised the granting of medium/long-term credit lines in favour of Banca MPS's customers for a total of EUR 70.0 mln, with a duration of 8 years, to support environmental sustainability expenses in infrastructure contracts in Italy and abroad, of which one tranche of EUR 50.0 mln is for investments in Italy, 80% backed by a guarantee issued by SACE S.p.A. ("Strategic Relief" guarantee).

651

BANCA MONTE DEI PASCHI DI SIENA

On 16 April 2024, the Parent Company's Credit Committee resolved to renew the framework resolution (that expired on 30 March 2024)<sup>89</sup>, with a reduction of the amount from EUR 500.0 mln to EUR 400.0 mln, concerning the Parent Company's operations with SACE S.p.A. relating to the issue of financial guarantees by SACE S.p.A. against credit facilities/loans granted by Banca MPS to companies as part of the "Green New Deal", i.e. to pursue environmental objectives adequately supported by suitable projects for reducing pollution and the extent of polluting emissions and therefore at promoting eco-sustainable development and the transition to a low environmental impact economy ("DQSACEGREEN2024"). The DQSACEGREEN2024 is valid for a period of 12 months from the date of adoption of the resolution and operates in relation only to Banca MPS and not at Group level.

In April, May and June 2024, transactions were concluded with SACE S.p.A., in favour of customers of the Parent Company, for the issue of a 70% SACE Futuro guarantee, to guarantee medium/long-term credit lines for SACE S.p.A. maximum guar-anteed amounts of EUR 18.0 mln (with guarantee of EUR 12.6 mln), EUR 34.0 mln (with guarantee of EUR 23.8 mln) and EUR 15.0 mln (with guarantee of EUR 10.5 mln), as part of the DQSACEFUTURO2024 initiatives described above.

During the first half of 2024, two insurance policies were also finalised with SACE S.p.A., with coverage equal to 50% of the risk of non-payment, relating to confirmation transactions of documentary credits in US dollars, entered into by the Parent Company's customers with foreign banks, for values of approximately USD 14.3 mln and USD 12.8 mln, respectively.

On 5 August 2024, the Parent Company's Board of Directors authorised Banca MPS's participation, up to a maximum of EUR 30.0 mln, in a max 10-year EUR 100.0 mln syndicated loan to non-related customers with a EUR 1.5 mln credit line to hedge against interest rate risks. The loan is backed by a SACE guarantee for between 50% and 80% of the loan value.

In the second quarter of 2024, two insurance policies were finalised with SACE S.p.A. in relation to the following confirmation transactions of documentary credits in US dollars: (i) on 8 August, an insurance policy covering 76% of the risk of default, entered into by a non-related Italian customer, for a value of approximately USD 28.6 mln; (i) on 27 November, an insurance policy covering 70% of the risk of default, entered into by a customer with a foreign bank, for a value of approximately EUR 12.7 mln.

On 20 November 2024, the Parent Company's Credit Committee authorised a EUR 25.0 mln loan to non-related customers, as the Parent Company's share of a 50% SACE-guaranteed EUR 150.0 mln syndicated loan.

In July, September, November and December 2024, several transactions were concluded with SACE S.p.A., in favour of customers of the Parent Company, for the issue of a 70% SACE Futuro guarantee, as part of the DQSACEFUTURO2024 initi-atives described above., to guarantee medium/long-term credit lines for SACE S.p.A. maximum guaranteed amounts: EUR 17.0 mln (with guarantee of EUR 11.9 mln); EUR 20.0 mln (with guarantee of EUR 14.0 mln); EUR 30.0 mln (with guarantee of EUR 21.0 mln); EUR 25.0 mln (with guarantee of EUR 17.5 mln); EUR 25.0 mln (with guarantee of EUR 17.5 mln); EUR 15.0 mln (with guarantee of EUR 10.5 mln); EUR 20.0 mln (with guarantee of EUR 14.0 mln).

These transactions with SACE S.p.A. fall within the scope of application of Consob Regulation no. 17221/2010, since SACE S.p.A. is a wholly-owned subsidiary of the MEF.

In addition, on 5 August 2024 the Parent Company's Board of Directors resolved in favour of OPEN FIBER S.p.A.: (i) a EUR 47.0 mln credit line as the Parent Company's share of a new EUR 1.05 bn syndicated loan intended to support the investment plan for construction of a broadband network – the loan is backed by a 70% SACE guarantee and, among other things, by a pledge on the shares of OPEN FIBER S.p.A.. by parent company OPEN FIBER HOLDING S.p.A, and a EUR 2.0 mln derivative credit line to hedge interest rate risk; and (ii) an amendment to certain terms and conditions of a previous 2022-dated EUR 7.1 bn syndicated loan, of which the Parent Company's share is EUR 200.0 mln, in order to bring it into line with the new credit line referred to in (i) above. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, both because OPEN FIBER S.p.A. is a subsidiary of OPEN FIBER HOLDING S.p.A., which is in turn controlled by OPEN FIBER HOLDINGS S.p.A., in turn controlled by CDP S.p.A., in turn controlled by the MEF, and because SACE S.p.A. is a wholly-owned subsidiary of the MEF.

Also on 5 August 2024, as part of its ordinary review of credit lines, the Board of Directors of the Parent Company authorised the following in favour of ANSALDO ENERGIA S.p.A.: a) conformation of EUR 11.0 mln in mixed revolving credit lines, which can be used for the issue of unsecured loans; b) the Parent Company's participation, up to a maximum of EUR 10.0 mln and with a related EUR 0.5 mln credit line to hedge against interest rate, in a 70%-SACE-guaranteed 3-year EUR 50.0 mln syndicated loan. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, as: (i) ANSALDO ENERGIA S.p.A. is a subsidary of CDP Equity S.p.A., in turn a wholly-owned subsidiary of CDP S.p.A., in turn controlled by the MEF, and (ii) SACE S.p.A. is a wholly-owned subsidiary of the MEF.

89 See Part H of the Notes to the 2023 Consolidated Financial Statements for more details.

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2024 ANNUAL REPORT - Notes to the consolidated annual report - Part H - Related-party transactions

ii. <u>Transactions with CDP S.p.A.</u>

As part of the placement of Covered Bonds, with a 5-year maturity, finalised by the Parent Company on 16 April 2024 for a total of EUR 750.0 mln, CDP S.p.A. - pursuant to Art. 5, paragraph 8-ter of Italian Law Decree no. 269/2003, converted into Law no. 326/2003 in compliance with art. 6, paragraph 1.b) of Italian Law Decree no. 102/2013 - subscribed this issue for a total of EUR 60.0 mln. The residual amount was placed with other institutional investors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, as CDP S.p.A. is a subsidiary of the MEF.

On 29 October 2024, the Parent Company's Credit Committee authorised a loan of up to EUR 30.0 mln to non-related cus-tomers as the Bank's share of a EUR 135.0 mln syndicated loan, in which CDP S.p.A also participates with a share of EUR 35.0 mln. The granting of the syndicated loan is conditional upon obtaining a 25% SACE guarantee, which may be accumu-lated by up to 50% with another guarantee provided by a public economic entity that is not a related party.

On 7 November 2024, the Parent Company's Board of Directors approved a EUR 153.75 mln loan to non-related parties as the Parent Company's share (corresponding to 20%) of a EUR 765.0 mln syndicated loan, in which CDP S.p.A. also partic-ipates (with a 19.6% share). The loan is 50%-to-70% guaranteed by SACE, with the Parent Company's credit line share up to a maximum EUR 84.0 mln.

The above transactions fall within the scope of application of Consob Regulation No. 17221/2010, both because the MEF is the majority shareholder of CDP S.p.A. (a participant in the syndicated financing), and because SACE S.p.A. (the guaran-tor) is a wholly-owned subsidiary of the MEF.

iii. <u>Transactions with FINCANTIERI S.p.A.</u>

On 19 March 2024, the Credit Committee of the Parent Company resolved, in favour of customers that are not related parties, on granting a debtor credit pool for a non-recourse risk limit of EUR 50.0 mln, usable against the assignor FINCANTIERI S.p.A., subject to positive assessment and decision, with operations backed by a trade finance guarantee issued by SACE S.p.A. with a coverage ratio of 80%.

On 10 December 2024, the Credit Committee of the Parent Company resolved, in favour of customers that are not related parties, on granting a debtor credit pool for a non-recourse risk limit of EUR 120.0 mln, usable against the assignor FINCANTIERI S.p.A., subject to positive assessment and decision, with operations backed by a trade finance guarantee issued by SACE S.p.A. with a coverage ratio of 80%.

These transactions fall within the scope of application of Consob Regulation no. 17221/2010 as the MEF is the majority shareholder of CDP S.p.A., which in turn controls CDP Equity S.p.A., the majority shareholder of FINCANTIERI S.p.A. (trans-feror), and as SACE S.p.A. (issuer of the trade finance insurance guarantee) is wholly owned by the MEF.

In addition, on 24 September 2024, the Parent Company's Credit Committee authorised, in favour of customers that are not related parties on granting a credit pool for a non-recourse risk limit of EUR 30.0 mln, usable against the transferor FINCANTIERI S.p.A., subject to positive assessment and decision, backed by a trade finance guarantee issued by SACE S.p.A. with a coverage ratio of 100%. Subsequently, on 12 December 2024 the Parent Company's Board of Directors, after obtaining the favourable opinion of the Committee for Transactions with Related Parties, authorised a transaction similar to the one in 2021, relating to the Parent Company's participation, up to a maximum of EUR 200.0 mln overall, to a Buyer's Credit Pool operation, totalling approximately EUR 1.8 bn, with CDP S.p.A. and another banking counterpart, assisted, inter alia, by an insurance policy SACE S.p.A. to cover 100% of the loan and with the intervention of SIMEST S.p.A. for the purposes of any stabilisation of the interest rate. The transaction falls within the application of Consob Regulation no. 17221/2010 due to the role of: (i) CDP S.p.A., a subsidiary of the MEF, as co-lender; (ii) SACE S.p.A., a wholly-owned subsidiary of the MEF, as guarantor in the insurance policy issuance; (iii) SIMEST S.p.A., a direct subsidiary of CDP S.p.A., which is in turn controlled by the MEF, as a participant for the purposes of any interest rate stabilisation, and (iv) FINCANTIERI S.p.A., a subsidiary of CDP Equity S.p.A., which is controlled by CDP S.p.A., in turn controlled by the MEF.

Lastly, on 12 December 2024, the Bank's Board of Directors decided, as part of a review of its EUR 390.0 mln credit framework, to grant FINCANTIERI S.p.A. a EUR 320.0 mln debtor credit pool for factoring operations of various types. The trans-action falls within the scope of application of CONSOB Regulation no. 17221/2010, since FINCANTIERI S.p.A. is jointly owned by Eni S.p.A. and CDP Equity S.p.A., which are in turn owned by the MEF.

iv. <u>Transactions with other MEF related parties</u>

On 15 January 2024, the ordinary review at par of good-till-cancelled credit facilities in favour of SO.G.I.N. S.p.A. was authorised with confirmation of the two mixed credit lines in place for a total of EUR 19.9 mln, which can be used for the issue of unsecured loans for EUR 18.9 mln and EUR 1.0 mln that can be used for forex hedging. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since SO.G.I.N. S.p.A. is a wholly-owned subsidiary of the MEF.

653

BANCA MONTE DEI PASCHI DI SIENA

On 2 February 2024, as part of the ordinary review of credit lines for approximately EUR 12.2 mln, the mixed revolving credit line extended with an increase from EUR 2.2 mln to EUR 6.0 mln was authorised in favour of HOTELTURIST S.p.A., usable for the issue of Italian/foreign sureties. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since HOTELTURIST S.p.A. is a 45.95% investee of CDP Equity S.p.A., in turn a wholly-owned subsidiary of CDP S.p.A. which is in turn controlled by the MEF.

On 20 February 2024, the ordinary review of credit lines for a total of EUR 14.1 mln was authorised in favour of GPI S.p.A., confirming the existing mixed credit line of EUR 3.5 mln, usable for advances on invoices and the issue of guarantees. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since GPI S.p.A. is a subsidiary of CDP Equity S.p.A., a wholly-owned subsidiary of CDP S.p.A., in turn controlled by the MEF.

On 7 March 2024, an increase in the without recourse risk limit from EUR 7.0 mln to a total of EUR 27.0 mln was resolved in favour of FERROVIENORD S.p.A., for application in relation to third-party transferors subject to positive assessment and decision, and backed by a guarantee with a 95% coverage ratio. The transaction falls within the scope of application of Consob Regulation no. 17221/2010 because FERROVIENORD S.p.A. is wholly owned by FNM S.p.A., a 14.74% investee of Ferrovie dello Stato S.p.A. which is in turn a wholly-owned subsidiary of the MEF.

On 13 March 2024, the granting of current account credit facilities of EUR 35.0 mln and EUR 40.0 mln, respectively, were authorised in favour of the investment funds FOF PRIVATE DEBT ITALIA and FOF PRIVATE EQUITY ITALIA, both expiring on 5 September 2025, to be used for financial advances. The transaction falls within the scope of application of Consob Regulation No. 17221/2010 because FOF PRIVATE DEBT and FOF PRIVATE EQUITY ITALIA, closed-end Italian alternative investment funds reserved for professional investors, are managed by Fondo Italiano di Investimento SGR S.p.A., which is 55% owned by CDP EQUITY S.p.A., a wholly-owned subsidiary of CDP S.p.A., which in turn is controlled by the MEF.

On 28 March 2024, the Board of Directors of the Parent Company resolved in favour of FERROVIE DELLO STATO S.p.A., as part of the ordinary review of credit lines for a total of EUR 170.0 mln, on: (i) reduction of the mixed credit line from EUR 50.0 mln to EUR 20.0 mln; (ii) granting of a credit pool without recourse risk limit of EUR 125.0 mln, for application in relation to third-party transferors, backed by an insurance policy with 95% coverage, and (iii) granting of a credit pool with a notional with recourse limit of EUR 25.0 mln, valid for transferors subject to positive assessment and decision. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since FERROVIE DELLO STATO S.p.A. is a wholly-owned subsidiary of the MEF.

Again on 28 March 2024, the Board of Directors of the Parent Company resolved on the ordinary review of credit lines in favour of ANAS S.p.A., for total of EUR 205.0 mln. The transaction envisages the confirmation of existing credit lines and increase of the credit line without recourse risk limit from EUR 13.0 mln to EUR 40.0 mln, applicable to third-party assignors and suppliers, backed by an insurance policy with 95% coverage of the risk limit. Subsequently, on 20 May 2024, the increase in the unsecured credit line was authorised from EUR 15.0 mln to EUR 20.0 mln, usable for foreign guarantees and fully guaranteed by a cash pledge, with simultaneous cancellation of the Italian credit guarantee facility not used for EUR 5.0 mln. These transactions fall within the scope of application of Consob Regulation no. 17221/2010, since ANAS S.p.A. is a wholly-owned subsidiary of Ferrovie dello Stato S.p.A., in turn controlled by the MEF.

On 10 June 2024, as part of the ordinary review of credit lines, the confirmation at par of existing credit lines of EUR 8.0 mln and EUR 10.0 mln<sup>90</sup>, respectively, was authorised in favour of TITAGARH FIREMA S.p.A. with granting of a new unsecured loan for EUR 3.0 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since TITAGARH FIREMA S.p.A. is approximately 30% owned by Invitalia S.p.A., which in turn is wholly owned by the MEF.

On 11 June 2024, as part of the ordinary review of credit lines the Parent Company's Credit Committee authorised the following in favour of SAIPEM S.p.A.: i) the increase from EUR 90.0 mln to EUR 135.0 mln of the existing mixed revolving credit line, usable up to the entire amount for the issue of Italian/foreign unsecured loans and for the release of documentary credit commitments, and up to a maximum of EUR 50.0 mln for financial transactions involving bankers' drafts; (ii) the reduction from EUR 4.87 mln to EUR 3.37 mln of the credit line with a pool of other banks; and (iii) cancellation of the existing mixed credit line of EUR 5.0 mln for operations in derivatives. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since SAIPEM S.p.A. is indirectly owned by the MEF through ENI S.p.A. and CDP Equity S.p.A., which are in turn controlled by the MEF.

In the first half of 2024, the postal services contract with the counterparty POSTE ITALIANE S.p.A. was renewed, for an aggregate principal amount of approximately EUR 19.6 mln (including VAT), for the two-year period 2024-2026, of which: (i) EUR 2.8 mln for technical extension of the contract, valid from 16 February 2024 to 9 July 2024, at the same economic conditions as the previous contract expiring on 15 February 2024, and (ii) EUR 16.7 mln for the signing of a new two-year contract, valid from 10 July 2024 to 9 July 2026, with the possibility of extension for a further year. The services provided are necessary to guarantee the regular delivery to customers of the mandatory paper communications provided for by

90 See Part H of the Notes to the 2023 Consolidated Financial Statements for more details.

654

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part H - Related-party transactions

Legislative Decree no. 385/1993 (Consolidated Law on Banking). The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since the MEF has a controlling interest in POSTE ITALIANE S.p.A.

On 16 July 2024, approval was given, in favour of asset management company CDP VENTURE CAPITAL SGR S.p.A. (the "AMC"), acting in the name and on behalf of FOF VENTURITALY (a closed-end Italian alternative investment fund reserved for professional investors set up by the AMC), for an increase in the credit line which can be used as a current account credit facility to meet temporary cash requirements from EUR 10.0 mln to EUR 20.0 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since CDP VENTURE CAPITAL SGR S.p.A. is a 70% investee of CDP Equity S.p.A., a wholly-owned subsidiary of CDP S.p.A., which is in turn controlled by the MEF.

On 27 September 2024, the Credit Committee of the Parent Company authorised the granting of a non-recourse line of credit with a EUR 30.0 mln risk limit to FIBERCOP S.p.A. as account debtor in factoring arrangements for application in relation to approved transferors. Subsequently, on 12 December 2024, the Board of Directors approved an increase in the credit limit of the non-recourse line of credit from EUR 30.0 mln to EUR 120.0 mln for application in relation to approved transferors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since FIBERCOP S.p.A. is a wholly-owned indirect subsidiary of Optics Holdco Srl, which in turn is an investee of the MEF.

On 8 October 2024, the ordinary revision of credit facilities in favour of SOGEI S.p.A. was authorised with a EUR 11.0 mln extension of the non-recourse credit line risk limit as account debtor in factoring arrangements. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since SOGEI S.p.A. is a wholly-owned subsidiary of the MEF.

On 17 October 2024, the ordinary revision of EUR 13.0 mln in credit facilities in favour of GPI S.p.A. was authorised with a EUR 3.5 mln extension of the mixed credit line, usable up to the full amount for early payment of receivables and up to the EUR 1.0 mln for early payment of orders/flows. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since GPI S.p.A. is an indirect subsidiary (through CDP Equity S.p.A.) of CDP S.p.A., in turn controlled by the MEF.

On 29 October 2024, the Credit Committee of the Parent Company authorised the granting of a *new non-recourse credit pool* with EUR 50.0 mln risk limit to OPEN FIBER HOLDINGS S.p.A. for factoring operations, for application in relation to approved transferors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since OPEN FIBER HOLDINGS S.p.A. is a subsidiary of CDP S.p.A., in turn controlled by the MEF.

On 5 November 2024, the ordinary revision of credit facilities, in favour of CONSIP S.p.A. was authorised with an extension of the credit facility which can be used as a current account credit facility, for EUR 10.0 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since CONSIP S.p.A. is a wholly-owned subsidiary of the MEF.

On 20 November 2024, a credit line of EUR 30.0 mln was authorised in favour of the FOF INFRASTRUTTURE, which can be used as a current account credit facility. The transaction falls within the application of Consob Regulation No. 17221/2010 because FOF PRIVATE DEBT, a closed-end Italian alternative investment fund reserved for professional investors, is man-aged by CDP Real Asset SGR S.p.A., a subsidiary of CDP S.p.A., which in turn is controlled by the MEF.

On 12 December 2024 as part of the ordinary review of credit facilities, the Board of Directors of the Parent Company approved, subject to the favourable opinion of the Related Party Transactions Committee, the following in favour of ENEL S.p.A.: (i) confirmation of the EUR 200.0 mln multi-purpose, mixed, current account line of credit; (ii) an increase of the multi-purpose, mixed, factoring line of credit from EUR 80.0 mln to EUR 100.0 mln; (iii) an increase of the non-recourse risk limit from EUR 35.0 mln to EUR 70.0 mln, which can be used for the non-recourse transfer of receivables from approved transferors; (iv) a reduction in the notional limit of the recourse risk limit from EUR 27.5 mln to EUR 16.0 mln, which can be used for the recourse transfer of receivables from approved transferors. The transaction falls within the scope of applica-tion of Consob Regulation no. 17221/2010, as ENEL S.p.A. is a subsidiary of the MEF.

655

BANCA MONTE DEI PASCHI DI SIENA

*Transactions with other related parties*

On 10 December 2024, subject to the favourable opinion of the Committee for Related Party Transactions, the transfer of 800 units held by the Parent Company in the share capital of Banca d'Italia to the Supplementary Pension Fund for employees of MPS (MPS PENSION FUND") was approved, at a price equal to the nominal value of EUR 25,000 per unit, for a total amount of EUR 20.0 mln. The transaction, authorised beforehand by the Board of Directors on 7 November 2024, falls within the scope of application of Consob Regulation No. 17221/2010, as the MPS PENSION FUND, as the counterparty to the transaction, is by law a related party of Banca MPS for the purposes of Consob Regulation No. 172221/2010.

As regards securitisation transactions and covered bond programmes, see the specific information provided in these Notes to the Financial Statements - Part E – Information on risks and hedging policies.

The following tables summarise the relationships and economic effects of transactions carried out in the financial year with associates, key management personnel and other related parties.

On 27 December 2024, the MEF became a shareholder with significant influence in the Parent Company. Since the MEF was a controlling shareholder for almost the entirety of 2024, the scope of related parties relating to MEF as a controlling shareholder has been kept unchanged for the purposes of disclosing qualitative information relating to the impact on the year's transactions on the balance sheet and the income statement. At the end of the statements, details are given of transactions with the MEF's direct and indirect associates which, taking into account the new status in equity of the MEF, would not fall within the scope of related party transactions.

On 27 December 2024, the Parent Company's Board of Directors co-opted 5 directors that are considered related parties as of 31 December 2024. Considering the short period, from Friday 27 December 2024 to Tuesday 31 December 2024, of the existence of the related party relationship, which could have influenced the Group's economic, financial and equity position for 2024, and in keeping with the choice applied to the MEF's perimeter of related parties, among the "other related parties" are summarised the relationships and economic effects of transactions during the year exclusively between the Parent Company and key managers, without including the related parties of the new directors with whom no new transactions were concluded between 27 and 31 December 2024.

656

2024 ANNUAL REPORT - Notes to the consolidated annual report - Part H - Related-party transactions

2. a Related-party transactions: balance sheet items

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** |
|  | <br>**joint venture** | <br>**Associated**<br>**companies** | **key**<br>**management**<br>**personnel** | <br>**Other related**<br>**parties** | <br>**MEF Scope** | <br>**Total** | <br>**% on**<br>**consolidated** |
| Financial assets held for trading |  | 3750 |  |  | 3178675 | **3182425** | 52.37% |
| Financial assets mandatorily measured at fair value |  |  |  |  | 15548 | **15548** | 3.41% |
| Financial assets measured at fair value through other comprehensive income |  |  |  |  | 1501791 | **1501791** | 64.25% |
| Lonas to banks measured at amortised cost |  |  |  |  | 65669 | **65669** | 1.95% |
| Loans to customers measured at amortised cost | 41755 | 62535 | 2208 | 219 | 9869251 | **9975968** | 11.45% |
| Other assets | - | - | - | - | 1844971 | **1844971** | 50.26% |
| **Total assets** | **41755** | **66285** | **2208** | **219** | **16475905** | **16586372** |  |
| Financial liabilities measured at amortised cost | 4764 | 61067 | 2958 | 33063 | 3053370 | **3155222** | 3.07% |
| Financial liabilities held for trading |  | 1515 |  |  | 84683 | **86198** | 3.31% |
| Other liabilities | 20 | 815 | 2 | 5 | 2040 | **2882** | 0.09% |
| **Total liabilities** | **4784** | **63397** | **2960** | **33068** | **3140093** | **3244302** |  |
| Guaranties issued and Commitments | 41144 | 26058 | 232 | 10 | 2327019 | **2394463** | n.a. |

---

2. b Related-party transactions: income statement items

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** | **Value as at 31 12 2024** |
|  | <br>**joint venture** | <br>**Associated**<br>**companies** | **key**<br>**management**<br>**personnel** | <br>**Other related**<br>**parties** | <br>**MEF**<br>**Perimeter** | <br>**Other related**<br>**parties** | **%**<br>**on**<br>**consolidated** |
| Interest income and similar revenues | 2406 | 3041 | 43 | 1 | 430302 | **435793** | 9.32% |
| Interest costs and similar charges |  | (220) | (72) | (3800) | (67453) | **(71545)** | 3.04% |
| Fee and commission income | 79 | 201241 | 7 | 3 | 289257 | **490587** | 29.06% |
| Fee and commission expense |  | (412) | (1) | (1) | (15881) | **(16295)** | 6.98% |
| Net profit (loss) from fair value measurment of assets/ liabilities |  |  |  |  | (12012) | **(12012)** | 122.20% |
| Net adjustments/impaiments | (28757) | 92 | (4) |  | 5347 | **(23322)** | 5.73% |
| Dividends |  |  |  |  | 7932 | **7932** | 34.91% |
| Operating costs | 1 | (1570) | (10467) | (4) | (20211) | **(32251)** | 1.55% |

---

For the list of joint venture and associated as at 31 December 2024, see the tables of the Notes to the Financial Statements – Part B – Information on the balance sheet – Section 7.

657

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

Transactions with associates mainly refer to AXA Group companies. In particular, the financial assets and liabilities held for trading refer to the hedging of AXA Group insurance products placed by the MPS network.

The securitisation transactions are described in Part E of these Notes to the financial statements. With regard to the bal-ances shown in Table 2.b shown above, please note the following:

· Fee and commission income from associates refers almost entirely to the
insurance investees Axa MPS Assicurazioni Vita S.p.A. and Axa MPS Assicurazioni Danni S.p.A.;

· Operating costs relating to associates consist mostly
of insurance costs incurred with these associated companies.

With regard to the MEF scope, note the following:

· financial assets mainly consist of government bonds, which generated interest
income for EUR 209.5 mln;

· the other assets consist of tax credits held by the Group on the tax authorities
for various reasons as a result of the measures introduced by various legal provisions, of which EUR 1,804.8 mln due to tax credits for
construction subsidies purchased by the Parent Company, which boosted the interest income item by EUR 109.0 mln;

· financial liabilities measured at amortised cost mainly refer to deposits
with the counterparty CDP amounting to EUR 920.6 mln and Invitalia amounting to EUR 511.8 mln, which account for EUR 30.3 mln and EUR
9.9 mln of interest expense, respectively;

· the fee and commission income refer, in addition to the distribution contract
with Anima (associate in the MEF scope,) to the support activities for the State securities placement auctions carried out by the Parent
Company;

· profit (loss) from other assets and liabilities measured at fair value through
profit or loss mainly relate to capital losses on units of the Fondo Italiano di Investimento;

· operating costs are almost entirely attributable to postage and shipping
costs.

Finally, specifically with regard to the transactions with direct and indirect associates included in the MEF scope, it should be noted that:

· financial assets held for trading include securities and derivatives amounting
to approximately EUR 6.3 mln;

· financial assets measured at fair value through other comprehensive income
include EUR 17.4 mln in debt securities;

· loans and advances to customers at amortised cost include EUR 150.2 mln
in loans, which generated interest income of EUR 14.6 mln;

· financial liabilities measured at amortised cost include EUR 409.6 mln relating
mainly to current accounts, which generated an interest expense of EUR 9.7 mln;

· financial liabilities held for trading include derivative instruments amounting
to approximately EUR 1.5 mln;

· guarantees and commitments are valued at approximately EUR 631.8 mln;

· fee and commission income relates, for EUR 258.6 mln, to Anima, fee and
commission expenses of approximately EUR 10.7 mln are paid to Nexi;

· net impairment/(reversals) for credit risk relates mainly to the reversals
on loans with the counterparty Gruppo PSC S.p.A. after the Parent Company joined the proposed arrangement with creditors.

658

  <u>2024 ANNUAL REPORT - Notes to the consolidated annual report - Part I - Share-Based Payment Agreements</u>

Part I - Share-Based Payment Agreements

Qualitative Information

Description of share-based payments agreement

To pursue the objective of encouraging alignments of the interests of management with those of shareholders, Supervisory Provisions on remuneration and incentive policies and practices establish that at least 50% of variable remuneration provided to "identified staff" should be paid in the form of shares or associated financial instruments over a period of at least 4 years. "Variable remuneration" refers to both variable components linked to the performance or other parameters and amounts paid as incentives for the early termination of the employment relationship exceeding the amount due by law ("severance").

In accordance with the aforementioned regulatory provisions, the Montepaschi Group has adopted annual phantom shares plans<sup>91</sup> in the financial years 2017, 2020, 2021, 2022 and 2023, and annual treasury share plans in the financial years 2018 and 2019.

In the session of 11 April 2024, the Shareholders' Meeting of the Parent Company approved a Phantom Shares Plan for 2024, designated exclusively to the payment of any severance or variable incentive remuneration for the staff of the Montepaschi Group. The contents and the operating procedures of these plans are included in the "Remuneration policies" posted on the website of the Parent Company *<u>https://www.gruppomps.it/corporate-governance/assemblea-azionisti/archiv-io-assemblee.html</u>*.

The correspondence of the phantom shares for the plans up to 2017 and for plans from 2020 to 2024 do not require the material assignment of shares, but rather the payment of an amount pegged to the share value reported over time, for accounting purposes it is considered a cash settled share based payment pursuant to IFRS 2 "Share-based payments". The debt corresponding to the amounts to be recognised will be settled in cash and accounted for at the end of the year of service; the total amount will depend on the price of the instruments representative of the capital (phantom shares) which will be measured at fair value, calculated as the best estimate of the amount due in consideration of the different conditions established by the plans, valued with regard to the fair value of the shares of the Bank assigned from year to year and the value of the Parent Company's shares. The estimate of the fair value of the share, at the measurement date, will not take into account any expected vesting conditions (e.g. condition of permanence in service or conditions for the achievement of results), except for market conditions. The vesting conditions should be taken into consideration by adjusting the number of assignments included in the assessment of the liability arising from the transaction; the market conditions (as with any other non-accrual-related conditions) should instead be considered in the estimate of the liabilities fair value arising from the transaction and of the related cost attributed to the Income Statement.

The 2018 and 2019 plans, providing for the assignment of shares of the Parent Company at the accrual time of the vesting conditions, fall within the scope of the application of the IFRS 2 accounting standard as equity settled share-based payments, in the context of which the instruments representative of the capital are attributed as an offsetting entry to an equity reserve. Within this scope, the severance cost set forth in the Plans and the corresponding increase in net equity are measured at the fair value of the shares that will be assigned; the estimate of the fair value of the share at the measurement date will not need to take into account any expected vesting conditions (e.g. condition of permanence in service or conditions for the achievement of results), except for market conditions. The vesting conditions should be taken into consideration by adjusting the number of financial instruments included in the measurement of the amount of the transaction so that the value recognised in the financial statements for the services received as a consideration for the financial instruments will be based on their number which, at the end, will actually be accrued; the market conditions should instead be considered in the estimate of the fair value of the assigned shares.

The fair value of the Phantom Shares and of the treasury shares assigned is determined – pursuant to art. 9, paragraph 4 of the Income Tax Act (TUIR) – on the basis of the arithmetic average of the MPS share prices reported in the thirty days leading up to the assignment date.

91 It should be noted that, although the characteristics and operation remain unchanged, with a view to greater alignment with market practices, the nameof the synthetic instrument was changed from "Performance Shares" (name used by the Bank until 2022) to "Phantom Shares".

659

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

Quantitative Information

With regard to the 2016 plan, 10,688.19 of the original 32,806 deferred phantom shares were paid out during 2024 under the Deferral Plans signed with two former Executives. First, 8.19 phantom shares (corresponding to the last deferred tranche under the plan) were paid out. Second, having verified that the conditions for applying the malus mechanism were no longer met, the last two deferred shares were paid out, for a total of 10,680 phantom shares.

Therefore, as at 31 December 2024, following both the liquidations and write-offs that have occurred to date, and the reverse split of the BMPS share in the ratio of 100 to 1, which took place with the resolution of the Shareholders' Meeting of 15 September 2022, no phantom shares remained to be liquidated in relation to the 2016 plan.

With reference to the cash-settled 2017, 2020, 2021 2022 plans and the equity-settled" 2018 and 2019 plans, neither equity instruments nor shares were ever allocated due to failure to meet the vesting conditions. *Therefore, these plans have never been recognised in accounts and are therefore not represented in the Financial Statements as at 31 December 2024*.

With regard to the 2023 plan, as at 31 December 2024 disbursement by way of severance was outstanding on 44,998 phantom shares for a sum of EUR 294.0 thousand, according to the terms and methods set forth in the deferral plan signed at the time of the early termination of the employment between an executive and the Parent Company. In addition, 503,439 phantom shares were utilised in 2024 for an amount, as at 31 December 2024, of EUR 3.3 mln, intended for the incentive scheme payment pertaining to 2023. Disbursements will be made in accordance with the terms and conditions set out in the deferral plans and differentiated based on PPR cluster.

Finally, with regard to the 2024 plan, also intended for the payment of the incentive scheme and the amounts paid out as severance, 68,987 phantom shares were used as severance for a countervalue, as of 31 December 2024, of EUR 450.8 thousand. The disbursements will be made according to the terms and conditions set forth in the deferral plans signed on the occasion of the early termination of the employment relationship between two executives and the Parent Company.

660

  <u>2024 ANNUAL REPORT - Notes to the consolidated annual report - Part L - Segment reporting</u>

Part L - Segment reporting

Montepaschi Group operations by business segment

For the purpose of identifying the Operating Segments provided for by IFRS 8, the Montepaschi Group has adopted the business approach. Consolidated income statement and balance sheet data are broken down and re-aggregated based on criteria including: business area concerned, operating structure of reference, relevance and strategic importance of activities carried out, and customer clusters served.

It should be noted that from the first quarter of 2024 the financial results, as well as the number of customers, reflect the representation of the new Small Business service model, implemented at the end of April 2024, which entailed the migration of approximately 190 thousand customers from the Small Business service model to the Value service model, i.e. from the Corporate Banking segment to the Retail segment. The comparative figures (balance sheet and income statement) were consequently restated in order to allow a homogeneous comparison.

In relation to comparative data, note that on 24 April 2023 and 29 May 2023, respectively, the mergers by incorporation into the Parent Company of MPS Leasing & Factoring S.p.A. and MPS Capital Services Banca per le Imprese S.p.A. took effect. Though in both cases the accounting and tax effects took effect on 1 January 2023, for the first half of 2023, the merged entities were included in the segment reporting results on the basis of their contribution to the Group's results as independent business units (estimated on the basis of management and, where available, accounting evidence), in line with management reporting. As of the second half of 2023, the customer contribution of the merged companies was instead attributed to the operating segments on the basis of the service model actually assigned to the customers. The economic results as at 31 December 2023, are therefore are not fully comparable (with particular reference to the Corporate Banking and Large Corporate and Investment Banking segments); the comparative balance sheet results as at 31 December 2023, on the other hand, allow for a like-for-like comparison.

Lastly, note that from 30 June 2024, as described in more detail in the paragraph "Income statement and balance sheet reclassification principles", included in the Consolidated Report on operations, to which reference is made, the costs and revenues as well as the assets and liabilities referring to the consolidated contribution of the subsidiary MP Banque are included on a line-by-line basis in the individual income statement and balance sheet items.

Based on the Group's reporting criteria, which also take into account the organisational structures and the above, the following operating segments are defined:

·  ***Retail Banking*** , which includes the income statement/balance
sheet results of Retail customers (Value and Premium segments) and Banca Widiba S.p.A. (Financial Advisor Network and Self-service channel);

·  ***Wealth Management*** , which includes the income statement/balance
sheet results of Private Banking customers (Private Banking and Family Office segments) and the subsidiary MPS Fiduciaria;

·  ***Corporate Banking*** , which includes the income statement/balance
sheet results of enterprise customers (SME, Corporate Client and *Small Business segments*) and the Foreign Branches;

·  ***Large Corporate e Investment Banking*** , which includes the economic/equity
results of Large Corporate customers, of the Corporate Finance and Investment Banking and Global Markets Business Unit;

·  ***Corporate Centre*** , which in addition to the offsetting of intragroup
entries, incorporates the results of the following business centres:

- Non-Performing customers managed centrally by the Non-Performing Loans Unit;

- companies consolidated with the equity method and those held for sale (including MP Banque);

- operating units, such as proprietary finance, treasury and capital management;

- service units supporting the Group's business, dedicated in particular to the management and development of IT systems.

The algebraic sum of the five segments thus identified represents the economic and equity data of the Montepaschi Group's Consolidated Financial Statements as at 31 December 2024.

The paragraph "Basis for preparation" shows the income statement and balance sheet results for each identified operating segment.

661

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

Reclassified income statement criteria by operating segment

Main economic aggregates criteria are described below:

· **Net interest income:** in relation to the business centres of Banca
MPS, it is calculated by way of contribution on the basis of internal transfer rates broken down by products and maturities. With reference
to non-divisionalised entities, net interest income is the difference between "interest income and similar revenues" and "interest
expense and similar charges".

· **Net fee and commission income:** net fee and commission income is determined
by direct allocation of commissions to the operating segments.

· **Operating expenses:** the aggregate includes personnel expenses, other
administrative expenses (after recovery of expenses) and Net adjustments to/recoveries on property, plant and equipment and intangible
assets. The operating expenses of non-divisionalised entities (mono-segments) are directly allocated to their corresponding operating
segments while, for the Parent Company, they are allocated to their respective Segments of reference by using a "cost allocation"
model. For personnel expenses, the model makes direct allocation to business centres on the basis of the functional location of resources,
or, indirect allocation on the basis of specific drivers. With regard to other administrative expenses and Net adjustments to/recoveries
on property, plant and equipment and intangible assets, the model allocates external and intragroup cost components to the business centres
either directly or by means of specific drivers.

· **Cost of customer credit / Net impairment (losses)/reversals on securities and loans to banks:** analytically allocated to the individual operating segments.

Reclassified balance sheet criteria by operating segment

Balance sheet aggregates were developed by precisely surveying the balances on individual customers and subsequently aggregating them by service model/operating segment. In particular:

· **gross interest-bearing loans to customers:** the interest-bearing assets
used for the operations of a business segment, which are directly attributable to the segment itself;

· **direct** <sub> </sub> **funding** include
 the onerous liabilities arising from the operations, which are directly attributable to the segment itself.

Transactions between operating segments

Each segment's income and results include transfers between operating segments (Internal Transfer Rates). These transfers are reported in accordance with the best practices accepted by the market (i.e. the fair value method or cost method increased by a proper margin) both with respect to commercial and financial transactions.

The income of each operating segment is determined before intragroup balances and intragroup transactions are eliminated during the process of consolidation. In line with the internal reporting system used by the Group, balances of intragroup transactions are not shown separately.

662

  <u>2024 ANNUAL REPORT - Notes to the consolidated annual report - Part L - Segment reporting</u>

Basis for preparation

In accordance with the recommendations of IFRS 8, the table below presents the Group's income statement and balance sheet results as at 31 December 2024, developed according to the Operating Segments defined above:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Corporate Center** | **Total<br> Montepaschi<br> Group** |
| | **Retail banking** | **Wealth<br> Management** | **Corporate<br> banking** | **Large Corp. <br> & Inv. Banking** | | |
| **SEGMENT REPORTING**<br>**Primary segment**<br>**(EUR mln)** | **31/12/24** | **31/12/24** | **31/12/24** | **31/12/24** | <br>**31/12/24** | <br>**31/12/24** |
| **PROFIT AND LOSS AGGREGATES** |  |  |  |  |  |  |
| Net interest income | 1335.5 | 57.6 | 894.1 | 165.2 | (96.6) | 2355.8 |
| Net fee and commission income | 971.1 | 118.5 | 404.8 | 67.6 | (96.7) | 1465.3 |
| Other income | 63.1 | 14.1 | 22.9 | 91.6 | 15.3 | 206.9 |
| Other operating expenses/income | (7.5) | (1.4) | 0.9 |  | 13.6 | 5.7 |
| Total Income | 2362.1 | 188.8 | 1322.8 | 324.5 | (164.4) | 4033.8 |
| Operating expenses | (1156.6) | (116.5) | (397.5) | (73.1) | (125.4) | (1869.1) |
| Pre Provision Profit | 1205.5 | 72.3 | 925.3 | 251.4 | (289.8) | 2164.7 |
| Net impairment losses (reversals) on loans and financial assets | (87.5) | (1.9) | (223.4) | (57.2) | (46.2) | (416.2) |
| Net Operating Income | 1118.0 | 70.4 | 702.0 | 194.1 | (336.0) | 1748.5 |
| **BALANCE SHEET AGGREGATES** |  |  |  |  |  |  |
| Gross Interest-bearing loans to customers | 32409.0 | 489.0 | 29774.0 | 4465.0 | 11087.0 | 78223.0 |
| Direct funding | 44717.0 | 3037.0 | 20364.0 | 4477.0 | 21376.0 | 93972.0 |

---

*(\*) The value shown in the Group as well as that in the operating segments is represented by Gross Interest-Bearing Loans to Customers, therefore not including loss provisions.*

663

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

The following table summarises the values relating to the financial year 2023.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Operating Segments** | **Corporate<br> Center** | **Total<br> Montepaschi<br> Group** |
| | **Retail banking** | **Wealth<br> Management** | **Corporate<br> banking** | **Large Corp. <br> & Inv. Banking** | | |
| **SEGMENT REPORTING**<br>**Primary segment**<br>**(EUR mln)** | **31/12/23** | **31/12/23** | **31/12/23** | **31/12/23** |<br>**31/12/23** |<br>**31/12/23** |
| **PROFIT AND LOSS AGGREGATES** | | | | | | |
| Net interest income | 1248.2 | 54.9 | 875.0 | 127.8 | (13.9) | 2292.1 |
| Net fee and commission income | 843.3 | 109.8 | 393.6 | 56.1 | (81.0) | 1321.9 |
| Other income | 69.9 | 17.0 | 23.6 | 50.3 | 9.2 | 170.1 |
| Other operating expenses/income | (7.7) | (1.3) | (4.5) | 0.7 | 25.6 | 12.8 |
| Total Income | 2153.8 | 180.5 | 1287.7 | 234.9 | (60.2) | 3796.8 |
| Operating expenses | (1142.1) | (109.6) | (374.3) | (79.2) | (137.5) | (1842.8) |
| Pre Provision Profit | 1011.7 | 70.9 | 913.4 | 155.7 | (197.7) | 1954.1 |
| Net impairment losses (reversals) on loans and financial assets | (151.8) | (3.2) | (238.9) | (0.4) | (49.1) | (443.5) |
| Net Operating Income | 859.9 | 67.7 | 674.4 | 155.4 | (246.8) | 1510.6 |
| **BALANCE SHEET AGGREGATES** |  |  |  |  |  |  |
| Gross Interest-bearing loans to customers | 32044.0 | 519.0 | 30644.0 | 3942.0 | 10468.0 | 77618.0 |
| Direct funding | 43320.0 | 2623.0 | 20687.0 | 3257.0 | 20752.0 | 90639.0 |

---

*(\*) The value shown in the Group as well as that in the operating segments is represented by Gross Interest-Bearing Loans to Customers, therefore not including loss provisions.*

664

  <u>2024 ANNUAL REPORT - Notes to the consolidated annual report - Part M - Leasing Information</u>

Part M - Leasing Information

Section 1 - Lessee

Qualitative Information

In the capacity of lessee, the Parent Company stipulates lease agreements of properties to be primarily used for business. Therefore, these leased properties are used as branches and as spaces intended to accommodate ATMs or internal offices.

The leasing activity also includes the stipulation of leasing agreements related to residential property used by employees during transfers to other work locations.

In reality, the leasing activities of the Parent Company is also aimed at the need to relocate branches and offices. Particular attention is paid to the identification of the properties that are more suitable for the intended use, in line with the cost effectiveness criteria set forth by the company.

As at 31 December 2024, the Parent Company had approximately 1,007 contracts in place in the capacity of lessee.

The Group companies undertake the role of lessee primarily in the leasing agreements of properties hosting their offices. IN particular, the subsidiary Widiba executes lease agreements concerning properties to be used for business (e.g., financial shops, spaces used for offices) and residential use, as in the case of flats sub-leased to employees who have transferred to other business locations. As for the Parent Company, the execution of new contracts is necessary in the case of relocations. As at 31 December 2024, the subsidiary is the lessee in 95 contracts for business use and 3 contracts for hospitality purposes.

In addition, the Group has contracts for motor vehicles, mainly referring to long-term leases of company cars and cars given as a fringe benefit to employees. In view of the marginal relevance of car leasing contracts with respect to the total values of the assets consisting of rights of use recognized in the financial statements pursuant to IFRS 16, no further disclosure is provided on this contract category.

The Group is not usually exposed to cash outflows not included in the lease liability. The exposures deriving from extension options are included in the lease liabilities since, in order to provide business continuity to the Branch offices, the Group considers the first renewal to be certain, except in special cases. The rent due on the leases is updated in line with ISTAT data. No contracts entered into as lessee falls into the other categories referred to in the standard (residual value guarantees, commitments on leases not yet operational).

The Parent Company and the Group companies recognise as costs:

· short-term leases in the case of assets such as properties
and technologies when the related contracts have a maximum term of twelve months and do not provide for any extension options.

· the leasing of assets of a modest value, i.e. characterised
by a value that is under five thousand euro, related mainly to cell phones.

665

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

Quantitative Information

Part B - "Assets" of the Notes to the Financial Statements discloses, respectively, information on rights of use acquired through leasing (Table 9.1 - Property, plant and equipment used in the business: breakdown of assets valued at cost and Table 9.6 a - Property, plant and equipment used in the business - rights of use acquired through leasing: annual changes) and in Part B - Liabilities, lease liabilities are shown (Table 1.1 - Financial liabilities measured at amortised cost: breakdown of amounts due to banks, Table 1.2 - Financial liabilities measured at amortised cost: breakdown of due to customers).

Specifically, as at 31 December 2024, rights of use acquired through leasing amount to EUR 159.5 mln (EUR 185.0 mln as at 31 December 2023), of which EUR 159.1 mln relating to property leases (EUR 183.7 mln as at 31 December 2023).

Lease payables amount to EUR 166.5 mln (EUR 191.2 mln as at 31 December 2023). Please refer to those sections for more details.

Part C of the Notes to the Financial Statements contains information on interest expense on Lease payables and other expenses relating to rights of use acquired under leasing and income from sub-leasing. Please refer to those sections for more details.

The following table shows amortisation costs for the assets comprising the right of use, broken down by the underlying asset class.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31 12 2024** | **31 12 2024** | **31 12 2023\*** | **31 12 2023\*** |
| **Amortization costs on Right of Use acquired through leasing** |  | 42628 |  | 46036 |
| b) Buildings |  | 41611 |  | 41048 |
| d) Electronic systems |  |  |  | 3631 |
| e) Other |  | 1017 |  | 1357 |

---

\* The data as at 31 December 2023 have been restated to reflect the classification of the subsidiary MP Banque S.A. as a discontinued operation in accordance with IFRS 5.

Section 2 – Lessor

Qualitative Information

The Parent Company executes, in its capacity as the lessor, lease agreements of properties for business and residential use.

The properties for business use are leased to both third parties and to intragroup companies. In the latter case, the properties and spaces occupied by the administrative offices of the companies of the Group are the subject matter of these contracts.

As regards the properties for residential use, these are primarily owned flats leased to third parties. The contracts for residential use generally have a duration of 4+4 years, while those for business use a duration of 6+6 years.

For the most part, active leases are primarily protected by the payment of a security deposit or surety bond by the tenant, as required by current legislation. This amount can be used to repair any damage that the tenant may cause.

In addition to this, the Parent Company does not apply any specific contractual clause regarding the management of any risk associated with the rights held on the underlying assets.

The Parent Company also operates in the financial leasing market, stipulating contracts mainly for companies and offering products in the real estate, capital goods, vehicles, energy and aircraft sectors, using its own network and, at the same time, single-firm agents.

666

  <u>2024 ANNUAL REPORT - Notes to the consolidated annual report - Part M - Leasing Information</u>

As at 31 December 2024, the Parent Company had approximately 17,535 contracts in its portfolio for a gross book value of EUR 2,974.1 mln, of which EUR 1,854.7 mln in the real estate leasing sector (3,577 contracts), EUR 745.1 mln in the capital goods sector (7,910 contracts), EUR 194.2 mln in the vehicle sector (5,669 contracts), EUR 155.4 mln in the energy sector (286 contracts) and EUR 24.6 mln in the aviation sector (93 contracts). The value of the lease agreements executed in 2024 amounted to EUR 268 mln (1,301 contracts), down 46.6% from the previous year. The company's performance by segment in terms of volume shows a contraction compared to the previous year for real estate (-29.5%; EUR -38 mln) for capital goods (-60.9%; EUR -162 mln), vehicles (-30.8%; EUR -29 mln), *energy* (-31%; EUR -4 mln) and aerospace (-87.2%; (EUR -1.3 mln).

The Parent Company recognises financial leasing in compliance with the accounting standard IFRS 16 and classifies the transactions under financial assets measured at amortised cost.

The other companies of the Group do not have outstanding lease agreements in the capacity of Lessor.

Quantitative Information

1. Information on the balance sheet and income statemen

Information on loans for leasing and assets transferred under operating leasing is provided, respectively, in Part B, Assets - Section 4 table 4.2 "Financial assets measured at amortised cost: breakdown of loans to customers" and underneath table 9.4 "Property, plant and equipment held for investment: breakdown of assets measured at fair value". For the information on interest income on loans for leasing and on other income from financial and business leasing, see table 1.1 "Interest income and similar revenues: breakdown" and 16.2 Other operating income: breakdown" contained in Part C.

2. Quantitative information - Financial leases

*2.1 Quantitative information - Financial leases*

---

| | | |
|:---|:---|:---|
| | **31 12 2024** | **31 12 2023** |
| <br>**Time bands** | **Total lease payments**<br>**receivable** | **Total lease payments**<br>**receivable** |
| Up to 1 year | 735597 | 828787 |
| from 1 to 2 years | 349770 | 458561 |
| from 2 to 3 years | 401820 | 502826 |
| from 3 to 4 years | 330322 | 396121 |
| from 4 to 5 years | 401507 | 451125 |
| over 5 years | 897322 | 1102285 |
| **Total lease payments receivable** | **3116338** | **3739705** |
| **Reconciliation with investments** |  |  |
| Not accued gains | (420515) | (479367) |
| Unguaranteed residual values | (421373) | (629803) |
| **Finance lease** | **2274450** | **2630535** |

---

The table shows the classification by time bands of payments to be received for leasing and the reconciliation between the payments to be received and the loans for lease financing in the portfolio as at 31 December 2024. The amounts are not discounted (IFRS 16.94).

667

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

*2.2 Other information*

Financial lease agreements, executed with customers, allow for a risk management on the underlying assets in line with the policies of the Group but they do not provide for repurchase agreements, guarantees on the residual value or variable payments.

3. Quantitative information - Operating leases

*3.1 Classification by time bands of payments to be received*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Time bands** | <br>**year** | **Total lease payments**<br>**receivable (excluding**<br>**VAT)** | <br>**year** | **Total lease payments**<br>**receivable (excluding**<br>**VAT)** |
| Up to 1 year | 2024 | 6447 | 2023 | 6870 |
| from 1 to 2 years | 2025 | 6187 | 2024 | 6892 |
| from 2 to 3 years | 2026 | 5998 | 2025 | 6717 |
| from 3 to 4 years | 2027 | 5104 | 2026 | 6524 |
| from 4 to 5 years | 2028 | 4372 | 2027 | 5602 |
| over 5 years | starting from 2029 | 18811 | starting from 2028 | 16800 |
| **Total** |  | **46919** |  | **49405** |

---

The table shows the classification by time bands of payments to be received for the leasing by the Parent Company (IFRS 16.97). The amounts of payments shown are not actualised.

The other companies of the Group do not have outstanding lease agreements in the capacity of Lessor.

*3.2 Other information*

No other information to report.

668

![](tm2518026d1_ex99-4imgtop.jpg)

**Public disclosure <br> State by State**

![](tm2518026d1_ex99-4imgbtm.jpg)

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

Public disclosure State by State

The Bank of Italy Circular no. 285/2013, Part One (Title III, Chapter 2) has transposed into Italian law the public disclosure set out in art. 89 - Communication by country - of Directive 2013/36/EU ("CRD IV") which introduces the obligation to disclose information concerning banking activities, subdivided by country where each bank is based; the disclosure is to be provided in the financial statements or posted on the entity's website.

In particular, the Parent Companies of banking groups are required to provide on a consolidated basis the following information, subdivided by country:

· Names of the companies based in the country and nature of the business

· Turnover

· Number of Full-time equivalent employees

· Profit or loss before tax

· Tax on profit or loss

· Public subsidies received

The tables below present the required information for the Group, with reference to the situation as at 31 December 2024.

The term "Turnover" refers to the net interest and other banking income as recorded in item 120 of the consolidated income statement.

The term "Number of full-time equivalent employees" refers to an average number representing the ratio between the total number of hours worked by all employees, excluding overtime, and the total annual number of hours contractually required of full-time employees.

"Profit or loss before tax" means the sum of items 290 and 320 (the latter before taxes) of the consolidated income statement.

"Tax on profit or loss" means the sum of taxes recorded in item 300 of the consolidated income statement and income taxes on assets under disposal.

The item "Public subsidies received" should indicate any grants received directly from the public administrations. This item does not include transactions performed by central banks for purposes of financial stability or transactions carried out to facilitate the monetary policy transmission mechanism. Similarly, transactions included in government aid schemes approved by the European Commission should not be taken into consideration.

670

  <u>2024 Financial Statements - Public disclosure State by State</u>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Country** |<br>**Turnover**<br> **(€/1000)** |<br>**Number of FTEs** |<br>**Profit or loss<br> before tax<br> €/1000)** |<br>**Tax on profit or<br> loss <br> (€/000)** | **31 12 2024**<br>**Public subsidies**<br> **received**<br> **(€/000)** |
| **Algeria** |  | 1 |  |  |  |
| **China** | 819 | 12 | (1084) |  |  |
| **Egypt** |  | 2 |  |  |  |
| **France** | 44669 | 128 | 16741 | (1968) |  |
| **India** |  | 1 |  |  |  |
| **Italy** | 3923961 | 15727 | 1452280 | 505748 | 149 |
| **Morocco** |  | 1 |  |  |  |
| **Tunisia** |  | 1 |  |  |  |
| **Turkey** |  | 2 |  |  |  |
| **Total Group companies** | **3969449** | **15875** | **1467937** | **503780** | **149** |
| **Companies under significant influence valued at equity** | **-** | **-** | **74229** | **-** | **-** |
| **Consolidation adjustments** | **(62505)** | **-** | **(97675)** | **2352** | **-** |
| **Total Montepaschi's Group** | **3906944** | **15875** | **1444491** | **506132** | **149** |

---

The line "Consolidation Adjustments" includes the reclassification of the portion of Turnover referring to the French investee Monte Paschi Banque S.A classified as a discontinued operation in accordance with IFRS 5.

It is to be noted that the subsidiary MPS TENIMENTI POGGIO BONELLI E CHIGI SARACINI SOCIETÀ AGRICOLA S.p.A. has received EUR 0.1 mln in 2024 as subsidies, grants and bonuses to support agricultural production in EU countries.

671

BANCA MONTE DEI PASCHI DI SIENA

List of Montepaschi Group companies by location and business type

---

| | | | |
|:---|:---|:---|:---|
| **Country** | **Company name** | **Type of business** |  |
| **Algeria** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Financial services for business |  |
| **China** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Retail & Corporate banking service | Shanghai branches, representative office in Beijing |
| **Egypt** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Financial services for business |  |
| **France** | MONTE PASCHI BANQUE S.A. | Retail & Corporate banking service |  |
| **India** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Financial services for business |  |
| **Italy** | AIACE REOCO S.r.l. in liquidazione | Real estate |  |
| **Italy** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Retail & Corporate banking service |  |
| **Italy** | CIRENE FINANCE S.r.l. | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | G.IMM ASTOR S.r.l. | Real estate leasing |  |
| **Italy** | MAGAZZINI GENERALI FIDUCIARI DI MANTOVA S.p.a. | Warehousing |  |
| **Italy** | MONTE PASCHI FIDUCIARIA S.p.a. | Trust management |  |
| **Italy** | MPS TENIMENTI POGGIO BONELLI E CHIGI SARACINI SOCIETA' AGRICOLA S.p.a. | Winery |  |
| **Italy** | MPS COVERED BOND 2 s.r.l. | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | MPS COVERED BOND S.R.L. | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | SIENA MORTGAGES 10-7 S.r.l. (in liquidazione) \* | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | SIENA MORTGAGES 07-5 S.p.a. | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | SIENA MORTGAGES 09-6 S.R.L. (in liquidazione) \* | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | SIENA PMI 2016 SRL | Financial services for business | Special Purpose Entity (SPE) |
| **Italy** | WISE DIALOG BANK S.p.a. - WIDIBA | Retail & Corporate banking service | On line Bank |
| **Morocco** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Financial services for business |  |
| **Tunisia** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Financial services for business |  |
| **Turkey** | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Financial services for business |  |

---

\* *the vehicles SIENA MORTGAGES 09-6 S.r.l. and SIENA MORTGAGES 10-7 S.r.l., already in liquidation at the end of 2023, were cancelled from the Register of Companies in July 2024.* 

672

![](tm2518026d1_ex99-4imgtop.jpg)

**Certifications**

![](tm2518026d1_ex99-4imgbtm.jpg)

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

CERTIFICATION OF THE CONSOLIDATED FINANCIAL STATEMENTS PURSUANT TO ART. 81-TER OF CONSOB REGULATION NO. 11971 OF 14 MAY 1999, AS SUBSEQUENTLY AMENDED AND SUPPLEMENTED

1. The undersigned, Luigi Lovaglio, as Chief Executive Officer, and Nicola Massimo Clarelli, as Financial
Reporting Officer of Banca Monte dei Paschi di Siena S.p.A., also having regard to art. 154-bis, paragraphs 3 and 4 of Italian Legislative
Decree no. 58 of 24 February 1998, do hereby certify the:

- appropriateness with respect to the company's profile, and

- effective application of administrative and accounting procedures used in the preparation of the consolidated financial statements for financial year 2024.

2. The verification of the adequacy and effective application of administrative and accounting procedures
for the preparation of the consolidated financial statements during 2024 was based on methods defined by the MPS Group in line with the
COSO model, and for the IT component, COBIT, which constitute the reference framework for the internal control system generally accepted
internationally.

3. It is also certified that:

&nbsp;&nbsp;&nbsp;&nbsp;3.1 the consolidated financial statements:

- were prepared in accordance with the international accounting standards recognised by the European Union pursuant to European Parliament and Council Regulation No. 1606/2002 of 19 July 2002;

- are consistent with the underlying documentary evidence and accounting records;

- are suitable to provide a true and fair representation of the capital, economic and financial situation of the issuer and group of companies included within the scope of consolidation.

&nbsp;&nbsp;&nbsp;&nbsp;3.2 the Report on Operations includes a reliable analysis of the trends and results of operations as well
as of the position of the issuer and of all entities included within the scope of consolidation, together with a description of the main
risks and uncertainties they are exposed to.

Siena, 6 March 2025

---

| | |
|:---|:---|
| *Signed by* | *Signed by* |
| *On behalf of the Board of Directors* | *The Financial Reporting* |
| *The Chief Executive Officer* | *Officer* |
| *Luigi Lovaglio* | *Nicola Massimo Clarelli* |

---

674

  <u>2024 Financial Statements - Certifications</u>

CERTIFICATION OF THE SUSTAINABILITY REPORT PUR-SUANT TO ARTICLE 81-TER PARAGRAPH 1 OF CONSOB RE-GULATION NO. 1 OF 11971 14 MAY 1999, AS AMENDED

1. The undersigned Luigi Lovaglio, in his capacity as Chief Executive Officer, and Nicola Massimo Clarelli,
in his capacity as Financial Reporting Officer of Banca Monte dei Paschi di Siena S.p.A., hereby certify, pursuant to Article 154-bis,
paragraph 5-ter, of Legislative Decree no. 58 of 24 February 1998, that the sustainability report included in the Report on Operations
has been prepared:

&nbsp;&nbsp;&nbsp;&nbsp;a. in accordance with the reporting standards applied pursuant to Directive 2013/34/EU of the European Parliament
and of the Council of 26 June 2013 and Legislative Decree mo. 125 of 6 September 2024;

&nbsp;&nbsp;&nbsp;&nbsp;b. with the specifications adopted in accordance with Article 8(4) of Regulation (EU) 2020/852 of the European
Parliament and of the Council of 18 June 2020.

Siena, 6 March 2025

---

| | |
|:---|:---|
| *Signed by* | *Signed by* |
| *On behalf of the Board of Directors* | *The Financial Reporting* |
| *The Chief Executive Officer* | *Officer* |
| *Luigi Lovaglio* | *Nicola Massimo Clarelli* |

---

675

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**Independent Auditors' report <br> on the financial statements**

![](tm2518026d1_ex99-4imgbtm.jpg)

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

![](tm2518026d1_ex99-4imgpwc.jpg)

***Independent auditor's report***

*in accordance with article 14 of Legislative Decree No. 39 of 27 January 2010 and article 10 of Regulation (EU) No. 537/2014*

 

To the Shareholders of

Banca Monte dei Paschi di Siena SpA

***Report on the Audit of the Consolidated Financial Statements***

***Opinion***

We have audited the consolidated financial statements of Monte dei Paschi di Siena Group (the Group), which comprise the consolidated balance sheet as of 31 December 2024, the consolidated income statement, consolidated statement of comprehensive income, consolidated statement of changes in equity, consolidated cash flow statement for the year then ended, and notes to the consolidated financial statements, including material accounting policy information.

In our opinion, the consolidated financial statements give a true and fair view of the financial position of the Group as of 31 December 2024, and of the results of its operations and cash flows for the year then ended in accordance with IFRS Accounting Standards as issued by the International Accounting Standards Board and adopted by the European Union, as well as with the regulations issued to implement article 9 of Legislative Decree No. 38/05 and article 43 of Legislative Decree No. 136/15.

***Basis for Opinion***

We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the *Auditor's Responsibilities for the Audit of the Consolidated Financial Statements* section of this report. We are independent of Banca Monte dei Paschi di Siena SpA (the "Bank" or the "Parent Company") pursuant to the regulations and standards on ethics and independence applicable to audits of financial statements under Italian law. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

***Key Audit Matters***

Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the consolidated financial statements of the current period. These matters were addressed in the context of our audit of the consolidated financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

677

  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

![](tm2518026d1_ex99-4imgpwc.jpg)

---

| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |
| <br> **Valuation of loans to customers measured at amortised cost**<br>*Notes to the consolidated financial statements: Part A – Accounting policies;*<br> *Part B – Information on the consolidated balance sheet, Section 4 – Financial assets measured at amortised cost;*<br> *Part C – Information on the consolidated income statement, Section 8 – Net impairment (losses) /reversals for credit risk;*<br> *Part E – Information on risks and hedging policies, Section 2 – Risks of prudential consolidation, paragraph 1.1 – Credit risk.*<br>Loans to customers as at 31 December 2024 represent the predominant part of line item 40 b) "*Financial assets measured at amortised cost – loans to customers*" which shows a balance equal to Euro 87,160 million, corresponding to 71 per cent of the total assets of the financial statements.<br>Net impairment losses on loans to customers recognised in the year amounted to Euro 406 million (line item 130 a) in the income statement).<br>Special attention was paid to the valuation of the above-said loans as part of the audit because of the materiality of the value of loans in relation to the financial statements, as a whole, as well as because the related impairment losses consist of estimates made by the directors which incorporate elements of subjectivity and complexity related to the complex valuation processes, methods and assumptions utilised.<br>The use of significant assumptions in the estimation processes specifically regards, besides the verification of the significant increase in credit risk for the allocation of the portfolios to the various risk stages, the determination of parameters used in the models to calculate the expected loss on a collective basis and, for loans being assessed on an individual basis, the estimation of the expected future cash flows | <br> In performing the audit, we considered the internal control system relevant to the preparation of the financial statements in order to design audit procedures that were appropriate in the circumstances.<br>In order to address this key audit matter, the following main activities were performed, also with the support of PwC network experts:<br>· understanding, evaluation and verification of the operating effectiveness of relevant controls over the IT systems and applications used;<br> · understanding and evaluation of the design of relevant controls as part of the monitoring, classification and valuation of loans and testing of the operating effectiveness of such controls;<br> · understanding and verification of the appropriateness of policies, procedures and models used to measure the significant increase in credit risk, for the allocation of the portfolios to the various risk stages and for measuring the expected loss both on an individual and collective basis, taking also into account the results of backtesting implemented by the Group;<br> · understanding and verification of the methods used to determine the main estimation parameters in the context of the models used to measure the expected loss on a collective basis, taking into account the adjustments made during the year to the models already used. We also verified the methods to determine management overlays which were required to take into account any potential worsening of credit risk linked to the current and future economic and financial<br> **** |

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<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

![](tm2518026d1_ex99-4imgpwc.jpg)

---

| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |
| <br> related to timing and the realisable value of the underlying guarantees, if any.<br>Furthermore, these estimation processes were also impacted by the change and update of the management overlays which were required to take into account any potential worsening of credit risk linked to the current and future economic and financial risks and uncertinties, including climate-environmental risks that are not currently factored in the models in use.<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> risks and uncertinties, including climate-environmental risks that are not currently factored in the models in use, in order to assess their reasonableness;<br>· verification, on a sample basis, of the reasonableness of the classification among performing loans (stage 1 and stage 2) and non-performing loans (stage 3) based on the available information on the status of the borrower and other pieces of information available, including external information;<br> · verification of the correct application of the measurement criteria established for loans classified as performing (stage 1 and stage 2), of the completeness and accuracy of the model input data used to determine the expected loss on a collective basis;<br> · with specific regard to non-performing loans (stage 3), taking into account the financial statement classification according to the categories under the applicable regulatory framework and the currently assumed recovery scenarios (sale or internal recovery), for loans assessed on an individual basis, we checked, on a sample basis, the reasonableness of the assumptions made to estimate the expected credit loss with particular reference to the identification and quantification of the expected future cash flows from the recovery activities, to the evaluation of the guarantees backing these exposures and to the estimate of the recovery times;<br> · for non-performing loans valued on a collective basis, we verified the correct determination of the main estimation parameters within the model used, as well as the completeness and accuracy of the model input data; |

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  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

![](tm2518026d1_ex99-4imgpwc.jpg)

---

| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |
|  | <br> · benchmark analysis procedures on the customer loan portfolio and related coverage levels and analysis of the most significant fluctuations, taking into consideration loss forecasts within and outside the Group (such as the Financial Stability Report issued by the Bank of Italy) and discussing the most significant changes and the elements characterizing the loan portfolio with management;<br> · critical reading of the minutes of the corporate governance bodies and the correspondence with the Supervisory Authorities;<br> · performance of audit procedures on subsequent events as at the reporting date;<br> · acquisition of specific written representations from management;<br> · check of the completeness and adequacy of the disclosures provided in accordance with the provisions of international accounting standards, the applicable regulatory framework, as well as with the notices and recommendations issued by the Supervisory Authorities and standard setters. |

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680

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

![](tm2518026d1_ex99-4imgpwc.jpg)

---

| | |
|:---|:---|
| **Evaluation of legal risks**  |  |
| *Notes to the consolidated financial statements: Part A – Accounting policies;*<br> *Part B – Information on the consolidated balance sheet, Section 10 – Provisions for risks and charges;*<br> *Part C – Information on the consolidated income statement, Section 13 – Net provisions for risks and charges;*<br> *Part E – Information on risks and hedging policies, Section 2 – Risks of prudential consolidation, paragraph 1.5 – Operational risks.*<br>The Parent Company is exposed to civil disputes and to the effects of rulings due to criminal proceedings, with reference to the financial information publicly disseminated in the period from 2008 to 2015, for which the damages requested remain significant, despite the positive outcome of certain civil and criminal judgments related thereto.<br>Moreover, the Parent Company is exposed to risks linked to representations and warranties given in the disposal and derecognition of non-performing loans.<br>Net provisions for risks and charges amounted in the year to Euro 68 million (line item 200 b) in the income statement), of which Euro 157 million related to new provisions in the year and Euro 89 million related to reversals.<br>The evaluation process of these legal risks that the Group performed with the support also of its legal counsel and other external experts, with particular reference to provisions related to civil and criminal disputes deriving from information publicly disseminated in the period from 2008-2015, as well as the provisions linked to representations and warranties given in the disposal and derecognition of non-performing loans, is considered a key audit matter, for the aggregate high value of the damages requested related to these risks, as well as because | In performing the audit, we considered the internal control system relevant to the preparation of the financial statements in order to design audit procedures that were appropriate in the circumstances.<br>In order to address this key audit matter, the following main activities were performed, also with the support of PwC network experts:<br>· understanding and evaluation of the design of relevant controls implemented by the Group in relation to the management and assessment of legal risks and verification of the operating effectiveness of such controls;<br> · obtainment and analysis of the written confirmation from the Group's legal advisors about their considerations on the evolution of the pending lawsuits, the possibility of loss, as well as the main information used;<br> · analysis of the reasonableness of the directors' assumptions for estimating provisions and reversals made, in addition to the methods and conclusions included in the reports prepared by the external experts engaged by the Group;<br> · performance of procedures to validate the completeness and accuracy of the data used to determine the provisions for risks and charges;<br> · critical reading of the minutes of the corporate governance bodies and the correspondence with the Supervisory Authorities;<br> · performance of audit procedures on subsequent events as at the reporting date;<br> · acquisition of specific written representations from management; |

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681

  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

![](tm2518026d1_ex99-4imgpwc.jpg)

---

| | |
|:---|:---|
| estimating the associated charges requires management to make use of estimates which, by their very nature, are marked by a high degree of subjectivity. | · verification of the completeness and adequacy of disclosures connected with the key audit matter in question, with reference also to the requirements of the applicable accounting standards. |
| **Recoverability of deferred tax assets** |  |
| <br>*Notes to the consolidated financial standards: Part A – Accounting policies;*<br> *Part B – Information on the consolidated balance sheet, Section 11 – Tax assets and liabilities;*<br> *Part C – Information on the consolidated income statement, Section 21 – Tax expense (recovery) on income from continuing operations.*<br>As of 31 December 2024, the Group recorded Euro 2,078 million in the asset line item 110 "Tax assets" for net deferred tax assets ("DTA") related to tax losses that cannot be converted into tax credits and other deductible temporary differences, whose recoverability depends on the availability of taxable income in the future. The income statement line item 300 "Tax (expense)/recovery on income from continuing operations" amounted to Euro 508 million, mainly related to the positive effect of the DTA assessment, equal to Euro 987 million.<br>The assessment of the recoverability of these assets is a key audit matter because they are significant in value with respect to the financial statements, taken as a whole, and because their valuation is based on an estimation process (probability test), which entails using assumptions and parameters, considering their very nature, that include a high degree of subjectivity.<br>Specifically, the aforesaid estimation process relies on prospective income statement projections, consistent with the 2024-2028 Group Business Plan approved by the Board of Directors of the Parent Company on 5 August 2024, which must be supplemented by valuation assumptions such as (i) the determination of taxable income that is expected to be realised in the time-period | <br>In performing the audit, we considered the internal control system relevant to the preparation of the financial statements in order to design audit procedures that were appropriate in the circumstances.<br>Specifically, in order to address this key audit matter, the following main activities were performed, also with the support of PwC network experts:<br>· understanding and evaluation of the process and methodology adopted by the directors to carry out the probability test;<br> · check of the consistency of the methodology adopted with the provisions of the applicable international financial reporting standard, taking into account professional practices, as well as the notices and recommendations of the Supervisory Authorities and standard setters;<br> · assessment, including through a check of external data, where available, of the reasonableness of the main qualitative and quantitative assumptions (revenue flows, discount and growth rates) and of the different types of deductible temporary differences based on the applicable tax legislation, used to prepare the probability test;<br> · analysis of the reasonableness of the prospective income statement projections used and verification of the consistency with the 2024-2028 Group Business Plan; |

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<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

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| | |
|:---|:---|
| considered for the recovery of DTAs, (ii) the growth rates used for the projection of future taxable income and the probability that there will be future taxable income, (iii) the extent of the foreseeable time-period for the recovery of DTAs, (iv) the correct interpretation of the applicable tax legislation. | · verification of the mathematical accuracy of calculations underlying the probability test and the correctness of the calculations performed;<br> · critical reading of the minutes of the corporate governance bodies and the correspondence with the Supervisory Authorities;<br> · acquisition of specific written representations from management;<br> · check of the completeness and adequacy of disclosures provided by the directors in the notes to the consolidated financial statements in accordance with international financial reporting requirements and the applicable regulatory framework, as well as with the notices and recommendations issued by the Supervisory Authorities and standard setters. |

---

***Responsibilities of the Directors and the Board of Statutory Auditors for the Consolidated Financial Statements***

The directors are responsible for the preparation of consolidated financial statements that give a true and fair view in accordance with IFRS Accounting Standards as issued by the International Accounting Standards Board and adopted by the European Union, as well as with the regulations issued to implement article 9 of Legislative Decree No. 38/05 and article 43 of Legislative Decree No. 136/15 and, in the terms prescribed by law, for such internal control as they determine is necessary to enable the preparation of consolidated financial statements that are free from material misstatement, whether due to fraud or error.

The directors are responsible for assessing the Group's ability to continue as a going concern and, in preparing the consolidated financial statements, for the appropriate application of the going concern basis of accounting, and for disclosing matters related to going concern. In preparing the consolidated financial statements, the directors use the going concern basis of accounting unless they either intend to liquidate the parent company Banca Monte dei Paschi di Siena SpA or to cease operations, or have no realistic alternative but to do so.

The board of statutory auditors is responsible for overseeing, in the terms prescribed by law, the Group's financial reporting process.

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  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

![](tm2518026d1_ex99-4imgpwc.jpg)

***Auditor's Responsibilities for the Audit of the Consolidated Financial Statements***

Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the consolidated financial statements.

As part of our audit conducted in accordance with International Standards on Auditing (ISA Italia), we exercised professional judgement and maintained professional scepticism throughout the audit. Furthermore:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· We
 identified and assessed the risks of material misstatement of the consolidated financial
 statements, whether due to fraud or error; we designed and performed audit procedures responsive
 to those risks; we obtained audit evidence that is sufficient and appropriate to provide
 a basis for our opinion. The risk of not detecting a material misstatement resulting from
 fraud is higher than for one resulting from error, as fraud may involve collusion, forgery,
 intentional omissions, misrepresentations, or the override of internal control;

· We obtained an understanding of internal control
 relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing
 an opinion on the effectiveness of the Group's internal control;

· We evaluated the appropriateness of accounting
 policies used and the reasonableness of accounting estimates and related disclosures made by the directors;

· We
 concluded on the appropriateness of the directors' use of the going concern basis of
 accounting and, based on the audit evidence obtained, whether a material uncertainty exists
 related to events or conditions that may cast significant doubt on the Group's ability
 to continue as a going concern. If we conclude that a material uncertainty exists, we are
 required to draw attention in our auditor's report to the related disclosures in the
 consolidated financial statements or, if such disclosures are inadequate, to modify our opinion.
 Our conclusions are based on the audit evidence obtained up to the date of our auditor's
 report. However, future events or conditions may cause the Group to cease to continue as
 a going concern;

· We
 evaluated the overall presentation, structure and content of the consolidated financial statements,
 including the disclosures, and whether the consolidated financial statements represent the
 underlying transactions and events in a manner that achieves fair presentation;

· We
 obtained sufficient appropriate audit evidence regarding the financial information of the
 entities or business activities within the Group to express an opinion on the consolidated
 financial statements. We are responsible for the direction, supervision and performance of
 the group audit. We remain solely responsible for our audit opinion on the consolidated financial
 statements.

We communicated with those charged with governance, identified at an appropriate level as required by ISA Italia regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identified during our audit.

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<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

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We also provided those charged with governance with a statement that we complied with the regulations and standards on ethics and independence applicable under Italian law and communicated with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, actions taken to eliminate the related risks, or safeguards applied.

From the matters communicated with those charged with governance, we determined those matters that were of most significance in the audit of the consolidated financial statements of the current period and are therefore the key audit matters. We described these matters in our auditor's report.

***Additional Disclosures required by Article 10 of Regulation (EU) No. 537/2014***

On 11 April 2019, the shareholders of Banca Monte dei Paschi di Siena SpA engaged us to perform the legal audit of the stand-alone and the consolidated financial statements for the years ending 31 December 2020 to 31 December 2028.

We declare that we did not provide any prohibited non-audit services referred to in article 5, paragraph 1, of Regulation (EU) No. 537/2014 and that we remained independent of the Bank in conducting the statutory audit.

We confirm that the opinion on the consolidated financial statements expressed in this report is consistent with the additional report to the board of statutory auditors, in its capacity as audit committee, prepared pursuant to article 11 of the aforementioned Regulation.

***Report on Compliance with other Laws and Regulations***

***Opinion on compliance with the provisions of Commission Delegated Regulation (EU) 2019/815***

The directors of Banca Monte dei Paschi di Siena SpA are responsible for the application of the provisions of Commission Delegated Regulation (EU) 2019/815 concerning regulatory technical standards on the specification of a single electronic reporting format (ESEF - European Single Electronic Format) (hereinafter, the "Commission Delegated Regulation") to the consolidated financial statements as of 31 December 2024, to be included in the annual report.

We have performed the procedures specified in auditing standard (SA Italia) No. 700B in order to express an opinion on the compliance of the consolidated financial statements with the provisions of the Commission Delegated Regulation.

In our opinion, the consolidated financial statements as of 31 December 2024 have been prepared in the XHTML format and have been marked up, in all significant respects, in compliance with the provisions of the Commission Delegated Regulation.

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  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

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***Opinions and statement in accordance with article 14, paragraph 2, letters e), e-bis) and e-ter) of Legislative Decree No. 39/10 and with article 123-bis, paragraph 4, of Legislative Decree No. 58/98***

The directors of Banca Monte dei Paschi di Siena SpA are responsible for preparing a report on operations and a report on the corporate governance and ownership structure of the Monte dei Paschi di Siena Group as of 31 December 2024, including their consistency with the relevant consolidated financial statements and their compliance with the law.

We have performed the procedures required under auditing standard (SA Italia) No. 720B in order to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· express
 an opinion on the consistency of the report on operations and of the specific information
 included in the report on corporate governance and ownership structure referred to in article
 123-bis, paragraph 4, of Legislative Decree No. 58/98, with the consolidated financial statements;

· express
 an opinion on the compliance with the law of the report on operations, excluding the section
 on the consolidated sustainability reporting, and of the specific information included in
 the report on corporate governance and ownership structure referred to in article 123-bis,
 paragraph 4, of Legislative Decree No. 58/98;

· issue
 a statement on material misstatements, if any, in the report on operations and in the specific
 information included in the report on corporate governance and ownership structure referred
 to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98.

In our opinion, the report on operations and the specific information included in the report on corporate governance and ownership structure referred to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98 are consistent with the consolidated financial statements of the Monte dei Paschi di Siena Group as of 31 December 2024.

Moreover, in our opinion, the report on operations, excluding the section on the consolidated sustainability reporting, and the specific information included in the report on corporate governance and ownership structure referred to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98 are prepared in compliance with the law.

With reference to the statement referred to in article 14, paragraph 2, letter e-ter), of Legislative Decree No. 39/10, issued on the basis of our knowledge and understanding of the company and its environment obtained in the course of the audit, we have nothing to report.

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<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

![](tm2518026d1_ex99-4imgpwc.jpg)

Our opinion on compliance with the law does not extend to the section of the report on operations relating to the consolidated sustainability reporting. The conclusions on the compliance of that section with the rules governing its preparation and on compliance with the disclosure requirements established by article 8 of Regulation (EU) 2020/852 are expressed by ourselves in the report prepared in accordance with article 14-bis of Legislative Decree No. 39/10.

Florence, 24 March 2025

PricewaterhouseCoopers SpA

*Signed by*

Marco Palumbo<br> (Partner)

*As disclosed by the Directors, the accompanying consolidated financial statements of Monte dei Paschi di Siena Group constitute a non-official version which is not compliant with the provisions of the Commission Delegated Regulation (EU) 2019/815. This independent auditor's report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative.*

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  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

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***Independent auditor's limited assurance report on the consolidated sustainability report***

*in accordance with article 14-bis of Legislative Decree No. 39 of 27 January 2010*

To the Shareholders of

Banca Monte dei Paschi di Siena SpA

***Conclusion***

In accordance with articles 8 and 18, paragraph 1, of Legislative Decree No. 125 of 6 September 2024 (hereinafter, the "Decree"), we have undertaken a limited assurance engagement on the consolidated sustainability report of the Monte dei Paschi di Siena Group (hereinafter, also the "Group") for the year ended 31 December 2024 prepared in accordance with article 4 of the Decree, presented in the specific section of the consolidated report on operations.

Based on the procedures performed, nothing has come to our attention that causes us to believe that:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 consolidated sustainability report of the Monte dei Paschi di Siena Group for the year ended
 31 December 2024 is not prepared, in all material respects, in accordance with the reporting
 criteria adopted by the European Commission pursuant to Directive (EU) 2013/34/EU (*European Sustainability Reporting Standards* hereinafter, the "ESRS");

&nbsp;&nbsp;&nbsp;&nbsp;· the
 information set out in paragraph "Disclosure pursuant to Article 8 of Regulation (EU)
 2020/852 (Taxonomy Regulation)" of the consolidated sustainability report is not prepared,
 in all material respects, in accordance with article 8 of Regulation (EU) No. 852 of 18 June
 2020 (hereinafter, the "Taxonomy Regulation").

***Basis for conclusion***

We conducted our limited assurance engagement in accordance with the Standard on Sustainability Assurance Engagements - SSAE (Italia). The procedures performed in a limited assurance engagement vary in nature and timing from, and are less in extent than for a reasonable assurance engagement. Consequently, the level of assurance obtained in a limited assurance engagement is substantially lower than the assurance that would have been obtained had a reasonable assurance engagement been performed. Our responsibilities under the Standard are further described in the *Auditor's responsibilities for the limited assurance conclusion on the consolidated sustainability report* section of this report.

We are independent in accordance with the principles of ethics and independence applicable to assurance engagements on consolidated sustainability reporting under Italian law.

688

<u>BANCA MONTE DEI PASCHI DI SIENA</u>  

![](tm2518026d1_ex99-4imgpwc.jpg)

Our firm applies International Standard on Quality Management ISQM (Italia) 1 which requires the firm to design, implement and operate a system of quality management including policies or procedures regarding compliance with ethical requirements, professional standards and applicable legal and regulatory requirements.

We believe that the evidence we have obtained is sufficient and appropriate to provide a basis for our conclusion.

***Other matters***

The consolidated sustainability report for the year ended 31 December 2024 contains, in paragraph "Disclosure pursuant to Article 8 of Regulation (EU) 2020/852 (Taxonomy Regulation)", the comparative information referred to in article 8 of the Taxonomy Regulation in relation to the year ended 31 December 2023, which was not subject to any assurance procedures.

***Responsibilities of the directors and the board of statutory auditors of Banca Monte dei Paschi di Siena SpA for the consolidated sustainability report***

The directors are responsible for developing and implementing the procedures adopted to identify the information included in the consolidated sustainability report in accordance with the provisions of the ESRS (hereinafter, the "materiality assessment process") and for describing those procedures in paragraph "Double materiality analysis" of "Section 1 – General Information" of the consolidated sustainability report.

The directors are also responsible for preparing the consolidated sustainability report, which contains the information identified through the materiality assessment process, in accordance with the provisions of article 4 of the Decree, including:

&nbsp;&nbsp;&nbsp;&nbsp;· its
 compliance with the ESRS;

&nbsp;&nbsp;&nbsp;&nbsp;· its
 compliance with article 8 of the Taxonomy Regulation of the information set out in paragraph
 "Disclosure pursuant to Article 8 of Regulation (EU) 2020/852 (Taxonomy Regulation)".

That responsibility involves designing, implementing and maintaining, in the terms prescribed by law, such internal control as they determine is necessary to enable the preparation of a consolidated sustainability report in accordance with article 4 of the Decree that is free from material misstatement, whether due to fraud or error. That responsibility also involves selecting and applying appropriate methods for processing the information, as well as developing hypotheses and estimates about specific items of sustainability information that are reasonable in the circumstances.

The board of statutory auditors is responsible for overseeing, in the terms prescribed by law, compliance with the Decree.

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  <u>2024 Financial Statements - Independent Auditors' report on the financial statements</u>

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***Inherent limitations in the preparation of the consolidated sustainability report***

As reported in paragraph "Strategy, business model and value chain" of "Section 1 – General information", for the purpose of reporting forward-looking information in accordance with ESRS, the directors are required to prepare such information on the basis of assumptions, described in the consolidated sustainability report, about future events and possible future actions by the Group. Because of the uncertainty connected with any future event, in terms both of occurrence and of the extent and timing of occurrence, variances between actual results and forward-looking information may be significant.

As reported in paragraph "Basis for presentation" of "Section 1 – General information", the disclosure provided by the Group about Scope 3 emissions is subject to greater inherent limitations compared with Scope 1 and 2 emissions, because of the poor availability and relative accuracy of the information used to define both qualitative and quantitative information on Scope 3 emissions related to the value chain.

***Auditor's responsibilities for the limited assurance conclusion on the consolidated sustainability report***

Our objectives are to plan and perform procedures to obtain limited assurance about whether the consolidated sustainability report is free from material misstatement, whether due to fraud or error, and to issue a limited assurance report that contains our conclusion. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the decisions of users taken on the basis of the consolidated sustainability report.

As part of our engagement designed to achieve limited assurance in accordance with the Standard on Sustainability Assurance Engagements - SSAE (Italia), we exercised professional judgement and maintained professional scepticism throughout the engagement.

Our responsibilities include:

&nbsp;&nbsp;&nbsp;&nbsp;· Performing
 risk assessment procedures to identify the disclosures where a material misstatement, whether
 due to fraud or error, is likely to arise;

&nbsp;&nbsp;&nbsp;&nbsp;· Designing
 and performing procedures to verify the disclosures where a material misstatement is likely
 to arise. The risk of not detecting a material misstatement resulting from fraud is higher
 than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions,
 misrepresentations, or the override of internal control;

&nbsp;&nbsp;&nbsp;&nbsp;· Directing,
 supervising and performing a limited assurance engagement on the consolidated sustainability
 report and assuming full responsibility for the conclusion on the consolidated sustainability
 report.

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690

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4imgpwc.jpg)

***Summary of the work performed***

An engagement designed to obtain limited assurance involves performing procedures to obtain evidence as a basis for our conclusion.

The procedures performed were based on our professional judgement and included inquiries, primarily of personnel of Banca Monte dei Paschi di Siena SpA responsible for the preparation of the information presented in the consolidated sustainability report, analyses of documents, recalculations and other procedures designed to obtain evidence considered useful.

We performed the following main procedures:

&nbsp;&nbsp;&nbsp;&nbsp;· We understood the Group's business model and strategies, and the environment
in which it operates with reference to sustainability issues;

&nbsp;&nbsp;&nbsp;&nbsp;· We understood the processes underlying the generation, collection and management
of the qualitative and quantitative information included in the consolidated sustainability report;

&nbsp;&nbsp;&nbsp;&nbsp;· We understood the process implemented by the Group to identify and assess the material impacts, risks and
opportunities, in accordance with the double materiality principle, related to sustainability issues and, based on the information thus
obtained, we considered whether any contradictory items emerged that could point to the existence of sustainability issues not considered
by the Group in the materiality assessment process;

&nbsp;&nbsp;&nbsp;&nbsp;· We identified the disclosures where a material misstatement is likely to arise;

&nbsp;&nbsp;&nbsp;&nbsp;· We defined and performed procedures, based on our professional judgement, to address the risks of material
misstatement identified, including inquiries, comparative analysis procedures, as well as acquisition of documentary evidence, on a sample
basis, for certain information reported in the consolidated sustainability report;

&nbsp;&nbsp;&nbsp;&nbsp;· We understood the process implemented by the Group to identify the eligible exposures and to determine
the proportion aligned in accordance with the provisions of the Taxonomy Regulation, and we verified the related disclosures in the consolidated
sustainability report;

&nbsp;&nbsp;&nbsp;&nbsp;· We reconciled the information reported in the consolidated sustainability report with the information reported
in the consolidated financial statements in accordance with the applicable financial reporting framework, or with the accounting information
used for the preparation of the consolidated financial statements, or with management accounting information;

&nbsp;&nbsp;&nbsp;&nbsp;· We verified the structure and presentation of disclosures included in the consolidated
sustainability report in accordance with ESRS;

&nbsp;&nbsp;&nbsp;&nbsp;· We obtained a management representation letter.

Florence, 24 March 2025

PricewaterhouseCoopers SpA

*Signed by*

Marco Mancini<br> (Partner)

*This report has been translated from the Italian original solely for the convenience of international readers.*

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691

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**Annexes**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified income statement and balance sheet and the related statutory accounts

Reconciliation between the reclassified income statement as at 31 December 2024 and related statutory accounts

![](tm2518026d1_ex99-4sp13img001.jpg)

693

2024 Financial Statement - Annexes

![](tm2518026d1_ex99-4sp13img002.jpg)

694

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified income statement as at 31 December 2023 and related statutory accounts

![](tm2518026d1_ex99-4sp13img003.jpg)

695

2024 Financial Statement - Annexes

![](tm2518026d1_ex99-4sp13img004.jpg)

696

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified balance sheet and related statutory accounts as at 31 December 2024

![](tm2518026d1_ex99-4sp13img005.jpg)

697

2024 Financial Statement - Annexes

![](tm2518026d1_ex99-4sp13img006.jpg)

698

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified balance sheet and related statutory accounts as at 31 December 2023

![](tm2518026d1_ex99-4sp13img007.jpg)

699

2024 Financial Statement - Annexes

![](tm2518026d1_ex99-4sp13img008.jpg)

700

BANCA MONTE DEI PASCHI DI SIENA

Disclosure of Independent auditors' fees

Pursuant to the provisions of art. 149-duodecies of the Consob Issuers' Regulations, the table below provides information on the fees paid to the Independent Auditors PricewaterhouseCoopers SpA and to the companies belonging to the same network for the services detailed below:

---

| | | | |
|:---|:---|:---|:---|
| **31 12 2024** |  |  |  |
| **Type of services** | **PricewaterhouseCoopers S.p.a.** | **PwC network** | **Total** |
| Auditing | 1221 | 176 | 1397 |
| Other attestation services | 952 | 24 | 976 |
| **Total** | **2173** | **200** | **2373** |

---

Amounts are exclusive of V.A.T., ancillary expenses and CONSOB contribution.

701

2024 Financial Statement - Annexes

PENSION FUNDS – Defined benefit pension funds without plan assets

Obligation for "Supplementary Pension Fund for personnel of former Provveditori"

---

| | |
|:---|:---|
| **Accounting statemet as at 31 12 2024** | **(in units of Eur)** |
| **Opening balance as at 01 01 2024** | **1893927** |
| Increases | 291242 |
| &nbsp;&nbsp;&nbsp;- provisions for the year | 68356 |
| &nbsp;&nbsp;&nbsp;- Other | 222886 |
| Decreases | 264301 |
| &nbsp;&nbsp;&nbsp;- Benefit paid | 264301 |
| &nbsp;&nbsp;&nbsp;- Other |  |
| **Closing balance as at 31 12 2024** | **1920868** |

---

"Supplementary Pension Fund for personnel of former Credito Lombardo"

---

| | |
|:---|:---|
| **Accounting statemet as at 31 12 2024** | **(in units of Eur)** |
| **Opening balance as at 01 01 2024** | **1486738** |
| Increases | 42997 |
| &nbsp;&nbsp;&nbsp;- provisions for the year | 41718 |
| &nbsp;&nbsp;&nbsp;- Other | 1279 |
| Decreases | 195855 |
| &nbsp;&nbsp;&nbsp;- Benefit paid | 195855 |
| &nbsp;&nbsp;&nbsp;- Other | 4233 |
| **Closing balance as at 31 12 2024** | **1333880** |

---

702

![](tm2518026d1_ex99-4imgtop.jpg)

**Separate Annual report of Banca Monte dei Paschi di Siena**

![](tm2518026d1_ex99-4imgbtm.jpg)

![](tm2518026d1_ex99-4imgtop.jpg)

**Report on operations**

![](tm2518026d1_ex99-4imgbtm.jpg)

For more information on aspects not examined in this Report, please refer to the disclosure provided in the Consolidated Report on Operations

2024 ANNUAL REPORT - Report on operations

Results in brief

Below are the main figures of the income statement and balance sheet of Banca Monte dei Paschi di Siena as at 31 December 2024, calculated on the basis of the reclassified financial statements, the methods of which are illustrated in the section "Income statement and balance sheet reclassification principles" of this Report. The analytical details of the reclassifications made with respect to the required format, pursuant to the Bank of Italy Circular 262, are provided, with separate statements included in the annexes, also in compliance with the requirements of Consob with Communication no. 6064293 of 28 July 2006.

---

| | | | |
|:---|:---|:---|:---|
| **INCOME STATEMENT AND BALANCE SHEET FIGURES**<br>**MONTE DEI PASCHI DI SIENA BANK**<br>**INCOME STATEMENT FIGURES (EUR mln)** | **31 12 2024** | **31 12 2023** |<br>**Chg.** |
| Net interest income | 2178.8 | 2096.2 | 3.9% |
| Net fee and commission income | 1431.2 | 1288.5 | 11.1% |
| Other income from banking business | 186.1 | 202.6 | -8.1% |
| Other operating income and expenses | 14.1 | 21.2 | -33.4% |
| Total Revenues | 3810.3 | 3608.5 | 5.6% |
| Operating expenses | (1781.7) | (1755.2) | 1.5% |
| Cost of customer credit | (361.4) | (393.7) | -8.2% |
| Other value adjustments | (6.5) | (3.1) | n.m. |
| Net operating income (loss) | 1660.6 | 1456.5 | 14.0% |
| Non-operating items | (261.2) | 196.7 | n.m. |
| Net profit (loss) for the year | 1922.9 | 2021.5 | -4.9% |
| **BALANCE SHEET FIGURES AND INDICATORS (EUR mln)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Total assets | 122046.6 | 121890.2 | 0.1% |
| Loans to customers | 77537.6 | 77088.1 | 0.6% |
| Direct funding | 89872.7 | 86722.8 | 3.6% |
| Indirect funding | 95211.6 | 89719.0 | 6.1% |
| &nbsp;&nbsp;&nbsp;of which: assets under management | 54074.5 | 5162.8 | 4.7% |
| &nbsp;&nbsp;&nbsp;of which: assets under custody | 41137.1 | 38090.2 | 8.0% |
| Net equity | 11284.6 | 9641.7 | 17.0% |
| **OPERATING STRUCTURE** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Total headcount - end of period | 16291 | 16180 | 111 |
| Number of branches in Italy | 1312 | 1362 | (50) |

---

705

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | |
|:---|:---|:---|:---|
| **ALTERNATIVE PERFORMANCE MEASURES**<br>**MONTE DEI PASCHI DI SIENA BANK**<br>**PROFITABILITY RATIOS (%)** | **31 12 2024** | **31 12 2023** |<br>**Chg.** |
| Cost/Income ratio | 46.8 | 48.6 | -1.8 |
| ROE (on average equity) | 18.4 | 23.6 | -5.2 |
| Return on Assets (RoA) ratio | 1.6 | 1.7 | -0.1 |
| ROTE (Return on tangible equity) | 18.6 | 24.0 | -5.4 |
| **CREDIT QUALITY RATIOS (%)** | **31 12 2024** | **31 12 2023** | **Chg.** |
| Net NPE ratio | 2.4 | 2.2 | 0.2 |
| Gross NPL ratio | 3.8 | 3.7 | 0.1 |
| Rate of change of non-performing loans to customers | 5.6 | 15.6 | -10.0 |
| Bad loans to custormers/ Loans to Customers | 0.6 | 0.6 | n.m. |
| Loans to customers measured at amortised cost - Stage 2/Performing loans to customers measured at amortised cost | 13.2 | 12.7 | 0.5 |
| Coverage of non-performing loans to customers | 47.9 | 48.5 | -0.6 |
| Coverage of bad loans to customers | 65.7 | 67.4 | -1.7 |
| Provisioning | 0.47 | 0.51 | -0.04 |
| Texas Ratio | 27.7 | 30.4 | -2.7 |

---

**Cost/Income ratio:** ratio between Operating expenses (Administrative expenses and Net value adjustments to property, plant and equipment and intangible assets) and Total revenues (for the composition of this aggregate, see the reclassified income statement).

**Return On Equity (ROE):** ratio between the Net profit (loss) for the year and the average between the shareholders' equity (including Profit and Valuation Reserves) at the end of year and the shareholders' equity at the end of the previous year.

**Return On Assets (ROA):** ratio between the Net profit (loss) for the year and Total assets at the end of the year.

**Return On Tangible Equity (ROTE):** ratio between the Net profit (loss) for the year and the average between the tangible shareholders' equity<sup>1</sup> at the end of year and that at the end of the previous year.

**Net NPE Ratio:** ratio between net non-performing exposures to customers and total net exposures to customers, both net of assets under disposal (excluding government securities).

**Gross NPE Ratio:**<sup>2</sup> gross impact of non-performing loans (NPLs) calculated as the ratio between<sup>3</sup> Gross non-performing loans to customers and banks, net of disposal groups, and total Gross loans to customers and banks, net of disposal groups.

**Rate of change in non-performing loans to customers:** represents the annual rate of growth in Gross non-performing loans to customers based on the difference between annual balances.

**Coverage of non-performing loans to customers and coverage of non-performing loans to customers:** coverage ratio on Non-performing loans and Non-performing loans to customers is calculated as the ratio between the relative loss provisions and the corresponding gross exposures.

**Provisioning:** ratio between the cost of customer credit and the sum of loans to customers and the value of securities deriving from transfer/securitisation of non-performing loans.

**Texas Ratio:** ratio between Gross non-performing loans to customers and the sum, in the denominator, of the relative loss provisions and tangible shareholders' equity.

1 Book value of the Bank shareholders' equity inclusive of profit (loss) for the year, net of goodwill and other intangible assets.

2 EBA Risk Dashboard

3 Loans to banks include current accounts and sight deposits with banks and central banks classified as "Cash" under balance sheet assets.

706

2024 ANNUAL REPORT - Report on operations

---

| | | | |
|:---|:---|:---|:---|
| **REGULATORY MEASURES**<br>**MONTE DEI PASCHI DI SIENA BANK**<br>**CAPITAL RATIOS (%)** | **31 12 2024** | **31 12 2023** |<br>**Chg.** |
| Common Equity Tier 1 (CET1) ratio - phase in | 17.9 | 17.8 | 0.1 |
| Total Capital ratio - phase in | 20.3 | 21.4 | -1.1 |

---

In determining the capital ratios, the "**phase-in**" (or "transitional") version represents the application of calculation rules according to the regulatory framework in force at the reporting date.

**Common equity Tier 1 (CET1) ratio:** ratio between Common Equity Tier 1 and total Risk-Weighted Assets.

**Total capital ratio:** ratio between Own Funds and total Risk-Weighted Assets.

707

BANCA MONTE DEI PASCHI DI SIENA

Analysis of the key economic-financial indicators of Banca Monte dei Paschi di Siena

Reclassified accounts

The balance sheet and income statement are shown below in reclassified form according to management criteria in order to provide an indication of the Bank's general performance based on economic and financial information that can be quickly and easily determined.

A disclosure is provided below on the aggregations and main reclassifications systematically performed with respect to the financial statements established by Circular no. 262/05.

Income statement reclassification principles

&nbsp;&nbsp;&nbsp;&nbsp;● The item "**Net Interest Income**" includes the balance of financial statement items
 10 "Interest Income and Similar Income" and 20 "Interest Expense and Similar Charges".

● The item "**Net fee and commission income**" includes the balance of financial statement
 item 40 "Fee and commission income", after deducting the cost of reimbursements to customers (EUR -1.3 mln), reported
 under "Other net provisions for risks and charges" and the balance of financial statement item 50 "Fee and commission
 expense".

● The item "**Dividends, similar income and profit (losses) on investments**" includes
 Item 70 of the financial statements "Dividends and similar income" net of the dividends earned on equity securities other
 than equity investments (EUR +5.2 mln), reclassified under item "Net profit from trading, the fair value measurement of assets/liabilities
 and Net gains on disposals/repurchases".

● The item "**Net profit from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/ repurchases**" includes the figures of items 80 "Net profit (loss) from trading",
 100 "Net gains (losses) on disposals/ repurchases", net of the contribution of loans to customers (EUR +0.5 mln) recognised
 in the reclassified item "Cost of customer credit" and 110 "Net profit (loss) from other financial assets and liabilities
 measured at fair value through profit or loss", net of the contribution from loans to customers (EUR -1.3 mln) and securities
 deriving from the transfer/ securitisation of non-performing loans (EUR +0.6 mln), recognised in the reclassified item "Cost
 of customer credit". In addition, the aggregate incorporates dividends earned on equity securities other than equity investments
 (EUR +5.2 mln).

● Item "**Net Profit from Hedging**" includes financial statement item 90 "Net
 Profit from Hedging".

● The item "Other operating income/expenses" includes the balance of item 200 "Other
 operating expenses/income" net of:

- recovery of indirect taxes and duties and other expenses, which are now under the reclassified item "Other administrative expenses" (EUR 205.5 mln); <br>- recovery of training expenses, reclassified as decreases in "Personnel expenses" (EUR 1.4 mln) and "Other administrative expenses" (EUR 1.2 mln).

&nbsp;&nbsp;&nbsp;&nbsp;● The item "**Personnel expenses**" includes the balance of financial statement item
 160a "Personnel expenses" minus charges of EUR 25.8 mln, related to early retirements or access to the Solidarity Fund,
 and charges of EUR 1.2 mln related to closure of the Shanghai branch, both reclassified under "Restructuring costs/one-off
 charges". The aggregate also includes the recovery of training costs (EUR 1.4 mln) recognised in the financial statements under
 item 200 "Other operating expenses/income".

● The item "**Other administrative expenses**" includes the balance of financial statement
 item 160b "Other administrative expenses", reduced by the following cost items:

---

| |
|:---|
| charges, amounting to EUR 71.1 mln, introduced for banks under the single resolution fund (SRF) and deposit protection mechanisms (Deposit Guarantee Schemes, DGS), attributed to the reclassified item "Risks and charges associated to SRF, DGS and Similar Schemes"; |
| charges, amounting to EUR 2.1 mln, referring to the newly established Life Insurance Guarantee Fund under Law no. 213 of 30 December 2023; |
| DTA fee, convertible into tax credit, for an amount of EUR 61.3 mln (posted to the reclassified item "DTA fee"); |

---

708

2024 ANNUAL REPORT - Report on operations

charges, amounting to EUR 8.3 mln, referring to branch closures - including the Shanghai branch - and other project initiatives included in the 2017 State Aid commitments, recognised under the reclassified item "Restructuring costs/ one-off charges".

This item also includes indirect taxes and duties and other expenses recovered from customers (EUR 205.5 mln) and the recovery of training costs (EUR 1.2 mln), which are posted in the balance sheet under item 200 "Other Operating Expenses/Income".

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net value adjustments to property, plant and equipment and intangible assets**" includes the values of the financial statement items 180 "Net Value Adjustments/recoveries on
Property, Plant and Equipment" and 190 "Net Value Adjustments/recoveries on Intangible Assets". Adjustments of EUR -0.3
mln referring to the closure of branches were separated from the aggregate, recognised under the reclassified item "Restructuring
Costs/One-off Charges".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Cost of customer credit**" includes the income
statement components relating to loans to customers of items 100a "Gains / losses on disposal or repurchase of financial assets
measured at amortised cost" (EUR +0.5 mln), 110b "Net profit (loss) on financial assets and liabilities mandatorily measured
at fair value through profit or loss" (EUR -1.3 mln), 130a "Net impairment (losses)/reversals for credit risk on financial
assets measured at amortised cost" (EUR -355.1 mln), 140 "Modification Gains/Losses" (EUR -9.9 mln) and 170a "Net
provisions for risks and charges: Net provisions relative to commitments and guarantees given" (EUR +3.8 mln). The item also includes
the income statement components relating to securities deriving from the transfer/securitisation of non-performing loans recognised in
item 110b "Net result of other Financial assets mandatorily measured at fair value" (EUR +0.6 million).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net Impairment(losses)/reversals on securities and loans to bank**" includes the portion relating to securities (EUR +0.1 mln) and loans to banks (EUR -6.0 mln) of item 130a "Net
impairment (losses)/reversals for credit risk of financial assets measured at amortised cost" and item 130b "Net impairment
(losses)/reversals for credit risk of financial assets measured at fair value through other comprehensive income" (EUR -0.6 mln).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Other net provisions for risks and charges** "
includes the balance of item 170 "Net provisions for risks and charges" less the component relating to loans to customers
of item 170a "commitments and guarantees given" (EUR +3.8 mln), which was reclassified to the specific item "Cost of
customer credit". The item also includes the cost for reimbursements to customers recognised as a reduction of "Fee and commission
income" for EUR -1.3 mln.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Other gains (losses) on equity investments** "
includes the balance of financial statement item 220 "Gains (losses) on investments".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Restructuring Costs/One-off Charges**" includes
the following amounts:

<sub> </sub>

- costs for EUR 25.8 mln relating to early retirements or access to the Solidarity Fund accounted for in financial statements item 190a "Personnel expenses";

*charges, amounting to EUR 9.8 mln, referring to branch closures - including the Shanghai branch - and other initiatives included in the 2017 State Aid commitments, under items 160a "Personnel expenses" (EUR -1.2 mln), 160b "Other administrative expenses" (EUR -8.3 mln) and 180 "Net value adjustments/recoveries on property, plant and equipment" (EUR -0.3 mln);* 

&nbsp;&nbsp;&nbsp;&nbsp;· The item "Risks and charges associated with SRF, DGS and similar schemes"
includes charges related to contributions to deposit guarantee schemes (EUR 71.1 mln) and the newly established Life Insurance Guarantee
Fund (EUR 2.1 mln) under Law no. 213 of 30 December 2023, both recognised under item 160b "Other administrative expenses".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**DTA fee**" includes charges relating to the fee
on DTAs that can be converted into a tax credit recognised under item 160b "Other administrative expenses", for EUR 61.3 mln.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Net Gains (Losses) on Property, Plant and Equipment and Intangible Assets Measured at Fair Value"** includes the balance of financial statement item 230 "Net Gains (Losses) on
Property, Plant and Equipment and Intangible Assets Measured at Fair Value".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· Item "**Gains (Losses) on Disposal of Investments**" includes
the balance of financial statement item 250 "Gains (Losses) on Disposal of Investments".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The item "**Income taxes for the year**" includes the balance
of item 270 "Income taxes for the year from current operations".

709

BANCA MONTE DEI PASCHI DI SIENA

Balance sheet reclassification principles

The following are the reclassification criteria adopted for drafting the reclassified balance sheet:

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Loans to Central Banks**" includes the
portion relating to operations with central banks of financial statement item 40 "Financial assets measured at amortised cost".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Loans to Banks**" includes the portion
relating to loans to banks of financial statement item 40 "Financial Assets Measured at Amortised Cost", item 20 "Financial
Assets Measured at Fair Value through Profit or Loss" and item 110 "Non-Current Assets Held for Sale and Disposal Groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Loans to Customers**" includes the portion relating to loans to customers of financial statement item 20 "Financial
Assets Measured at Fair Value through Profit or Loss", item 40 "Financial Assets Measured at Amortised Cost" and item
110 "Non-Current Assets Held for Sale and Disposal Groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Securities Assets**" includes the portion
relating to securities of financial statement item 20 "Financial Assets Measured at Fair Value through Profit or Loss", item
30 "Financial Assets Measured at Fair Value through Other Comprehensive Income", item 40 "Financial Assets Measured
at Amortised Cost" and item 110 "Non-Current Assets Held for Sale and Disposal Groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Derivatives**" includes the portion relating
to derivatives of financial statement items 20 "Financial Assets Measured at Fair Value through Profit or Loss" and 50 "Hedging
Derivatives".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Equity Investments**" includes financial
statement item 70 "Equity Investments" and the portion related to investments in item 110 "Non-Current Assets Held for
Sale and Disposal Groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Property, Plant and Equipment and Intangible Assets** "
includes financial statement item 80 "Property, Plant and Equipment", item 90 "Intangible Assets" and the amounts
related to property, plant and equipment and intangible assets in item 110 "Non-Current Assets Held for Sale and Disposal Groups".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The asset item "**Other Assets**" includes financial statement
item 60 "Change in Value of Macro-Hedged Financial Assets", item 120 "Other Assets", and the amounts in item
110 "Non-Current Assets Held for Sale and Disposal Groups" not included in the previous items.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Due to Customers**" includes financial
statement item 10b "Financial Liabilities Measured at Amortised Cost - Due to Customers" and the component relating to customer
securities of financial statement item 10c "Financial Liabilities Measured at Amortised Cost - Debt Securities Issued".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Securities Issued**" includes financial
statement item 10c "Financial Liabilities Measured at Amortised Cost - Debt Securities Issued", excluding the component relating
to customer securities, and item 30 "Financial Liabilities designated at Fair Value".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Due to central banks**" includes the
portion of item 10a "Financial liabilities measured at amortised cost - Due to banks" relating to operations with central
banks;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Due to banks**" includes the portion
of item 10a "Financial liabilities measured at amortised cost - Due to banks" relating to operations with banks (excluding
central banks);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**On-Balance-Sheet Financial Liabilities Held for Trading**" includes the portion of financial statement item 20 "Financial Liabilities Held for Trading" net of
the amounts relating to derivatives for trading.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Derivatives**" includes financial statement
item 40 "Hedging Derivatives" and the portion related to derivatives in financial statement item 20 "Financial Liabilities
Held for Trading".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Provision for Specific Use**" includes
financial statement items 90 "Employee Severance Pay" and 100 "Provisions for Risks and Charges".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Other Liabilities**" includes financial
statement items 50 "Change in Value of Macro-Hedged Financial Liabilities", 70 "Liabilities Associated with Disposal
Groups" and 80 "Other Liabilities".

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The liability item "**Shareholders' equity**" includes item 110 "Valuation reserves", item 120 "Redeemable shares", item 140 "Reserves",
item 160 "Share capital", item 170 "Treasury shares" and item 180 "Profit (Loss) for the year".

<sub> </sub>

710

2024 ANNUAL REPORT - Report on operations

Reclassified income statement

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Change** | **Change** |
| **Reclassified Income Statement**<br>**MONTE DEI PASCHI DI SIENA BANK** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Net interest income | 2178.8 | 2096.2 | 82.6 | 3.9% |
| Net fee and commission income | 1431.2 | 1288.5 | 142.7 | 11.1% |
| **Income from banking activities** | **3610.0** | **3384.7** | **225.3** | **6.7%** |
| Dividends, similar income and gains (losses) on investments | 53.1 | 137.0 | (83.9) | -61.2% |
| Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases | 133.9 | 70.2 | 63.7 | 90.7% |
| Net profit (loss) from hedging | (0.9) | (4.6) | 3.7 | -80.4% |
| Other operating income (expenses) | 14.1 | 21.2 | (7.1) | -33.4% |
| **Total Revenues** | **3810.3** | **3608.5** | **201.7** | **5.6%** |
| Administrative expenses: | (1625.3) | (1594.4) | (31.0) | 1.9% |
| &nbsp;&nbsp;&nbsp;a) personnel expenses | (1196.7) | (1149.6) | (47.1) | 4.1% |
| &nbsp;&nbsp;&nbsp;b) other administrative expenses | (428.7) | (444.8) | 16.1 | -3.6% |
| Net value adjustments to property, plant and equipment and intangible assets | (156.4) | (160.8) | 4.4 | -2.8% |
| **Operating expenses** | **(1781.7)** | **(1755.2)** | **(26.5)** | **1.5%** |
| **Pre-Provision Operating Profit** | **2028.6** | **1853.4** | **175.2** | **9.5%** |
| **Cost of customer credit** | **(361.4)** | **(393.7)** | **32.3** | **-8.2%** |
| **Net impairment (losses)/reversals on securities and loans to banks** | **(6.5)** | **(3.1)** | **(3.4)** | **n.m.** |
| **Net operating income** | **1660.6** | **1456.5** | **204.1** | **14.0%** |
| Net provisions for risks and charges | (66.4) | 472.8 | (539.2) | n.m. |
| Other gains (losses) on equity investments |  | (8.6) | 8.6 | -100.0% |
| Restructuring costs / One-off costs | (35.6) | (22.8) | (12.8) | 56.4% |
| Risks and charges associated to the SRF, DGS and similar schemes | (73.2) | (129.5) | 56.3 | -43.5% |
| DTA Fee | (61.3) | (62.9) | 1.7 | -2.7% |
| Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | (27.4) | (52.4) | 25.0 | (0.5) |
| Gains (losses) on disposal of investments | 2.7 | 0.1 | 2.6 | n.m. |
| **Profit (Loss) for the year before tax** | **1399.4** | **1653.2** | **(253.8)** | **-15.4%** |
| Tax (expense)/recovery on income from continuing operations | 523.5 | 368.3 | 155.2 | 42.1% |
| **Net profit (loss) for the year including non-controlling interests** | **1922.9** | **2021.5** | **(98.6)** | **-4.9%** |

---

711

BANCA MONTE DEI PASCHI DI SIENA

Revenue trends

As at 31 December 2024, the Bank achieved total **Revenues** of EUR 3,810 mln, up 5.6% compared to the previous year.

This trend is due to the growth in the Primary Net Interest, which increased both on the Net Interest Income (+3.9%) and on Net Fee and Commission income (+11.1%), whereas Other income from banking business decreased (-8.1%).

**Net Interest Income** as at 31 December 2024 amounted to **EUR 2,179 mln**, a +3.9% (EUR +82.6 mln) compared to 2023. The growth was mainly driven by the higher contribution from relations with central banks, hedging derivatives and the securities portfolio. In particular, in relations with central banks, a net benefit of EUR 118 mln was recognised as at 31 December 2024, compared to the net cost of EUR 89 mln for 2023. This performance reflects, among other things, the change in the net position vis-à-vis the ECB from an average debit balance of EUR 2.1 bn in 2023 to an average credit balance of EUR 4.3 bn in 2024, thanks to the optimisation of the total cost of funding. This positive trend more than offset the higher cost of bond issues – mainly caused by renewed recourse to the institutional market – and the higher borrowing rates recorded in transactions with customers, especially in the first half of 2024.

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Items** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Loans to customers measured at amortised cost | 2068.2 | 2366.2 | (298.0) | -12.6% |
| Loans to Banks measured at amortised cost | (36.8) | (76.0) | 39.2 | -51.6% |
| Loans to Central Banks | 117.8 | (89.2) | 207.0 | n.m. |
| Government securities and other non-bank issuers at amortised cost | 283.3 | 217.4 | 65.9 | 30.3% |
| Securiries issued | (472.9) | (382.4) | (90.5) | 23.7% |
| Hedging derivatives | (0.4) | (98.9) | 98.5 | -99.6% |
| Trading portfolios | 58.7 | 40.4 | 18.3 | 45.3% |
| Portfolios measured at fair value | 7.5 | 7.2 | 0.3 | 4.2% |
| **Net interest income** | **2178.8** | **2096.2** | **82.6** | **3.9%** |
| *of which: interest income on impaired financial assets* | *101.8* | *82.6* | *19.2* | *23.2 %* |

---

**Net fee and commission income** at 31 December 2024 amounted to **EUR 1,431 mln**, showing significant year-on-year growth (+11.1%), as a consequence of the positive trends in operating/brokerage and advisory activities (+19.3%; EUR +111.5 mln) and commercial banking activities (+4.4%; EUR +31.2 mln). In detail, in the first commissions area, the contribution of distribution and portfolio management increased (+31.9%; EUR +102.2 mln) and insurance products (+8.2%; EUR +14.5 mln). In the commercial banking area, there was a particularly positive contribution from commission income on guarantees (EUR +29.0 mln), other net fee and commission income (EUR +14.9 mln) and commission income on loans (EUR +7.5 mln), which were partly offset by lower commission income on current accounts (EUR -15.0 mln) in relation to the Bank's reduction of account maintenance costs applied to customers and on ATM and credit card services (EUR -10.3 mln).

712

2024 ANNUAL REPORT - Report on operations

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Service/value** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Loans | 250.0 | 242.5 | 7.5 | 3.1% |
| Current accounts | 212.2 | 227.2 | (15.0) | -6.6% |
| Payment services | 129.3 | 123.8 | 5.5 | 4.4% |
| Debit and credit cards | 73.3 | 83.6 | (10.3) | -12.3% |
| Guarantees issued and received | 31.2 | 2.2 | 29.0 | n.m. |
| Other net fees | 46.2 | 31.3 | 14.9 | 47.6% |
| **Commercial banking activities** | **742.0** | **710.8** | **31.2** | **4.4%** |
| Distribution and management portfolio | 422.5 | 320.3 | 102.2 | 31.9% |
| Distribution of insurance product | 191.9 | 177.4 | 14.5 | 8.2% |
| Placement of currency and securities | 62.5 | 67.2 | (4.7) | -7.0% |
| Other management and advisory fees and commissions | 12.2 | 12.8 | (0.6) | -4.7% |
| **Fees from mangement and advisory activities** | **689.2** | **577.7** | **111.5** | **19.3%** |
| **Net fees and commiccion income** | **1431.2** | **1288.5** | **142.7** | **11.1%** |

---

**Dividends, similar income and gains (losses) on equity investments** amounted to **EUR 53 mln**, down by EUR 137 mln compared to 2023, mainly relating to the reduced contribution of the insurance companies.

**Net profit (loss) from trading, fair-value measurement of assets/liabilities and gains on disposals/repurchases** at 31 December 2024 amounted to **EUR 134 mln**, an increase of EUR 64 mln compared to the previous year's figures. The analysis of the main aggregates shows the following:

&nbsp;&nbsp;&nbsp;&nbsp;· **Net profit (loss) from trading was EUR 133 mln**, compared to the EUR
+61 mln profit recorded in the previous year. The growth is mainly attributable to the contribution of business volumes deriving from
the management of transactions with institutional customers and corporate customers, market making activities and a favourable market
context.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Net gain (loss) from other assets/liabilities designated at fair value (offset through profit or loss)** of **EUR +10 mln,** compared to EUR -4 mln in 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **The gains (losses) from disposal/repurchase** (excluding loans to customers
at amortised cost) were negative at **EUR -9 mln**, compared to EUR +13 mln in 2023, mainly due to the restructuring of the investment
portfolio in support of net interest income.

713

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Items** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Financial assets held for trading | 82.1 | 176.9 | (94.8) | n.m |
| Financial liabilities held for trading | (0.3) | (65.9) | 65.6 | n.m |
| Exchange rate effects | 10.0 | (7.2) | 17.2 | n.m. |
| Derivatives | 41.2 | (43.1) | 84.3 | n.m. |
| **Trading results** | **133.0** | **60.7** | **72.3** | **n.m.** |
| Net profit (loss) from other financial assets and liabilities measured at fair value through profit or loss | 10.0 | (3.7) | 13.7 | n.m. |
| Disposal / repurchase (excluding loans to customers measured at amortised cost) | (9.1) | 13.3 | (22.4) | n.m. |
| **Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/ repurchases** | **133.9** | **70.2** | **63.7** | **90.8%** |

---

The following items are also included in Revenues:

&nbsp;&nbsp;&nbsp;&nbsp;· **Net profit (loss) from hedging was EUR -1 mln**, compared to EUR -5
mln the previous year.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Other operating income/expenses** amounted to **EUR 14 million** (compared
to the EUR +21 mln in the same period last year).

714

2024 ANNUAL REPORT - Report on operations

Operating costs: operating expenses

At 31 December 2024, **Operating expenses** were **EUR 1,782 mln**, an increase compared to 31 December 2023 (+1.5%) due to the impact on Personnel expenses of the renewal of the National Collective Labour Agreement, partially offset by the continued optimisation of Other administrative expenses (-3.6% compared to 2023). A closer look at the individual aggregates reveals the following:

&nbsp;&nbsp;&nbsp;&nbsp;· **Administrative expenses** amounted to **EUR 1,625 mln**, up compared
to 31 December 2023 (+1.9%). A breakdown of the aggregate shows:

<sub> </sub>

**Personnel Expenses**, which amounted to **EUR 1,197 mln**, are higher than those recorded in the corresponding period of the previous year (+4.1%), as a consequence of the increased costs resulting from the renewal of the National Collective Labour Agreement in November 2023;

**Other administrative expenses**, amounting to **EUR 429 million**, were down compared to 31 December 2023 (-3.6%), due in part to the implementation of a rigorous expenditure management process and the focus on cost optimisation.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net value adjustments to property, plant and equipment and intangible assets** totalled **EUR 156 mln** at 31 December 2024, down compared to 31 December 2023 (-2.8%).

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Type of transaction** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Wages and salaries | (860.0) | (828.8) | (31.2) | 3.8% |
| Social-welfare charges | (232.3) | (226.0) | (6.3) | 2.8% |
| Other personnel expenses | (104.4) | (94.8) | (9.6) | 10.1% |
| **Personnel expenses** | **(1196.7)** | **(1149.6)** | **(47.1)** | **4.1%** |
| Taxes | (208.1) | (195.4) | (12.7) | 6.5% |
| Furnishing, real estate and security expenses | (72.5) | (85.0) | 12.5 | -14.7% |
| General operating expenses | (156.7) | (159.9) | 3.2 | -2.0% |
| Information technology expenses | (108.4) | (98.1) | (10.3) | 10.5% |
| Legal and professional expenses | (59.7) | (58.1) | (1.6) | 2.8% |
| Indirect personnel costs | (4.8) | (4.6) | (0.2) | 4.3% |
| Insurance | (15.3) | (16.0) | 0.7 | -4.4% |
| Advertising, sponsorship and promotions | (1.0) | (1.2) | 0.2 | -16.7% |
| Other | (8.7) | (10.0) | 1.3 | -12.8% |
| Expenses recovery | 206.6 | 183.6 | 23.0 | 12.5% |
| **Other administrative expenses** | **(428.7)** | **(444.8)** | **16.1** | **-3.6%** |
| Property, plant and equipment | (95.2) | (99.9) | 4.7 | -4.7% |
| Intangible assets | (61.2) | (60.9) | (0.3) | 0.5% |
| **Net value adjustments to property, plant and equipment and intangible assets** | **(156.4)** | **(160.8)** | **4.4** | **-2.8%** |
| **Operating expenses** | **(1781.7)** | **(1755.2)** | **(26.5)** | **1.5%** |

---

As a result of these factors, the Bank's **Gross operating income** totalled **EUR 2,029 mln** (EUR 1,853 mln at 31 December 2023).

715

BANCA MONTE DEI PASCHI DI SIENA

Cost of customer credit

At 31 December 2024, the Bank recognised a **Cost of customer credit** equal to **EUR 361 mln**, down compared to EUR 394 mln of the previous year.

As at 31 December 2024, the ratio between the Cost of customer credit and the sum of Loans to customers and the value of securities deriving from transfer/securitisation transactions of non-performing loans expresses a **Provisioning Rate of 47 bps** (51 bps at 31 December 2023).

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Items** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Loans to customers measured at amortised cost | (354.5) | (371.6) | 17.1 | -4.6% |
| Modification gains/(losses) | (9.9) | (6.8) | (3.1) | 45.6% |
| Gains/(losses) on disposal/repurchase of loans to customers measured at amortised cost | 0.5 | 0.2 | 0.4 | n.m. |
| Net change of Loans to customers mandatorily measured at fair value | (1.3) | (0.5) | (0.8) | n.m. |
| Net provisions for risks and charges on commitments and guarantees issued | 3.8 | (15.0) | 18.8 | n.m. |
| **Cost of customer credit** | **(361.4)** | **(393.7)** | **32.4** | **-8.2%** |

---

The Bank's **Net operating income** at 31 December 2024 was **positive at approximately EUR 1,661 mln**, compared to positive EUR 1,457 mln in the previous year.

Non-operating income, tax and net profit (loss) for the year

**Net profit (loss) for the year** included the following items:

&nbsp;&nbsp;&nbsp;&nbsp;· **Other net provisions for risks and charges** amounted to **EUR -66 mln** at 31 December 2024, compared to net releases of EUR 473 mln recognised in the previous year (almost entirely due to the improved
litigation risk profile compared to previous years' financial disclosures as a result of the positive judgments issued in the last
quarter of 2023).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Gains (losses) on investments** were nil in 2024, compared to a loss
of EUR -9 mln in 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Restructuring costs/One-off costs** amounted to **EUR -36 mln**,
compared to the contribution of EUR -23 mln in 2023; include, in particular, the effect of discounting expenses relating to redundancies
or access to the Solidarity Fund.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Risks and charges associated to SRF, DGS and Similar Schemes** amounted
to **EUR -73 mln** at 31 December 2024, of which EUR -71 mln referred to the 2024 contribution to the deposit guarantee scheme (DGS)
and EUR -2 mln referred to the estimated contribution to the newly established Life Insurance Guarantee Fund. In 2023, a contribution
of EUR -59 mln was also recorded for the Single Resolution Fund (SRF), not payable in the current year.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· The **DTA fee** amounted to **EUR -61 mln** at 31 December 2024 (EUR
-63 mln at 31 December 2023). This amount, determined according to the criteria set forth in Italian Law Decree 59/2016 converted into
Italian Law no. 119 of 30 June 2016, represents the fee as at 31 December 2023 on DTA (Deferred Tax Assets) that can be converted into
a tax credit.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Net gains (losses) on property, plant and equipment and intangible assets measured at fair value** were equal to EUR -27 mln at 31 December 2024, as a result of the update to property valuations, compared to
the loss of EUR -52 mln recorded in 2023.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· **Gains (losses) on disposal of investments** for an amount of EUR +3
mln at 31 December 2024; the previous year's result was essentially nil.

As a result of these trends, the Bank's **Profit (loss) for the year before tax** amounted to **EUR 1,399 mln**, compared to the pre-tax profit of EUR 1,653 mln recorded in 2023 (which had benefited from the net releases in the item Provisions for risks and charges described above).

716

2024 ANNUAL REPORT - Report on operations

**Income tax for the year** recorded a positive contribution of **EUR 524 mln** (EUR 368 mln at 31 December 2023), mainly attributable to the revaluation of DTAs after the Group's income projections carried out based on the new 2024-2028 Business Plan, net of tax relating to profit for the year.

As a consequence of these trends, **Monte dei Paschi di Siena** recorded a **Profit of EUR 1,923 mln** for the year ending 31 December 2024, which compares to a profit of EUR 2,022 mln recorded in 2023 (which had benefited from the net releases in Provisions for risks and charges described above).

717

BANCA MONTE DEI PASCHI DI SIENA

Reclassified balance sheet

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Chg** | **Chg** |
| **Reclassified Balance Sheet**<br>**Attivit**à | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Cash and cash equivalents | 12976.6 | 13008.0 | (31.4) | -0.2% |
| Loans to central banks | 560.8 | 519.3 | 41.5 | 8.0% |
| Loans to banks | 2485.1 | 3020.8 | (535.7) | -17.7% |
| Loans to customers | 77537.6 | 77088.1 | 449.5 | 0.6% |
| Securities assets | 17387.2 | 17249.0 | 138.2 | 0.8% |
| Derivatives | 2418.4 | 2785.4 | (367.0) | -13.2% |
| Equity investments | 662.1 | 764.9 | (102.8) | -13.4% |
| Property, plant and equipment/Intangible assets | 2177.5 | 2372.5 | (195.0) | -8.2% |
| Tax assets | 2525.5 | 2140.0 | 385.5 | 18.0% |
| Other assets | 3315.8 | 2942.2 | 373.6 | 12.7% |
| **Total assets** | **122046.6** | **121890.2** | **156.4** | **0.1%** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Chg** | **Chg** |
| <br>**Liabilities** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Direct funding | 89872.7 | 86722.8 | 3149.9 | 3.6% |
| &nbsp;&nbsp;&nbsp;a) Due to customers | 79950.2 | 76621.8 | 3328.4 | 4.3% |
| &nbsp;&nbsp;&nbsp;b) Securities issued | 9922.5 | 10101.0 | (178.5) | -1.8% |
| Due to central banks | 8510.9 | 13148.2 | (4637.3) | -35.3% |
| Due to banks | 5322.1 | 4942.3 | 379.8 | 7.7% |
| On-balance-sheet financial liabilities held for trading | 1618.0 | 1823.2 | (205.2) | -11.3% |
| Derivatives | 1380.8 | 1403.6 | (22.8) | -1.6% |
| Provisions for specific use | 989.1 | 1034.2 | (45.1) | -4.4% |
| &nbsp;&nbsp;&nbsp;a) Provision for staff severance indemnities | 69.3 | 68.9 | 0.4 | 0.6% |
| &nbsp;&nbsp;&nbsp;b) Provision related to guarantees and other commitments given | 149.6 | 153.5 | (3.9) | -2.5% |
| &nbsp;&nbsp;&nbsp;c) Pension and other post-retirement benefit obligations | 3.3 | 3.4 | (0.1) | -2.9% |
| &nbsp;&nbsp;&nbsp;d) Other provisions | 766.9 | 808.4 | (41.5) | -5.1% |
| Other liabilities | 3068.4 | 3174.2 | (105.8) | -3.3% |
| Net equity | 11284.6 | 9641.7 | 1642.9 | 17.0% |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 52.6 | 20.1 | 32.5 | n.m. |
| &nbsp;&nbsp;&nbsp;d) Reserves | 1855.6 | 146.6 | 1709.0 | n.m. |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7453.5 | 7453.5 |  |  |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the year | 1922.9 | 2021.5 | (98.6) | -4.9% |
| **Total Liabilities and Shareholders' Equity** | **122046.6** | **121890.2** | **156.4** | **0.1%** |

---

718

2024 ANNUAL REPORT - Report on operations

Customer funding

At 31 December 2023, the Bank's Total funding amounted to around EUR 185.1 bn, up by EUR 8.6 bn compared to 31 December 2023, both in Direct funding (EUR +3.1 bn) and Indirect funding (EUR +5.5 bn).

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Chg Y/Y** | **Chg Y/Y** |
| <br>**Customer Funding** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Direct funding | 89872.7 | 86722.8 | 3149.9 | 3.6% |
| Indirect funding | 95211.6 | 89719.0 | 5492.6 | 6.1% |
| **Total funding** | **185084.3** | **176441.8** | **8642.5** | **4.9%** |

---

More specifically, volumes of **Direct funding**, which came to **EUR 89.9 bn**, posted an increase of EUR 3.1 bn compared to the value at the end of December 2023, thanks to an increase in Current accounts (EUR +1.7 bn), Term deposits (EUR +1.4 bn) and Repurchase Agreements (EUR +0.2 bn). Bond, on the other hand, were slightly down (-0.2 billion euro), while other forms of direct funding were essentially unchanged.

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Chg. Y/Y** | **Chg. Y/Y** |
| **Direct funding**<br>**Type of transaction** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Current accounts | 63933.3 | 62198.8 | 1734.5 | 2.8% |
| Time deposits | 5336.1 | 3942.7 | 1393.4 | 35.3% |
| Reverse repurchase agreements | 6800.1 | 6565.1 | 235.0 | n.m. |
| Bonds | 9922.5 | 10101.0 | (178.5) | -1.8% |
| Other types of direct funding | 3880.7 | 3915.2 | (34.5) | -0.9% |
| **Total** | **89872.7** | **86722.8** | **3149.9** | **3.6%** |

---

**Indirect funding** amounted to **EUR 95.2 bn** at the end of December, an increase of EUR 5.5 bn compared to 31 December 2023, due to both the growth in assets under management (EUR +2.4 bn), mainly linked to a positive market effect, and the increase in assets under administration (EUR +3.0 bn).

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Indirect Funding** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Assets under management | 54074.5 | 51628.8 | 2445.7 | 4.7% |
| &nbsp;&nbsp;&nbsp;Funds | 25545.6 | 23177.3 | 2368.3 | 10.2% |
| &nbsp;&nbsp;&nbsp;Individual Portfolio under Management | 4989.9 | 4679.7 | 310.2 | 6.6% |
| &nbsp;&nbsp;&nbsp;Bancassurance | 23539.1 | 23771.8 | -232.7 | -1.0% |
| Assets under custody | 41137.1 | 38090.2 | 3046.9 | 8.0% |
| &nbsp;&nbsp;&nbsp;Government securities | 18577.8 | 16906.1 | 1671.7 | 9.9% |
| &nbsp;&nbsp;&nbsp;Others | 22559.3 | 21184.1 | 1375.2 | 6.5% |
| **Total funding** | **95211.6** | **89719.0** | **5492.6** | **6.1%** |

---

719

BANCA MONTE DEI PASCHI DI SIENA

Loans to customers

At 31 December 2024, the Bank's **Loans to Customers** amounted to **EUR 77.5 bn**, slightly up from the end of December 2023 (EUR +0.4 bn). The increase in repurchase agreements (EUR +0.8 bn) and the increase in other loans (EUR +0.7 bn) were in fact only partly offset by the decline of mortgages (EUR -1.0 bn, penalised by the slowdown in demand, particularly recorded in the first half of the year, and the selective approach of the Group) and on current accounts (EUR -0.1 bn).

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  | **Change Y/Y** | **Change Y/Y** |
| **Loans to customers**<br>**Type of transaction** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| Current accounts | 2631.1 | 2721.1 | (90.0) | -3.3% |
| Mortgages | 49604.6 | 50635.3 | (1030.7) | -2.0% |
| Other forms of lending | 16411.4 | 15759.7 | 651.7 | 4.1% |
| Repurchase agreements | 7035.2 | 6230.0 | 805.2 | 12.9% |
| Non performing loans | 1855.3 | 1742.0 | 113.3 | 6.5% |
| **Total** | **77537.6** | **77088.1** | **449.5** | **0.6%** |
| Stage 1 | 65537.1 | 65673.9 | (136.8) | -0.2% |
| Stage 2 | 10003.1 | 9550.1 | 453.0 | 4.7% |
| Stage 3 | 1851.9 | 1738.1 | 113.8 | 6.5% |
| Purchased or originated credit impaired financial assets | 2.2 | 2.8 | (0.6) | -21.4% |
| Performing loans measured at fair value | 141.2 | 121.1 | 20.1 | 16.6% |
| Non-performing loans measured at fair value | 2.1 | 2.1 | (0.0) | 0.0% |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **Change Y/Y** | **Change Y/Y** |
| <br>**Loans to customers measured at amortised cost** | **Stage 1** | **Stage 2** | **Total loans<br> to customers<br> measured at<br> amortised cost** | **Stage 1** | **Stage 2** | **Total loans to<br> customers<br> measured at<br> amortised cost** | **Stage 1** | **Stage 2** |
| **Gross exposure** | 65647.7 | 10350.7 | **79551.4** | 65778.1 | 9916.8 | **79071.9** |  |  |
| **Adjustments** | 110.6 | 347.6 | **2157.1** | 104.2 | 366.7 | **2107.0** |  |  |
| **Net exposure** | 65537.1 | 10003.1 | **77394.3** | 65673.9 | 9550.1 | **76964.9** |  |  |
| **Coverage ratio** | 0.2% | 3.4% | **2.7%** | 0.2% | 3.7% | **2.7%** | 0.0% | -0.3% |
| **% on Loans to customers measured at amortised cost** | 84.7% | 12.9% | **100.0%** | 85.3% | 12.4% | **100.0%** | -0.6% | 0.5% |

---

720

2024 ANNUAL REPORT - Report on operations

Non-performing exposures of loans to customers

The Bank's **Total non-performing loans to customers** at 31 December 2024 amounted to **EUR 3.6 bn** in terms of gross exposure, up slightly compared to 31 December 2023 (EUR +0.2 bn). In particular:

&nbsp;&nbsp;&nbsp;&nbsp;· the gross exposure in terms of bad loans, amounting to EUR 1.2 bn, was essentially
slightly down compared to 31 December 2023 (EUR 1.3 bn);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the gross Unlikely to pay exposure, amounting to EUR 2.2 bn, was up slightly
compared to 31 December 2023 (EUR 2.0 bn);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the gross non-performing past-due loan exposure amounted to EUR 89.3 ml,
down from EUR 119.8 mln as at 31 December 2023.

At 31 December 2024, the Bank's **net exposure in terms of Non-performing Loans to Customers** was **EUR 1.9 bn**, slightly up compared to the figure as at 31 December 2023 (amounting to EUR 1.7 bn).

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Loans to customers** | **Loans to customers** | <br>**Bad loans** | <br>**Unlikely to**<br>**pay** | <br>**Non-performing**<br>**Past due**<br>**Loans** | **Total**<br>**Non-performing**<br>**loans to**<br>**customers** | <br>**Perfoming**<br>**loams** | <br>**Total** |
|  | Gross exposure | 1242.2 | 2229.3 | 89.3 | **3560.8** | 76140.5 | **79701.3** |
|  | Adjustments | 815.6 | 865.1 | 24.8 | **1705.5** | 458.2 | **2163.7** |
| **31 12 2024** | Net exposure | 426.6 | 1364.2 | 64.5 | **1855.3** | 75682.3 | **77537.6** |
|  | Coverage ratio | 65.7 | 38.8% | 27.8% | **47.9%** | 0.6% | **2.7%** |
|  | % on Loans to customers | 0.6 | 1.8% | 0.1% | **2.4%** | 97.6% | **100.0%** |
|  | Gross exposure | 1302.9 | 1961.9 | 119.8 | **3384.6** | 75817.0 | **79201.6** |
|  | Adjustments | 878.6 | 737.5 | 26.5 | **1642.6** | 470.9 | **2113.5** |
| **31 12 2023** | Net exposure | 424.3 | 1224.4 | 93.3 | **1742.0** | 75346.1 | **77088.1** |
|  | Coverage ratio | 67.4 | 37.6% | 22.1% | **48.5%** | 0.6% | **2.7%** |
|  | % on Loans to customers | 0.6 | 1.6% | 0.1% | **2.3%** | 97.7% | **100.0%** |

---

721

BANCA MONTE DEI PASCHI DI SIENA

Capital adequacy

Regulatory capital and statutory requirements

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. 31 12 2023** | **Chg. 31 12 2023** |
| <br>**Categories / Values** | **31 12 2024** | **31 12 2023** | **Abs.** | **%** |
| **OWN FUNDS** |  |  |  |  |
| Common Equity Tier 1 (CET1) | 8541.7 | 8439.5 | 102.2 | 1.21% |
| Tier 1 (T1) | 8541.7 | 8439.5 | 102.2 | 1.21% |
| Tier 2 (T2) | 1111.1 | 1679.4 | (568.3) | -33.84% |
| **Total capital (TC)** | **9652.8** | **10118.9** | **(466.1)** | **-4.61%** |
| **RISK-WEIGHTED ASSETS** |  |  |  |  |
| Credit and Counterparty Risk | 36075.8 | 35493.2 | 582.6 | 1.64% |
| Credit valuation adjustment risk | 261.6 | 398.2 | (136.6) | -34.30% |
| Market risks | 1840.2 | 2121.1 | (280.9) | -13.24% |
| Operational risk | 9445.7 | 9391.2 | 54.5 | 0.58% |
| **Total risk-weighted assets** | **47623.3** | **47403.7** | **219.6** | **0.46%** |
| **CAPITAL RATIOS** |  |  |  |  |
| **CET1 capital ratio** | **17.94%** | **17.80%** | **0.14%** |  |
| **Tier1 capital ratio** | **17.94%** | **17.80%** | **0.14%** |  |
| **Total capital ratio** | **20.27%** | **21.35%** | **-1.08%** | - |

---

722

2024 ANNUAL REPORT - Report on operations

Prospects and outlook on operations

Please refer to the corresponding section of the Consolidated Report on Operations, the contents of which are also valid for the Bank.

723

![](tm2518026d1_ex99-4imgtop.jpg)

**Separate Annual report**

![](tm2518026d1_ex99-4imgbtm.jpg)

![](tm2518026d1_ex99-4imgtop.jpg)

**Separate Financial statements**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Balance Sheet

(euro)

---

| | | | |
|:---|:---|:---|:---|
| **Assets** | **Assets** | **31 12 2024** | **31 12 2023** |
| 10. | Cash and cash equivalents | 12976582464 | 13007988916 |
| 20. | Financial assets measured at fair value through profit or loss | 6576882795 | 6300041534 |
|  | &nbsp;&nbsp;&nbsp;a) financial assets held for trading | 6123391603 | 5933941697 |
|  | &nbsp;&nbsp;&nbsp;c) other financial assets mandatorily measured at fair value | 453491192 | 366099837 |
| 30. | Financial assets measured at fair value through other comprehensive income | 2337360237 | 2451954593 |
| 40. | Financial assets measured at amortised cost | 91415420995 | 91248148670 |
|  | &nbsp;&nbsp;&nbsp;a) Loans to banks | 3783551145 | 4221984363 |
|  | &nbsp;&nbsp;&nbsp;b) Loans to customers | 87631869849 | 87026164307 |
| 50. | Hedging derivatives | 59383967 | 662012003 |
| 60. | Change in value macro-hedged financial assets (+/-) | (373500290) | (509161267) |
| 70. | Equity investments | 662090150 | 764873213 |
| 80. | Property, plant and equipment | 2042944695 | 2140537678 |
| 90. | Intangible assets | 134585495 | 156248000 |
| 100. | Tax assets | 2525462564 | 2140027418 |
|  | &nbsp;&nbsp;&nbsp;a) current | 102190557 | 308367948 |
|  | &nbsp;&nbsp;&nbsp;b) deferred | 2423272007 | 1831659470 |
| 110. | Non-current assets held for sale and disposal groups | 107528542 | 76231919 |
| 120. | Other assets | 3581835181 | 3451279157 |
|  | **Total assets** | **122046576795** | **121890181834** |

---

726

2024 ANNUAL REPORT - Separate Financial statements

continues: Balance Sheet

(euro)

---

| | | | |
|:---|:---|:---|:---|
| **Total Liabilities and Shareholders' Equity** | **Total Liabilities and Shareholders' Equity** | **31 12 2024** | **31 12 2023** |
| 10. | Financial liabilities measured at amortised cost | 103586021710 | 104702026311 |
|  | &nbsp;&nbsp;&nbsp;a) due to banks | 13832982610 | 18090517037 |
|  | &nbsp;&nbsp;&nbsp;b) due to customers | 79445143205 | 76485490449 |
|  | &nbsp;&nbsp;&nbsp;c) debts securities issued | 10307895895 | 10126018825 |
| 20. | Financial liabilities held for trading | 2652477543 | 2905740318 |
| 30. | Financial liabilities designated at fair value | 119670368 | 111325216 |
| 40. | Hedging derivatives | 346336703 | 321090184 |
| 50. | Change in value of macro-hedged financial liabilities (+/-) | (691978) | (16080698) |
| 60. | Tax liabilities |  | 4486 |
|  | &nbsp;&nbsp;&nbsp;a) current |  | 4486 |
| 80. | Other liabilities | 3069168186 | 3190195976 |
| 90. | Provision for employees severance pay | 69329924 | 68936172 |
| 100. | Provisions for risks and charges: | 919803842 | 965286162 |
|  | &nbsp;&nbsp;&nbsp;a) financial guarantees and other commitments | 149621531 | 153459660 |
|  | &nbsp;&nbsp;&nbsp;b) post-employment benefits | 3254748 | 3380665 |
|  | &nbsp;&nbsp;&nbsp;c) other provisions | 766927563 | 808445837 |
| 110. | Valuation reserves | 52554625 | 20069492 |
| 140. | Reserves | 1855556842 | 146612410 |
| 160. | Share capital | 7453450788 | 7453450788 |
| 180. | Profit (loss) (+/-) for the year | 1922898242 | 2021525017 |
|  | **Total Liabilities and Shareholders' Equity** | **122046576795** | **121890181834** |

---

727

BANCA MONTE DEI PASCHI DI SIENA

Income statement

(euro)

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **31 12 2024** | **31 12 2023** |
| 10. | Interest income and similar revenues | 4648861773 | 4308263936 |
|  | &nbsp;&nbsp;&nbsp;of which interest income calculated applying the effective interest rate method | 3841065127 | 3616814053 |
| 20. | Interest expense and similar charges | (2470139787) | (2212246492) |
| **30.** | **Net interest income** | **2178721986** | **2096017444** |
| 40. | Fee and commission income | 1595447706 | 1463121889 |
| 50. | Fee and commission expense | (165546650) | (170866745) |
| **60.** | **Net fee and commission income** | **1429901056** | **1292255144** |
| 70. | Dividends and similar income | 58322891 | 143017534 |
| 80. | Net profit (loss) from trading | 127843785 | 54690743 |
| 90. | Net profit (loss) from hedging | (930858) | (4611335) |
| 100. | Gains/(losses) on disposal/repurchase of: | (8571316) | 13414927 |
|  | &nbsp;&nbsp;&nbsp;a) financial assets measured at amortised cost | (7677200) | 12558017 |
|  | &nbsp;&nbsp;&nbsp;b) Financial assets measured at fair value through other comprehensive income | (269535) | 1034167 |
|  | &nbsp;&nbsp;&nbsp;c) financial liabilities | (624581) | (177257) |
| 110. | Net profit (loss) form financial assets and liabilities measured at fair value through profit or loss | 9317627 | 5752982 |
|  | &nbsp;&nbsp;&nbsp;a) financial assets and liabilities measured at fair value | 1520708 | (3121464) |
|  | &nbsp;&nbsp;&nbsp;b) other financial assets mandatorily at fair value through profit or loss | 7796919 | 8874446 |
| **120.** | **Net interest and other banking income** | **3794605171** | **3600537439** |
| 130. | Net impairment (losses)/reversals on | (361646878) | (384673036) |
|  | &nbsp;&nbsp;&nbsp;a) financial assets measured at amortised cost | (360983934) | (385255508) |
|  | &nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income | (662944) | 582472 |
| 140. | Modification gains/(losses) | (9913667) | (6780660) |
| **150.** | **Net income from banking activities** | **3423044626** | **3209083743** |
| 160. | Administrative expenses: | (2003078660) | (1997309777) |
|  | &nbsp;&nbsp;&nbsp;a) personnel expenses | (1225092407) | (1161955752) |
|  | &nbsp;&nbsp;&nbsp;b) other administrative expenses | (777986253) | (835354025) |
| 170. | Net provision for risks and charges: | (61283145) | 454223439 |
|  | &nbsp;&nbsp;&nbsp;a) commitments and guarantees issued | 3838128 | (14984156) |
|  | &nbsp;&nbsp;&nbsp;b) other net provisions | (65121273) | 469207595 |
| 180. | Net adjustments to/recoveries on property, plant and equipment | (95495681) | (99928082) |
| 190. | Net adjustments to/recoveries on intangible assets | (61227821) | (60907428) |
| 200. | Other operating expenses/income | 222089389 | 208958040 |
| **210.** | **Operating expenses** | **(1998995918)** | **(1494963808)** |
| 220. | Gains (losses) on investments | (3707) | (8577666) |
| 230. | Valuation differences on property,plant and equipment and intangible assets measured at fair value | (27365504) | (52360666) |
| 250. | Gains (losses) on disposal of investments | 2669724 | 76907 |

---

728

2024 ANNUAL REPORT - Separate Financial statements

(euro)

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **31 12 2024** | **31 12 2023** |
| **260.** | **Profit (loss) before tax from continuing operations** | **1399349221** | **1653258510** |
| 270. | Tax (expense)/recovery on income from continuing operations | 523549021 | 368266507 |
| **280.** | **Profit (loss) after tax from continuing operations** | **1922898242** | **2021525017** |
| **300.** | **Profit (loss) for the year** | **1922898242** | **2021525017** |

---

729

BANCA MONTE DEI PASCHI DI SIENA

Statement of comprehensive income

(euro)

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **31 12 2024** | **31 12 2023** |
| **10.** | **Profit (loss) for the year** | **1922898242** | **2021525017** |
|  | **Other comprehensive income after tax not recycled to profit or loss** | **(5740806)** | **(23832195)** |
| 20. | Equity instruments measured at fair value through other comprehensive income | (55582) | (3257114) |
| 30. | Financial liabilities designated at fair value through profit or loss (change in the entity's own credit risk) | (3444577) | (2760578) |
| 50. | Property, plant and equipment | (10709565) | (19842746) |
| 70. | Defined benefit plans | 489769 | 4443509 |
| 80. | Non-current assets held for sale and disposal groups | 7979149 | (2415266) |
|  | **Other comprehensive income after tax recycled to profit or loss** | **38225939** | **69512031** |
| 110. | Exchange differences | 1410533 | (1024812) |
| 120. | Cash flow hedges | 6522324 | (5060959) |
| 140. | Financial assets (other than equity securities) measured at fair value through other comprehensive income | 30293082 | 75597802 |
| **170.** | **Total other comprehensive income after tax** | **32485133** | **45679836** |
| **180.** | **Total comprehensive income (Item 10+170)** | **1955383375** | **2067204853** |

---

730

2024 ANNUAL REPORT - Separate Financial statements

Statement of changes in equity - 2024

(euro)

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Allocation of profit** | **Allocation of profit** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | |
|  | | | | **from prior year** | **from prior year** | | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | | |
|  | <br>**Balance as<br> at<br> 31 12 2023** | <br>**Change<br> in<br> opening<br> balances** | <br>**Balance as<br> at<br> 01 01 2024** | **Reserves** | **Diviedends<br> and other<br> payout** | <br>**Change in<br> Reserves\** | **Issue<br> of new<br> shares** | **Purchase<br> of<br> treasury<br> shares** | **Extraordinary<br> distribution of<br> dividends** | **Change in<br> equity<br> instruments** | **Treasury<br> share<br> derivatives** | **Stock<br> options** | **Change in<br> equity<br> Investments** | <br>**Total<br> comprehensive<br> income as at<br> 31 12 2024** | <br>**Total equity as<br> at<br> 31 12 2024** |
| Share capital | 7453450788 |  | 7453450788 |  |  |  |  |  |  |  |  |  |  |  | 7453450788 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) ordinary shares | 7453450788 |  | 7453450788 |  |  |  |  |  |  |  |  |  |  |  | 7453450788 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other ahares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Reserves | 146612410 |  | 146612410 | 1706602590 |  | 2341842 |  |  |  |  |  |  |  |  | 1855556842 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) from profit | (226598229) |  | (226598229) | 1578602231 |  | 1487933 |  |  |  |  |  |  |  |  | 1353491935 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other | 373210639 |  | 373210639 | 128000359 |  | 853909 |  |  |  |  |  |  |  |  | 502064907 |
| Valuation reserves | 20069492 |  | 20069492 |  |  |  |  |  |  |  |  |  |  | 32485133 | 52554625 |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Profit (loss) | 2021525017 | - | 2021525017 | (1706602590) | (314922427) | - | - | - | - | - | - | - | - | 1922898242 | 1922898242 |
| **Total Equity** | **9641657707** | **-** | **9641657707** | **-** | **(314922427)** | **2341842** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **1955383375** | **11284460497** |

---

At 31 December 2024, the Bank's shareholders' equity amounted to EUR 11,284.5 mln compared to EUR 9,641.7 mln as at 31 December 2023, an overall net increase of EUR 1,642.8 mln. This trend is mainly due to: (i) the profit for the year of EUR 1,922.9 mln, and (ii) the net positive change in valuation reserves of EUR 32.5 mln, the details of which are shown in the statement of comprehensive income to which we refer.

731

BANCA MONTE DEI PASCHI DI SIENA

Statement of changes in equity – 2023

(euro)

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| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Allocation of profit** | **Allocation of profit** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | |
|  | | | | **from prior year** | **from prior year** | | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | **Shareholders'equity transactions** | | |
|  | <br>**Balance as <br> at<br> 31 12 2022** | <br>**Change<br> in<br> opening<br> balances** | <br>**Balance as<br> at<br> 01 01 2024** | **Reserves** | **Diviedends<br> and other<br> payout** | <br>**Change in<br> Reserves\** | **Issue <br> of new<br> shares** | **Purchase<br> of<br> treasury<br> shares** | **Extraordinary<br> distribution of<br> dividends** | **Change in<br> equity<br> instruments** | **Treasury<br> share<br> derivatives** | **Stock<br> options** | **Change in<br> equity<br> Investments** | <br>**Total<br> comprehensive<br> income as at<br> 31 12 20223** | <br>**Total equity as <br> at<br> 31 12 2023** |
| Share capital | 7453450788 |  | 7453450788 |  |  |  |  |  |  |  |  |  |  |  | 7453450788 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) ordinary shares | 7453450788 |  | 7453450788 |  |  |  |  |  |  |  |  |  |  |  | 7453450788 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other ahares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Reserves | (221405587) |  | (221405587) | (135781910) |  | 506429040 | (2629133) |  |  |  |  |  |  |  | 146612410 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) from profit | (98919064) |  | (98919064) | (135781910) |  | 8102745 |  |  |  |  |  |  |  |  | (226598229) |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other | (122486523) |  | (122486523) |  |  | 498326295 | (2629133) |  |  |  |  |  |  |  | 373210639 |
| Valuation reserves | (4150149) |  | (4150149) |  |  | (21460195) |  |  |  |  |  |  |  | 45679836 | 20069492 |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Profit (loss) | (135781910) | - | (135781910) | 135781910 |  | - | - | - | - | - | - | - | - | 2021525017 | 2021525017 |
| **Total Equity** | **7092113142** | **-** | **7092113142** | **-** | **-** | **484968845** | **(2629133)** |  | **-** | **-** | **-** | **-** | **-** | **2067204853** | **9641657707** |

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As at 31 December 2023, the Bank's shareholders' equity amounted to EUR 9,641.7 mln compared to EUR 7,092.1 mln as at 31 December 2022, an overall net increase of EUR 2,549.5 mln. The most significant phenomena impacting the net equity, in addition to the EUR 2,021.5 mln profit for the year, were the following.

On 24 April 2023 and 29 May 2023, the mergers by incorporation into the Bank of the two wholly-owned subsidiaries, MPS Leasing & Factoring S.p.A. and MPS Capital Services Banca per le imprese S.p.A., were finalised, with accounting and tax effects backdated to 1 January 2023. The transactions resulted in a surplus of EUR 551.1 mln and a deficit of EUR 52.8 mln, respectively, which are shown in the column "Changes in reserve", line "Reserves-other".

Lastly, it should be noted that the valuation reserves show an overall net increase of EUR 24.2 mln, of which EUR 21.5 mln as a negative change in reserves recognised for the aforementioned mergers and EUR 45.7 mln as overall positive profit-ability of year.

732

2024 ANNUAL REPORT - Separate Financial statements

Cash flow statement - indirect method

(euro)

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| | | |
|:---|:---|:---|
| **A. OPERATING ACTIVITIES** | **31 12 2024** | **31 12 2023** |
| **1. Cash flow from operations** | **1961381380** | **1840721202** |
| Profit (loss) (+/-) | 1922898242 | 2021525017 |
| Capital gains/losses on financial assets held for trading and on assets/liabilities designated at fair value (+/-) | (159000223) | (119279418) |
| Net profit (loss) from hedging | 930858 | 4611335 |
| Net impairment losses/reversals | 511831808 | 536304869 |
| Net adjustments/recoveries on property, plant and equipment and on intangible assets (+/-) | 184089006 | 213196176 |
| Net provisions for risks and charges and other costs/revenues (+/-) | 71466952 | (445719523) |
| Unpaid charges, tax and tax credit | (523549021) | (368266507) |
| Other adjustments | (47286242) | (1650747) |
| **2. Cash flow from (used in) financial assets** | **(123629314)** | **(2675304272)** |
| Financial assets held for trading | (40119742) | 570277553 |
| Other financial assets measured at fair value mandatory | (80606701) | 90060006 |
| Financial assets measured at fair value through other comprehensive income | 99249677 | 1949906584 |
| Financial assets measured at amortised cost | (709045648) | (3166329551) |
| Other assets | 606893100 | (2119218864) |
| **3. Cash flow from (used in) financial liabilities** | (1600121167) | 1222419225 |
| Financial liabilities measured at amortised cost | (1204029146) | 2172389238 |
| Financial liabilities held for trading | (251898079) | (1166218877) |
| Financial liabilities designated at fair value | 4736174 | 7064796 |
| other liabilities | (148930116) | 209184068 |
| **Net cash flow from (used in) operating activities** | **237630899** | **387836155** |

---

---

| | | |
|:---|:---|:---|
| **B. INVESTMENT ACTIVITIES** | **31 12 2024** | **31 12 2023** |
| **1. Cash flow from** | **104812913** | **117411845** |
| dividends collected on equity investments | 35600020 | 116470764 |
| sales of property, plant and equipment | 69212893 | 941081 |
| **2. Cash flow used in** | **(58927837)** | **(93383311)** |
| purchase of equity investments | (18619) | (12224) |
| purchase of property, plant and equipment | (27757288) | (22777498) |
| purchase of intangible assets | (31151930) | (70593589) |
| **Net cash flow from (used in) investment activities** | **45885076** | **24028534** |

---

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BANCA MONTE DEI PASCHI DI SIENA

---

| | | |
|:---|:---|:---|
| **C. FUNDING ACTIVITIES** | **31 12 2024** | **31 12 2023** |
| issue/purchase of treasury shares |  | 2630143 |
| dividend distribution and other | (314922427) | - |
| **Net cash flow from (used in) funding activities** | **(314922427)** | **2630143** |
| **NET CASH FLOW FROM (USED IN) OPERATING, INVESTMENT AND FUNDING ACTIVITIES DURING THE YEAR** | **(31406452)** | **414494832** |

---

---

| | | |
|:---|:---|:---|
| **Reconciliation**<br>**Accounts** | **31 12 2024** | **31 12 2023** |
| Cash and cash equivalents at beginning of year | 13007988916 | 12593494084 |
| Total net cash flows generated (used) in the year | (31406452) | 414494832 |
| Cash and cash equivalents at end of the year | 12976582464 | 13007988916 |

---

The information required by IAS 7 paragraph 44 A and B is shown below.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | |  | | **Non-monetary changes** | **Non-monetary changes** |  |
|  | <br>**Book value** | **31 12 2023** | <br>**Cash flow** | **Changes in fair value** | **Other** | **31 12 2024** |
| 10. | Financial liabilities mesasured at amortised cost | 104702026311 | (1204029146) |  | 88024545 | 103586021710 |
| 20. | Financial liabilities held for trading | 2905740318 | (251898079) | (1364696) |  | 2652477543 |
| 30. | Financial liabilities measured at fair value | 111325216 | 4736174 | 3608978 |  | 119670368 |
|  | **Total** | **107719091845** | **(1451191051)** | **2244282** | **88024545** | **106358169620** |

---

734

![](tm2518026d1_ex99-4imgtop.jpg)

**Notes to the separate financial statements**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Part A - Accounting policies

A.1 – General

Section 1 - Statement of compliance with international accounting standards

Pursuant to Italian Legislative Decree no. 38 of 28 February 2005, these financial statements were prepared in accordance with the international accounting standards issued by the International Accounting Standards Board IASB) including interpretations by the IFRS Interpretations Committee, adopted by the European Union, pursuant to EC Regulation no. 1606 of 19 July 2002 which remained in force as at 31 December 2024.

The application of the international accounting standards was carried out by also referring to the "Systematic Framework for the preparation and presentation of financial statements" (Conceptual Framework), the Implementation Guidance and Basis for Conclusions documents and any other documents prepared by the IASB or IFRIC to complete the accounting standards issued.

For an overview of the accounting standards and related interpretations endorsed by the European Commission, whose application is scheduled for 2024 (or future financial years), please refer to "Section 4 - Other Aspects" below, which also describes the main impacts for the Bank.

To the extent applicable, the communications of the Supervisory Bodies (Bank of Italy, ECB, Consob and ESMA) and the interpretative documents on the application of IAS/IFRS prepared by the Organismo Italiano di Contabilità (OIC) [Italian Accounting Body], the Associazione Bancaria Italiana (ABI) [Italian Banking Association] and the Organismo Italiano di Valutazione (OIV) [Italian Evaluation Body] were also taken into account, in which recommendations are provided on the information to be provided in the Financial Report, on certain aspects of greater importance in the accounting field, on the uncertainties in the economy and on climate risk related impacts.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

Section 2 - General accounting standards

The Financial Statements consist of the balance sheet, income statement, statement of comprehensive income, statement of changes in equity, the cash flow statement and the notes to the financial statements – which include relevant information about the accounting standards applied – and are accompanied by the directors' report on operations, financial results achieved, and the Bank's equity and financial situation.

The Separate Financial Statements as at 31 December 2024 have been prepared based on the provisions contained in Circular no. 262 of 22 December 2005 issued by the Bank of Italy "Bank financial statements: layout and rules for compilation", as amended by the eighth update of 17 November 2024.

The Bank has also noted that in the Bank of Italy communication of the Bank of Italy of 14 March 2023 "Update of the provisions of Circular no. 262 - Bank financial statements: layout and rules for preparation" regarding the impacts of COVID-19 and measures to support the economy", which requests, in free format, financial statement disclosure on the loans subject to public guarantee.

The Financial Statements have been prepared based on a going concern assumption, according to the generally accepted principles of accrual accounting, relevance and materiality of information, priority of substance over form and with a view to encouraging consistency with future statements.

The Separate Financial Statements are prepared with transparency and provide a true and fair view of the financial situation and results for the year.

If the information required by international accounting standards and provisions contained in the aforementioned circular were deemed insufficient for providing a true and fair representation, the Notes to the Financial Statements contain supplemental information necessary for that purpose.

If – in exceptional cases – the application of a provision set forth in the international accounting standards proved to be incompatible with a true and fair view of the Group's financial position and result of operations, then such provision would not be applied. The reasons for any deviation and its impact on the representation of the financial position and result of operations would, in such a case, be explained in the notes to the financial statements.

Each item in the balance sheet, income statement and statement of comprehensive income also indicates the amount for the prior year, unless an accounting standard or interpretation allows or provides otherwise.

The financial statements provide, in addition to the accounting data as at 31 December 2024, the comparative information relating to the last financial statements approved as at 31 December 2023.

Assets and liabilities, expenses and income cannot be mutually offset, unless this is permitted or required by the international accounting standards or the provisions set forth in Circular no. 262 of the Bank of Italy.

The balance sheet, income statement, and statement of comprehensive income do not include items which did not have balances for the reference year or prior year. If an item of the assets or liabilities is part of several items of the balance sheet, the notes to the financial statements indicate – whenever this is necessary for the purpose of intelligibility – that this component may also be referred to items other than the one it is posted to.

Revenue is posted with no sign in the income statement, statement of comprehensive income, and the respective section of the notes, whereas expenses are indicated in brackets.

The statement of comprehensive income, beginning with profit (loss) for the year, shows the income items recognised as contra-entries of valuation reserves, net of the related tax effect, in compliance with international accounting standards. Comprehensive income is shown by separating income items that will not be transferred to the income statement in the future and those that may be subsequently classified in profit (loss) for the year when specific conditions are met.

The statement of changes in equity shows the breakdown and changes in net equity accounts during the financial year and the previous financial year, broken down between share capital (ordinary shares), capital reserves, profit reserves and reserves from the valuation of assets or liabilities, equity instruments and profit or loss. Treasury shares in the portfolio are deducted from equity.

The cash flow statement has been prepared according to the indirect method, based on which cash flows from operations are represented by the net profit (loss) for the year adjusted to take into account the effects of non-monetary transactions. Cash flows are broken down amongst those deriving from operations, those deriving from investment activities and those generated by funding activities. In the statement, cash flows generated during the financial year have no sign, while those absorbed are shown between brackets.

737

BANCA MONTE DEI PASCHI DI SIENA

In compliance with the provisions of art. 5 of Legislative Decree no. 38 of 28 February 2005, the financial statements have been prepared using the Euro as the reporting currency: the financial statements are denominated in units of Euro and the notes to the financial statements are denominated in thousands of Euro.

Items of a different nature or with different allocation were recognised separately, unless they were considered irrelevant. All amounts shown in the financial statements were adjusted so as to reflect any events subsequent to the reporting date for which an adjustment is mandatory, according to IAS 10 (adjusting events). Non-adjusting events reflecting circumstances that occurred after the reporting date (non adjusting events) are disclosed as part of the notes to the financial statements, Part A, Section 4, if they are material and may affect the ability of users to make proper evaluations and decisions.

Going concern

These Financial Statements were prepared under the going concern assumption.

After assessment of the evolution of the equity and liquidity positions, with regard to the indications provided in Document no. 2 of 6 February 2009 and Document no. 4 of 3 March 2010, issued jointly by the Bank of Italy, Consob and ISVAP, and subsequent amendments, the Directors can reasonably expect that the Bank will continue operating as a going concern in the foreseeable future and therefore consider it appropriate to use the going concern assumption in the preparation of these financial statements.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

Section 3 – Events after the Reporting Date

It should be noted that the significant events that occurred in the period between the reporting date (31 December 2024) and the date of approval of the Separate Financial Statements- Draft by the Board of Directors (6 March 2025), are entirely attributable to non-adjusting events, pursuant to IAS 10, i.e. events that do not entail any adjustments to the Financial Statements, as they are the expression of situations arising after the reporting date.

For a complete overview of the aforementioned events, please refer to the paragraph " Significant events subsequent to the year end" included in the Consolidated report on operations.

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BANCA MONTE DEI PASCHI DI SIENA

Section 4 – Other Matters

Interest rate benchmark reform

Launched in 2016 following the publication of Regulation (EU) 2016 1011 (Benchmarks Regulation), the reform of benchmark rates in Europe can now be considered complete, with two Regulation-compliant rates now published daily: the Euribor rate for maturities up to 12 months, administered by the European Money Market Institute (EMMI); and the Euro Short-term rate (€STR) for overnight maturities, recorded and published by the ECB.

Even outside the Eurozone, risk free rates (RFRs) have now been identified and are in operation for all major currencies, gradually replacing the LIBOR rate. The only exception remained the USD, with the Financial Conduct Authority (FCA) requiring the benchmark administrator in April 2023 to continue to publish 1-, 3- and 6-month synthetic USD LIBOR settings even after the termination date of 30 June 2023 and until September 2024 to facilitate the transition of contracts.

A summary of the new risk-free rates replacing the former IBOR rates is given below, with the institution acting as benchmark administrator indicated.ne dell'ente che opera come amministratore del tasso.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Currencies** | **Ibor rate** | &nbsp;&nbsp;**Risk-free rate** | **Administration** | &nbsp;&nbsp;&nbsp;&nbsp;**Description** |
| CHF | CHF Libor | &nbsp;&nbsp;SARON | Swiss Infrastructure and Exchange | &nbsp;&nbsp;&nbsp;&nbsp;Guaranteed Interbank Swiss Average Rate Overnight |
| EUR | EUR Libor | &nbsp;&nbsp;€STR | European Central Bank | &nbsp;&nbsp;&nbsp;&nbsp;Non guaranteed Interbank Euro Interbank short-term rate overnight |
| GBP | GBP Libor | &nbsp;&nbsp;SONIA | Bank of England | &nbsp;&nbsp;&nbsp;&nbsp;Non guaranteed interbank Sterling Overnight Average Rate+ |
| JPY | JPY Libor | &nbsp;&nbsp;TONAR | Bank of Japan | &nbsp;&nbsp;&nbsp;&nbsp;Non guaranteed interbank Tokyo Overnight Average Rate |
| USD | USD Libor | &nbsp;&nbsp;SOFR | Federal Reserve Bank of New York | &nbsp;&nbsp;&nbsp;&nbsp;Guaranteed Secured Overnight Financing Interest Rate |

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It should be recalled that in 2020 the Bank launched a project to implement all necessary measures to adapt its operational and application processes to the new risk-free rates with a view to gradually replacing the IBOR indices, which were scheduled to come to an end between 2021 and 2023, according to the timetable defined by the Regulator.

As at 31 December 2024, the Bank had completed the planned actions to adapt its management and accounting systems to the new Alternative Reference Rates, thus replacing the IBOR indices, as required by Regulation (EU) 2016/1011 (Benchmark Regulation).

The ESEF (European Single Electronic Format) for the preparation of annual financial reports

Commission Delegated Regulation (EU) 2019/815 (ESEF Regulation), which was enacted to implement Transparency Directive no. 2004/109/EC, establishes that issuers whose securities are listed on regulated EU markets must prepare an-nual financial reports according to the ESEF single electronic reporting format approved by ESMA, which is a combination of xHTML (for the presentation of financial reports in a human-readable format) and machine-readable XBRL (Extensible Business Reporting Language) markup to facilitate the accessibility, analysis and comparability of consolidated financial statements prepared in accordance with IFRS.

The use of this new format assumes the mapping of the information contained only in the consolidated financial statements (balance sheet, income statement, statement of comprehensive income, statement of changes in equity and cash flow statement) and in the Notes to the consolidated financial statements according to the specifications "Inline XBRL" contained in the basic taxonomy issued by ESMA. Taking into account that the Annual Financial Report also includes the Parent Company's financial statements, the entire document is prepared in XHTML format.

The Annual Financial Report, drawn up in compliance with the ESEF Regulation, was approved by the Board of Directors of Banca MPS on 6 March 2025 and will be made public in accordance with the law. For further details, please refer to the same section of 'Part A Accounting policies - A.1 General Part' of the Notes to the Consolidated Financial Statements.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

ESMA Priorities 2024

In October 2024, ESMA published the Public Statement European common enforcement priorities for 2024 annual financial reports in which it highlights the thematic areas considered of particular relevance for 2024 reporting. The priorities are divided into specific sections with regard to: financial reporting, sustainability reporting, ESEF reporting and general considerations contained in previous years' statements.

As regards the enforcement priorities for the 2024 Financial Statements, these mainly concern issues related to: (i) liquidity risk and (ii) accounting policies, judgements and significant estimates applied by the entity.

With regard to liquidity risk, ESMA highlights the new disclosure requirements under IAS 7 in relation to Supplier Financial Arrangements (SFA); i.e. material arrangements with suppliers that meet the characteristics described in paragraph 44G of IAS 7. The disclosure requirement applies to acquiring entities that sell their accounts payable to a third party to increase their liquidity by deferring settlement. Such cases are not material for the Bank.

The Authority also reiterates, with respect to non-current financial liabilities with covenants, that the issuer must make the disclosure required by IAS 1 regarding the risk that liabilities could become repayable within twelve months after the reporting period, when the issuer classifies liabilities arising from loan arrangements as non-current and when its right to defer the settlement of those liabilities is subject to compliance with covenants within twelve months after the reporting period; It should be noted in this regard that this disclosure is not relevant for the Bank given the content of the amendments to IAS 1 and the obligation to apply the formats provided for in Bank of Italy Circular No. 262.

Again with reference to liquidity risk, the ESMA finally makes several transparency-related instructions with regard to preparing the cash flow statement; in this regard, it should be noted that this disclosure is not relevant for the Group due to the obligation to apply the formats provided for by Bank of Italy Circular 262.

With regard to accounting policies, judgments and estimates, ESMA generally reiterates the need for entity-specific disclosures (describing the accounting policies and valuation methods used) while at the same time refraining from making boilerplate disclosures which merely repeat the IFRS requirements. Issuers should clearly disclose: (i) the judgements made that have the most significant effect on the amounts recognised in the financial statements; and (ii) the assumptions about the future and other major sources of estimation uncertainties that have a significant risk of resulting in a material adjustment to the carrying amount of assets and liabilities within the next financial year. Moreover, it is necessary to assess and, if relevant, explain whether and how estimation uncertainty is affected by significant current developments (e.g. macroeconomic, technological, social, climatic and geopolitical). For further details on these aspects, please refer to the section "Estimates and assumptions" in Part A - Accounting policies.

More specifically, the Authority draws attention to assessments that may require significant judgement, such as:

&nbsp;&nbsp;&nbsp;&nbsp;· when assessing control, joint control or significant influence. In such
cases, careful consideration must be given to the elements of judgement and clear and detailed disclosures must be provided about the
significant judgements made. For these aspects, please refer to the Consolidated Financial Statements (Section 3 "Scope and methods
of consolidation" in Part A and section 7.6 "Key considerations and assumptions to determine the existence of joint control
or significant influence" in Part B).

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· when assessing whether the entity's long-term contracts meet the definition
of customer contracts under IFRS 15.For contracts that meet this definition, it is important to make sure that variable elements covering
extremely long periods characterised by uncertainty are disclosed correctly and that the macroeconomic environment is considered when
assessing satisfaction of performance obligations. In addition, ESMA mentions other potentially critical aspects such as assessments over
the roles of agent or principal in specific cases (e.g. online shopping platforms) and the specific disclosure required by IFRS 15 about
the amount and timing of consideration allocated to remaining performance obligations. These aspects are not material in the context
of the customer contracts concluded by the Bank.

Finally, among its general considerations, ESMA notes that previous years' priorities regarding climate matters continue to be relevant. The Authority particularly emphasises the importance of consistency and connectivity between the information related to climate risks and opportunities included in financial statements and the information included in the sustainability statement. This is because discordant information on sustainability issues in the annual financial report could be a potential source of greenwashing (without prejudice to the specific characteristics of financial and sustainability reporting). Finally, ESMA encourages issuers to specify which climate issues addressed in its sustainability reporting do not have a financial impact on the financial statements and to explain the reasons for this.

For further detail on climate topics and related financial and non-financial effects to the Bank, please refer to paragraph "Climate Change" in Section 2 –"Environmental information" of the Sustainability Report included in the the Consolidated Report on operations.

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BANCA MONTE DEI PASCHI DI SIENA

Consob warning notice

In December 2024, Consob published a warning notice about the climate-related disclosure included in the financial statements.

In the context of ESMA's recommendations set out in the "Public Statement European common enforcement priorities for 2024 annual financial reports", Consob brought attention to the additional documents published by ESMA to support companies in preparing more robust and consistent disclosures (*"The Heat is On: Disclosures of Climate-Related Matters in the Financial Statements" report and the "Clearing the smog: Accounting for Carbon Allowances in Financial Statements"* public statement) and warned issuers of a number of key elements that should be taken into account for the 2024 disclosure in light of the monitoring of the disclosures made in the 2023 financial statements and the coming into force of the sustainability reporting requirements under Decree No. 125/2024.

First of all, with a view to facilitating investor access to, and comprehension of, climate-related information, Consob underlines that this should be reported in a specific note to the financial statements or by inserting specific references to the notes in which they are described. Disclosures should be structured to address, among other things, the risks, uncertainties and impacts on financial statement items where these are material or the reasons why no such impacts have been identified. For further details please refer to the Sustainability report included in the Consolidated Report on operations, and to the paragraph "Management overlays" and "ESG risks" included in Part E of the Notes to Consolidated Notes to Financial Statements, "Prudential Consolidation Risks Section" and "Operational Risks Section" respectively.

Secondly, Consob reiterated the importance of consistency between financial and sustainability reporting. The financial statements should provide relevant information such to enable investors to appreciate the impact on accounting estimates, if any, of the actions identified as part of the transition plans described in the sustainability reporting by explaining the assessments that led to the recognition or non-recognition of impacts in the financial statements. In this regard, Consob referred to the provisions contained in paragraph 31 of IAS 1 "Presentation of Financial Statements" and the guidance contained in the IFRS Interpretation Committee's decision of 11 April 2024 on how issuers' climate-related commitments should be reported in relation to their emission reduction targets.

Furthermore, where scenarios are used in financial statements to assess climate risks, it is appropriate to clarify, if relevant, how these assessments have impacted the valuations contained in the financial statements, also through specific sensitivity analyses, which specifically take into account the assumption made. For more details please see the paragraph "Management overlays" in Part E "Risk of prudential consolidation" of the Notes to consolidates financial statements.

Finally, the considerations made regarding the impacts of climate-related factors should be clearly described.

An illustration of the new accounting standards, or the changes to existing standards approved by the IASB is provided below, as well as the new interpretations or changes to existing interpretations published by IFRIC, with separate reporting on those applicable in 2024 from those that may be adopted in subsequent financial years.

List of key IAS/IFRS international accounting standards and related SIC/IFRIC interpretations endorsed for mandatory application as of the 2024 Financial Statements

Regulation (EU) 2023/2579 of 20 November 2023 endorsed the amendments to IFRS16 "***Leases: Lease Liability in Sale and Leaseback' (amendment to IFRS 16)*** issued by the IASB on 22 September 2022. The amendments clarify how a seller-lessee must subsequently measure lease liabilities in sale and leaseback transactions<sup>4</sup> with variable lease payments that satisfy the requirements in IFRS 15 to be accounted for as a sale. The amendments clarified that:

&nbsp;&nbsp;&nbsp;&nbsp;· At initial recognition, the seller-lessee also includes the variable lease
payments (whether or not they depend on an index or a rate) in its measurement of the lease liability arising from the leaseback;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· After initial recognition, the seller-lessee applies the general subsequent
measurement requirements for a lease liability under IFRS 16, making sure not to recognise the gain or loss that relates to the rights
of use retained.

The amendments must be applied from 1 January 2024. The requirements must also be retrospectively applied, under IAS 8, to sale and leaseback transactions that were entered into after the date when IFRS 16 was initially applied (i.e. 1 January 2019). The changes to the standard are of no particular materiality for the Bank, as the existing sale and leasebacks have no variable payments or insignificant variable payments.

4 Sale and leasebacks are transactions in which the owner of an asset sells the asset and leases that asset back from the new owner for a period of time.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

Regulation (EU) 2023/2822 of 19 December 2023 endorsed the amendments to IAS 1 presented by the IASB on 23 January 2020 "**Classification of Liabilities as Current or Non-Current Date**" and on 31 October 2022 "**Non-current Liabilities with Covenants**", with the aim of clarifying the way in which a company must determine, in the statement of financial position, the debt and other liabilities with uncertain settlement date. Its application, initially scheduled for 2022, was postponed initially until 1 January 2023 and finally until 1 January 2024. Specifically, this last amendment from October 2022 requires that only the covenants that an entity must comply with at the reporting date or before that date are such as to affect the classification of a liability as current or non-current. It is also required to indicate in the notes to the financial statements the information that allows users of the financial statements to understand the risk that non-current liabilities with cove-nants may become repayable within twelve months. Given the contents of the amendments and the obligation to apply the formats set forth in Bank of Italy Circular No. 262/05, the limited proposed amendments to IAS 1 are not relevant to Banks.

Regulation (EU) 2024/1317 of 15 May 2024 endorsed the amendments to IAS 7 "**Statement of Cash Flows**" and IFRS 7 "**Financial Instruments: Disclosures: Supplier Finance Arrangements**", published by the IASB on 25 May 2023. The amendments introduced new disclosure requirements about a company's supplier finance arrangements (also known as supply chain finance or reverse factoring arrangements). These new requirements are to provide users of financial statements with information enabling them to assess the impact of these arrangements on a company's liabilities and cash flows, and to understand the effect of supplier finance arrangements on a company's exposure to liquidity risk and how the company might be affected if the arrangements were no longer available to it.

The proposed changes affect the entities that enter into finance agreements as purchasers, but do not affect the lender. Therefore, they do not directly affect the Bank, which acts solely as lender in supplier finance agreements.

List of endorsed IAS/IFRS international accounting standards and related SIC/IFRIC endorsed interpretations whose application is mandatory after 31 December 2024

The standards or amendments whose application is effective after 31 December 2024 and for which the Bank, where envisaged, did not make use of early application, is provided below.

Regulation (EU) 2024/2862 of 12 November 2024 endorsed the amendment to IAS 21 "***The Effects of Changes in Foreign Exchange Rates: Lack of Exchangeability***", published by the IASB on 15 August 2023. The amendment clarifies when a currency is convertible or not convertible into another currency, how to estimate the exchange rate if the currency is not convertible, and the disclosures to be made in the notes to the financial statements. The amendment will become effective on 1 January 2025, but early adoption is permitted.

The aforementioned amendment is not expected to have a significant impact on the Bank's financial position.

IAS/IFRS international accounting standards and related SIC/IFRIC interpretations issued by the IASB and still awaiting approval from the European Commission

On 9 April 2024, the IASB published IFRS 18 "**Presentation and Disclosure in Financial Statements**", which replaces IAS 1 "**Presentation of Financial Statements**". The new standard establishes the presentation and disclosure requirements for financial statements with the aim of making the information more transparent and comparable and to ensure that it faithfully represents the assets, liabilities, shareholders' equity, revenues and costs of the entity. The main changes compared to IAS 1 are:

&nbsp;&nbsp;&nbsp;&nbsp;· the classification of income and expenses in five categories (operating,
investing, financing, income taxes, discontinued operations) based on the core business activities of the entity;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· new statement items with partial totals (operating profit, profit before
financing and income taxes);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· increased obligations relating to the labelling of items as well as the
aggregation and disaggregation of information based on characteristics that agree (or not) with financial statement items;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the introduction of disclosure requirements to include management-defined
performance measures (MPMs) – i.e. financial performance measures based on new required totals or subtotals under IFRS, with certain
adjustments (i.e. adjusted profit or loss).

The new standard also involves limited amendments to other standards, including IAS 7 "**Statement of Cash Flows**", IAS 33 "**Earnings per Share**" and IAS 34 "**Interim Financial Reporting**".

Application becomes effective from 1 January 2027; Pursuant to IAS 34, the entity will be required to present its income statement in compliance with IFRS 18 requirements in the 2027 half-yearly financial statements.

The Bank is assessing the impacts of the new provisions, also taking into account that the aforementioned changes, which affect the presentation of the profit and loss account and disclosures in the financial statement, must be appropriately

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BANCA MONTE DEI PASCHI DI SIENA

coordinated with Bank of Italy Circular No. 262 (i.e. the circular regulating financial statement formats and the rules for compiling financial statements of banks).

On 9 May 2024, the IASB published IFRS 19 "**Subsidiaries without Public Accountability: Disclosures**". Under certain conditions, the new standard allows subsidiaries that apply the international accounting standards to provide reduced financial statement disclosures, thus lowering their financial statement preparation costs. In order to apply the standard, the subsidiary: i) must not have public liability<sup>5</sup>, and ii) must have a parent company, ultimate or intermediate, which prepares consolidated financial statements in accordance with international accounting standards. The application of IFRS 19 is optional for eligible subsidiaries and enters into force from 1 January 2027. The adoption of this amendment is not expected to significantly affect the Bank's Financial Statements.

No significant effect on the Bank's consolidated financial statements is expected from the adoption of this amendment

On 30 May 2024, the IASB published the amendments to IFRS 9 and IFRS 7 "**Amendments to the Classification and Measurement of Financial Instruments**". The amendments to the two standards clarify certain critical aspects of the classification and measurement of financial instruments pursuant to IFRS 9 that emerged from the post-implementation review of the standard. In particular, the amendments addressed:

&nbsp;&nbsp;&nbsp;&nbsp;· assessing contractual cash flow characteristics of financial assets with
ESG-linked features. On this topic, the IASB has listed some examples of financial instruments to determine whether the SPPI requirement
is met. More specifically:

<sub> </sub>

- an arrangement whereby interest is to be paid if the borrower meets a contracted ESG target (e.g. to reduce carbon emissions) is consistent with a basic lending arrangement and, therefore, enables a positive assessment;

an arrangement that provides for the adjustment of an market variable-linked interest rate (e.g. the carbon price index) does not compensate the lender for the risks and costs associated with lending the principal amount; therefore, it does not qualify as a basic lending arrangement.

&nbsp;&nbsp;&nbsp;&nbsp;· settling financial liabilities using an electronic payment system. The amendments
permit liability to be settled in cash using an electronic payment system before the settlement date (by exception from the applicable
rules) only when the payment instruction issued by the entity:

<sub> </sub>

- cannot be withdrawn, stopped or cancelled;

the cash to be used for settlement of the payment instruction cannot be accessed;

the settlement risk associated with the electronic payment system is insignificant (i.e. when a standard procedure is used to execute the payment instruction and there is a short period between the fulfilment requirements (a) and (b) and the delivery of the cash to the counterparty.

However, the settlement risk would not be insignificant if the execution of the payment instruction is contingent on the entity's ability to deliver cash on the settlement date.

With these amendments to **IFRS 9 - Financial Instruments**, the IASB also introduced additional disclosure requirements to improve transparency for the benefit of investors as regards equity instruments for which the option has been exercised for the recognition of changes in fair value in the statement of comprehensive income (OCI election) and financial instruments with contingent characteristics, e.g. associated with ESG-linked objectives. The amendments apply to financial years beginning on or after 1 January 2026.

The Bank is assessing the impact of the new provisions and plans to accordingly update Group's policies.

Finally, on 18 July 2024 the IASB published its "**Annual Improvements Volume 11**" containing clarifications, simplifications, corrections and minor amendments to IFRS accounting standards to improve consistency. These concerned the following accounting standards:

&nbsp;&nbsp;&nbsp;&nbsp;· IFRS 1 "**First-time Adoption of International Financial Reporting Standards** ";

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· IFRS 7 "**Financial Instruments: Disclosures** ' and **Guidance on implementing IFRS 7**;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· IFRS 9 "**Financial Instruments** ";

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· IFRS 10 "**Consolidated Financial Statements** "; and

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· IAS 7 "**Statement of Cash Flow** ".

---

| | |
|:---|:---|
| 5 | A subsidiary has public accountability if: (i) its equity or debt instruments are traded in a public market or it is in the process of issuing such instruments for trading in a public market (a domestic or foreign stock exchange or an over-the-counter market, including local or regional markets); or(ii) one of its main activities is the holding of assets in a fiduciary capacity for a large group of persons (e.g. banks, credit unions, insurance companies, securities brokers, mutual funds and investment banks). |

---

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

The amendments apply as of 1 January 2026. Early application is permitted.

No significant effect on the Bank's consolidated financial statements is expected from the adoption of this amendment.

Finally, on 18 December 2024, the IASB published amendments to IFRS9 and IFRS7 entitled "**Contracts Referencing Nature-dependent Electricity**" requiring specific disclosures in financial statements for contract of these types.

Nature-dependent electricity contracts are contracts that expose the company to variability in the underlying amount of electricity because the source of electricity generation depends on uncontrollable natural conditions (for example, wind, sun, etc. These include both contracts to buy or sell nature-dependent electricity and financial instruments that reference such electricity. These contracts are often structured as long-term power purchase agreements (PPAs), which:

&nbsp;&nbsp;&nbsp;&nbsp;· provide a quantity of electricity generated by the nature-dependent energy
source to the purchaser at a fixed unit price ("physical PPAs") in addition to environmental certificates; or

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· contain a swap that pays out the net difference between a fixed-price cash
flow and a variable-price cash flow related to a quantity of nature-dependent energy ("virtual PPPs" or "VPPAs")
and provide the corresponding environmental certificates.

A unique feature of these PPAs is that whether and how much electricity is generated by the reference plant at any given time is determined by the nature-dependent sources. The IASB's amendments:

---

| | |
|:---|:---|
| <sub>·</sub> | introduce guidelines to assess whether contracts meet "own use" requirements and, therefore, can continue to be considered to be held for the purpose of the receipt of energy in accordance with the entity's expected usage requirements, thus exempting the contract from the accounting treatment provided for contracts to buy or sell non-financial items. This occurs if the entity has been, and expects to be, a net purchaser of electricity for the contract period (i.e. if it buys sufficient electricity to offset the sales of any unused electricity in the same market in which it sold the electricity; |

---

<sub> </sub>

---

| | |
|:---|:---|
| <sub>·</sub> | incorporate the hedge accounting treatment required by IFRS 9 if the contract has been designated in a cash flow hedging relationship. In this case, it is permissible to designate as the hedged item a variable nominal amount of forecast electricity transactions that is aligned with the variable amount of nature-dependent electricity expected to be delivered by the generation facility as referenced in the hedging instrument. |

---

<sub> </sub>

<sub></sub> introduce specific disclosures with regard to contracts to purchase energy from natural sources that meet "own use" requirements.

The amendments apply as of 1 January 2026. Early application is permitted. In particular, the changes relating to the "own use" exemption apply retrospectively under IAS 8, while the changes relating to hedge accounting treatment apply prospectively to relationships designated on or after the date of first application.

The aforementioned changes are not expected to have a significant impact on the Bank's financial position.

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BANCA MONTE DEI PASCHI DI SIENA

A.2 – Part relating to the main items of the financial statements

Accounting standards

The following is a description of the accounting standards that have been adopted with reference to the main asset and liability items for the preparation of the consolidated financial statements as at 31 December 2024 with reference to the stages of classification, recognition, measurement and derecognition of the various asset and liability items, as well as for the methods of recognising revenues and costs. These standards are aligned with those adopted for the preparation of the comparative financial statements as at 31 December 2023.

1 Financial assets measured at fair value through profit or loss (FVTPL)

a) classification criteria

These assets include financial assets other than those classified under "Financial assets measured at fair value through other comprehensive income" and "Financial assets measured at amortised cost". The item in particular includes:

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities or loans that are included in an "Other" Business
Model, i.e., a procedure for managing financial assets that does not have the objective of collecting contractual cash flows ("Held
to Collect" business model) or collecting contractual cash flows and selling financial assets ("Hold to Collect and Sell"
business model);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities, loans and units of UCITS whose contractual terms do not
exclusively provide for repayments of principal and interest on the amount of principal to be repaid (i.e., that do not pass the so-called
Solely Payment of Principal and Interest (SPPI) test);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· equity instruments that cannot be classified as representing control, affiliation,
and joint control, held for trading purposes or for which, upon initial recognition, the fair value through other comprehensive income
option was not chosen;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· derivative contracts, recognised in financial assets held for trading, that
are recognised as assets if the fair value is positive, or liabilities if the fair value is negative.

With reference to the latter, it is possible to offset current positive and negative values deriving from outstanding transactions with the same counterparty - including in the case of derivative contracts allocated to the trading portfolio and hedging derivative contracts, as required by Circular 262 - only if the legal right to offset the amounts recognised is currently in place and the entity intends to proceed with the net settlement of offsetting positions.

More detailed information is provided below on the three sub-items that comprise this category, represented by: "Financial assets held for trading", "Financial assets measured at fair value", and "Other financial assets mandatorily measured at fair value".

Financial assets held for trading

Financial assets (debt securities, equity securities, loans, units of UCITS) are classified as held for trading purposes if they are managed with the objective of generating cash flows through their sale, as they are:

&nbsp;&nbsp;&nbsp;&nbsp;· acquired for the purpose of selling them in the short-term;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· part of a portfolio of financial instruments that are managed on an individual
basis and for which there is proven existence of a strategy targeted at earning a profit in the short term.

It also includes derivatives with a positive fair value not designated as having an accounting hedge relationship. Derivative contracts include those embedded in complex financial instruments, in which the primary contract is a financial liability, which were subject to separate accounting as:

&nbsp;&nbsp;&nbsp;&nbsp;· their economic characteristics and risks are not strictly related to the
characteristics of the underlying contract;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the embedded instruments, even if separate, satisfy the definition of derivative;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· hybrid instruments to which they belong are not measured at fair value with
the relative changes posted to the income statement.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

Financial assets designated at fair value

A financial asset (debt securities and loans) can be designated at fair value irrevocably at the time of initial recognition, only when this designation makes it possible to eliminate or significantly reduce a measurement inconsistency ("accounting mismatch"). This category is not used by the Bank at present.

Other Financial assets mandatorily measured at fair value

Other Financial assets mandatorily measured at fair value represent a residual category and include:

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities
 and loans, when: i) the relative contractual cash flows do not represent solely payments of principal and interest on the residual
 principal (SPPI test failed), or ii) are not held as part of a Business Model whose objective is the ownership of assets for purposes
 of collecting contractual cash flows ("Hold to Collect" Business Model) or those whose objective is achieved either by
 collecting contractual cash flows or by selling financial assets ("Held to Collect and Sell" Business Model);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· UCITS
 units;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· equity
 securities held for purposes other than trading for which the option of classification at fair value through other comprehensive
 income is not exercised.

b) recognition criteria

Initial recognition of financial assets occurs at settlement date for debt securities, equities and units of UCITS, at disbursement date for loans, and at trade date for derivative contracts. Upon initial recognition, financial assets measured at fair value through profit or loss are recognised at fair value, which usually corresponds to the amount paid, without considering transaction costs or revenues directly attributable to the instrument, which are directly recognised in the income statement.

c) measurement criteria

After initial recognition, financial assets measured at fair value through profit or loss are recorded at fair value, with changes recognised as an offsetting entry in the income statement.

To determine the fair value of financial instruments listed on an active market, market prices recorded at the reporting date are used. In the absence of an active market, commonly adopted estimation methods and valuation models are used, which take into account all the risk factors related to the instruments and which are based on data recorded on the market such as: valuation of listed securities with similar characteristics, discounted cash flow calculations, option pricing models and values recognized in recent comparable transactions. For equity securities and derivatives on equity securities that are not listed on an active market, the cost criterion is used as an estimate of the fair value only on a residual basis and limited to rare circumstances, i.e., if none of the measurement models previously mentioned can be applied, or if there is a wide range of possible fair value measurements, in which case the cost represents the most meaningful estimate.

For further information on the criteria for determining the fair value, please refer to Section "A.4 Information on Fair Value" of Part A of these Notes to the consolidated financial statements.

d) revenue recognition criteria

The interest of the three sub-items that comprise this category is recorded under item "10 - Interest income and similar revenues".

Realised gains and losses, the gains and losses from measurements for "Financial assets held for trading", including derivatives associated with financial assets/liabilities measured at fair value, are booked to the income statement under item "80 - Net trading income (expenses)". These income effects pertaining to "Financial liabilities measured at fair value" as well as "Other Financial assets mandatorily measured at fair value" are booked to the income statement under item "110 - Net profit/loss from financial assets and liabilities measured at fair value through profit and loss", in the sub-items "a) financial assets and liabilities measured at fair value" and "b) other Financial assets mandatorily measured at fair value", respectively.

e) derecognition criteria

Financial assets are derecognised from financial statements: i) upon expiration of the contractual rights on the cash flows resulting from the assets, or ii) when the financial assets are sold and all related risks/benefits are transferred. However, if a relevant portion of the risks and benefits associated with disposed financial receivables have been maintained, they continue to be posted in the financial statements, even if legal ownership of the asset has been effectively transferred.

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BANCA MONTE DEI PASCHI DI SIENA

If it is not possible to ascertain a substantial transfer of risks and benefits, the financial assets are derecognised when control of the assets has been surrendered. Conversely, if such control has been maintained, even partly, the assets should continue to be recognised to the extent of residual involvement, as measured by the exposure to the changes in value of the assets disposed and to the changes in their cash flows.

Finally, disposed financial assets are derecognised if the contractual rights to receive the cash flows are maintained and a contractual obligation is simultaneously undertaken to pay only said flows, without a significant delay, to third parties.

f) reclassification criteria

According to the general rules established by IFRS 9 on reclassifying financial assets (with the exception of equity securities, for which reclassification is not permitted), reclassifications to other categories of financial assets are not permitted unless the entity changes its Business Model for managing financial assets. In these cases, which are expected to be highly infrequent, financial assets may be reclassified from the category 'measured at fair value through profit or loss' to one of the other two categories envisaged by IFRS 9 (financial assets measured at amortised cost or financial assets measured at fair value through other comprehensive income). The transfer value is represented by the fair value at the time of the reclassification and the effects of the reclassification apply prospectively from the reclassification date. In this case, the effective interest rate of the reclassified financial asset is calculated based on its fair value at the reclassification date and this date is considered as the initial recognition date in assigning it to the various credit risk stages (stage assignment) for purposes of impairment.

For more information on classification criteria for financial instruments, please refer to the section "Classification criteria for financial assets" below.

2 Financial assets designated at fair value through other comprehensive income (FVTOCI)

a) classification criteria

This category includes financial assets represented by:

&nbsp;&nbsp;&nbsp;&nbsp;· debt
 securities, managed as part of a "Hold to collect and sell" business model and
 whose contractual flows represent only payments of principal and interest on the residual
 capital (SPPI test passed);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· equity
 instruments (not qualifiable as control, association and joint control), held as part of
 a Business Model other than trading for which the option for recognition in the individual
 instrument was irrevocably exercised at the time of initial recognition of the individual
 instrument, the option for recognition in the statement of comprehensive income from changes
 in fair value after initial recognition (OCI election).

b) recognition criteria

Financial assets are initially recognised on the date of settlement, with reference to debt or equity instruments, and on the date of disbursement with reference to loans.

On initial recognition, the assets are measured at their fair value, which normally corresponds to the price paid, inclusive of transaction costs or income directly attributable to the instrument.

c) measurement criteria

Financial assets represented by debt securities and loans, following initial recognition, continue to be measured at fair value, with recognition in the income statement of interest (based on the effective interest rate method), expected credit losses and any exchange rate changes. Other impairment gains or losses, on the other hand, are booked to the appropriate equity reserve net of the associated tax effect (item "120 - Valuation reserves"). Upon cancellation of the financial asset, the accumulated profits or losses in the valuation reserve will be subject to recycling to the Income Statement (item "100. Gains (losses) on disposal / repurchase of: b) financial assets measured at fair value through other comprehensive income).

Financial assets represented by equity instruments, following initial recognition, continue to be measured at fair value, with changes booked to the appropriate equity reserve net of the associated tax effect (item "120 - Valuation reserves"). The amounts recognised in this reserve will never be transferred to the income statement, even in the event of a sale; in this case, a reclassification is made to another equity item (item "150 - Reserves"). Furthermore, no write-down to the income statement is envisaged for these assets as they are not subject to any impairment process. The only component of these equity securities that is recognised in the income statement is represented by the related dividends (item "70 - Dividends and similar income").

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

For equity securities included in this category, which are not listed on an active market, the cost criterion is used as an estimate of the fair value only on a residual basis and limited to rare circumstances, i.e., if none of the measurement models previously mentioned can be applied, or if there is a wide range of possible fair value measurements, in which case the cost represents the most meaningful estimate.

For further information on the criteria for determining the fair value, please refer to Section "A.4 Information on Fair Value" of Part A of these Notes to the consolidated financial statements.

Financial assets measured at fair value through other comprehensive income - both in the form of debt securities and loans - are subject to verification of the significant increase in credit risk (impairment) as required by IFRS 9, similar to assets measured at amortised cost, with the consequent recognition in the income statement of a value adjustment to cover expected losses. In summary, an estimated loss at one year is recognised, at the initial recognition date and at every subsequent reporting date, on instruments classified in stage 1 (i.e., on financial assets at the origination date, if not impaired, and on instruments for which there has not been a significant increase in credit risk compared to the initial recognition date). Instead, for instruments classified in stage 2 (performing, for which there has been a significant increase in credit risk compared to the initial recognition date) and stage 3 (non-performing exposures) an expected loss is recorded for the entire residual life of the financial instrument. Conversely, equity securities are not subject to the impairment test.

For more detailed information, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

d) revenue recognition criteria

As regards financial instruments represented by debt instruments:

&nbsp;&nbsp;&nbsp;&nbsp;· interest
 is recorded under item "10 - Interest income and similar revenues";

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· expected
 credit losses recognised for the year are accounted for in item "130 - "Net impairment
 (losses)/reversals for credit risk of: (b) financial assets measured at fair value through
 other comprehensive income as a balancing entry to the specific equity valuation reserve
 ("120. Valuation reserves"); the same applies to recoveries of part or all of
 the write-downs made in previous financial years;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· at
 the moment of derecognition, valuations accumulated in the specific equity reserve are reversed
 to the income statement under item "100 - Gains/losses from disposal/repurchase of:
 b) financial assets measured at fair value through other comprehensive income".

As regards financial instruments represented by equity instruments, for which the "OCI election" was exercised, only dividends are booked to the income statement (item "70 - Dividends and similar income").

e) derecognition criteria

Financial assets are derecognised from financial statements: i) upon expiration of the contractual rights on the cash flows resulting from the assets, or ii) when the financial assets are sold and all related risks/benefits are transferred. However, if a relevant portion of the risks and benefits associated with disposed financial receivables have been maintained, they continue to be posted in the financial statements, even if legal ownership of the asset has been effectively transferred.

If it is not possible to ascertain a substantial transfer of risks and benefits, the financial assets are derecognised when control of the assets has been surrendered. Conversely, if such control has been maintained, even partly, the assets should continue to be recognised to the extent of residual involvement, as measured by the exposure to the changes in value of the assets disposed and to the changes in their cash flows.

Finally, disposed financial assets are derecognised if the contractual rights to receive the cash flows are maintained and a contractual obligation is simultaneously undertaken to pay only said flows, without a significant delay, to third parties.

f) reclassification criteria

According to the general rules established by IFRS 9 on reclassifying financial assets (with the exception of equity securities, for which reclassification is not permitted), reclassifications to other categories of financial assets are not permitted unless the entity changes its Business Model for managing financial assets. In these cases, which are expected to be highly infrequent, financial assets may be reclassified from the category 'measured at fair value through other comprehensive income' to one of the other two categories envisaged by IFRS 9 (financial assets measured at amortised cost or financial assets measured at fair value through profit or loss). The transfer value is represented by the fair value at the time of the reclassification and the effects of the reclassification apply prospectively from the reclassification date. If assets are reclassified from this category to the amortised cost category, the cumulative gain (loss) recorded in the valuation reserve is adjusted to the fair value of the financial asset at the reclassification date.

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If, instead, assets are reclassified to the fair value through profit or loss category, the cumulative gain (loss) recorded previously in the valuation reserve is reclassified from shareholders' equity to profit (loss) for the year.

For more information on classification criteria for financial instruments, please refer to the section "Classification criteria for financial assets" below.

3 Financial assets measured at amortised cost

a) classification criteria

Included in this category are financial assets represented by loans and debt securities held according to a business model whose objective is achieved through the collection of contractually stipulated cash flows (business model "Hold to collect") and whose contractual flows represent only principal and interest payments on the principal to be repaid (SPPI test passed).

The portfolio of financial assets measured at amortised cost includes:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 entire portfolio of loans in the various technical forms that satisfy the above requirements
 (including repurchase agreements), stipulated with both banks and customers;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· debt
 securities, mainly government bonds, which satisfy the above requirements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· operating
 receivables connected with providing financial assets and services as defined in the Consolidated
 Banking Law and the Consolidated Law on Finance (e.g., for distribution of financial products
 and servicing activities);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· receivables
 originating from financial lease transactions which, in accordance with IFRS 16, are recognised
 as credits as they transfer risks and benefits to the lessee, including the values referring
 to assets pending financial leasing, such as properties under construction;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loans
 to banks and central banks other than "at sight".

b) recognition criteria

Financial assets are initially recognised on the date of settlement, with reference to debt securities, and on the date of disbursement, with reference to loans. In particular, as far as loans are concerned, the disbursement date normally coincides with the contract execution date. If this coincidence does not occur, at the time of the contract execution, a commitment to disburse funds is recorded, which closes on the date of disbursement of the loan. The initial recognition is based on the fair value of the financial instrument (which is normally equal to the amount disbursed or price of underwriting), inclusive of the costs/income directly related to the individual instruments and determinable as of the transaction date, even if such costs/income are settled at a later date. This does not include costs which have these characteristics but are subject to repayment by the debtor or which can be encompassed in ordinary internal administrative expenses.

Repurchase agreements with forward repurchase or resale obligation are recorded in the Financial Statements as funding or lending transactions. In particular, spot sales and forward repurchase transactions are recognised in the financial statements as payables for the spot amount received, while spot purchase and forward resale transactions are recognised as receivables for the spot amount paid.

c) measurement criteria and revenue recognition criteria

Following initial recognition, financial assets booked to this category are measured at amortised cost using the effective interest rate criterion. This interest is recorded under item "10 - Interest income and similar revenues". The gross book value is equal to the first-time recognition value:

&nbsp;&nbsp;&nbsp;&nbsp;· less
 principal repayments;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· less/plus
 amortisation – calculated using the effective interest rate method – of the difference
 between the amount disbursed and the amount repayable upon maturity, typically attributable
 to the costs/income directly charged to each receivable.

The effective interest rate is identified by calculating the rate that equals the present value of future flows of the asset, in terms of principal and interest, to the amount disbursed including the costs/income related to the asset. The estimate of cash flows must take into account all contractual clauses that may affect amounts and maturities, without considering the expected losses on the asset. This accounting method, using a financial logic, makes it possible to distribute the economic effect of all transaction costs, commissions, premiums or discounts considered an integral part of the effective interest rate over the expected residual life of the asset. The amortised cost method is not used for short-term receivables, for which the effect of applying a discounting approach is negligible, for loans without a defined maturity, and for revocation loans.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

For more details on amortised cost, please refer to the paragraph "amortised cost" included in the paragraph "Other significant accounting practices" below.

The book value of financial assets at amortised cost is adjusted to take into account any provision to cover expected losses (expected credit losses). For each reporting period, the aforementioned assets are subject to impairment testing with the aim of estimating expected losses in value for credit risk (ECL - Expected Credit Losses). These losses are recorded in the income statement under item "130 - Net impairment (losses)/reversals for credit risk". If there is no reasonable expectation of recovery, the gross exposure is written-off: in this case, the gross exposure will be reduced by the amount deemed non-recoverable, as a balancing entry to the reversal of the provision to cover expected losses and impairment losses in the income statement, for the part not covered by the provision. For further details on the accounting treatment of "write-offs", please refer to the following paragraph on "derecognition criteria".

More specifically and as better explained in the paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments", the impairment model classifies the assets into three separate stages (stage 1, stage 2, stage 3), according to trends in the debtor's creditworthiness, each of which has different criteria for measuring expected losses:

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 1: includes performing financial assets for which there has been no significant increase
 in credit risk with respect to the initial recognition date, or for which credit risk is
 considered low. Impairment is based on an estimate of expected loss over a one-year time
 horizon (expected loss that would result from default events on financial assets that are
 deemed possible within one year of the reference date);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 2: includes performing financial assets that have undergone a significant deterioration in
 credit risk with respect to initial recognition. Impairment is measured as the estimated
 expected loss with reference to a timespan equal to the residual life of the financial asset;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 3: represents non-performing financial assets (probability of default equal to 100%), to
 be assessed based on an estimate of expected loss over instrument's life.

For performing assets, expected losses are determined according to a collective process based on certain risk parameters represented by the probability of default (PD), the loss rate in the event of default (LGD, Loss Given Default) and the exposure value (EAD, Exposure At Default) deriving from internal models for the calculation of regulatory credit risk, appropriately adjusted in order to take into account the specific requirements envisaged by accounting regulations.

For non-performing assets, i.e., assets for which, in addition to a significant increase in credit risk, objective evidence of impairment has been found, impairment losses are quantified based on an analytical or lump-sum measurement process by homogeneous risk categories, aimed at determining the present value of expected future recoverable cash flows, discounted using the original effective interest rate or a reasonable approximation thereof, if the original interest rate cannot be directly determined.

The non-performing asset category includes exposures assigned with the status of bad loan, unlikely to pay, or past-due/overdrawn for more than ninety days, in accordance with the definitions established by supervisory regulations in effect (Bank of Italy Circular no. 272 "Accounts Matrix") and referred to in Bank of Italy Circular no. 262, as these definitions are deemed consistent with accounting regulations envisaged in IFRS 9 for objective evidence of impairment.

In the event of sale scenarios, the cash flows are calculated based not only on the forecast of the recoverable amounts through internal management activity, but also on the basis of the flows that can be obtained from any sale on the market, according to the approach described in the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

In addition, the expected cash flows include forecasts for collection timing and the realisable value of any guarantees as well as the costs connected with obtaining and selling the guarantee. In this regard, in the event that the Bank uses a third party to collect non-performing loans, the fees paid to the outsourcer for activities strictly related to collection are considered for the purpose of estimating impairment losses. These costs are considered for both non-performing and performing exposures, if for the latter it is probable that in the event of a transfer to bad loans, the collection activities will be assigned to third parties.

For fixed-rate positions, the original effective rate used to discount the expected cash flows from collection, calculated as described above, remains unchanged over time even if there is a change in the contractual rate due to the debtor's financial difficulties. For floating-rate positions, the rate used to discount cash flows is updated for the indexing parameter (e.g., Euribor), while keeping the fixed spread at the original level.

The financial asset's original value is restored in subsequent financial years when there is an improvement in the exposure's creditworthiness compared to that which had led to the previous write-down. The reversal is posted to the same item in the income statement ("130 - Net impairment (losses)/reversals for credit risk") and may not, in any case, exceed the

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amortised cost that the asset would have had without prior adjustments. For more detailed information on the impairment model, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

For non-performing exposures, accrued interest is calculated based on amortised cost, i.e., using the value of the exposure - calculated with the effective interest rate - adjusted for expected losses. In case of management of non-performing exposures, or of transfer from stage 3 to stage 2 or stage 1, interest will once again be calculated based on the gross exposure value; the positive difference is recognised, as the recovery of previous impairment losses, as an offsetting entry to item "130. Net impairment (losses)/reversals for credit risk". The same accounting entry is made in the event that the interest collected is greater than the expected cash flows.

Finally, for non-performing exposures that do not accrue contractual interest, such as bad loans, this interest corresponds to the progressive release of the discounting of collection forecasts, as the effect of the simple passage of time.

d) derecognition criteria

Financial assets are subject to derecognition when: (i) the contractual rights to the cash flows arising therefrom have expired, or when (ii) the financial assets are sold with the substantial transfer of all risks and benefits resulting from the ownership. However, if a relevant portion of the risks and benefits associated with disposed financial receivables have been maintained, they continue to be posted in the financial statements, even if legal ownership of the asset has been effectively transferred.

If it is not possible to ascertain a substantial transfer of risks and benefits, the financial assets are derecognised when control of the assets has been surrendered. Conversely, if such control has been maintained, even partly, the assets should continue to be recognised to the extent of residual involvement, as measured by the exposure to the changes in value of the assets disposed and to the changes in their cash flows.

Disposed financial assets are derecognised if the contractual rights to receive the cash flows are maintained and a contractual obligation is simultaneously undertaken to pay only said flows, without a significant delay, to third parties.

Finally, assets subject to substantial changes, as more fully described in the paragraph "Renegotiations", are derecognised.

With regard to non-performing financial assets, the asset may be derecognised following the acknowledgement of the non-recoverability of the exposure and the resulting closure of the collection process (definitive derecognition), and entails the reduction of the nominal value and of the gross book value of the loan. This case occurs when settlement agreements have been reached with the debtor that entail a reduction in the loan (resolution agreement) or in the presence of specific situations such as, for example:

&nbsp;&nbsp;&nbsp;&nbsp;· a
 judgement has been handed down by the court that declares the loan all or partially settled;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 conclusion of bankruptcy or enforcement proceedings against both the principal debtors and
 guarantors;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 conclusion of all possible judicial and extra-judicial actions for credit collection;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 completion of a mortgage lien on an asset under guarantee, with the resulting derecognition
 of the loan guaranteed by the property under lien, in the absence of further specific guarantees
 or other actions that can be taken to recover the exposure.

These specific situations may result in a full or partial derecognition of the exposure but do not necessarily imply a waiver of the legal right to collect the loan.

In addition, non-performing financial assets may be derecognised following their "write-off", upon acknowledgement that there are no reasonable expectations of collection, while continuing with actions aimed at their recovery. This write-off is carried out in the financial year in which the loan, or part of it, is considered non-recoverable - despite not closing the legal procedure - and can take place before the legal actions taken against the debtor and guarantors for credit collection. It does not imply the waiver of the legal right to collect the loan and is made if the loan documentation contains reasonable financial information indicating that the debtor will be unable to repay the loan amount. In this case, the gross nominal value of the loan remains unchanged, but the gross book value is reduced by an amount equal to the amount to be written off, which may represent the full exposure or a portion of it. The write-off amount cannot be subjected to subsequent write-backs following an improvement in collection forecasts, rather only as the result of amounts effectively collected.

In the event of derecognition, the difference between the book value of the asset at the derecognition date and consideration received, inclusive of any assets received net of any liabilities assumed, must be recognised in the income statement, under item "100. a) Profits/(Losses) from disposal or repurchase of: financial assets measured at amortised cost".

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

e) reclassification criteria

According to the general rules established by IFRS 9 on reclassifying financial assets, reclassifications to other categories of financial assets are not permitted unless the entity changes its Business Model for managing financial assets. In these cases, which are expected to be highly infrequent, financial assets may be reclassified from the category 'measured at amortised cost' to one of the other two categories envisaged by IFRS 9 (financial assets measured at fair value through other comprehensive income or financial assets measured at fair value through profit or loss). The transfer value is represented by the fair value at the time of the reclassification and the effects of the reclassification apply prospectively from the reclassification date. Gains or losses resulting from the difference between the amortised cost of the financial asset and the associated fair value are booked to the income statement in the case of reclassification under "Financial assets measured at fair value through profit or loss" and, under equity, in the appropriate valuation reserve, in the case of the reclassification under "Financial assets measured at fair value through other comprehensive income".

For more information on classification criteria for financial instruments, please refer to the section "Classification criteria for financial assets" below.

4 Hedging transactions

The Bank availed itself of the possibility, envisaged on first-time application of IFRS 9, to continue to use all of the provisions of IAS 39 (carved out version endorsed by the European Commission) as regards hedge accounting for all types of hedge (both micro and macro hedges).

a) reclassification criteria - type of hedge

Risk-hedging transactions are aimed at offsetting any potential losses on a certain financial instrument or group of financial instruments that may arise from a specific risk should it occur. The following types of hedging are included:

&nbsp;&nbsp;&nbsp;&nbsp;· fair
 value hedges, which are intended to hedge the exposure to changes in fair value of a recognised
 asset or liability that are attributable to a particular risk. These include generic fair
 value hedges (macro-hedges) having the objective of reducing fluctuations in fair value due
 to interest rate risk, of a monetary amount, arising from a portfolio of financial assets
 and liabilities (including core deposits). Generic hedges cannot be used to cover net amounts
 resulting from the offsetting of assets and liabilities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· cash
 flow hedges, which are intended to hedge the exposure from variability in future cash flows
 attributable to particular risks associated with a recognised asset or liability or a transaction
 that is deemed highly likely;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· hedges
 of a net investment in a foreign operation, which refers to hedging the risks of an investment
 in a foreign operation denominated in a foreign currency.

Only instruments that involve a counterparty outside the Bank can be designated as hedging instruments. Given the decision of the Bank to avail itself of the option of continuing to fully apply the rules of IAS 39 for hedging relationships, it is not possible to designate equity securities classified under Financial assets measured at fair value through other comprehensive income (FVOCI) as items hedged against price or exchange rate risk, given that these instruments do not impact the income statement, not even in the event of sale (except for the dividends that are recognised in the income statement).

b) recognition criteria

Financial hedging derivatives, just as for all derivatives, are initially recognised at fair value on the date the contract is stipulated and are classified, as a function of their positive or negative value, in the asset item "50. Hedging derivatives" or in the liability item "40. Hedging derivatives".

A relationship qualifies as a hedge, and is represented in the accounts, if and only if all the following conditions are met:

· at
 the start of the hedge there is a formal designation and documentation of the hedging relationship,
 the company's objectives in managing the risk and the strategy in carrying out the
 hedge. This documentation includes the identification of the hedging instrument, the hedged
 item or transaction, the nature of the hedged risk and how the company assesses the effectiveness
 of the hedging instrument in offsetting the exposure to changes in the fair value of the
 hedged element or cash flows attributable to the hedged risk;

· the
 hedge is expected to be highly effective;

· the
 planned transaction subject to hedging, for cash flow hedges, is highly probable and presents
 an exposure to changes in cash flows that could affect the income statement;

· the
 effectiveness of the hedge can be reliably measured;

· the
 hedge is valued on the basis of a continuity criterion and is considered highly effective
 for all the reference financial years for which the hedge was designated.

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Hedge effectiveness depends on the extent to which changes in the fair value or expected cash flows of the hedged item are offset by corresponding changes in the hedging instrument. Therefore, effectiveness is measured by comparing these changes, taking into account the intent pursued by the company at the time the hedge is put in place. With reference to the hedged risk, the hedging is effective (within the 80% to 125% window) when the changes in fair value (or in the cash flows) of the hedging instrument offset the changes in the hedged item almost entirely.

Effectiveness is assessed at year-end or at interim reporting dates by using:

&nbsp;&nbsp;&nbsp;&nbsp;· prospective
 tests, which justify the application of hedge accounting, as they demonstrate its expected
 effectiveness;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· retrospective
 tests, which show how effective the hedging relationship has been in the period under review
 (i.e. measure how far the actual results have deviated from a perfect hedge).

c) measurement criteria and revenue recognition criteria

Hedging derivatives are measured at fair value. In particular:

Fair value hedging

In the case of specific fair value hedging, the change in the fair value of the hedged element (for changes generated by the underlying risk factor) adjusts the book value of the hedged element and is immediately recognised, regardless of the category to which the hedged asset or liability belongs, along with the change in the fair value of the hedging instrument, in income statement item "90 - Net profit (loss) from hedging". Any difference, i.e. partial ineffectiveness of the hedging derivatives, reflects their net P&L impact.

If the hedging relationship is suspended, the hedged instrument, if not derecognised from financial statements, is returned to the original valuation criterion of the class to which it belongs. Specifically for instruments measured at amortised cost, the cumulative revaluations/write-downs recorded as a result of changes in the fair value of the hedged risk are recognised in the income statement in interest income and expense over the residual life of the hedged item, based on the effective interest rate. Instead, if the suspension of the hedge is accompanied by the derecognition from financial statements of the hedged item (e.g., sale or early repayment), the fair value portion not yet amortised is immediately recognised in the income statement under the item "90 - Net profit (loss) from hedging".

With regard to generic fair value hedging transactions (macro-hedges), changes in fair value of the hedged risk of assets and liabilities subject to hedging are recorded in the balance sheet, respectively, under item "60 - Change in value of macro-hedged financial assets" or "50 - Change in value of macro-hedged financial liabilities". The offsetting item for changes in value in both the hedged element and the hedging instrument, similar to specific fair value hedges, is item "90 - Net profit (loss) from hedging" in the income statement. In the event of termination of a generic fair value hedging relationship, the cumulative revaluations/write-downs recorded in the above-mentioned balance sheet items are recognised in the income statement under interest income or expense for the residual duration of the original hedging relationships, subject to verification that the prerequisites have been met.

Cash flow hedging

The changes in fair value of the hedging instrument are posted to a specific shareholders' equity reserve (item "110 - Valuation reserves") with reference to the effective portion of the hedge, while fair value changes of the hedging instrument that are not offset by changes in the hedged item's cash flows are posted to the income statement under item "90 - Net profit (loss) from hedging". If the cash flow hedge is no longer considered effective, or the hedging relationship is terminated, the total amount of profits or losses on the hedging instrument, already recognised under "Valuation reserves", is recognised in the income statement only when the hedging transaction will take place or when it is no longer considered possible for the transaction to occur; in the latter circumstance, the profits or losses are transferred from the shareholders' equity item to the income statement item "90. Net profit (loss) from hedging".

Hedges of foreign currency investments

Hedges of foreign currency investments are accounted for similarly to cash flow hedges.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

d) derecognition criteria

If the tests do not confirm hedge effectiveness, both retrospectively and prospectively, hedge accounting is discontinued as described above. In this circumstance, the hedging derivative contract is reclassified under "Financial assets measured at fair value through profit or loss" and in particular under financial assets held for trading.

In addition, the hedging relationship ceases when:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 derivative expires, is extinguished or exercised;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 hedged item is sold, expires, or is repaid;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 hedge no longer fulfils the aforementioned hedge accounting requirements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 company revokes the designation of the hedging relationship.

As an exception to the provisions of IAS 39, discontinuing is not carried out following the updating of the documentation on the hedging relationship (due to the change in the hedged risk, the hedged underlying, the hedging derivative or the method for verifying the resilience of the hedge) in the event of changes necessary as a direct consequence of the Reform of the reference indices for the determination of interest rates (IBOR Reform) and carried out on an equivalent economic basis.

5 Equity investments

a) classification criteria

This item includes equity interests held in subsidiaries, associates or joint ventures, which are recognised in accordance with the cost method.

Equity investments and equity securities are considered subject to control (subsidiaries) if the Bank directly or indirectly holds the absolute majority of voting rights and such rights are substantive, or if the Bank holds the relative majority of voting rights and the other voting rights are widely dispersed among shareholders. Control may also exist in situations in which the Bank does not hold the majority of voting rights, but holds sufficient rights to have the practical ability to unilaterally direct relevant activities of the investee or in the presence of:

&nbsp;&nbsp;&nbsp;&nbsp;· substantive
 potential voting rights through underlying call options or convertible instruments;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· rights
 deriving from other contractual arrangements which, combined with voting rights, give the
 Bank the de facto ability to direct production processes, other operating or financial activities
 able to significantly influence the investee's returns;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· power
 to influence, through rules of the articles of association or other contractual arrangements,
 governance and decision-making procedures regarding relevant activities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· majority
 of voting rights through contractual arrangements formalised with other holders of voting
 rights (i.e., shareholders' agreements).

As regards <u>structured entities - investment funds</u> the Bank takes the following positions with respect to funds:

&nbsp;&nbsp;&nbsp;&nbsp;· subscriber
 of units, held for long-term investment purposes or for trading;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· counterparty
 in Loans/derivatives.

A controlling relationship is established if the Bank meets simultaneously the following conditions:

&nbsp;&nbsp;&nbsp;&nbsp;· has
 the power to direct the relevant activities, if:

<sub> </sub>

- it acts as fund manager and there are no substantial rights of dismissal by other investors; or

- has a substantive right to dismiss the fund manager (outside the Bank) without just cause or for reasons attributable to the performance of the funds; or

- the governance of the fund is such as to allow the Bank to substantially govern the relevant activities;

&nbsp;&nbsp;&nbsp;&nbsp;· has
 a significant exposure to the variable returns of the fund, through the direct holding of
 units deemed significant, in addition to any other form of exposure related to the economic
 results of the fund;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· it
 is in a position to affect these returns through the exercise of power, if:

<sub> </sub>

- it is the fund manager;

- it has a substantial right to dismiss the fund manager (external to the Bank);

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BANCA MONTE DEI PASCHI DI SIENA

- it has a right to participate in the fund's committees such as to give to the Bank the legal and/or practical authority to control the activities carried out by the manager;

- there are contractual relationships that bind the fund to the Bank for the subscription or placement of units.

Lastly, with reference to structured entities - special purpose securitisation vehicles, the Bank checks the fulfilment of requirements of control over special purpose securitisation vehicles, considering both the possibility of exercising power over the relevant assets for its own benefit and the ultimate purpose of the transaction, as well as the involvement of the investor/sponsor in the structuring of the transaction.

For autopilot entities, the subscription of the substantial entirety of the notes by the Bank is considered an indicator of the presence, particularly during the structuring phase, of the power to manage relevant activities to influence the economic returns of the transaction.

Companies subject to significant influence are considered associates. It is assumed that the company exercises significant influence in all cases in which it holds at least 20% of the voting rights (including "potential" voting rights) and, regardless of the interest held, if the company has the power to participate in management and financial decisions of the investee, by virtue of specific legal connections, such as shareholders' agreements, with the purpose for the agreement's participants to ensure representation in management bodies and to ensure management unity, without having control.

Entities are considered to be jointly controlled companies when control is shared between the Bank and one or more other parties based on contracts or agreements of another nature, according to which financial and management decisions with strategic purposes are made through the unanimous consent of all parties that share control. This occurs when the voting rights and control of the economic activity of the investee are shared equally by Banca MPS and another entity. In addition, a joint investment is defined as an equity investment in which, even in the absence of an equal share of voting rights, the unanimous consent of all parties sharing control is required for the making of resolutions concerning the relevant activities.

b) recognition criteria

Initial recognition of financial assets classified in this category occurs on the settlement date, for a total value equal to the cost, including any goodwill paid at the time of acquisition, which is therefore not subject to independent and separate recognition.

c) measurement criteria and revenue recognition criteria

Equity investments in subsidiaries, associates and joint ventures are recognised at cost. At each date of the financial statements or interim reports, the equity investments are tested for indicators of impairment. If evidence of impairment indicates that there may have been a loss in value of an equity investment, then the recoverable value of the equity investment (which is the higher of the fair value, less costs to sell, and the value in use) should be estimated. The value in use is the present value of the future cash flows expected to be derived from the equity investment, including those arising from its final disposal.

Should the recoverable value be less than its book value, including any goodwill, the difference is recognised immediately in the income statement under item "220 - Gains (losses) on investments". Should the reasons for impairment no longer apply as a result of an event occurring after the impairment was recognised, reversals of impairment losses are charged to the same item in the income statement, up to the amount of the previously recognised impairment.

For more detailed information, please refer to the paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on equity investments".

The dividends from these equity investments are recognised in the Parent Company's income statement, regardless of whether it was generated by the investee before or after the acquisition date. The result of the disposal of equity investments is recognised in the income statement under item "220 - Gains (losses) on investments".

d) derecognition criteria

Equity investments are derecognised upon maturity of the contractual rights on the cash flows resulting from the assets or when all related risks/benefits associated to them are transferred. If there is a situation that results in loss of significant influence or of joint control, any residual equity investment is reclassified in the IFRS 9 financial asset portfolios.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

6 Property, plant and equipment

a) classification criteria

Property, plant and equipment include land, properties for business use, investment properties, systems, furnishings and fixtures, equipment of any type that is expected to be used for more than one period, as well as artworks.

Operating properties are properties owned by the Bank and used in the production or supply of goods and services or for administrative purposes (classified as "Property, plant and equipment used in the business" and recognised in accordance with IAS 16), whereas investment properties are those owned by the Bank for the purpose of collecting rents and/or held for appreciation of capital invested (classified as "Property, plant and equipment held for investment" and follow the rules set forth in IAS 40).

This item also includes tangible assets classified according to IAS 2 "Inventories", which mainly relate to assets arising from the enforcement of guarantees or from the purchase at auction that the company intends to sell in the near future, without carrying out significant restructuring work, and which do not qualify for classification in the previous categories.

Property, plant and equipment includes those assets associated with finance lease contracts that were returned to the company, as lessor, following contract termination and the simultaneous closure of the original credit position.

This category also includes i) rights of use acquired through leasing, both financial and operating, relating to property, plant and equipment that the Bank uses as lessee in the business or for investment purposes, ii) assets granted under operating leases (for lessors), as well as iii) improvements and incremental expenses incurred on owned assets and third-party assets, the latter provided they are identifiable and separable (e.g. ATMs).

b) recognition criteria

Property, plant and equipment are originally recognised at cost, which includes the purchase price and any additional charges directly attributable to the purchase and installation of the assets.

Non-recurring expenditures for maintenance which involve an increase in future economic benefits are booked as an increase in the value of the assets, while expenses for ordinary maintenance are booked to the income statement.

c) measurement criteria and revenue recognition criteria

Subsequent to initial recognition, property, plant and equipment for business use are valued at cost, as defined above, net of cumulative depreciation and any cumulative impairment, with the exception of:

&nbsp;&nbsp;&nbsp;&nbsp;· real
 estate used in the business for which the Bank has adopted the option allowed by IAS 16,
 to measure them on the basis of the revaluation method;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· properties
 held for investment purposes, for which the Bank has adopted the option, permitted by IAS
 40, of measuring them on the basis of the fair value method;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· property,
 plant and equipment falling under IAS 2 are valued at the lower of the cost and the net realisable
 value, represented by the estimated sale price less the presumed costs for completion and
 the other costs necessary to make the sale.

The revaluation method requires that assets be carried at a restated amount, equal to the fair value at the date of revaluation, less any accumulated depreciation and value adjustments. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;· if
 the carrying amount has increased following a revaluation, the increase is recognised with
 an offsetting entry in liability item "110 - Valuation reserves", with the exception
 of write-backs of previous impairment recognised in the income statement. In this case the
 increase is recognised in the income statement in item "230 - Net gains (losses) on
 property, plant and equipment and intangible assets measured at fair value" within
 the limits of the above-mentioned impairment;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· if
 the carrying amount of an asset has decreased following a revaluation, the decrease is recognised
 in the income statement in item "230 - Net gains (losses) on property, plant and equipment
 and intangible assets measured at fair value" unless the asset has been subject to
 a previous revaluation, in which case the impairment is recognised as a reduction of the
 liability item "110 - Valuation reserves", for up to its total amount.

The Bank revalues the properties held for business use every six months, using appraisals prepared by independent experts.

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Property, plant and equipment held for business use, including operating properties measured at the "restated value", are systematically depreciated over their useful life. The depreciable amount, equal to cost (or the net revalued value, if the revaluation method is adopted for valuation purposes) less the residual value (or the amount normally expected to be obtained from disposal, after deducting expected costs to sell, if the asset is already in the conditions, including in relation to age, expected at the end of its useful life), is broken down on a straight-line basis throughout the useful life of the asset, adopting the straight-line approach as the depreciation method. The useful life, subject to periodic review to identify any estimates significantly different from the previous ones, is defined as:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 period of time in which it is expected that an asset will be usable by the company or,

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 quantity of products or similar units that the company expects to obtain from the use of
 the asset.

Depreciation begins when the asset is available for use and ends at the most recent date between that on which the asset is classified as held for sale and that of derecognition. For property, plant and equipment valued at cost, depreciation does not end when the asset becomes unused or is withdrawn from active use, unless the asset has already been fully depreciated. If a property for business use becomes unusable or is withdrawn from active use, it is necessary to promptly evaluate the change in the intended use and the resulting reclassification to property held for investment purposes or assets held for sale. In these cases, depreciation is discontinued.

The following are not amortised:

&nbsp;&nbsp;&nbsp;&nbsp;· land,
 either on its own or included in the property value, is not subject to depreciation as it
 has an indefinite useful life;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· works
 of art as their value is generally bound to increase over time;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· investment
 properties, as required by IAS 40, which are measured at fair value with a balancing entry
 in the Income Statement and therefore must not be depreciated;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· tangible
 assets recognised in accordance with IAS 2.

For leasehold improvements, represented by identifiable and separable tangible assets, depreciation is determined according to the useful life of these assets.

Periodic depreciation is posted to the income statement under item "180 - Net Value Adjustments/recoveries on Property, Plant and Equipment".

The presence of any signs of impairment, or indications that assets might have lost value, shall be tested at the end of each reporting period. Should there be indications of impairment, for properties that are owned, with the exception of investment property, and those that are leased, a comparison is made between the book value of the asset and the asset's recoverable value, i.e. the higher of the fair value, less any costs to sell, and the relevant value in use, which is the present value of the future cash flows generated by the asset.

Where the reasons for impairment cease to exist, a reversal is made, which shall not exceed the value that would have been determined (net of depreciation) had no impairment loss been recognised for the asset in prior periods.

Under the fair value method, used for property investments, the positive or negative change in fair value is recognised in the Income Statement in item "230 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value". For the measurement of the fair value of the property assets in question, a fair value estimation process is carried out at least every six months.

For the methods used to measure the fair value and the periodicity of recalculation of real estate assets, please refer to the criteria illustrated in "Part A.4 - Information on fair value" below.

Property, plant and equipment falling under IAS 2 are valued in the same way as inventories and, therefore, at the lower of the cost at initial recognition and the net realisable value, represented by the estimated sale price less the presumed costs for completion and the other costs necessary to make the sale. Any losses in value are posted to the income statement under item "180 - Net Value Adjustments/recoveries on Property, Plant and Equipment".

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Property, plant and equipment represented by the right of use of assets under lease agreements

Pursuant to IFRS 16, a "lease" is a contract, or part of a contract, which, in exchange for a consideration, transfers the right of use (RoU) of an asset (the underlying asset) for a period of time.

The right-of-use asset acquired through the lease is recognised in the financial statements at the start date of the contract, i.e. at the date on which the asset is made available to the lessee and is initially valued at cost. This cost includes:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 initial measurement of the lease liability, net of VAT;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· any
 lease payments made by the start date, net of any lease incentives;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· any
 initial direct costs incurred, understood as incremental costs incurred to obtain the lease
 that would not have otherwise been incurred (e.g. brokerage commissions and success fees);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· estimated
 costs of refurbishment and dismantling, in cases where the contract provides for them.

In connection with the right of use asset, the lessee recognises a liability for the lease under item "10 - Financial liabilities measured at amortised cost" corresponding to the present value of payments due for the lease. The discount rate used is the implicit interest rate, if it can be determined; otherwise, the lessee's marginal borrowing rate is used. The Bank uses as the discount rate, where there is no implicit interest rate in the contract, the maturity curve aligned to the individual lease contracts consisting of the Euribor 6M base rate and the blended funding spread, the latter equal to the weighted average of the funding curves for unsecured senior bonds, protected deposits and preference deposits. The adoption of this curve is in line with the characteristics of leasing agreements, which typically provide for fixed fees throughout the duration of the contract, and of the underlying assets. The discount rate so defined takes into account the creditworthiness of the tenant, the duration of the lease, the asset underlying the right of use and the economic environment, identified in the Italian market, where the transaction takes place and therefore it is in line with the requirements of the standard.

The lessee may opt to recognise the payments due for the lease directly as a charge in the income statement, on a straight-line basis over the life of the lease agreement or according to another systematic method that represents the manner in which the economic benefits are used in the case of:

&nbsp;&nbsp;&nbsp;&nbsp;· short-term
 leases (equal to or less than 12 months) that do not include a purchase option of the asset
 leased by the lessee;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· leases
 in which the underlying asset is of modest value<sup>6</sup>.

The Bank has chosen to recognise the cost in the income statement on a straight-line basis over the life of the lease agreement.

The lease term is determined taking into account:

&nbsp;&nbsp;&nbsp;&nbsp;· periods
 covered by an option to extend the lease, if the exercise of the same is reasonably certain;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· periods
covered by a lease termination option, if the exercise of said option is reasonably certain.

<sub> </sub>

During the term of the lease, the lessee must:

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· measure
 the right of use at cost, net of accumulated amortisation<sup>7</sup> and cumulative value
 adjustments determined and recognised on the basis of the provisions of IAS 36 "Impairment
 of assets", adjusted to take into account any restatements of the lease liabilities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· increase
 the liability deriving from the lease transaction following the accrual of interest expense
 calculated at the implicit interest rate of the lease, or, alternatively, at the marginal
 borrowing rate and reduce it for payments of principal and interest.

In the event of changes in the payments due for the lease, the liability must be restated; the impact of the recalculation of the liability is recognised as a contra-entry to the asset consisting of the right of use.

<sup>6</sup> The significance threshold identified is EUR 5,000.

---

| | |
|:---|:---|
| 7 | In determining the amortisation period, account must be taken of whether or not the transfer of ownership of the underlying asset is envisaged at the end of the lease term or whether the cost of the asset consisting of the right of use reflects the fact that or not that the lessee will exercise the purchase option. In the first case, the amortisation period coincides with the useful life of the underlying asset, determined at the start date. In the second case, the amortisation period coincides with the useful life of the asset consisting of the right of use or, if shorter, the duration of the lease. |

---

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d) derecognition criteria

Property, plant and equipment are derecognised from the balance sheet upon their disposal or when the assets are permanently withdrawn from use and no future economic benefits are expected as a result of their disposal.

Any gains and losses deriving from the disposal or sale of property, plant and equipment are calculated as the difference between the net sale price and the book value of the asset and are recognised in the income statement under item "250 - Gains (losses) on disposals of investments".

In the case of the sale of a property for business use, the corresponding valuation reserve accrued is transferred to other components of Shareholders' equity, specifically liability item "140 - Reserves", with no reversal to profit or loss.

The right of use assets, accounted for according to IFRS 16, are derecognised at the end of the lease term.

7 Intangible assets

a) classification criteria

Intangible assets are non-monetary assets, identifiable and without physical substance, originating from legal or contractual rights, held for use over a multi-year or indefinite period, from which it is probable that future economic benefits will flow and whose cost can be reliably measured.

Intangible assets include:

&nbsp;&nbsp;&nbsp;&nbsp;· technology-related
 intangible assets including software licenses, internal capitalised costs, projects and licenses
 under development; in particular, internally incurred costs for software project development
 are intangibles recognised as assets if, and only if: a) the cost for development can be
 measured reliably, b) the entity intends and is financially and technically able to complete
 the intangible asset and either use it or sell it, c) the entity is able to demonstrate that
 the asset will generate future economic rewards. Capitalised costs for software development
 only include the expenses that are directly attributable to the development process;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· customer
 relationship intangible assets, represented by the value of assets under management/custody
 and core deposits in the event of business combinations;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· goodwill,
 equal to the positive difference between the consideration paid for a business combination
 and the fair value of the assets and liabilities pertaining to an acquired company, as best
 specified in paragraph "16 – Other information, Business combinations".

b) recognition criteria

They are recognised at cost, adjusted by any additional charges only if it is probable that the future economic benefits that are attributable to the asset will flow to the entity and if the cost of the asset can be measured reliably. The cost of intangible assets is otherwise posted to the income statement in the financial period it was incurred.

c) measurement criteria and revenue recognition criteria

The cost of intangible assets with a finite useful life is amortised on a straight-line basis over their useful life. In particular, for intangible assets originating from software developed internally and acquired from third parties, amortisation begins when the applications are completed and become operational. Instead, intangible assets with indefinite useful life are not amortised but the book value is periodically assessed for impairment.

At each annual and interim reporting date, the recoverable amount of the assets is estimated where there is evidence of impairment. The amount of the loss recognised in the income statement is equal to the difference between the book value and the recoverable amount of the assets.

The goodwill recognised is not subject to amortisation, but its book value is tested annually (or more frequently) when there are signs of impairment. To this end, the cash flow generating units to which goodwill is attributable are identified. These units represent the lowest level at which goodwill is monitored for internal management purposes and should not be larger than an operating segment as defined by IFRS 8.

The amount of the impairment loss is determined by the difference between the book value of goodwill and its recoverable amount, if lower. Said recoverable amount is the higher of the cash generating unit's fair value, less costs to sell, and its value in use. Value in use is the present value of future cash flows expected to arise from the years of operation of the cash generating unit and its disposal at the end of its useful life. The resulting value adjustments are posted to the income statement under item "190 - Net value adjustments to (recoveries on) intangible assets".

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The same item includes the periodic amortisation of intangible assets with a finite useful life. An impairment loss recognised for goodwill shall not be reversed in a subsequent period.

d) derecognition criteria

Intangible assets are derecognised from the balance sheet upon disposal and when no future economic benefits are expected.

8 Non-current assets held for sale and disposal groups

a) classification criteria

Non-current assets/liabilities and groups of assets/liabilities whose book value will presumably be recovered through sale rather than continuous use are classified in assets under item "110 - Non-current assets held for sale and disposal groups" and in liabilities under item "70 - Liabilities associated with disposal groups".

To be classified in these items, the assets or liabilities (or disposal groups) must be immediately available for sale and there must be active and tangible programmes such as to suggest that their disposal is highly probable within one year of the date of classification in this category.

b) measurement criteria and revenue recognition criteria

Following initial recognition, non-current assets held for sale and disposal groups, with the relative liabilities, are valued at the lower of the book value and the fair value net of selling costs, with the exception of certain types of assets, such as, for example, all financial instruments falling under the scope of IFRS 9 - for which IFRS 5 specifically envisages that the measurement criterion of the reference accounting standard must be applied.

Amortisation/depreciation is discontinued at the date the non-current asset is classified as a non-current asset held for sale.

Should the assets and liabilities held for disposal be attributable to disposal group (identifiable with the operations of a significant independent business unit or geographical area, also as part of a single coordinate disposal project, rather than an investee company acquired exclusively for resale), the relative revenues and charges, net of tax, are recognised in the income statement under item "290 - Profit (Loss) after tax from discontinued operations" of the income statement. Profit and loss associated with individual assets under disposal are recognised in the most appropriate income statement item.

c) derecognition criteria

Non-current assets and group of assets/liabilities held for sale and disposal groups are derecognised from the balance sheet upon disposal.

9 Current and deferred tax

a) recognition criteria

The effects of current and deferred taxation calculated in compliance with Italian tax laws are recognised on an accrual basis, in accordance with the measurement methods of the income and expenses which generated them, by administering the applicable tax rates.

Income taxes are posted to the income statement, excluding those relating to items directly credited or charged to equity.

Income tax provisions are determined on the basis of a prudential forecast of current tax expense, deferred tax assets and liabilities.

Current tax includes the net balance of current tax liabilities for the financial year and current tax assets with the Financial Administration, comprising tax advances, tax credit arising from prior tax returns and other withholding tax credits. In addition, current tax includes tax credits for which reimbursement has been requested from the relevant tax authorities. Tax credits transferred as a guarantee of own debts shall also be recorded within this scope.

Deferred tax assets and liabilities are determined on the basis of the temporary differences – with no time limits – between the value assigned to the assets or liabilities in accordance with statutory principles and the corresponding values for tax purposes, applying the balance sheet liability method, deferred tax assets and liabilities connected to temporary difference for which it is considered unlikely that the conditions for their taxation will arise in the future, the long-term nature of the investments to which they relate, are not recognized. Also, it should be noted that the Bank has not recognised and does not provide information on deferred tax assets and liabilities relating to Pillar 2 income taxes published by the Organization for Economic Co-operation and Development (OECD), as stated in paragraph 4A of IAS 12.

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Deferred tax assets determined on the basis of deductible temporary differences are recognised in financial statements or interim disclosures for the extent to which they are likely to be recovered on the basis of the capacity of the company involved or all of the participating companies – as a result of exercising the option concerning "Tax consolidation" – to generate a positive taxable profit on an ongoing basis, in light of a probability test.

The probability of the recovery of deferred taxes relative to goodwill, other intangible assets and write-downs on loans (known as "convertible DTAs") is to be automatically considered probable because of existing regulations that provide for conversion into tax credits, if a statutory and/or tax loss is incurred.

In particular, art. 2 - paragraphs 55 et seq. - of Italian Law Decree no. 225 of 29 December 2010 (and subsequent amendments) provides that:

&nbsp;&nbsp;&nbsp;&nbsp;· if
 the financial statements filed by the company show a statutory loss for the year, deferred
 tax assets (IRES and IRAP) relating to goodwill, other intangible assets, and loan write-downs
 will be converted into tax credits for a portion equivalent to the ratio between the statutory
 loss and the book value of shareholders' equity prior to said loss. The conversion
 into tax credits becomes effective from the date when the 'loss-incurring' separate
 financial statements are approved by the Shareholders' Meeting;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· if
 there is a tax loss for the year (that is, for IRAP purposes, a negative production value),
 the deferred tax asset relating to the deductions for goodwill, other intangible assets,
 and loan write-downs, which contributed to the formation of the tax loss (i.e., the negative
 production value) is transformed into a tax credit. Conversion will be effective as of the
 date of submission of the tax return for the financial year in which the loss is incurred.

As a result of the provisions contained in Italian Law Decree no. 83 of 27 June 2015, the convertible DTAs ceased to increase starting from 2016. In particular:

&nbsp;&nbsp;&nbsp;&nbsp;1. for
 deferred tax assets relating to goodwill, other intangible assets newly recognised in financial
 statements from 2016 onwards are excluded from the regulations pursuant to art. 2 - paragraphs
 55 et seq. - of Italian Law Decree 225/2010;

&nbsp;&nbsp;&nbsp;&nbsp;2. for
 deferred tax assets relating to loan write-downs, from 2016 onwards, the accounting assumption
 for recognition in financial statements has ceased and these write-downs are entirely deductible
 in the accounting period. Note that the 2019 financial manoeuvre (Law no. 145 of 30 December
 2018) repealed the full deductibility of loan write-downs upon first-time application of
 IFRS 9, exclusively following the adoption of the model for recognising the provision to
 cover expected losses (ECL), providing for the deductibility (IRES and IRAP) of these write-downs
 on a straight-line basis over 10 years. It was, however, explicitly stated that the relative
 DTAs recorded in financial statements as a result, although referring to write-downs on loans
 to customers, cannot be converted into tax credits pursuant to Italian Law Decree 225/2010.
 It should also be noted with respect to the original instalment plan that the 2019 instalment
 has been deferred to 2028 (see Law no. 160 of 27 December 2019) and the 2025 and 2026 instalments
 have been deferred for payment in four consecutive annual instalments from 2026 to 2029 and
 in three consecutive annual instalments from 2027 to 2029, respectively (see Law no. 207
 of 30 December 2024).

Furthermore, note that the Bank exercised the irrevocable option provided in Italian Law Decree no. 59 of 3 May 2016 (and subsequent amendments) to maintain the right to convert DTAs relative to goodwill, other intangible assets, and loan write-downs and losses into tax credits; thus, it is necessary to pay an annual fee for each financial year from 2016 onwards, if the conditions apply, until 2030.

Deferred tax assets on unused tax losses are recognised based on the same criteria as those used to recognise deferred tax assets on deductible temporary differences: therefore, they are shown in the balance sheet to the extent to which they are likely to be recovered on the basis of the capacity of the company to generate a positive taxable profit in the future. Since the existence of unused tax losses may be symptomatic of difficulties to generate positive taxable profit in the future, IAS 12 establishes that if losses have been posted in recent periods, suitable evidence must be provided to support the existence of such profit in the future. Furthermore, current Italian tax law allows for IRES losses to be carried forward indefinitely (art. 84, paragraph 1, TUIR); as a result, verifying the existence of future taxable profit against which to use such losses is not subject to any time limits.

As mentioned above, the Bank verifies the probability that there will be future taxable income (probability test) using the risk-adjusted approach, which provides for the application of a discount factor to future income. This factor, applied with the compound interest criterion, discounts future income at an increasing rate to reflect its uncertainty. For more details on the assessments made by the Bank to verify the possibility of recognising deferred tax assets, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for recognising deferred tax assets (probability test)".

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Deferred tax assets and liabilities are calculated using the tax rates expected at the date on which the temporary differences are reversed, on the basis of the provisions in force at the reporting date. Any changes in tax rates or tax standards having a significant effect on deferred tax assets and liabilities that are issued or announced after the reporting date and before the publication authorisation date are treated as events after the balance sheet date that do not entail an adjustment pursuant to IAS 10, with the resulting disclosure in the notes.

Deferred tax assets and liabilities are posted to the balance sheet by offsetting each tax against the defined asset or liability to which it relates.

b) classification and measurement criteria

Deferred tax assets and liabilities are systematically measured to take account of any changes in regulations or tax rates and of any different subjective situations of Group companies.

With reference to tax consolidation of the Bank and participating subsidiaries, contracts have been stipulated to regulate offsetting flows in relation to the transfers of tax profits and losses. Such flows are determined by administering the applicable IRES tax rate to the taxable income of participating companies. The offsetting flow for companies that transfer tax losses – calculated as above – is posted by the consolidating to the consolidated company when and to the extent to which the consolidated company will transfer positive taxable income in tax periods subsequent to that in which the loss was recorded. Offsetting flows so determined are posted as receivables and payables with companies participating in fiscal consolidation, classified under other assets and other liabilities, offsetting item "270 - Tax expense (recovery) on income from continuing operations".

c) revenue recognition criteria

Where deferred tax assets and liabilities refer to components which affected the income statement, they are offset by income tax. When deferred tax assets and liabilities refer to transactions which directly affected equity without impacting the income statement (e.g. measurement of financial instruments at fair value through other comprehensive income or cash flow hedging derivatives), they are posted as an offsetting entry to shareholders' equity, involving the special reserves if required.

10 Provisions for risks and charges

Provisions for risks and charges: commitments and guarantees given

The sub-item in question includes provisions for credit risk on commitments to disburse funds and guarantees given that fall under the scope of application of the impairment rules pursuant to IFRS 9, consistent with the provisions for "Financial assets measured at amortised cost" and "Financial assets measured at fair value through other comprehensive income". For more detailed information on the impairment model, please refer to the subsequent paragraph "Use of estimates and assumptions when preparing financial statements - Methods for calculating impairment on IFRS 9 financial instruments".

In addition, the sub-item also includes provisions for risks and charges established for other types of commitments and guarantees given which, by virtue of their distinct characteristics, do not fall under the scope of application of the impairment rules pursuant to IFRS 9.

Provisions for risks and charges: post-employment benefits

The sub-item "Provision for risks and charges: b) post-employment benefits" includes appropriations, recognised based on IAS 19 "Employee Benefits", for the purpose of closing the technical deficit of defined benefit supplementary pension funds. Pension plans are either defined benefit or defined contribution schemes. The charges borne by the employer for defined contribution schemes are pre-determined; charges for defined benefit plans are estimated and shall take account of any shortfall in contributions or poor investment performance of defined benefit plan assets. For defined benefit plans, the actuarial values are determined by an external actuary in accordance with the Projected Unit Credit method. Actuarial gains and losses – defined as the difference between the book value of the liability and the present value of commitments at the end of the financial year – were the result of changes made to actuarial assumptions and adjustments based on past experience, and are recognised for the full amount in the statement of comprehensive income, under the item "Valuation reserves". For further details, please refer to the following paragraph "15 - Other information - Severance pay and other employee benefits".

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Provisions for risks and charges: other provisions

The sub-item "Provisions for risks and charges: c) other provisions" includes allocations made for estimated expenditures for legal or implicit obligations deriving from past events. These expenditures may be i) contractual in nature - allocations for the incentive system for employees and leaving incentives, indemnities envisaged in contractual clauses upon occurrence of certain events - , or ii) for compensation and/or restitution arising from, inter alia, legal obligation for environmental damage caused, form lawsuits - including claw-back actions -, from customers' claims for securities brokerage, and tax disputes.

The sub-item also includes provisions established at the starting date of lease agreements, stipulated as lessee, which require the dismantling/refurbishment of the underlying assets at the end of the contract. These provisions are recognised as a contra-entry of the assets recognised for the value of rights of use of properties (see item "80 - Property, plant and equipment").

Provisions for risks and charges consist of liabilities with uncertain amounts or payment dates and are recognised in the financial statements if:

&nbsp;&nbsp;&nbsp;&nbsp;· there
 is a current (legal or implicit) obligation resulting from a past event;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· an
 outflow of resources producing economic benefits is likely to be necessary in order to settle
 the obligation; and

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· a
 reliable estimate can be made of the likely future disbursement.

The amount recognised as a provision represents the best estimate of the financial disbursement necessary to fulfil the obligation existing at the reporting date and reflects the risks and uncertainties inherent in the events and situations reviewed. Whenever the time element is meaningful, the provisions are discounted using the current market rates. With the exception of provisions associated with lease agreements, the allocation and discounting effect are recorded in the income statement under item "170 - Net provisions for risks and charges", as is the increase in the provision due to the passage of time. Provisions are reviewed at each reporting date and adjusted to reflect the best current estimate. When an outflow of resources, intended to produce economic benefits in fulfilment of an obligation, becomes unlikely or when the obligation has lapsed, the provision is reversed.

In addition, each provision is used solely for the expenditures for which it was originally established.

No provision is shown for contingent and unlikely liabilities, but information is provided in the notes to the financial statements, except in cases where the probability of an outflow of resources to settle the amount is remote or the amount is not significant.

In particular, it should be noted that the provisions relating to:

&nbsp;&nbsp;&nbsp;&nbsp;· civil
 and criminal disputes arising from financial information disclosed in the period 2008-2015
 are determined as the weighted average of two estimates prepared by external experts:

<sub> </sub>

1) the "differential damage" criterion, which identifies the damage as the lowest price that the investor would have had to pay if he had access to complete and correct information;

2) the "full compensation criterion", which is based on the argument that false or incomplete information may have a causal impact on the consumer's choice of investments such that, in the presence of correct information, they would not have tout court made the investment in question. On the basis of this argument, the refundable damage is deemed to be the entire amount invested, after deduction of (a) the residual value of the security (or the amount obtained from the sale of the security), as well as (b) an additional amount that the investor could have obtained from the sale of the securities as soon as parity of information had been re-established;

&nbsp;&nbsp;&nbsp;&nbsp;· out-of-court
 claims relating to the period 2008-2015, in order to take into account the probability of
 their transformation into real disputes, the funds were determined by applying an experiential
 factor to requests made by counterparties;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· representations
 and guarantees issued in connection with the transfer and demerger of non-performing loans
 are determined on the basis of the analysis of the validity of the claims received, or,
 in the absence of suitable elements to make a sufficiently reliable estimate, using a statistical
 method. In the second case, the estimate is based on the results of a representative sample
 of exposures transferred/demerged with respect to which the competent functions analytically
 evaluate the compliance or compliance risk for each of the representations and guarantees
 released; in the context of this estimate the sample to be analysed and whose results are
 extrapolated to the entire population is identified.

<sub> </sub>

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11 Financial liabilities measured at amortised cost

a) classification criteria

Item "10 - Financial liabilities measured at amortised cost" includes the sub-items "a) due to banks", "b) due to customers", and "c) debt securities issued" and comprises the various types of funding (both interbank and from customers) and funds raised through certificates of deposit and outstanding bonds, net of any repurchase. Debt securities issued include all securities that are not subject to "natural" hedging through derivatives and that are classified as liabilities measured at fair value.

This item also incorporates payables booked by the lessee in relation to any stipulated finance and operating lease transactions, as well as repurchase agreements for funding and securities lent against cash guarantees that are fully available to the lender. Finally, operating payables related to the provision of financial services, as defined in the Consolidated Banking Law and Consolidated Law on Finance, are included in this item.

b) recognition criteria

These financial liabilities are initially recognised upon receipt of the amounts collected or at the time of issuance of debt securities based on their fair value, which is generally equal to the amount received or the issue price, increased by any additional costs/income directly attributable to the individual funding or issuing transaction and not reimbursed by the creditors. Internal administrative expenses are excluded.

Repurchase agreement transactions with the obligation to repurchase are posted as funding transactions for the spot amounts collected.

Should the requirements provided for by IFRS 9 for the separate recognition of embedded derivatives be met in the case of structured instruments, they are separated from the host contract and reported at fair value as a trading asset or liability. Instead, the host contract is recognised at amortised cost.

Lease liabilities recognised in relation to the lessor are measured at the present value of future lease payments for the duration of the lease. For more information on determining the duration, please refer to paragraph 6 "Property, plant and equipment represented by the right of use of assets under lease contracts".

c) measurement criteria and revenue recognition criteria

Following initial recognition, financial liabilities issued, net of any reimbursements and/or repurchases, are measured at amortised cost using the effective interest rate method. Short-term liabilities for which time effect is immaterial are an exception, and are recognised at the amount collected. Interest is charged to the income statement under item "20 - Interest expense and similar charges".

Following the commencement date, the book value of lease liabilities:

&nbsp;&nbsp;&nbsp;&nbsp;· increases
 for accrued interest expense, charged to the income statement under item "20 - Interest expense and similar charges";

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· decreases
 for lease instalment payments;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· is
 recalculated to take into account any new valuations (e.g., extension or reduction of the
 contract term) or changes in the lease (e.g., renegotiation of the lease payment) that occurred
 after the commencement date; the impact of the recalculation is recorded as a contra-entry
 of the asset for the right of use.

Moreover, funding instruments that have an effective hedging relationship are assessed based on the rules for hedging transactions.

d) derecognition criteria

Financial liabilities are derecognised upon maturity or extinction. Derecognition also occurs if previously issued securities have been repurchased. The difference between the book value of the liabilities and the amount paid to repurchase them is recorded in the income statement in item "100 - Gains (losses) on disposal or repurchase". A new placement in the market of own securities after their repurchase is considered a new issue and posted at the new price of placement, with no impact on the income statement.

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12 Financial liabilities held for trading

a) classification criteria

This item includes:

&nbsp;&nbsp;&nbsp;&nbsp;· financial
 liabilities issued with the intention to repurchase them in the short term;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· liabilities
 that are part of a jointly managed portfolio of financial instruments for which there is
 a proven strategy to obtain profits in the short term;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· derivative
 contracts with a negative fair value and not designated as hedging instruments, including
 both those embedded in complex financial instruments that have been unbundled from liabilities
 measured at amortised cost, as well as those related to assets/liabilities measured at fair
 value through profit or loss.

Moreover, liabilities that arise from technical overdrafts generated by securities trading activities are included.

b) recognition criteria

Financial liabilities held for trading are initially recognised on the settlement date for cash liabilities and on the subscription date for derivative contracts.

Upon initial recognition, they are measured at fair value, which usually corresponds to the amount collected net of any transaction costs or income directly attributable to the instrument itself, which are directly posted to the income statement.

c) measurement criteria

After initial recognition, financial liabilities held for trading are measured at fair value, with the result of the measurement recognised in the income statement. For a description of criteria used to determine the fair value of financial instruments, please see Section "A.4.5 Fair Value Hierarchy" in Part A of these Notes to the financial statements.

d) revenue recognition criteria

Profit and losses from trading and capital gains and losses from valuation are recognised under item "80 - Net profit (loss) from trading" in the income statement, including those relating to derivative instruments related to the fair value option.

e) derecognition criteria

Trading financial liabilities are derecognised when the contractual rights on the related cash flows expire or when the financial liabilities are sold with the substantial transfer of all related risks and benefits arising from ownership.

13. Financial liabilities measured at fair value

a) classification criteria

This category includes financial liabilities for which, upon initial recognition, the option of measurement at fair value through profit or loss was chosen; this option is allowed when:

&nbsp;&nbsp;&nbsp;&nbsp;1. a
 lack of standardisation in the measurement or recognition that would otherwise result from
 the valuation of assets or liabilities or the recognition of the related profits and losses
 on different bases (known as "accounting mismatch") is eliminated or significantly
 reduced; or

&nbsp;&nbsp;&nbsp;&nbsp;2. the
 management and/or measurement of a group of financial instruments at fair value through profit
 or loss is consistent with an investment or risk management strategy documented as such
 by senior management; or

&nbsp;&nbsp;&nbsp;&nbsp;3. a
 host instrument embeds a derivative which significantly modifies the cash flows of the host
 and should otherwise be unbundled.

The option to designate a liability at fair value is irrevocable, is carried out on an individual financial instrument, and does not require the same application to all instruments having similar characteristics. It is not permitted to use the fair value designation for only one portion of a financial instrument, attributable to a single risk component to which the instrument is subject.

The Bank has exercised this option in relation to case 1, classifying under this item the financial liabilities that are subject to "natural hedging" through derivative instruments. In Section15 "Other information", a specific paragraph is included to provide insight into the hedging management methods through the adoption of the fair value option.

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b) recognition criteria

Upon initial recognition, these financial liabilities are measured at fair value, which usually corresponds to the amount collected net of any transaction costs or income directly attributable to the instrument itself, which are directly posted to the income statement.

c) measurement criteria and revenue recognition criteria

Following initial recognition, financial liabilities are measured at fair value. Gains and losses arising from any changes in the fair value of these liabilities are recognised:

&nbsp;&nbsp;&nbsp;&nbsp;· in
 item "110 - Valuation reserves", for the portion related to the change in fair
 value that is attributable to changes in the issuer's creditworthiness, unless this
 creates or increases an accounting mismatch in the profit (loss) for the year, in which case
 the entire change in fair value of the liability must be charged to the income statement.
 Effects associated with the change in own creditworthiness are recorded in the statement
 of comprehensive income, net of the related tax effect, along with the other income components
 that will not be reversed to the income statement. The amount charged to the specific equity
 reserve will never be reversed to the income statement, even if the liability expires or
 lapses; in this case, the cumulative gain (loss) in the specific valuation reserve must be
 reclassified to another shareholders' equity item ("140 - Reserves");

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· in
 the income statement under item "110 - Net profit (loss) from financial assets and
 liabilities measured at fair value through profit or loss", for the portion of the
 fair value change not attributable to changes in own creditworthiness.

For a description of criteria used to determine the fair value of financial instruments, please see Section "A.4.5 Fair Value Hierarchy" in Part A of these Notes to the financial statements.

d) derecognition criteria

Financial liabilities are derecognised when the contractual rights on the related cash flows expire or when the financial liabilities are sold with the substantial transfer of all risks and benefits resulting from the ownership.

For financial liabilities represented by securities issued, derecognition also occurs if previously issued securities have been repurchased. The difference between the book value of liabilities and the amount paid to purchase them is recorded in the income statement under item "110 - Net profit (loss) from financial assets and liabilities measured at fair value through profit or loss", with the exception of profits/losses associated with the change in own creditworthiness, which continues to be recognised in an equity reserve, as described above. A new placement in the market of own securities after their repurchase is considered a new issue for accounting purposes and posted at the new price of placement, with no impact on the income statement.

14 Foreign currency transactions

a) Definition

Foreign currency means a currency other than the entity's functional currency; more specifically, this is the currency of the prevailing economy where the entity itself operates.

b) recognition criteria

Upon initial recognition, foreign currency transactions are recognised in the currency of account using the foreign exchange rates on the date of the transaction.

c) measurement, derecognition and revenue recognition criteria

Financial statement entries denominated in foreign currencies are valued at the end of each reporting period as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· monetary
 entries are converted using the exchange rate on the closing date;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· non-monetary
 entries valued at historical cost are converted using the exchange rate on the date of the
 transaction;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· non-monetary
 entries that are measured at fair value in a foreign currency are translated at the closing
 date rate.

Any exchange-rate differences resulting from the settlement of monetary elements, or from the conversion of monetary elements at rates other than those used for initial conversion or conversion in the previous financial statements, are posted to the income statement for the period in which they arise.

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When a profit or a loss on a non-monetary element is recognised in equity, the exchange-rate difference in relation to said element is also posted to equity. However, when a profit or a loss is posted to the income statement, the relative exchange-rate difference is also posted there.

The accounting position of foreign branches with different operating currencies is converted into euros by using the exchange rates at the reporting date. Any exchange rate differences attributable to investments in such foreign branches, and those resulting from the conversion into euros of their accounting position, are recognised in equity reserves and transferred to the income statement only in the financial year when the investment is disposed of or reduced.

15 Other information

Other financial statement items

*Cash and cash equivalents*

This item includes currencies that are legal tender, including foreign banknotes and coins and all loans "on demand" in the form of current account and deposits with the central bank of the country or countries in which the Bank operates through its own companies or branches, with the exception of the compulsory reserve.

The item is posted at face value. For foreign currencies, the face value is converted into euros at financial year-end exchange rate.

*Change in value of macro-hedged financial assets and liabilities*

These items include, respectively, the positive or negative balance of changes in fair value of assets (item "60 Value adjustment of financial assets subject to macro-hedging") and financial liabilities (item "50 Adjustment of value of financial liabilities subject to macro-hedging"), subject to macro-hedging against interest rate risk, whose economic counter-entry is represented by item "90 Net profit (loss) from hedging", as well as for specific fair value hedges. For more detailed information, please refer to the discussion in paragraph 4 "Hedging transactions".

*Other assets*

This item shows assets not attributable to the other items on the asset side of the balance sheet. It may include, for example:

&nbsp;&nbsp;&nbsp;&nbsp;· gold,
 silver, metals and precious stones;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· items
 in processing;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· accrued
 income and prepaid expenses not attributable to their own separate item;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· receivables
 associated with the provision of non-financial goods or services and accrued income other
 than that which is capitalised on the related financial assets, including those resulting
 from contracts with customers pursuant to IFRS 15;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· costs
 incurred for the acquisition and fulfilment of contracts with customers with a multi-year
 duration, capitalised and amortised to the extent that they are incremental and it is expected
 to be recovered, as required by paragraphs 91 et seq. of IFRS 15;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· any
 inventories according to the definition of IAS 2, excluding those classified as inventories
 of property, plant and equipment;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· tax
 credits other than those recognised under item "100 - Tax assets";

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 tax credits associated with the "Cura Italia" and "Rilancio" Law
 Decrees;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· improvements
 and incremental expenses incurred on third-party real estate other than those attributable
 to item "80 - Property, plant and equipment" and therefore not independently
 identifiable and separable.

The costs in the latter bullet point are posted to item "120 - Other assets", since the user company exercises control of the assets for the purpose of the tenancy agreement and can obtain future economic benefits from them. Said costs are amortised according to the shorter of the period in which the improvements and incremental expenses can be used and the remaining term of the contract, including the renewal period, where applicable.

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*Other liabilities*

This item shows liabilities not attributable to the other items on the liabilities side of the balance sheet and includes, for example:

&nbsp;&nbsp;&nbsp;&nbsp;· items
 in processing;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· payment
 agreements that must be classified as debit entries according to IFRS 2;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· debit
 entries connected with payment for provision of non-financial goods and services;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· accrued
 liabilities other than those to be capitalised for the respective financial liabilities,
 including those deriving from contracts with customers pursuant to IFRS 15;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· sundry
 tax liabilities other than those recognised under item "60 - Tax liabilities",
 associated, for example, with substitute tax assets.

*Severance pay and other employee benefits*

Employee severance pay is defined as a "benefit subsequent to the employment relationship", in accordance with IAS 19, classified as:

&nbsp;&nbsp;&nbsp;&nbsp;· "defined
 contribution plan" for the portions of severance pay accrued starting from 1 January
 2007 (when the supplementary social security reform under Legislative Decree No. 252 of
 5 December 2005 entered into force), both for the case in which the employee opts for supplementary
 social security, as well as the case in which the employee opts for the allocation to the
 INPS treasury fund. For these portions, the amount recognised under personnel costs is determined
 on the basis of the contributions due, without applying any actuarial methodology;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· "defined
 benefit plan" for the portions of severance pay accrued up to 31 December 2006. These
 portions are recognised according to their actuarial values, as determined in accordance
 with the Projected Unit Credit Method, without being pre-rating for service rendered, since
 the current service cost of severance pay is almost fully accrued and its revaluation for
 the years to come is not expected to result in significant benefits for employees.

In general, "post-employment plans" - which include severance pay as well as pension funds - are divided into the two categories "defined benefit" or "defined contribution", based on their characteristics.

In particular, for defined contribution plans, the cost is represented by contributions accrued during the financial year, given that the company has only the obligation to pay the contractually established contributions to a fund and, consequently, has no legal or implicit obligation to pay, in addition to the contribution, additional amounts if the fund does not have sufficient assets to pay all the benefits to employees.

For defined benefit plans, the actuarial and investment risk, that is, the risk of a shortfall in contributions or poor investment performance of the assets in which the contributions are invested, is borne by the company. The liability is calculated by an external actuary based on the Projected Unit Credit method. Based on this method, future disbursements must be estimated based on demographic and financial assumptions, to be discounted to consider the time that will pass before the actual payment and to be adjusted for the ratio between the years of service accrued and the theoretical seniority estimate at the time the benefit is paid. For discounting purposes, the rate used is determined with reference to the market yield of primary corporate bonds taking into account the average residual duration of the liability, weighted according to the percentage of the amount paid and advanced, for each maturity, compared to the total to be paid and advanced up to the final settlement of the full bond.

The actuarial value of the liability thus calculated must then be adjusted for the fair value of any assets servicing the plan (net liabilities/assets). Actuarial gains and losses that arise as a result of adjustments to the previous actuarial assumptions formulated, following actual historical data or due to changes in the actuarial assumptions, entail a re-measurement of net liabilities and are offset against an equity reserve (item "110 - Valuation reserves") and are thus presented in the "Statement of comprehensive income". The change in the liability resulting from a change or reduction in the plan is recorded in the income statement as a profit or loss. More precisely, the specific case of a change applies if a new plan is introduced or an existing plan is withdrawn or modified. Instead, there is the case of a reduction due to a significant negative variation in the number of employees included in the plan, such as, for example, redundancy plans for redundant workers (access to the Solidarity Fund).

The Projected Unit Credit method, described above, is also used to measure long-term benefits, such as seniority bonuses for employees. Contrary to that which was described for defined benefit plans, actuarial gains and losses associated with the measurement of long-term benefits are immediately recognised in the income statement.

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*Valuation reserves*

This item includes valuation reserves relating to equity securities designated at fair value through other comprehensive income, financial assets (other than equity securities) measured at fair value through other comprehensive income, foreign investment hedging, cash flow hedges, exchange rate differences, "individual assets" and groups of assets under disposal, the portion of valuation reserves of equity-accounted equity investments, actuarial gains (losses) on defined benefits investment plans, gains/losses related to the change in own creditworthiness relating to liabilities under fair value option, property for business use measured on the basis of the restated value method.

*Share capital and Treasury shares*

This equity item includes the amount of issued shares net of any capital subscribed but not yet paid at the reporting date. The item is shown including any treasury shares held by the Bank. Treasury shares are recognised in financial statements as a negative component of shareholders' equity.

The original cost of repurchased treasury shares and the profits or losses from their subsequent sale are recognised as changes in shareholders' equity. Transaction costs for a share capital transaction, such as an increase in share capital, are recorded as a reduction in shareholders' equity, net of any related tax benefits. Dividends on ordinary shares are recorded as a reduction of shareholders' equity in the financial year in which the Shareholders' Meeting approved their distribution.

Other significant accounting practices

*Revenues from contracts with customers (IFRS 15)*

Revenues are gross inflows of economic benefits deriving from the ordinary activities of the company. They are recognised at the moment that control of the goods or services passes to the customer, for an amount equal to the consideration which the entity is expected to be entitled to. In particular, revenues deriving from contracts with customers are recorded in financial statements only if the relative contract is identifiable, that is:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 parties have approved the contract and are committed to its execution;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 rights and obligations of the parties can be clearly identified in the contract;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 payment terms for the transferred goods and services can be identified;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 contract has commercial substance, in the sense that it impacts the entity's cash flows;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· it
 is considered likely that the consideration will be collected upon transfer of the assets
 and provision of the services. For this assessment, only the customer's ability and
 intention to pay the amount due should be considered.

After the contract's consideration has been allocated to individual obligations resulting from the contract, revenue is recognised in the income statement when the customer obtains control of the goods or services promised (or when the performance obligation may be deemed satisfied) and can be:

&nbsp;&nbsp;&nbsp;&nbsp;· at
 a specific point in time (e.g., when the entity fulfils the obligation to transfer the promised
 good or service to the customer);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· over
 a period of time (e.g., as the entity fulfils the obligation to transfer the promised good
 or service to the customer).

The consideration promised in the customer contract may include fixed amounts, variable amounts, or both. Specifically, the contract's consideration may vary based on reductions, discounts, reimbursements, incentives, performance bonuses, or other similar elements. The consideration may also vary depending on whether a future event occurs (as in the case of a fee linked to performance objectives).

The methods suggested by IFRS 15 for estimating the variable portion of remuneration are:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 expected value method, i.e., the weighted sum of the amounts in a range of possible considerations
 (for example, the company has many contracts with similar characteristics);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 most likely amount method, or the most likely in a range of possible considerations (for
 example, the company receives a performance bonus or does not receive it).

If there is an element of variable consideration, revenue is recognised in the income statement only if it is possible to reasonably estimate the revenue and if it is highly probable that this consideration will not be subsequently reversed from the income statement, whether in full or for a significant part. In the event of a high prevalence of factors of uncertainty linked to the nature of the consideration, it will only be recognised at the moment this uncertainty is resolved. In any case, the estimated part of the transaction price must be updated at the end of each reporting period. The presence of financial components is also considered in determining the price, if considered relevant.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

In the case of commercial agreements that envisage the recognition of variable non-cash consideration to the entity, linked to the achievement of specific targets and that can be used for services rendered by the commercial partner, the Bank recognises these revenues in the income statement in the financial year in which they accrue, at a value that is not more than the fair value of services effectively rendered by the partner.

If the entity receives from the customer a consideration that provides for the reimbursement to the customer, in whole or in part, of the revenue received, a provision for risks and charges is recognised against the expected future repayments. The case may occur, for example, when the customer has a right of withdrawal for the asset or if the contract includes a claw-back clause. This standard also applies to loyalty programmes, against which a refund liability is recognised. The liability for future redemptions is equal to the amount of the consideration received (or receivable) for which it is expected that the entity is not entitled to (i.e., amounts not included in the transaction price). The liability for future redemptions (as well as the corresponding change in the transaction price and, consequently, the liability arising from the contract) must be updated on the closing date of each reporting period to take account of changes in circumstances.

For contracts for the placement of third-party products, which provide for the reimbursement of part of the commissions received in the event of early termination by the customer and in the presence of claw-back clauses linked to the failure to achieve target commission volumes, the Bank quantified this provision for risk and charges based on historical trends for early repayments and reimbursements to customers. The monitoring and forecasting of volumes of the collected and reversed fees enable the provision to be adjusted at each reporting date. The model that is used is based on the most likely amount method.

The model that is used is based on the most likely amount method. In addition, the Group has a credit card loyalty programme in place, according to which reward points are granted to customers based on the volumes transacted; reward points are redeemed through prizes purchased mainly from external suppliers. Reward points granted to customers who subscribe to a product/service of the Bank require the suspension of recognition in the income statement of the portion of revenue attributable to the recognised reward points, as an offsetting entry to other liabilities. For this purpose, the transaction price of the performance obligation associated with the reward points granted is estimated, using a model based on the fair value of the reward points, calculated using several factors including: redemption forecasts for the reward points accrued by customers and the cost related to reward purchases. The portion of the consideration able to be allocated to the award points is accounted for as a refund liability; the release to the profit and loss account occurs only when the obligations associated with the bonus points have been fulfilled, i.e. at the time of actual redemption by the customer.

Lastly, the incremental costs for obtaining the contract that are expected to be recovered and the costs for fulfilling the contract are capitalised when these costs can be directly attributed to the contract, can generate resources that can be used to fulfil future contractual performance obligations, and be considered recoverable. This recognised asset is systematically amortised in accordance with the transfer to the customer of the good or service to which the asset refers and, therefore, in accordance with the accounting of the corresponding revenues.

*Revenues and costs relating to financial instruments*

With reference to the income and charges relating to financial assets/liabilities, note that:

&nbsp;&nbsp;&nbsp;&nbsp;a) interest
 is booked *pro rata temporis* on the basis of contractual interest rate or the effective
 interest rate in the event of application of the amortised cost. In this case, any marginal
 costs and income, considered an integral part of the return of the financial instrument,
 are considered in the effective interest rate and recognised under interest. Interest income
 (or interest expense) also includes the spreads or margins, positive (or negative), accrued
 up to the reporting date, in relation to financial derivative contracts:

- hedging assets and liabilities that generate interest;

- classified in the balance sheet in the trading book, but operationally linked to financial assets and/or liabilities measured at fair value (fair value option);

- connected operationally with assets and liabilities classified in the trading book and which entail the settlement of differentials or margins over several maturities;

&nbsp;&nbsp;&nbsp;&nbsp;b) interest
 on arrears is posted to the income statement only upon actual collection;

&nbsp;&nbsp;&nbsp;&nbsp;c) dividends
 are shown in the income statement upon resolution of their payout, i.e. when their payment
 is due;

&nbsp;&nbsp;&nbsp;&nbsp;d) commissions
 for service income are posted in the period when said services were rendered, on the basis
 of existing contractual agreements. The commissions considered in the amortised cost for
 purposes of calculating the effective interest rate are recorded in interest;

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BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;e) the
 profits and losses resulting from the initial recognition at fair value, as determined by
 the difference between the transaction price and the fair value of the instrument, are booked
 to the income statement upon reporting of the transaction if the fair value can be determined
 with reference to parameters or recent transactions observable on the same market in which
 the instrument is traded; otherwise, they are distributed over time, taking into account
 the duration and the nature of the instrument;

&nbsp;&nbsp;&nbsp;&nbsp;f) gains
 and losses from the sale of financial instruments are recognised in the income statement
 when the sale is finalised, with the relative transfer of risks and benefits, based on the
 difference between the consideration received and the book value of the instruments themselves.

*Costs for constant services and decreasing payments*

The IFRS accounting standards do not provide specific guidelines on the accounting treatment to be applied for recognising costs related to service contracts that are rendered by the supplier through an indeterminate number of actions, over a given period of time. If there are cases of services rendered by suppliers through a single performance obligation relating to the provision of a specific number of units, such as a certain volume of services, which remain constant throughout the contract term and this single performance obligation is satisfied over time with a decreasing payment amount due by the customer, the Bank analogically applies the accounting treatment envisaged by IFRS 15 accounting standard (see Basis for Conclusions 313-314).

In detail, in cases of the provision of services characterised by a constant volume over time and decreasing payments, an average unit cost is assigned to the services received and the related costs are recognised on straight-line basis. This straight-line method for posting costs entails the need to recognise a prepaid asset which, at each reporting date pursuant to IAS 36, is subject to an assessment to determine if there are impairment indicators which also takes into account the analyses carried out for purposes of onerous contracts. In the event that impairment indicators are identified, the recoverable value of the asset must be calculated and a write-down must be recognised in the financial statements when the recoverable value is lower than the book value.

*Share-based payments*

These are payments to employees, as consideration for work performed, settled with equity instruments, which consist, for example, in assigning:

&nbsp;&nbsp;&nbsp;&nbsp;· rights
 to subscribe share capital increases with consideration (stock options);

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· rights
 to receive shares upon achieving certain objectives or at the end of the employment relationship.

Pursuant to IFRS 2, payments based on treasury shares fall into various categories, including:

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· as
 "equity settled" plans, i.e. settled in equity instruments, to be recognised
 on the basis of the fair value of the work services received;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· as
 "cash-settled" plans, i.e. settled in cash for an amount indexed to the value
 of the shares, to be recognised based on the fair value of the liability assumed.

With regard to "equity-settled" plans, given the difficulties of directly estimating the fair value of employment services received as an offsetting entry to the assignment of shares, the value of the services received can be measured indirectly, using as a reference the fair value of equity instruments at the date they are assigned. The fair value of payments settled by issuing shares is recognised according to the criterion of the service provided, in the income statement item "160a) - Personnel expenses" as an offsetting entry to an increase in the item "140 - Reserves".

In the case of "cash-settled" plans, on the other hand, the cost of the work services received is recognised in the Income Statement item "160 -a) Personnel expenses" as a balancing entry to a liability to be measured at fair value based on the price of the shares assigned. The fair value must be updated at the end of each financial year and at the settlement date by posting changes in fair value to the income statement until the liability is extinguished.

When the assigned shares or countervalue cannot immediately be used by the employee, but rather are available only after the employee has completed a specific period of service, the company recognises the cost as consideration for the service rendered throughout the accrual period for these conditions ("vesting period").

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

*Financial instruments offsetting*

Pursuant to IAS 32, paragraph 42, financial assets and financial liabilities are offset and recognised in the Financial Statements for the net balance if the entity:

&nbsp;&nbsp;&nbsp;&nbsp;· has
 a legal right to effect such set-off, which is currently exercisable in all circumstances,
 whether in the ordinary conduct of business or in situations of non-performance, insolvency
 or bankruptcy of the parties;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· intends
 to settle transactions on a net settlement or on a gross settlement basis whose material
 effect is equivalent to a net settlement.

For derivative instruments covered by netting agreements, which comply with the requirements outlined above, Circular No. 262 provides for netting between all trading derivatives and all hedging derivatives. Should the imbalance of trading derivatives have the opposite sign to the imbalance of all hedging derivatives, a net presentation of these imbalances is provided: Conventionally, the net balance is allocated to the trading portfolio rather than to hedging derivatives, depending on the absolute value of the imbalance between trading and hedging derivatives.

In accordance with the requirements of IFRS 7, more detailed information is provided in the tables contained in Part B - Other Information of these Notes to the financial statements, in which the following are more specifically set out:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 book values of assets and liabilities that meet the requirements of IAS 32, paragraph 42,
 before and after accounting offsetting;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· exposures
 subject to framework offsetting agreements that have not given rise to offsetting but which
 may potentially trigger offsetting as a result of specific circumstances;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the
 collateral attached to them.

*Business combinations*

A business combination is defined as the transfer of control of a company (or of a group of assets and integrated goods, conducted and managed as a unit). For the definition of control, please refer to Section 3 "Scope of consolidation" of this part A of the Notes to the financial statements.

A business combination may give rise to an investment link between the acquiring Parent Company and the acquired subsidiary. In these cases, the acquirer applies IFRS 3 "Business combinations" to its consolidated financial statements, while in the separate financial statements it recognises the acquired interest as an equity investment in a subsidiary, consequently applying IAS 27 "Separate financial statements".

A business combination may also provide for the acquisition of the net assets of another entity, including any goodwill, or the acquisition of the share capital of another entity (e.g., mergers, splits, acquisitions of business units). Such a business combination is not an investment link like the one between a parent company and a subsidiary, and therefore in these cases IFRS 3 is also applied to the acquiring entity's separate financial statements.

Business combinations are accounted for using the purchase method, which requires: (i) identification of the acquirer; (ii) determination of the acquisition date; (iii) determination of the cost of the business combination; (iii) allocation of the acquisition price ("Purchase Price Allocation").

**Identification of the acquirer**

IFRS 3 requires that an acquirer is identified for all business combinations, identified as the party that obtains control over another entity, understood as the power to set financial and management policies of the entity in order to receive benefits from its activities. In the case of business combination transactions that result in the exchange of equity interests, identification of the acquirer must consider factors such as: (i) the number of new ordinary voting shares issued out of the total number of ordinary voting shares that will constitute the capital of the existing company after the combination; (ii) the fair value of the entities participating in the combination; (iii) the composition of the new corporate bodies; (iv) the entity issuing the new shares.

**Determination of the acquisition date**

The acquisition must be posted to the accounts on the date when the acquirer effectively obtains control over the entity and/or assets acquired. When the transaction is made in a single exchange transaction, the date of exchange is equal to the date of acquisition unless the parties agree a transfer of control prior to the date of exchange.

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**Determination of the cost of the business combination**

The consideration paid in a business combination is equal to the fair value, on the purchase date, of assets sold, liabilities incurred, and equity instruments issued by the acquirer in exchange for obtaining control of the acquired entity. The consideration that the acquirer transfers in exchange to the acquired entity includes any assets and liabilities resulting from an agreement on "contingent consideration", to be recognised at the fair value on the acquisition date. Changes to the consideration transferred are possible if they result from additional information on events and circumstances that existed at the acquisition date and may be recognised within the measurement period for the business combination (i.e., within twelve months from the acquisition date, as specified below). Any other changes deriving from events or circumstances subsequent to the acquisition, such as consideration recognised to the seller linked to the achievement of a certain profit performance, must be recorded in the income statement.

Costs related to the acquisition, which include brokerage fees, consulting, legal, accounting, and professional fees, as well as general administrative costs, are recorded in the income statement as they are incurred, with the exception of the costs of issuing shares and debt securities, which are recognised on the basis of the provisions of IAS 32 and IFRS 9.

**Allocation of the acquisition price ("Purchase Price Allocation")**

According to the purchase method, at acquisition date the acquirer must allocate the cost of the business combination (known as PPA, "Purchase Price Allocation") to the identifiable assets acquired and to the liabilities assumed measured at their fair value on that date, as well as recognising the value of non-controlling interests of the acquired entity. Exceptions to the application of this principle are the detection of: (i) income taxes; (ii) liabilities relating to employee benefits; (iii) assets arising from indemnities; (iv) share-based payment transactions; (v) assets held for sale; leasing where the acquiree is the lessee; (vi) regained rights and (vii) insurance contracts for which the respective reference principles apply.

Therefore, it is necessary to draw up a balance sheet for the acquired entity, at the acquisition date, measuring at fair value the identifiable assets acquired (including any intangible assets not previously recognised by the acquired entity) and identifiable liabilities assumed (including contingent liabilities).

For each business combination, non-controlling interests may be recognised at fair value or in proportion with the percentage of identifiable net assets held in the company acquired.

In addition, if control obtained through subsequent acquisitions (business combinations carried out in several phases), the previously held equity interest is measured at fair value at the acquisition date and the difference compared to the previous book value must be charged to the income statement or to other revenue components in the statement of comprehensive income.

Hence, at the acquisition date, the acquirer must determine the difference between:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 sum of:

<sub> </sub>

- the cost of the business combination;

the amount of any non-controlling interests as described above;

- the fair value of any equity interests previously held by the acquirer;

and

&nbsp;&nbsp;&nbsp;&nbsp;· the
 fair value of identifiable net assets acquired, including contingent liabilities.

Any positive difference must be recorded as goodwill; conversely, any negative difference must be charged to the income statement of the entity resulting from the business combination as profit deriving from the purchase at favourable prices (negative goodwill, or badwill), after having performed a new measurement aimed at ascertaining the correct process of identifying all assets acquired and liabilities assumed.

The fair value of assets and liabilities must be definitively identified within the maximum term of twelve months from the acquisition date (measurement period).

Once control has been obtained and the purchase method described above has been applied, any further increase or decrease in the equity interest in a subsidiary in which control is maintained is recognised as a transaction between shareholders. Therefore, the book values of the shareholders' equity of the Group and non-controlling interests must be adjusted to reflect changes in equity interests in the subsidiary. Any difference between the value for which non-controlling interests are adjusted and the fair value of the consideration paid or received must be recognised directly in the Group's shareholders' equity.

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If there is an event which results in the loss of control, an entry is made to the income statement equivalent to the difference between (i) the sum of the fair value of the consideration received and the fair value of the residual equity interest held and (ii) the previous book value of the assets (including goodwill) and liabilities of the subsidiary and any minority shareholders' equity. The amounts previously recognised in the statement of comprehensive income (such as the valuation reserves of financial assets measured at fair value through other comprehensive income) must be accounted for in the same way as if the parent company had directly disposed of the assets or the related liabilities (through reclassification in the income statement or shareholders' equity).

The fair value of any equity interest held in the former subsidiary must be considered equal to the fair value upon initial recognition of a financial asset according to IFRS 9, or, where appropriate, equal to the cost at the time of initial recognition in an associate company or a jointly controlled entity.

*Business combinations under common control*

Business combinations of entities under common control are excluded from the scope of application of IFRS 3 and in the absence of a reference standard, such business combinations are accounted for by referring to Assirevi Preliminary Guidance No. 1 and No. 2 (OPI 1 - "Accounting treatment of business combinations of entities under common control" in the separate and consolidated financial statements and OPI 2 - "Accounting treatment of mergers in the financial statements"). These guidelines consider the economic significance of business combinations on the basis of cash flow impact on the Bank. Transactions that do not have a significant impact on future cash flows are recognised on a going-concern basis. In particular, the values adopted are those resulting from the Consolidated Financial Statements of the Group at the date of transfer of the assets. This is in compliance with the provisions of IAS 8, paragraph 10, which requires, in the absence of a specific standard, to use one's judgement in applying an accounting standard in order to provide relevant, reliable, prudent disclosure that reflects the economic substance of the transaction.

*Amortised cost*

The amortised cost of financial assets or liabilities is the value at which they were measured upon initial recognition, net of principal repayments, plus or minus overall amortisation calculated using the effective interest method, on the differences between the initial value and that at maturity and net of any impairment.

The effective interest rate is the rate which equates the present value of a financial asset or liability with the future contractual payments or collection cash flows until maturity or a subsequent repricing date. To calculate the current value, the effective interest rate is applied to future collection or payment flows over the entire useful life of the financial assets or liabilities – or for a shorter period if certain conditions are met (for example, a change to market rates).

Following initial recognition, the amortised cost makes it possible to allocate income and costs reducing or increasing the instrument over its entire expected life by means of the amortisation process. The determination of the amortised cost is different depending on whether the financial assets/liabilities are subject to valuation at a fixed or variable rate.

For fixed-rate instruments, future cash flows are quantified based on the known interest rate during the term of the financing. For floating-rate financial assets/liabilities, whose variability is not known beforehand (because, for example, it is tied to an index), cash flows are determined on the basis of the last known rate. At every rate review date, the amortisation schedule and the actual rate of return over the entire useful life of the instrument, i.e. until maturity, are recalculated. The adjustment is recognised as cost or income in the income statement.

Financial assets measured at amortised cost and those measured at fair value with an impact on comprehensive income are measured at amortised cost; as well as for financial liabilities measured at amortised cost

Financial assets and liabilities traded at market conditions are initially recognised at their fair value, which normally corresponds to the amount disbursed or paid inclusive - in the case of instruments valued at amortised cost - of transaction costs and commissions directly attributable to the assets and liabilities.

Transaction costs include marginal internal and external costs and income attributable to the issue, acquisition or sale of a financial instrument that cannot be charged to the customer. These fees, which must be directly attributable to the individual financial assets or liabilities, impact the original effective return and make the effective interest rate associated with the transaction different from the contractual interest rate. Indistinguishable costs related to several transactions and components related to events that may occur during the life of the financial instrument, but which are not certain at the time of the initial definition, are excluded, such as: fees for retrocession, for failure to use, and for early repayment.

Commissions for services collected following the performance of structured finance activities that would have been collected regardless of the subsequent financing of the transaction (such as, for example, facilities and arrangements fees), as well costs for underwriting transactions and participation in syndicated transactions, are also not considered in the calculation of the amortised cost.

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With particular reference to loans, fees paid to distribution channels (agents, advisors, brokers) and administrative costs (appraisals, notarial services, etc.) associated with any subrogations are considered costs attributable to the financial instrument; while revenues considered in the calculation of the amortised cost are assessment fees, practical management fees and up-front fees relating to lending at below-market rates.

With regard to securities not measured at fair value through profit or loss, transaction costs include both commissions for contracts with brokers operating on Italian stock markets and commissions paid to intermediaries operating on foreign stock and bond markets defined on the basis of commission tables.

For securities issued, commissions for bond placement paid to third parties, amounts paid to stock exchanges, and fees paid to the auditors for activities performed for each individual issue are considered in the calculation of amortised cost, while commissions paid to rating agencies, legal expenses and consultancy/audit fees for the annual update of the prospectuses, as well as costs for the use of indices and commissions that originate during the life of the bond are not considered in the amortised cost calculation.

Compared to the general approach, the effective interest rate must be calculated differently for those financial instruments measured at amortised cost or at fair value through other comprehensive income, purchased or originated, which at the time of their initial recognition are already credit impaired (known as PCI or OCI).

The amortised cost also applies to the measurement of the impairment of the financial instruments listed above as well as to the recognition of those issued or purchased at a value other than their fair value. The latter are recorded at fair value, rather than for the amount collected or paid, calculated by discounting future cash flows at a rate equal to the effective rate of return of similar instruments (in terms of creditworthiness, contractual maturity, currency, etc.), with a financial income or expense recognised in the income statement at the same time; subsequent to initial valuation, they are valued at amortised cost, with actual interest being higher or lower than nominal interest. Lastly, structured liabilities that are not measured at fair value through profit or loss are also measured at amortised cost as the derivative contract embedded in the financial instrument has been recognised separately.

The criterion for measurement at amortised cost does not apply for hedged financial assets/liabilities for which changes in fair value for the hedged risk are charged to the income statement. However, the financial instrument is re-measured at amortised cost if the hedge is suspended, the moment from which the previously recognised changes in fair value are amortised, by calculating a new effective interest rate that considers the loan value adjusted for the fair value of the hedged element, until the expiry of the hedge that was originally envisaged. Moreover, as mentioned above in the paragraphs relating to financial assets and liabilities measured at amortised cost, the amortised cost measurement does not apply to financial assets/liabilities whose short duration makes the economic effect of discounting negligible or to loans without a defined maturity or revocation.

*Purchased or originated credit impaired financial assets (POCI)*

These are instruments for which the credit risk is very high and which, in the event of purchase, are purchased at a considerably discounted value compared to the initial disbursement value; for this reason, they are considered already credit impaired at the time of first recognition in the Financial Statements.. Depending on the Business Model with which the asset is managed, these assets are classified in item "30 - Financial assets measured at fair value through other comprehensive income" or in item "40 - Financial assets measured at amortised cost" and among off-balance sheet exposures.

In relation to POCIs, there are two different types:

&nbsp;&nbsp;&nbsp;&nbsp;· instruments
 or portfolios of non-performing loans acquired on the market (Purchased Credit Impaired –
 "PCI");

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loans
 disbursed by the Bank to customers characterised by a very high credit risk (Originated Credit
 Impaired – "OCI").

Impaired financial assets acquired through a business combination pursuant to IFRS 3 fall within the scope of application of IFRS 9 PCI.

Note that these financial assets are initially recorded in Stage 3, without prejudice to the possibility of reclassifying them to performing loans (Stage 2), for which an expected loss will continue to be recorded according to an impairment model based on lifetime ECL, as described below. It should be noted that, regardless of the stage in which they are recorded, these financial assets are accounted for separately from the three stages of credit risk.

With reference to the initial recognition, measurement and derecognition criteria, please refer to the discussion corresponding to the asset items into which they can be classified, with the exception of what is specified below in relation to procedures for calculating amortised cost and impairment.

In detail, the amortised cost and consequently the interest income are calculated using an effective interest rate adjusted for the credit (known as "credit-adjusted effective interest rate" or CEIR).

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

For calculating the effective interest rate, the aforementioned credit adjustment entails including the expected credit losses over the entire residual duration of the asset in the estimate of future cash flows. For the purposes of calculating the CEIR, the Bank uses contractual cash flows net of expected losses.

In addition, the assets in question require special treatment also with regard to the impairment process, as they are always subject to the determination of an expected loss over the life of the financial instrument (lifetime ECL). After initial recognition, the profit or loss deriving from any change in expected losses over the life of the loan compared to the initial estimate must be recorded in the income statement. Thus, for these assets, expected losses cannot be calculated using the one-year time horizon as a reference.

*Renegotiations*

In some cases, over the life of financial assets and, in particular, of loans, the original contractual conditions are subsequently modified as agreed by the parties to the contract. When, during an instrument's life, the contractual clauses are changed (both in the case the change is formalised by signing a new contract and when there is an amendment to the existing contract), it is necessary to check whether the original asset must continue to be recognised in financial statements or if, conversely, the original instrument must be derecognised from financial statements and a new financial instrument must be recognised.

In general, changes to a financial asset result in its derecognition and to the recording of a new asset when these changes are "substantial". The determination of the "substantiality" of the change is made by considering only qualitative elements. In particular, renegotiations are deemed to be substantial when:

&nbsp;&nbsp;&nbsp;&nbsp;· introduce
 specific objective elements that impact on the characteristics and/or the financial flows
 of the financial instrument (such as for example the change in the currency, the change
 of the counterparty not belonging to the same group as the original debtor, the introduction
 of indexing to equity or goods parameters, the introduction of the possibility of converting
 the loan into participatory equity/financial instruments/other non-financial assets, and
 the provision of "pay if you can" clauses which allow the debtor the maximum
 freedom in repaying the loan in terms of time and amount) in consideration of the significant
 impact expected from the original financial flows; or

&nbsp;&nbsp;&nbsp;&nbsp;· are
 implemented with respect to customers that have no financial difficulties, with the objective
 of adapt the onerousness of the contract to current market conditions.

In the latter case, it should be noted that, if the Bank does not grant a renegotiation of contractual conditions, the customer would be able to obtain funding from another intermediary, which would result in the loss for the Bank of the revenue streams envisaged in the renegotiated contract. In other words, for a commercial renegotiation, the Bank would not have any loss to be recorded in the income statement as a result of the realignment to the best current market conditions for its customers. Instead, for renegotiations considered not to be substantial, the gross value is recalculated by determining the present value of cash flows resulting from the renegotiation, based on the original rate of the exposure prior to the renegotiation. The difference between this gross value and the gross book value prior to the change is recorded in the income statement under item "140 - Gains/losses from contractual changes without cancellation" (known as "modification accounting").

In the case of non-substantial renegotiations, the modifications granted to counterparties experiencing financial difficulties (granting of forbearance measures) are attributable to the Bank's attempt to maximise the recovery of the original exposure, whose risks and benefits continue to be borne by the Bank. Exceptions are made for changes that introduce substantial objective elements in the contract that can themselves lead to the derecognition of the financial asset, as previously described.

Lastly, the changes to financial assets following the Reform of the reference indices for the determination of interest rates (IBOR Reform), relating to the change in the basis for determining the contractual cash flows (replacement of the reference index for determining the existing interest rates with an alternative reference rate), do not constitute a derecognition but rather are accounted for as a change. These changes, if made as a direct consequence of IBOR Reform and on an equivalent economic basis, are represented by a prospective adjustment of the actual interest rate - applying paragraph B5.4.5 of IFRS 9 instead of "modification accounting" - with impacts on the net interest income of future periods.

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*Fair value option*

In its financial risk management policy, relating to financial instruments included in the banking book, the Bank has used the Fair Value Option accounting technique alongside fair value hedging and cash flow hedging methods.

The Fair Value Option was used to represent operational hedges on fixed-rate or structured bonds and certificates of deposit issued at fixed rates (accounting mismatch).

The scope of application of the Fair Value Option currently regards primarily fixed-rate securities and structured securities subject to hedges on interest rate risk and the risk deriving from embedded derivative components.

IFRS 9 allows the option of designating a financial instrument under the Fair Value Option to be exercised irrevocably only upon initial recognition. Therefore, the Fair Value Option cannot be used for the accounting management of hedges of funding instruments issued prior to the decision to implement the hedge; for these hedges, the hedge accounting technique must be used, which is also used to manage the hedging of the bond issues that are traded in the secondary market at market values.

Unlike hedge accounting, whose rules provide that only fair value changes attributable to the hedged risk are recognised for the hedged instrument, the Fair Value Option involves the recognition of all fair value changes, regardless of the risk factor that is being hedged.

For the issues in question, the fair value is measured, firstly, by referencing observable prices in markets considered active, such as regulated markets, electronic trading circuits (e.g. Bloomberg) or organised or similar exchanges. If there are no observable prices on active markets, they are measured based on prices of recent transactions for the same instrument in non-active markets in addition to using valuation techniques, based on a cash flow discounting model, which must consider all factors considered relevant by market participants in determining a hypothetical transaction on an exchange. In particular, for determining creditworthiness, the implicit spreads of comparable issuers are used in active markets in addition to the Bank's credit default swap curve with the same level of subordination of the security being measured. The quantification of effects resulting from the change in own creditworthiness between the issue date and the measurement date is calculated as the difference between the fair value obtained considering all of the loan's risk factors, including the credit risk, and the fair value obtained considering the same factors, excluding the change in own credit risk that occurred during the period.

For further details on methods for calculating fair value, please refer to the exhaustive information provided in the relevant paragraph in "Part A.4 - Information on fair value".

With reference to the criteria for recognition in financial statements, note that:

&nbsp;&nbsp;&nbsp;&nbsp;· derivatives
 connected with financial liabilities measured at fair value are classified under "Financial
 assets measured at fair value through profit or loss: a) financial assets held for trading"
 or "Financial liabilities held for trading";

&nbsp;&nbsp;&nbsp;&nbsp;· spreads
 and margins accrued on derivatives up to the measurement date are included, depending on
 the balance, in "interest income" or "interest expense", consistent
 with the accruals recorded on bonds subject to operational hedges;

&nbsp;&nbsp;&nbsp;&nbsp;· gains
 and losses from realisation and the measurement of loans under the Fair Value Option are
 recorded in the income statement item "110 - Net profit (loss) from other financial
 assets and liabilities measured at fair value through profit or loss", with the exception
 of the valuation and execution effects related to the change in own creditworthiness that
 are recorded as an offsetting entry to a specific equity reserve (item "120 - Valuation
 reserves"), unless this accounting treatment creates or amplifies an asymmetry in the
 economic result, as described in greater detail in the discussion to item "13 - Financial
 liabilities measured at fair value";

&nbsp;&nbsp;&nbsp;&nbsp;· results
 of the measurement of derivatives associated with loans under the fair value option are recorded
 in the income statement item "80 - Net profit (loss) from trading".

From the perspective of prudential supervision, in compliance with regulations in force, distorting effects from changes in fair value due to changes in own creditworthiness are eliminated from own funds.

Lastly, note that gains posted to the income statement under the fair value option and not yet realised are not distributable.

*Contributions to deposit guarantee systems and resolution mechanisms*

Following the incorporation into national law, Directives 2014/49/EU (Deposit Guarantee Schemes Directive - "DGSD") of 16 April 2014 and 2014/59/EU (Bank Recovery and Resolution Directive - "BRRD") of 15 May 2014, starting from the 2015 financial year, credit institutions are obliged to provide the financial resources necessary for the operation of the FITD (Interbank Deposit Protection Fund) and the National Resolution Fund (merged into the SRF - Single Resolution Fund in 2016), through the payment of ex-ante ordinary contributions to be paid annually, until 1% of the total protected deposits

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

are reached by 31 December 2023. Should the financial means available to the FITD and/or the SRF not be sufficient, respectively to guarantee the reimbursement of the protected deposit or to finance the resolution, it is required that credit institutions make the payment of extraordinary contributions. Contributions are recognised under item "190 – Administrative expenses – (b) Other administrative expenses" in the income statement, in application of the IFRIC 21 "Levies" interpretation, on the basis of which a liability related to the payment of levies derives from the occurrence of the "binding event" which triggers the payment obligation. The contributions are considered, from an accounting point of view, similar to a levy and the moment of onset of the "binding event" was identified in the first quarter for the SRF and in the third quarter for the FITD.

With regard to the SRF, it should be noted that after the 1% target for protected deposits was achieved at 31 December 2023, no further contributions were requested from the Bank or from the entire European banking system in 2024 (EUR 58.6 mln at 31 December 2023).

The ordinary contribution to the FITD, recognised in the income statement for 2024, amounted to EUR 71.1 mln, which is essentially unchanged from the figure for 2023.

A "Life Insurance Guarantee Fund", in which Italian insurance companies and branches of non-EU insurance companies participate, was established by Law no. 213 of 30 December 2023. The Fund's financial resources are made up of participants' contributions, which must be proportionate to the Fund's liabilities and in any case must be equal to at least 0.4% (the "target") of the amount of participating companies' life insurance technical reserves. This is target to be achieved gradually by 31 December 2035. The contributions levied from insurance brokers are determined in relation to the total volume of life insurance products distributed and associated revenues associated, albeit these levies should not exceed one-fifth of the annual contribution. However, during the initial application phase, the contributions payable by brokers registered in section D of the Single Register of Intermediaries (RUI), which includes banks, are 0.1 per thousand of the life insurance reserves brokered. From an accounting point of view, these contributions are also considered similar to a tax; for 2024, the "obligating event" was identified as November, when participants were identified as entities admitted to the Fund's AGM.

The ordinary contribution to the Life Insurance Guarantee Fund, recognised in the income statement for 2024, amounted to EUR 2.1 mln.

*Synthetic securitisations*

In synthetic securitisation transactions, the Bank, through the execution of a financial guarantee contract, acquires protection against the credit risk underlying a loan portfolio, of which it retains full ownership. These transactions have the objective of freeing up regulatory and economic capital by reducing the level of credit risk of the portfolio underlying the transaction (Significant Risk Transfer – "SRT"), which is transferred to an external counterparty without entailing the derecognition of the assets.

The SRT must be constantly monitored also during the life of the transaction, in order to ensure that the regulatory criteria that require the Originator to retain a share of the net economic interest equal to at least 5% of the nominal value of the securitised portfolio, are met.

The transactions are structured in different tranches according to the riskiness of the portfolio. From an accounting point of view, synthetic securitisation transactions take the form of financial guarantees received in which the Bank acts exclusively on the purchaser's side of protection against credit risk, if the following aspects are ensured:

&nbsp;&nbsp;&nbsp;&nbsp;· stipulation
 of the contract for the purpose of hedging credit risk, deriving from debt instruments;

&nbsp;&nbsp;&nbsp;&nbsp;· presence
 of the deliverable obligation, for the purposes of activation of the financial guarantee,
 in the financial statements of the protection buyer;

&nbsp;&nbsp;&nbsp;&nbsp;· unbudgeted
 payments in response to changes in specific rates, prices, ratings, exchange rates, indexes
 or other variables that are governed by the rules on derivatives but as a consequence of
 a credit event (such as a change to default);

&nbsp;&nbsp;&nbsp;&nbsp;· repayments
 made by the protection seller only if the protection buyer has suffered losses against the
 hedged asset and for an amount not exceeding the loss actually incurred.

The premium paid by the Bank to investors for credit risk protection is recognised in the income statement item "50. Fee and commission expense". The enforcement of the financial guarantee received by the investors upon the occurrence of contractually agreed conditions (known as credit event) relating to securitised loans under income statement item "130. Net impairment (losses)/reversals for credit risk".

For further details, please refer to the information provided in the consolidated Notes to the financial statements, under "Part E – Section 1– C. Securitisation transactions".

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*Tax credits linked to the "Rilancio" Decree-Law acquired following assignment by the direct beneficiaries or previous purchasers*

The Italian Law Decrees no. 18/2020 (so-called "Cura Italia") and no. 34/2020 (so-called "Rilancio") introduced into the Italian legal system incentive tax measures connected with both investment expenses (e.g. eco and sismabonus) and current expenses (e.g. rents of premises for non-residential use). The Government has also intervened on the matter again through Italian Law Decree no. 50/2022 (so-called "Aiuti") mainly by redefining the pool of potential transferees.

These tax incentives apply to households or businesses, are commensurate with a percentage of the expenditure incurred (in some cases up to 110%) and are disbursed in the form of tax credits or tax deductions (optionally convertible into tax credits). The main characteristics of these tax credits are: (i) they may be used for offsetting; (ii) they may be assigned to third-party purchasers; and (iii) they are not refundable by the Tax Authority.

The accounting treatment of tax credits acquired from a third party (transferee of the tax credit) is not subject to a specific international accounting standard. IAS 8 establishes that, when there is a situation not explicitly addressed in an IAS/IFRS, the company management defines an appropriate accounting policy to ensure relevant and reliable disclosure of such transactions.

The Bank, in line with the joint document issued by the Authorities<sup>8</sup>, has defined its accounting policy which refers to the accounting rules laid out in IFRS 9, applying provisions compatible with the characteristics of the transaction and considering that, substantially, these credits are equivalent to financial assets.

The Bank purchases the credits based on its Tax Capacity with a view to holding them and using them for future offsetting; therefore, these credits are linked to a Hold to Collect Business Model and recognised at amortised cost, with remuneration represented in net interest income throughout the recovery time period.

The valuation of these credits is carried out by considering utilisation flows through estimated future offsetting; however, the accounting framework provided by IFRS 9 does not apply to this specific case for the calculation of expected losses, i.e. the expected credit loss (ECL) is not calculated as there is no counterparty credit risk, taking into account that tax credits are realised through offsetting and not collection.

Lastly, as specified in the joint Authority document, taking into account that for the purposes of the international accounting standards these tax credits do not represent tax assets, public contributions, intangible assets or financial assets, the most appropriate classification for representation in the financial statements is the residual category "Other Assets" in the Balance Sheet.

As at 31 December 2024, the nominal value of the total tax credits acquired amounted to EUR 3,124.8 mln.Taking into account credits offset until this point, totalling EUR 1,136.1 mln, the residual nominal amount as at 31 December 2024 came to EUR 1,988.7 mln. The corresponding carrying amount, recognised in the balance sheet item "120. Other assets" at amortised cost, which takes into account the acquisition price and the net amounts accrued as at 31 December 2024, was EUR 1,804.8 mln.

It should also be noted that the Bank, as at 31 December 2024, received requests for the sale of these receivables for a total amount of approximately EUR 578.3 mln, currently under review/processing. The total amount of receivables purchased, taking into account the transfer requests in progress - the latter suitably adjusted to factor in the impact of cases abandoned and/or rejected by the Bank - is in line with the estimated total tax capacity, i.e. the tax/contribution payments that the Bank plans to make and that are available for offsetting against tax credits from "Building Bonuses". The aforementioned valuation also takes into account the significant decrease in the estimated prospective "Tax Capacity" caused by changes to the rules underlying the use of tax credits purchased introduced by Italian Law no. 67 of 23 May 2024, which converted Italian Decree Law no. 39/2024 (the tax benefits decree) into law, with amendments. For more details on the tax benefits decree, please refer to the "New tax regulations" section Consolidated Report on Operations.

*Early retirement incentive plans*

Termination of employment may be attained through the employee's voluntary acceptance of a company plan to reduce staff following a proposal to incentivise voluntary resignations due to redundancies, i.e. in the case of exit incentive plans.

These plans provide employment termination benefits and are drawn up, in terms of the number of exits and the timing of implementation, within the scope of the Business Plan objectives.

The agreements executed between the Bank and the trade unions generally provide for the extent of the pool of potential participants and payments made on a lump-sum basis, in addition to the additional payment of other benefits such as, for example, the maintenance of the insurance policy, the maintenance of welfare coverage and supplementary pension schemes, until the employee's reaches the INPS retirement age.

<sup>8</sup> Accounting treatment of tax credits purchased pursuant to the "Cura Italia" and "Rilancio" Italian Law Decrees published on 5 January 2021 by the coordination table between the Bank of Italy, Consob and IVASS on the application of IAS/ IFRS

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

The Bank recognises a provision by type, under personnel expenses, as a balancing entry to a provision for risks and charges under item "100 Provisions for risks and charges: c) other provisions for risks and charges" when the requirements of IAS 37 are met, i.e. in the presence of an obligation of a contractual nature to provide the services and benefits covered by the agreement, when it is probable that a flow of resources will be required to fulfil the obligation, for an amount that represents the best possible estimate of the expenditure needed to settle the related obligation in place at the reporting date. Since this is a multi-year obligation, the estimated amount is subject to discounting to reflect the effect of the passing of time (IAS 37.45).

When the uncertainty mainly related to the amount of the redundancy incentive cost is resolved, the Bank recognises a liability as a balancing entry to the Provision for risks and charges.

*Classification of ESG financial instruments*

As part of its ESG strategy, the Bank offers sustainable project loans on contractual terms that link the contractual cash flows to the achievement of specific environmental sustainability objectives ("ESG covenants"). This approach seeks to reward companies that embark on virtuous sustainability pathways in terms of having a reduced environmental impact (environmental), pursuing policies of inclusion and community support (social) or organisational strengthening (governance). This premium foresees a reduction in the loan spread to a contractually established maximum (usually 10 basis points) if certain borrower-specific sustainability targets ("ESG covenants") are found to have been met.

From an accounting perspective, financial instruments not held for trading, for which cash flows are based on the occurrence of a contingent event linked to the achievement of ESG targets, are recognised according to the Solely Payment Of Principal And Interest (SPPI) assessment. On this aspect, the IASB provided some clarification on how such clauses are treated for SPPI assessment purposes in its amendments to IFRS 9 and IFRS 7 "Amendments to the Classification and Measurement of Financial Instruments" published on 30 May 2024 , which take effect for annual periods beginning on or after 1 January 2026.

Based on preliminary analyses performed, the Bank believes that the ESG clauses currently in force for the products offered to its customers are SPPI-compliant, since:

&nbsp;&nbsp;&nbsp;&nbsp;· following
 qualitative and quantitative assessments of the residual impact of those clauses on the contractual
 cash flows on the financial instrument, it was found that they are non-critical;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 change in cash flows is linked to a contingent event incumbent on the debtor, such as the
 debtor meeting targets to reduce gas emissions, and not to market parameters/indices;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 cash flows resulting from the occurrence or non-occurrence of the contingency event represent
 neither an investment in the debtor nor exposure to the performance risk of the specified
 assets.

Therefore, the Bank's loan products incorporating "ESG covenants" are classified entirely within the portfolio of "Financial assets measured at amortised cost" – in line with the HTC business model – as the related contractual flows were deemed SPPI-compliant.

The same considerations apply to the Bank's investments in securities that incorporate ESG covenants, for the purposes of classifying them within the portfolio of "Financial assets measured at amortised cost and financial assets measured at fair value through other comprehensive income".

Other Matters

*Classification criteria for financial assets*

The classification of financial assets in the three categories envisaged by the standard depends on two classification criteria, or drivers: the business model with which the financial instruments are managed and the contractual characteristics of the cash flows of the financial assets (or SPPI Test).

The financial asset classification derives from the combination of these two drivers, as shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· Financial
 assets measured at amortised cost: assets that pass the SPPI test and fall under the Hold
 to Collect business model (HTC);

&nbsp;&nbsp;&nbsp;&nbsp;· Financial
 assets measured at fair value through other comprehensive income (FVOCI): assets that pass
 the SPPI test and fall under the Hold to Collect and Sell business model (HTC&S);

&nbsp;&nbsp;&nbsp;&nbsp;· Financial
 assets measured at fair value through profit or loss (FVTPL): a residual category, which
 includes financial instruments that cannot be classified in the previous categories based
 on the results of the business model test or the test on the characteristics of contractual
 cash flows (SPPI test failed).

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*Business model*

With regard to the business model, IFRS 9 identifies three cases in relation to the methods by which cash flows are managed and financial assets are sold:

&nbsp;&nbsp;&nbsp;&nbsp;· *Hold to Collect (HTC)*: a business model whose objective is achieved by collecting contractual
 cash flows from the financial assets included in the relative portfolios. The inclusion
 of a financial asset portfolio under this Business Model does not necessarily mean that the
 instruments cannot be sold, though it is necessary to consider the frequency, value, and
 timing of sales in previous financial years, reasons for sales, and expectations regarding
 future sales;

&nbsp;&nbsp;&nbsp;&nbsp;· *Hold to Collect and Sell (HTCS)*: a mixed business model, whose objective is achieved by collecting
 contractual cash flows from the financial assets included in the portfolios and by sales
 activities, which is an integral part of the strategy. Both activities (collection of contractual
 cash flows and sales) are essential for achieving the Business Model's objective. Therefore,
 sales are more frequent and for greater amounts than an HTC Business Model and are an essential
 component of the strategies pursued;

&nbsp;&nbsp;&nbsp;&nbsp;· *Other/Trading:* a residual category that includes both financial assets held for trading purposes and
 financial assets managed with a business model other than the previous categories (Held to
 Collect and Hold to Collect and Sell). In general, this classification applies to a portfolio
 of financial assets whose management and performance are assessed based on fair value.

The Business Model reflects the methods by which financial assets are managed to generate cash flows for the entity's benefit and is defined by top management through the appropriate involvement of business structures. It is determined by considering the ways in which financial assets are managed and, as a consequence, the extent to which the portfolio's cash flows derive either from the collection of contractual cash flows, or from the sale of financial assets, or from both of these events.

The assessment does not take place on the basis of scenarios that, based on the entity's reasonable forecasts, are not likely to occur, such as "worst case" or "stress case" scenarios. For example, if the entity expects to sell a given portfolio of financial assets only in a "stress case" scenario, that scenario does not affect the assessment of the entity's Business Model for those assets if that scenario, based on the entity's reasonable forecasts, is not likely to occur.

The Business Model does not depend on the intentions that management has for an individual financial instrument, but refers to the ways in which groups of financial assets are managed for the purpose of achieving a specific business objective.

In summary, the Business Model:

&nbsp;&nbsp;&nbsp;&nbsp;· reflects
 the methods by which financial assets are managed to generate cash flows;

&nbsp;&nbsp;&nbsp;&nbsp;· is
 defined by top management through the appropriate involvement of business structures;

&nbsp;&nbsp;&nbsp;&nbsp;· must
 be determined by considering the methods by which financial assets are managed.

When assessing a Business Model, all relevant factors available at the assessment date are used. These factors include the strategy, risks and their management, remuneration policies, reporting, and the amount of sales. In analysing the Business Model, it is crucial that the factors evaluated are consistent amongst themselves and, in particular, are consistent with the strategy pursued. Evidence of activity not in line with the strategy must be analysed and adequately justified.

For the Hold to Collect portfolios, the Bank has defined eligibility thresholds for sales that do not affect the classification (frequent but not significant, individually and in the aggregate, or infrequent though of a significant amount) and, at the same time, established the parameters to identify sales consistent with this business model, when they are attributable to an increase in credit risk or risks for bonds approaching maturity.

More specifically, as part of an HTC Business Model, sales are permitted i) in the event of an increase in credit risk, ii) when carried out near maturity, and finally, iii) when they are frequent but not significant in terms of value or infrequent, even if their value is significant.

An example is provided below of circumstances under which the Bank deems it permissible to sell the assets in question.

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**Increase in credit risk**

The Bank believes that there is an increase in credit risk when events occur that involve:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 classification of the financial asset under stage 2, previously classified under stage 1;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 classification of the financial asset under impaired assets (or stage 3), previously classified
 under stages 1 or 2.

On the occurrence of these cases, sales are admissible, independently of any frequency or significance threshold; this occurs, for example, in the case of transfers of non-performing loans.

**Proximity of the instrument's expiry**

The Bank deems that, independently from any frequency or significance threshold, transfers are compatible with the HTC business model if the time interval before the expiry is 10% of the original duration of the instrument, with a maximum absolute limit of 12 months, and the difference between the amount earned from sales and residual contractual cash flows is not greater than 5% in absolute terms.

**Frequency and significance lower than determined thresholds**

&nbsp;&nbsp;&nbsp;&nbsp;· frequency
 is defined as the percentage ratio between the number of positions sold (ISIN or relationships)
 during the observation period and the total positions in the portfolio present at the beginning
 of the observation period. Sales carried out based on a number lower than a value equal to
 5% of the number of securities held in the portfolio at the start of the year are infrequent
 (this value is equal to zero if the number of securities at the start of the year is under
 40);

&nbsp;&nbsp;&nbsp;&nbsp;· significance
 is defined as the percentage ratio between the nominal value of sales and the total nominal
 value of instruments in the portfolio present at the beginning of the observation period.
 The significance threshold of individual sales identified by the Bank is 5%.

The two thresholds must be considered in a separate manner; it derives that individual sales made for an amount higher than 5% compared to initial amount, even if infrequent, are not admissible. In the case that both the frequency and significance thresholds are met for an individual sale, a further assessment is envisaged in terms of aggregate sales volume. In this case, the significance threshold of the aggregate amount of sales identified by the Bank is 10%.

These thresholds were established and applied at the level of both the individual legal entity belonging to the Bank and the Group itself and only for the debt securities portfolio, as the sales of loans portfolios made by the Group are attributable to an increase in the credit risk and to the strategy of derisking required by the Supervisory Authority.

*"Held to Collect" Business Model – Sales*

The accounting standard IFRS 9 requires that the exposures included in the portfolio of "Financial assets measured at amortised cost" be disposed of under the circumstances described above. With regard to this it should be noted that transfers of debt securities made by the Bank in 2024 took place for a total nominal value of approximately EUR 389.5 mln in compliance with the significance and frequency thresholds, declared in the Bank's accounting policies, illustrated in part "A.2 Part relating to the main items of the financial statements", paragraph "Other Information, Other Aspects - Business Model", to which reference is made for further details.

In addition, as part of the derisking process described in the "Significant event in 2024" section of the Group's Report on Operations, disposals of non-performing exposures in the form of loans to customers continued in 2024; these were deemed eligible regardless of any frequency and materiality thresholds, in line with the rules set out in IFRS 9 and the Bank's policy.

Finally, it should be noted that, during 2024 and until the date of preparation of these financial statements, there were no changes with regard to the admissibility criteria of sales of financial assets managed with the "HTC" Business Model. Lastly, please note that the management of debt securities classified in "HTC" and "HTCS" portfolios continue in accordance with the choices made in previous financial years; therefore, no change in the Business Model has occurred during the financial year which required a reclassification of the securities portfolio.

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*SPPI test*

The other criterion to be used to determine whether a financial asset should be classified under financial instruments measured at amortised cost or at FVOCI - in addition to the Business Model analysis shown above - requires that the terms of contract relating to the asset establish provide for cash flows equivalent to solely payments of principal and interest on the principal amount outstanding (SPPI), repayable on specified dates. This assessment must be carried out for loans and debt securities in particular.

Each financial instrument must undergo SPPI assessment at the time it is recognised in the financial statements.

Subsequent to its initial recognition, and for as long as it is recognised in the financial statements, the asset no longer undergoes further valuations for SPPI assessment purposes. Where derecognising a financial instrument and recognising a new financial asset, the new asset must undergo SPPI assessment.

For purposes of the analysis, IFRS 9 proposes a definition of the terms "principal" and "interest", as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 principal is intended as the fair value of the financial asset at the time of its initial
 recognition. This value may change during the life of the financial instrument, for example
 due to repayments of a portion of the principal;

&nbsp;&nbsp;&nbsp;&nbsp;· interest
 is the consideration for the time value of money, for the credit risk associated with the
 principal over a given period of time, for other risks and costs associated with the basic
 risks of a lending transaction, and for the profit margin.

In basic lending arrangements, the value of interest must depend exclusively on the time value of money and on the credit risk associated with the principal over a given period of time. Whenever the contractual terms introduce exposure to risk or volatility of contractual cash flows that is inconsistent with the definition of a basic lending arrangement, such as exposure to changes in equity or commodity prices, the contractual flows do not meet the definition of SPPI.

In cases where the time value of money is modified – for example when the interest rate of the asset is periodically restated, but the frequency of this restatement or the frequency of the payment does not correspond to the nature of the interest rate (for example, the interest rate is revised monthly on the basis of a one-year rate) or when the interest rate is periodically re-determined on the basis of an average of particular short or medium-long term rates – the undertaking must assess, both using quantitative and qualitative elements, if the contractual flows still meet the definition of SPPI (so-called benchmark cash flows test). If the test shows that the contractual cash flows (not discounted) are "significantly different" from the cash flows (also not discounted) of a benchmark instrument (i.e. without the modified time value element) the cash flows contractual agreements cannot be considered as meeting the definition of SPPI.

Particular analyses (so-called "look through tests") are required by the standard and are consequently carried out also for multiple contractually linked instruments ("contractually linked instruments" - CLI) that create concentrations of credit risk for debt relief and for non-recourse assets, for example in cases where the receivable can be asserted only in relation to certain assets of the debtor or the cash flows deriving from certain assets.

In addition, any contractual clauses that could change the frequency or amount of contractual cash flows must be considered in order to assess whether such cash flows meet the requirements to be SPPI compliant (e.g., prepayment options, possibility to defer the contractually agreed cash flows, instruments with embedded derivatives, subordinated instruments, etc.).

However, as required by IFRS 9, a contractual cash flow characteristic does not affect the classification of the financial asset if it can only have a de minimis effect on the contractual cash flows of the financial asset (in each financial year and cumulatively). Similarly, if an element of cash flows is not realistic or genuine, i.e., if it affects the instrument's contractual cash flows only at the occurrence of an extremely rare, highly unusual, and very unlikely event, it does not affect the classification of the financial asset.

For purposes of conducting the SPPI test on transactions in debt securities, the Bank uses the services of an info-provider. The test is carried out manually using a proprietary tool based on an internally developed methodology (decision trees) only if the securities are not managed by the info-provider.

A proprietary tool based on a method developed in-house (decision trees) was developed to perform the SPPI test for credit approval processes. In particular, given the significantly different characteristics, differentiated management is envisaged for products that have a standard contract (typically, the retail loan portfolio) and tailor-made loans (typically, the corporate loan portfolio). For standard products, the SPPI test is conducted when the standard contract is structured, through the "Product Approval" process, and the test result is extended to all individual relationships that refer to that product in the catalogue. Instead, for tailor-made products, the SPPI test is carried out for each new credit line/relationship submitted to the decision-making body through the use of the tool. Decision trees - included in the proprietary tool - have been prepared internally (both for debt securities and loans) and capture possible features that may not comply with the SPPI test. The trees are used both for the implementation of the rules of the proprietary tool and for the verification and validation of the methodology adopted by the info-providers.

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*Use of estimates and assumptions when preparing financial statements*

The application of certain accounting standards necessarily implies the use of estimates and assumptions that impact the values of the assets and liabilities recognised in the financial statements as well as the disclosure provided on contingent assets and liabilities. The assumptions underlying the estimates developed take into consideration all available information at the date on which these consolidated financial statements were drafted as well as the assumptions considered reasonable, also in light of historical experience. By their very nature, it is therefore not possible to exclude that the assumptions used, albeit reasonable, may not be confirmed in the future scenarios in which the Bank will be operating. In this regard, it should be noted that the economy continues to be affected by significant uncertainty as a result of geopolitical tensions which, following the onset of the Russia-Ukraine conflict and consequent international sanctions, have also affected the Middle East; allied to this is the international awareness of climate risks and the measures needed to counter them. These uncertainties have affected the Financial Statement estimates, with significant judgement required in selecting the assumptions and hypotheses underlying the estimates. The results achieved in the future therefore could differ from the estimates developed in order to draft these consolidated financial statements and as a result adjustments may be required, to an extent that cannot currently be predicted or estimated, with respect to the carrying amount of the assets and liabilities recognised in the financial statements.

In this regard, please note that estimates could need to be revised following changes in the circumstances on which they were based, the availability of new information or the increased experience gained.

Lastly, please note that in order to allow an appreciation of the effects on the financial statements correlated to above mentioned elements of uncertainty, in these consolidated financial statements, for the main items of the financial statements subject to estimates (recoverability of deferred tax assets, expected losses on performing loans, recoverability of intangible assets with an indefinite useful life) information is provided on the main hypotheses and assumptions used in the estimate, as well as a sensitivity analysis with respect to alternative hypotheses.

The accounting policies considered to be the most critical for the purpose of a true and correct representation of the Bank's financial situation and results of operations, both in terms of materiality of the values to be recorded in the Financial Statements impacted by these policies, and for the high degree of judgement inherent in the measurements, which implies the use of estimates and assumptions by management, with reference to the specific sections of the Notes to the financial statements for detailed information on the evaluation processes carried out at 31 December 2024.

The main cases in which subjective valuations are mostly opted for by Management include:

&nbsp;&nbsp;&nbsp;&nbsp;a. quantification
 of impairment losses on loans and, more generally, other financial assets;

&nbsp;&nbsp;&nbsp;&nbsp;b. assessment
 of the adequacy of the value of equity investments and of other non-financial assets (goodwill,
 intangible assets, and property, plant and equipment, including right of use assets acquired
 through leasing);

&nbsp;&nbsp;&nbsp;&nbsp;c. use
 of valuation models to measure the fair value of financial instruments not listed in active
 markets;

&nbsp;&nbsp;&nbsp;&nbsp;d. estimation
 and assumptions on recoverability of deferred tax assets;

&nbsp;&nbsp;&nbsp;&nbsp;e. estimation
 of liabilities arising from defined benefit company pension funds;

&nbsp;&nbsp;&nbsp;&nbsp;f. quantification
 of provisions for risks and charges related to legal and tax disputes;

&nbsp;&nbsp;&nbsp;&nbsp;g. quantification
 of the fair value of investment properties and operating properties for business use.

For some of the cases listed above, the main factors that are subject to estimates by the Group, and which therefore contribute to determining the book value of assets and liabilities in the financial statements, can be identified.

In summary, note that:

&nbsp;&nbsp;&nbsp;&nbsp;a. for
 the allocation in the three credit risk stages envisaged in IFRS 9 for loans and debt securities
 classified as "Financial assets measured at amortised cost" and "Financial
 assets measured at fair value through other comprehensive income", and the calculation
 of the expected losses, the main estimates concern:

determination of the parameters of significant increase in credit risk, based essentially on models for measuring the probability of default (PD) at the origination of financial assets and at the reporting date;

- inclusion of forward-looking elements, including macroeconomic, for calculating PD, EAD, and LGD;

calculation of the expected cash flows on non-performing loans, which take account: the expected recovery value of collaterals, if any, as well as the costs expected to be incurred for the recovery of the credit exposure; and finally

- calculation of the probability of sale for positions that have a disposal plan;

&nbsp;&nbsp;&nbsp;&nbsp;b. for
 calculating the value in use of equity investments, the expected cash flows and cost of capital
 are estimated;

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BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;c. for
 calculating the fair value of financial instruments not listed on active markets, if it is
 necessary to use parameters that cannot be inferred from the market, the main estimates concern,
 on one hand, the development of future cash flows (or also profits for equity securities),
 possibly contingent upon future events and, on the other, the level of certain input parameters
 not listed on active markets;

&nbsp;&nbsp;&nbsp;&nbsp;d. for
 quantifying post-employment benefits, the present value of the obligations is estimated,
 taking into account the cash flows, appropriately discounted, resulting from the historical
 statistical analysis and the demographic curve;

&nbsp;&nbsp;&nbsp;&nbsp;e. for
 quantifying provisions for risks and charges, the amount of disbursements necessary to satisfy
 the obligations is estimated, where possible, taking into account the effective probability
 of having to make use of resources;

&nbsp;&nbsp;&nbsp;&nbsp;f. for
 calculating the items related to deferred taxation, the probability that taxes will effectively
 be incurred in the future (temporary taxable differences) and the degree of reasonable certainty
 - if any - of future taxable profits at the time the taxes can be deducted is estimated (temporary
 deductible differences and accumulated tax losses);

&nbsp;&nbsp;&nbsp;&nbsp;g. for
 the determination of the fair value of the properties, carried out through the preparation
 of specific appraisals by a qualified and independent company, certain unobservable input
 data are estimated, such as, for example, the lease fee, the sales price, the discount rate,
 the capitalization rate of income, etc.

For points a), b) and f), please refer to the subsequent paragraphs: "Methods for calculating impairment on IFRS 9 financial instruments", "Methods for calculating impairment on equity investments", "Methods for calculating impairment on other non-financial assets" and "Methods for recognising deferred tax assets (probability test)"; for point g) refer to the paragraph "Determination of the fair value of property" and finally for point c) to the contents of paragraph A.4.5 "Fair Value Hierarchy" of these Notes to the financial statements. The actual technical and conceptual solutions used by the Bank are analysed in more detail in the individual sections of the notes to the balance sheet and income statement, where the distinct contents of each item in the financial statements are described. With regard to the cases referred to in points d) and e), please refer to Section 12 under liabilities in the Notes to the financial statements "Defined benefit company pension funds" and Part E of the Notes to the financial statements, Section 1.5 "Operational risks".

*Methods for calculating impairment on IFRS 9 financial instruments*

Pursuant to IFRS 9, at each reporting date, financial assets other than those measured at fair value through profit or loss are subject to an impairment test, aimed at estimating the expected credit loss (ECL). A similar analysis is carried out for the funding commitments and guarantees which fall within the scope of impairment testing under IFRS 9.

In particular, the ECL model provides the aforementioned financial assets must be classified in three distinct "stages", according to their credit quality in absolute terms or relative to that at initial disbursement, to which different measurement criteria for expected losses are applied. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 1: includes performing exposures that have not undergone a significant change in credit risk
 with respect to the initial recognition. The value adjustments correspond to the expected
 losses related to the verification of default in the 12 months following the reporting date;

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 2: includes performing exposures whose creditworthiness has been affected by a significant
 change in credit risk, but for which the losses are not yet observable. Adjustments are calculated
 considering the expected loss over the remaining life of the instrument (lifetime);

&nbsp;&nbsp;&nbsp;&nbsp;· stage
 3: includes all non-performing exposures that present objective evidence of deterioration
 and which must be adjusted by using the lifetime expected loss concept.<sup>9</sup>

Financial assets considered as impaired since their acquisition or origin (POCI - purchased or originated credit impaired), are an exception to the above, whose accounting treatment was discussed in the paragraph above dedicated to this topic.

The scope of exposures classified in stage 3 includes the corresponding non-performing exposures, in accordance with the provisions of the Bank of Italy rules, defined in Circular no. 272 of 30 July 2008, as updated, and referred to in Bank of Italy Circular no. 262 "Bank financial statements: compilation formats and rules", to the non-performing exposures aggregate pursuant to ITS EBA (EBA/ITS/2013/03/rev1 24/7/2014)<sup>10</sup>.

<sup>9</sup> The valuation is statistical for positions with a balance of under EUR 1.0 mln and analytical, carried out by management, for positions above said threshold.

<sup>10</sup> The regulatory framework of the New Definition of Default was supplemented with the application, starting from 1 January 2021, of the "Guidelines on the application of the definition of default as per Article 178 of EU Regulation no. 575/2013" (EBA/GL/2016/07).

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

In detail, the aforementioned circulars identify the following categories of non-performing assets:

&nbsp;&nbsp;&nbsp;&nbsp;· Bad
 loans: these represent the aggregate of on- and off-balance sheet exposures to a party in
 a status of insolvency (even if not judicially certified) or in essentially comparable situations,
 regardless of any loss forecasts made by the Bank;

&nbsp;&nbsp;&nbsp;&nbsp;· Unlikely
 to pay exposures: represent the on- and off-balance sheet exposures for which the borrower
 does not meet the conditions for classification under bad loans and for which it is considered
 unlikely that the borrower will be able to fully satisfy the credit obligations (in terms
 of principal and/or interest) without recourse to actions such as the enforcement of collateral.
 This assessment is carried out regardless of the existence of any overdue and unpaid amounts
 (or instalments). The classification among unlikely to pay exposures is not necessarily linked
 to the explicit presence of anomalies, such as a missed repayment, but rather is linked to
 the existence of elements that would indicate a situation of risk that the debtor may default
 (e.g., a crisis in the debtor's business sector);

&nbsp;&nbsp;&nbsp;&nbsp;· Past
 due and/or overdrawn exposures: on-balance sheet exposures, other than those classified as
 bad loans or unlikely to pay exposures, which, at the reporting date, are past due and/or
 overdrawn for more than 90 days, according to the significance threshold envisaged in the
 aforementioned legislation. For the Bank, non-performing past due and/or overdrawn exposures
 are determined in reference to the position of an individual debtor.

The Bank adopts a "debtor-by-debtor" approach to identifying non-performing exposures. In this sense, the other party to the loan is assessed overall and subsequently classified, rather than assessing the individual loans granted to that party.

In addition, the Bank of Italy regulations, in line with EBA standards, have introduced the definition of "forborne exposures". This concerns, in particular, exposures benefiting from tolerance measures, which consist of concessions granted to the debtor, in terms of modification and/or refinancing of a pre-existing loan, exclusively because of, or to prevent, a state of financial difficulty that could have negative effects on the debtor's ability to fulfil the contractual commitments originally assumed, and that would not have been granted to another debtor with a similar risk profile not in financial difficulty. These concessions must be identified at the level of the individual credit line and may relate to exposures of debtors classified either in the performing or the non-performing (impaired) status. For exposures with forbearance measures classified as unlikely to pay exposures, the recovery to a position of performing can only take place after at least one year has elapsed from the time the concession was granted (known as the "cure period") and all the other conditions provided for in paragraph 157 of the EBA ITS are satisfied.

In any case, renegotiated exposures should not be considered forborne when the debtor is not in a situation of financial difficulty (renegotiations carried out for commercial reasons).

*Impairment of performing financial assets*

For performing financial assets, i.e., those assets not considered to be impaired, it must be determined, at the individual relationship level, if there is a significant deterioration of credit risk, by comparing the credit risk associated with the financial instrument at the time of measurement and that at the initial moment of disbursement or acquisition. This comparison is made using both quantitative and qualitative criteria. The results of this assessment, in terms of classification (or, more appropriately, staging) and measurement, are the following:

&nbsp;&nbsp;&nbsp;&nbsp;· when
 these indicators are present, the financial asset is included in stage 2. In this case, the
 assessment requires that impairment is recognised equal to the expected losses over the entire
 residual life of the financial instrument, consistent with the provisions of international
 accounting standards and even if a loss in value has not yet occurred. These adjustments
 are reviewed at each subsequent reporting date both to periodically check that the continuously
 updated loss estimates are consistent, as well as to take into account - in the event that
 indicators of a "significantly increased credit risk" no longer exist - of the
 change in forecast horizon for calculation of expected loss;

&nbsp;&nbsp;&nbsp;&nbsp;· where
 these indicators are not present, the financial asset is included in stage 1. In this case,
 the assessment requires that expected losses are recognised on the specific financial instrument
 over the next twelve months, consistent with the provisions of international accounting standards
 and even if a loss in value has not yet occurred. These adjustments are reviewed at each
 subsequent reporting date both to periodically check that the continuously updated loss estimates
 are consistent, as well as to take into account - if indicators of a "significantly
 increased credit risk" are detected - the change in forecast horizon for calculation
 of expected loss.

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As regards the measurement of financial assets and, in particular, the identification of a "significant increase" in credit risk (a necessary and sufficient condition for classification of the asset being assessed in stage 2), the elements that constitute the main determinants to be taken into consideration, according to the standard and its operating procedure implemented by the Bank, are the following:

&nbsp;&nbsp;&nbsp;&nbsp;· relative
 quantitative criterion as "main" driver, based on the change (beyond established
 thresholds) in the lifetime probability of default compared to when the financial instrument
 was initially recognised in the financial statements;

&nbsp;&nbsp;&nbsp;&nbsp;· absolute
 qualitative criteria, represented by the identification of trigger events or exceeding absolute
 thresholds as part of the credit monitoring process, and backstop indicators, i.e., credit
 delinquency factors, which suggest that there has been a significant increase in credit risk,
 unless there is evidence to the contrary. The category comprises:

- all exposures affected by forbearance measures and for which these measures are still active, regardless of whether the probation period underway is regular;

- exposures of counterparties classified in the Proactive Management portfolio characterised by high risk elements<sup>11</sup>;

- exposures past due by more than 30 days;

- exposures to retail customers with a turnover of less than EUR 50 mln and classified by the early warning system in the highest risk class (A8)<sup>12</sup>.

With particular reference to the relative quantitative criterion applicable to credit exposures with customers, the Bank has determined as a reference the change, within internal thresholds differentiated by segment, product, initial rating class, vintage and geographical area, between the lifetime forward-looking cumulative probability of default (PD), calculated at the beginning of the contractual relationship, and the probability of default recorded at the measurement date. If these thresholds are exceeded, it signifies a significant increase in credit risk and the resulting transfer of the individual credit line from stage 1 to stage 2. The comparison is based on the homogeneous residual durations and on homogeneous PD models, for example, if the definition of default changes over time, the original lifetime forward-looking cumulative PD is recalculated to take account of said new definition of default. Cumulative PDs subject to comparison are based on the same model used for ECL purposes (e.g. definition of PIT (Point in Time) PD, macroeconomic scenarios, expected life/contractual life). In order to obtain a unique classification result, use is made of a cumulative PD resulting from the weighted average of the cumulative PDs calculated for the individual prospective scenarios using the probabilities of the scenarios as weights. The threshold of significance is determined by historically measuring, through quantile regression analysis per cluster, that level of ratio, between the lifetime forward-looking cumulative PD at the reporting date and that at the origination date, which may be considered predictive of the classification as NPE<sup>13</sup>. The threshold is determined so as to minimise false positives and false negatives and maximise true positives and true negatives.

In cases where it is difficult to identify risk factors or indicators at the level of individual borrowers, the significant increase in credit risk may be assessed by means of a collective approach that allows the components of the loan portfolio that are most likely to be affected by a crisis to be highlighted without, however, identifying them on an individual basis.

For debt securities that do not have rating equal to or above investment-grade ratings, the relative quantitative criterion is based on the variation in lifetime forward-looking cumulative PD between the reporting date and the origination date above compared with a certain threshold. For corporate issuers, the multi-year PD curve is the multi-year corporate segment one relating to vintage 1 estimated entirely by the Bank; for government issues, the multi-year PD curve is the one prepared on the basis of the Moody's, Standard & Poor's and Fitch migration matrices of 1-year for government bonds; Standard & Poor's migration matrices corresponding to the Euro area were used to estimate multi-year PDs of credit exposures to banks and non-banking and financial institutions (NBFIs). Moody's multi-year PD matrix is used for securities issued against both own and third-party securitisations. Cumulative PDs subject to comparison are based on the same model used for ECL purposes and macroeconomic scenarios. In order to obtain a unique classification result, use is made of a cumulative PD resulting from the weighted average of the cumulative PDs calculated for the individual prospective scenarios using the probabilities of the scenarios as weights. The exposures are classified into stage 2 if the ratio between the lifetime forward-looking cumulative PD at the reporting date and that of the origination date exceeds a given threshold of significance equal, both for corporate bonds and government bonds, to that used for corporate exposures in the form of loans.

<sup>11</sup> On the basis of internal policies, the macro-factors that determine the assignment of the "Proactive Management" management category are the internal rating class (below the D1 threshold) or the "activation" of default detection parameters of the early warning systems classified as highly relevant or binding, which include the EBITDA; these parameters pertain to areas of investigation relating to prejudicial, performance, centralised risks, Financial Statements and the forbearance state in loans.

<sup>12</sup> A8 is the highest EWS risk class for a stage 1 exposure.

<sup>13</sup> The classification as NPE is measured over multi-year time horizons

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Debt securities that, at the reporting date, have an investment-grade rating, mainly related to government securities, are classified in stage 1 because in this case, and only for this case, the Bank used the "Low Credit Risk Exemption". This exemption consists of the practical expedient of not conducting the test for significant deterioration of credit risk on exposures whose credit risk is considered low. This exemption applies to securities that, at the valuation date, have a rating level equal to investment grade, in full compliance with the provisions of IFRS 9. For debt securities, as well, a qualitative criterion was introduced to identify the existence of a "significant increase" in credit risk, which determines the stage 2 allocation of tranches belonging to counterparties in the high-risk management portfolio. In addition, given the presence of several purchase transactions on one fungible asset (ISIN), it was necessary to identify a methodology to identify the tranches sold in order to determine the residual quantities to which credit quality at initial recognition date can be associated, in order to compare it with credit quality at the measurement date. In this context, the "first-in-first-out" or "FIFO" methodology was deemed most appropriate, as it enables more transparent portfolio management, including from the operational perspective (front office), allowing, at the same time, a continuous updating of the creditworthiness assessment based on new purchases.

In general, the transfer criterion between stages is symmetrical. Specifically, an improvement in credit risk which involves the elimination of the conditions that led to the significant increase in said credit risk involves the reallocation of the financial instrument from stage 2 to stage 1. In this case, the entity recalculates the value adjustment on a twelve-month time horizon rather the previously recognised lifetime losses, by booking a write-back to the income statement. In order to reduce the frequency of transfers between stages, the Bank applies a stabilisation rule that requires a probation period both inbound and outbound.

Once the assignment of exposures into the various credit risk stages has been defined, the expected losses (ECL) are calculated, at the level of individual transaction or security tranche, starting from IRB/management modelling, based on the parameters of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD), to which specific adjustments are made, in order to ensure compliance with the specific requirements of IFRS 9.

The PD, LGD, and EAD are defined as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· PD
 (Probability of Default): likelihood of transferring from a performing status to that of
 non-performing over a one-year time horizon. In models consistent with supervisory provisions,
 the PD factor is typically quantified through the rating. For the Bank, PD values derive
 from internal rating models where available, supplemented by external valuations or average
 data for segment/portfolio;

&nbsp;&nbsp;&nbsp;&nbsp;· LGD
 (Loss Given Default): percentage of loss in the event of default. In models consistent with
 supervisory provisions, this factor is quantified using historical data on actual recoveries
 of loans that transferred to non-performing status;

&nbsp;&nbsp;&nbsp;&nbsp;· EAD
 (Exposure At Default) or credit equivalent: amount of exposure at the time of default.

As previously pointed out, in order to comply with the provisions of IFRS 9, specific adjustments must be made to the aforementioned factors, including:

&nbsp;&nbsp;&nbsp;&nbsp;· adoption
 of a Point in Time (PIT) PD against the Through the Cycle (TTC) PD used for regulatory purposes;

&nbsp;&nbsp;&nbsp;&nbsp;· elimination
 of certain additional components from LGD, such as indirect costs (non-recurring costs),
 further conservative margins specifically introduced for statutory models, the component
 linked to the economic downturn; as well as to reflect the most current recovery rates (PIT),
 forward-looking expectations about future trends and the inclusion of any recovery fees if
 collection is assigned to a third party;

&nbsp;&nbsp;&nbsp;&nbsp;· use
 of multi-year PDs and, where necessary, LGDs in order to determine the expected loss for
 the entire residual life of the financial instrument (stages 2 and 3);

&nbsp;&nbsp;&nbsp;&nbsp;· use
 of the effective interest rate of the individual transaction in the process of discounting
 expected future cash flows, as opposed to that which is set forth in regulatory models, in
 which individual cash flows are discounted using discount rates determined in accordance
 with prudential regulations.

In relation to the multi-year EAD, the Bank (in line with IFRS 9 provisions), takes as reference the contractual maturity plans to determine when cash flows will be due, whereas for demand exposures it uses a behavioural model to estimate the repayment profile – as also used for liquidity risk and ALM assessments – broken down by type of customer, regardless of the measurement methods (amortised cost or fair value through other comprehensive income). For commitments to disburse funds and guarantees given (off-balance sheet exposures), EAD is instead taken at nominal value weighted by a specific credit conversion factor (CCF).

IFRS 9 establishes that, at each reporting date, an entity must measure the impairment of an asset based on the expected credit loss, based on available, reasonable and consistent information, without incurring excessive costs or making disproportionate efforts. Therefore, the forward-looking approach envisaged by IFRS 9 for purposes of determining the expected loss represents a key aspect of the measurement model.

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Given the above, the Bank uses the forward-looking approach to estimate the expected loss, both in the analytical and collective measurements. The forward-looking approach is applied to the following statistical parameters:

&nbsp;&nbsp;&nbsp;&nbsp;· PD:
 Probability of Default, used for performing positions;

&nbsp;&nbsp;&nbsp;&nbsp;· LGD/EAD:
 Loss Given Default (LGD), used for both performing and non-performing positions measured
 statistically; Credit Conversion Factor (CCF) used to estimate the EAD of performing positions;

&nbsp;&nbsp;&nbsp;&nbsp;· Cure/Danger<sub> </sub>rate: used for unlikely to pay
 exposures other than positions statistically valued as lower than a given threshold;

&nbsp;&nbsp;&nbsp;&nbsp;· haircut
 for real estate collateral, used when applicable for the analytical measurement of bad loans
 and unlikely to pay exposures other than restructured loans.

Since the expected loss is estimated as the weighted average of a range of possible results, these parameters are first found based on historical data and then adjusted to take into account at least 3 economic scenarios that cover a horizon of at least 3 years in the future: baseline, best and worst.

The forward looking forecasts of the macroeconomic indicators, provided by a leading external consultant and internally reformulated by the Studies and Research Function, are quantified based on three possible future scenarios, which consider the economic variables deemed relevant (Italian GDP, interest rates, unemployment rate, commercial and residential property prices, inflation, equity indices), with a future time horizon of three years to which the respective probabilities of occurrence are assigned, determined internally by the Bank. The macroeconomic scenario is updated at least once a year, at the time of preparation of the separate financial statements and every time the latest base scenario shows, compared with the one already in use, a net cumulated difference of the GDP, over a 3 year period, greater than or equal to 0.5%, in absolute value. In greater detail, for the impairment of loans, in addition to the "baseline" scenario, i.e., the forecast macroeconomic scenario on the basis of which the Bank develops its projections of economic/equity and risk data over a short- and medium-term time frame, two symmetrical scenarios are assumed: an alternative severe scenario (severe but plausible) and an alternative improved scenario (best), which differ in their level of favour/adversity to economic development and growth. For more details on the macroeconomic scenarios incorporated in the calculation of expected losses of performing exposures, please refer to the following paragraph "Group macroeconomic scenario for the valuation of receivables in the 2024 financial statements".

The sensitivity of the statistical parameters to macroeconomic variables is estimated. In particular, the associations between the statistical parameter and macroeconomic variables are shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· PD:
 Italian GDP, unemployment rate, interest rates, inflation, commercial property prices, and
 stock indices;

&nbsp;&nbsp;&nbsp;&nbsp;· LGD/EAD:
 Italian GDP, unemployment rate, price of residential properties, interest rates, investments
 in construction, machinery and means of transport;

&nbsp;&nbsp;&nbsp;&nbsp;· cure/danger
 rates: Italian GDP and Residential property prices;

&nbsp;&nbsp;&nbsp;&nbsp;· haircut:
 commercial and residential property prices.

For those statistical parameters (e.g., PD) for which there is no linear relationship with the macroeconomic variable, the parameter measurement is not calculated based on the weighted average of the macroeconomic variables and using the respective probabilities as weights, but based on certain distinct measures of the parameter. In these cases, the weighted average occurs at the expected loss level.

For the estimate of expected losses over the life of the instrument, the reference period is represented by the contractual expiry date; for instruments that do not expire, the estimate of expected losses uses a time horizon estimated through a behavioural model for on-demand products and set to one year from the reporting date, in other cases.

Finally, with reference to the methodologies for estimating impairment of performing financial assets, in certain circumstances the need may arise to make temporary adjustments (valuation increases), on a precautionary basis, to the results of the models adopted. That need may arise, for instance, as a result of unexpected external events that are unexpected outside the bank's control which have potential far-reaching consequences on the measurement of portfolio ECLs as a result of elements that are not adequately captured by the IFRS 9 models used. It must be noted that the IFRS 9 estimation methodologies are founded on experience-based assumptions, and are strongly anchored to historical observations, which are considered over a congruous time horizon and in a sufficiently stable backdrop. Therefore, in order to fully understand the effects of particular conditions of volatility or of possible significant economic deviations from the expected macroeconomic scenarios, including in relation to emerging risks, a specific reference framework of action was identified - duly approved by the competent management bodies - to factor in further elements to the ECL calculation that are not yet and/or are insufficiently covered by the models in use.

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For further details on the model for determining expected losses on performing exposures, with particular reference to the stage assignment criteria, the method for calculating the risk parameters, the macroeconomic forecast scenarios and related probabilities of occurrence, and management overlays, please refer to the paragraph "Methods to measure expected losses" contained in "Part E - Information on risks and hedging policies" of these Notes to the financial statements.

*Impairment of non-performing financial assets*

As described earlier in the document, for non-performing financial assets, which are assigned a probability of default of 100%, the impairment amount for each loan is equal to the difference between the loan book value at the time of measurement (amortised cost) and the present value of estimated future cash flows, calculated by applying the original effective interest rate (or a proxy if not available). Cash flows are estimated based on expected recovery expectations over the lifetime of the loan, taking into account the presumed realisable value net of any collateral and any costs connected with obtaining the guarantee through sale. In this regard, in the event that the Bank uses a third party to collect non-performing loans, the fees paid to the outsourcer for activities strictly related to collection are considered for the purpose of estimating impairment losses. These costs are considered for both non-performing and performing exposures, if for the latter it is probable that in the event of a transfer to bad loans, the collection activities will be assigned to third parties. Commissions paid to outsourcers are considered in LGD estimates used for statistical measurements of all administrative stages, in collection plans for bad loans, and in analytical measurements of unlikely to pay exposures.

For purposes of estimating future cash flows and the relative collection times, the loans in question of a significant amount are subject to an analytical assessment process. For some similar categories of non-performing loans whose unit amount is insignificant, the measurement processes allow that loss forecasts are based on lump-sum/statistical calculation methods, to be analytically assigned to each individual position. The perimeter of exposures subject to a lump-sum/statistical measurement process, that is, based on statistical analyses of operational LGD, differentiated according to the segment and length of time in the risk state ("vintage") and suitably integrated to take into account forward-looking information, is represented by:

&nbsp;&nbsp;&nbsp;&nbsp;· bad
 loans and unlikely to pay exposures with exposures less than or equal to an established significance
 threshold of EUR 1 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· total
 non-performing past due exposures regardless of the exposure's significance threshold.
 In particular, these are loans that show continuous overdrawn situations or delayed payments,
 automatically identified by the Bank's IT procedures, according to the aforementioned
 rules of the Supervisory Authority.

The statistical valuation, carried out for bad loans and unlikely to pay exposures of less than EUR 1 mln and for all past-due and/or overdrawn loans, presents specific characteristics depending on the type of exposure involved.

With reference to bad loans, the statistical valuation is based on non-performing LGD grids, where the LGD model is mainly characterised by the differentiation of the loss rates, based on the permanence in the risk status ("vintage"), as well as the type of customer. The LGD grids are also differentiated by other significant analytical characteristics on the model estimation stage (e.g. technical form, type of guarantee, geographical area, exposure band, etc.). The recovery time grids, on the other hand, are broken down mainly by regulatory segment and by other significant analysis axes in the modelling (e.g. recovery procedures, exposure band, technical form).

With reference to unlikely-to-pay and non-performing past due loans, the valuation is carried out by applying statistical LGD grids specifically estimated for positions classified in these administrative categories, in line with the LGD grids estimated for bad loans. The LGD for unlikely-to-pay and non-performing past due loans is obtained by recalibrating the non-performing loan LGD through the danger rate module. The danger rate is a multiplicative correction factor aimed at recalibrating the bad loan LGD with the information available on other default events, so as to obtain an LGD representative of all possible default events and their evolution.

With regard to the treatment of mass sales, the Bank distinguishes between ordinary and extraordinary transactions, where the extraordinary nature of the transfers is connected to the presence of important strategic elements and significant dimensions, and is evidenced by specific decisions of the ECB. Therefore, ordinary transfers are always included in the determination of the accounting LGD as the transfer represents an alternative collection method to a direct collection from the debtor; by contrast, extraordinary transactions are in no way considered representative of the transactions that the Bank will carry out in the future, having now reached a physiological NPE ratio level and are therefore excluded from the estimation of the accounting LGD.

The analytical-specific valuation for bad loans and unlikely to pay exposures exceeding EUR 1 million is an assessment made by the managers on the individual positions based on a qualitative-quantitative analysis of the economic and financial situation of the main debtor and the guarantors in order to identify and quantify the sources and recovery times consistent with the most likely scenario of evolution of the credit relationship, i.e. the restoration of the counterparty to performing status or, alternatively, the progressive decommitment also through the use of scheduled transfers in line with the NPE Strategy.

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In particular, for bad loans, a set of factors are taken into account, which may or may not be present depending on the characteristics of the positions, and which must be assessed with the utmost accuracy and prudence, including by way of example:

&nbsp;&nbsp;&nbsp;&nbsp;· nature
 of the credit, preferential or unsecured;

&nbsp;&nbsp;&nbsp;&nbsp;· shareholders'
 equity of obligors/third parties providing collateral;

&nbsp;&nbsp;&nbsp;&nbsp;· complexity
 of existing or potential disputes and/or underlying legal issues;

&nbsp;&nbsp;&nbsp;&nbsp;· exposure
 of obligors to the banking system and other creditors;

&nbsp;&nbsp;&nbsp;&nbsp;· latest
 available financial statements;

&nbsp;&nbsp;&nbsp;&nbsp;· legal
 status of obligors and pending bankruptcy and/or individual proceedings.

To find the estimated realizable value of loans secured by real estate and to take into account both the historical collection data, differentiated between commercial and residential properties, and forward-looking considerations, in line with IFRS 9, the approach adopted is focused on the valuation of real estate in reference to the average expected auction and the corresponding reduction in the observed price, calculating the average haircuts differentiated by type of real estate guarantee (residential and non-residential).

With reference to bad property loans deriving from lease contracts, in light of the peculiarities of the product (absence of auctions), the haircut is estimated as the depreciation of the asset observed between the last available appraisal value and the expected sale price, determined on the basis of the evidence emerging from the recovery process.

The assessment of unlikely to pay exposures is based on a qualitative-quantitative analysis of the economic, equity and financial situation of the debtor and on a timely verification of the risk situation.

The impairment loss is calculated including the measurement of future cash flows that it is assumed the debtor is able to produce and which will also be used to service the financial debt. This estimate must be made on the basis of two alternative approaches:

&nbsp;&nbsp;&nbsp;&nbsp;· Going
 concern approach: the borrower's operating cash flows (or that of effective guarantor)
 continue to be produced, and are used to repay the financial debts contracted, based on the
 scheduled repayment plans. The going concern assumption does not exclude the possible realisation
 of collateral, but only to the extent that this can occur without jeopardising the debtor's
 ability to generate future cash flows. The going concern approach also applies to cases in
 which the recoverability of the exposure is based on the possible sale of assets by the debtor
 or extraordinary transactions;

&nbsp;&nbsp;&nbsp;&nbsp;· Gone
 concern approach: applicable in cases in which it is believed that the debtor's cash
 flows will be significantly reduced or even in cases of reduced reliability of the corporate
 Business Plans. In this context, assuming that interventions by shareholders and/or extraordinary
 restructuring operations of the debt in a turnaround situation are not reasonable, loan collection
 is essentially based on the value of the collateral that supports the loan as well as, in
 the alternative, on the realisation value of the assets, taking into account liabilities
 and any rights of pre-emption.

In the case of unlikely to pay exposures secured by real estate and valued on the basis of the gone-concern scenario approach, the haircut is applied not to the entire market value of the guarantee (as in the case of bad loans) but only to the portion pertaining to the credit exposure that is expected to become bad loan; alternatively, the cure rate of the related exposures is taken into account.

The appraisals that can be used for the valuations are carried out by independent experts enrolled in Registers and/or Professional Associations and are subject to an annual update process.

By analysing the analysis of alternative collection scenarios, the Bank notes that, for the objectives of reducing the stock of outstanding non-performing loans included in the business plans and the commitments undertaken with Supervisory Authorities, with specific reference to the "NPL Strategy", the Bank considers the sale of portfolios as the strategy that can, under certain conditions, maximise the recovery of cash flows, also in consideration of collection times.

Consequently, the estimate of expected losses of exposures that can be sold varies depending on the forecast of the recoverable flows through internal management (work-out), as well as the forecast of recoverable flows through their possible sale on the market. If the Bank's business plans and strategies identify specific disposal targets and, therefore, a portfolio of non-performing loans held for sale, the loans included in that portfolio are valued, until the disposal targets are reached, by taking into account both the value recoverable through operational management and market valuations (based on external appraisals) and/or sale prices, if already defined.

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In particular, if a broad portfolio of loans held for sale is identified that comprises Bank-owned loans that can be sold to meet the sale targets, the book value of that portfolio is measured by weighting the value recoverable through operations against the value recoverable through sale.

Based on these considerations, the accounting model for impairment for the Bank's non-performing loans only envisages a different application for:

&nbsp;&nbsp;&nbsp;&nbsp;· loans
 subject to ordinary collection process: application of the relevant accounting policies previously
 illustrated;

&nbsp;&nbsp;&nbsp;&nbsp;· loans
 included in the sale programme: measured with the ordinary policy plus any add-ons to adjust
 the portfolios to the presumable realisable value.

To determine the add-on, the Bank considers the following elements:

&nbsp;&nbsp;&nbsp;&nbsp;· <u>selection of the portfolios that are presumed to be sold</u>: the perimeter includes positions with
 a certain attractiveness on the market that can also be inferred as a result of expressions
 of interest already received, as well as additional positions resulting from assessments
 of economic benefit performed by the Parent Company's competent bodies;

&nbsp;&nbsp;&nbsp;&nbsp;· <u>probability of sale</u>: the probability is guided by the target sales level included in the NPL Strategy;

&nbsp;&nbsp;&nbsp;&nbsp;· <u>sale prices</u>: derived from mass transactions on similar portfolios and single names made by
 the Bank or from transactions carried out on the market in recent years.

The aforementioned add-on is not applied in the case of sales with a price constraint defined to an extent not lower than the net book value determined based solely on the ordinary collection process.

The method described above does not apply to receivables which, at the time of preparing these financial statements, have already been analytically identified as held for sale and which meet the conditions set forth in IFRS 5 for classification in the portfolio of assets held for sale. These receivables are measured according to the sale scenario only, to which a 100% probability is assigned, taking as reference the sale prices or, in any case, the information contained in contracts with counterparties (binding offers).

Within the range of possible approaches to estimation models permitted by the relevant international accounting standards, the use of a methodology or the selection of certain estimation parameters may significantly affect the valuation of receivables. These methodologies and parameters are necessarily subject to a continuous updating process, also in view of the historical evidence available, with the goal of refining the estimates to better represent the presumed realisable value of the credit exposure.

For updates introduced in the measurement of expected losses, please refer to the specific paragraph contained in the "Credit risk" section of "Part E - Information on risks and hedging policies" The Consolidated Notes to the financial statements.

In light of the above, it cannot be excluded that alternative monitoring criteria or different methodologies, parameters, assumptions in determining the recoverable value of the Bank's credit exposures – also affected by possible alternative recovery strategies approved by the competent corporate bodies as well as the evolution of the economic-financial and regulatory context of reference – may determine different valuations with respect to those carried out for the purposes of preparing the consolidated financial statements as at 31 December 2024.

It should finally be noted that, as reported in the Group's Report on Operations, to which reference should be made for more details, an "on-site" inspection by the ECB got underway on 11 November 2024, regarding the risk of SME exposures. More specifically, the inspection concerns the review of the quality of assets vis-à-vis the aforementioned counterparties, an analysis of the IFRS9 statistical models used to support the classification into stage 2 and the estimate of expected credit losses as well as the evaluation of the related management processes and procedures.

At the date of this Financial Report, no draft report containing the ECB's preliminary assessments had been received. Nevertheless, the information acquired from discussions with the inspection team, particularly regarding the perimeter of positions subject to analytical verification, have been evaluated and substantially incorporated into the findings of this Financial Report with the intention of making the best estimate of the recoverable value of exposures falling within the perimeter of the inspection in question. We cannot rule out that, following the audit of the Supervisory Body, additional new information may come to light, not known at the date of drafting of this report, to be considered for the purposes of assessing the credit portfolio.

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*Incorporation of climatic and environmental risks in the determination of expected losses*

One of the most complex aspects to assess, for the purposes of estimating the expected losses of credit exposures, is the actual relevance of climatic and environmental risks, given the uncertainty that inevitably characterises forecasts of events that, by nature, are likely to occur over a long-term time period.

The models currently used by the Bank to calculate expected losses (ECL) do not directly incorporate the risks arising from the exposure of debtor counterparties to climate and environmental factors, however, in 2024 the Bank has continued to refine its PD, LGD and EAD models currently in use in order to be able to discriminate within them also the typical variables of climate and environmental risks such as physical and transition risk.

Pending ECB approval of the 2024 Model Change, the Bank has factored climate-environmental risks into the ECL calculation models for the year 2024, estimating the impacts that the different transition scenarios may produce on the accounting models currently in use, taking into account that these are scenarios characterised by transition policies and implementation times that can significantly affect various macroeconomic indicators. These risks were estimated using management adjustments from the core model findings (also known as management overlays), leading to a EUR 23.2 mln increase in expected losses (EUR 38.1 mln at 31 December 2023). Therefore, it cannot be ruled out that the possible development of models capable of more fully factoring climate and environmental risks may result in different assessments with respect to those conducted for the purposes of preparing these Separate Financial Statements.

For an illustration of how the Bank is working to assess environmental factors in the context of lending policies, please refer to "Part E - Information on risks and hedging policies" of these Notes to the financial statements.

*Methods for calculating impairment on equity investments*

At the end of every reporting period, the controlling interests, interests in associates or jointly controlled entities are evaluated to check whether there is objective evidence of impairment that might render the book value of these assets not entirely recoverable.

The process of recognising impairment involves verifying the presence of indicators of possible reductions in value and calculating any write-down.

The Bank alternatively uses a set of indicators based on several factors, referring to the investee, including the type of business, market listing and budget objectives. The presence of impairment indicators entails the recognition of a write-down in the amount for which the recoverable value is lower than the book value. The recoverable value is the greater of the fair value less costs to sell and the value in use. For the methods used to determine the fair value, refer to the information in chapter A.4 - Information on fair value in the Notes to the Financial Statements. The value in use is the present value of cash flows arising from the asset; it reflects the estimate of the cash flows expected from the asset, the estimate of possible changes in the amount and/or timing of cash flows, the time value of money, the price for remunerating the asset's risk and other factors that can influence the pricing, by market dealers, of the cash flows expected from the asset. In determining the value in use, the discount method applied to future cash flow is used through discount rates reflecting the cost of capital of the investee<sup>14</sup>.

With reference to controlling interests, the impairment test is performed individually for each investee when this has independent cash flow generation capacity. If the Group's organisational model provides for the assets of the investee to be included in a larger Cash Generation Unit (CGU) or in a different unit, in the separate financial statements the impairment test is not carried out on each individual controlling interest, but on the individual CGU identified at the consolidated level, because only with this procedure it is possible to calculate the recoverable value of the CGU.

The impairment test carried out in 2024 did not entail the need to make value adjustments. For information on the book value of the main equity investments, please refer to the section entitled "Equity investments - Item 70" contained in "Part B - Information on the balance sheet" of these Notes to the financial statements.

<sup>14</sup> A growth rate applied to available data is used to determine future cash flows that are not made explicit in the companies' plans.

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*Methods for calculating impairment on other non-financial assets*

The property, plant and equipment and intangible assets with definite useful life are tested for impairment in the presence of any indication that the book value of the asset may not be recovered. The recoverable value is computed with reference to the fair value of the property, plant and equipment or intangible asset, net of the disposal charges or the value in use if this can be calculated and exceeds fair value.

In particular, with regards to the software, with reference to closed projects of amounts exceeding EUR 1 mln, the Bank performed the recoverable value check using assumptions and estimates in line with those of the 2023 Financial statements. The impairment test conducted as at 31 December 2024 was based on the monitoring of specific key performance indicators (KPIs), identified when the projects were closed, in order to verify the economic benefits assumed in the reference business cases. The outcome of the monitoring showed values of these KPIs exceeding the reference thresholds set in the business cases for all projects. For projects with a value below the aforementioned threshold without specific KPIs, the impairment test of the related software was conducted consistently with previous financial years and led to the recognition of an impairment loss of EUR 1.8 mln.

The values of right of use assets acquired through leasing are subject to impairment testing, if the conditions are met. The test is performed when the following events or situations occur: full/partial abandonment, underuse or non-use of the leased asset. In addition, it is necessary to refer to indicators from internal sources such as signs of obsolescence and/or physical deterioration of the asset, restructuring plans and closures of branches and external sources such as, for example, the increase in interest rates or other rates of return on the market for investments that may cause a significant decrease in the recoverable value of the asset. The outcome of the aforementioned checks as at 31 December 2024 led to the recognition of an impairment loss of EUR 0.8 mln in the item "Impairment losses/reversals on property, plant and equipment".

For information on the rights of use acquired through leasing, please refer to the section "Property, plant and equipment - Item 80" contained in "Part B - Information on the balance sheet" of these Notes to the Financial Statements.

*Determination of the fair value of property*

Real estate used in the business (IAS 16) and real estate held for investment purposes (IAS 40) are valued in accordance with the revaluation criterion and the fair value criterion, respectively. For this perimeter, the fair value update is determined in accordance with IFRS 13 through the use of specific appraisals prepared by qualified and independent experts, which, depending on the relevance of the individual real estate unit, are conducted in two different alternative ways:

&nbsp;&nbsp;&nbsp;&nbsp;· "full"
 appraisals: based on a physical inspection of the property assets by the appraiser; or

&nbsp;&nbsp;&nbsp;&nbsp;· "desktop"
 appraisals, based on an assessment performed with no physical inspection of the property
 asset and, therefore, based on reference market values.

The valuation methodologies applied by the appraiser in the appraisal are aligned with international IVS (International Valuation Standards) practices and with the requirements stated in the latest edition<sup>15</sup> of the Red Book of the UK's Royal Institute of Chartered Surveyors (RICS) and they comply with the provisions of IFRS 13.The accounting standard provides, in particular, for non-financial assets that the use by their owner meet the requirement of highest and best use, unless the market participants expect different intended use for the property, which would therefore optimize its value. The valuation approach was therefore specified by the expert appraiser based on the current intended use of the properties, assuming this represents the highest and best use, and considering, in a few cases, alternative uses of the properties where this corresponds to market expectations. Therefore, to find the value of each property, the appraiser identifies the most suitable methodology according to the characteristics of the asset and the conditions of the reference market. The methodologies applied by the appraiser are as follows: Discounted cash flow (DCF) method; Market comparison approach (MCA); Transformation method with DCF analysis. In this context, the lease payments, sale prices, discount rates and capitalisation rates were estimated.

With reference to the ESG issue, in which the environmental issue is included, the RICS valuation standards specify the actions to be followed by the appraiser with regard to on-site inspections and the collection of data useful for assessing this aspect. The range of issues to be addressed includes, among others, major physical hazards (floods, heat, fire and storms) and transient hazards (energy efficiency, carbon emissions, climate impact). The impact of these risks is affected by current and historical use of the territory, as well as design, configuration, accessibility, legislation as well as management according to tax regulations.

<sup>15</sup> The updated version was issued in November 2021 and is effective from 31 January 2022.

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As at 31 December 2024, the fair values of the entire real estate assets were updated, which is done at least every six months unless market situations and/or special conditions make it advisable to bring forward the valuation appraisals from the standard periodicity.

In light of the above, it cannot be ruled out that the valuations may be different from those arrived at for the 2024 financial statements as a result of using different methodologies or estimation parameters, which are influenced by real estate market forecasts relevant to the Bank and by the strategies the Bank may use to manage its real estate assets (including the disposal of portfolios). As a consequence, there may be a negative impact on the Bank's balance sheet and income statement.

The results of the valuations carried out as at 31 December 2024 are described in the section "Property, plant and equipment - item 90" in "Part B - Information on the Consolidated Balance Sheet" of these Notes to the Consolidated Financial Statements, to which reference should be made for further details. For an in-depth analysis of the valuation approach, valuation methods and the selection of estimation parameters that can significantly influence the calculation of fair value, reference should be made to the specific qualitative and quantitative disclosure in Part A.4 - "Information on fair value".

*Methods for recognising deferred tax assets (probability test)*

The Bank verifies the possibility of recognising tax assets based on a probability test, as described below.

Future taxable income, which is calculated for the purposes of recovering deferred tax assets, is determined as follows:

&nbsp;&nbsp;&nbsp;&nbsp;a. for
 the three-year period following the balance sheet date, based on the forecast of the Bank's
 and the Group's income statements according to the new 2024-2028 Business Plan approved
 on 5 August 2024;

&nbsp;&nbsp;&nbsp;&nbsp;b. after
 the first three years and up to the twentieth year, by projecting forward the pre-tax profit
 of the Bank and of the Group, revalued at a growth rate (g) of 2% per annum, which allows
 for a Group average return on equity (ROE) that does not exceed the average ROE recorded
 in the banking sector over the last 20 years.

In order to reflect the uncertainty associated with realising the economic benefits assumed, a discount factor is used based on data observable on the market and consistent with the risk metrics of the investment in Banca MPS shares. This discount factor was equal to 9%<sup>16</sup> at 31 December 2024, unchanged with respect to the one used for the financial statements as at 31 December 2023; in view of this uncertainty, it is believed that the time period considered for the purposes of the taxable income test, the realisation of which is considered likely, cannot exceed 20 years.

In any case, the framework of the probability test is consistent with that of the impairment test used for the measurement of goodwill, except for the specifics related to regulatory requirements (IAS 12 and IAS 36, respectively) such as, for example, the possibility in the probability test to take into account business restructuring and reorganisation actions included in the forecast plans, which is not considered in the goodwill impairment test. For more information reference should be made to paragraph "Impairment test on Group goodwill" included within Section 10 of the assets of these Notes to the Financial Statements.

The development of the probability test, where applicable, takes into account the national tax consolidation agreements, for the Group companies participating in them, and the option exercised in the tax return with respect to the possible allocation of residual tax losses in the event of early termination of group taxation. Based on the agreements and the option in force as at 31 December 2024 as well as in previous years, the assessment of the recoverability of the consolidated tax loss carry-forwards and the consequent recognition of the related DTAs, are entirely the responsibility of the Bank as consolidator, which reports the related accounting impacts in its individual financial statements. For further information, please refer to what was described in this Section of the Notes to the financial statements, Part A2, "Part relating to the main items of the financial statements - Current and deferred tax".

For more information, see Section 10 "Tax assets and tax liabilities" contained in "Part B - Information on the Balance Sheet" of these Notes to the Financial Statements, which also provides information on the breakdown of deferred tax assets and the checks carried out on their recoverability, on the sensitivity analyses aimed at allowing an appreciation of the time frame of their recovery, depending on reasonable variations in the main underlying assumptions.

<sup>16</sup> Changes to the discount factor are considered when the average of the last 3 years of the rate calculated at the reference date deviates by at least ±1% from the last rate used.

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Impacts of the conflicts in Ukraine and the Middle East

The geopolitical tensions existing at the date of preparing these Financial Statements, in relation to both the Russia-Ukraine conflict and the conflict in the Middle East, add new economic challenges and uncertainties and thus increase the risk of unpredictability. Looking ahead, these uncertainties could lead to a revision of the estimates made for the items of the Financial Statements as new information becomes available, which is current unforeseeable. In accordance with the recommendations expressed by the supervisory authorities (ESMA and CONSOB)<sup>17</sup>, which aim to ensure proper oversight of the valuation issues impacted by the conflicts in question and to guarantee full and transparent disclosure in the Financial Statements, evidence is given below of the Bank's directly or indirectly impacted credit exposures.

Russia and Ukraine

The impacts directly related to the Russia-Ukraine conflict are marginal for the Bank, taking into account that it has no operations located in these territories and that credit exposures to customers residing in the aforementioned countries or indirectly related to Russian or Ukrainian counterparties total, as at 31 December 2024, to EUR 1.2 mln, classified in their entirety as stage 3.The EUR 10 mln reduction in gross exposure compared to the previous year is due to the closure of certain relationships with Russian counterparties during the year.

With reference to other risks, exposures denominated in Russian currency are immaterial, and no negative change has been observed in the main liquidity indicators.

With reference to the indirect impacts on credit quality, note that in 2022 the outreach campaigns with customers in the sectors potentially most vulnerable to the conflict – and who were therefore most exposed to the increase in energy prices and to difficulties in sourcing commodities – came to an end. Just as in 2023, no credit monitoring actions were necessary in 2024 other than those already planned as part of the ordinary credit monitoring activities.

Middle East

With regard to the Israel-Palestine crisis, the risks specifically relating to the countries directly involved in the conflict are also marginal. More specifically, the credit exposure to counterparties in Israel and Palestine amounted to EUR 3.3 mln at 31 December 2024 (EUR 3.5 mln at 31 December 2023),out of an authorised line of credit of EUR 27.3 mln. As far as market and counterparty risk is concerned, there is no material exposure to be reported at the end of 2024.

If the analysis is extended to neighbouring countries who could potentially become involved (Egypt, Lebanon, Iran and Qatar), the actual risk level is nevertheless low: Direct exposure to counterparties in those countries for drawdowns of authorised lines of credit amounts to approximately EUR 4.6 mln, while indirect risks for issued guarantees stand at approximately EUR 8.1 mln.

*Macroeconomic forecasts for 2025, 2026 and 2027*

On 12 December 2024, the ECB published its bulletin containing its staff's updated macroeconomic projections for the euro area, with contributions also from the national central banks. The projections anticipate a gradual recovery of the Eurozone economy in the coming years in spite of the considerable geopolitical and economic uncertainties. Economic growth will be supported both by consumption (bolstered by rising real salaries, employment and an easing of financing conditions) and by funds from the Next Generation EU (NGEU) programme, which should support growth until the expiry of the three-year programme in 2027.

Under the baseline assumption that commodity prices and rate curves will decline and the euro/dollar exchange rate will remain constant, productivity is expected to accelerate over the three-year period 2024-2027. Overall, annual average real GDP growth is projected to be 0.7% in 2024 (projected at 0.8% in September), 1.1% in 2025 and 1.4% in 2026 (projected at 1.3% and 1.5%, respectively, in September), before decreasing to 1.3% in 2027 (projected at 1.4% in September).

Inflation is projected to have risen again in the fourth quarter of 2024, primarily relating to base effects i energy prices, and is expected to edge down near to the ECB's target of 2% commencing the second quarter of 2025. Headline HICP inflation should decrease over the next two years from 2.3% in 2024 (projected at 2.5% in September) to an average of 2.1% in 2025 (projected at 2.2% in September) and 1.9% in 2026 (unchanged from September), before edging up temporarily to an average of 2.1% in 2027 as a consequence of budgetary measures relating to the ecological transition.

Under the unfavourable assumption that prices of raw materials will rise due to the impending expiry of the gas transit agreement between Ukraine and Russia and the recent delays in projects concerning liquefied natural gas supplies, GDP is projected to grow in real terms by 0.1 percentage points less than under the baseline assumption during the three-year

---

| | |
|:---|:---|
| 17 | See, in particular, the documents 'ESMA Public Statement: ESMA coordinates regulatory response to the war in Ukraine and its impact on EU financial markets – 14.03.2022", "ESMA: Public Statement – Implication of Russia's invasion of Ukraine on half-yearly financial reports – 13.05.2022 "ESMA: European common enforcement priorities for 2022 annual financial reports – 28.10.22", "CONSOB draws the attention of supervised issuers to the impact of the war in Ukraine based on insider information and financial reporting - 22 March 2022" and finally "Warning Notice No. 3/22 of 19 May 2022". |

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period. HICP inflation in the euro area is expected to increase by 0.7 percentage points in 2025, by 0.6 percentage points in 2026 and by 0.3 percentage points in 2027.

The specific scenario for Italy, included in the base scenario of the ECB projections, was released by the Bank of Italy in the document "Macroeconomic projections for the Italian economy" published on 13 December and confirmed in the Economic Bulletin of 17 January 2025. The scenario forecasts GDP growth in the fourth quarter of 2024, followed by sustained growth from the second half of 2025, mainly due to favourable consumption trends and a recovery of exports. On an annual average, GDP would increase by 0.5% in 2024, 0.8% in 2025, 1.1% in 2026 and 0.9% in 2027.

Consumer inflation is expected to average 1.1% this year, before rising to 1.5 in 2025-26. In 2027, the EU Emissions Trading System (ETS2) will scope in the sale of transport fuels and heating of buildings, which is expected to lead to a price increase in energy goods, which in turn would temporarily push up average annual goods inflation to 2%.

*Macroeconomic scenarios of the Bank for the valuation of loans in the 2024 financial statements*

In December 2024, the Bank approved a set of forecast macroeconomic scenarios for the 2025-2027 period developed internally, taking also as reference the forecasts developed by external providers in October 2024. These scenarios were used as part of the ordinary annual planning process and the calculation of value adjustments of performing and non-performing loans as at 31 December 2024.

The baseline scenario approved by the Bank shows a higher level of conservatism compared to the forecasts published by the Bank of Italy in December 2024, in particular, for the years 2026 and 2027, GDP growth is expected to be 0.71% (1.1% Bank of Italy) and 0.45% (0.9% Bank of Italy), respectively. In addition to the baseline scenario, in light of the objective uncertainty present regarding the evolution of the economic context and the provisions of the Regulators, further alternative scenarios have been outlined, in detail an alternative more negative scenario (severe but plausible) and an alternative better scenario (best).

The most severe (*severe but plausible*) alternative scenario is a worsening of geopolitical tensions in the Middle East, the continuation of the war in Ukraine and, following the US elections, a gradual disengagement of the US in the international arena. This scenario would see an increase in oil prices due to supply chain tensions, hindering inflation from declining towards the 2% target and, consequently, leading central banks to slow down their interest rate cuts. In Italy, GDP is expected to stagnate in 2025, with investment hit harder than consumption and industrial activity at a standstill.

The alternative best-case scenario, on the other hand, envisages an easing of geopolitical tensions in both the Middle East and Ukraine and a calmer international environment unaffected by the US election results. In such a scenario, oil prices quickly fall back to bottom levels and favour the emergence of base effects, pushing overall European inflation back under 2% already in the course of 2025 and guaranteeing a strong reduction in interest rates earlier than in the base scenario. In this context, a positive financial market cycle is restarting, so that final demand can also be supported by positive wealth effects.

For information on macroeconomic trends in the scenarios described above, please refer to "Part E - Information on risks and hedging policies, section 1.1, Credit risk, paragraph 2.3 Methods for measuring expected losses" in the Notes to the Consolidated Financial Statements.

The table below shows, by way of example, the scenario updates made by the Group in December 2024 on the GDP indicator with the relative comparison with the baseline scenario published by the Bank of Italy in December 2024 and with the scenarios used in December 2023.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Dec-24** | **Dec-24** | **Dec-24** | **Report**<br>**dec-24** | **Dec-23** | **Dec-23** | **Dec-23** |
|  | **MPS** | **MPS** | **MPS** | **Bankit** | **MPS** | **MPS** | **MPS** |
|  |<br>**Baseline** | **Severe but**<br>**plausible** |<br>**Best** |<br>**Baseline** |<br>**Baseline** | **Severe but**<br>**plausible** |<br>**Best** |
| **2024** | n.a | n.a | n.a | 0.50% | 0.43% | -0.40% | 1.49% |
| **2025** | 0.79% | 0.09% | 1.50% | 0.80% | 0.83% | 0.45% | 1.40% |
| **2026** | 0.71% | 0.41% | 1.34% | 1.10% | 0.88% | 0.49% | 1.18% |
| **2027** | 0.45% | 0.30% | 0.82% | 0.90% | n.a | n.a | n.a |

---

Note that the baseline scenario used by the Bank in 2024 has always been in line, if not more conservative, with the forecasts provided by the Bank of Italy.

With reference to the risk parameters, it should be noted that all PD, LGD and EAD models used for IFRS 9 accounting valuations were updated in 2024, resulting in higher provisions EUR 49.1 mln being recorded in 2024.

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In particular, just as in 2023, the PD, LGD and EAD models were re-estimated to follow the evolution of the regulatory models developed for the purposes of the 2024 Model Change, appropriately adjusted to reflect the current conditions of the economic cycle. In detail, the re-estimation for PD models involved: (i) the macroeconomic models used to estimate default probabilities; (ii) the updating of the time series with the implementation of the evidence of the default rates observed up to January 2024; and (iii) the calibration of pit ratings with the Model Change 2024 scores; for the LGD models the re-estimation resulted in an updating of time series with evidence from 2023 and in a reduction of a duration of time series (from 17 years to 12 years) to better capture the higher loss rates observed in recent years. Finally, for the EAD model, the time series was updated with evidence from 2023. The re-estimation for these models resulted in higher adjustments of EUR 35.8 mln and a EUR 73.5 mln reduction in stage 2 exposures.

It should also be noted that during 2024, in light of the latest available evidence, the 12-month discount parameter was prudentially raised to 18 months in respect of estimating the expected loss on exposures operating under state-guarantees equal in duration to the average recovery time of collateral in the event of the counterparty becoming a non-performing borrower Overall, these updates resulted in higher adjustments of EUR 13.3 mln.

For further details on the model updates, please refer to the information provided in the section Credit Risk – paragraph "2.2 Management, measurement and control systems" of Part E of these Notes to the consolidated financial statements.

*Management overlays*

With regard to management overlay the Bank has decided to operate, for the purposes of the financial statements as at 31 December 2024, in substantial continuity of methodology with respect to what was done for the purposes of the 2023 financial statements. It should be remembered that, as at 31 December 2023, "post-model adjustments" had been applied to the results of the ECL estimation methods, within the framework of flexibility allowed by IFRS 9 and in light of the greater prudence necessary in relation to significant risk deriving from the current and forward-looking contexts. In fact, the results of the aforementioned methods, though incorporating forward-looking approaches and updates to the macroeconomic scenarios, were deemed insufficient on the one hand to take into greater account the uncertainties and risks of the forecasts, and on the other due to the estimation characteristics adopted, as they are based on a model strongly anchored to observed long-term relationships, which may not be fully adequate in a developing context that may originate from unobserved and unpredictable events.

It should be noted that, by contrast with the preparation of the Financial Statements for the year ending 31 December 2023: (i) in the "*severe but plausible*" assumption, the adjustment applied to capture the risk of expected non-performance in the real estate market was discontinued, with this risk now factored into the models following the update of the "*severe but plausible*" assumption being produced in the ECL calculation at the reporting date; and (ii) in line with the practice commenced in the first half of 2024, an adjustment was introduced to the calculation of the expected losses of retail and corporate counterparties, following back testing analyses conducted during the second half of 2024 which showed slightly higher observed loss rates for the aforementioned categories than those estimated.

The Bank also confirmed for the inclusion of climate and environmental factors in its credit risk estimates for 2024 - in line with the requests received from ESMA in 2023 - by integrating the macroeconomic indicators observed in the "Net Zero 2050" climate scenario (updated in November 2024) to the baseline macroeconomic model adopted. The latter, characterised by a proactive behaviour of the economic system with respect to the energy transition, would entail a global economic contraction due to the huge costs incurred to achieve the set out objective. The application of these corrections on the baseline scenario led to higher provisions for a total of EUR 23.2 mln, down EUR 14.6 mln compared to the EUR 37.8 mln recorded in 2023. The downward change is due to using an updated scenario in which a smaller contraction in the global economy is forecast that used for the 2023 assessments.

Finally, analysis of the default rates on floating-rate mortgages observed in 2024 reaffirmed the signs of criticality observed in 2023. As a result, the Group continued to apply an adjustment to floating-rate retail mortgages by performing a sensitivity analysis of the instalment/income ratio in a stress scenario. The application of this adjustment resulted in higher provisions of EUR 25.2 mln, up from 2023 figure of EUR 9.7 mln, due to the increase in the accrued income ratio resulting from the trend of interest rate during 2024.

Overall, the management overlays used for accounting valuations as at 31 December 2024 resulted in increased loss provision of approximately EUR 68.7 mln (EUR 53.7 mln as at 31 December 2023.

For more information on the assumptions used for the estimates, the composition of management overlays and their trends compared to the previous year, as well as the sensitivity analysis with respect to alternative scenarios, please refer to "Part E - Information on risks and hedging policies, section 2 - Risks of the prudential consolidation, 1.1 Credit risk, paragraph 2.3 Methods for measuring expected losses" in the Notes to the consolidated financial statements.

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*Inclusion of government guarantees*

Finally, with regard to the treatment of government guarantees, it should be noted that, in accordance with the guidance of the Authorities, these did not impact the calculation of the SICR - since the latter does not depend on the guarantees, but on the creditworthiness, which remains specific to the counterparty; they have instead affected the estimate of the ECL, through the use of an LGD parameter that takes into account the government mitigation measures, introduced and expanded with the "Cura Italia" and "Liquidità" decrees. This approach derives from the assessment carried out on the characteristics of the guarantees that allow them to be considered as an integral part of the contract pursuant to IFRS 9.

• ••

*Disclosure on public funding pursuant to art. 1, paragraph 125 of Italian Law no. 124 dated 4 August 2017 ("Annual Law for the Market and Competition")*

It should be noted that as at the reporting date of these financial statements, in the National Register of State Aid, the grants received by the Bank for the year 2023, mainly for training activities, totalling EUR 3.0 mln, are posted and publicly available in the Transparency section "Individual Aid". In this regard, it should also be noted that, in line with the provisions of the law, the economic benefits below the threshold of EUR 10,000 are not reported (threshold referring to the total amount of benefits received by the Bank from the same authority in the financial year 2023 in a single deed or in several deeds). For more information, please visit the following website:

*<u>https://www.rna.gov.it/sites/PortaleRNA/it_IT/trasparenza</u>*

A.3 Information on portfolio transfers

The tables on transfers between portfolios of financial assets were not created, as in the 2024 financial year, as in previous years, the Bank did not carry out any reclassification transactions following the change in the business model, that is to say of the procedures used by the Bank to manage financial instruments.

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A.4 – Fair value disclosure

Qualitative Information

IFRS 13 defines fair value as the price that would be received for the sale of an asset or that would be paid for the transfer of a liability in a regular transaction among market operators operating on a going concern basis (that is, not in a forced liquidation or a sale below cost) at the conditions prevailing on the valuation date in the main or most advantageous market (exit price). The Bank must measure the fair value of an asset or liability by adopting the assumptions that market participants would use in determining the price of the asset or liability, assuming that they act to best meet their economic interests.

For the purposes of measuring financial and non-financial assets and liabilities at fair value, IFRS 13 defines a threefold hierarchy of fair value, based on the source and quality of the inputs used. The methods for classifying financial instruments in the three-level fair value hierarchy are shown below.

*Level 1*

This level shall include financial instruments measured using unadjusted quoted prices in active markets<sup>18</sup> for identical instruments.

*Levels 2 and 3*

An instrument is classified in level 2 if all significant inputs are directly or indirectly observable on the market. An input is observable if it reflects the same assumptions used by market participants, based on independent market data.

Level 2 inputs are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;a. quoted prices on active markets for similar assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;b. quoted prices for the instrument in question or for similar instruments on non-active markets, i.e. markets
where:

&nbsp;&nbsp;&nbsp;&nbsp;(i) there are few transactions;(ii) the prices are not current or they vary substantially over time and between the different market makers; or(iii) little information is made public;

&nbsp;&nbsp;&nbsp;&nbsp;c. observable market inputs other than quoted prices (e.g.: interest rates or yield curves observable in
different buckets, volatility, credit curves, etc.);

&nbsp;&nbsp;&nbsp;&nbsp;d. inputs that derive primarily from observable market data, the reporting of which is confirmed by parameters
such as correlation.

A financial instrument is classified in level 3 if the measurement techniques adopted use non-observable market inputs and their contribution to estimating fair value is deemed significant. All financial instruments not listed in active markets are classified in level 3 where:

&nbsp;&nbsp;&nbsp;&nbsp;· despite having observable data available,
significant adjustments based on non-observable data are required;

&nbsp;&nbsp;&nbsp;&nbsp;· the estimate is based on internal
assumptions on future cash flows and risk adjustment of the discount curve.

For financial instruments, measured at fair value in the financial statements, the Bank has adopted a "Fair Value Policy" that assigns the highest priority to prices listed on active markets (level 1) and the lowest priority to the use of non-observable inputs (level 3), as they are more discretionary, in line with the fair value hierarchy represented above. In detail, this policy defines:

&nbsp;&nbsp;&nbsp;&nbsp;· the rules for identifying market
data, the selection/hierarchy of information sources and the price configurations to value the financial instruments contributed on active
markets and classified under level 1 of the fair value hierarchy;

&nbsp;&nbsp;&nbsp;&nbsp;· valuation techniques and related
input parameters in all cases in which this is not possible due to absence of directly observable prices on markets considered active.

In determining fair value, the Bank uses information based on market data obtained from independent sources, where available, as this is considered the best evidence of fair value. In this case, fair value is the market price of the instrument being measured (i.e. without modifying or remeasuring the same instrument), which can be inferred from the prices expressed by an active market (classified in level 1 of the fair value hierarchy). In the absence of an active market price or a regularly functioning market (i.e. when the market does not have a sufficient and continuous number of transactions), the

18 Pursuant to IFRS 13, a financial instrument is quoted in an active financial market when:

&nbsp;&nbsp;&nbsp;&nbsp;· the quoted prices are readily and regularly available from an
exchange, dealer, broker, industry group, pricing service, authorised body or regulatory agency;

&nbsp;&nbsp;&nbsp;&nbsp;· the quoted prices represent actual and regularly occurring market transactions on an arm's length
basis.

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fair value of a financial instrument is arrived at from the prices observed in recent transactions involving similar instruments in active markets (adjusted as appropriate for differences in instruments and market conditions), rather than from the prices of recent transactions involving an identical instrument as that being measured on non-active markets; in the absence of observable transaction prices for the instrument being measured or similar instruments, a valuation model must be adopted.

Classification in level 2 rather than level 3 is determined on the basis of market observability of the significant inputs used to determine fair value. A financial instrument must be classified in its entirety in a single level; therefore, if inputs belonging to different levels are used in the valuation technique, the entire valuation must be classified in correspondence with the level of the hierarchy in which the lowest level input is classified, if it is considered significant for the determination of the fair value as a whole.

The following types of investments are normally considered as level 2:

&nbsp;&nbsp;&nbsp;&nbsp;· equities not listed on active markets, valued using the market multiples
technique, or valued on the basis of actual transactions that occurred within a time frame reasonably close to the reference date;

&nbsp;&nbsp;&nbsp;&nbsp;· OTC derivative financial instruments, if the inputs of the pricing models,
used to determine the fair value, are observable on the market or, if not observable, are considered such as not to significantly affect
the measurement of fair value;

&nbsp;&nbsp;&nbsp;&nbsp;· third-party debt securities or own issue not listed on active markets whose
inputs, including credit spreads, are obtained from market sources.

The following financial instruments are generally considered level 3:

&nbsp;&nbsp;&nbsp;&nbsp;· hedge funds characterised by low levels of liquidity, when the valuation/disinvestment
of their assets is believed to require a series of assumptions and estimates to a significant extent. The fair value measurement is carried
out on the basis of the adjusted NAV to take into account the low liquidity of the investment;

&nbsp;&nbsp;&nbsp;&nbsp;· alternative investment funds for which the discounted cash flow is used;

&nbsp;&nbsp;&nbsp;&nbsp;· private equity and real estate funds valued on the basis of the last available
NAV, adjusted if necessary to take into account events not included in the valuation of the unit or to reflect a different valuation
of the assets underlying the fund;

&nbsp;&nbsp;&nbsp;&nbsp;· equity securities for which no recent or comparable transactions can be
observed, and valued on the basis of the equity or income model;

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities, ABS and derivative transactions characterised by complex
financial structures for which publicly unavailable sources are generally used;

&nbsp;&nbsp;&nbsp;&nbsp;· debt securities issued by parties in financial difficulty for which the
 "recovery rate" must be estimated;

&nbsp;&nbsp;&nbsp;&nbsp;· financial instruments represented by OTC derivatives for which the non-observable
input parameters used by the pricing model are considered significant for the purposes of measuring the fair value;

&nbsp;&nbsp;&nbsp;&nbsp;· performing and non-performing medium/long-term loans valued on the basis
of expected cash flows estimated with different models depending on the status of the counterparty and discounted using a market interest
rate.

For information on the fair value of non-financial assets, attributable to property, plant and equipment represented by properties, please refer to the following paragraph.

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A.4.1 Fair value level 2 and 3: measurement techniques and inputs used

The following tables show, respectively, for Level 2 and 3 financial instruments, the accounting portfolio, a summary of the types of instruments in use at the Bank, and evidence of the related valuation techniques and the inputs used.

![](tm2518026d1_ex99-4img01.jpg)

\*prices for identical financial instruments listed in non-active markets (IFRS 13 par. 82 section b)

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![](tm2518026d1_ex99-4img02.jpg)

The techniques and parameters for calculating the fair value, as well as the criteria for assigning the fair value hierarchy, are defined and formalised in the aforementioned "Fair value policy" adopted by the Bank. The reliability of fair value measurements is also ensured by the verification activities carried out by a Risk Management structure, independent of the Front Office units that hold the positions, which periodically reviews the list of pricing models to be used for the purposes of the Fair Value Policy. These models must represent market standards or best practices and the related calibration techniques must guarantee a result in line with valuations able to reflect "current market conditions". Specifically, to correctly determine the fair value, for each product a pricing model is associated, generally accepted by the market and selected on the basis of the characteristics and market variables underlying the product. With particularly complex products or if the existing valuation model for products in use is deemed to be lacking or inadequate, an internal process is activated to supplement the current models. On the basis of this process, the Risk Management department carries out a first validation of the pricing models, which may be native to the Position Keeping system or be issued by a specific internal unit; this is followed by a stage in which the same unit ensures the reliability of the previously validated model.

In detail, the validation activity, carried out on a range of instruments identified above certain materiality thresholds, is aimed at verifying the theoretical robustness of the model, through an independent repricing of the price, a possible calibration of the parameters and a comparison with the prices of the counterparties.

Following the validation stage, an ongoing review is carried out to confirm the accuracy and alignment to the market of the pricing models used by the Bank, and appropriate changes are made, if necessary, to the models and the related underlying theoretical assumptions. To take into account the risk that the pricing models, even if validated, may generate fair value values that are not directly comparable with market prices, an adjustment is made for "Model risk", as described below.

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Financial assets and liabilities measured at fair value on a recurring basis

Financial assets and liabilities measured at fair value on a recurring basis are represented by all financial instruments measured in the financial statements on the basis of the fair value criterion (items 20, 30, 50 of the balance sheet assets and items 20, 30, 40 of liabilities in the balance sheet). For these financial instruments, in the absence of directly observable prices on active markets, it is necessary to determine a fair value on the basis of the valuation approach described in the previous paragraph. The main valuation techniques adopted for each type of financial instrument are illustrated below.

Debt securities

The valuation of non-contributed securities (i.e. securities without official prices expressed by an active market) is carried out using a suitable credit spread, identified from contributed and liquid financial instruments with similar characteristics. The sources from which to draw this measure are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· contributed
and liquid debt securities of the same issuer;

&nbsp;&nbsp;&nbsp;&nbsp;· credit
default swaps on the same reference entity;

&nbsp;&nbsp;&nbsp;&nbsp;· contributed
and liquid securities issued by an issuer with the same rating and belonging to the same sector. In any case, the different seniority
of the security to be priced in relation to the issuer's debt structure is taken into account.

Furthermore, for bonds not quoted on active markets, to take into account the higher premium requested by the market compared to a similar contributed security, an additional component, estimated on the basis of the bid/ask spread, is added to the "fair" credit spreads observed on the market.

Loans that do not pass the SPPI test

These are loans mandatorily measured at fair value as the contractual cash flows do not exclusively provide for the repayment of principal and payment of interest on the principal to be repaid (i.e., they do not pass the "SPPI test"), either by virtue of clauses originally envisaged in the contract or following subsequent amendments. The fair value is valued with the Discounted Cash Flow approach, which is applied in a different way depending on whether the loans are performing/ non-performing:

&nbsp;&nbsp;&nbsp;&nbsp;· for
performing loans, the fair value is determined on the basis of cash flows, appropriately adjusted for expected losses, based on the unobservable
parameters PD and LGD. These flows are then discounted on the basis of a market interest rate, adjusted to take into account a premium
deemed to express the risks and uncertainties. In the presence of implicit option components, which, for example, provide for the option
of changing the interest rate, the fair value also takes into account the value of said components;

&nbsp;&nbsp;&nbsp;&nbsp;· for
non-performing loans, the measurement of the fair value is based on directly or indirectly observable market parameters, which refer
to risk factors found in the transfer of NPLs in order to obtain a market price, representative of the uncertainty of the collection
process. In particular, cash flow forecasts are expressed by the analytical repayment plans that represent the information on the estimated
loss rate on the position. The collection flows estimated in this way are discounted using a discount factor that is constructed starting
from a spread representing the uncertainty of the collection process (unexpected loss) and any other residual risk; the discount rate
is then calculated by adding this spread to the risk-free interest rate curve, without taking into account the contractual rate.

Unlisted equities

They are valued with reference to direct transactions on the same security or on similar securities observed over a period of time with respect to the valuation date, using the market multiples method of comparable companies and subordinate to financial, income and equity valuation methods.

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Investments in UCITS

They are, as a rule, valued on the basis of NAVs or expected flows and/or business plans made available by the fund administrator or management company. If the NAV does not represent fair value, from the perspective of a market participant, the Bank may adopt certain adjustments/haircuts. These typically include private equity funds, alternative investment funds among which funds investing in non-performing loans, real estate funds, hedge funds.

In the specific case of alternative investment funds that invest in NPE loans, the Bank has estimated the unit value as the sum of the present values of the expected fund distributions (Discounted Cash Flows). The inputs used are as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· cash flows related to net distributions
to investors envisaged in the business plans/management accounts of their respective operations;

&nbsp;&nbsp;&nbsp;&nbsp;· discount rate between 8.72% and
10.95%, depending on the capital structure and the additional premium for the risk of each transaction.

Credit structured products

With reference to ABS (asset backed securities), when significant prices are not available, valuation techniques are used that take into account parameters that can be inferred from an active market (level 2 inputs) or must be estimated, if unobservable (level 3 inputs, if significant). In the first case, the cash flows are acquired from info providers or specialised platforms; the spreads are derived from the prices available on the market/info provider, analysing the performance of the underlying assets on the basis of the investor reports. If they are not available, the Bank uses valuation techniques aimed at recreating the contractual waterfall of the securitisations in order to estimate the potential recoveries of the outstanding notes.

Over the counter (OTC) derivatives

Interest rate, exchange rate, equity, inflation, commodity and credit derivatives, where not traded on regulated markets, are valued using appropriate valuation models, fed by input parameters (such as, for example, interest rate, exchange rate and volatility curves) observed on the market and subject to the monitoring processes described in the "Group Fair Value Policy".

These models estimate the probability that a specific event will occur by incorporating assumptions such as the volatility of the estimates, the price of the underlying instrument and the expected rate of return.

In addition, for the purpose of measuring fair value, the aforementioned "Group Fair Value Policy" envisages that some "fair value adjustments" be considered with the objective of best reflecting the realization price of an actually possible market transaction. In particular, this relates to model risk, liquidity risk and counterparty risk set out below.

<u>Model risk</u>: this adjustment is made to take into account the risk that the pricing models, even if validated, may generate fair value values that are not directly observable or not immediately comparable with market prices. This is the case of pricing algorithms or types of pay-off that are not adequately widespread on the market or in the presence of models particularly sensitive to variables that are difficult to observe on the market.

<u>Liquidity risk</u>: this adjustment is made to take into account the extent of the "bid / ask spread", i.e. the actual cost of disposing of a position in financial instruments in inefficient markets. The correction for the liquidity risk is greater for more structured products, due to the related hedging/disposal costs, and for valuation models that are not sufficiently established and of widespread use among operators, since this makes the valuations more uncertain.

<u>Counterparty risk</u>: adjustments to the market value of OTC derivatives, classified as "performing", are made in order to reflect:

&nbsp;&nbsp;&nbsp;&nbsp;· the risk of possible counterparty
default - Credit Valuation Adjustment (CVA);

&nbsp;&nbsp;&nbsp;&nbsp;· the risk of non-fulfilment of the
issuer's contractual obligations towards a counterparty (own credit risk) - Debt Valuation Adjustment (DVA).

The Bank calculates the Credit/Debit Value Adjustment on all positions in OTC derivatives with non-collateralised institutional and commercial counterparties to include counterparty risk in the fair value measurement. The methodology is based on the calculation of expected operational loss linked to counterparty rating and estimated on a position's duration. The impact of the CVA as at 31 December 2024 amounted to EUR -3.2 mln.

The Bank calculates the value adjustment of OTC derivatives in a mirror image fashion and on the same perimeter to take into account its credit worthiness (DVA). As at 31 December 2024, the DVA amounts to a total of EUR 3.3 mln.

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Financial assets measured at fair value on a non-recurring basis

Financial assets and liabilities measured at amortised cost in the financial statements

For financial assets and liabilities recognised in the financial statements at amortised cost, classified, in the accounting categories of "Financial assets measured at amortised cost" (loans to banks and customers) and "Financial liabilities measured at amortised cost" (due to banks and customers and debt securities issued), the calculation of the fair value is relevant for information purposes only, in line with the provisions of the reference accounting standard IFRS 7. The criteria to calculate the fair value of performing and non-performing loans to banks and customers are the same adopted for the fair value valuation on a recurring basis of the loans that do not pass the SPPI test, to which reference is made. Exceptions to this rule are loans to central banks included in the "Loans to banks" portfolio for which the book value is considered a good approximation of the fair value as allowed by accounting standard IFRS 7, and is classified in level 2 of the hierarchy. The same methodology and classification are used for the "Due to banks" and "Due to Customers" portfolios.

For debt securities classified in the "Loans to banks or customers" or "Debt securities issued" portfolio, the fair value was determined through the use of prices contributed on active markets or through the use of valuation models, such as described in the paragraph "Assets and liabilities measured at fair value on a recurring basis" above, to which reference is also made in relation to the threefold fair value heirarchy.

With reference to the classification of loans to customers and banks within the fair value hierarchy, it should be noted that customers are classified in level 3 and banks in level 2, except in the case of non-performing exposures.

Non-financial assets measured at fair value on a recurring basis

For the Bank, non-financial assets measured at fair value on a recurring basis consist of its owned real estate assets.

*Fair value of owned real estate assets*

The Bank adopts the revaluation model for the measurement of the value of property assets for business use pursuant to IAS 16 and of the fair value for investment properties pursuant to IAS 40, for valuation subsequent to the initial recognition.

*Real estate valuation methodology*

The revaluation method requires that the assets used in the business, whose fair value can be reliably measured, are recognised at a restated value, equal to their fair value at the date of the revaluation of value, net of depreciation and any losses for accumulated impairment.

For properties held for investment purposes, the Group has chosen the fair value measurement method, according to which, after initial recognition, all investment properties are measured at fair value.

The fair value of the properties, whether for business or investment use, is determined through the use of specific appraisals prepared by independent qualified companies operating in the specific sector able to provide property valuations on the basis of the RICS Valuation standards. These standards ensure that:

&nbsp;&nbsp;&nbsp;&nbsp;· the
fair value is determined consistently with the indications of international accounting standard IFRS 13, that is it reflects the estimated
amount for which an asset or liability is sold or purchased, on the valuation date, by a seller and a buyer both willing, and not linked
by a special relationship, at competitive conditions, after proper marketing and where the parties had each acted knowledgeably, prudently
and without compulsion;

&nbsp;&nbsp;&nbsp;&nbsp;· the experts have professional, ethical
and independence requirements in line with the provisions of international and European standards.

As an alternative to desktop appraisals (which involve a documentary review and no inspection in the field), full appraisals (which require an inspection of the property as well as a detailed analysis of the available documentation) are carried out on relevant properties (i.e. with a book value of more than EUR 10 mln) at least once a year, and on a rotating basis on all other properties. The Bank has decided to carry out "full" appraisals on at least 50% of the overall book value of properties that are either operating assets (IAS 16) or investment assets (IAS 40).

The valuation methodologies applied by the appraiser are aligned with international IVS (International Valuation Standards) practices and with what is set forth in the Red Book of the Royal Institute of Chartered Surveyors (RICS). They refer to the following situations:

&nbsp;&nbsp;&nbsp;&nbsp;· Discounted
cash flow (DCF) method;

&nbsp;&nbsp;&nbsp;&nbsp;· Market
comparison approach (MCA);

&nbsp;&nbsp;&nbsp;&nbsp;· Transformation
method with DCF analysis.

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The discounted cash flow method is based on the net cash flows that can be generated within a period of time and is the best estimation approach to adequately represent the market value of assets likely to be acquired as properties, both for direct use (instrumental use), and for investment purposes, as a source of ongoing income from rents. The assumption underlying the cash flow approach is that a rational buyer is not willing to pay to buy the asset a price higher than the current value of the economic benefits that the asset will provide in the future. The value of the asset, therefore, is a function of the economic benefits that will be generated by it. The Market Value is calculated as the sum of the discounted net revenues and the discounted net sales value at the valuation date. The net revenues are calculated based on the gross revenues less the operating costs related to the property. The gross revenues are calculated by indexing the rents received for the leased portions, or the market rents for the vacant portions, considering for the calculation of the DCF a time period between 10 and 20 years according to the intended use of the property and the residual duration of outstanding lease contracts. The net sales value is obtained by capitalising in perpetuity the operating income for the last period of the DCF using a capitalization rate (cap rate) in line with average market yields, from which the sales commission is then deducted. After finding the annual net revenues and the net sales value, the discounted values at the beginning of the first period are calculated by using an appropriate discount rate, suitable for each individual property. The main input data are: (i) revenues (contractual rents, market rents); ii) vacancy and take up period, contractual stepup etc.; iii) costs (administration, property tax, insurance premium, tenant improvements, lease and sales commission, etc. and iv) interest rates (WACC, exit cap rate).

The market comparison approach provides an estimate of the value of the asset through the comparison with properties recently sold or currently on sale on the market that are comparable in terms of type, construction and location. The value of the property is therefore found by taking into account the sale prices or rents, updated as at the valuation date and obtained from an in-depth market survey, and then making specific adjustments as deemed appropriate given the intrinsic and extrinsic characteristics of the property in question, as well as any other factor deemed relevant. The market comparison approach is usually recommended for residential properties for which it is easy to find transactions on comparable assets.

The transformation method with DCF analysis is used in the case of assets that can be transformed or are already being transformed. The value is given by the difference between the most likely market value of the transformed asset and the sum of all the most likely costs of the factors involved in the transformation of the asset itself. The transformation method is often used to express an opinion on the economic benefit of initiatives to renovate existing assets, but it can also be used for an appraisal aimed at providing an estimate value valid for the majority of market operators. This estimation method is based on the discounting, at the valuation date, of the cash flows generated by the real estate transaction over a time period corresponding to its duration, converting the cash flows allocated at the time of their generation into the Net Present Value (NPV) of the real estate transaction through a financial discounting procedure. The model simulates the assumptions of a typical investor, which aims at receiving a satisfactory economic return on the investment. In particular, the model is articulated in a cash flow scheme with income (revenues) and expenses (costs) relating to the real estate transformation project. Expenses include costs for construction, demolition, urbanisation, design, site management and other costs; the income includes sales made for each sector of intended use (residential, industrial, workshops, sales, tertiary and services). The financial model does not consider VAT and other taxes. The main input data are i) the revenues generated from the sale of buildings built or renovated; ii) the costs (construction costs, urbanisation costs, planning and site management costs, sales commissions, etc., and iii) interest rates (WACC).

The valuation approach is defined considering for each property:

&nbsp;&nbsp;&nbsp;&nbsp;· the breakdown in terms of property
unit;

&nbsp;&nbsp;&nbsp;&nbsp;· the current intended use of each
property, assuming this represents the highest and best use, and considering alternative uses of the properties where this corresponds
to market expectations;

&nbsp;&nbsp;&nbsp;&nbsp;· the nature of the property, whether
for business use, investment use, mixed.

Depending on the intended use, the occupation status and the nature of the asset, the valuation method deemed most appropriate by the appraiser is applied for each property unit and the value is divided between business use and investment portions.

The properties are valued individually at the level of the single property without considering any discount or premium that can be negotiated in a commercial negotiation phase if all, or part of the portfolio, is sold en bloc, both by lots and entirely.

With regard to the Bank's property asset valuation as at 31 December 2024, the prevalent valuation method is the DCF analysis, which is used for approximately 94.3% of properties, followed by the market comparison approach (for approximately 5.6%) and, residually, the transformation method (for approximately 0.1%)

The valuation of the properties is significantly based on estimates that are characterised in nature by elements of judgement and subjectivity, the Bank's entire property assets are classified at level 3 in the fair value hierarchy.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

*Main inputs*

**Rent**

Rent may refer to rent for the lease of occupied spaces or market rents for vacant spaces. Rent under lease is recognised in the valuation model on an annual basis, indexed to 75% or 100% of the increase in the CPI for blue- and white-collar households, excluding tobacco (ISTAT index), until contract expiry; market rents are indexed to 100% of the increase in the ISTAT index. This applies until such time that a new lease commences, whereupon rent is indexed to 75% of the ISTAT index increase. A vacancy period is also assumed upon the expiry of existing leases or for vacant properties, estimated according to the type and size of the property.

**Cash flow discount rates (WACC)**

The cash flow discount rate is represented by the Weighted Average Cost of Capital (WACC), which weighs the specific costs of each component of invested capital: debt (borrowed funds) and equity (own funds). The formula used to calculate WACC is as follows:

**WACC = Kd (D/D+E) + Ke (E/D+E)**

where:

E = equity

D = debt

E + D = invested capital

Kd = cost of debt, calculated as: (1+IRS)\*(1+SPREAD) -1

Ke = cost of equity, calculated as: (1+Risk-free rate)\*(1+Risk premium) -1

The inputs used to calculate the cost of debt (Kd) and the cost of equity (Ke) are as follows:

Risk-free rate = the medium/long-term return on risk-free securities, calculated as the average daily gross yield on BTPs over the last 90 trading days; given the average yields of 5-, 10-, 15-, 20- and 30-year BTPs and, consequently, the average 12-, 18- and 25-year values, the risk-free rate as at the valuation date is in the range of 2.99%-4.20%;

Risk Premium = the specific risk of the property being valued, calculated using a build-up approach that factors in all systematic risk items attributable to a property (location, lease status and asset characteristics);

EUR IRS = the medium- to long-term interest rate usually underlying the loans granted by credit institutions, calculated based on the average daily rate over the last 90 trading days on 5-, 10-, 15-, 20- and 30-year loans and, consequently, the averages at 12, 18 and 25 years; the IRS as at the valuation date was in the range 2.32%-2.56%;

SPREAD = profit margin of the credit institution.

**Cap rate**

The methodology developed to calculate cap rate is aligned with the decision-making process of an ordinary investor, taking into account that the cap rate expresses the level of risk/return on the property being valued at the time of final divestment. In particular, a build-up approach is used by combining the real long-term yield of risk-free assets (Risk Free_Exit) with the specific risk forecast at the time of final divestment (Adjusted Risk Premium). The formula is as follows:

**CAP RATE = ((1+ Risk-free_Exit)/(1+Inflation_Exit))\*(1+ Adjusted risk premium)-1**

where:

Risk-free_Exit = long-term return on risk-free securities; the Risk-Free rate factored into the cap rate is the longest maturity rate available – the 30-year average yield of 4.28%)

Adjusted risk premium = the specific risk of the property being valued at the time of final divestment

Inflation_Exit: the inflation figure factored into the cap rate is the 2.00% inflation forecast indicated in the ECB Economic Bulletin.

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BANCA MONTE DEI PASCHI DI SIENA

**Inflation**

The rate of inflation is used to measure rent indexation and to calculate the cap rate as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· Period 1 inflation: 0.81%, equal to the rolling average of the last 12 CPI
figures for blue- and white-collar households excluding tobacco;

&nbsp;&nbsp;&nbsp;&nbsp;· Period 2 inflation: 1.40%, equal to the arithmetical mean between Period
1 inflation and headline inflation;

&nbsp;&nbsp;&nbsp;&nbsp;· Headline inflation: 2.00%, equal to the inflation estimate indicated in
the ECB's Economic Bulletin.

*Valuation frequency*

For investment property it is necessary to recalculate the fair value, on an annual basis at least, in accordance with IAS 40.

For property for business use, IAS 16 provides that value re-determinations must be carried out regularly in order to ensure that the book value does not differ significantly from the fair value at the reporting date. The Bank has decided to carry out the revaluation, in the same way as for IAS 40 properties, at least once a year. More specifically, as at 31 December 2024, the Bank carried out updated appraisals for all real estate assets on a half-yearly basis.

*Summary of the effects of fair value measurements in 2024*

As at 31 December 2024, also taking into account the results of the valuation updates carried out as at 30 June 2024, the net negative effect for the year 2024 amounts to a total of EUR 42.9 mln gross of related taxes. The overall effect was as follows:

&nbsp;&nbsp;&nbsp;&nbsp;· for properties classified under IAS 16, a negative effect of EUR 23.7 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· for properties classified under IAS 40, a negative effect of EUR 18.4 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· for properties classified under IAS 2, a negative
effect of EUR 0.8 mln;

offset it:

&nbsp;&nbsp;&nbsp;&nbsp;· item 230 of the income statement - "Net gains (losses) on property,
plant and equipment and intangible assets measured at fair value" for a total negative change of EUR 27.4 mln gross of related
taxes;

&nbsp;&nbsp;&nbsp;&nbsp;· item 110 of the balance sheet - "Valuation reserve" for a total
negative change of EUR 15.5 mln gross of related taxes.

*Sensitivity analysis of non-financial instruments*

Like financial instruments, non-financial assets and liabilities measured at level 3 fair value are also subjected to sensitivity analysis for which, based on the valuation model used to determine fair value, execution is possible and whose results are significant.

The sensitivity analysis identified the most significant variables built into the valuation model for each property class, represented by the discounted cash flow method. In particular, this took into account the market rents for real estate used in operations and the exit value for real estate held for investment. Considering a change equal to +/- 5% of the aforementioned variables, the analysis showed an average deviation in the fair value of the properties of approximately -5.3% and +5.3%.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

A.4.2 Measurement processes and sensitivity

A description of Level 3 financial instruments that show significant sensitivity to changes in unobservable inputs is provided below.

The column "Other Financial assets mandatorily measured at fair value" in the category "Debt securities" measured with the Discounted Cash Flow method includes both the mezzanine and the junior tranches referring to the securitisation of a portfolio of loans classified as bad loans called "Siena NPL" for EUR 28.5 mln. For this position, the change in the discount rate (+/-1%) and forecast distributions (+/-10%) would result in ranges of values of EUR 26.3 – 27.5 mln and EUR 28.1 – 25.5 mln, respectively.

Also worth mentioning in this category are approximately EUR 18.6 mln relating to some equity investments acquired by the Bank under credit restructuring agreements which the sensitivity analysis was not carried out as the unit value of the individual exposures is below the minimum materiality threshold established by the Bank.

The "Other Financial assets mandatorily measured at fair value" column also includes loans (EUR 143.4 mln) that are mandatorily measured at fair value. The unobservable parameters are Probability of Default (PD), Loss Given Default (LGD) and the different spreads for performing and non-performing assets. The change in these parameters, of 10%, 5%, 1% and 1%, respectively, would have an impact on fair value of approximately EUR -6.2 mln.

The majority of the UCITS units refers, for EUR 124.3 million, to units of funds received in exchange for the sale of non-performing loans (Back2bonis, IDEA CCR I, II and Nuova Finanza, Clessidra and Efesto). The change in the discount rate (+/-1%) and forecasted distributions (+/-10%) would result in the following range of values: EUR 122.1 - 126.6 million and EUR 136.9 - 111.6 million respectively.

The category of UCITS units also contains the total contributions made from June 2016 onwards to the Italia Recovery Fund (formerly Atlante due) for a carrying amount of EUR 6.4 mln calculated on the basis of the latest available NAV.

Lastly, the UCITS category also includes private equity funds and closed-end real estate funds for EUR 128.1 mln, of which EUR 88.0 mln corresponding to the positions of Fondo Etrusco Distribuzione (EUR 82.9mln) and Fondo Democrito (EUR 5.1mln) which, following reassessment of the equity relationships between the Bank and those real estate funds, were reclassified during the current year from investments in companies subject to significant influence to financial assets. The change in default probability (+/-1%) and recovery rates (+/-10%) for these positions would result in a range of values of EUR 88.2 - 87.9 mln, respectively. With regard to the remaining positions, it was not possible to carry out any quantitative analysis of the sensitivity of the fair value with respect to the change in unobservable inputs, as the fair value is the result of a model whose inputs are specific to the entity being measured and for which the information necessary for a sensitivity analysis is not available.

The "Financial assets measured at fair value through other comprehensive income" accounting portfolio includes the equity investment in Bank of Italy (EUR 137.5 mln), measured using the Discounted Cash Flow method. The equity investment was measured with the methodology identified by the Committee of Experts in the document "Revaluation of shareholdings in the Bank of Italy". This document not only details the valuation techniques adopted to reach the end result, but identified the following entity-specific parameters: the market beta, equity risk premium, and the cash flow base. The valuation of that equity investment is also confirmed in market transactions carried out in recent years by certain banks. The range of possible values that can be assigned to these parameters cause the following changes in value: roughly EUR -9 million for every 100 bps increase in the equity risk premium, roughly EUR -18 million for every 10 pp increase in the market beta, and roughly EUR -18 million for every 10 pp increase in the cash flow base.

This category also includes equity securities representing all equity investments designated at fair value that could not be measured according to a market-based model. These positions amount to approximately EUR 28.1 mln. For these positions, a sensitivity analysis was not carried out for the same reasons indicated above with reference to UCITS.

Financial liabilities held for trading include financial derivatives (approximately EUR 1.5 mln) included for the correct management of the lapse risk inherent in commission flows deriving from the placement of certain unit-linked policies. A sensitivity analysis was not carried out for these positions as they were not considered material for the Bank.

4.3 Fair value hierarchy

For the purposes of completing the disclosure on transfers between levels provided in paragraphs A.4.5.1, A.4.5.2 and A.4.5.3 below, it should be noted that, for securities held at 31 December 2024 and which had a different fair value level with respect to the one assigned at 1 January 2024, it was assumed that the transfer between the levels took place with reference to the balances held at the beginning of the reference period.

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A.4.4 Other information

With reference to par. 93 letter (i) of IFRS 13, the Bank does not hold any non-financial assets measured at fair value whose current use does not represent its best possible use.

With reference to par. 96 of IFRS 13, the Bank does not apply the portfolio exception provided for in par. 48 of IFRS 13.

Quantitative Information

A.4.5 Fair value hierarchy

*A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value level.*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset and liabilities measured at** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| **fair value** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1. Financial assets measured at fair value through profit or loss: | 3514503 | 2608890 | 453491 | 6576884 | 3525434 | 2408696 | 365912 | 6300042 |
| &nbsp;&nbsp;&nbsp;a) Financial asset held for trading | 3514503 | 2608890 |  | 6123393 | 3525246 | 2408696 |  | 5933942 |
| &nbsp;&nbsp;&nbsp;c) other financial assets mandatorily measured at fair value |  |  | 453491 | 453491 | 188 |  | 365912 | 366100 |
| 2. Financial assets measured at fair value through other comprehensive income | 2162396 | 9383 | 165581 | 2337360 | 1704369 | 530743 | 216843 | 2451955 |
| 3. Hedging derivative |  | 59384 |  | 59384 |  | 662012 |  | 662012 |
| 4. Property, plant and equipment | - | - | 1690134 | 1690134 | - | - | 1761622 | 1761621 |
| **Total assets** | **5676899** | **2677657** | **2309206** | **10663762** | **5229803** | **3601451** | **2344377** | **11175630** |
| 1. Financial liabilities held for trading | 1619122 | 1031840 | 1515 | 2652477 | 1823197 | 1079675 | 2868 | 2905740 |
| 2. Financial liabilities designated at fair value |  | 119670 |  | 119670 |  | 111325 |  | 111325 |
| 3. Hedging derivative | - | 346337 | - | 346337 | - | 321090 | - | 321090 |
| **Total liabilities** | **1619122** | **1497847** | **1515** | **3118484** | **1823197** | **1512090** | **2868** | **3338155** |

---

For information on financial instruments classified in level 3, please refer to the above.

Some financial assets, particularly shares for approximately EUR 3.3 mln, worsened during the year from fair value level 1 to level 2.

With reference to the financial instruments that recorded an improvement in the level of fair value, moving from level 2 to level 1 of the hierarchy, it should be noted that this trend involved bonds measured at fair value for a value of about EUR 313.1 mln

The aforementioned changes in the level of fair value was respectively due to the worsening/improvement in the liquidity conditions of the securities (measured in terms of the bid-ask amplitude of the quoted price) such as to allow, in accordance with the Group's policy on the valuation of financial instruments, the transfer of level.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

*A.4.5.2 Annual changes of financial assets measured at fair value on a recurring basis (level 3)*

31 12 2024

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets measured at fair value through profit or loss** | **Financial assets measured at fair value through profit or loss** | **Financial assets measured at fair value through profit or loss** | **Financial assets measured at fair value through profit or loss** | | |
|  | **Total** | **of which:<br> a) financial<br> assets held for<br> trading** | **of which:<br> b) financial<br> asset measurd<br> at fair value** | **of whichi:<br> c) <br> financial assets<br> mandatorily<br> measuerd at fair value** |<br>**Financial assets<br> measured<br> at fair value<br> through other<br> comprehensive<br> income** |<br>**Property,<br> plant and<br> equipment** |
| **1. Opening balance** | **365912** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | **365912** | **216843** | **1761622** |
| **2. Increases** | **145817** | - | - | **145817** | **6457** | **20979** |
| &nbsp;&nbsp;&nbsp;2.1 Purchase |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Profit posted to: | 39897 |  |  | 39897 | 6457 | 8451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Profit and Loss | 39897 |  |  | 39897 |  | 8451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital gains | 38988 |  |  | 38988 |  | 8451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Equity |  | X | X |  | 6457 |  |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases | 105920 | - | - | 105920 | - | 12528 |
| **3. Decreases** | **58238** | - | - | **58238** | **57719** | **92467** |
| &nbsp;&nbsp;&nbsp;3.1 Sales |  |  |  |  | 115 | 3139 |
| &nbsp;&nbsp;&nbsp;3.2 Redemptions | 25076 |  |  | 25076 |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Losses posted to: | 31837 |  |  | 31837 | 35 | 50546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Profit and Loss | 31837 |  |  | 31837 |  | 34995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital losses | 31831 |  |  | 31831 |  | 34995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Equity |  | X | X |  | 35 | 15551 |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases | 1325 | - | - | 1325 | 57569 | 38782 |
| **4. Closing balance** | **453491** | - | - | **453491** | **165581** | **1690134** |

---

Following are the most significant amounts reported in the column "Other Financial assets mandatorily measured at fair value" under item:

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.1 Profit charged to the income statement" of approximately
EUR 39.9 mln refers mainly to revaluations of certain UCITS units (EUR 38.4 mln) and of loans (EUR 0.5 mln);

&nbsp;&nbsp;&nbsp;&nbsp;· "2.4 Other increases" equal to EUR 105.9 million include approximately
EUR 32.0 million in positions that during the year were reclassified from the loan portfolio at amortised cost to the portfolio of other
assets measured at fair value as per mandatory requirements due to substantial credit changes not consistent with the SPPI test, as well
as new disbursements. This line also includes EUR 68.8 mln for the Fondo Etrusco Distribuzione and Fondo Democrito, which during the
yea were reclassified as financial assets mandatorily measured at fair value (for more details, see section 7 Equity Investments - Part
B of these Notes to the Financial Statements);

&nbsp;&nbsp;&nbsp;&nbsp;· "3.2 Repayments" for EUR 25.1 mln, includes approximately EUR
14.6 mln as the partial reimbursement of UCITS units held and EUR 10.5 mln for reimbursements on credit positions;

&nbsp;&nbsp;&nbsp;&nbsp;· "3.3.1 Losses charged to the income statement" of EUR 31.8 mln
for write-downs, primarily referring to EUR 17.4 mln on UCITS units, EUR 12.4 mln on notes for the Siena NPL securitisation transaction
and EUR 1.8 mln on non-performing loans.

The EUR 57.6 mln posted to other decreases in "Financial assets measured at fair value through other comprehensive income" refers to the value of the shareholding in the Bank of Italy and certain equity instruments reclassified as assets held for sale under IFRS 5.

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Property, plant and equipment measured at fair value on a recurring basis consisted of property assets for business and for investment use. The main amounts reported are shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.1 Profit charged to the
 income statement of which capital gains" amounting to approximately EUR 8.4 mln, refer for EUR 4.0 mln to write-backs on properties
 classified under IAS 16 that were previously written-down in the Income Statement, and for EUR 4.4 mln to revaluations of properties
 classified under IAS 40 following appraisals carried out as at 31 December 2024;

· "2.4
 Other increases" of approximately EUR 12.5 mln referred mainly to EUR 8.3 mln in improvements and incremental expenses and
 EUR 3.9 mln in property repossessions under lease agreements;

· "3.1-Sales" in the amount
 of about EUR 3.1 mln refer to the sale of some IAS 40-listed properties finalised during the year;

· "3.3.1
 Losses charged to the income statement - of which capital losses" amounted to approximately EUR 35.0 mln, refer for EUR 12.2
 mln and EUR 22.8 mln related to properties classified under IAS 40 and 16 respectively;

· "3.3.2 Losses charged to equity"
 equal to approximately EUR 15.5 mln refer entirely to write-downs on properties classified under IAS 16 subject to a previous revaluation
 recognised in the OCI reserve;

· "3.5
 Other decreases" equal to approximately EUR 38.8 mln mainly refer to the depreciation charge related to properties classified
 under IAS 16 in the amount of EUR 26.3 mln and to properties transferred during the year to fixed assets held for disposal for EUR
 12.5 mln.

*A.4.5.3 Annual changes of liabilities measured at fair value on a recurring basis (level 3)*

31 12 2024

---

| | | | |
|:---|:---|:---|:---|
|  | **Financial liabilities<br> held for trading** | **Financial liabilities<br> designated at fair value** | **Hedging derivatives** |
| **1. Opening balance** | **2868** |  | **-** |
| **2. Increases** | **3559** |  | **-** |
| &nbsp;&nbsp;&nbsp;2.1 Issues |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Losses posted to | 3559 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Profit and Loss | 3559 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital losses |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Equity | X |  | X |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels |  |  |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases | - |  | **-** |
| **3. Decreases** | **4913** |  | **-** |
| &nbsp;&nbsp;&nbsp;3.1 Redemptions |  |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Repurchases |  |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Profit posted to: | 4913 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Profit and Loss | 4913 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital gains | 1353 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Equity | X |  | X |
| &nbsp;&nbsp;&nbsp;3.4 Transfers from other levels |  |  |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases | - |  | **-** |
| **4. Closing balance** | **1514** |  | **-** |

---

814

2024 ANNUAL REPORT - Notes to the separate financial statements - Part A - Accounting policies

*A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value level*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Financial asset/liabilities not<br> measured at fair value or** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| **measured at** fair value on a <br> non-recurring basis** | **Book value** | **Level 1** | **Level 2** | **Level 3** | **Total Fair<br> value** | **Book value** | **Level 1** | **Level 2** | **Level 3** | **Total Fair<br> value** |
| 1. Financial assets measured at amortised costs | 91415421 | 8555800 | 12003353 | 70313569 | 90872722 | 91248148 | 8259192 | 11614928 | 70998153 | 90872273 |
| 3. Non-current assets held for sale and disposal groups | 107529 | - | - | 73529 | 73529 | 76232 | - | - | 76232 | 76232 |
| **Total assets** | **91522950** | **8555800** | **12003353** | **70387098** | **90946251** | **91324380** | **8259192** | **11614928** | **71074385** | **90948505** |
| 1. Financial liabilities measured at amortised costs | 103586022 | 8687964 | 95220883 | - | 103908847 | 104702026 | 8734996 | 96123919 | - | 104858915 |
| **Total liabilities** | **103586022** | **8687964** | **95220883** | **-** | **103908847** | **104702026** | **8734996** | **96123919** | **-** | **104858915** |

---

For details of the valuation criteria for assets and liabilities measured at fair value on a non-recurring basis, reference should be made to the information provided in the corresponding qualitative section.

In regard to assets under disposal, only the assets measured at fair value or at fair value less disposal costs were indicated.

A.5 Information on "day one profit/loss"

The Bank did not recognise "day one profits/losses" on financial instruments pursuant to B.5.1.2A of IFRS 9; therefore, no disclosure is provided pursuant to paragraph 28 of IFRS 7 and other related IAS/IFRS paragraphs.

815

BANCA MONTE DEI PASCHI DI SIENA

Part B - Information on the balance sheet

ASSETS

Section 1 - Cash and cash equivalents - Item 10

1.1 Cash and cash equivalents: breakdown

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| a) Cash | 752279 | 704869 |
| b) Demand deposits with Central banks | 10917449 | 11277937 |
| c) Current accounts and demand deposits with banks | 1306854 | 1025183 |
| **Total** | **12976582** | **13007989** |

---

The amount of approximately EUR 10,917.4 mln recorded in line b) Current accounts and sight deposits with Central Banks refers almost entirely to two sight deposits with the ECB.

816

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 2 - Financial assets designated at fair value through profit or loss - Item 20

2.1 Financial assets held for trading: breakdown

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items/value** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **A. Balance-sheet assets** |  |  |  |  |  |  |  |  |
| 1. Debt securities | 3382363 | 246121 |  | 3628484 | 3332505 | 290364 |  | 3622869 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Structured securities | 137737 | 45802 |  | 183539 | 177801 | 56628 |  | 234429 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Other debt securities | 3244626 | 200319 |  | 3444945 | 3154704 | 233736 |  | 3388440 |
| 2. Equity instruments | 104366 | 3752 |  | 108118 | 83546 | 119 |  | 83665 |
| 3. Units of UCITS | 27774 |  |  | 27774 | 104028 |  |  | 104028 |
| 4. Loans |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.1 Repurchase agreements |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.2 Others | - | - | - | - | - | - | - | - |
| **Total (A)** | **3514503** | **249873** | **-** | **3764376** | **3520079** | **290483** | **-** | **3810562** |
| **B. Derivatives** |  |  |  |  |  |  |  | **-** |
| 1. Financial derivatives: |  | 2358987 |  | 2358987 | 5166 | 2118213 |  | 2123379 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 held for trading |  | 2288383 |  | 2288383 | 5166 | 2051802 |  | 2056968 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 fair value option |  | 70604 |  | 70604 |  | 66411 |  | 66411 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Others |  |  |  |  |  |  |  |  |
| 2. Credit derivatives: |  | 29 |  | 29 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 held for trading |  | 29 |  | 29 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 fair value option |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 Others | - | - | - | - | - | - | - | - |
| **Total (B)** | **-** | **2359016** | **-** | **2359016** | **5166** | **2118213** | **-** | **2123379** |
| **Total (A+B)** | **3514503** | **2608889** | **-** | **6123392** | **3525246** | **2408696** | **-** | **5933942** |

---

Criteria adopted for classification of financial instruments in the three levels of the "fair value hierarchy" are reported in Section A.4, "Information on fair value" of Part A, "Accounting policies" of the notes to the financial statements, to which reference should be made.

As a result of the provisions set out in IFRS 9 with regard to the derecognition of financial assets, lines 1.1 Structured securities and 1.2 Other debt securities of the item "Cash assets" also include debt securities pledged in repos and securities lending transactions carried out in respect of own securities posted to the trading book.

Debt securities- structured securities (sub-item 1.1) as at 31 December 2024 amount to EUR 183.5 mln (EUR 234.4 as at 31 December 2023) and is mainly represented by fixed-rate debt securities additionally indexed to inflation..

The aggregate figure as at the reporting date include senior, mezzanine or junior exposures taken on by the Bank in relation to a third-party securitisation transactions for EUR 24.4 mln (EUR 35.6 mln as at 31 December 2023), which are recognised in the level 2 column of line "1.2 Other debt securities" referring to senior and mezzanine exposures.

Derivatives connected with fair value option instruments are also classified as derivative instruments: these cover the risks of funding designated at fair value arising from possible interest rate fluctuations and from any embedded options in fixed-rate and structured bonds issued by the Bank (natural hedging). The positive fair value of these derivatives is shown in the table in line "B.1-1.2 – Fair value option".

817

BANCA MONTE DEI PASCHI DI SIENA

2.2 Financial assets held for trading: breakdown by borrower/issuer/counterparty

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Balance sheet assets** |  |  |
| 1. Debt securities | 3628485 | 3622870 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Central banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Public entities | 3223167 | 3197425 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Banks | 195106 | 181166 |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Other financial companies | 150835 | 183410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 11266 | 9055 |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Non-financial companies | 59377 | 60869 |
| 2. Equity instruments | 108118 | 83665 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Banks | 2984 | 1875 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Other financial companies | 60887 | 36919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 56840 | 36734 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Non-financial companies | 44247 | 44871 |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Other issuers: |  |  |
| 3. Units of UCITS | 27774 | 104028 |
| 4. Loans | - | - |
| **Total (A)** | **3764377** | **3810563** |
| **B. Derivatives** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Central couterparties |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Others | 2359015 | 2123379 |
| **Total (B)** | **2359015** | **2123379** |
| **Total (A+B)** | **6123392** | **5933942** |

---

The breakdown by debtor/issuer was carried out in accordance with criteria of classification by economic activity group and sector laid down by the Bank of Italy.

As for derivatives, it should be noted that the positive fair value of derivatives with customers includes approx. EUR 61.0 mln from balanced trading aimed at providing financial protection to customers of the Bank's network. The remaining amount was generated from transactions with financial market participants classified as customers pursuant to the above classification criteria set by the Bank of Italy.

The following table adds details to line "A.3. Units of UCITS" of table 2.2 above.

---

| | | |
|:---|:---|:---|
| **Categories/Amounts** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| Equity | 3920 | 6156 |
| Exchange Traded Funds (ETF) | 23854 | 97872 |
| **Total** | **27774** | **104028** |

---

818

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

2.3 Financial assets measured at fair value: breakdown

2.4 Financial assets measured at fair value: breakdown by borrower/issuer

Tables 2.3 and 2.4 were not completed since the Bank has no financial assets measured at fair value to report for either the current or previous year.

2.5 Other financial assets mandatorily measured at fair value breakdown

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1. Debt securities |  |  | 49854 | 49854 |  |  | 58826 | 58826 |
| &nbsp;&nbsp;&nbsp;1.1 Stuctured secutities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities |  |  | 49854 | 49854 |  |  | 58826 | 58826 |
| 2. Equity instruments |  |  | 1236 | 1236 | 188 |  | 1839 | 2027 |
| 3. Units of UCITD |  |  | 258984 | 258984 |  |  | 182011 | 182011 |
| 4. Loans |  |  | 143417 | 143417 |  |  | 123236 | 123236 |
| &nbsp;&nbsp;&nbsp;4.1 Repurchase agreements |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.2 Others | - | - | 143417 | 143417 | - | - | 123236 | 123236 |
| **Total** | **-** | **-** | **453491** | **453491** | **188** | **-** | **365912** | **366100** |

---

Line 1.2 "Other debt securities" includes EUR 17.9 mln attributable to SFPs issued as part of compositions with creditors in which the Bank took part. The line also includes exposures of EUR 28.5 mln for securitisation of a portfolio of MPS Group non-performing loans, of which EUR 27.9 mln (EUR 36.4 mln as at 31 December 2023) in mezzanine tranches and EUR 0.6 mln (EUR 0.6 mln as at 31 December 2023) in junior tranches.

Line 3 "Units of UCITS" includes, in correspondence with level 3, UCITS units acquired in exchange for the sale of NPE loans for EUR 129.4 mln (EUR 116.3 mln as at 31 December 2023) and the units in the Italia Recovery Fund (formerly Atlante) for EUR 6.4 mln (EUR 7.7 mln as at 31 December 2023). The same line also includes the positions of real estate funds Fondo Etrusco Distribuzione and Fondo Democrito, for a total of EUR 88.0 mln, which during the year were reclassified under this portfolio (for more details see Section 7 - Equity investments, of these Notes to the Financial Statements).

Line 4 "Loans" consists of financial assets that must be valued at fair value as a result of their failure to pass the SPPI test.

At the reporting date, there are no equity securities arising from the recovery of impaired financial assets.

819

BANCA MONTE DEI PASCHI DI SIENA

2.6 Other financial assets mandatorily measured at fair value breakdown by borrower/issuer

---

| | | |
|:---|:---|:---|
| **Items/Amounts** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| 1. Equity instruments | 1236 | 2027 |
| &nbsp;&nbsp;&nbsp;of which: banks |  |  |
| &nbsp;&nbsp;&nbsp;of which: other financial companies | 1149 | 1133 |
| &nbsp;&nbsp;&nbsp;of which: non-financial companies | 87 | 894 |
| 2. Debt secuties | 49854 | 58826 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public Entities |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 31205 | 40177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 18649 | 18649 |
| 3. Units of UCITS | 258984 | 182011 |
| 4. Loans | 143417 | 123236 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public Entities |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 129601 | 106674 |
| &nbsp;&nbsp;&nbsp;f) Families | 13816 | 16562 |
| **Total** | **453491** | **366100** |

---

The main cumulative losses relating to equity securities of evidently poor credit quality referring to previous financial years are Compagnia Investimento e Sviluppo (EUR 3.8 mln), Newcolle S.r.l (EUR 2.3 mln), Porto Industriale Livorno (EUR 1.9 mln). During the course of the year, the Bank did not carry out further write-downs on equity instruments of clearly poor credit quality.

Provided below is the breakdown by main categories of UCITS.

---

| | | |
|:---|:---|:---|
| <br>**Categories/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Hedge Funds | 24 | 23 |
| Private Equity | 38058 | 57510 |
| Real estate | 96567 | 8216 |
| Credit recovery funds | 124335 | 116262 |
| **Total** | **258984** | **182011** |

---

With regard to the disclosure on mutual funds acquired as part of the sale of loans included in the previous table under "NPE loans", please refer to the specific paragraph in Part E of these Notes to the Financial Statements (Subsection E "Sale Transactions" point "C. Financial assets sold and fully derecognised").

Of the increase recognised in the "Real Estate" line, EUR 88.0 mln refers to the Fondo Democrito and Fondo Etrusco Distribuzione real estate funds (for more details see Section 7 - Equity Investments, of these Notes to the Financial Statements).

820

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 3 - Financial assets designated at fair value through other comprehensive income - Item 30

3.1 Other financial assets measured at fair value through other comprehensive income: breakdown

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Items/Amounts** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1. Debt securities | 2162397 | 1343 |  | 2163740 | 1704369 | 520213 |  | 2224582 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities | 34581 |  |  | 34581 | 33621 |  |  | 33621 |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 2127816 | 1343 |  | 2129159 | 1670748 | 520213 |  | 2190961 |
| 2. Equity instruments |  | 8039 | 165581 | 173620 |  | 10530 | 216843 | 227373 |
| 3. Loans | - | - | - | - | - | - | - | - |
| **Total** | **2162397** | **9382** | **165581** | **2337360** | **1704369** | **530743** | **216843** | **2451955** |

---

As a result of the provisions set out in IFRS 9 with regard to the derecognition of financial assets, line 1.2 also includes debt securities pledged in repos and securities lending transactions carried out in respect of own securities recognised under financial assets designated at fair value through other comprehensive income.

Debt securities- structured securities (sub-item 1.1) as at 31 December 2024 amount to EUR 34.6 mln (EUR 33.6 mln as at 31 December 2023) and is mainly represented by fixed-rate debt securities additionally indexed to inflation.

The line "1.2 Other Debt Securities" totalling around EUR 2,129.2 mln – of which EUR 256.6 mln (EUR 446.0 mln as of 31 December 2023) subject to specific fair value hedging entirely against interest rate risk– mainly includes Italian government bonds in the amount of around EUR 1,451.9 mln, down from EUR 1,624.6 mln as at 31 December 2023 due to the sale on the market of some bonds approaching maturity. The line also includes EUR 1.3 mln (EUR 5.0 mln as at 31 December 2023) of exposures relating to senior notes of securitisation transactions originated by third parties

The line "2. Equity instruments" (Level 3 column) includes the EUR 137.5 mln investment in the capital of Bank of Italy.

At the reporting date, the aggregate does not include equity securities arising from the recovery of impaired financial assets.

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BANCA MONTE DEI PASCHI DI SIENA

3.2 Other financial assets measured at fair value through other comprehensive income: breakdown by borrower/issuer

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1. Debt securities | 2163740 | 2224582 |
| &nbsp;&nbsp;&nbsp;a) Central banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public entities | 1897389 | 1747428 |
| &nbsp;&nbsp;&nbsp;c) Banks | 225194 | 419425 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 26337 | 14354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: Insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 14820 | 43375 |
| 2. Equity instruments | 173620 | 227373 |
| &nbsp;&nbsp;&nbsp;a) Banks | 151739 | 200967 |
| &nbsp;&nbsp;&nbsp;b) Other issuers: | 21881 | 26406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other financial companies | 11232 | 17770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: Insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- non-financial companies | 10635 | 8622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- others | 14 | 14 |
| 3. Loans | - | - |
| **Total** | **2337360** | **2451955** |

---

The main cumulative losses relating to equity securities of evidently poor credit quality refer to the investee Restart S.r.l. and were fully recognised in previous financial years, for an amount of EUR 0.5 mln.

During the course of the year, the Bank did not carry out further write-downs on equity instruments of clearly poor credit quality.

822

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

3.3 Other financial assets measured at fair value through other comprehensive income: gross value and total value adjustments

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | |
|  | **Stage 1** | **Stage 1** | | | | | | | | |
|  |  | ***of which: low<br> credit<br> risk instruments*** | <br> **Stage 2** | <br>**Stage 3** | **Purchased or**<br>**originated<br> credit <br> impaired<br> financial<br> assets** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased or**<br>**originated <br> credit<br> impaired <br> financial<br> assets** | <br>**Total<br> Partial<br> write-off<br> (\*)** |
| Debt securities | 2163607 | 2108869 | 2674 |  |  | 1210 | 1331 |  |  |  |
| Loans | - | - | - | - | - | - | - | - | - | - |
| **Total 31 12 2024** | **2163607** | **2108869** | **2674** | **-** | **-** | **1210** | **1331** | **-** | **-** | - |
| **Total 31 12 2023** | **2212097** | **2106236** | **14645** | **-** | **-** | **1899** | **261** | **-** | **-** | - |

---

\* Value to be presented for disclosure purposes

823

BANCA MONTE DEI PASCHI DI SIENA

Section 4 - Financial assets measured at amortised cost - Item 40

4.1 Financial assets measured at amortised cost: breakdown of loans to banks

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** | **Stage 1<br> and <br> Stage 2** | **Stage 3** | **purchased <br> or originated<br> credit<br> impaired<br> financial <br> assets** | **Total** | **L1** | **L2** | **L3** | **Total** |
| **A. Loans to central banks** | **560821** | **-** | **-** | **560821** | **-** | **560821** | **-** | **560821** |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Time deposits | 25001 |  |  | 25001 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Compulsory reserve | 535006 |  |  | 535006 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Reverse repurchase agreements |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;4. Others | 814 | - | - | 814 | X | X | X | X |
| **B. Loans to bank** | **3214697** | **8033** | **-** | **3222730** | **2945** | **3124299** | **8033** | **3135277** |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Loans | 2477108 | 8033 |  | 2485141 |  | 2476529 | 8033 | 2484562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Current accounts |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Time deposits | 455458 |  |  | 455458 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3 Other loans | 2021650 | 8033 |  | 2029683 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Reverse repurchase agreements | 856438 |  |  | 856438 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Finance leases |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Others | 1165212 | 8033 |  | 1173245 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Debt securities | 737589 |  |  | 737589 | 2945 | 647770 |  | 650715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Sructured securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Other debt securities | 737589 | - | - | 737589 | 2945 | 647770 | - | 650715 |
| **Total** | **3775518** | **8033** | **-** | **3783551** | **2945** | **3685120** | **8033** | **3696098** |

---

The line "Loans to Central banks 2. Compulsory reserve" includes the balance of the compulsory reserve which, at the end of the financial year, amounted to EUR 535.0 mln (EUR 494.3 mln as at 31 December 2023). It should be noted that, in accordance with regulations on average maintenance levels, the end-of-period balance of the compulsory reserve may be subject to changes, also substantial, in relation to the Bank's contingent treasury requirements.

The item "Loans to banks, 1.3 Other loans – Other", totalling EUR 1,173.2 mln, includes security deposits of approximately EUR 1,007.5 mln.

It should be noted that "B.1.2 Term deposits" and "B.2.2 Other debt securities" include, respectively, EUR 196.9 mln (EUR 205.1 mln as at 31 December 2023) and EUR 428.3 mln (EUR 657.0 mln as at 31 December 2023) of assets subject to fair value micro-hedging against interest rate risk.

At the reporting date, the aggregate does not include the Bank senior, mezzanine and junior exposures with reference to own and third-party securitisations.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** | **Stage 1<br> and <br> Stage 2** | **Stage 3** | **purchased<br> or originated<br> credit<br> impaired<br> financial<br> assets** | **Total** | **L1** | **L2** | **L3** | **Total** |
| **A. Loans to central banks** | **519269** | **-** | **-** | **519269** | **-** | **519269** | **-** | **519269** |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Time deposits | 25001 |  |  | 25001 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Compulsory reserve | 494268 |  |  | 494268 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Reverse repurchase agreements |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;4. Others | - | - | - | - | X | X | X | X |
| **B. Loans to bank** | **3702317** | **398** | **-** | **3702715** | **2924** | **3632784** | **398** | **3636106** |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Loans | 3020398 | 398 |  | 3020796 |  | 3021411 | 398 | 3021809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Current accounts |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Time deposits | 455706 |  |  | 455706 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3 Other loans | 2564692 | 398 |  | 2565090 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Reverse repurchase agreements | 1030587 |  |  | 1030587 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Finance leases |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Others | 1534105 | 398 |  | 1534503 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Debt securities | 681919 |  |  | 681919 | 2924 | 611373 |  | 614297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Sructured securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Other debt securities | 681919 | - | - | 681919 | 2924 | 611373 | - | 614297 |
| **Total** | **4221586** | **398** | **-** | **4221984** | **2924** | **4152053** | **398** | **4155375** |

---

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BANCA MONTE DEI PASCHI DI SIENA

4.2 Financial assets measured at amortised cost breakdown of loans to customers

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** | **Stage 1<br> and<br> Stage 2** | **Stage 3** | **purchased<br> or originated<br> credit<br> impaired<br> financial<br> assets** | **Total** | **L1** | **L2** | **L3** | **Total** |
| **1. Loans** | **75540295** | **1851755** | **2156** | **77394206** | **-** | **7032613** | **70305536** | **77338149** |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1. Current accounts | 2630702 | 61847 | 197 | 2692746 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2. Reverse repurchase agreements | 7035199 |  |  | 7035199 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3. Mortgage | 49604523 | 1513188 | 1645 | 51119356 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.4. Credit cards, personal loans and fifth-of-salary backed loans | 1433304 | 6137 |  | 1439441 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.5. Finance lease | 2411284 | 103748 |  | 2515032 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.6. Factoring | 2450177 | 15666 |  | 2465843 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.7. Other transactiones | 9975106 | 151169 | 314 | 10126589 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which operating receivable | 3944 |  |  | 3944 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which:leasing under co-struction | 91298 | 1984 | - | 93282 |  |  |  |  |
| **2. Debt securities** | **10237664** | **-** | **-** | **10237664** | **8552855** | **1285620** | **-** | **9838475** |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1. Structured securities | 1103945 |  |  | 1103945 | 1020002 |  |  | 1020002 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2. Other debt securities | 9133719 | - | - | 9133719 | 7532853 | 1285620 | - | 8818473 |
| **Total** | **85777959** | **1851755** | **2156** | **87631870** | **8552855** | **8318233** | **70305536** | **87176624** |

---

"Loans to customers" also includes operating receivables for EUR 3.9 mln (EUR 14.3 mln as at 31 December 2023) - other than those connected with the payment for the supply of non-financial goods and services, posted to Asset item 150 "Other assets", subject to the provisions pursuant to IFRS 9, paragraph 5.5.15 a) i).

The item also includes loans to Monte Paschi Fiduciaria for EUR 0.58 mln, for which, pursuant to IFRS 15.116, the certainty of the revenue may be considered as consolidated only following actual collection by the subsidiary from its customers.

The column "Purchased or originated credit impaired" for EUR 2.1 mln (EUR 2.7 mln as at 31 December 2023) is almost entirely made up of assets originating from restructuring agreements on non-performing positions.

In line "2.1 Structured securities" as at 31 December 2024, EUR 1,103.9 mln (EUR 1,109.0 mln as at 31 December 2023) refers to fixed-rate debt securities additionally indexed to inflation.

Line "2.2 Other debt securities" equal to EUR 9,133.7 mln comprises mainly Italian government bonds in the amount of EUR 7,253.1 mln (EUR 7,389.6 mln as at 31 December 2023). In addition, EUR 818.7 mln (EUR 1,003.9 mln as at 31 December 2023) of the senior notes pertaining to the securitisation transaction of the MPS Group's bad loan portfolio. The line also includes bonds not listed in active markets issued mainly by local government bodies, e.g. municipal bonds (it.: Buoni Ordinari Comunali, BOC).

Finally, with respect to the total debt securities of EUR 10,237.7 mln, this figure includes EUR 3,286.5 mln (EUR 3,885.2 mln as at 31 December 2023) in securities subject to fair value micro-hedging for interest rate risk and EUR 1,463.2 mln in floating-rate securities subject to micro-hedging for cash flow risk.

"Loans to customers" include loans disbursed with funds made available by the Government or by other public institutions, with the Bank adopting partial or total risk. These funds are managed under the agreements signed by the Bank with Cassa Depositi e Prestiti (hereinafter CDP), in direct cooperation with ABI and with regional financial institutions. In particular, the Bank has subscribed to the agreements specifically structured by ABI and CDP for the support of the business sector, for the support of individuals and in favour of the local economy in the case of natural disasters. Except for the latter agreement, whose subsidised loans are backed by State guarantee, the loans disbursed by the Bank are characterised by

826

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

conditions released from the CDP funding, subject to independent negotiation between the parties, and are mandatorily assigned as collateral to CDP. In 2024, the bank did not use CDP funds to support the business sector, instead only using funds dedicated to supporting territories affected by natural disasters.

Conversely, with regard to management of resources made available through regional or national measures, the Bank's operations refer to specific agreements stipulated by the Bank with the regional financial institutions, such as Veneto Sviluppo, Finlombarda, Finpiemonte and Puglia Sviluppo, or other regional fund managers (Artigiancredito per il Fondo Multiscopo of the Emilia Romagna region), or with CDP regarding alternative instruments such as the so-called "Rotation Funds". The resources are intended to encourage and support companies operating in certain areas and in specific economic sectors. These loans are generally disbursed with part of the funding made available with public funds and part with the Bank's own resources (co-financing). The funding with public funds varies according to the initiative to be financed: the percentage is defined by specific Regional Laws or Resolutions and, as a rule, the public funds must be integrated with the Bank's own resources to ensure the total coverage of the expenditure.

Finally, it should be noted that, in line with the Bank of Italy communication of the Bank of Italy of 14 March 2023 "Update of the provisions of Circular no. 262 - Bank financial statements: layouts and rules for compilation - concerning the impacts of COVID-19 and of the measures to support the economy", the Bank has provided a total of state-guaranteed loans (in application of the Law Decree no. 23, "Liquidity", of 8 April 2020) for a total amount of EUR 11.5 bn, with a book value of EUR 4,673.5 mln as at 31 December 2024 (EUR 7,064.2 mln as at 31 December 2023).

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **31 12 2023** | **31 12 2023** | | | |
| | **Book value** | **Book value** | **Book value** | **Book value** | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of transaction/Amount** |<br><br>**Stage 1**<br>**and**<br>**Stage 2** |<br><br><br>**Stage 3** | **purchased**<br>**or**<br>**originated**<br>**credit**<br>**impaired**<br>**financial**<br>**assets** |<br><br><br>**Total** | **L1** | **L2** | **L3** | **Total** |
| **1. Loans** | **75224074** | **1738120** | **2744** | **76964938** | **-** | **6228029** | **70997755** | **77225784** |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1. Current accounts | 2720676 | 65314 | 228 | 2786218 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2. Reverse repurchase agreements | 6229986 |  |  | 6229986 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3. Mortgage | 50635241 | 1376325 | 2212 | 52013778 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.4. Credit cards, personal loans and fifth-of-salary backed loans | 1108683 | 5991 |  | 1114674 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.5. Finance lease | 2873415 | 172868 |  | 3046283 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.6. Factoring | 1776975 | 12618 |  | 1789593 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.7. Other transactiones | 9879098 | 105004 | 304 | 9984406 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which operating receivable* | 14263 |  |  | 14263 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which:leasing under co-struction* | 192144 | 1874 |  | 194018 |  |  |  |  |
| **2. Debt securities** | **10061226** | **-** | **-** | **10061226** | **8256268** | **1234846** | **-** | **9491114** |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1. Structured securities | 1109029 |  |  | 1109029 | 973952 |  |  | 973952 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2. Other debt securities | 8952197 | - | - | 8952197 | 7282316 | 1234846 | - | 8517162 |
| **Total** | **85285300** | **1738120** | **2744** | **87026164** | **8256268** | **7462875** | **70997755** | **86716898** |

---

827

BANCA MONTE DEI PASCHI DI SIENA

4.3 Financial assets measured at amortised cost breakdown by borrower/issuer of loans to customers

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Type of transaction/Amount** | **Stage 1**<br>**and**<br>**Stage 2** |<br>**Stage 3** | **Purchased or**<br>**originated**<br>**credit impaired** | **Stage 1**<br>**and**<br>**Stage 2** |<br> **Stage 3** | **Purchased or**<br>**originated**<br>**credit impaired** |
| **1. Debt securities** | **10237664** | **-** | **-** | **10061226** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) Public entities | 9111266 |  |  | 8742542 |  |  |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 919158 |  |  | 1112425 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 62492 |  |  | 62407 |  |  |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 207240 |  |  | 206259 |  |  |
| **2. Loans to:** | **75540295** | **1851755** | **2156** | **75224074** | **1738120** | **2744** |
| &nbsp;&nbsp;&nbsp;a) Public Entities | 1518697 | 9441 |  | 1699013 | 6970 |  |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 9924092 | 2025 |  | 9289423 | 1987 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 7887 |  |  | 334 |  |  |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 31459230 | 1156761 | 1950 | 31663066 | 1051432 | 2559 |
| &nbsp;&nbsp;&nbsp;d) Families | 32638276 | 683528 | 206 | 32572572 | 677732 | 185 |
| **Total** | **85777959** | **1851755** | **2156** | **85285300** | **1738120** | **2744** |

---

4.4 Financial assets measured at amortised cost: gross value and total value adjustments

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Value adjustments** | **Value adjustments** | **Value adjustments** | **Value adjustments** | |
|  | **Stage 1** | **Stage 1** | | | | | | | | |
|  |  | **of which: low**<br>**credit risk**<br>**instruments** |<br><br>**Stage 2** |<br><br>**Stage 3** | **purchased**<br>**or originated**<br>**credit**<br>**impaired** |<br><br>**Stage 1** |<br><br>**Stage 2** |<br><br>**Stage 3** | **purchased**<br>**or originated**<br>**credit**<br>**impaired** |<br>**Total**<br>**Partial**<br>**write-off (\*\*)** |
| Debt securities | 10118410 | 9809348 | 867819 |  |  | 5961 | 5015 |  |  |  |
| Loans | 68686064 | - | 10350818 | 3564365 | 2920 | 111022 | 347635 | 1704577 | 764 | 19475 |
| **Total 31 12 2024** | **78804474** | **98093480** | **11218637** | **3564365** | **2920** | **116983** | **352650** | **1704577** | **764** | **19475** |
| **Total 31 12 2023** | **80012261** | **103981400** | **9977941** | **3372988** | **4805** | **112176** | **371141** | **1634469** | **2061** | **32857** |

---

\*\* Value to be presented for disclosure purposes

For financial assets included in the stage 3 column and for purchased or originated credit impaired financial assets, the gross value corresponds to the book value gross of the relative overall value adjustments; the latter are equal to the difference between the expected recovery value and the gross book value. For impaired financial assets purchased, the gross value corresponds to the purchase price and the adjustments correspond to the difference between the expected recovery value and the gross book value.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 5 - Hedging derivatives - Item 50

5.1 Hedging derivatives: breakdown by type of contract and underlying asset

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** | **Total**<br>**Net Value**<br>**31 12 2024** |
| **A. Financial derivatives** |  | **59384** |  | **59384** | **10462458** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 42467 |  | 42467 | 9070458 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | 16917 |  | 16917 | 1392000 |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** |  | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | - |  | - | - |
| **Total** |  | **59384** |  | **59384** | **10462458** |

---

**key**

NV = Notional or Nominal Value

The table shows the positive book value (fair value) of hedging derivatives for hedges carried out through hedge accounting.

The year-on-year decrease in the positive fair value of fair value hedges is mainly due to the termination of certain fair value hedges.

Information on the underlying strategies and objectives of hedge transactions can be found in the Section "Market risks" of Part E - "Information on Risks and hedging policies".

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** | **Total**<br>**Net Value**<br>**31 12 2023** |
| **A. Financial derivatives** |  | **662012** |  | **662012** | **20289017** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 662012 |  | 662012 | 20289017 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** |  | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | - |  | - | - |
| **Total** |  | **662012** |  | **662012** | **20289017** |

---

**key**

NV = Notional or Nominal Value

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BANCA MONTE DEI PASCHI DI SIENA

5.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash Flows** | **Cash Flows** | | |
| | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | | | | | |
| <br>**Transaction/Type of hedge** | **debt** <br>**securities**<br>**and interest**<br>**rate** | **equity**<br>**instruments**<br>**and stock**<br>**indices** |<br>**currencies**<br>**and**<br>**gold** |<br><br>**Credit** | <br>**Commodities** | <br>**Others** |<br><br>**Macro-hedge** |<br><br>**Micro-hedge** |<br><br>**Macro-hedge** | <br>**Investments**<br>**Foreign** | <br>**Total**<br>**31 12 2024** |
| 1. Financial assets measured at fair value through other comprehensive income | 773 |  |  |  | X | X | X |  | X | X | 773 |
| 2. Financial assets measured at amortised cost | 13021 | X |  |  | X | X | X | 16917 | X | X | 29938 |
| 4. Portfolio | X | X | X | X | X | X | 24800 | X |  | X | 24800 |
| 5. Other transactions |  |  |  |  |  |  | X |  | X |  |  |
| **Total assets** | **13794** | **-** | **-** | **-** | **-** | **-** | **24800** | **16917** | **-** | **-** | **55511** |
| 1. Financial liabilities | 3873 | X |  |  |  |  | X |  | X | X | 3873 |
| 2. Portfolio | X | X | X | X |  | X |  | X |  | X |  |
| **Total liabilities** | **3873** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **3873** |
| 1. Expected transactions | X | X | X | X | X | X | X |  | X | X |  |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X | - | X | - | - | - |
| **Total** | **17667** | **-** | **-** | **-** |  | **-** | **24800** | **16917** | **-** | **-** | **59384** |

---

The table shows the positive fair values of hedging derivatives, classified by hedged assets or liabilities and type of hedging implemented.

In particular, for financial assets, fair value micro-hedging was used to hedge against interest rate risk on bonds classified in the portfolio "Financial assets measured at fair value through other comprehensive income", in order to protect the portfolio from unfavourable interest rate changes; fair value macro-hedging of the interest rate risk refers to hedges of optional components implicit in floating-rate mortgage loans. Fair value macro-hedging of interest rate risk refers to hedges of fixed-rate mortgage portfolios and optional components implicit in floating-rate mortgage portfolios. Cash flow micro-hedges, on the other hand, hedge against the risk that movements in the interest rate curve will reduce future cash flows on floating-rate debt securities classified within the "Financial assets measured at amortised cost" portfolio.

With reference to financial liabilities, fair value micro-hedging of the interest rate risk refers primarily to hedges of liabilities represented by securities.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 6 - Change in value of macro-hedged financial assets - Item 60

6.1 Change in value of hedged assets: breakdown by hedged portfolios

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Changes in value of hedged assets / Group components** | **31 12 2024** | **31 12 2023** |
| **1. Positive changes** | **158844** | **148025** |
| &nbsp;&nbsp;&nbsp;1.1 of specific portfolios: | 158844 | 148025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) loans and receivables | 158844 | 148025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income |  |  |
| &nbsp;&nbsp;&nbsp;1.2 overall |  |  |
| **2. Negative changes** | **532344** | **657186** |
| &nbsp;&nbsp;&nbsp;2.1 of specific portfolios: | 532344 | 657186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) loans and receivables | 532344 | 657186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income |  |  |
| &nbsp;&nbsp;&nbsp;2.2 overall | - | - |
| **Total** | **(373500)** | **(509161)** |

---

The value adjustment concerns mainly fixed and cap/floor floating rate mortgage loan portfolios that were fair value macro-hedged with derivatives to counter possible interest rate risk-induced fluctuations in value. As this is a macro-hedge, any gain or loss on the hedged item attributable to the risk hedged may not directly adjust the value of said item (unlike in micro-hedging), but must be presented in this separate line item of the assets. The amounts in this item must be removed from the balance sheet when the relevant assets or liabilities are derecognised.

The fair value of the corresponding hedging derivatives is shown in Table 5.2 (assets) or Table 4.2 (liabilities), both entitled "Hedging derivatives: breakdown by hedged portfolio and type of hedging", in the "Macro-hedging" column.

The assets subject to macro hedging of interest risk refer to fixed and cap/floor floating rate mortgage loan portfolios included in item 40 "Financial assets measured at amortised cost - Loans to customers", amounted to EUR 9,173.7 mln as at 31 December 2024 (EUR 10,613.4 mln as at 31 December 2023). The sum of this amount and the one shown in the table expresses the book value of these receivables, adjusted for profit or loss attributable to the risk hedged.

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Section 7 – Equity investments – Item 70

7.1 Equity investments: information on shareholding

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Company Name** | **Headquarters** | **Registered Office** | **Share holding %** | **Available votes %** |
| **A. Subsidiaries** |  |  |  |  |
| Aiace Reoco s.r.l. | Siena | Siena | 100000 |  |
| Cirene Finance S.r.l. | Conegliano (TV) | Conegliano (TV) | 60000 |  |
| G.Imm.Astor s.r.l. | Lecce | Lecce | 52000 |  |
| Magazzini Generali Fiduciari di Mantova S.p.a. | Mantua | Mantua | 100000 |  |
| Monte paschi banque S.A.\* | Paris | Paris | 100000 |  |
| Monte paschi fiduciaria S.p.a. | Siena | Siena | 100000 |  |
| Mps covered bond 2 S.r.l. | Conegliano (TV) | Conegliano (TV) | 90000 |  |
| Mps covered bond S.r.l. | Conegliano (TV) | Conegliano (TV) | 90000 |  |
| Mps Tenimenti Poggio Bonelli e Chigi Saracini soc. agricola S.p.a. | Castelnuovo Barardenga (SI) | Castelnuovo Barardenga (SI) | 100000 |  |
| Siena mortgages 07 5 S.p.a. | Conegliano (TV) | Conegliano (TV) | 7000 |  |
| Siena PMI 2016 S.r.l. | Conegliano (TV) | Conegliano (TV) | 10000 |  |
| Wise Dialog Bank S.p.a. in breve WIDIBA | Milan | Milan | 100000 |  |
| **B. Companies under joint control** |  |  |  |  |
| Immobiliare Novoli S.p.a. | Florence | Florence | 50000 |  |
| **C. Companies under significant influence** |  |  |  |  |
| Axa Mps Assicurazioni danni S.p.a. | Rome | Rome | 50000 |  |
| Axa Mps Assicurazioni vita S.p.a. | Rome | Rome | 50000 |  |
| Fidi Toscana S.p.a. | Florence | Florence | 27460 |  |
| Microcredito di Solidarieta' S.p.a. | Siena | Siena | 40000 |  |

---

*\* As at 31 December 2024, the investment in the subsidiary MP Banque S.A was reclassified under "Non-current assets held for sale and disposal groups" in accordance with IFRS 5.*

Equity investments in subsidiary companies, jointly controlled companies and companies under significant influence are valued at cost. The classification criteria of the equity investments in subsidiaries, jointly controlled companies and companies subject to significant influence are illustrated in Part A "Accounting policies" of these Notes to the Financial Statements.

The "Fondo Etrusco" and "Fondo Democrito" real estate funds, which were included within "Equity investments subject to significant influence" as at 31 December 2023, were reclassified during 2024 under "Financial assets measured at fair value through profit or loss" following the reassessment of the equity relationships existing between the Parent Company and these real estate funds. The analysis showed that although the shareholdings exceed the thresholds for a presumption of significant influence, the ability to actually exercise that influence was absent, as the Parent Company does not participate in the funds' policy-making and decision-making process. Instead, the board of directors of Fabrica Sgr, a management company in which the Bank as not involvement

For further details on changes, see comments to the subsequent table "7.5 - Equity investments: annual changes".

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

7.2 Significant equity investments: book value, fair value and dividends earned

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

7.3 Significant equity investments: accounting information

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

7.4 Non-significant equity investments: accounting information

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

7.5 Equity investments: annual changes

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Opening balance** | **764873** | **2361518** |
| **B. Increases** | **19** | **5122** |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Purchases | 19 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.3 Revaluations |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.4 Other increases |  | 5110 |
| **C. Decreases** | **102802** | **1601767** |
| &nbsp;&nbsp;&nbsp;&nbsp;C.1 Sales |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.2 value adjustment |  | 6810 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.3 Depreciation |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.4 Other decreases | 102802 | 1594957 |
| **D. Closing balance** | **662090** | **764873** |
| **E. Total revaluation** | **-** | **-** |
| **F. Total value adjustments** | **75845** | **193054** |

---

In line C.4 "Other changes", EUR 102.8 mln refers mainly to the classification of (i) the interests of EUR 5.1 mln and EUR 63.7 mln held in Fondo Democrito and Fondo Etrusco, respectively, under "Other financial assets mandatorily measured at fair value" and (ii) to the classification of the investment held in the subsidiary MP Banque S.A.(EUR 34 mln) under "Financial assets and disposal groups held for sale".

7.6 Covenants on equity investments in jointly controlled companies

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

7.7 Covenants on equity investments in companies under significant influence

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

7.8 Significant restrictions

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

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BANCA MONTE DEI PASCHI DI SIENA

7.9 Other information

For information on this paragraph, please refer to the corresponding section of the Notes to the Consolidated Financial Statements.

*Impairment tests on equity investments*

As required by IAS/IFRS, impairment tests were carried out on equity investments in subsidiaries, associated companies and companies subject to joint control to verify whether there is objective evidence of impairment suggesting that the book value of these assets might not be entirely recoverable. The process of recognising impairment involves verifying the presence of indicators of possible impairment and calculating any write-down. For further details, please refer to Part A of these Notes to the financial statements, paragraph "Use of estimates and assumptions - Methods for determining impairment of equity investments". In the presence of breach of the impairment indicators, the recoverable value was calculated using two distinct approaches:

· for companies without positive income or without a multi-year forecast plan
a valuation method based on the company's equity as at 31 December 2024 was used;

<sub> </sub>

· for companies with positive income and/or a multi-year forecast plan the
valuation method used was based on the discounting of the dividend flows that may be distributed by the investee company (DDM).

For the valuation of the subsidiary Widiba, which is carried out indirectly as part of the impairment test of the single Cash Generating Units (IAS 36) identified at consolidated level as part of the impairment test on goodwill (to which reference is made for further details), the subsidiary's 2024 results were used; future results were estimated using the 2025 forecasts underlying the Group's Budget (approved by the Bank's Board of Directors on 12 December 2024) and the 2026-2027 projections underlying the RAS 2025 (approved by the Board of Directors on 5 February 2025), which were developed in accordance with the provisions of the 2024-2028 Business Plan and took into account, as appropriate, the marco-economic scenario approved by the Board on Directors in its meeting of 7 November 2024.

The tests did not reveal any need for impairment. As at 31 December 2023, the impairment tests had demonstarted the need to make a value adjustment on the subsidiary Aiace Reoco s.r.l in the amount of EUR 0.2 mln, and on the company under significant influence, Fidi Toscana, in the amount of EUR 6.6 mln.

834

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 8 - Property, plant and equipment - Item 80

8.1 Property, plant and equipment used in the business: breakdown of assets valued at cost

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Asset/Amount** | **31 12 2024** | **31 12 2023** |
| **1. Assets owned** | **182368** | **192164** |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  |
| &nbsp;&nbsp;&nbsp;c) furniture and furnishings | 127031 | 129183 |
| &nbsp;&nbsp;&nbsp;d) electronic systems | 38720 | 40819 |
| &nbsp;&nbsp;&nbsp;e) other | 16617 | 22162 |
| **2. Right of use acquiring through leasing** | **148084** | **163206** |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings | 147735 | 162131 |
| &nbsp;&nbsp;&nbsp;c) furniture and furnishings |  |  |
| &nbsp;&nbsp;&nbsp;d) electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) other | 349 | 1075 |
| **Total** | **330452** | **355370** |

---

All the Bank's property, plant and equipment are measured at cost, with the exception of land and buildings, for which the Bank has applied the revaluation method.

Item 1 "Assets owned –c) furnishings" includes artworks whose value amounts to EUR 119.4 mln (EUR 119.5 mln at 31 December 2023).

The rights of use acquired under leasing are nearly entirely attributable to lease contracts used as branches and as spaces intended to accommodate ATMs or internal offices.

As at the reporting date of these Financial Statements, as well as in the comparison financial year, there are no property, plants and equipment acquired through the enforcement of guarantees.

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BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;8.2 Property, plant and equipment held for investment: breakdown of assets valued at cost

There were no assets measured at cost.

&nbsp;&nbsp;&nbsp;&nbsp;8.3 Property, plant and equipment used in the business: breakdown of revalued assets

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Asset/Amount** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **1. Assets owned** |  |  | **1403453** | **1403453** |  |  | **1476374** | **1476374** |
| &nbsp;&nbsp;&nbsp;a) land |  |  | 795310 | 795310 |  |  | 847557 | 847557 |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  | 608143 | 608143 |  |  | 628817 | 628817 |
| **2. Right of use acquiring through leasing** |  |  | - | - |  |  | - | - |
| **Total** |  |  | **1403453** | **1403453** |  |  | **1476374** | **1476374** |

---

Land and buildings classified as tangible assets used in the business are valued according to the restated value criterion, for valuation subsequent to initial recognition. The line "land" expresses the value of land separately from the value of buildings.

As at 31 December 2024, the Bank has granted operating leases of owned assets for business use totalling EUR 8.9 mln, entirely in the categories a) land and b) buildings. For more information on lease assets, see Part M of these Notes to the Financial Statements.

There were no property, plant and equipment obtained by means of financial leases or through the enforcement of guarantees at the reporting date of these Financial Statements or for the financial year of comparison.

8.4 Property, plant and equipment held for investment: breakdown of assets measured at fair value

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Asset/Amount** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **1. Assets owned** |  |  | **286681** | **286681** |  |  | **285247** | **285247** |
| &nbsp;&nbsp;&nbsp;a) land |  |  | 114904 | 114904 |  |  | 127300 | 127300 |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  | 171777 | 171777 |  |  | 157947 | 157947 |
| **2. Right of use acquiring through leasing** |  |  | **-** | **-** |  |  | **-** | **-** |
| **Totale** |  |  | **286681** | **286681** |  |  | **285247** | **285247** |
| *of which: obtained through the enforcement of the guarantees received* |  |  | *27844* | *27844* |  |  | *25764* | *25764* |

---

Assets measured at fair value consist of owned real estate not used for business operations. In this regard, it should be noted that the Bank does not hold investment assets represented by rights of use acquired through leases.

As at 31 December 2024, the Bank granted operating leases on owned investment property totalling EUR 55.9 mln, entirely attributable to the categories a) land and b) buildings. For more information on lease assets, see Part M of these Notes to the Financial Statements.

The criteria for classification of property, plant and equipment as an investment property pursuant to IAS 40 are described in the accounting policies, to which reference is made. The disclosure required by IAS 40 paragraph 75 letter c) is not provided, as the classification is not difficult.

At the reporting date of these financial statements, or for the year of comparison, there were no cases under paragraph 75 letter g), h) of IAS 40 attributable to: restrictions on the feasibility of investment properties or on the remittance of income and collections related to the disposal; contractual obligations for the acquisition, construction or development of investment property or for repairs, maintenance or improvements.

836

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

8.5 Inventories of property, plant and equipment governed by IAS 2: breakdown

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Assets/Amounts** | **31 12 2024** | **31 12 2023** |
| **1. Inventories of property, plant and equipment obtained through enforcement of the guarantees** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) Land |  |  |
| &nbsp;&nbsp;&nbsp;b) Buildings |  |  |
| &nbsp;&nbsp;&nbsp;c) Furniture and furnishings |  |  |
| &nbsp;&nbsp;&nbsp;d) Electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) Others |  |  |
| **2. Others inventories of property, plant and equipment** | **22359** | **23547** |
| **Total** | **22359** | **23547** |

---

"Other inventories of property, plant and equipment" refer to properties of former subsidiary MPS Immobiliare S.p.A., merged by incorporation in 2014.

837

BANCA MONTE DEI PASCHI DI SIENA

8.6 Property, plant and equipment used in the business: annual changes

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |<br> **Land** |<br> **Buildings** | **Furniture and**<br>**furnishings** | **Electronic**<br>**systems** |<br>**Others** | **Total**<br>**31 12 2024** |
| **A. Gross opening balance** | **880116** | **1459506** | **507607** | **837921** | **506401** | **4191551** |
| &nbsp;&nbsp;&nbsp;A.1 Total net decrease | 32559 | 668558 | 378424 | 797102 | 483164 | 2359807 |
| &nbsp;&nbsp;&nbsp;A.2 Net opening balance | 847557 | 790948 | 129183 | 40819 | 23237 | 1831744 |
| **B. Increases** | **1903** | **70738** | **1061** | **16474** | **2494** | **92670** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  | 8129 | 1060 | 16459 | 2036 | 27684 |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized expenditure on improvements |  | 7170 |  |  |  | 7170 |
| &nbsp;&nbsp;&nbsp;B.3 Write-backs |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Increases in fair value booked to: | 1903 | 2150 |  |  |  | 4053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) shareholders' equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit and loss | 1903 | 2150 |  |  |  | 4053 |
| &nbsp;&nbsp;&nbsp;B.5 Exchange gains |  | 55 |  | 15 | 2 | 72 |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from properties held for investment |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Other increases |  | 53234 | 1 |  | 456 | 53691 |
| **C. Decreases** | **54150** | **105808** | **3213** | **18573** | **8765** | **190509** |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Depreciation |  | 64626 | 3111 | 18561 | 8433 | 94731 |
| &nbsp;&nbsp;&nbsp;C.3 Impariment losses booked to: |  | 765 |  |  |  | 765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) shareholders' equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit and loss |  | 765 |  |  |  | 765 |
| &nbsp;&nbsp;&nbsp;C.4 Decreases in fair value booked to: | 19478 | 8134 |  |  |  | 27612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) shareholders' equity | 13613 | 1786 |  |  |  | 15399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit and loss | 5864 | 6348 |  |  |  | 12212 |
| &nbsp;&nbsp;&nbsp;C.5 Exchange losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfer to: | 11172 | 22102 |  |  |  | 33274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) tangible asset held for investment | 10850 | 21555 |  |  |  | 32405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Non-current assets and groups of assets held for sale and disposal groups | 322 | 547 |  |  |  | 869 |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases | 23500 | 10181 | 102 | 12 | 332 | 34127 |
| **D. Net closing balance** | **795310** | **755878** | **127031** | **38720** | **16966** | **1733905** |
| &nbsp;&nbsp;&nbsp;D.1 Total net decreases | 32559 | 729257 | 381543 | 815683 | 490634 | 2449676 |
| &nbsp;&nbsp;&nbsp;D.2 Gross closing balance | 827869 | 1485135 | 508574 | 854403 | 507600 | 4183581 |
| **E. Carried at cost** | **537420** | **741717** | **-** | **-** | **-** | **1279137** |

---

838

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

The furniture, electronic systems and property, plant and equipment included in the "Other" column are valued at cost.

On the other hand, owned land and buildings are valued according to the restated value method, for valuation after initial recognition at cost.

Line B.4 "Positive changes in fair value" shows total changes of EUR 4.0 mln, charged in their entirety to the Income Statement as write-backs resulting from previous impairment losses. Line C.4 "Negative changes in fair value" shows total changes of EUR 27.6 mln, of which EUR 12.2 mln was charged to the Income Statement and EUR 15.4 mln to the pre-existing valuation reserves. These changes result from the update of the value of real estate attributable to IAS 16 properties carried out as at 31 December 2024. For details of the valuation methodologies, see paragraph "Fair value level 2 and 3: measurement techniques and inputs used" in Part A of these Notes to the Financial Statements.

Line C3 "Impairment losses charged to: lett (b) income statement" shows the impairment on rights of use on properties.

Lines "B.7– Other changes" and "C.7 – Other changes", in the column "buildings", respectively show the increases and decreases related to the rights of use of some properties, resulting from mergers, renewals and renegotiations of contracts finalised during the year (see table 8.6 a.). The same lines also show in the "buildings" and "land" column the transfers of value between the "building" component and that of the "land" of the same property, in relation to the fact that the unit of measurement considered in order to determine the valuation effects, to be recognised in shareholders' equity or in the income statement based on the sign, is the individual property. In this regard, it must, in fact, be specified that the opening of the single property between the two components ("land" and "building") is relevant for the purpose of calculating depreciation, depending on the different deterioration that characterises them; the aforementioned opening, on the other hand, is not relevant for the purpose of a separate determination of the valuation effects, taking into account that the two components of the same property cannot be sold separately.

Line C.6 refers mainly to: for letter a) "Transfers to property, plant and equipment held for investment purposes", the properties owned by the Bank that were reclassified following the change of use of the prevailing portion of the property; and for letter b) "Non-current assets held for sale", properties whose value will be recovered through a sale transaction.

Line E. - "Carried at cost" was given a value for land and buildings for business use; as per the Bank of Italy's instructions, it only needs to be completed for assets measured at fair value.

839

BANCA MONTE DEI PASCHI DI SIENA

*8.6 a Property, plant and equipment used in the business - rights of use acquired: annual changes*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |<br>**Land** |<br>**Buildings** | **Furniture and**<br> **furnishings** | **Electronic**<br>**systems** |<br>**Others** | **Total**<br>**31 12 2024** |
| **A. Gross opening balance** | **-** | **360510** | **-** | **19023** | **7024** | **386557** |
| &nbsp;&nbsp;&nbsp;A.1 Net opening balance |  | 162131 |  |  | 1075 | 163206 |
| &nbsp;&nbsp;&nbsp;A.1 Total net decrease | 198379 |  | 19023 | 5949 | 223351 |  |
| **B. Increases** | **-** | **34911** | **-** | **-** | **579** | **35490** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  | 8129 |  |  | 296 | 8425 |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized expenditure on improvements |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from properties held for investment |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Other increases |  | 26727 |  |  | 283 | 27010 |
| **C. Decreases** | **-** | **49307** | **-** | **-** | **1305** | **50612** |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Depreciation |  | 38362 |  |  | 973 | 39335 |
| &nbsp;&nbsp;&nbsp;C.3 Impariment losses booked to: |  | 765 |  |  |  | 765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) shareholders' equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit and loss |  | 765 |  |  |  | 765 |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases |  | 10180 |  |  | 332 | 10512 |
| **D. Net closing balance** | **-** | **147735** | **-** | **-** | **349** | **148084** |
| &nbsp;&nbsp;&nbsp;D.1 Total net decreases |  | 232812 |  | 19023 | 5947 | 257782 |
| **D.2 Gross closing balance** | **-** | **380547** | **-** | **19023** | **6296** | **405866** |
| **E. Carried at cost** | **-** | **-** | **-** | **-** | **-** | **-** |

---

The outcome of the impairment test carried out as at 31 December 2024 on the rights of use on properties led to the recognition of an impairment loss equal to EUR 0.8 mln recognised in the income statement item 210 "Net impairment losses/reversals on property, plant and equipment" and included in the aforementioned table in line "C.3 Impairment losses charged to the income statement".

Line B.1 "Purchases" includes the right of use relating to the stipulation of lease agreements on real estate.

Line B.7 "Other increases" includes the changes in the book value of the rights of use resulting from the renewal of existing contracts.

"Other decreases" in line C.7 are mainly due to:

· renegotiations of the economic terms of existing contracts, agreed during
the financial year;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the release of properties or portions of properties as part of the reorganization
of spaces.

840

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

8.7 Property, plant and equipment held for investment: annual changes

---

| | | | |
|:---|:---|:---|:---|
|  | **31 12 2024** | **31 12 2024** | **31 12 2024** |
|  | **Lands** | **Builiding** | **Total** |
| **A. Closing balance** | **127300** | **157947** | **285247** |
| **B Increases** | **14376** | **32683** | **47059** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized expenditure on improvements |  | 1132 | 1132 |
| &nbsp;&nbsp;&nbsp;B.3 Increases in fair value | 2202 | 2196 | 4398 |
| &nbsp;&nbsp;&nbsp;B.4 Write-backs |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Exchange gains |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from property used in the business | 10850 | 21555 | 32405 |
| &nbsp;&nbsp;&nbsp;B.7 Other increases | 1324 | 7800 | 9124 |
| **C. Decreases** | **26772** | **18853** | **45625** |
| &nbsp;&nbsp;&nbsp;C.1 Sales | 2471 | 668 | 3139 |
| &nbsp;&nbsp;&nbsp;C.2 Depreciation |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Decreases in fair value | 11474 | 11310 | 22784 |
| &nbsp;&nbsp;&nbsp;C.4 Impairment losses |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Exchange losses |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfers to other asset potfolios | 6836 | 6836 | 13672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) properties used in the business |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Non-current assets held for sale and disposal groups | 6836 | 6836 | 13672 |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases | 5991 | 39 | 6030 |
| **D. Closing balance** | **114904** | **171777** | **286681** |
| **E. Designated at fair value** | **-** | **-** | **-** |

---

As at 31 December 2024, assets held for investment purposes, consisting entirely of owned properties measured at fair value, amounted to EUR 286.7 mln (EUR 285.2 mln as at 31 December 2023).

Lines B.3 "Increases in fair value" and C.3 "Decreases in fair value" show the changes attributable to changes in the estimate of fair value resulting from the update of the appraisals as at 31 December 2024, which are overall negative for EUR 18.4 mln. In this regard, it should be noted that, for the purposes of compiling the table in question, the valuation effects at fair value were posted by breaking down the overall impact for each property, between "land" component and "building" component. In the table that breaks down the income statement item "230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value", where the above mentioned valuation impact is reported, capital gains (losses) are however determined taking the individual property as reference unit.

Line C.6 "Transfers to: b) non-current assets held for sale and disposal groups" includes properties whose value is expected to be recovered mainly through sale transactions.

The sub-item "E. Measured at fair value", to be completed for investment properties valued at cost, is blank as all properties are valued at fair value. As at 31 December 2024, therefore, the book value of property, plant and equipment held for investment purposes (sub-item D) corresponds to its fair value.

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8.8 Inventories of property, plant and equipment governed by IAS 2: annual changes

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross closing balance of tangible assets obtained through enforcement <br> of the guarantees received** | **Gross closing balance of tangible assets obtained through enforcement <br> of the guarantees received** | **Gross closing balance of tangible assets obtained through enforcement <br> of the guarantees received** | **Gross closing balance of tangible assets obtained through enforcement <br> of the guarantees received** | **Gross closing balance of tangible assets obtained through enforcement <br> of the guarantees received** | | |
|  |<br><br>**Land** |<br><br>**Buildings** |<br>**Furniture**<br>**and**<br>**furnishings** |<br>**Electronic**<br>**systmes** |<br><br>**Others** | **Other**<br>**Closing**<br>**balance of**<br>**tangible**<br>**assets** |<br><br>**Total** |
| **A.Opening balance** |  |  |  |  |  | **23547** | **23547** |
| **B. Increase** |  |  |  |  |  | **197** | **197** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |  |  |  | 197 | 197 |
| &nbsp;&nbsp;&nbsp;B.2 Write-backs |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Exchange gains |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  |  |  |  |  |  |  |
| **C. Decreases** |  |  |  |  |  | **1385** | **1385** |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  | 130 | 130 |
| &nbsp;&nbsp;&nbsp;C.2 Impairment losses |  |  |  |  |  | 821 | 821 |
| &nbsp;&nbsp;&nbsp;C.3 Exchange losses |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Other decreases |  |  |  |  |  | 434 | 434 |
| **D. Closing balance** |  |  |  |  |  | **22359** | **22359** |

---

8.9 Commitments to purchase property, plant and equipment

No commitments to purchase property, plant and equipment were registered in 2024 or in the previous financial year.

8.10 Property, plant and equipment: depreciation rates

---

| | |
|:---|:---|
| **Main categories of property, plant and equipment** | **%** |
| Buildings | 2,0% - 6,7% |
| Furniture and furnishings | 12% |
| Alarm and video systems | 30.00% |
| Electronic and ordinary office equipment | 20.00% |
| Electronic data processing equipment | 25.00% |
| Vehicles | 20% |
| Telephones | 25.00% |

---

The percentages used for carrying out the depreciations with reference to the main categories of property, plant and equipment are presented in the table. Owing to their indefinite useful life, land and artworks are not depreciated. Investment property measured at fair value is not subject to depreciation.

For buildings for business use, the depreciation rates are determined on the basis of the cluster to which the individual building belongs. The different clusters are defined in terms of useful life, starting from a minimum of 5 years up to a maximum of 50 years.

Note that the rights of use acquired through leasing are depreciated based on the lease contract duration.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 9 – Intangible assets – Item 90

9.1 Intangible assets: breakdown by type of assets

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Asset / Amount** | **Finite Life** | **Indefinite Life** | **Total** | **Finite Life** | **Indefinite Life** | **Total** |
| **A.1 Goodwill** | **X** |  | **-** | **X** |  | **-** |
| **A.2 Other intangible assets** | **134585** |  | **134585** | **156248** |  | **156248** |
| &nbsp;&nbsp;&nbsp;*of which software* | *134585* |  | *134585* | *156248* |  | *156248* |
| A.2.1 Assets carried ad cost | 134585 |  | 134585 | 156248 |  | 156248 |
| &nbsp;&nbsp;&nbsp;a) internally generated intangible assets | 26267 |  | 26267 | 30643 |  | 30643 |
| &nbsp;&nbsp;&nbsp;b) other assets | 108318 |  | 108318 | 125605 |  | 125605 |
| A.2.2 Assets valued at fair value: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) internally generated intangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) other assets | - |  | - | - |  | - |
| **Total** | **134585** |  | **134585** | **156248** |  | **156248** |

---

All of the Bank's intangible assets are valued at cost and have a finite useful life.

Line "A.2.1 Assets carried at cost – a) internally generated intangible assets" includes intangible assets linked to internally generated technology (software developed in-house) in the amount of EUR 26.3 mln.

Line "A.2.1 Assets carried at cost – b) Other assets" includes software purchased from/developed by third parties for EUR 108.3 mln.

*Software, recognised overall in the financial statements, amounted to EUR 134.6 mln* and is normally amortised over a period of three to five years, except in special cases. Finally it should be noted that the analysis was carried out of the future service life of the main capitalised assets to check for impairment, leading to an adjustment of about EUR 1.8 mln.

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9.2 Intangible assets: annual changes

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **Other intangible assets: generated <br> internally** | **Other intangible assets: generated <br> internally** | **Other intangible assets: other** | **Other intangible assets: other** | **Total** |
|  |<br>**Goodwill** | **finite life** | **indefinite life** | **finite life** | **indefinite life** | **31 12 2024** |
| **A. Opening balance** | **5209817** | **545653** | **-** | **2055082** | **-** | **7810552** |
| &nbsp;&nbsp;&nbsp;A.1 Total net decreases | 5209817 | 515010 |  | 1929477 |  | 7654304 |
| &nbsp;&nbsp;&nbsp;A.2 Net opening balance |  | 30643 |  | 125605 |  | 156248 |
| **B. Increases** | **-** | **8400** | **-** | **31165** | **-** | **39565** |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |  | 31152 |  | 31152 |
| &nbsp;&nbsp;&nbsp;B.2 Increases in internally generated intangible assets | X | 8400 |  |  |  | 8400 |
| &nbsp;&nbsp;&nbsp;B.3 Write-backs | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Increases in fair value |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to profit and loss | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Exchange losses |  |  |  | 1 |  | 1 |
| &nbsp;&nbsp;&nbsp;B.6 Other increases |  |  |  | 12 |  | 12 |
| **C. Decreases** | **-** | **12776** | **-** | **48452** | **-** | **61228** |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 value adjustment |  | 12776 |  | 48452 |  | 61228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Depreciation | X | 12148 |  | 47315 |  | 59463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Write-downs |  | 628 |  | 1137 |  | 1765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ profit and loss |  | 628 |  | 1137 |  | 1765 |
| &nbsp;&nbsp;&nbsp;C.3 Decreases in fair value |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to profit and loss | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Transfers to non-current assets held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Exchange losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Other decreases |  |  |  |  |  |  |
| **D. Net closing balance** | **-** | **26267** | **-** | **108318** | **-** | **134585** |
| &nbsp;&nbsp;&nbsp;D.1 Total net value adjustments | 5209817 | 527786 |  | 1977929 |  | 7715532 |
| **E. Gross closing balance** | **5209817** | **554053** | **-** | **2086247** | **-** | **7850117** |
| **F. Carried at cost** | **-** | **-** | **-** | **-** | **-** | **-** |

---

It should be noted that Line "F. Carried at cost" was left blank in accordance with Bank of Italy's instructions, as it only needs to be completed for intangible assets measured at fair value.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

9.3 Intangible assets: Other information: amortisation rates

---

| | | |
|:---|:---|:---|
| **Main categories of intangible assets** | **%** | **residual depreciation period** |
| Software | 20%-33.3% |  |

---

As at the balance sheet date software is still in use which as been fully amortised (IAS 38, para 128). There were none of the following as at 31 December 2024:

· revalued intangible fixed assets;

· intangible fixed assets acquired through government concessions (IAS 38,
par. 44);

· intangible fixed assets pledged as loan collaterals;

· commitments to purchase intangible assets;

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BANCA MONTE DEI PASCHI DI SIENA

Section 10 - Tax Assets and Liabilities - Item 100 (Assets) and Item 60 (Liabilities)

10.1 Deferred tax assets: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Items/Amounts** | **IRES with<br> offsetting entry <br> to P&L** | **IRES with <br> offsetting entry <br> to Balance <br> Sheet** | **IRAP with<br> offsetting entry <br> to P&L** | **IRAP with <br> offsetting entry <br> to Balance <br> Sheet** | **31 12 2024** | **31 12 2023** |
| Receivables (including securitisations) | 194519 |  | 28280 |  | 222799 | 266350 |
| Receivables (L. 214/2011) | 74650 |  | 9839 |  | 84489 | 203559 |
| Other financial instruments | 258 |  | 2186 |  | 2444 | 3006 |
| Goodwill (l.214/2011) | 200651 | 671 | 51026 | 157 | 252505 | 298658 |
| Property, plant and equipment | 133475 |  | 19605 |  | 153080 | 148963 |
| Intangible assets | 164 |  | 106 |  | 270 | 114 |
| Intangible assets (Law 214/2011) | 14248 |  | 3198 |  | 17446 | 20366 |
| Personnel expenses | 682 | 4142 | 148 | 20 | 4992 | 5473 |
| ACE surplus | 10287 |  |  |  | 10287 | 15018 |
| Tax losses | 1463288 | 48908 |  |  | 1512196 | 686181 |
| Tax losses (Law 214/2011) |  |  |  |  |  |  |
| Financial instruments - valuation reserves |  | 17311 |  | 4457 | 21768 | 35681 |
| Others | 221214 |  | 6227 |  | 227441 | 239146 |
| **Deferred tax assets (gross)** | **2313436** | **71032** | **120615** | **4634** | **2509717** | **1922515** |
| Offsetting with deferred tax liabilities | (13234) | (59508) | (2037) | (11666) | (86445) | (90856) |
| **Deferred tax assets (net)** | **2300202** | **11524** | **118578** | **(7032)** | **2423272** | **1831659** |

---

Deferred tax assets were recognised after verifying the existence of foreseeable future income (probability test). Impairments and reversals following probability testing are recognised in a balancing entry in the income statement, under taxation (item 270 "Tax (expense)/recovery on income from continuing operations"). For additional information, please refer to paragraph 10.7 "Other information" below.

In addition to deferred taxes referring to the main tax (at the rate of 24%) the amounts shown in the IRES column also include those relating to the additional IRES tax (3.5% rate) introduced by Italian Law no. 208 of 28 December 2015, (art. 1, paragraphs 65-66).

This net figure for this item increased during the year; For the quantification of individual effects, please refer to the following paragraphs of this Section.

The line "Receivables" includes the deferred tax assets relating to the residual portions of the value adjustments on loans to customers accounted for at the time of first-time adoption of IFRS 9. The line "Other" includes the tax assets relating to provisions for risks and charges for deductible costs expected in future years and other residual cases.

846

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

10.2 Deferred tax liabilities: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Items/Amounts** | **IRES with<br> offsetting<br> entry to<br> P&L** | **IRES with <br> offsetting entry <br> to Balance <br> Sheet** | **IRAP with<br> offsetting <br> entry to<br> P&L** | **IRAP with <br> offsetting entry <br> to Balance <br> Sheet** | **Total**<br> **31 12 2024** | **Total<br> 31 12 2023** |
| Property, plant and equipment and intangible assets | 3958 | 42539 | 1943 | 8276 | 56716 | 63492 |
| Financial instruments | 5232 |  | 94 |  | 5326 | 7381 |
| Personnel expenses | 4044 |  |  |  | 4044 | 4658 |
| Financial instruments - valuation reserves |  | 15169 |  | 3040 | 18209 | 13865 |
| Others |  | 1800 |  | 350 | 2150 | 1460 |
| **Deferred tax liabilities (gross)** | **13234** | **59508** | **2037** | **11666** | **86445** | **90856** |
| Offsetting with deferred tax assets | (13234) | (59508) | (2037) | (11666) | (86445) | (90856) |
| **Deferred tax liabilities (net)** | **-** | **-** | **-** | **-** | **-** | **-** |

---

In addition to deferred taxes referring to the main tax (at the rate of 24%) the amounts shown in the IRES column also include those relating to the additional IRES tax (3.5% rate) introduced by Italian Law no. 208 of 28 December 2015, paragraphs 65-66.

The line "Financial instruments – valuation reserves" includes tax liabilities relating to the valuation of cash flow hedge derivatives, as well as financial instruments classified in the portfolio "Financial assets measured at fair value through other comprehensive income" (OCI).

This net figure for this item decreased during the year; for the quantification of individual effects, please refer to the following paragraphs of this Section.

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10.3 Deferred tax assets: annual changes (with offsetting entry to profit or loss)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **1832872** | **1250410** |
| **2. Increases** | **1071067** | **1254000** |
| &nbsp;&nbsp;&nbsp;2.1 Deferred tax assets arising during the year | 1060750 | 909285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to previous years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) write-backs | 987480 | 827194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other | 73270 | 82091 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 10317 | 344715 |
| **3. Decreases** | **469888** | **671538** |
| &nbsp;&nbsp;&nbsp;3.1 Deferred tax assets derecognised during the year | 455392 | 487852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 455392 | 486250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) write-downs of non-recoverable items |  | 1602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reduction in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 14496 | 183686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) conversion into tax credits pursuant to Law no. 214/2011 |  | 8567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) others | 14496 | 175119 |
| **4. Total** | **2434051** | **1832872** |

---

The major components of "Deferred tax assets arising during the year" as reported in line 2.1 letter d) include those concerning:

&nbsp;&nbsp;&nbsp;&nbsp;· taxed provisions made during the financial year to the provision for risks
and charges, equal to EUR 57.6 mln;

· the write-down recorded during the year of owned properties for business
use and investment purposes in the amount of EUR 9.1 mln.

The amount shown in line 3.1 letter a) "Reversals" include deferred tax assets relating to:

&nbsp;&nbsp;&nbsp;&nbsp;· the use of past tax losses to offset taxable income for the year, in the
amount of 160.7 mln;

· the reversal of the portion of value adjustments on loans to customers,
deductible during the year pursuant to art. 16 of Italian Law Decree 83/2015 in the amount of EUR 119.1 mln;

· uses and reclassifications to the income statement of provisions for risks
and charges taxed in previous years in the amount of EUR 69.2 mln;

· the reversal of amortisation of goodwill and other intangible assets in
the amount of EUR 47.9 mln;

· the reversal of the tenth of the value adjustments on loans to customers
recognised at the time of first-time adoption of IFRS 9 in the amount of EUR 43.4 mln.

The table shows the effects of the measurement of deferred tax assets based on the results of the probability test conducted as at 31 December 2024. Specifically, the amount in line 2.1(c) '"Reversals" is due to the reversal of deferred tax assets relating to: EUR 986.4 mln in tax losses accrued but not recognised in previous years, in relation to both IRES (in the Consolidated declaration) and the IRES surcharge (in the separate declaration), and EUR 1.1 mln in other temporary deductible differences (specifically, DTAs that cannot be converted into tax credits pursuant to Law 214/2011, such as those related to provisions for risks and charges, loan adjustments as per FTA IFRS 9, etc.). For additional information, please refer to paragraph 10.7 "Other information" below.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.3-bis Deferred tax assets: changes under Italian Law 214/2011 (with offsetting entry to profit or loss)*

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Items/Amounts** | **31 12 2024** | **31 12 2023** |
| **1. Opening balance** | **521451** | **453853** |
| **2. Increases** | **-** | **122447** |
| **3. Decreases** | **167839** | **54849** |
| &nbsp;&nbsp;&nbsp;3.1 Reversals | 167837 | 45654 |
| &nbsp;&nbsp;&nbsp;3.2 Conversion into tax credits |  | 8567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) arising from loss for the period |  | 8547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) arising from tax losses |  | 20 |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 2 | 628 |
| **4. Closing balance** | **353612** | **521451** |

---

The amount shown in line 3.1 "Reversals" includes:

&nbsp;&nbsp;&nbsp;&nbsp;· the reversal of the portion of value adjustments on loans to customers,
deductible during the year pursuant to art. 16 of Italian Law Decree 83/2015 in the amount of EUR 119.1 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the reversal of amortisation of goodwill and other intangible assets in
the amount of EUR 47.9 mln.

10.4 Deferred tax liabilities: changes (with offsetting entry to profit or loss)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **18780** | **20536** |
| **2. Increases** | **847** | **4905** |
| &nbsp;&nbsp;&nbsp;2.1 Deferred tax liabilities arising during the year | 100 | 1140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to previous years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 100 | 1140 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 747 | 3765 |
| **3. Decreases** | **4356** | **6661** |
| &nbsp;&nbsp;&nbsp;3.1 Deferred taxes derecognised during the year | 2029 | 4710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 2029 | 4710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reduction in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 2327 | 1951 |
| **4. Closing balance** | **15271** | **18780** |

---

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10.5 Deferred tax assets: changes (with offsetting entry to equity)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **89644** | **126821** |
| **2. Increases** | **1741** | **13112** |
| &nbsp;&nbsp;&nbsp;2.1 Deferred tax assets arising during the year | 1073 | 4797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to previous years | 6 | 1602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 1067 | 3195 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 668 | 8315 |
| **3. Decreases** | **15719** | **50289** |
| &nbsp;&nbsp;&nbsp;3.1 Deferred tax assets derecognised during the year | 15134 | 50126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversal | 15134 | 50126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) write-downs of non-recoverable items |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reduction in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 585 | 163 |
| **4. Closing balance** | **75666** | **89644** |

---

The cancelled deferred tax assets refer mainly to write-backs on financial instruments classified in the portfolio "Financial assets measured at fair value through other comprehensive income" (OCI).

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.5-bis Deferred tax assets: changes under Italian Law 214/2011 (with offsetting entry to equity)*

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**Items/Amounts** | **31 12 2024** | **31 12 2023** |
| **1. Opening balance** | **1132** | **1132** |
| **2. Increases** | **-** | **-** |
| **3. Decreases** | **304** | **-** |
| &nbsp;&nbsp;&nbsp;3.1 Reversals | 304 |  |
| &nbsp;&nbsp;&nbsp;3.2 Conversion into tax credits |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) arising from loss for the year |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) arising from tax losses |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases |  |  |
| **4. Closing balance** | **828** | **1132** |

---

The table shows deferred tax assets that may be converted into tax credits pursuant to Italian Law 214/2011, recognised with an offsetting entry to equity. This refers to goodwill charged by the Bank to shareholders' equity as it relates to past business combinations under common control.

10.6 Deferred tax liabilities: changes (with offsetting entry to equity)

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Opening balance** | **72076** | **82509** |
| **2. Increases** | **6052** | **4362** |
| &nbsp;&nbsp;&nbsp;2.1 Deferred tax liabilities arising during the year | 5785 | 4145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to previous years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c)other | 5785 | 4145 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 267 | 217 |
| **3. Decreases** | **6954** | **14795** |
| &nbsp;&nbsp;&nbsp;3.1 Deferred tax liabilities derecognised during the year | 5961 | 13809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversal | 5961 | 13809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting principles |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reduction in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 993 | 986 |
| **4. Closing balance** | **71174** | **72076** |

---

Increases mainly refer to deferred tax liabilities that arose during the year in relation to cash flow hedging derivatives and financial instruments classified in the portfolio of "Financial assets measured at fair value through other comprehensive income" (OCI).

The decreases mainly refer to the reabsorption of deferred tax liabilities recognised in previous years in relation to land and buildings (IAS 16).

851

BANCA MONTE DEI PASCHI DI SIENA

10.7 Other information

Probability test

In compliance with the provisions of IAS 12 and the ESMA communication issued on 15 July 2019, the Bank has recognised deferred tax assets (DTA), subject to verification of the existence of sufficient future taxable income for the purposes of their reabsorption (probability test).

In this test, the different rules set forth in the Italian tax laws which impact the assessment in question were taken into account, in particular:

&nbsp;&nbsp;&nbsp;&nbsp;· art. 2, paragraphs 55-59, of Italian Law Decree no. 225 of 29 December 2010
(converted, with amendments, by Italian Law no. 10 of 26 February 2011) which establishes the obligation for financial intermediaries
to convert into tax credits DTAs (IRES and IRAP) relating to goodwill, other intangible assets and impairment losses on receivables, in
the case of a loss in the statutory financial statements and/or a tax loss;

&nbsp;&nbsp;&nbsp;&nbsp;· art. 84, paragraph 1 of the TUIR, which allows for the possibility of carrying
forward IRES tax losses with no time limits;

&nbsp;&nbsp;&nbsp;&nbsp;· paragraphs 61 to 66, art. 1, of the 2016 Stability Law (Italian Law no.
208 of 28 December 2015) reduced the IRES rate from 27.5% to 24% and simultaneously introduced an IRES additional tax of 3.5% for credit
and financial institutions; both measures are effective as of 2017.

The MPS Group incurred significant consolidated tax losses in the past, particularly in 2016 and 2017, the residual amount of which as at 31 December 2024 was EUR 11.5 bn; these tax losses can be carried forward for offsetting against future taxable income without limits of amount and time and constitute the prerequisite for the recognition in the financial statements of corresponding DTAs, after verifying the existence of future taxable income. In its recent financial statements, the Bank recognised DTAs on tax losses only to a minimal extent with respect to their nominal value, as the future taxable income considered in the valuation time period was largely absorbed by the reversal of DTAs relating to costs with deferred tax deductions, as well as ACE deductions which the Bank was able to benefit from as a result of the capital increases carried out from 2011 onwards; The repeal of this relief, in Italian Legislative Decree 216/2023, therefore increased the tax loss absorption prospects from 2023, triggering a partial reassessment of the related DTAs recognised in the Bank's Financial Statements as at 31 December 2023 (for more information, reference should be made to paragraph 10.7 - Part B - Information on the balance sheet in the explanatory notes to the Consolidated Financial Statements as at 31 December 2023).

In the first half of 2024, the Bank noted that it had maintained the level of profitability recorded in 2023, which was well above the levels envisaged in the 2022-2026 Plan; moreover, on account of the favourable short/medium-term outlook in the banking sector and the fact that the targets set out in the Plan had substantially been achieved, on 5 August 2024 the Board of Directors of the Bank approved a new Business Plan for the period 2024-2028, which envisaged a consolidation and strengthening of the Group's income growth.

Therefore, for the purpose of the DTA valuation, the Condensed Consolidated Half-Yearly Financial Statements as at 30 June 2024 took into account the new income projections for 2024-2028.

In terms of methodology, the probability test as at 31 December 2024 was carried out by following the steps listed below.

DTAs relating to goodwill, other intangible assets and impairment losses and adjustments on receivables ("qualified" DTAs), were excluded from the total amount of DTAs for which the existence of sufficient future taxable income needs to be identified. This is because the above-mentioned art. 2, paragraphs 55-59 of Italian Law Decree 225/2010 made the recovery of that type of DTA certain, with respect to both IRES and IRAP, regardless of the presence of future taxable income. Indeed, the above-mentioned rule sets forth that, if taxable income for the financial year in which the recovery of qualified DTAs is expected is not sufficient to absorb them, the resulting tax loss would be convertible into a tax credit that may be, alternatively i) used to offset, with no amount limits, the various taxes ordinarily due from the Bank, or ii) requested in the form of a refund, or iii) transferred to third parties. In addition, qualified DTAs may be converted into tax credit in advance of their natural maturity, in the event of a loss for the year in the statutory financial statements or voluntary liquidation, as well as subjection to bankruptcy proceedings.

In other words, for qualified DTAs the Probability test must be deemed automatically satisfied; this is also confirmed by the joint Bank of Italy, CONSOB and ISVAP document no. 5 of 15 May 2012 "Accounting treatment of deferred tax assets deriving from Italian Law 214/2011".

For DTAs other than qualified DTAs, the financial year in which the relative recovery is expected has been identified (or estimated when uncertain).

852

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Estimates of taxable income for future financial years were made, consistent with the other relevant corporate valuation processes, on the basis of the expected evolution of the Bank's profit and loss accounts derived from the above mentioned income projections included in the 2024-2028 Group Business Plan, approved by the Board of Directors on 5 August 2024. For the purposes of this valuation, the growth in future years' profits outlined in the Business Plan has been prudentially limited to the first three years following the reporting date (2025-2027 in respect of the present Financial Statements as at 31 December 2024); From 30 June 2024, two refinements were also made with respect to the methodology used in previous financial statements for estimating taxable income for years following those of the first three-year period inferred from the Business Plan:

&nbsp;&nbsp;&nbsp;&nbsp;i. from the first year following the three-year period onwards (from 2028 in the case of these Financial
Statements), it is assumed that a pre-tax profit ("cap" or "average YoY income") will be achieved which, projected
over subsequent years for the twenty-year time horizon considered by the probability test and revalued at a growth rate g, allows expression
of a Group return on equity (ROE) no higher than the average ROE recorded for the banking sector in the last 20 years; until 31 March
2024, the pre-tax profit projected beyond the three-year period of the Business Plan was equal to that of the last year of that three-year
period. in the absence of that cap (i.e. if the methodology used up to the Interim Report s at 31 March 2024 were to be followed), the
use of the new business plan projections would have resulted in an average ROE over the probability test time horizon higher than that
expressed for the industry on average;

&nbsp;&nbsp;&nbsp;&nbsp;ii. the growth rate g (of pre-tax profit projected beyond the first three-year period) was increased to 2%
per year, instead of the 1.35% considered up to 31 March 2024, which was assumed to be equal to the nominal growth rate of the economy,
in line with the inflation target under the ECB's long-term monetary policy.

In order to reflect the level of uncertainty that characterises the actual realisation of long-term forecasts, a discount factor was applied to the forecast operating results (Risk-adjusted profits approach) equal to 9%, unchanged from that used for the previous Financial Statements. This factor is calculated also taking into account observable market parameters. In greater detail, the prudential adjustment of taxable income is obtained by discounting the pre-tax profit forecasts for each year - up to a maximum 20-year time horizon from 2025 - by the factor of 9%, applied according to the compound capitalisation formula. This results in an increasing reduction of the future taxable flows taken into account, based on the time horizon of the estimate.

Taxable incomes were therefore estimated:

&nbsp;&nbsp;&nbsp;&nbsp;· at domestic tax consolidation level, for the IRES Probability test, since
the Bank pays this tax as set forth in arts. 117 et seq. of the Income Tax Act;

· at individual level for IRES additional tax;

· at individual level for IRAP.

The valuation exercise conducted with the model described above has resulted in an overall increase in value of DTAs for EUR 987.5 mln, with the following effects on the Bank's accounts:

&nbsp;&nbsp;&nbsp;&nbsp;· with reference to DTAs for prior years' consolidated tax losses, a
write-down of EUR 863.0 mln;

· with reference to DTAs for previous tax losses for purposes of additional
IRES, a revaluation of EUR 123.4 mln;

· with regard to DTAs other than "qualified" DTAs and those relating
to ACE and tax losses, a total recovery in value equal to EUR 1.1 mln.

It should be noted that the valuation of the DTAs as at 31 December 2024, carried out according to the methodological assumptions used in the Financial Statements as at 31 December 2023, would still have resulted in the DTAs being revalued at EUR 592.7 mln. Indeed, in the previous Business Plan (2022-2026), it was envisaged that, starting with the present financial statements, the cap prudentially adopted based on the Group's economic performance would be eliminated for the purpose of measuring DTAs. Therefore, the taxable income projections for 2025 and 2026 (above the cap, which was set at the projected income for 2024), which were previously excluded from the valuation, would be taken into account.

The DTA valuation in the present Financial Statements was also positively impacted by: the increase in the growth rate g, to the tune of EUR 69.6m; and the adoption of the (more positive) income projections included in the new 2024-2028 Business Plan, to the tune of EUR 325.2 mln.

If the cap (or "average YoY income") methodology had not been refined during the year, adopting the new income projections included in the 2024-2028 Business Plan would have resulted in an additional DTA revaluation of EUR 973.6 mln compared to that actually recognised.

As a result of the aforementioned valuation, the Bank had DTAs not stated as assets in the Balance Sheet, totalling EUR 1,587.5 mln as at 31 December 2024 (EUR 2,575.7 mln as at 31 December 2023).

853

BANCA MONTE DEI PASCHI DI SIENA

For the Bank, this amount is a potential asset not subject to any time limits according to current tax legislation, with the exception of the limits to carrying forward, in case of extraordinary transactions, envisaged by art. 172 and 173 of Italian Presidential Decree no. 917/1986; the relative recognition in balance sheet assets will be evaluated at the future reporting dates based on the Bank's and the Group's profit outlook.

The MPS Group's tax losses, equal to EUR 11,512 mln accrued mainly in 2016 and 2017, corresponding to the start of the Bank's restructuring process, and derive essentially from significant loan losses for both years. In particular, for 2016 the methodologies and parameters used in measuring loans had to be updated and for 2017 the realisable value of non-performing loans sold during 2018 had to be adjusted. Therefore, pursuant to the provisions of paragraph 36.c) of IAS 12, also taking into account increased Bank and Group profitability, it is believed that these unused tax losses derive from "identifiable causes that are unlikely to recur" and in this sense have been included in the valuation process for DTAs that can be partially recognised in financial statements. The following chart shows the expected trend related to the recovery of DTAs recognised in the Financial Statements as at 31 December 2024, both quantitatively and over time, broken down between convertible DTAs pursuant to Italian Law 214/2011, DTAs from non-convertible losses and other non-convertible DTAs.

![](tm2518026d1_ex99-4sp05img01.jpg)

The probability test model in use in MPS Group includes some input data whose fluctuations in value can significantly influence the final result of the DTA valuation recognised in financial statements. Specifically, these are:

&nbsp;&nbsp;&nbsp;&nbsp;1. total "average YoY income" or "cap" (pre-tax profit projected for the years beyond
the first three years, taken from the three-year Business Plan – from 2028 onwards in the case of the present Financial Statements
 – which must express an ROE not higher than the average for the banking sector);

&nbsp;&nbsp;&nbsp;&nbsp;2. discount rate of future results (coefficient used in the risk-adjusted profits approach);

&nbsp;&nbsp;&nbsp;&nbsp;3. tax rates for IRES, IRES additional tax and IRAP.

Certain indications on the sensitivity of results of the valuation model are provided below, assuming both an increase and decrease in each of the input data listed above. The effects shown in the table refer to the difference that would have occurred for the tax item of the 2024 income statement, compared to what was actually recognised, changing the individual variable as indicated.

854

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | **Effect on income statements of<br> decrease in DTAs (Eur/mln)** | **Effect on income statements of<br> decrease in DTAs (Eur/mln)** | | **Effect on income statements of<br> increase in DTAs (Eur/mln)** | **Effect on income statements of<br> increase in DTAs (Eur/mln)** |
| <br>**Inputs** |<br>**Decreases** | **DTAs (Asset<br> item <br> 100 b)** | **Payables to<br> tax <br> consolidation <br> (Liabilitites <br> item 80)** |<br>**Increases** | **DTAs <br> (Asset item <br> 100 b)** | **Payables to <br> tax <br> consolidation <br> (Liabilitites <br> item 80)** |
| Taxable Group income starting from 2028 | -100 mln | -140.1 | 0.0 | +100 mln | 140.1 | 0.0 |
| Discount rate of prospective results | -1% | 152.6 | 0.0 | +1% | -135.6 | 0.0 |
| IRES tax rate | -1% | -83.9 | 0.0 | +1% | 83.9 | 0.0 |

---

Current tax assets

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Prepayments of corporate income tax (IRES and IRAP) | 9202 |  |
| Other tax credits and withholdings | 185930 | 374717 |
| **Gross current tax assets** | **195132** | **374717** |
| Offsetting with current tax liabilities | (92941) | (66349) |
| **Net current tax assets** | **102191** | **308368** |

---

Prepayments refer to consolidated IRES. The Bank did not make any prepayments for additional IRES and IRAP, respectively, because there was no taxable income in the previous year and because the theoretical prepayment was vertically offset against the credit surpluses arising from the 2023 IRAP declaration and from the credit generated by the conversion of the ACE surplus.

"Other tax credits and withholdings" consist of IRES/IRAP credits resulting from prior tax returns which can be used to offset EUR 101.5 mln, income tax credits claimed for refund for EUR 58.4 mln, the remaining portion still to be used of the tax credit arising from DTA transformation (Italian Law no. 214/2011) for EUR 16.4 mln and withholdings incurred totalling EUR 9.6 mln.

Current tax liabilities

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Items/Amounts** | **Booked to net**<br>**equity** | **Booked to**<br>**P&L** |<br> **Total** | **Booked to net**<br>**equity** | **Booked to**<br>**P&L** |<br>**Total** |
| Corporate income tax (IRES IRAP) payables | (1484) | 94426 | 92942 | (14069) | 80418 | 66349 |
| Other current income tax payables |  |  |  |  | 4 | 4 |
| **Gross current tax payables** | **(1484)** | **94426** | **92942** | **(14069)** | **80422** | **66353** |
| Offsetting with current tax asset | (1484) | 94426 | 92942 | (1767) | 68116 | 66349 |
| **Net current tax payables** | **-** | **-** | **-** | **(12302)** | **12306** | **4** |

---

There were no second-pillar current income tax provisions in accordance with Legislative Decree no. 209 of 27 December 2023, which transposed into Italian law Council Directive (EU) 2022/2523 of 15 December 2022, aimed at ensuring a global minimum tax for large multinational and national groups of companies in the European Union. This was consistent with the common international approach shared at the OECD/G20 level, for the reasons explained in the section "Tax position of the Group" in the Consolidated Report on Operations.

855

BANCA MONTE DEI PASCHI DI SIENA

Section 11 - Non-current assets held for sale and disposal groups and associated liabilities - Item 110 (assets) and 70 (liabilities)

11.1 Non-current assets held for sale and disposal groups: breakdown by type of assets

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **31 12 2024** | **31 12 2023** |
| **A. Individual assets** |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Financial assets | 57569 | 457 |
| &nbsp;&nbsp;&nbsp;A.2 Equity investments | 34000 |  |
| &nbsp;&nbsp;&nbsp;A.3 Tangible assets | 15960 | 75775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: obtained through the enforcement of the guarantees received |  |  |
| &nbsp;&nbsp;&nbsp;A.4 Intangible assets |  |  |
| &nbsp;&nbsp;&nbsp;A.5 Other non-current assets |  |  |
| **Total A** | **107529** | **76232** |
| of which valued at cost | 34000 |  |
| of which designated at fair value (level 1) |  |  |
| of which designated at fair value (level 2) |  |  |
| of which designated at fair value (level 3) | 73529 | 76232 |
| **B. Asset groups (discontinued operations)** |  |  |
| **C. Liabilities associated with individual assets held for sale** | **-** | **-** |
| **D. Liabilities associated with discontinued operations** | **-** | **-** |

---

In the line "A.1 Financial Assets" amounting to EUR 57.6 mln: EUR 50.0 mln refers to the shareholdings in the Bank of Italy for which preliminary purchase agreements were signed in December 2024; and EUR 7.6 mln refers to an additional equity security. These transactions are expected to be closed by the first half of 2025.

The line "A.2 Equity investments" amounting to EUR 34.0 mln refers entirely to the investee company Monte Paschi Banque S.A.

The line "A.3 Tangible Assets" amounting to EUR 16.0 mln consists entirely of real estate previously classified as property, plant and equipment held for investment purposes (IAS 40). During 2024, two properties and related artworks (classified under IFRS 5 as at 31 December 2023) were sold to Ardian for a total value of EUR 61.7 mln.

At the reporting date or for the financial year of comparison, there are no equity securities of clearly poor credit quality.

856

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

11.2 Other information

At the reporting date, there is no information to report pursuant to IFRS 5.42. There are also no "Discontinued operations".

Section 12 - Other assets - Item 120

12.1 Other assets: breakdown

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Tax credits from the Revenue and other tax levying authorities | 2039811 | 1869974 |
| Third party cheques held at the cashier's for collection | 3741 | 5673 |
| Cheques drawn on the Company held at the cashier's for collection | 718 | 982 |
| Gold, silver and precious metals | 100441 | 95369 |
| Items in transit between branches | 306 | 2638 |
| Items in processing | 578916 | 714837 |
| Receivables associated with the provision of goods and services | 6506 | 5779 |
| Improvements and incremental costs on third party assets other than those included under tangible assets | 12928 | 15715 |
| Prepaid expenses and accrued income not attributable to other line items | 522415 | 487688 |
| Credits for consolidated income tax return | 10208 | 95 |
| Others | 305845 | 252529 |
| **Total** | **3581835** | **3451279** |

---

The lines "Items in processing" and "Other" include transactions which were cleared in early 2025.

The line "Tax credits from the Revenue and other tax levying authorities" includes EUR 1,804.8 (EUR 1,660.3 mln as at 31 December 2023) pertaining to tax credits, pursuant to the "Rilancio" Italian Law Decree acquired as a result of a transfer by direct beneficiaries or previous purchasers.

The line "Accrued income and prepaid expenses not attributable to its own separate item" includes a total of EUR 216.5 mln (EUR 225.8 mln as at 31 December 2023) as prepaid expenses for back office services outsourced, provided by suppliers continuously over the contract term and financially settled by the Bank with decreasing amounts over time. For further details on the methods for identifying these types of services, please refer to Part A, paragraph "Other Information - Costs for constant services and decreasing payments" of these Notes to the Financial Statements.

The table above does not include cases attributable to the definitions of "contract assets" and "contract liabilities" at either the reporting date or for the comparison financial year, which would require disclosure pursuant to IFRS 15.116 and 118.

857

BANCA MONTE DEI PASCHI DI SIENA

LIABILITIES

Section 1 - Financial liabilities measured at amortised cost - Item 10

1.1 Financial liabilities measured at amortised cost: breakdown of due to banks

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** |
| <br>**Items/accounts** | <br>**Book value** | **Level 1** | **Level 2** | **Level 3** | <br>**Book value** | **Level 1** | **Level 2** | **Level 3** |
| **1. Due to central banks** | **8510879** | **X** | **X** | **X** | **13148229** | **X** | **X** | **X** |
| **2. Due to banks** | **5322104** | **X** | **X** | **X** | **4942288** | **X** | **X** | **X** |
| &nbsp;&nbsp;&nbsp;2.1 Current accounts and demand deposits | 3069246 | X | X | X | 2546250 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.2 Time deposits | 1067546 | X | X | X | 1335244 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.3 Loans | 678703 | X | X | X | 185621 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.3.1 Repurchase agreements | 649658 | X | X | X | 138188 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.3.2 Other | 29045 | X | X | X | 47433 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.4 Liabilities for commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2.5 Debts for leasing |  | X | X | X | 426 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.6 Other liabilities | 506609 | X | X | X | 874747 | X | X | X |
| **Total** | **13832983** | **-** | **13832983** | **-** | **18090517** | **-** | **18090517** | **-** |

---

The balance of the item "Due to central banks" of EUR 8.5 bn (EUR 13.1 bn as at 31 December 2023) refers to funding from the ECB consisting of two short-term loans ("MRO/LTRO"), subscribed for EUR 7.5 bn in two auctions in 2023 and for EUR 1.0 bn in an auction in 2024. The decrease of EUR 5.6 bn compared to the balance as at 31 December 2023 is due to the completion of the TLTRO tranche repayments by June 2024.

Line 2.3.1 "Repurchase agreements" contains the financial liabilities arising from repo transactions with banks on both treasury securities and securities made available through reverse repurchase agreements or securities lending transactions.

858

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

1.2 Financial liabilities measured at amortised cost: breakdown of due to customers

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** |
| <br>**Items/accounts** | <br>**Book value** | **Level 1** | **Level 2** | **Level 3** | <br>**Book value** | **Level 1** | **Level 2** | **Level 3** |
| 1. Current accounts and demand deposits | 63933281 | X | X | X | 62198837 | X | X | X |
| 2. Time deposits | 5336077 | X | X | X | 3942693 | X | X | X |
| 3. Loans | 8717012 | X | X | X | 9063216 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1 Reverse repurchase agreements | 6800066 | X | X | X | 6565131 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2 Others | 1916946 | X | X | X | 2498085 | X | X | X |
| 4. Liabilities for commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| 5. Debts for leasing | 154592 |  |  |  | 167614 |  |  |  |
| 6. Other liabilities | 1304181 | X | X | X | 1113130 | X | X | X |
| **Total** | **79445143** | **-** | **79445143** | **-** | **76485490** | **-** | **76485490** | **-** |

---

1.3 Financial liabilities measured at amortised cost: breakdown of debt securities issued

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| | | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of Securities/ Amounts** | <br>**Book value** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **A. Listed securities** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Bonds | 9802805 | 8687964 | 1437666 |  | 10125630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Structured |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Other | 9802805 | 8687964 | 1437666 |  | 10125630 |
| &nbsp;&nbsp;&nbsp;2. Other securities | 505091 |  | 505091 |  | 505091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Structured |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Other | 505091 | - | 505091 | - | 505091 |
| **Total** | **10307896** | **8687964** | **1942757** | **-** | **10630721** |

---

The table shows funding represented by securities, including bonds and certificates of deposit (outstanding and maturities).

Liabilities are net of bonds and repurchased CDs. In this regard, it should be noted that as at 31 December 2024, as in the previous financial year, the Bank has no outstanding issues with a State guarantee.

The table includes EUR 4,824.6 mln in liabilities subject to fair value micro-hedging (EUR 3,204.5 mln as at 31 December 2023), to hedge interest rate risk.

859

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | **Fair value** |
| <br>**Type of Securities/ Amounts** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **A. Listed securities** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Bonds | 9989737 | 8734996 | 1411629 |  | 10146625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Structured |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Other | 9989737 | 8734996 | 1411629 |  | 10146625 |
| &nbsp;&nbsp;&nbsp;2. Other securities | 136282 |  | 136282 |  | 136282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Structured |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Other | 136282 | - | 136282 |  | 136282 |
| **Total** | **10126019** | **8734996** | **1547911** |  | **10282907** |

---

1.4 Details of subordinated liabilities/securities

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | | | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Type/Item** | <br>**Issue date** | <br>**maturity**<br>**date** | <br>**Early**<br>**termination** | <br>**Grandfathering** | <br>**Currency** | <br>**Rate** | <br>**Step up** | **Nominal**<br>**value** | **Book**<br>**value** | **Nominal**<br>**value** | **Book**<br> **value** |
| Details of deposits from banks - subordinated liabilities |  |  |  |  |  |  |  |  |  |  |  |
| Details of deposits from customers - subordinated liabilities |  |  |  |  |  |  |  |  |  |  |  |
| Details of debt securitied issued subordinated liabilites |  |  |  |  |  |  |  |  |  |  |  |
| Subordinated Bond | 18/01/18 | *18/01/28* | *18/01/23* | *NO* | *Eur* | *5.375% fixed\** | NO | 750000 | 820232 | 750000 | 820993 |
| Subordinated Bond | 23/07/19 | *23/07/29* | *NO* | *NO* | *Eur* | *10.5% fixed* | NO | 300000 | 311797 | 300000 | 311448 |
| Subordinated Bond | 22/01/20 | *22/01/30* | *22/01/25* | *NO* | *Eur* | *8.0% fixed* | NO | 400000 | 428321 | 400000 | 427992 |
| Subordinated Bond | 10/09/20 | *10/09/30* | *10/09/25* | *NO* | *Eur* | *8.5% fixed* | NO | 300000 | 304628 | 300000 | 304179 |
| **Total** |  |  |  |  |  |  |  | **1750000** | **1864978** | **1750000** | **1864611** |

---

\* 5.375% until 18 January 2023, subsequently 5Y EUR mid-swap rate + 5.005%

The subordinated bond with a nominal value of EUR 400 mln was fully repaid in advance on 22 January 2025.

1.5 Details of structured liabilities

This table was not completed as the Bank has no such liabilities to report for either the current or the previous year.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

1.6 Lease payables

---

| | | |
|:---|:---|:---|
| **Type of transaction/Amount** | **31 12 2024** | **31 12 2023** |
| **Leasing debts** | **225010** | **177856** |
| **Payments due included in the lease liabilities not discounted up 5 years** | **189502** | **136808** |
| Up to 1 month | 6424 | 6034 |
| From 1 to 3 months | 4736 | 4460 |
| From 3 months to 1 year | 32240 | 29322 |
| From 1 year to to 5 year | 146101 | 96993 |
| **Total cash flow out for leasing over 5 years** | **35508** | **41047** |

---

The table shows the non-discounted outgoing cash flows for lease liabilities broken down by time bracket.

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BANCA MONTE DEI PASCHI DI SIENA

Section 2 - Financial liabilities held for trading - Item 20

2.1 Financial liabilities held for trading: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| | | **FV** | **FV** | **FV** | **FV** | |
| <br>**Type of transaction/**<br>**Group item** |<br>**NV** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**FV\*** |
| **A. Balance-sheet liabilities** |  |  |  |  |  |  |
| **1. Due to banks** | **100738** | **103991** | **228** | **-** | **104219** | **104219** |
| **2. Due to customers** | **1432539** | **1513726** | **-** | **-** | **1513726** | **1513726** |
| **3. Debt securities issued** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;3.1 Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other |  |  |  |  |  | X |
| **Total A** | **1533277** | **1617717** | **228** | **-** | **1617945** | **1617945** |
| **B. Derivatives** |  |  |  |  |  |  |
| **1. Financial derivatives** |  | **1407** | **907041** | **1515** | **909963** |  |
| &nbsp;&nbsp;&nbsp;1.1 Trading | X | 1407 | 907041 | 1515 | 909963 | X |
| &nbsp;&nbsp;&nbsp;1.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Other | X |  |  |  |  | X |
| **2. Credit derivatives** |  | **-** | **124570** | **-** | **124570** |  |
| &nbsp;&nbsp;&nbsp;2.1 Trading | X |  | 124570 |  | 124570 | X |
| &nbsp;&nbsp;&nbsp;2.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2.3 Other | X |  |  |  |  | X |
| **Total B** | **X** | **1407** | **1031611** | **1515** | **1034533** | **X** |
| **Total (A+B)** | **1533277** | **1619124** | **1031839** | **1515** | **2652478** | **X** |

---

**key**

NV = Nominal or Notional Value

FV = *Fair Value*

FV\* = *Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue*

The criteria adopted for classification of financial instruments in the three levels of the "fair value hierarchy" are reported in Section A.4, "Information on fair value" of Part A, "Accounting policies" of the notes to the financial statements.

The amounts recognised in rows "1. Due to banks" and "2. Due to customers" mostly relate to those contained in rows "1. Debt securities" and "4. Loans" of asset table 2.1 "Financial assets held for trading". Please also note that the sub-items "Due to banks" and "Due to Customers", mentioned above, also incorporate uncovered short positions. They are designated at fair value in line with the method applied for "long" positions.

The fair value shown in the table in line B1.1.1 "Financial derivatives for trading" includes value adjustments owing to changes in the Bank's creditworthiness, Debit Value Adjustment (DVA), amounting to EUR 3.3 mln (EUR 9.3 mln as at 31 December 2023).

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **FV** | **FV** | **FV** | **FV** | |
| <br>**Type of transaction/Group item** |<br>**VN** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**FV\*** |
| **1. Due to banks** | **451366** | **442450** | **-** | **-** | **442450** | **442450** |
| **2. Due to customers** | **1323784** | **1380748** | **-** | **-** | **1380748** | **1380748** |
| **3. Debt securities issued** | **-** | **-** | **-** | **-** | **-** | **-** |
| **3.1 Bonds** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other |  |  |  |  |  | X |
| **Total A** | **1775150** | **1823198** | **-** | **-** | **1823198** | **1823198** |
| **B. Derivatives** |  |  |  |  |  |  |
| **1. Financial derivatives** |  | **-** | **987654** | **2868** | **990522** |  |
| &nbsp;&nbsp;&nbsp;1.1 Trading | X |  | 987654 | 2868 | 990522 | X |
| &nbsp;&nbsp;&nbsp;1.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Other | X |  |  |  |  | X |
| **2. Credit derivatives** |  | **-** | **92020** | **-** | **92020** |  |
| &nbsp;&nbsp;&nbsp;2.1 Trading | X |  | 92020 |  | 92020 | X |
| &nbsp;&nbsp;&nbsp;2.2 Fair value option (FVO) | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2.3 Other | X |  |  |  |  | X |
| **Total B** | **X** | **-** | **1079674** | **2868** | **1082542** | **X** |
| **Total (A+B)** | **1.775.150** | **1.823.198** | **1.079.674** | **2.868** | **2.905.740** | **X** |

---

**key**

NV = Nominal or Notional Value

FV = *Fair Value*

FV\* = *Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue*

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BANCA MONTE DEI PASCHI DI SIENA

2.2 Details of item 20 "Financial liabilities held for trading": subordinated liabilities

This table was not completed as the Bank has no such liabilities to report for either the current year or the comparative period.

2.3 Details of item 20 "Financial liabilities held for trading": structured liabilities

This table was not completed as the Bank has no such liabilities to report for either the current year or the comparative period.

Section 3 - Financial liabilities measured at fair value - Item 30

3.1 Financial liabilities measured at fair value breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| | | **FV** | **FV** | **FV** | **FV** | |
| <br>**Type of transaction / Amount** |<br>**NV** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**FV\*** |
| 1. Deposits from banks |  |  |  |  |  |  |
| 2. Deposits from customers |  |  |  |  |  |  |
| 3. Debt securities issued | 70441 |  | 119670 |  | 119670 | 127005 |
| &nbsp;&nbsp;&nbsp;3.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 70441 |  | 119670 |  | 119670 | X |
| **Total** | **70441** |  | **119670** |  | **119670** | **127005** |

---

**key** 

NV = Nominal or Notional Value

FV = *Fair Value*

FV\* = *Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue*

The table shows the financial liabilities represented by fixed-rate and structured bonds which have been classified at fair value and are subject to hedging. Hedging occurs through derivative contracts and is used to cover the risk of interest rate fluctuations and the risk resulting from embedded options.

In the income statement, positive and negative spreads or margins relative to derivative contracts until the reporting date are recognised as interest income and expense, while valuation profits and losses are posted under item "80 - Net profit (loss) from trading". Profit/loss from financial liabilities measured at fair value is recognised:

· among
 other revenue items without reversal to the income statement for the amount referring to
 changes in own creditworthiness;

· in
 item 110 "Net profit (loss) from other financial assets and liabilities measured at
 fair value through profit or loss" for the residual portion of the fair value change.

The above recognition method does not create nor expand accounting asymmetry in the profit (loss) for the year, as the effects of changes in the credit risk of the Bank's liabilities are not offset in profit or loss by a change in the fair value of another financial instrument measured at fair value through profit or loss for the year.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | | **FV** | **FV** | **FV** | **FV** | |
| <br>**Type of transaction / Amount** |<br>**NV** | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**FV\*** |
| 1. Deposits from banks |  |  |  |  |  |  |
| 2. Deposits from customers |  |  |  |  |  |  |
| 3. Debt securities issued | 70441 |  | 111325 |  | 111325 | 123789 |
| &nbsp;&nbsp;&nbsp;3.1 Structured |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 70441 |  | 111325 |  | 111325 | X |
| **Total** | **70441** |  | **111325** |  | **111325** | **123789** |

---

**key**

NV = Nominal or Notional Value

FV = *Fair Value*

FV\* = *Fair value calculated excluding value adjustments due to variations in the credit rating of the issuer since the date of issue*

*3.1.a Financial liabilities designated at fair value: fair value option approach*

All liabilities for which the fair value option was adopted refer to natural hedges through debt security derivatives for a book value of EUR 119.7 mln (EUR 111.3 mln as at 31 December 2023).

*3.1.b Financial liabilities measured at fair value: structured debt securities*

This statement is not completed because for both the current year and the comparative year, the Bank has no structured bonds issued and subject to fair value measurement.

3.2 Details of "Financial liabilities measured at fair value": subordinated liabilities

This table was not completed as the Bank has no such liabilities to report for either the current or the previous year.

865

BANCA MONTE DEI PASCHI DI SIENA

Section 4 - Hedging derivatives - Item 40

4.1 Hedging derivatives breakdown by type of contract and underlying asset

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | **Fair value 31 12 2024** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**NV** |
| **A. Financial derivatives** |  | **346337** |  | **346337** | **10869343** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 346337 |  | 346337 | 10869343 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** |  | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | - |  | - | - |
| **Total** |  | **346337** |  | **346337** | **10869343** |

---

**key**

NV = Nominal or Notional Value

The table displays the negative book value (fair value) of hedging derivatives for hedges carried out through hedge accounting.

Information on the underlying strategies and objectives of hedge transactions can be found in the Section 2 - Market risks in Part E - Information on risks and hedging policies.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | **Fair value 31 12 2023** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Total** |<br>**NV** |
| **A. Financial derivatives** |  | **321090** |  | **321090** | **3352076** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  | 321090 |  | 321090 | 3352076 |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |
| **B. Credit derivatives** |  | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flows |  | - |  | - | - |
| **Total** |  | **321090** |  | **321090** | **3352076** |

---

**key**

NV = Nominal or Notional Value

866

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flow Hedge** | **Cash flow Hedge** | | |
| | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | | | | | |
| <br>**Transaction/Type of hedge** | **Debt**<br>**securities**<br>**and interest**<br>**rate** | **Equity**<br>**instruments**<br>**and stock**<br>**indicies** | <br>**Currencies**<br>**and gold** | <br>**Credit** | <br>**Goods** | <br>**Others** | <br>**Macro-hedge** | <br>**Micro-hedge** | <br>**Macro-hedge** | <br>**Foreign** <br>**investments** | <br>**Total** <br>**31 12 2024** |
| 1. Financial assets measured at fair value through other comprehensive income | 72 |  |  |  | X | X | X |  | X | X | 72 |
| 2. Financial assets measured at amortised cost | 239452 | X | 74352 |  | X | X | X |  | X | X | 313804 |
| 3. Portfolio | X | X | X | X | X | X | 32461 | X |  | X | 32461 |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |  |
| **Total assets** | **239524** | **-** | **74352** | **-** | **-** | **-** | **32461** | **-** | **-** | **-** | **346337** |
| 1. Financial liabilities |  | X |  |  |  |  | X |  | X | X |  |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |  |
| **Total liabilities** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| 1. Expected transactions | X | X | X | X | X | X | X |  | X | X |  |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X | - | X | - | - | - |
| **Total** | **239524** | **-** | **74352** | **-** | **-** | **-** | **32461** | **-** | **-** | **-** | **346337** |

---

The tables show the negative fair values of hedging derivatives, classified by hedged assets or liabilities and type of hedging implemented.

In particular, on the assets side, fair value micro-hedging was used to hedge against interest rate risk on bonds classified in the portfolio "Financial assets measured at fair value through other comprehensive income" and on securities and loans classified in the portfolio "Financial assets measured at amortised cost", in order to protect them from unfavourable interest rate changes. Fair value macro-hedging was carried out on fixed rate and cap/floor floating rate mortgage loan portfolios.

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BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flow Hedge** | **Cash flow Hedge** | | |
| | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | **Micro Hedge** | | | | | |
| <br>**Transaction/Type of hedge** | **Debt**<br>**securities**<br>**and interest**<br>**rate** | **Equity**<br>**instruments**<br>**and stock**<br>**indicies** | <br>**Currencies**<br>**and gold** | <br>**Credit** | <br>**Goods** | <br>**Others** | <br>**Macro-hedge** | <br>**Micro-hedge** | <br>**Macro-hedge** | <br>**Foreign**<br>**investments** | <br>**Total**<br>**31 12 2023** |
| 1. Financial assets measured at fair value through other comprehensive income | 382 |  |  |  | X | X | X |  | X | X | 382 |
| 2. Financial assets measured at amortised cost | 244676 | X | 42905 |  | X | X | X |  | X | X | 287581 |
| 3. Portfolio | X | X | X | X | X | X | 33127 | X |  | X | 33127 |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |  |
| **Total assets** | **245058** | **-** | **42905** | **-** | **-** | **-** | **33127** | **-** | **-** | **-** | **321090** |
| 1. Financial liabilities |  | X |  |  |  |  | X |  | X | X |  |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |  |
| **Total liabilities** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| 1. Expected transactions | X | X | X | X | X | X | X |  | X | X |  |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X | - | X | - | - | - |
| **Total** | **245058** | **-** | **42905** | **-** | **-** | **-** | **33127** | **-** | **-** | **-** | **321090** |

---

Section 5 - Change in value of macro-hedged financial assets - Item 50

5.1 Change in value of hedged liabilities: breakdown by hedged portfolios

---

| | | |
|:---|:---|:---|
| <br>**Change in value of macro-hedged financial liabilities/ Values** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1. Positive fair value change of financial liabilities |  |  |
| 2. Negative fair value change of financial liabilities | (692) | (16081) |
| **Total** | **(692)** | **(16081)** |

---

The balance of changes in value of the liabilities subject to macro-hedging of interest rate risk is recognised in this item. More specifically, the hedge covers a fixed-rate deposit.

Section 6 – Tax liabilities – Item 60

For comments on tax liabilities, reference should be made to "Section 10 - Tax assets and tax liabilities" of the balance sheet assets.

Section 7 – Liabilities associated with disposal groups– Item 70

For the details of the liabilities associated with assets held for sale, please refer to "Section 11 - Non-current assets and disposal groups and associated liabilities" under balance sheet assets.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

Section 8 – Other liabilities – Item 80

8.1 Other liabilities: breakdown

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Due to the Revenue and other tax levying authorities | 239375 | 212724 |
| Due to social security authorities | 527921 | 739130 |
| Amounts available to customers | 81089 | 95871 |
| Other amounts due to employees | 15834 | 9160 |
| Items in transit between brances | 2558 | 6736 |
| Items in processing | 545447 | 946361 |
| Payables in relation to the payment of supplies of goods and services | 175896 | 183607 |
| Accrued expenses and unearned revenues not attributable to other line items | 26202 | 38764 |
| Payables for consolidated income tax return | 2890 | 3472 |
| Other | 1451956 | 954371 |
| **Total** | **3069168** | **3190196** |

---

Sub-items "Items in processing" and "Other" include transactions which were cleared during the first days of 2025.

The amount recognised under the sub-item "Payables to social security institutions" includes the funding of EUR 478.9 mln in favour of the Solidarity Fund, net of the payment of the related contribution portion, made by the Bank for the management of staff reduction.

For the disclosures pursuant to IFRS 15.116 and IFRS 15.118, please refer to section 12 of the assets.

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BANCA MONTE DEI PASCHI DI SIENA

Section 9 – Provision for employee severance pay – Item 90

9.1 Provision for employee severance pay: annual changes

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Opening balance** | **68936** | **66238** |
| **B. Increases** | **2378** | **5651** |
| &nbsp;&nbsp;&nbsp;B.1 Provision for the year | 2349 | 2689 |
| &nbsp;&nbsp;&nbsp;B.2 Other increases | 29 | 2962 |
| **C. Decreases** | **1984** | **2953** |
| &nbsp;&nbsp;&nbsp;C.1 Severance payments | 1690 | 2641 |
| &nbsp;&nbsp;&nbsp;C.2 Other decreases | 294 | 312 |
| **D. Closing balance** | **69330** | **68936** |

---

9.2 Other information

Employee severance pay is defined as a "defined benefit plan", in accordance with international accounting standards.

In accordance with the provisions of art. 2120 of the Italian Civil Code, employee termination pay would amount to EUR 71.4 mln.

The provision for the year, as clarified by the Bank of Italy, does not include amounts which, as a result of the reform introduced by Italian Legislative Decree no. 252 of 5 December 2005, are paid directly by the Bank, depending on the various employee options, to complementary pension schemes or to the treasury fund managed directly by the Italian National Social Security Institute (INPS).These items are recognised in personnel expenses, as "contributions to external pension funds: defined contribution".

*9.2.a Changes in net defined benefit liabilities during the year: Severance pay*

The table below provides the information required by paragraphs 140 and 141 of IAS 19.

---

| | | |
|:---|:---|:---|
| | **Present value of DBO** | **Present value of DBO** |
| <br>**Item/Amount** | **31 12 2024** | **31 12 2023** |
| **Opening balance** | **68936** | **66238** |
| Current service cost |  |  |
| Interest income/expense | 2349 | 2689 |
| Remeasurement of net defined benefit liability (asset): | 29 | 1972 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions |  | (1) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from experience adjustments | (493) | (273) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | 522 | 2246 |
| Payments from plan | (1690) | (2641) |
| Other changes | (294) | 678 |
| **Closing balance** | **69330** | **68936** |

---

870

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*9.2.b Key actuarial assumptions used*

---

| | | |
|:---|:---|:---|
| **Key actuarial assumptions/percentage** | **31 12 2024** | **31 12 2023** |
| Discount rates | 2.99% | 3.02% |
| Expected average revaluation rate | 2.00% | 2.00% |

---

The actuarial valuation of employee severance pay was carried out by an independent actuary using the projected unit credit method (also known as the accrued benefit method) under IAS 19.The valuations relied on the following main demographic assumptions: probability of death of beneficiaries (according to ISTAT 2022 mortality tables, subsequently reduced by 20%); probability of exiting the workforce for causes other than death (1.10%); and probability of early severance payout (2.00%). The table below summarises the main economic and financial assumptions on which the analysis is based – namely, the discount rate and the expected average revaluation rate. The discount rate was determined by interpolating the AA-rated EUR composite curve as at the valuation date. This curve is based on the yields of AA-rated securities issued by corporate issuers operating in the Euro area across various sectors including the Utility, Telephone, Financial, Banking and Industrial sectors. The inflation rate, which is needed to revalue the amounts allocated to the severance scheme, was taken from the "Medium-term structural budget plan, Italy 2025–2029" of 27 September 2024 (future inflation is expected to average 1.80% per annum for the years 2025–2027, 1.90% for the year 2028, and 2.00% for subsequent years).

*9.2.c Sensitivity of defined benefit obligation of severance pay to changes in key actuarial assumptions*

As required by IAS 19, the sensitivity of the severance pay obligation was tested based on the assumption that the discount rate and the revaluation rate would increase or decrese by 25 bps.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Actuarial assumptions** | **Change in DBO** | **Change (%) in<br> DBO** | **Change in DBO** | **Change (%) in<br> DBO** |
| Discount rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Increase of 0.25% | (1244) | -1.79% | (1236) | -1.79% |
| &nbsp;&nbsp;&nbsp;Decrease of 0.25% | 1216 | 1.75% | 1210 | 1.75% |
| Expected average revaluation rate |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Increase of 0.25% | 739 | 1% | 736 | 1% |
| &nbsp;&nbsp;&nbsp;Decrease of 0.25% | (743) | -1% | (738) | -1% |

---

871

BANCA MONTE DEI PASCHI DI SIENA

Section 10 – Provisions for risks and charges – Item 100

10.1 Provisions for risks and charges: breakdown

---

| | | |
|:---|:---|:---|
| **Item/Amount** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| 1. Provisions for credit risk on commitments and financial guarantees issued | 149622 | 153460 |
| 2. Provisions for other commitments and guarantee issued |  |  |
| 3. Post employment benefits | 3255 | 3381 |
| 4. Other provisions for risks and charges | 766928 | 808446 |
| &nbsp;&nbsp;&nbsp;4.1 legal disputes | 467692 | 463656 |
| &nbsp;&nbsp;&nbsp;4.2 personnel charges | 43227 | 66027 |
| &nbsp;&nbsp;&nbsp;4.3 other | 256009 | 278762 |
| **Total** | **919804** | **965285** |

---

For further details of the sub-item 4.3 "others", please refer to table 10.6 below "Provisions for risks and charges - Other provisions".

10.2 Provisions for risks and charges: annual changes

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| <br>**Item/Amount** | **Provisions for other**<br>**commitments and**<br>**guarantee issued** |<br>**Post employment**<br>**benefits** | **Other Provisions**<br>**for risks and**<br>**charges** |<br>**Total** |
| **A. Opening balance** |  | **3381** | **808446** | **811827** |
| **B. Increases** |  | **2232** | **209319** | **211551** |
| &nbsp;&nbsp;&nbsp;B.1 Provision in the year |  | 110 | 189804 | 189914 |
| &nbsp;&nbsp;&nbsp;B.2 Changes due to the time value of money |  |  | 18091 | 18091 |
| &nbsp;&nbsp;&nbsp;B.3 Changes due to discount rate variation |  |  | 1424 | 1424 |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  | 2122 |  | 2122 |
| **C. Decreases** |  | **2358** | **250837** | **253195** |
| &nbsp;&nbsp;&nbsp;C.1 Use during the year |  | 460 | 160247 | 160707 |
| &nbsp;&nbsp;&nbsp;C.2 Changes due to discount rate changes |  | 1898 | 1148 | 3046 |
| &nbsp;&nbsp;&nbsp;C.3 Other decreases |  | 0 | 89442 | 89442 |
| **D. Closing balance** |  | **3255** | **766928** | **770183** |

---

872

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.2-bis Provisions for risks and charges: annual changes*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** |
| <br>**Item/Amount** | **Provisions for legal**<br>**disputes** | **Provisions for**<br>**personnel charges** |<br>**Others Provisions** |<br>**Total** |
| **A. Opening balance** | **463656** | **66027** | **278762** | **808446** |
| **B. Increases** | **127088** | **33166** | **49064** | **209318** |
| &nbsp;&nbsp;&nbsp;B.1 Provision in the year | 111434 | 32313 | 46057 | 189804 |
| &nbsp;&nbsp;&nbsp;B.2 Changes due to the time value of money | 14259 | 847 | 2985 | 18091 |
| &nbsp;&nbsp;&nbsp;B.3 Changes due to discount rate variation | 1395 | 6 | 22 | 1423 |
| &nbsp;&nbsp;&nbsp;B.4 Other increases |  |  |  |  |
| **C. Decreases** | **123052** | **55966** | **71817** | **250835** |
| &nbsp;&nbsp;&nbsp;C.1 Use during the year | 52120 | 53781 | 54347 | 160248 |
| &nbsp;&nbsp;&nbsp;C.2 Changes due to discount rate changes | 717 | 118 | 313 | 1148 |
| &nbsp;&nbsp;&nbsp;C.3 Other decreases | 70215 | 2067 | 17157 | 89439 |
| **D. Closing balance** | **467692** | **43227** | **256009** | **766928** |

---

For further details, please refer to Section 5 "Operational risks" of Part E of the Notes to the Financial Statements.

10.3 Provisions for credit risk relative to commitments and financial guarantees issued

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Provisions for credit risk on commitments and financial guarantees issued** | **Provisions for credit risk on commitments and financial guarantees issued** | **Provisions for credit risk on commitments and financial guarantees issued** | **Provisions for credit risk on commitments and financial guarantees issued** | **Provisions for credit risk on commitments and financial guarantees issued** |
|  |<br>**Stage 1** |<br>**Stage 2** |<br>**Stage 3** | **Purchased or**<br>**originated credit**<br>**impaired** |<br>**Total** |
| Commitments to disburse funds | 5391 | 15089 |  |  | 20480 |
| Financial guarantees issued | 6983 | 5835 | 108242 | 8082 | 129142 |
| **Total 31 12 2024** | **12374** | **20924** | **108242** | **8082** | **149622** |
| **Total 31 12 2023** | **16483** | **16221** | **113350** | **7406** | **153460** |

---

10.4 Provisions on other commitments and guarantees given

As at 31 December 2024, the Bank does not have any provisions for these types of commitments and guarantees (un-changed from 31 December 2023).

873

BANCA MONTE DEI PASCHI DI SIENA

10.5 Defined benefit company pension funds

10.5.1. Description of funds and related risks

The information provided below concerns defined benefit pension funds in favour of employees and terminated employees of the Bank and the Group companies, i.e. funds in which the obligation of future payment of retirement benefits is undertaken by the funds and indirectly by the Bank, which may be called upon to increase the value of the obligation in the event of inadequate capital assessed in accordance with actuarial criteria.

For each defined benefit plan the Bank relies on analyses carried out by an independent certified actuary.

In accounting for plans, the determination of the surplus or deficit is estimated through the use of the actuarial methodology of the "projected unit credit method"; therefore, the fair value of the plan assets, if any, was deducted from the current value of the obligation, as shown in the statement of financial position. For more information, see Part A of these Notes to the financial statements.

The valuations concerned the participating employees, whether retired or active (who form a closed group) at the date of valuation, and were carried out on the basis of these groups of employees as measured in December 2024.

In accordance with IAS 19, in determining the total cost of each defined benefit plan, which - as is well-known - may be influenced by many variables, objective and prudential technical bases were adopted in formulating both demographic and financial assumptions.

In view of the evolutionary nature of the main relevant aggregates, actuarial valuations were performed under dynamic conditions, so as to subsume in the medium-long term both the average annual changes in the benefits defined in each plan, and the interest rate trends expected in the financial markets.

Some of the main actuarial assumptions that were formulated and used as valuation bases are mentioned below:

&nbsp;&nbsp;&nbsp;&nbsp;· technical
 mortality basis: using death probability data as provided in ISTAT's 2022 tables, broken
 down by gender and age, with mortality reduced by 30% for the funds and by 25% for the "Cassa
 di Previdenza Aziendale" [Pension Fund] for the staff of Monte dei Paschi di Siena
 based on longevity risk;

· economic-financial
 basis: using as annual relative interest rate the interpolated EUR Composite AA rate curve
 as at 31 December 2024.

For each defined benefit plan, the balance sheet equity resulting from valuations carried after reconciliation of actuarial assets and liabilities as at 31 December 2024 underwent a sensitivity analysis to examine the effects of changes in the key technical assumptions included in the calculation model (average annual discount rate and inflation rate), and the results were presented in specific tables.

The defined benefit funds, in which the Bank is co-obliged within the limits set out in the by-laws or in the regulations of each fund, are independent external funds.

The 2023 merger of defined benefit pension schemes within section B of the Monte dei Paschi di Siena Pension Fund does not alter the Bank's pension obligations. Therefore, the Bank recognises a net liability where there is an equity deficit in the MPS Fund and a net asset where there is a surplus.

*Monte dei Paschi di Siena Pension Fund*

*(Bank Register no. 1643)*

The Fund has legal status and full independence in terms of capital and operation.

The Fund's governance consists of a Board of Directors and a Board of Statutory Auditors with joint membership (some of the members are appointed by the Bank and others are appointed by the participants) supported by the General Manager.

The Bank provides, free of charge, the employees, premises and other resources required for the autonomous management of the Fund and incurs all the related costs and expenses, including those for the functioning of the governing and control bodies.

The Fund, albeit in its subjective unitary nature, is divided into two separate Sections for accounting and equity purposes: Section A, defined contribution with individual capitalisation, which operates according to criteria of correspondence between accumulation and benefits; Section B, defined benefit or collective capitalisation, to which the assets pertaining to the former defined benefit funds are allocated.

874

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

In terms of guarantees given, in accordance with Article 42 of the By-laws, any shortfall in the cover capital of Section B that may emerge from the periodic audits will be settled by the Bank in relation to the joint guarantee towards members and third parties assumed by the Bank itself.

The assets that make up the reference assets are managed in a separate section set up for this purpose.

The technical financial statements prepared according to IAS 19 by the appointed actuary shows the capital adequacy of Section B.

Section B of the Fund are one and undivided and continues to pay out benefits without interruption in accordance with the regulations and Articles of Association of the former funds merged into it.. While each benefit is specifically defined according to its rules, each benefit is drawn from the common assets of Section B.

For each of the former defined benefit funds merged into Section B of the Monte dei Paschi di Siena Pension Fund, the table below summarises the populations (Retired, Active and Deferred), defined benefit obligations, asset fair value and possible surplus as at 31 December 2024.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | <br>**Retired** | <br>**Active** | <br>**Deferred** | **Asset Fair**<br>**Value**<br>**(Eur/mln)** | **Defined Benefit**<br>**Obligation**<br>**(mln di euro)** | <br>**Surplus**<br>**(mln di euro)** |
| Supplementary pension provision for staff in the former tax collection division of Banca Monte dei Paschi di Siena S.p.A (Register no. 9185) | 255 |  |  |  | 11.04 |  |
| Treatment of INPS (Italian state pension Institute) performance for former Banca Operaia di Bologna staff (Bank Register no.9142) | 60 |  |  |  | 4.04 |  |
| Pension provision for employees of former Banca di Credito Popolare e Cooperativo di Reggio Emilia (Bank Register no.9178) | 5 |  |  |  | 0.40 |  |
| Pension provision for employees of former Banca PopolareVeneta (Bank Register no. 9066). | 8 |  |  |  | 0.13 |  |
| Pension fund for MPS Capital Services Banca per le Imprese S.p.A. (Registerno.9134) | 25 |  |  |  | 1.46 |  |
| Pension provision for employees of former Banca Nazionale Agricoltura(Bank Register no. 9047) | 165 |  | 3 |  | 5.93 |  |
| Complementary pension provision for employees of former Banca Toscana (Bank Register no. 9110) | 618 | 3 |  |  | 48.08 |  |
| Pension Fund for personnel of former Banca Agricola Mantovana S.p.A (Bank Register no. 1341) | 25 |  |  |  | 0.50 |  |
| Pension Fund for personnel of former Banca Antonveneta S.p.a. (Register no. 1033 | 23 | - | - |  | 1.11 |  |
| **TOTAL** | **1184** | **3** | **3** | **85.56** | **72.69** | **12.87** |

---

875

BANCA MONTE DEI PASCHI DI SIENA

*Company pension fund for personnel of Monte dei Paschi di Siena*

 

*(Bank Register no. 1127)*

The Fund has legal status and full independence in terms of capital and operation.

It is reserved to employees and retirees of the Bank hired up to 31 December 1990 who, following the agreement of 30 June 1989, opted to remain in the specific supplementary benefit Section under a defined benefit regime.

The Fund's governance consists of a Board of Directors and a Board of Statutory Auditors with joint membership (some of the members are appointed by the Bank and others are appointed by the participants) supported by the General Manager.

The Bank provides, free of charge, the employees, premises and other resources required for the autonomous management of the Cassa and incurs all the related costs and expenses, including those for the functioning of the governing and control bodies.

In terms of guarantees given, in accordance with art. 26 of the Articles of Association, any deficits in Section coverage which should be identified during actuarial checks will be made up by the Bank only to the extent necessary to maintain tier 1 services, in accordance with the guarantee to the participants undertaken in compliance with Italian Law no. 218/90 and referred to in the agreement of 24 June 1991.

The supplementary benefits, which are determined by subtracting the benefits paid out by INPS from the annual amount of the supplementary benefits, are made up of two components. The first component increases the benefits to be paid by the Cassa up to 70% of the fixed items of the salary of an employee of the same level, and the second component increases the supplementary benefits by a further 9%.

The assets that comprise the reference capital consist primarily of investments in securities, managed almost entirely under a financial management agreement, and properties.

The beneficiary population is composed of 2,106 retirees, 86 active employees and 16 employees on deferred retirement.

The technical report prepared in accordance with IAS 19 by the designated actuary shows the capital adequacy of the Supplementary Section with an asset fair value - calculated based on the last available value (30 November 2024) – of EUR 246.62 mln against a defined benefit obligation (DBO) as at 31 December 2024 of EUR 54.64 mln.

• ••

The defined benefit pension fund for personnel of the London branch (BMPS UK Pension Fund) is designed to pay for the employees' benefits upon reaching normal retirement age as well as benefits to other surviving beneficiaries. The pension plan is administered by a Trustee, whose members also include active employees; the financial resources are managed by a specialised company. The technical report prepared in accordance with IAS 19 criteria by the designated actuary at the valuation date of 31 December 2024 shows the capital adequacy of the plan, with a DBO (Defined Benefit Obligation) of EUR 40.39 mln against an asset fair value of EUR 33.17 mln.

• ••

With reference to supplementary benefits associated with the former Credito Lombardo S.p.A, considering the contractual nature of the obligation, the economic costs are incurred directly by the Bank. The currently limited population eligible for benefits includes a total of 66 immediate pensions, of which 44 direct and 22 indirect. The actuarial calculations show a DBO (Defined Benefit Obligation) of EUR 1.34 mln at the valuation date of 31 December 2024.

Finally, there is one position referring to a former General Manager of the Bank to whom specific economic benefits other than pension benefits are disbursed. In any event, they are assessed on the basis of actuarial parameters in order to determine the value of the Bank's obligation. This type of remuneration, specified contractually, consists in the payment of monthly benefits revalued on the basis of automatic pension equalisation indexes.

876

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.5.2 Changes in net defined liability (asset) and reimbursement rights during the financial year*

The following tables show movements for the financial year in internal and external funds which, according to international accounting standards, come under the heading of defined benefit funds.

*10.5.2a Changes in net defined liability (asset) and reimbursement rights during the year: Internal Funds*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| <br>**Item/Amount** |<br>**A (-)**<br>**Plan assets** | **B (+)**<br>**Present value of**<br>**DBO** | **C (+)**<br>**Effect of asset**<br>**ceiling** | **D=A+B+C**<br>**Net defined benefit**<br>**liability (asset)** |
| **Opening balance** | **-** | **3381** | **-** | **3381** |
| Current service cost | X |  | X |  |
| Interest income/expense |  | 110 |  | 110 |
| Remeasurement of net defined benefit liability (asset): |  | 224 |  | 224 |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest |  | X | X |  |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions | X |  | X |  |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from experience adjustments | X | 147 | X | 147 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | 77 | X | 77 |
| &nbsp;&nbsp;&nbsp;Changes in effect of limiting net defined benefit asset to asset ceiling | X | X |  |  |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates |  |  |  |  |
| Contributions to plan: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;by employer |  |  | X |  |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan |  | (460) | X | (460) |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | - | - | - | - |
| **Closing balance** | **-** | **3255** | **-** | **3255** |

---

The net defined benefits liability reported in the "Opening balance" line is attributable to the previously existing Credito Lombardo S.p.A. and Provveditore funds, which were excluded from the 2023 merger of internal funded and unfunded funds into section B of the MPS Pension Fund.

877

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Item/Amount** |<br>**A (-)**<br>**Plan assets** | **B (+)**<br>**Present value of**<br>**DBO** | **C (+)**<br>**Effect of asset**<br>**ceiling** | **D=A+B+C**<br>**Net defined benefit**<br>**liability (asset)** |
| **Opening balance** | **(82482)** | **91538** | **14366** | **23422** |
| Current service cost | X |  | X |  |
| Interest income/expense |  | 70 |  | 70 |
| Remeasurement of net defined benefit liability (asset): |  | 22 |  | 22 |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest |  | X | X |  |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions | X | (81) | X | (81) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from experience adjustments | X | 183 | X | 183 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | (80) | X | (80) |
| &nbsp;&nbsp;&nbsp;Changes in effect of limiting net defined benefit asset to asset ceiling | X | X |  |  |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates |  |  |  |  |
| Contributions to plan: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;by employer |  |  | X |  |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan |  | (470) | X | (470) |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | 82482 | (87779) | (14366) | (19663) |
| **Closing balance** | **-** | **3381** | **-** | **3381** |

---

878

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.5.2b Changes in net defined liability (asset) and reimbursement rights during the year: External Funds*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| <br>**Item/Amount** |<br>**A (-)**<br>**Plan assets** | **B (+)**<br>**Present value of**<br>**DBO** | **C (+)**<br>**Effect of asset**<br>**ceiling** | **D=A+B+C**<br>**Net defined benefit**<br>**liability (asset)** |
| **Opening balance** | **(379868)** | **170289** | **209579** | **-** |
| Current service cost | X |  | X |  |
| Interest income/expense | (17694) | 5689 | 12005 |  |
| Remeasurement of net defined benefit liability (asset): | 9995 | (570) | (9425) |  |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest | 9995 | X | X | 9995 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions | X | 2 | X | 2 |
| &nbsp;&nbsp;&nbsp;Actuarily gains (losses) arising from experience adjustments | X | 1402 | X | 1402 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | (1974) | X | (1974) |
| &nbsp;&nbsp;&nbsp;Change in effect of limiting net defined benefit asset to asset ceiling | X | X | (9425) | (9425) |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates | (2101) | 1679 | 422 |  |
| Contributions to plan: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;by employer |  |  | X |  |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan | 16586 | (16586) | X |  |
| Effect of business combinations and disposals |  |  |  |  |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | 514 | - | (514) | - |
| **Closing balance** | **(372568)** | **160501** | **212067** | **-** |

---

879

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Item/Amount** |<br>**A (-)**<br>**Plan assets** | **B (+)**<br>**Present value of**<br>**DBO** | **C (+)**<br>**Effect of asset**<br>**ceiling** | **D=A+B+C**<br>**Net defined benefit**<br>**liability (asset)** |
| **Opening balance** | **(303433)** | **109964** | **193562** | **93** |
| Current service cost | X |  | X |  |
| Interest income/expense | (16503) | 8194 | 8309 |  |
| Remeasurement of net defined benefit liability (asset): | 21577 | (22928) | (7240) | (8591) |
| &nbsp;&nbsp;&nbsp;Return on plan assets excluding interest | 21577 | X | X | 21577 |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in demographic assumptions | X | (9881) | X | (9881) |
| &nbsp;&nbsp;&nbsp;Actuarily gains (losses) arising from experience adjustments | X | (12535) | X | (12535) |
| &nbsp;&nbsp;&nbsp;Actuarial gains (losses) arising from changes in financial assumptions | X | (512) | X | (512) |
| &nbsp;&nbsp;&nbsp;Change in effect of limiting net defined benefit asset to asset ceiling | X | X | (7240) | (7240) |
| Past service cost and gains (losses) arising from settlements | X |  | X |  |
| Changes in foreign exchange rates | (866) | 709 | 157 |  |
| Contributions to plan: | (97657) |  |  | (97657) |
| &nbsp;&nbsp;&nbsp;by employer | (97657) |  | X | (97657) |
| &nbsp;&nbsp;&nbsp;by employee |  |  | X |  |
| Payments from plan | 16505 | (16505) | X |  |
| Effect of business combinations and disposals |  | 3077 |  | 3077 |
| Effect of any plan curtailments |  |  | X |  |
| Effect of any plan settlements |  |  | X |  |
| Other changes | 509 | 87778 | 14791 | 103078 |
| **Closing balance** | **(379868)** | **170289** | **209579** | **-** |

---

*10.5.2c Changes in net defined liability (asset) and reimbursement rights during the year: total*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| <br>**Item/Amount** |<br>**A (-)**<br>**Plan assets** | **B (+)**<br>**Present value of**<br>**DBO** | **C (+)**<br>**Effect of asset**<br>**ceiling** | **D=A+B+C**<br>**Net defined benefit**<br>**liability (asset)** |
| Internal funds |  | 3255 |  | 3255 |
| External funds | (372568) | 160501 | 212067 | - |
| **Total defined benefit funds** | **(372568)** | **163756** | **212067** | **3255** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Item/Amount** |<br>**A (-)**<br>**Plan assets** | **B (+)**<br>**Present value of**<br>**DBO** | **C (+)**<br>**Effect of asset**<br>**ceiling** | **D=A+B+C**<br>**Net defined benefit**<br>**liability (asset)** |
| Internal funds |  | 3381 |  | 3381 |
| External funds | (379868) | 170289 | 209579 | - |
| **Total defined benefit funds** | **(379868)** | **173670** | **209579** | **3381** |

---

880

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.5.3 Information on the fair value of plan assets*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| | **Internal pension plans** | **Internal pension plans** | **External pension plans** | **External pension plans** |
| <br>**Item** | **Listed in active**<br>**markets** | **Not listed in active**<br>**markets** | **Listed in active**<br>**markets** | **Not listed in active**<br>**markets** |
| Cash and cash equivalents |  |  | 109150 |  |
| of which: used by the Bank |  |  |  |  |
| Equity instruments |  |  | 37191 |  |
| of which: used by the Bank |  |  |  |  |
| Debt instruments |  |  | 143729 |  |
| of which: used by the Bank |  |  |  |  |
| Real estate |  |  |  | 36224 |
| of which: used by the Bank |  |  |  |  |
| Derivatives |  |  |  |  |
| UCITS |  |  | 46274 |  |
| Asset-backed securities |  |  |  |  |
| Structured debt |  |  | - | - |
| **Total** |  |  | **336344** | **36224** |
| of wich: |  |  |  |  |
| own instruments/assets used by the Bank |  |  |  |  |

---

The table shows, for funded defined benefit plans, the total amount of plan assets. In particular, the assets refer to the following funds:

&nbsp;&nbsp;&nbsp;&nbsp;· Cassa
 di Previdenza Aziendale for Monte dei Paschi di Siena employees, defined benefit section,

· Pension
 Fund for personnel of the Parent Company of the London branch,

· Monte
 dei Paschi di Siena Pension Fund Section B.

All funds are in excess of existing obligations at the end of the financial year.

881

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **Internal pension plans** | **Internal pension plans** | **External pension plans** | **External pension plans** |
| <br>**Item** | **Listed in active**<br>**markets** | **Not listed in active**<br>**markets** | **Listed in active**<br>**markets** | **Not listed in active**<br>**markets** |
| Cash and cash equivalents |  |  | 110623 |  |
| &nbsp;&nbsp;&nbsp;of which: used by the Bank |  |  |  |  |
| Equity instruments |  |  | 32325 |  |
| &nbsp;&nbsp;&nbsp;of which: used by the Bank |  |  |  |  |
| Debt instruments |  |  | 150659 |  |
| &nbsp;&nbsp;&nbsp;of which: used by the Bank |  |  |  |  |
| Real estate |  |  |  | 41454 |
| &nbsp;&nbsp;&nbsp;of which: used by the Bank |  |  |  |  |
| Derivatives |  |  |  |  |
| UCITS |  |  | 44807 |  |
| Asset-backed securities |  |  |  |  |
| Structured debt |  |  | - | - |
| **Total** |  |  | **338414** | **41454** |
| of wich: |  |  |  |  |
| own instruments/assets used by the Bank |  |  |  |  |

---

*10.5.4 Key actuarial assumptions used*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** | **Defined benefit funds** |
| <br>**Key actuarial assumptions/percentages** | **Internal pension<br> plans** | **Internal pension<br> plans** | **External pension<br> plans** | **External pension<br> plans** | **Internal pension<br> plans** | **Internal pension<br> plans** | **External pension<br> plans** | **External pension<br> plans** |
| Discount rates | 2.86 | 2.86% | 3.67 | 3.67% | 3.52 | 3.52% | 3.32 | 3.32% |
| Expected rates of salary increases |  | 2.00% |  | 2.22% |  | 1.00% |  | 1.76% |

---

A discount rate of 2.86% was used for internal plans and of 3.67% for external ones (2.99% for the Provision for severance pay, see table 9.2b), calculated as a weighted average of interest rates in EUR Composite AA yield curve as at 31 December 2024, using, as weights, the ratio between the amount paid/paid in advance for each maturity and the total amount to be paid/paid in advance to the exhaustion of the population considered. The EUR Composite AA curve is obtained daily through the Bloomberg information provider and refers to a basket of securities issued by "investment grade" Corporate issuers included in the "AA" rating class resident in the Eurozone and belonging to different sectors, including Utility, Telephone, Financial, Bank and Industrial. The curve expresses the market yields of the securities of leading companies in the country where the Bank operates, in line with IAS 19.

882

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

*10.5.5 Information on amount, timing and uncertainty of cash flows*

---

| | | |
|:---|:---|:---|
| <br>**Actuarial assumption** |<br>**Change in DBO** | 31 12 2024<br>**Change (%) in DBO** |
| **Discount rate** |  |  |
| Increase of 0.25% | (4458) | -2.72% |
| Decrease of 0.25% | 4310 | 2.63% |
| **Expected average rate of revaluation** |  |  |
| Increase of 0.25% | 2581 | 1.58% |
| Decrease of 0.25% | (2944) | -1.80% |

---

---

| | | |
|:---|:---|:---|
| <br>**Actuarial assumption** |<br>**Change in DBO** | 31 12 2023<br>**Change (%) in DBO** |
| **Discount rate** |  |  |
| Increase of 0.25% | (370) | -0.21% |
| Decrease of 0.25% | 4310 | 0.28% |
| **Expected rates of salary increases** |  |  |
| Increase of 0.25% | 668 | 0.38% |
| Decrease of 0.25% | (1110) | -0.64% |

---

*10.5.6 Plans covering multiple employers*

The table in this section was not completed since there are no plans covering multiple employers to report for either the current or previous year.

*10.5.7 Defined benefit plans sharing risks among entities under common control*

The table in this section was not completed since there are no defined benefit plans sharing risks among entities under common control to report for either the current or previous year.

883

BANCA MONTE DEI PASCHI DI SIENA

10.6 Provisions for risks and charges: other provisions

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **Legal and tax disputes** | **467692** | **463656** |
| &nbsp;&nbsp;&nbsp;- Revocatory | 13943 | 17044 |
| &nbsp;&nbsp;&nbsp;- Other legal disputes | 441736 | 429306 |
| &nbsp;&nbsp;&nbsp;- Tax disputes | 12013 | 17306 |
| **Personnel charges** | **43227** | **66027** |
| &nbsp;&nbsp;&nbsp;- Job disputes | 14119 | 39504 |
| &nbsp;&nbsp;&nbsp;- Leaving incentives | 915 | 406 |
| &nbsp;&nbsp;&nbsp;- Other | 28193 | 26117 |
| **Other** | **256009** | **278763** |
| &nbsp;&nbsp;&nbsp;- Risks related to the sale of business units | 5672 | 5878 |
| &nbsp;&nbsp;&nbsp;- Charges due to corporate restructuring | 2492 | 1440 |
| &nbsp;&nbsp;&nbsp;- Payments to financial advisors | 2810 | 2541 |
| &nbsp;&nbsp;&nbsp;- Compensations due to credit sale operations | 104658 | 132520 |
| &nbsp;&nbsp;&nbsp;- Charges for embezzlement | 734 | 1887 |
| &nbsp;&nbsp;&nbsp;- Claims and Court agreements | 11182 | 13795 |
| &nbsp;&nbsp;&nbsp;- Compensation iniziative connected to the offers of diamonds | 1720 | 2156 |
| &nbsp;&nbsp;&nbsp;- Claw back clause (IFRS 15) | 14234 | 16692 |
| &nbsp;&nbsp;&nbsp;- Customer reimbursement | 6268 | 5617 |
| &nbsp;&nbsp;&nbsp;- Estimated legal fees for legal assistance services | 30804 | 32320 |
| &nbsp;&nbsp;&nbsp;- Other | 75435 | 63917 |
| **Total** | **766928** | **808446** |

---

The amount of EUR 104.6 mln recognised in the line "Onerous contracts" represents the provision allocated to cover risks related to contractual guarantees issued as part of derisking transactions of non-performing loans.

The EUR 28.2 mln recognised in the line 'Personnel Expenses - Other' includes the allocation for the personnel incentive scheme.

10.7 Contingent liabilities

---

| | | |
|:---|:---|:---|
| **Typology** | **31 12 2024** | **31 12 2023** |
| **Legal and tax disputes** | **1725950** | **1893799** |
| Revocatory | 5424 | 5397 |
| Other legal disputes | 1697250 | 1863928 |
| Tax disputes | 23276 | 24475 |
| **Personnel charges** | **12521** | **16140** |
| Job disputes | 12521 | 16140 |
| Others | 271817 | 249513 |
| **Total** | **2010288** | **2159452** |

---

884

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

A contingent liability is defined as i) a possible obligation arising from past events and whose existence will be confirmed only by the occurrence or non-occurrence of one or more future events not totally under control, or ii) a current obligation that arises from past events but is not recognised because use of resources aimed at producing economic benefits will likely not be required to settle the obligation or because the amount of the obligation cannot be measured with sufficient reliability.

Contingent liabilities are not subject to recording but, if deemed "possible", are solely subject to disclosure. Conversely, contingent liabilities that are deemed to be of "remote" likelihood do not require any disclosure, pursuant to the provisions of IAS 37. Hence, the table above shows only "possible" liabilities.

Similar to "probable" liabilities, contingent liabilities are also monitored because they may, over time, become "remote" or "probable", with the need, in the latter case, to make the necessary provisions.

In this context, it should be noted that the classification of contingent liabilities and the relative amount is based on non-objective judgements that require recourse to sometimes extremely complex estimation procedures; therefore, they may be subject to redetermination over time.

Specifically, in reference to the dispute, the table shows the relief sought, where quantified; this value cannot be considered a measurement of the expected disbursement in accordance with IAS 37. In fact, the Bank does not deem it practical to provide an estimate of the expected disbursement, as the calculation would be complex and onerous.

For further details, please refer to Section 1.5 "Operational risks" of Part E in the Notes to the Financial Statements.

Section 11 - Redeemable shares - Item 120

The tables in this section have not been completed as no data is present for the current financial year or for the previous financial year.

885

BANCA MONTE DEI PASCHI DI SIENA

Section 12 - Corporate assets - Items 110, 130, 140, 150, 160, 170, 180

12.1 "Share capital" and "Treasury shares": breakdown

*12.1.a "Share capital" breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| |  |  |  | (in units of Eur) |
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Items/Amounts** | **Implied**<br>**par value**<br>**share** | **Par value of**<br>**fully paid**<br>**shares** | **Implied**<br>**par value**<br>**share** | **Par value of**<br>**fully paid**<br>**shares** |
| Ordinary shares | 5.92 | 7453450788 | 5.92 | 7453450788 |
| **Total** |  | **7453450788** |  | **7453450788** |

---

On 6 June 2011 the Bank's Extraordinary Shareholders' Meeting resolved that indication of the nominal value of the classes of shares be eliminated; accordingly, as at 31 December 2011, the so-called "Implied nominal value" is indicated, which is obtained by dividing the total share capital amount by the number of shares in the same category, outstanding at the reference date.

Ordinary shares are registered and indivisible. Each share entitles to one vote. Information on the number of fully paid-up shares can be found in the notes to Table 12.2, "Share capital – number of shares: annual changes".

At the reporting date, the Bank's share capital amounted to EUR 7,453,450,788, represented by 1,259,689,706 ordinary shares without a nominal value, all outstanding.

*12.1.b "Treasury shares": breakdown*

As at 31 December 2024, as in the financial year used for comparison, the Bank held no treasury shares.

886

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

12.2 Share capital - Number of shares: annual changes

---

| | | |
|:---|:---|:---|
| | **31 12 2024** | **31 12 2023** |
| <br>**Item/Type** | **Ordinary** | **Ordinary** |
| **A. Shares outstanding as at the beginning of the year** | **1259689706** | **1259689706** |
| &nbsp;&nbsp;&nbsp;- fully paid | 1259689706 | 1259689706 |
| &nbsp;&nbsp;&nbsp;- not fully paid |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Treasury shares (-) |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Shares outstanding: opening balance | 1259689706 | 1259689706 |
| **B. Increases** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;B.1 New issuances |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Against payment: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Business combinations |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Bond converted |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- warrants exercised |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- without payment: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to employees |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to directors |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Sale of treasury shares |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Other increases |  |  |
| **C. Decreases** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;C.1 Cancellation |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Purchase of treasury shares |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Business transferred |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other decreases |  |  |
| **D. Shares outstanding: closing balance** | **1259689706** | **1259689706** |
| &nbsp;&nbsp;&nbsp;D.1 Treasury shares (+) |  |  |
| &nbsp;&nbsp;&nbsp;D.2 Shares outstanding as at the end of the year | 1259689706 | 1259689706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- fully paid | 1259689706 | 1259689706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- not fully paid |  |  |

---

*12.3 Share capital: other information*

There is no other information to report than that stated in the previous sections.

*12.4 Retained earnings: other information*

In accordance with the provisions of IAS 1, paragraph 79 - letter b), and Article 2427, paragraphs 7-bis and 22-septies of the Italian Civil Code, the following information is provided below

---

| | |
|:---|:---|
| <sub></sub>· | a summary of shareholders' equity items broken down according to their origin with an indication of theirpossibility of utilisation and distributability, as well as their utilisation in the previous five financial years; |
| · | the proposed allocation of profits or coverage of losses for the year. |

---

887

BANCA MONTE DEI PASCHI DI SIENA

*12.4 b Information on Equity items under art. 2427 par. 7 bis of the Italian Civil Code*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  |<br>**Note** | **31 12 2024** |<br>**Under tax**<br>**suspension** | **Amounts used in**<br>**the last 5 years**<br>**to cover losses** |
|  | Equity instruments measured at fair value through other comprehensive income |  | (14167) |  |  |
|  | Financial assets (other than equity instruments) measured at fair value through other comprehensive income |  | (29852) |  |  |
|  | Cash flow Hedges | (1) | 24316 |  |  |
| **110 Valuation reserves** | Non current assets and disposal groups | (1) | 5570 |  |  |
|  | Exchange differences | (1) | 4395 |  |  |
|  | Actuarial gains (losses) on defined benefit plans |  | (46678) |  |  |
|  | Valuation reserve of own credit risk | (1) | 104046 |  |  |
|  | Valuation reserve on tangible assets | (1) | 4925 |  |  |
|  | **Valuation reserves** |  | **52555** |  |  |
| **130 Equity Instruments** | **Equity instruments** |  | **-** |  |  |
|  | - Legal Reserve |  | 202153 | B |  |
|  | - Statutory reserves |  | 303229 | ABC |  |
|  | - Extraordinary reserve |  | 485045 | ABC |  |
|  | Reserve ex art.26 DL 104-2023 on extra-profits | (2) | 308881 | AB |  |
|  | - Reserve ex art 6 lett a) D.lgs. 38/05 (fair value option) | (3) | 52697 | B |  |
| **140 Riserve** | Merger surplus |  | 501211 | ABC | 130573 |
|  | - Adjustment AMCO spin-off reserve |  |  |  | 196187 |
|  | "Reserve of retaining earning as at 30 June 2022" |  |  |  | 96965 |
|  | - Reserve of equity instruments classified to other comprehensive income reserve transfered to other component of equity |  | 1188 | ABC |  |
|  | - Other reserves |  | 1154 | ABC |  |
|  | **Reserve** |  | **1855557** |  | **423725** |
| **150 Share premium reserve** | **Share premium reserve** |  | **-** | **-** |  |
| **160 Share capital** | **Share capital** |  | **7453451** |  | **4240893** |
| **170 Treasury shares** | **Treasury shares** |  | **-** | **-** | **-** |
| **180 Profit (Loss) for the year** | **Profit (Loss) for the year** |  | **1922898** | **-** | **-** |
| **Total shareholders' equity** | **Total shareholders' equity** |  | **11284460** | **-** | **4664618** |

---

**key**

A) For
 capital increase

B) To
 cover losses

C) For
 distribution to shareholders

**Notes:**

1) The reserve is unavailable pursuant to art. 6 of Italian Legislative Decree no. 38/2005;

2) The reserve pursuant to Article 26, paragraph 5-bis of Decree-Law 104/2023 can be made available for:(A) capital increase through a bonus issue in case of a subsequent distribution to shareholders through a capital reduction due to redundant stock; – albeit with an obligation to pay the tax required by Article 26 paragraph 4 of Decree-Law 104/2023, plus accrued interest –(B) coverage of losses, albeit with an obligation to transfer the special restriction to other profit or equity reserves. In case of distribution to shareholders, also partial, albeit with an obligation to pay the tax required by Article 26 paragraph 4 of Decree-Law 104/2023, plus accrued interest.

3) The reserve can be used to cover losses for the year only after the available profit reserves and the legal reserve have been used in accordance with Article 6 of Legislative Decree No. 38/05. This is then replenished by provisioning profits from subsequent years.

888

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

12.4.c Proposal to cover losses under art. 2427, par. 22-septies of the Italian Civil Code

Dear Shareholders:

You have been called to the Ordinary Shareholders' Meeting to resolve upon the following topic put on the agenda under point 1):

**1.1) approval of 2024 Parent Company's financial statements;**

Pursuant to article 2364 of the Italian Civil Code and in articles 13 and 30 of the By-laws of Banca Monte dei Paschi di Siena S.p.A. (the "Bank" or the "Parent Company"), the Shareholders' Meeting is called to approve the Bank's financial statements for the year ended on 31 December 2024, which show a EUR 1,922,898,241.70 net profit for the year.

Moreover, the Shareholders' Meeting is presented with the consolidated financial statements of Monte dei Paschi di Siena Group as at 31 December 2024, which closed with a net profit of EUR 1,950,623,209, of which EUR 1,950,783,031 pertaining to the Parent Company.

**1.2) profit allocation and dividend distribution to Shareholders.**

As anticipated on 6 February 2025, the Bank's Board of Directors informed the market about the distribution of the dividend. On 6 March 2025, the Board of Directors resolved to propose to the Shareholders' Meeting the payment of a dividend under the terms and conditions outlined below.

With reference to this proposed dividend payout to Shareholders, it should be noted that in December 2024 the European Central Bank removed the requirement for prior authorisation from the Supervisory Authority for the distribution of dividends<sup>19</sup>.

It is therefore proposed that the Shareholders' Meeting resolve on the distribution of the net profit for the year 2024, according to the allocation showed below, in compliance with the laws and regulations in force.

In this regard, please note that:

· art.
 2430 of the Italian Civil Code states that an amount corresponding to at least the twentieth
 part of the annual net profits must be deducted from them to constitute the legal reserve,
 until the latter has reached one-fifth of the share capital;

· art.
 31 of the Bank's By-laws states that: "the net profits resulting from the financial
 statements are assigned as follows:

<sub> </sub>

a. *10% to the legal reserve, until this reaches the amount of 1/5 of the share capital;* 

b. *to the creation and growth of a statutory reserve for no less than 15% and at least 25%once the legal reserve has reached the amount of 1/5 of the share capital.* 

*The residual net profits are available to the Shareholders' Meeting for distribution to Shareholders and/or for the creation and growth of other reserves".*

---

| | |
|:---|:---|
| <sub>·</sub> | art. 6 of Legislative Decree no. 38/2005 states that profits for the year may not be distributed to the extent of the capital gains that are recognised in the income statement, net of the relevant tax burden, and other than those relating to financial trading instruments if they result from the financial statement – and to foreign exchange and hedging transactions, resulting from the application of the fair value or equity method (paragraph 1, letter a) and that the profits corresponding to such capital gains are recognised in an unavailable reserve (paragraph 2). |

---

Accordingly, it is proposed to allocate the net profit for the year 2024 as follows:

i. to
 legal reserve of an amount equal to 10% of the accrued profit corresponding to EUR 192,289,824.17
 pursuant to art. 31 of the By-laws;

ii. to
 statutory reserve for an amount equal to 15% of the accrued profit corresponding to EUR 288,434,736.26,
 pursuant to art. 31 of the By-laws;

iii. to
 unavailable reserve for an amount equal to EUE 19,970,421.59, pursuant to art. 6 of Legislative
 Decree no. 38/2005;

iv. to
 the Shareholders, with distribution of a unit dividend of EUR 0.86 for each outstanding share,
 eligible for the payment of dividends, for a total maximum amount of EUR 1,083,333,147.16;

v. to
 extraordinary reserve for the remaining profit of EUR 338,870,112.52.

19 See press release of 11 December 2024 *<u>https://www.gruppomps.it/media-e-news/comunicati/cs-11-12-2024.html</u>*

889

BANCA MONTE DEI PASCHI DI SIENA

If this proposal is approved, the consolidated capital requirements would show a Common Equity Tier 1 Ratio of 18.2% and a Total Capital Ratio of 20.5%, both amply meeting the requirements of the competent Authorities.

Pursuant to the laws and regulations in force, it is proposed that the distribution of the dividend takes place with the following methods and timing:

· ex-coupon
 date: 19 May 2025;

· payment
 day: 21 May 2025.

Pursuant to art. 83-terdecies of Legislative Decree no. 58/1998, as subsequently amended ("TUF"), those who are shareholders on the basis of the accounting records as at the end of the accounting day of 20 May 2025 (record date) will be entitled to receive the dividend.

If the formulated proposal obtains your approval, the shareholders' equity of Banca Monte dei Paschi di Siena S.p.A. will be as indicated in the table below:

(in EUR millions)

---

| | | | |
|:---|:---|:---|:---|
| **Net Equity** | **2024<br> Financial Statement** | **Changes** | **Pro-forma Net equity in the 2024 Financial Statement<br> after Shareholders' Meeting <br> resolutions and dividend payment** |
| Capital | 7453 |  | 7453 |
| Reserves | 1855 | 840 | 2695 |
| Valuation Reserves | 53 |  | 53 |
| Profit (loss) for the year | 1923 | (1923) | - |
| **Total** | **11284** | **(1083)** | **10201** |

---

Siena, 5 March 2025

the Board of Directors

890

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

12.5 Equity instruments: breakdown and annual changes

This section is not provided because as at 31 December 2024, as in the previous year, the Bank did not hold any equity instruments.

12.6 Other informations

There is no other information to report than that reported in the previous sections.

Other information

1 Commitments and financial guarantees given (other than those measured at fair value)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** | |
| <br>**Nominal Amount** |<br><br>**Stage 1** |<br><br>**Stage 2** |<br><br>**Stage 3** | **Purchased**<br>**or originated**<br>**credit impaired**<br>**financial**<br>**assets** |<br><br>**Total** |<br><br>**Total**<br>**31 12 2023** |
| **Commitments to disburse funds** | **35211986** | **614553** | **392534** | **245** | **36219318** | **34703160** |
| a) Central banks | 30000 |  |  |  | 30000 |  |
| b) Public entities | 976881 |  |  |  | 976881 | 524879 |
| c) Banks | 1621900 |  | 13510 |  | 1635410 | 1538228 |
| d) Other financial companies | 11007773 | 1756 | 533 |  | 11010062 | 9449894 |
| e) Non-financial companies | 20146472 | 333077 | 362948 | 245 | 20842742 | 21302369 |
| f) Families | 1428960 | 279720 | 15543 |  | 1724223 | 1887790 |
| **Financial guarantees given to** | **4241522** | **662467** | **229730** | **8696** | **5142415** | **4891490** |
| a) Banks | 60 |  |  |  | 60 | 60 |
| b) Public entities | 47152 | 91 |  |  | 47243 | 43379 |
| c) Banks | 482529 |  |  |  | 482529 | 479590 |
| d) Other financial companies | 83039 | 4880 | 666 |  | 88585 | 101772 |
| e) Non-financial companies | 3580950 | 648822 | 227750 | 8696 | 4466218 | 4179093 |
| f) Families | 47792 | 8674 | 1314 | - | 57780 | 87596 |
| **Total** | **39453508** | **1277020** | **622264** | **8941** | **41361733** | **39594650** |

---

891

BANCA MONTE DEI PASCHI DI SIENA

2 Other commitments and guarantees given

---

| | | |
|:---|:---|:---|
|  | **Nominal value** | **Nominal value** |
|  | **31 12 2024** | **31 12 2023** |
| **Other guarantees given to** | **2837** | **12911** |
| of which: non-performing exposures |  |  |
| a) Central Banks |  |  |
| b) Public entities |  |  |
| c) Banks | 737 | 6778 |
| d) Other financial companies | 2100 | 6133 |
| e) Non-financial companies |  |  |
| f) Families |  |  |
| **Other commitments** | **-** | **-** |
| of which: non-performing exposures |  |  |
| a) Central Banks |  |  |
| b) Public entities |  |  |
| c) Banks |  |  |
| d) Other financial companies |  |  |
| e) Non-financial companies |  |  |
| f) Families | - | - |
| **Total** | **2837** | **12911** |

---

The table shows, at the line "Other guarantees given", the maximum risk resulting from the failure to comply with the representations and warranties issued by the Bank in the context of the transactions for derisking of non-performing loans and not yet matured at this reporting date.

3 Assets pledged as collateral for liabilities and commitments

---

| | | |
|:---|:---|:---|
| **Portfolios** | **31 12 2024** | **31 12 2023** |
| 1. Financial assets measured at fair value through profit or loss | 1145240 | 1924188 |
| 2. Financial assets measured at fair value through other comprehensive income | 1152425 | 1169062 |
| 3. Financial assets measured at amortised cost | 38025698 | 37065289 |
| 4. Property, plant and equipments |  |  |
| &nbsp;&nbsp;&nbsp;of which: inventories of tangible assets |  |  |

---

The table summarises the assets pledged by the Bank as collateral for its liabilities, mainly represented by repurchase agreements. The amount indicated in line "3. Financial assets measured at amortised cost" includes approx. EUR 20.5 bn related to mortgage loans transferred to the vehicles MPS Covered Bond S.r.l. and MPS Covered Bond 2 S.r.l. under the two programs for the issue of covered bonds and approximately EUR 11.4 bn relative to mortgage loans granted with guarantee at the Eurosystem (ABACO).

892

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

4 Asset management and trading on behalf of third parties

---

| | |
|:---|:---|
|  | **Amount**<br>**31 12 2024** |
| **1. Trading of financial instruments on behalf of third parties** |  |
| &nbsp;&nbsp;&nbsp;a) Purchases | 14264100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Settled | 14264100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Unsettled |  |
| &nbsp;&nbsp;&nbsp;b) Sales | 11335508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Settled | 11335508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Unsettled |  |
| **2. Asset management accounts** |  |
| &nbsp;&nbsp;&nbsp;a) individual | 4979730 |
| &nbsp;&nbsp;&nbsp;b) collective |  |
| **3. Custody and administration of securities** |  |
| &nbsp;&nbsp;&nbsp;a) third party securities on deposit associated with custodian bank transactions (excluding asset management) |  |
| &nbsp;&nbsp;&nbsp;b) Other third party securities on deposit (excluding asset management) | 59556787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Securities issued by companies included in consolidation | 42068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Other securities | 59514719 |
| &nbsp;&nbsp;&nbsp;c) third party securities deposited with third parties | 46310988 |
| &nbsp;&nbsp;&nbsp;d) own securities deposited with third parties | 25080341 |
| **4. Other transactions** | **28494989** |

---

5 Financial assets subject to offsetting, enforceable offsetting framework arrangements and similar agreements

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not subject to** | **Related amounts not subject to** | | |
| | | | | **balance sheet offsetting** | **balance sheet offsetting** | | |
| <br>**Type** |<br><br>**Gross amount**<br>**of financial**<br>**assets (a)** |<br>**Amount of**<br>**financial liabilities**<br>**offset in**<br>**balance sheet**<br>**(b)** | **Net amount**<br>**of financial**<br>**assets recognised**<br> **in the**<br>**balance sheet**<br>**(c=a-b)** | **Financial**<br>**instruments**<br>**(d)** | **Deposits of**<br>**cash collateral**<br>**received (e)** |<br><br>**Net amount**<br>**(f=c-d-e) 31**<br>**12 2024** |<br><br>**Net amount**<br>**31 12 2023** |
| 1. Derivatives | 8265196 | 5939912 | 2325284 | 625138 |  | 1700146 | 1476495 |
| 2. Repurchase agreements | 7891637 |  | 7891637 | 7834765 |  | 56872 | 58512 |
| 3. Securities lending |  |  |  |  |  |  |  |
| 4. Other |  |  |  |  |  |  |  |
| **Total as at 31 12 2024** | **16156833** | **5939912** | **10216921** | **8459903** | **-** | **1757018** | **X** |
| **Total as at 31 12 2023** | **17141757** | **7165734** | **9976023** | **7743684** | **697332** | **X** | **1535007** |

---

893

BANCA MONTE DEI PASCHI DI SIENA

6 Financial liabilities subject to offsetting, enforceable framework offsetting agreements and similar agreements.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not subject to** | **Related amounts not subject to** | | |
| | | | | **balance sheet offsetting** | **balance sheet offsetting** | | |
| <br>**Type** |<br>**Gross amount**<br>**of financial**<br>**liabilities (a)** | **Amount of**<br>**financial**<br>**assets offset in**<br>**balance sheet**<br>**(b)** | **Net amount of**<br>**financial liabilities**<br>**recognised**<br>**in the balance**<br>**sheet** |<br>**Financial**<br>**instruments (d)** | **Deposits of**<br>**cash collateral**<br>**received (e)** |<br>**Net amount**<br>**(f=c-d-e) 31**<br>**12 2024** |<br><br>**Net amount**<br>**31 12 2023** |
| 1. Derivatives | 7208877 | 5939912 | 1268965 | 683927 | 355169 | 229869 | 246359 |
| 2. Repurchase agreements | 7449724 |  | 7449724 | 7449724 |  |  | 46472 |
| 3. Securities lending |  |  |  |  |  |  |  |
| 4. Other |  |  |  |  |  |  |  |
| **Total as at 31 12 2024** | **14658601** | **5939912** | **8718689** | **8133651** | **355169** | **229869** | **X** |
| **Total as at 31 12 2023** | **15083824** | **7165734** | **7918090** | **7201681** | **423578** | **X** | **292831** |

---

The two tables above provide the disclosure required by IFRS 7 concerning financial instruments which:

· were
 offset in the balance sheet pursuant to IAS 32;

· could
 potentially be offset, given certain conditions, but presented in the balance sheet as open
 balances as they are governed by "framework offsetting agreements or similar agreements"
 which do not meet the criteria established in IAS 32 for offsetting.

The EUR 5,940 mln offset presented in the columns "Financial assets set off (b)" columns "Financial liabilities set off (b)" refers almost exclusively to OTC derivatives entered into by the Parent Company by indirect access with central counterparties.

These derivatives are shown as a decrease in the following balance sheet items:

· 20.
 Financial assets measured at fair value through profit and loss (a) Financial assets held
 for trading – set off by EUR 5,559 mln;

· 50.
 Hedging derivatives with a positive fair value – set off by EUR 381 mln;

· 20.
 Financial liabilities held for trading - set off by EUR 5,530 mln;

· 40.
 Hedging derivatives with a negative fair value – set off by EUR 410 mln.

For the purposes of reconciliation of the amounts shown in the column (c) "net amount of financial assets/liabilities recognised in the balance sheet" with the opening balances shown in "Part B – Information on the balance sheet", it should be noted that:

---

| | |
|:---|:---|
| · | the amount related to both trading and hedging derivative financial instruments, aided by netting agreements or similar, is represented in asset items 20 a) "Financial assets held for trading" and 50 "Hedging derivatives" and in liability items 20 "Financial liabilities held for trading" and 40 "Hedging derivatives"; |
| <sub></sub>· | the amount related to repurchase agreements subject to netting agreements or similar is shown in line "Repurchase agreements/Reverse repurchase agreements" in the tables containing a breakdown of asset item 40 "Financial assets measured at amortised cost" and liability item 10 "Financial liabilities measured at amortised cost". |

---

The Bank discloses the following instruments that can potentially be set off upon certain events occurring, presented in the "Related amounts not subject to offsetting" columns:

---

| | |
|:---|:---|
| · | with regard to derivatives: "ISDA Master Agreement" and netting agreements with clearing houses; |
| <sub></sub>· | with regard to repurchase agreements and reverse repurchase agreements: framework "Global Master Repurchase Agreements (GMRA)" and netting agreements with the "Cassa di Compensazione e Garanzia" (CC&G); |
| · | with respect to securities lending transactions: "Global Master Securities Lending Agreements (GMSLA)". |

---

894

2024 ANNUAL REPORT - Notes to the separate financial statements - Part B - Information on the balance sheet

The effects of potentially setting off:

---

| | |
|:---|:---|
| <sub></sub>· | the book value of financial assets and liabilities are stated in column (d) "Financial instruments", alongside the fair value of financial collateral represented by securities; |
| · | the exposure, alongside cash collateral, is shown in column (e) "Cash deposits received/given as collateral". |

---

It should also be noted that:

&nbsp;&nbsp;&nbsp;&nbsp;· the
 standard also requires the effects of the financial collateral (including cash collateral)
 received and given to be taken into account;

· with
 regard to securities lending transactions, in these tables transactions involving the payment
 of cash collateral fully owned by the lender are included in the item "Repurchase agreements";

· the
 repurchase agreements are recognised in the tables at amortised cost, while the financial
 collateral and derivative transactions are reported at their fair value.

In accordance with the compilation methods shown, agreements for the netting of financial instruments and related financial collateral significantly reduce counterparty credit/debt exposure, as indicated in column (f) "Net amount".

7 Securities lending transactions

The Bank, as borrower, has not carried out securities lending transactions guaranteed by other securities or securities lending transactions with customers.

8 Information on joint control activities

At the reporting date, as in the previous financial year, there were no jointly controlled arrangements qualifying as "joint operations" within the meaning of IFRS 11, according to which the parties with joint control have rights to the assets and obligations to the liabilities of the arrangement.

895

BANCA MONTE DEI PASCHI DI SIENA

Part C - Information on the Income Statement

Section 1 - Interest income/expense - Items 10 and 20

1.1 Interest income and similar revenues: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Item/Type** | **Debt**<br>**securities** |<br>**Loans** | **Other**<br>**transactions** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **1. Financial asset measured at fair value through profit and loss** | **65981** | **4750** | **102** | **70833** | **54242** |
| &nbsp;&nbsp;&nbsp;1.1 Finanicial asset held for trading | 57964 | 585 | 102 | 58651 | 42515 |
| &nbsp;&nbsp;&nbsp;1.2 Financial assets designated at fair value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 Financial assets mandatorily measured at fair value | 8017 | 4165 |  | 12182 | 11727 |
| **2. Financial asset measured at fair value through other comprehensive income** | **42085** | **-** | **X** | **42085** | **45856** |
| **3. Financial assets measured at amortised cost** | **311625** | **3487355** | **X** | **3798980** | **3570959** |
| &nbsp;&nbsp;&nbsp;3.1. Loans to banks | 28363 | 92925 | X | 121288 | 123179 |
| &nbsp;&nbsp;&nbsp;3.2 Loans to customers | 283262 | 3394430 | X | 3677692 | 3447780 |
| **4. Hedging derivatives** | **X** | **X** | **103742** | **103742** | **106100** |
| **5. Other assets** | **X** | **X** | **633219** | **633219** | **530503** |
| **6. Financial liabilities** | **X** | **X** | **X** | **3** | **604** |
| **Total** | **419691** | **3492105** | **737063** | **4648862** | **4308264** |
| of which interest income on credit impaired assets |  | 101752 |  | 101752 | 82617 |
| of which interest income on financial leasing |  | 198153 |  | 198153 | 199744 |

---

Line 4 "Hedging derivatives", in the "Other transactions" column, includes the spread related to hedging derivatives rectifying the interest income recognised on the hedged financial instruments under assets.

Line 5 "Other assets", column "Other transactions", shows the interest accrued on sight deposits and current accounts with central banks classified under the item "Cash and cash equivalents" for EUR 488.7 mln (EUR 437.1 mln at 31 December 2023). The same item also includes accrued interest income on tax credits in the amount of EUR 109.0 mln (EUR 56.2 mln as at 31 December 2023).

Interest income, calculated for financial assets measured at amortised cost under the effective interest rate method, is entered in different columns based on the original 'technical form'. The amount accrued during the financial year for positions that are classified as "non-performing" as at the reporting date totalled EUR 101.8 mln (EUR 82.6 mln as at 31 December 2023).

Interest on arrears is posted to net interest income only for the portion actually collected.

For a trend analysis of the concerned items, reference should be made to the Report on Operations.

896

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

1.2 Interest income and similar revenues: other information

1.2.1 Interest income from financial assets denominated in foreign currency

Interest income from financial assets denominated in foreign currency for 2024 amounted to EUR 43.8 mln as compared to EUR 42.7 mln in 2023.

1.3 Interest expense and similar charges: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |<br>**Deposits** |<br>**Securities** | **Other**<br>**transactions** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1. Fiancial liabilities measured at amortised cost | (1887940) | (472939) |  | (2360879) | (1999934) |
| &nbsp;&nbsp;&nbsp;1.1 Due to Central banks | (370709) | X | X | (370709) | (540576) |
| &nbsp;&nbsp;&nbsp;1.2 Due to banks | (191164) | X | X | (191164) | (212461) |
| &nbsp;&nbsp;&nbsp;1.3 Due to customers | (1326067) | X | X | (1326067) | (864482) |
| &nbsp;&nbsp;&nbsp;1.4 Debt securities issued | X | (472939) | X | (472939) | (382415) |
| 2. Financial liabilities held for trading |  |  |  |  | (2144) |
| 3. Financial liabilities designated at fair value |  | (4736) |  | (4736) | (4507) |
| 4. Other liabilities | X | X | (125) | (125) | (138) |
| 5. Hedging derivatives | X | X | (104081) | (104081) | (205004) |
| 6. Financial assets | X | X | X | (319) | (519) |
| **Total** | **(1887940)** | **(477675)** | **(104206)** | **(2470140)** | **(2212246)** |
| of which interest debt for leasing | 4520 |  |  | 4520 | 4516 |

---

Line 1.1 "Due to central banks" includes interest on the Bank's refinancing transactions with the ECB amounting to EUR 370.7 mln, down from EUR 540.6 mln of previous year following the completion of TLTRO repayments in June 2024 and the reallocation of funding in MRO and LTRO auctions.

Lines 1.2, "Due to banks" and 1.3, "Due to Customers", in the "Deposits" column, include interest on payables under repurchase agreements on: treasury securities recognised in the balance sheet or securities not recognised in the balance sheet obtained through repo transactions or from self-securitisations without derecognition.

The increase in interest paid shown in line 1.3 "Due to customers" is due to the higher interest expense on customer borrowings, especially in the first half of 2024.

Line "1.4 Debt securities issued" indicates the interest expense accrued during the financial year on bonds and certificates of deposit valued at amortised cost; the increase over last year is related to the two new issues in March and November 2024.

Line 5 "Hedging derivatives", in the "Other transactions" column, includes the spreads for hedging derivatives providing a correction for the interest expense recognised on hedged fixed-rate commercial funding and bonds.

Line 6. "Financial assets" highlights the negative interest accrued on financial assets.

For a trend analysis of the concerned items, reference should be made to the Report on Operations.

897

BANCA MONTE DEI PASCHI DI SIENA

1.4 Interest expense and similar charges: other information

1.4.1 Interest expense on liabilities denominated in foreign currency

Interest expense on liabilities denominated in foreign currency for 2024 amounted to EUR 13.6 mln as compared to EUR 9.1 mln in 2023.

1.5 Spreads on hedging transactions

---

| | | |
|:---|:---|:---|
| <br>**Items** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| A. Positive spreads on hedging transactions | 112184 | 124881 |
| B. Negative spreads on hedging transactions | (112523) | (223784) |
| **C. Balance (A+B)** | **(339)** | **(98903)** |

---

898

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

Section 2 - Fee and commission income/expense - Items 40 and 50

2.1 Fee and commission income: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Type of service / Amount** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| a) Financial insturments | 118410 | 113838 |
| &nbsp;&nbsp;&nbsp;1. Placement of securities | 32309 | 37751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Underwriting on the basisi of an irrevocable commitment | 16852 | 24105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 without irrevocable commitment | 15457 | 13646 |
| &nbsp;&nbsp;&nbsp;2. Reception and trasmission of orders | 21228 | 21518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 RReception and trasmission of orders of financial instruments | 20298 | 19635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Execution of orders on behalf of customers | 930 | 1883 |
| &nbsp;&nbsp;&nbsp;3. Other commission income related to activities linked to financial instruments | 64873 | 54569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: proprietary trading | 14744 | 15109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: individual portfolio management | 50129 | 39460 |
| b) Corporate Finance | 8208 | 7798 |
| &nbsp;&nbsp;&nbsp;1. M&A fees |  |  |
| &nbsp;&nbsp;&nbsp;2. Treasury services | 8208 | 7752 |
| &nbsp;&nbsp;&nbsp;3. Other fees and commission income related to Corporate finance activities |  | 46 |
| c) Investment advisory activities | 3347 | 2641 |
| d) Clearing and settlement | 147 | 285 |
| e) Custody and administration of securities | 5770 | 5482 |
| &nbsp;&nbsp;&nbsp;1. custodian bank |  |  |
| &nbsp;&nbsp;&nbsp;2. Other fees and commission income related to Custody and administration activities | 5770 | 5482 |
| f) Central administrative services for collective portfolio management |  |  |
| g) Trustee business |  |  |
| h) Payment services | 500205 | 493135 |
| &nbsp;&nbsp;&nbsp;1. Current accounts | 212706 | 214268 |
| &nbsp;&nbsp;&nbsp;2. Credit cards | 64301 | 66365 |
| &nbsp;&nbsp;&nbsp;3. Debit cards and other card payments | 76993 | 74545 |
| &nbsp;&nbsp;&nbsp;4. Transfers and other payment orders | 85811 | 66683 |
| &nbsp;&nbsp;&nbsp;5. Other fees and commission income related to payment services | 60394 | 71274 |
| i) distribution of third-party services | 613694 | 484593 |
| &nbsp;&nbsp;&nbsp;1. Collective portfolio management | 372668 | 277243 |
| &nbsp;&nbsp;&nbsp;2. Insurance products | 191881 | 177376 |
| &nbsp;&nbsp;&nbsp;3. Other producst | 49145 | 29974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: individual portfolio management |  |  |
| j) Structured Finance |  |  |
| k) Securitisation servicing activities | 44 | 66 |
| l) Loan commitments given | 172928 | 173214 |
| m) Financial guarantees | 57872 | 49019 |
| &nbsp;&nbsp;&nbsp;of which: credit derivatives |  |  |
| n) Lending transactions | 72623 | 77490 |
| &nbsp;&nbsp;&nbsp;of which: factoring services | 16604 | 15070 |
| o) Currency trading | 3678 | 3546 |
| p) Commodities |  |  |
| q) Other fees and commission income | 38522 | 52015 |
| &nbsp;&nbsp;&nbsp;of which: management of sharign multilateral trading facilities |  |  |
| &nbsp;&nbsp;&nbsp;of which: management of organized trading systems | - | - |
| **Total** | **1595448** | **1463122** |

---

Line q) "Other fee and commission income" includes EUR 10.2 mln related to leasing operations, EUR 12.8 mln related to the preliminary investigation of tax credits and to the recovery of expenses incurred by the Bank for the finalisation of transactions, and finally EUR 3.6 mln of agency fees for the role held by the Bank as lead/agent of syndicated loans.

899

BANCA MONTE DEI PASCHI DI SIENA

For an analysis of the fee and commission income and for the disclosure on disaggregation of revenues, as required by IFRS 15.114-115, please refer to Part C of the Notes to the Consolidated Financial Statements, which outlines the trend in fees and commissions for each of the operating segments identified by activity type.

The disclosure for performance obligations is provided for the main services offered by the Bank, in accordance with IFRS 15.113 and 119:

· collection
 and payment services, including the offer to customers of credit and debit cards issued by
 the Bank. For these services, the customer pays an annual fee in advance for the administrative
 management of the card, recognised over time, as well as fees calculated on the individual
 transactions linked to the card's configuration, which, if not included in the annual
 fee, are recognised at a point in time as linked to the individual performance obligation
 carried out at a specific time; collection and payment services also include all foreign
 currency trading services, as well as other generic collection services that entail the collection
 of fees against the performance obligation made at consumption and recognised at a point
 in time;

· administration
 of current accounts. Within this context, the fees received for various products offered
 to customers may include a periodic fee for the current account management service (that
 may or may not include a package of services), as well as fees received on individual transactions
 performed by customers that are not included in the annual fee. The first type of fee refers
 to a performance obligation fulfilled over time, while the second refers to services performed
 at a specific time and compensated separately from the quarterly fee, and which are structured
 as a performance obligation fulfilled at a point in time;

· distribution
 of third-party products and services based on partnership agreements with external counterparties,
 for which placement commissions are collected, recorded at a point in time as they are compensation
 for the intermediation performance obligation provided by the Bank, and continuing commissions
 connected to the administrative management of the customer in the network, recorded over
 time, as they represents compensation for the performance obligation rendered over the course
 of the investment's duration. Some distribution agreements also include variable commissions,
 recognised by external counterparties upon achieving certain placement volumes or other annual
 metrics envisaged in the distribution agreements. Based on the various contractual provisions
 and in accordance with provisions contained in IFRS 15, if conditions apply in the interim
 periods, analyses are carried out in order to determine if there are conditions that allow
 the advance accounting of the revenue or a portion thereof. The advance recognition is carried
 out exclusively if it is highly likely that, once the uncertainty has been resolved, there
 is no downward adjustment of the recorded amount. Lastly, some contracts contain claw-back
 clauses, which entail, in the event certain conditions apply, the full or partial reimbursement
 of placement commissions previously recognised upon execution of the initial performance
 obligation (i.e. point in time): in this case, the claw-back clause represents a variable
 component of the transaction price, since the amount recognised upon product placement is
 not definitive, but will depend on future events that are beyond the control of the Bank.
 In such situations the amount of the commissions that could potentially be subject to restitution
 is estimated, charging the amount that is expected to be returned to the third party to a
 specific risk provision; the income that is posted to the income statement is equal to the
 amount recognised against the performance obligation for the placement activity carried
 out during the financial year, net of the amount set aside in the provision;

· individual
 portfolio management, in the context of assets linked to financial instruments, which mainly
 include management fees, calculated with a percentage proportional to the assets under management,
 recognised over time as they compensate a service rendered over time.

· complex financial services including
consultancy, advisory/asseveration/underwriting and order collection. The contracts may provide for various types of fees and commissions
associated with the various services offered. Some of these are linked to activities performed throughout the contract's duration
(over time) and paid by the customer regardless of the outcome of the activities, while others are services for which the customer pays
only if certain identified events occur, therefore, they are connected to services provided at a specific point in time. The first type
of fee, associated with a performance obligation over time, is recognised throughout the contract's duration, while the second
is recorded when the event occurs, as it represents compensation for a performance obligation carried out at a point in time;

With regard to the revenue breakdown (IFRS 15.116-118), it should be noted that EUR 2.0 mln has been recognised as the adjustment price component accrued during the year on commissions collected for the placement of third-party services by the Bank in the previous year.

This line includes the reversal of revenues for EUR 7.5 mln made in the financial year against a provision for risks in accordance with IFRS 15, in consideration of the claw-back clauses set forth in a third-party product placement contract.

900

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

2.2 Fee and commission income: distribution channels of products and services

---

| | | |
|:---|:---|:---|
| **Channel/Sectors** | **31 12 2024** | **31 12 2023** |
| **a) Group branches** | **649748** | **546385** |
| &nbsp;&nbsp;&nbsp;1. portfolio management | 50127 | 39454 |
| &nbsp;&nbsp;&nbsp;2. placement of securities | 6595 | 37751 |
| &nbsp;&nbsp;&nbsp;3. third party services and products | 593026 | 469180 |
| **b) "Door-to-door" sales** | **1958** | **1567** |
| &nbsp;&nbsp;&nbsp;1. portfolio management | 2 | 6 |
| &nbsp;&nbsp;&nbsp;2. placement of securities |  |  |
| &nbsp;&nbsp;&nbsp;3. third party services and products | 1956 | 1561 |
| **c) Other distribution channels** | **44427** | **13852** |
| &nbsp;&nbsp;&nbsp;1. portfolio management |  |  |
| &nbsp;&nbsp;&nbsp;2. placement of securities | 25715 |  |
| &nbsp;&nbsp;&nbsp;3. third party services and products | 18712 | 13852 |

---

2.3 Fee and commission expense: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Type of service / Amount** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| a) Financial Instruments | (4412) | (4356) |
| &nbsp;&nbsp;&nbsp;of which: trading in financial instruments | (3793) | (2956) |
| &nbsp;&nbsp;&nbsp;of which: placement of financial instruments |  |  |
| &nbsp;&nbsp;&nbsp;of which: individual portfolio managemetn | (619) | (1400) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- own portfolio |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- third-party portfolio | (619) | (1400) |
| b) Clearing and settlement | (4483) | (2173) |
| c) Custody and administration | (4296) | (3793) |
| d) collection and payment services | (85284) | (74841) |
| &nbsp;&nbsp;&nbsp;of which: credit cards, debt cards and other paymnet cards | (70989) | (59641) |
| e) Securitisation servicing activities |  |  |
| f) Loan commitments received |  |  |
| g) Financial guarantees received | (26710) | (46819) |
| &nbsp;&nbsp;&nbsp;of which: credit derivatives |  |  |
| h) Door-to-door sales of financial instruments, products and services | (985) | (957) |
| i) Currency trading |  |  |
| j) Other fee and commission expenses | (39377) | (37928) |
| **Total** | **(165547)** | **(170867)** |

---

Line a) "Financial instruments of which: individual asset management - delegated to third parties" includes commissions payable on the collection of securities orders.

Line b) "Clearing and settlement" includes commissions payable for the derivative clearing service.

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BANCA MONTE DEI PASCHI DI SIENA

Line e) Collection and payment services" includes the commissions from the outsourcing of administrative servicing related to card management.

Line g) Financial guarantees received includes commissions of EUR 17.0 mln (EUR 37.8 mln as at 31 December 2023) related to the purchase of protection against credit risk as part of the outstanding synthetic securitisations.

Line k) "Other fee and commission expense" includes EUR 6.2 mln relating to leasing transactions, of which EUR 2.4 mln for commissions and contributions for the brokerage of agents.

For a trend analysis of the concerned items, reference should be made to the Report on Operations.

Section 3 - Dividends and similar income - Item 70

3.1 Dividends and similar income: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Item/Income** |<br>**Dividends** | **Similar**<br>**Income** |<br>**Total** |<br>**Dividends** | **Similar**<br>**Income** |<br>**Total** |
| A. Financial assets held for trading | 4068 | 1056 | 5124 | 4851 | 1103 | 5954 |
| B. Other financial assets mandatorily measured at fair value |  | 8485 | 8485 |  | 8092 | 8092 |
| C. Financial assets measured at fair value through other comprehensive income | 9114 |  | 9114 | 12501 |  | 12501 |
| D. Investments | 35600 | - | 35600 | 116471 | - | 116471 |
| **Total** | **48782** | **9541** | **58323** | **133823** | **9195** | **143018** |

---

The table shows the amount of dividends received on shares traded within the trading book and non-controlling interest classified in the portfolio of "Financial assets measured at fair value through other comprehensive income".

Line "B Other financial assets mandatorily measured at fair value" refers entirely to income distributed by private equity funds.

Line "C. Financial assets measured at fair value through other comprehensive income" includes the dividend of EUR 8.5 mln (EUR 8.5 mln as at 31 December 2023) collected from the equity investment in the Bank of Italy.

Line "D. Equity investments" consists mainly of: AXA MPS Danni for EUR 35.0 mln (EUR 40.0 mln as at 31 December 2023).

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

Section 4 - Net profit (loss) from trading - Item 80

4.1 Net profit (loss) from trading: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Net Profit** | **Net Profit** |
| | | | | | **(Loss)** | **(Loss)** |
| <br>**Transactions / P&L items** |<br>**Capital**<br>**gains** |<br>**Trading**<br>**Profits** |<br>**Capital losses** |<br>**Trading**<br>**Losses** | **31 12 2024** | **31 12 2023** |
| 1. Financial assets held for trading | 39830 | 106495 | (12827) | (56592) | 76906 | 170938 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities | 22503 | 90281 | (10119) | (49448) | 53217 | 160616 |
| &nbsp;&nbsp;&nbsp;1.2 Equity instruments | 15498 | 12708 | (2429) | (5903) | 19874 | 6285 |
| &nbsp;&nbsp;&nbsp;1.3 Units of UCITS | 1829 | 3494 | (279) | (1241) | 3803 | 4020 |
| &nbsp;&nbsp;&nbsp;1.4 Loans |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.5 Other |  | 12 |  |  | 12 | 17 |
| 2. Financial liabilities held for trading | 3817 | 22076 | (2453) | (23759) | (319) | (65837) |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities | 3785 | 21544 | (2212) | (23691) | (574) | (65662) |
| &nbsp;&nbsp;&nbsp;2.2 Deposits |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other | 32 | 532 | (241) | (68) | 255 | (175) |
| 3. Other financial assets and liabilities: exchange differences | X | X | X | X | 9991 | (7192) |
| 4. Derivatives | 4687521 | 7980484 | (4565194) | (8089882) | 41265 | (43218) |
| &nbsp;&nbsp;&nbsp;4.1 Financial derivatives: | 4672520 | 7839667 | (4486393) | (8051029) | 3102 | (89940) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- on debt securities and interest rates | 4528965 | 7708691 | (4364480) | (7904992) | (31816) | (161117) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- on equity instruments and stock indices | 133611 | 72141 | (99530) | (5948) | 100274 | 32318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- on currency and gold | X | X | X | X | 28337 | 47261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other | 9944 | 58835 | (22383) | (140089) | (93693) | (8402) |
| &nbsp;&nbsp;&nbsp;4.2 Credit derivatives | 15001 | 140817 | (78801) | (38853) | 38164 | 46722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which natural hedging connected with the fair value option | *X* | *X* | *X* | *X* | - | - |
| **Total** | **4731168** | **8109055** | **(4580474)** | **(8170233)** | **127844** | **54691** |

---

It should be noted that, based on the provisions set in the Bank of Italy Circular no. 262, the specification "of which: natural hedges related to the fair value option" refers to a particular type of hedge under IFRS 9. In this regard, it should be noted that there are no amounts to be valued, as the Group opted to continue to use the hedge accounting regime under IAS 39.

During the financial year, the Credit Value Adjustment (CVA) decreased, generating a positive impact of EUR 0.1 mln on OTC derivatives; likewise, the Debit Value Adjustment (DVA) on OTC derivatives recorded a decrease with a consequent negative impact of EUR 6.0 mln.

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BANCA MONTE DEI PASCHI DI SIENA

Section 5 - Net profit (loss) from hedging - Item 90

5.1 Net profit (loss) from hedging: breakdown

---

| | | |
|:---|:---|:---|
| <br>**P&L items/Values** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Gains on:** |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Fair value hedging instruments | 129237 | 223001 |
| &nbsp;&nbsp;&nbsp;A.2 Hedged financial assets (fair value) | 185978 | 495187 |
| &nbsp;&nbsp;&nbsp;A.3 Hedged financial liabilities (fair value) | 940 |  |
| &nbsp;&nbsp;&nbsp;A.4 Cash-flow hedging derivatives |  |  |
| &nbsp;&nbsp;&nbsp;A.5 Assets and liabilities denominated in foreign currency | - | - |
| **Total gains on hedging activities (A)** | **316155** | **718188** |
| **B. Losses on:** |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Fair value hedging instruments | 187094 | 502847 |
| &nbsp;&nbsp;&nbsp;B.2 Hedged financial assets (fair value) | 25639 | 11145 |
| &nbsp;&nbsp;&nbsp;B.3 Hedged financial liabilities (fair value) | 104353 | 208807 |
| &nbsp;&nbsp;&nbsp;B.4 Cash-flow hedging derivatives |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Assets and liabilities denominated in foreign currency | - | - |
| **Total losses on hedging activities (B)** | **317086** | **722799** |
| **C. Net profit (loss) from hedging activities (A - B)** | **(931)** | **(4611)** |
| &nbsp;&nbsp;&nbsp;of which: resulting from net position helding |  |  |

---

For information on hedging derivatives, the gains and losses on which are indicated in lines A.1 and A.4, B.1 and B.4 of this table, see Section 5 "Hedging derivatives – Item 50" of the Assets and Section 4 "Hedging derivatives – Item 40" of the liabilities in Part B of these Notes to the financial statements.

More information on hedged assets and liabilities can be found in the tables in Part B of the Notes to the Financial Statements for each section of the accounts to which hedges are posted.

904

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

Section 6 - Gains/(losses) on disposal/repurchase - Item 100

6.1 Gains (losses) on disposal/repurchase: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Items / P&L items** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| <br>**Financial assets** |<br>**Gains** |<br>**Losses** | **Net Profit**<br>**(Loss)** |<br>**Gains** |<br>**Losses** | **Net Profit**<br>**(Loss)** |
| 1. Financial assets measured at amortised cost | 5822 | (13500) | (7678) | 19054 | (6496) | 12558 |
| &nbsp;&nbsp;&nbsp;1.1 Loans to banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Loans to customers | 5822 | (13500) | (7678) | 19054 | (6496) | 12558 |
| 2. Financial assets measured at fair value through other comprehensive income | 1568 | (1837) | (269) | 1034 |  | 1034 |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities issued | 1568 | (1837) | (269) | 1034 |  | 1034 |
| &nbsp;&nbsp;&nbsp;2.2 Loans | - | - | - | - | - | - |
| **Total assets** | **7390** | **(15337)** | **(7947)** | **20088** | **(6496)** | **13592** |
| **Financial liabilities measured at amortised cost** | **-** | **-** | **-** | **-** | **-** | **-** |
| 1. Due to banks |  |  |  |  |  |  |
| 2. Due to customers |  |  |  |  |  |  |
| 3. Debt securities issued | 1 | (626) | (625) | 2 | (179) | (177) |
| **Total liabilities (B)** | **1** | **(626)** | **(625)** | **2** | **(179)** | **(177)** |

---

The "Net profit (loss)" column of the item "Financial assets measured at amortised cost" in line 1.2 "Loans to customers" mainly comprises the net losses from the sale of certain government securities as part of the overall renewal of the Bank's securities portfolio.

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BANCA MONTE DEI PASCHI DI SIENA

Section 7 - Net profit (loss) from other financial assets and liabilities measured at fair value through profit and loss - Item 110

7.1 Net changes in other financial assets and liabilities measured at fair value through profit or loss: breakdown of financial assets and liabilities measured at fair value

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Net Profit (loss)** | **Net Profit (loss)** |
| <br>**Transaction/P&L items** | **Capital**<br>**Gains** | **Realized**<br>**profits** |<br>**Capital losses** | **Realized**<br>**losses** | **31 12 2024** | **31 12 2023** |
| 1. Financial assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities issued |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Loans |  |  |  |  |  |  |
| 2. Financial liabilities | 2151 |  | (630) |  | 1521 | (3121) |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities issued | 2151 |  | (630) |  | 1521 | (3121) |
| &nbsp;&nbsp;&nbsp;2.2. Deposits from banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3. Deposits from customers |  |  |  |  |  |  |
| 3. Other financial assets and liabilities: exchange differences | X | X | X | X | - | - |
| **Total** | **2151** | **-** | **(630)** | **-** | **1521** | **(3121)** |

---

The item includes solely the profit, loss, capital gains and capital losses from structured fixed-rate bonds included in the fair value option. The balances of the economic valuations of derivatives through which said securities are subject to natural hedging are instead recognised under item 80 "Net profit (loss) from trading".

Note that the changes in fair value due to changes in own creditworthiness are recognised under other revenue items without reversal to the income statement.

906

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

7.2 Net changes in other financial assets and liabilities measured at fair value through profit or loss: breakdown of other financial assets mandatorily measured at fair value

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Net Profit (loss)** | **Net Profit (loss)** |
| <br>**Transaction/P/L items** | **Capital**<br>**Gains** | **Realized**<br>**profits** |<br>**Capital losses** | **Realized**<br>**losses** | **31 12 2024** | **31 12 2023** |
| **1. Financial assets** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities issued | 83 | 25 | (13037) |  | (12929) | 4596 |
| &nbsp;&nbsp;&nbsp;1.2 Equity instruments |  | 66 | (0) | (3) | 63 | 2345 |
| &nbsp;&nbsp;&nbsp;1.3 Units of UCITS | 38365 | 909 | (17374) | (3) | 21897 | 4071 |
| &nbsp;&nbsp;&nbsp;1.4 Loans | 556 |  | (1808) |  | (1252) | (518) |
| **2. Other financial assets: exchange differences** | **X** | **X** | **X** | **X** | **18** | **(1620)** |
| **Totale** | **39004** | **1000** | **(32219)** | **(6)** | **7797** | **8874** |

---

The net gain (loss) shown in the line "1.1 Financial assets - Debt securities", includes the EUR 12.4 mln capital losses from the mezzanine and junior tranches of the Siena NPL securitisation.

The net gain (loss) shown in line "1.3 Financial assets – UCITS units', refers mainly to the revaluation of NPE credit funds and real estate funds, only partly set off by the impairment recognised in some private equity funds.

Line 1.4 "Financial Assets - Loans" includes in the column "Capital Gains" write-backs relating to loans for which there has been an improvement in the risk profile; the column "Capital Losses" includes write-downs of loans classified as "unlikely to pay".

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BANCA MONTE DEI PASCHI DI SIENA

Section 8 - Net impairment (losses)/reversals for credit risk - Item 130

8.1 Net impairment (losses)/reversal for credit risk on financial assets measured at amortised cost: breakdown

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Reversals** | **Reversals** | **Reversals** | **Reversals** | | |
| | | | | | **Purchased** | **Purchased** | | | | | | |
| | | | | | **or** | **or** | | | | | | |
| | | | | | **originated** | **originated** | | | | | | |
| | | | | | **credit** | **credit** | | | | | | |
| | | | | | **impaired** | **impaired** | | | | | | |
| | | | | | **financial** | **financial** | | | | | | |
| | | | **Stage 3** | **Stage 3** | **assets** | **assets** | | | | | | |
| <br>**Transaction/P&L items** |<br><br><br><br>**Stage 1** |<br><br><br><br>**Stage 2** | **Write-off** | **Others** | **Write-off** | **Others** |<br><br><br><br>**Stage 1** |<br><br><br><br>**Stage 2** |<br><br><br><br>**Stage 3** |<br>**Purchased**<br>**or**<br>**originated**<br>**credit**<br>**impaired**<br>**financial**<br>**assets** |<br><br><br><br>**Total**<br>**31 12 2024** |<br><br><br><br>**Total**<br>**31 12 2023** |
| **A. Loans to banks** | **(317)** | **-** | **-** | **(5979)** |  | **-** | **74** | **194** | **-** | **-** | **(6028)** | **132** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Loans | (311) |  |  | (5979) |  |  | 70 | 194 |  |  | (6026) | 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Debt securities | (6) |  |  |  |  |  | 4 |  |  |  | (2) | (33) |
| **B. Loans to customers** | **(56647)** | **(168385)** | **(1065)** | **(624629)** |  | **(26)** | **107772** | **137074** | **250940** | **10** | **(354956)** | **(385388)** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Loans | (55832) | (167576) | (1065) | (624629) |  | (26) | 106040 | 137074 | 250940 | 10 | (355064) | (381523) |
| &nbsp;&nbsp;&nbsp;&nbsp;- Debt securities | (815) | (809) | - | - |  | - | 1732 | - | - | - | 108 | (3865) |
| **C. Total** | **(56964)** | **(168385)** | **(1065)** | **(630608)** |  | **(26)** | **107846** | **137268** | **250940** | **10** | **(360984)** | **(385256)** |

---

8.2 Net impairment (losses)/reversals for credit risk on financial assets measured at fair value through other comprehensive income: breakdown

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Net impairment (losses)** | **Reversals** | **Reversals** | **Reversals** | **Reversals** | | |
| | | | | | **Purchased** | **Purchased** | | | | | | |
| | | | | | **or** | **or** | | | | | | |
| | | | | | **originated** | **originated** | | | | | | |
| | | | | | **credit** | **credit** | | | | | | |
| | | | | | **impaired** | **impaired** | | | | | | |
| | | | | | **financial** | **financial** | | | | | | |
| | | | **Stage 3** | **Stage 3** | **assets** | **assets** | | | | | | |
| <br>**Transaction/ P&L items** |<br><br><br><br>**Stage 1** |<br><br><br><br>**Stage 2** | **Write-off** | **Others** | **Write-off** | **Others** |<br><br><br><br>**Stage 1** |<br><br><br><br>**Stage 2** |<br><br><br><br>**Stage 3** |<br>**Purchased**<br>**or**<br>**originated**<br>**credit**<br>**impaired**<br>**financial**<br>**assets** |<br><br><br><br>**Total**<br>**31 12 2024** |<br><br><br><br>**Total**<br>**31 12 2023** |
| A. Debt securities issued | (118) | (1253) |  |  |  |  | 525 | 183 |  |  | (663) | 582 |
| B. Loans |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- to banks |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- to customers | - | - |  |  |  |  | - | - |  |  | - | - |
| **Total** | **(118)** | **(1253)** |  |  |  |  | **525** | **183** |  |  | **(663)** | **582** |

---

908

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

Section 9 - Gains/losses from contractual changes without cancellation - Item 140

9.1 Modification gains/(losses): breakdown

This item, negative for EUR 9.9 mln as at 31 December 2024 (negative for EUR 6.8 mln as at 31 December 2023) includes the impacts related to contractual changes on medium/long term loans to customers which, without any substantial change, according to the provisions of IFRS 9, as well as the Group's accounting regulations, do not entail accounting derecognition of the assets but rather the recognition to profit and loss of the changes made to the contractual cash flows.

Section 10 - Administrative expenses - Item 160

10.1 Personnel expenses: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Type of Expense / Area** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1. Employees | (1238305) | (1174180) |
| &nbsp;&nbsp;&nbsp;a) wages and salaries | (859991) | (827150) |
| &nbsp;&nbsp;&nbsp;b) social-welfare charges | (232273) | (225971) |
| &nbsp;&nbsp;&nbsp;c) severance pay | (57687) | (54042) |
| &nbsp;&nbsp;&nbsp;d) social security expenses |  |  |
| &nbsp;&nbsp;&nbsp;e) provision for staff severance pay | (2349) | (2689) |
| &nbsp;&nbsp;&nbsp;f) pension fund and similar obligations: | (110) | (70) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined contribution |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined benefit | (110) | (70) |
| &nbsp;&nbsp;&nbsp;g) contributions to external pension funds: | (21933) | (20477) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined contribution | (21933) | (20477) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined benefit |  |  |
| &nbsp;&nbsp;&nbsp;h) costs related to share-based payments | (3745) | (1683) |
| &nbsp;&nbsp;&nbsp;i) other employee benefits | (60217) | (42098) |
| 2. Other staff | (60) | (65) |
| 3. Directors and Statutory Auditors | (1725) | (1888) |
| 4. Retired personnel | (22) | (19) |
| 5. Recovery of expenses for employees of the Bank: seconded to other entities | 16674 | 15842 |
| 6. Reimbursement of expenses for employees of other entities: seconded to the bank | (1654) | (1646) |
| **Total** | **(1225092)** | **(1161956)** |

---

The net increase in personnel expenses is mainly due to the higher expense following the recognition of the second tranche of the salary increase agreed in the renewed bankers' National Collective Labour Agreement.

Line "f) pension funds and similar obligations" includes amounts set aside for internal funds, while line "g) contributions to external pension funds" includes contributions paid and adjustments made to external pension funds.

Line "h) Costs related to share-based payments" includes estimated cost, measured at fair value, of phantom shares granted to key personnel as the variable part of the incentive scheme, in addition to the recurring fair value adjustment of the same.

Line "i) other employee benefits" amounting to EUR 60.2m includes the effect of discounting expenses relating to redundancies or access to the Solidarity Fund.

Line 5 "Recovery of expenses for employees seconded to other companies" includes approximately EUR 9.6 mln as at 31 December 2024 (EUR 9.5 mln as at 31 December 2023) relating to Fruendo and due to the reinstatement and subsequent secondment of some employees in 2020.

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BANCA MONTE DEI PASCHI DI SIENA

10.2 Average number of employees by category

---

| | | |
|:---|:---|:---|
| **Category / Average Number** | **31 12 2024** | **31 12 2023** |
| **Employees:** | **15446** | **15369** |
| a) executives | 148 | 149 |
| b) middle managers | 5840 | 5693 |
| c) remaining staff | 9458 | 9527 |
| **Other personnel** | **-** | **-** |
| **Total** | **15446** | **15369** |

---

10.3 Defined benefit company pension funds: costs and revenues

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| | **Defined benefit company** | **Defined benefit company** | | **Defined benefit company** | **Defined benefit company** | |
| | **pension funds** | **pension funds** | | **pension funds** | **pension funds** | |
| <br>**Items/Amounts** | **Internal**<br>**pension plan** | **External**<br>**pension plan** |<br>**Provision**<br>**for staff**<br>**severance pay** | **Internal**<br>**pension plan** | **External**<br>**pension plan** |<br>**Provision**<br>**for staff**<br>**severance pay** |
| Interest income/expense | (110) |  | (2349) | (70) |  | (2689) |
| Current service cost and gains (losses) arising from settlements° |  |  |  |  |  |  |
| Past service cost |  |  |  |  |  |  |
| Gains (losses) arising from settlements°° |  |  |  |  |  |  |
| Other operating costs | - |  | - | - |  | - |
| **Total** | **(110)** |  | **(2349)** | **(70)** |  | **(2689)** |

---

\* Pursuant to par. 100 of IAS 19, note that the past service cost and the amount of gains and losses arising from settlements need not be distinguished if they occur together.

\*\* Only in the event of settlement not set out in the terms of the plan.

10.4 Other employee benefits

No information to report pursuant to paragraphs 53, 158 and 171 of IAS 19.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

10.5 Other administrative expenses: breakdown

---

| | | |
|:---|:---|:---|
| **Items/Amounts** | **31 12 2024** | **31 12 2023** |
| Stamp duties | (162026) | (150986) |
| Indirect taxes and duties | (26345) | (24310) |
| Municipal real estate property tax | (19756) | (20074) |
| Subscription and purchase of publications | (934) | (1009) |
| Cleaning service contracts | (15032) | (16214) |
| Insurance | (15314) | (16040) |
| Sundry lease payment and rentals | (101947) | (102125) |
| Remuneration of external professionals | (59196) | (58483) |
| Lease of equipment | (25480) | (25830) |
| Utilities | (34841) | (44092) |
| Maintenance of properties (used in the business) | (29450) | (30813) |
| Postage | (15934) | (15550) |
| Advertising, sponsorships and promotions | (1038) | (1162) |
| Membership dues | (2574) | (3221) |
| Reimbursement of employee car and travel expenses | (2737) | (2390) |
| Security services | (6102) | (6714) |
| Software | (43508) | (51488) |
| Expenses for personnel training | (2136) | (2167) |
| Representation expenses | (373) | (339) |
| Corporate entertainment expenses | (32131) | (18043) |
| Printing and stationery | (2953) | (4498) |
| Telephon, telefax and telegraph | (5486) | (7294) |
| Transportation | (18331) | (18254) |
| Sundry occupancy expenses and refunds for release of immovable property used in the business | (5215) | (5255) |
| Contributions Resolution Funds (SRF) and Deposits Guarantee Schemes (DGS) and Life Insurance guarantees Fund | (73222) | (129488) |
| DTA fee | (61252) | (62927) |
| Data transmission | (5009) | (5666) |
| Others | (9664) | (10922) |
| **Total** | **(777986)** | **(835354)** |

---

The line "Sundry lease payments and rentals" includes EUR 71.7 mln (EUR 71.5 mln as at 31 December 2023) referring to costs for outsourced services regarding back office accounting and administrative activities related to the management and provision of specific services by the Bank. These services entail decreasing considerations over the duration of the contract, against a constant volume of services received by the Bank. In accordance with the accounting policies of the Group (see Part A, Other information - Costs for constant services and decreasing payments), the recognition of the afore-mentioned costs in the income statements follows a linear trend over the contract duration with the consequent necessity for the Bank to recognise a prepayment. The cumulative figure as at 31 December 2024 amounted to EUR 216.5 mln (EUR 225.8 mln as at 31 December 2023) and is shown under item "Other assets", line "Accrued income and prepaid expenses not attributable to its own separate item" of Part B of these Notes to the financial statements. The line also includes costs relating to short-term and low-value lease agreements for EUR 3.1 mln (EUR 3.5 mln as at 31 December 2023).

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BANCA MONTE DEI PASCHI DI SIENA

The line "Contributions to resolution funds (SRF and NRD) and Deposit guarantee Systems (DGS)" amounting to EUR 73.2 mln as at 31 December 2024 (EUR 129.5 mln as at 31 December 2023) includes the contributions paid to the DGS of EUR 71.1 mln (EUR 70.9 mln as at 31 December 2023) and the estimated EUR 2.1 mln contribution that the Bank expects to pay to the Life Insurance Guarantee Fund. In the previous year a contribution to the Single Resolution Fund of EUR 58.6 mln was recognised, which was not required for 2024.

The line "DTA fees" includes the expenses related to the fee paid on DTAs that can be converted into tax credit as set forth in art. 11 of Italian Law Decree no. 59 of 3 May 2016, converted into Italian Law no. 119 of 30 June 2016.

Section 11 – Net provisions for risks and charges – Item 170

11.1 Net provisions for credit risk relative to commitments to disburse funds and financial guarantees issued: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Transaction/P&L items** |<br>**Stage 1** |<br>**Stage 2** |<br>**Stage 3** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| 1) financial guarantees issued | 4294 | 1412 | 6377 | 12083 | (30146) |
| &nbsp;&nbsp;&nbsp;Provision for the year | (4492) | (4036) | (35443) | (43971) | (42218) |
| &nbsp;&nbsp;&nbsp;Write-backs | 8786 | 5448 | 41820 | 56054 | 12072 |
| 2) Commitments to disburs funds | 3358 | (11603) |  | (8245) | 15162 |
| &nbsp;&nbsp;&nbsp;Provision for the year | (3783) | (14284) |  | (18067) | (9433) |
| &nbsp;&nbsp;&nbsp;Write-backs | 7141 | 2681 | - | 9822 | 24595 |
| **Total** | **7652** | **(10191)** | **6377** | **3838** | **(14984)** |

---

11.2 Net provisions relative to other commitments and guarantees issued: breakdown

At the reporting date of these Financial Statements and for the financial year of comparison, there were no provisions of this type.

912

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

11.3 Other net provisions for risks and charges: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** | **31 12 2023** |
| <br>**Items/Amount** | **Provisions for**<br>**the year** |<br>**Write-backs** |<br>**Net Provisions** | **Provisions for**<br>**the year** |<br>**Write-backs** |<br>**Net Provisions** |
| Legal and tax disputes | (127088) | 70932 | (56156) | (116843) | 503675 | 386832 |
| &nbsp;&nbsp;&nbsp;- cost | (111434) | 70215 | (41219) | (87619) | 500023 | 412404 |
| &nbsp;&nbsp;&nbsp;- discounting effect | (15654) | 717 | (14937) | (29224) | 3652 | (25572) |
| Personnel expenses | (2094) | 2186 | 92 | (5165) | 5127 | (38) |
| Other risks and charges | (25179) | 16122 | (9057) | (20202) | 102616 | 82414 |
| **Total** | **(154361)** | **89240** | **(65121)** | **(142210)** | **611418** | **469208** |

---

The net releases of EUR 469.2 mln recognised in the previous year were almost entirely due to the improved litigation risk profile compared to the financial disclosures for the period 2008-2015 as a result of the positive judgments issued in the last quarter of 2023.

Section 12 - Net Value Adjustments/recoveries on Property, Plant and Equipment - Item 180

12.1 Net value adjustments to property, plant and equipment: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Assets / P&L items** |<br>**Depreciations** | **Impairment**<br>**losses** |<br>**Recoveries** | **Net Profit (loss)**<br>**31 12 2024** | **Net Profit (loss)**<br>**31 12 2023** |
| **A. Property, plant and equipment** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1 Used in the business | (94731) | (765) |  | (95496) | (99928) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- owned | (55397) |  |  | (55397) | (57146) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- right of use acquired through leasing | (39334) | (765) |  | (40099) | (42782) |
| &nbsp;&nbsp;&nbsp;2 held for investment |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3 Inventories | - | - |  | - | - |
| **Total** | **(94731)** | **(765)** |  | **(95496)** | **(99928)** |

---

Section 13 - Net Value Adjustments/recoveries on Intangible Assets - Item 190

13.1 Net value adjustments to intangible assets: breakdown

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Assets/P&L items** |<br>**Depreciations** | **Impairment**<br>**losses** |<br>**Recoveries** | **Net profit (loss)**<br>**31 12 2024** | **Net profit (loss)**<br>**31 12 2023** |
| **A.Intangible assets** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: software | (59.463) | (1.765) |  | (61.228) | (60.908) |
| &nbsp;&nbsp;&nbsp;A.1 Owned | (59.463) | (1.765) |  | (61.228) | (60.908) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Generated internally by the company | (12.149) | (628) |  | (12.777) | (15.045) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other | (47.314) | (1.137) |  | (48.451) | (45.863) |
| &nbsp;&nbsp;&nbsp;A.2 Right of Use acquired through leasing | - | - |  | - | - |
| **Total** | **(59.463)** | **(1.765)** |  | **(61.228)** | **(60.908)** |

---

913

BANCA MONTE DEI PASCHI DI SIENA

Section 14 - Other operating expenses/income - Item 200

14.1 Other operating expenses: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Costs of robberies | (1007) | (510) |
| Amortisation on improvements of third-party goods recognized as "Other Assets" | (3980) | (5745) |
| Costs from finance lease transactions | (5730) | (5644) |
| Costs from judgments and settlement agreements | (25050) | (19777) |
| Other expenses | (22457) | (23988) |
| **Total** | **(58224)** | **(55664)** |

---

14.2 Other operating income: breakdown

---

| | | |
|:---|:---|:---|
| <br>**Items/Amounts** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| Rental income | 8209 | 9305 |
| Recovery of taxes | 173266 | 157142 |
| Recovery of insurance premiums | 1643 | 1466 |
| Income from finance lease transactions | 6627 | 6110 |
| Recovery of other expenses | 35055 | 29589 |
| Others | 55513 | 61010 |
| **Total** | **280313** | **264622** |

---

The amount of EUR 35.1 mln classified under "Recovery of other expenses" includes, among other things, the compensa-tion of legal fees incurred for the enforced recovery of bad loans of EUR 4.0 mln (EUR 4.0 mln as at 31 December 2023).

The Bank has no income deriving from the sublease of right-of-use assets (IFRS 16.53 (f)) "Other operating income" does not include any revenues under the scope of IFRS 15.

The Bank does not have variable income not related to an index or a rate deriving from operating leases (IFRS 16.90 b).

914

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

Section 15 - Gains (losses) on equity investments - Item 220

15.1 Gains (losses) on equity investments breakdown

---

| | | |
|:---|:---|:---|
| <br>**P&L items/Sectors** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **A. Income** | **-** | **652** |
| &nbsp;&nbsp;&nbsp;1. Revaluations |  |  |
| &nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
| &nbsp;&nbsp;&nbsp;3. Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;4. Other income |  | 652 |
| **B. Expense** | **(4)** | **(9229)** |
| &nbsp;&nbsp;&nbsp;1. Write-downs |  |  |
| &nbsp;&nbsp;&nbsp;2. Impairment losses |  | (6811) |
| &nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;4. Other expenses | (4) | (2418) |
| **Net Profit (Loss)** | **(4)** | **(8577)** |

---

For information on the methodology for determining impairment losses, please see section 10.5, part B, of these notes to the financial statements.

The impairment tests as at 31 December 2024 did not reveal any need for impairment of investments. The impairment tests as at 31 December 2023 had required the recognition of an impairment of EUR 6.8 mln for the subsidiaries Fidi Toscana (EUR 6.6 mln) and Aiace Reoco S.r.l. (EUR 0.2 mln).

In the financial year used for comparison, line B4 "Other expenses" included expenses of EUR 2.4 mln referring to the rollover transaction of the Socrate real estate fund with the acquisition of the shares of the new Democrito real estate fund.

Section 16 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value - Item 230

16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value (or revalued) or at presumed realisable value: breakdown

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | **Exchange difference** | **Exchange difference** | | |
| <br>**Assets/P/L items** |<br>**Revaluations (a)** |<br>**Write-downs (b)** | **positive (c)** | **negative (d)** | **Net profit (loss)**<br>**(a-b+c-d)** | **Net profit (loss)**<br>**31 12 2023** |
| **A. Property, plant and equipment** | **8451** | **35816** |  |  | **(27365)** | **(52361)** |
| &nbsp;&nbsp;&nbsp;A.1 Used in the business | 4053 | 12212 |  |  | (8159) | (27805) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- owned* | *4053* | *12212* |  |  | *(8159)* | *(27805)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- Right of Use acquired through leasing* | *-* | *-* |  |  | *-* | *-* |
| &nbsp;&nbsp;&nbsp;A.2 held for investment | 4398 | 22783 |  |  | (18385) | (23424) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- owned* | *4398* | *22783* |  |  | *(18385)* | *(23424)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- Right of Use acquired through leasing* | *-* | *-* |  |  | *-* | *-* |
| &nbsp;&nbsp;&nbsp;A.3 Inventories | - | 821 |  |  | (821) | (1132) |
| **Total** | **8451** | **35816** |  |  | **(27365)** | **(52361)** |

---

The item, which was negative for a total of EUR 27.4 mln (EUR 52.4 mln was the negative balance of the previous financial year), includes the results of the fair value measurement of "revalued property, plant and equipment used in the business", "property, plant and equipment held for investment purposes", "inventories of property, plant and equipment" and, finally, property classified as "assets held for sale", consisting of owned real estate assets.

915

BANCA MONTE DEI PASCHI DI SIENA

Section 17 - Impairment of goodwill - Item 240

17.1 Impairment of goodwill: breakdown

In 2024 the Bank did not recognise any impairment as all the goodwill allocated to the different CGUs (Cash Generating Units) had been fully written down in the financial statements of previous financial years.

Section 18 - Gains (losses) on disposal of investments – Item 250

18.1 Gains (losses) on disposals of investments: breakdown

---

| | | |
|:---|:---|:---|
| <br>**P&L items/Sectors** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| A. Property | 2667 | 151 |
| &nbsp;&nbsp;&nbsp;- Gains on disposal | 8814 | 156 |
| &nbsp;&nbsp;&nbsp;- Losses on disposal | (6147) | (5) |
| B. Other assets | 3 | (74) |
| &nbsp;&nbsp;&nbsp;- Gains on disposal | 3 | 3 |
| &nbsp;&nbsp;&nbsp;- Losses on disposal | - | (77) |
| **Net Profit (Loss)** | **2670** | **77** |

---

The net gain of EUR 2.7 mln recognised in item A. Property refers almost entirely to a sale transactions completed in previous years and classified as assets held for sale as at 31 December 2023.

It should be noted that the Bank recognised gains from sale and leaseback transactions in the amount of EUR 8.7 mln.

916

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

Section 19 - Tax (expense)/recovery on income from continuing operations – Item 270

19.1 Tax (expense)/recovery on income from continuing operations: breakdown

---

| | | |
|:---|:---|:---|
| | **Total** | **Total** |
| <br>**P&L items/Sectors** | **31 12 2024** | **31 12 2023** |
| 1. Current tax (-) | (80232) | (62172) |
| 2. Adjustments to current tax of prior years (+/-) | (1071) | 4754 |
| 3. Reduction of current tax for the year (+) |  |  |
| 3.bis Reduction in current tax for the period due to tax credits under Law 214/2011 |  | 8567 |
| 4. Changes in prepaid taxes (+/-) | 601343 | 413749 |
| 5. Changes in deferred taxes (+/-) | 3509 | 3369 |
| **6. Tax expense for the year (-) (-1+/-2 +3+3bis +/-4+/-5)** | **523549** | **368267** |

---

The amount under line 4. "Deferred tax assets: annual changes" reflects the positive imbalance between the overall effect of the DTA valuation arising from the results of the probability test, amounting to EUR 987.5 mln, and the net reversals for the year. For a more detailed breakdown of the DTA reassessment, please refer to paragraph 10.7 – Part B – Information on the Balance Sheet of these Notes to the financial statements.

917

BANCA MONTE DEI PASCHI DI SIENA

19.2 Reconciliation of theoretical to actual tax charge

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Items/Amounts** | **31 12 2024** | **%** | **31 12 2023** | **%** |
| **Pre-tax profit (loss) from continuing operations** | **1399349** |  | **1653259** |  |
| **Theoretical IRES Payable** | **(384821)** | **27.5%** | **(454646)** | **27.5%** |
| **Permanent decreases** | **(1372)** | **0.1%** | **(5775)** | **0.3%** |
| Losses on the disposal/valuation of subsidiaries and associates classified at fair value through other comprehensive income |  | 0.0% | 20 | 0.0% |
| Losses on the disposal/valuation of subsidiaries and associates |  | 0.0% | (1873) | 0.1% |
| Non deductible administrative expenses (Municipal real estate property tax, vehicles, telephone etc) | (1372) | 0.1% | (3922) | 0.2% |
| **Permanent decreases** | **9395** | **-0.7%** | **65509** | **-4.0%** |
| Gains on the disposal/valuation of subsidiaries and associates classified at fair value through other comprehensive income | (11) | 0.0% | (115) | 0.0% |
| Gains on the disposal/valuation of subsidiaries and associates |  | 0.0% | 486 | 0.0% |
| Deduction IRAP | 56 | 0.0% | 17 | 0.0% |
| Deduction ACE |  | 0.0% | 33963 | -2.1% |
| Excluded dividends | 9350 | -0.7% | 31158 | -1.9% |
| **DTA write-downs related to prior tax losses** | **986401** | **-70.5%** | **670410** | **-40.6%** |
| **DTA effects- others** | **1085** | **-0.1%** | **154423** | **-9.3%** |
| **DTA ACE effects** |  | **0.0%** | **2361** | **-0.1%** |
| **Other components (IRES relative to previous years, spreads between italian and foreign tax rate, etc)** | **2070** | **-0.1%** | **(1771)** | **0.1%** |
| **Effective IRES payable** | **612758** | **-43.8%** | **430511** | **-26.0%** |
| **Profit (loss) theoretical IRAP at nominal rate** | **(65070)** | **4.65%** | **(76877)** | **4.65%** |
| **Economic items not relevant for IRAP purposes** | **(5913)** | **0.4%** | **20711** | **-1.3%** |
| Value adjustments amd credit losses | (327) | 0.0% | 35 | 0.0% |
| Non deductible cost of personnel | (171) | 0.0% | (134) | 0.0% |
| Profit (loss) on subisidiares and associates | (535) | 0.0% | (444) | 0.0% |
| Other non - deductible administrative expences (10%) | (3618) | 0.3% | (3884) | 0.2% |
| Amortization non-deductible (10%) | (733) | 0.1% | (758) | 0.0% |
| Value adjustments on goodwill | (2653) | 0.2% | 21372 | -1.3% |
| Other P&L items not relevant | 974 | -0.1% | 1440 | -0.1% |
| Excluded dividends | 1150 | -0.1% | 3083 | -0.2% |
| **Increase regional rates effect** | **(12570)** | **0.9%** | **(10149)** | **0.6%** |
| **Tax refunds from previous years** |  | **0.0%** | **4077** | **-0.2%** |
| **Other components (IRAP relative to previous year, spreads between italian and foreign tax rate, etc)** | **(5657)** | **0.4%** | **(6)** | **0.0%** |
| **Effective IRAP payable** | **(89209)** | **6.4%** | **(62244)** | **3.8%** |
| **Total effective IRES and IRAP tax expenses** | **523549** | **-37.4%** | **368267** | **-22.3%** |

---

The reconciliation relating to IRES includes, aside from the main tax at the rate of 24%, also the additional tax of 3.5% introduced by Italian Law no. 208 of 28 December 2015 (art. 1, par. 65-66).

918

2024 ANNUAL REPORT - Notes to the separate financial statements - Part C - Information on the Income Statement

The reconciliation shows that the theoretical charge of the nominal taxation on the pre-tax profit was more than offset in the year by the income deriving from the valuation of the DTAs; in the table, the lines entitled "DTA valuation effect" express the amount of deferred tax assets, accrued but not recognised in the financial statements of the previous year due to lack of estimated future taxable income, which were revalued in the current financial statements, in part to the extent in which were mostly used during the year to offset the positive final income higher than forecasts, and in part due to adoption of the new revenue forecasts included in the 2024-2028 Business Plan. Apart from the aforementioned factors, in accor-dance with current tax regulations and assuming the achievement of the income results outlined in the Group's business plan, it is reasonable to expect that the Bank will in any case record a progressive reassessment of DTAs from tax losses in each of the next financial years in the medium term (until they are fully recognised), with corresponding income under tax-es in the income statement, which will reduce the tax rate in the financial statements; this, considering the high amount of tax loss carried forwards available with off-balance sheet DTAs and the prudential assumptions underlying the probability test (time period limited to 20 years and application of a discount rate to the prospective results). For further information, please refer to paragraph 10.7 – Part B – Information on the Balance Sheet of these Notes to the financial statements.

919

BANCA MONTE DEI PASCHI DI SIENA

Section 20 - Profit (loss) after tax from discontinued operations - Item 290

&nbsp;&nbsp;&nbsp;&nbsp;20.1 Profit (loss) after tax from assets held for sale and discontinued operations: breakdown

&nbsp;&nbsp;&nbsp;&nbsp;20.2 Breakdown of income taxes on discontinued operations

The tables in this section were not prepared as this category does not appear in the financial statements as at 31 December 2024 and 31 December 2023.

Section 21 - Other information

No disclosure in addition to that presented is required in accordance with the international accounting standards and Circular no. 262 of the Bank of Italy.

Section 22 - Earnings per Share

For the following section, see the description in the Consolidated Financial Statements.

920

2024 ANNUAL REPORT - Notes to the separate financial statements - Part D - Statement of Comprehensive Income

Part D - Statement of Comprehensive Income

Statement of Comprehensive Income

---

| | | |
|:---|:---|:---|
| <br>**Items** | **Total**<br>**31 12 2024** | **Total**<br>**31 12 2023** |
| **10. Proft (loss) for the year** | **1922898** | **2021525** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Other income components without reversal to profit or loss** | **(5741)** | **(23832)** |
| 20. Equity instruments measured at fair value through other comprehensive income | (12) | (4491) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) changes in fair value | 2961 | 2228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Transfer to other component of equity | (2973) | (6719) |
| 30. Financial liabilities designated at fair value through profit or loss (change in the entity's own credit rating) | (5130) | (4111) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) changes in fair value | (5130) | (4111) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Transfer to other component of equity |  |  |
| 50. Property, plant and equipment | (16029) | (29459) |
| 70. Defined benefit plans | (253) | 7486 |
| 80. Non-current assets and groups of assets held for sale | 8755 | (2790) |
| 100. Tax income related to other income components whitout reversal to profit & loss | 6928 | 9533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Other income components with reversal to profit or loss** | **38226** | **69512** |
| 120. Exchange differences: | 2101 | (1526) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) changes in value |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) reversal to profit and loss |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other changes | 2101 | (1526) |
| 130. Cash flow hedges: | 9713 | (7537) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) changes in fair value | 16910 | 2383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) reversal to profit and loss |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other changes | (7197) | (9920) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: resulted of net position |  |  |
| 150. Financial assets (other than equity instruments) measured at fair value through other comprehensive income | 45112 | 112655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) changes in value | 41857 | 96865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) reversal to profit and loss | 3255 | 15790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-impairment provisions |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;-relised net gains/losses | 3255 | 15790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other changes |  |  |
| 180. Tax income related to other income components whit reversal to profit or loss | (18700) | (34080) |
| **190. Other income components** | **32485** | **45680** |
| **200. Total comprehensive income (Item 10 + 130)** | **1955383** | **2067205** |

---

921

BANCA MONTE DEI PASCHI DI SIENA

Part E - Information on risks and hedging policies

**Note: Public Disclosure (Basel III Pillar) is published on the Group's website**: *<u>https://www.gruppomps.it/investor-relations.</u>*

Foreword

This Part of the Notes to the Financial Statements provides quantitative information on risks referring to Banca Monte dei Paschi di Siena. For qualitative information on the risk management process and on the management and monitoring of risks, please refer to Part E of the Notes to the Consolidated Financial Statements.

Analysis of the Internal Capital

As at 31 December 2024, the Bank's Overall Economic Capital (excluding intra-group transactions) is attributable for approximately 55% to credit and counterparty risk (which already includes the requirements relating to issuer risk on the Banking Book, equity investment risk and real estate risk), for about 21% to financial risks, 14% to operational risks, for about 6% to business/strategic risks, for 3% to model risk and for about 1% to concentration risk.

![](tm2518026d1_ex99-4p3.jpg)

922

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

Section 1 - Credit risk

Qualitative Information

Please refer to Part E of the Notes to the Consolidated Financial Statements.

Quantitative Information

A. Credit quality

For the purposes of quantitative information on credit quality:

&nbsp;&nbsp;&nbsp;&nbsp;· the term "on-balance sheet exposure" refers to all on-balance
sheet financial assets with regard to banks or customers, regardless of their portfolio of accounting recognition (measured at fair value
through profit or loss, measured at fair value through other comprehensive income, measured at amortised cost, non-current financial assets
held for sale and disposal groups). Sight receivables from banks and central banks fall within the definition of on-balance sheet exposures
but are conventionally excluded from the tables in Section 1, except in the cases expressly indicated in which they must be considered;

&nbsp;&nbsp;&nbsp;&nbsp;· the term "off-balance sheet exposure" refers to all financial
transactions other than on-balance sheet ones (financial guarantees given, revocable and irrevocable commitments, derivatives, etc.) that
involve the assumption of credit risk, regardless of the purpose for such transactions (trading, hedging, etc.). Off-balance sheet exposures
also include the counterparty risk connected to securities lending transactions and repurchase agreements and to the granting or assumption
of goods on a loan basis, as well as to transactions with margins included within the notion of Securities Financing Transactions as defined
by prudential regulations.

Non-performing loans (on and off-balance sheet) do not include financial assets held for trading and hedging derivatives, which are therefore traditionally recognised among performing exposures.

Equity securities and units of UCITS are excluded.

923

BANCA MONTE DEI PASCHI DI SIENA

A.1 Non-performing and performing loans: amounts, value adjustments, changes, trend and breakdown by business sector

A.1.1 Breakdown of financial assets by portfolio category and credit quality (book values)

31 12 2024

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Portfolio/Quality** | **Bad loans** | **Unlikely to pay** | **Past-due<br> non-performing<br> exposures** | **Past-due<br> performing<br> exposures** | **Performing<br> exposures** | **Total** |
| 1. Financial assets measured at amortised cost | 426370 | 1370364 | 64361 | 366775 | 89187551 | 91415421 |
| 2. Financial assets measured through other comprehensive income |  |  |  |  | 2163740 | 2163740 |
| 3. Financial assets designated at fair value |  |  |  |  |  |  |
| 4. Financial assets mandatorily measured at fair value | 2884 | 2615 | 131 | 573 | 187067 | 193270 |
| 5. Financial asset held for sale | - | - | - | - | - | - |
| **Total 31 12 2024** | **429254** | **1372979** | **64492** | **367348** | **91538358** | **93772431** |
| **Total 31 12 2023** | **426925** | **1225511** | **93297** | **514919** | **91394141** | **93654793** |

---

As at 31 December 2024, the Bank has outstanding forborne positions for a total value of EUR 1,737.2 mln (EUR 1,853.5 mln as at 31 December 2023) of which EUR 731.4 mln related to non-performing exposures (EUR 715.2 mln as at 31 December 2023) and EUR 1,005.8 mln to performing exposures (EUR 1,138.3 mln as at 31 December 2023). For further information on these exposures, please refer to table A.1.7 below.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)

31 12 2024

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Non performing assets** | **Non performing assets** | **Non performing assets** | **Non performing assets** | **Performing assets** | **Performing assets** | **Performing assets** | |
| <br>**Portfolio/quality** | **Gross exposure** | **Impairment<br> (loss)** | **Net exposure** | **Total Partial<br> Write-off\*\*** | **Gross exposure** | **Impairment<br> (loss)** | **Net exposure** |<br>**Total (Net<br> exposure)** |
| 1. Financial assets measured at amortised cost | 3566435 | 1705339 | 1861096 | 16074 | 90023959 | 469634 | 89554325 | 91415421 |
| 2. Financial assets measured through other comprehensive income |  |  |  |  | 2166280 | 2540 | 2163740 | 2163740 |
| 3. Financial assets designated at fair value |  |  |  |  | X | X |  |  |
| 4. Financial assets mandatorily measured at fair value | 12375 | 6746 | 5629 | 2 | X | X | 187641 | 193270 |
| 5. Financial asset held for sale | - | - | - | - | - | - | - | - |
| **Total 31 12 2024** | **3578810** | **1712085** | **1866725** | **16076** | **92190239** | **472174** | **91905706** | **93772431** |
| **Total 31 12 2023** | **3407588** | **1661855** | **1745733** | **29192** | **92217998** | **485480** | **91909060** | **93654793** |

---

\*\* Value to be presented for disclosure purposes

At the reporting date, the Bank has 44 positions relating to creditors who have applied for an arrangement of creditors (29 in 2023) for a net exposure of approximately EUR 17.4 mln (EUR 27.1 mln as at 31 December 2023).

As at 31 December 2024, the Bank holds impaired financial assets acquired for a nominal value of EUR 19.0 mln, classified in the portfolio "Financial assets measured at amortised cost" at the price of EUR 0.7 mln.

The following table provides evidence of the credit quality referring to credit exposures classified in the portfolio of financial assets held for trading (securities and derivatives) and hedging derivatives (not shown in the previous table):

---

| | | | |
|:---|:---|:---|:---|
|  | **Low quality assets** | **Low quality assets** | **Other assets** |
|  | **Cumulative losses** | **Net exposure** | **Net exposure** |
| 1 Financial assets held for trading | 57561 | 546 | 5986954 |
| 2 Hedging derivatives | - | - | 59384 |
| **Total 31 12 2024** | **57561** | **546** | **6046338** |
| **Total 31 12 2023** | **58511** | **332** | **6407929** |

---

925

BANCA MONTE DEI PASCHI DI SIENA

A.1.3 - Breakdown of financial assets by past due ranges (book values)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Stage 1** | **Stage 1** | **Stage 1** | **Stage 2** | **Stage 2** | **Stage 2** | **Stage 3** | **Stage 3** | **Stage 3** | **Purchased or originated<br> credit impaired financial<br> assets** | **Purchased or originated<br> credit impaired financial<br> assets** | **Purchased or originated<br> credit impaired financial<br> assets** |
| <br>**Portfolio/staging** | **Up to 30<br> days** | **from 30<br> to 90 days** | **Over 90<br> days** | **Up to 30<br> days** | **from 30<br> to 90 days** | **Over 90<br> days** | **Up to 30<br> days** | **from 30 to<br> 90 days** | **Over 90 <br> days** | **Up to 30<br> days** | **from 30 <br> to 90 days** | **Over 90<br> days** |
| 1. Financial assets measured at amortised cost | 127464 |  |  | 139016 | 79901 | 20395 | 50424 | 121220 | 1016949 |  |  | 1283 |
| 2. Financial assets measured at fair value through other comprehensive income |  |  |  |  |  |  |  |  |  |  |  |  |
| 3. Financial asset held for sale | - |  |  | - | - | - | - | - | - | - |  | - |
| **Total 31 12 2024** | **127464** |  |  | **139016** | **79901** | **20395** | **50424** | **121220** | **1016949** | **-** |  | **1283** |
| **Total 31 12 2023** | **89077** |  |  | **255971** | **93195** | **36302** | **78173** | **153566** | **869444** | **48** |  | **1339** |

---

926

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.1.4 - Financial assets, commitments to disburse funds and financial guarantees issued: changes in overall value adjustments and total allocations

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** |
| | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 1** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** | **Assets included in Stage 2** |
| <br>**Sources/risk stages** | **Loans to <br> banks and <br> Central <br> banks** | **Financial <br> assets <br> measured <br> at <br> amortised <br> cost** | **Financial <br> assets <br> measured at <br> fair value <br> through<br> other <br> comprehensive <br> income** | **Financial <br> assets held <br> for sale <br> and <br> disposal <br> group** | **of which: <br> specific <br> writedowns** | **of which: <br> collective <br> writedows** | **Loans to <br> banks and <br> Central <br> banks** | **Financial <br> assets <br> measured <br> at <br> amortised <br> cost** | **Financial <br> assets <br> measured at <br> fair value <br> through<br> other <br> comprehensive <br> income** | **Financial <br> assets held <br> for sale <br> and <br> disposal <br> group** | **of which: <br> specific <br> writedowns** | **of which: <br> collective <br> writedows** |
| **Overall value adjustments, opening balance** | **212** | **112177** | **1900** | **-** | **-** | **114288** | **-** | **371141** | **262** | **-** | **-** | **371402** |
| Increase in purchased or originated financial assets |  | 15756 | 46 |  |  | 15801 |  | 16347 |  |  |  | 16347 |
| Derecognition different from write-off | (3) | (7471) | (229) |  |  | (7701) |  | (17120) |  |  |  | (17120) |
| Net losses (recoverise) on impairment | 37 | (65716) | (507) |  |  | (66186) |  | 28671 | 1253 |  |  | 29924 |
| Modification gains/losses |  |  |  |  |  |  |  | (102) |  |  |  | (102) |
| Change in evaluation methodology |  |  |  |  |  |  |  |  |  |  |  |  |
| Write-off |  |  |  |  |  |  |  |  |  |  |  |  |
| Others |  | 62238 |  |  |  | 62237 |  | (46287) | (183) |  |  | (46471) |
| **Overall value adjustments, closing balance** | **246** | **116984** | **1210** | **-** | **-** | **118439** | **-** | **352650** | **1332** | **-** | **-** | **353980** |
| Recoveries from collections of financial assets subject to write-off |  |  |  |  |  |  |  |  |  |  |  |  |
| Write-off recognised through income state- ments |  |  |  |  |  |  |  |  |  |  |  |  |

---

927

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Overall value adjustment** | **Total provision on commitments** | **Total provision on commitments** | **Total provision on commitments** | **Total provision on commitments** | |
| | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Assets included in Stage 3** | **Purchased or originated credit impaired <br> financial assets** | **Purchased or originated credit impaired <br> financial assets** | **Purchased or originated credit impaired <br> financial assets** | **Purchased or originated credit impaired <br> financial assets** | **Purchased or originated credit impaired <br> financial assets** | **to disburs funds and financial<br> guarantees issued** | **to disburs funds and financial<br> guarantees issued** | **to disburs funds and financial<br> guarantees issued** | **to disburs funds and financial<br> guarantees issued** | |
| <br>**Sources/risk stages** | **Loans <br> to <br> banks <br> and <br> Central <br> banks** | **Financial <br> assets <br> measured <br> at <br> amortised <br> cost** | **Financial <br> assets <br> measured at <br> fair value <br> through<br> other <br> comprehensive <br> income** | **Financial <br> assets <br> held for <br> sale and <br> disposal <br> group** | **of which: <br> specific <br> writedowns** | **of which: <br> collective <br> writedows** | **Financial <br> assets <br> measured <br> at <br> amortised <br> cost** | **Financial <br> assets <br> measured at <br> fair value <br> through<br> other <br> comprehensive <br> income** | **Financial <br> assets <br> held for <br> sale and <br> disposal <br> group** | **of which: <br> specific <br> writedowns** | **of which: <br> collective <br> writedows** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or <br> originated <br> impired commitments <br> to disburse <br> fund and <br> financial <br> guarantees <br> given** | <br>**TOTAL** |
| **Overall value adjustments, opening balance** | **199** | **1634468** | **-** | **-** | **696577** | **938091** | **2061** |  | **-** | **1468** | **593** | **16484** | **16221** | **113349** | **7405** | **2275879** |
| Increase in purchased or originated financial assets |  | 486 |  |  | 486 |  | X | X | X | X | X | 1324 | 5354 | 3080 |  | 42393 |
| Derecognition different from write-off |  | (339668) |  |  | (90858) | (248810) | (1432) |  |  | (1432) |  | (1072) | (864) | (17274) |  | (385133) |
| Net losses (recoverise) on impairment | 39 | 513281 |  |  | 233714 | 279606 | 135 |  |  |  | 135 | (10337) | 7186 | 8089 | 676 | 482807 |
| Modification gains/losses |  | (1056) |  |  | (196) | (860) |  |  |  |  |  |  |  |  |  | (1158) |
| Change in evaluation methodology |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Write-off |  | (85135) |  |  | (52770) | (32364) |  |  |  |  |  |  |  |  |  | (85135) |
| Others |  | (17800) |  |  | (16008) | (1792) |  |  |  | (36) | 36 | 5976 | (6974) | 997 |  | (2033) |
| **Overall value adjustments, closing balance** | **238** | **1704576** | **-** | **-** | **770945** | **933871** | **764** |  | **-** | **-** | **764** | **12375** | **20923** | **108241** | **8081** | **2327620** |
| Recoveries from collections of financial assets subject to write-off |  | 3663 |  |  | 3663 |  |  |  |  |  |  |  |  |  |  | 3663 |
| Write-off recognised through income statements |  | (1065) |  |  | (1065) |  |  |  |  |  |  |  |  |  |  | (1065) |

---

During the 2024 financial year, total impairment provisions posted an overall increase, compared with 1 January 2024, of around EUR 51.7 mln, due almost entirely to value adjustments of financial assets carried at amortised cost, classified in stage 3 (EUR +70.1 mln). In particular, with reference to this accounting portfolio, the following elements contributed to this trend in the line:

&nbsp;&nbsp;&nbsp;&nbsp;· for "Derecognition different from write-offs" a reduction in
provisions for a total of EUR 365.7 mln, mainly attributable to the deconsolidation of the non-peforming positions included in the "Bricks"
transaction and certain single-name disposals;

&nbsp;&nbsp;&nbsp;&nbsp;· for "Write-offs not recognised directly in the income statement",
a reduction in provisions for non-performing loans for a total of EUR 85.1 mln, referring in their entirety to Stage 3 positions. Note
that the derecognitions not covered by provisions have generated an income statement impact of EUR 1.1 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· for "Net losses (recoveries) on impairment", a net increase
in provisions of EUR 476.3 mln, of which EUR 513.3 mln referred to stage 3. The main factors that affected this latter performance include
inter alia the other adjustments related to the disposal of non-performing loans carried out during the year, to management overlays and
to the update of the IFRS 9 PD and LGD models. In this regard, reference is made for further details to paragraph "2.3 Methods to
measure expected losses" of the Notes to the consolidated financial statements.

928

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.1.5 - Financial assets, commitments to disburse funds and financial guarantees issued: transfers among the different stages of credit risk (gross and nominal values)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** | **Gross value /nominal value** |
| | **Transfers between <br> Stage 1 and Stage 2** | **Transfers between <br> Stage 1 and Stage 2** | **Transfers between<br> Stage 2 and Stage 3** | **Transfers between<br> Stage 2 and Stage 3** | **Transfers between <br> Stage 1 and Stage 3** | **Transfers between <br> Stage 1 and Stage 3** |
| <br>**Portfolio/Staging** | **From Stage 1 <br> to Stage 2** | **From Stage 2 <br> to Stage 1** | **From Stage 2 <br> to Stage 3** | **From Stage 3 <br> to Stage 2** | **From Stage 1 <br> to Stage 3** | **From Stage 3 <br> to Stage 1** |
| 1. Financial assets measured at amortised cost | 5755768 | 2757944 | 758938 | 160301 | 449673 | 5659 |
| 2. Financial assets measured at fair value through other comprehensive income |  | 11309 |  |  |  |  |
| 3 Financial asset held for sale |  |  |  |  |  |  |
| 4. Commitments to disburs funds and financial guarantees issued | 2298892 | 784472 | 159747 | 4837 | 37341 | 7235 |
| **Total 31 12 2024** | **8054660** | **3553725** | **918685** | **165138** | **487014** | **12894** |
| **Total 31 12 2023** | **5731559** | **4896585** | **688046** | **193289** | **454560** | **15011** |

---

929

BANCA MONTE DEI PASCHI DI SIENA

A.1.6 - Balance sheet and off-balance sheet credit exposures to banks: gross and net values

31 12 2024

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross Exposure** | **Gross Exposure** | **Gross Exposure** | **Gross Exposure** | **Gross Exposure** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | | |
| <br>**Portfolio/quality** | **Total gross <br> exposure** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased <br> or <br> originated <br> credit <br> impaired <br> financial <br> assets** | **Total <br> impairment<br> (losses) <br> and <br> total <br> provisions** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased <br> or <br> originated <br> credit <br> impaired <br> financial <br> assets** |<br>**Net <br> exposure** |<br>**Total <br> Partial <br> Write-off \*** |
| **A. Balance-sheet exposure** |  |  |  |  |  |  |  |  |  |  |  |  |
| **A.1 Demand** | **12224788** | **12224431** |  | **357** |  | **(484)** | **(246)** |  | **(238)** |  | **12224304** |  |
| a) Non Performing | 357 | X |  | 357 |  | (238) | X |  | (238) |  | 119 |  |
| b) Performing | 12224431 | 12224431 |  | X |  | (246) | (246) |  | X |  | 12224185 |  |
| **A.2 Others** | **4211030** | **4001504** |  | **14420** |  | **(7179)** | **(792)** |  | **(6387)** |  | **4203851** |  |
| a) Bad loans |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | *-* | *X* |  | *-* |  | *-* | *X* |  | *-* |  | *-* |  |
| b) Unlikely to pay | 14420 | X |  | 14420 |  | (6387) | X |  | (6387) |  | 8033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | *-* | *X* |  | *-* |  | *-* | *X* |  | *-* |  | *-* |  |
| c) Past-due non-performing exposuress |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | *-* | *X* |  | *-* |  | *-* | *X* |  | *-* |  | *-* |  |
| d) Past-due performing exposures |  |  |  | X |  |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* |  |  |  | X |  |  |  |  | X |  |  |  |
| e) Other assets not impaired | 4196610 | 4001504 |  | X |  | (792) | (792) |  | X |  | 4195818 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | *-* | *-* |  | *X* |  | *-* | *-* |  | *X* |  | *-* |  |
| **Total A** | **16435818** | **16225935** |  | **14777** |  | **(7663)** | **(1038)** |  | **(6625)** |  | **16428155** |  |
| **B. Off-balance-sheet exposure** | **-** |  |  |  |  |  |  |  |  |  |  |  |
| a) Performing | 13510 | X |  | 13510 |  |  | X |  |  |  | 13510 |  |
| b) Non-performing | 2993340 | 2134488 |  | X |  | (255) | (255) |  | X |  | 2993085 |  |
| **Total B** | **3006850** | **2134488** |  | **13510** |  | **(255)** | **(255)** |  | **-** |  | **3006595** |  |
| **Total (A+B)** | **19442668** | **18360423** |  | **28287** |  | **(7918)** | **(1293)** |  | **(6625)** |  | **19434750** |  |

---

\* Value to be presented for disclosure purposes

At the reporting date for these financial statements, the table does not include purchased or originated impaired financial assets.

930

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.1.7 – Balance sheet and off-balance sheet credit exposures to customers: gross and net values

31 12 2024

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross Exposure** | **Gross Exposure** | **Gross Exposure** | **Gross Exposure** | **Gross Exposure** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | **Impairment (losses) and total provisions** | | |
| <br>**Portfolio/quality** | **Total gross <br> exposure** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased <br> or <br> originated <br> credit <br> impaired <br> financial <br> assets** | **Total <br> impairment<br> (losses) <br> and <br> total <br> provisions** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased <br> or <br> originated <br> credit <br> impaired <br> financial <br> assets** |<br>**Net <br> exposure** |<br>**Partial <br> Write-off \*** |
| **A. Balance-sheet exposure** |  |  |  |  |  |  |  |  |  |  |  |  |
| a) Bad loans | 1.244.849 | X |  | 1.240.207 | 1.659 | (815.595) | X |  | (814.788) | (706) | 429.254 | 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | 242.503 | *X* |  | 242.345 | 118 | (159.891) | *X* |  | (159.790) | (75) | 82.612 | 173 |
| b) Unlikely to pay | 2.230.194 | X |  | 2.220.539 | 411 | (865.249) | X |  | (858.563) | (56) | 1.364.945 | 15.230 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | 986.012 | *X* |  | 979.606 | 411 | (340.720) | *X* |  | (336.299) | (56) | 645.292 | 8.264 |
| c) Past-due non-performing exposuress | 89.348 | X |  | 89.200 |  | (24.855) | X |  | (24.839) |  | 64.493 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | 4.691 | *X* |  | 4.691 |  | (1.151) | *X* |  | (1.151) |  | 3.540 |  |
| d) Past-due performing exposures | 382.281 | 127.923 | 253.785 | X |  | (14.933) | (459) | (14.474) | X |  | 367.348 | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | 26.217 |  | 26.217 | *X* |  | (1.287) |  | (1.287) | *X* |  | 24.930 |  |
| e) Other Performing exposures | 91.427.474 | 76.838.651 | 10.967.526 | X | 850 | (456.449) | (116.941) | (339.506) | X | (2) | 90.971.025 | 3.343 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which forborne* | 1.047.746 | - | 1.029.688 | *X* | - | (66.918) | - | (66.918) | *X* | - | 980.828 | 622 |
| **Total A** | **95.374.146** | **76.966.574** | **11.221.311** | **3.549.946** | **2.920** | **(2.177.081)** | **(117.400)** | **(353.980)** | **(1.698.190)** | **(764)** | **93.197.065** | **19.476** |
| **B. Off-balance-sheet exposure** |  |  |  |  |  |  |  |  |  |  | **-** |  |
| a) Performing | 617.450 | X |  | 608.753 | 8.696 | (116.324) | X |  | (108.242) | (8.082) | 501.126 |  |
| b) Non-performing | 42.905.758 | 37.319.020 | 1.277.020 | X | 245 | (41.132) | (12.119) | (20.924) | X | - | 42.864.626 | - |
| **Total B** | **43.523.208** | **37.319.020** | **1.277.020** | **608.753** | **8.941** | **(157.456)** | **(12.119)** | **(20.924)** | **(108.242)** | **(8.082)** | **43.365.752** | **-** |
| **Total (A+B)** | **138.897.354** | **114.285.594** | **12.498.331** | **4.158.699** | **11.861** | **(2.334.537)** | **(129.519)** | **(374.904)** | **(1.806.432)** | **(8.846)** | **136.562.817** | **19.476** |

---

\* Value to be presented for disclosure purposes

Please see the Report on Operations for quantification of and reporting on capital ratios for hedging of lending transactions.

As at 31 December 2024, the Bank held acquired impaired loans with a nominal value of EUR 16.1 mln; The loans were classified in the portfolio "Financial assets measured at amortised cost" at the purchase price of EUR 0.7 mln, appropriately adjusted in order to align the net book value to the initial recognition fair value.

For more detailed information on originated or purchased impaired financial assets, reference should be made to paragraph 3.3 "Purchased or originated impaired financial assets", section 1 "Credit risk - Qualitative information" in these Notes to the consolidated financial statements.

931

BANCA MONTE DEI PASCHI DI SIENA

A.1.8 - Balance-sheet exposure to banks: changes in gross non-performing loans

31 12 2024

---

| | | | |
|:---|:---|:---|:---|
| **Source/Categories** | **Bad loans** | **Unlikely to pay** | **Non-performing<br> Past due** |
| **A. Goss esposure, opening balance** |  | **1177** |  |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |
| **B.Increases** |  | **13608** |  |
| &nbsp;&nbsp;&nbsp;B.1 Transfers from performing loans |  | 13608 |  |
| &nbsp;&nbsp;&nbsp;B.2 Transfers from purchased or originated credit impaired (POCI) |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Transfers from other non performing exposure |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Modification gains/losses |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Other increases |  |  |  |
| **C. Decreases** |  | **8** |  |
| &nbsp;&nbsp;&nbsp;C.1 Transfers to performing loans |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Write-off |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Collections |  | 8 |  |
| &nbsp;&nbsp;&nbsp;C.4 Amounts realised upon disposal of positions |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Losses from disposal |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfers from other non performing exposure |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Modification gains/losses |  |  |  |
| &nbsp;&nbsp;&nbsp;C.8 Other decreases |  |  |  |
| **D.Gross exposure, closing balance** |  | **14777** |  |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |

---

At the reporting date, there are no impaired financial assets purchased during the financial year through either business combination transactions or other types of acquisitions.

A.1.8 bis – Balance-sheet credit exposure to banks: changes in gross forborne exposure broken down by credit quality

This table was not completed as the Bank did not hold forborne exposures neither in the current year nor in the previous year.

932

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.1.9 – Balance-sheet credit exposure to customers: changes in gross non-performing loans

31 12 2024

---

| | | | |
|:---|:---|:---|:---|
| **Source/Categories** | **Bad loans** | **Unlikely to pay** | **Non-performing<br> Past due** |
| **A. Gross exposure, opening balance** | **1324212** | **1962711** | **119845** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised | 58774 | 9476 | 301 |
| **B. Increases** | **485251** | **1349004** | **92142** |
| &nbsp;&nbsp;&nbsp;B.1 Transfers from performing loans | 85478 | 1145703 | 81228 |
| &nbsp;&nbsp;&nbsp;B.2 Transfers from purchased or originated credit impaired (POCI) | 477 | 31 |  |
| &nbsp;&nbsp;&nbsp;B.3 Transfers from other non performing exposure | 359173 | 54535 | 233 |
| &nbsp;&nbsp;&nbsp;B.4 Modification gains/losses |  | 162 |  |
| &nbsp;&nbsp;&nbsp;B.5 Other increases | 40123 | 148573 | 10681 |
| **C. Decreases** | **564612** | **1081520** | **122642** |
| &nbsp;&nbsp;&nbsp;C.1 transfers to performing loans | 943 | 152513 | 24560 |
| &nbsp;&nbsp;&nbsp;C.2 write-offs | 46105 | 40438 | 140 |
| &nbsp;&nbsp;&nbsp;C.3 collections | 139416 | 484916 | 30904 |
| &nbsp;&nbsp;&nbsp;C.4 amounts realised upon disposal of positions | 81683 | 14507 |  |
| &nbsp;&nbsp;&nbsp;C.5 Losses from disposal |  | 204 |  |
| &nbsp;&nbsp;&nbsp;C.6 transfers to other categories of impaired exposure | 1097 | 345811 | 67033 |
| &nbsp;&nbsp;&nbsp;C.7 Modification gains/losses |  | 7865 | 5 |
| &nbsp;&nbsp;&nbsp;C.8 other decreases | 295368 | 35266 |  |
| **D. Gross exposure, closing balance** | **1244851** | **2230195** | **89345** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |

---

The line item Other decreases, amounting to a total of EUR 330.6 mln, is attributable for EUR 264.2 mln to non-performing exposures subject to disposal during the year, of which EUR 250.5 mln is classified as bad loans and EUR 13.7 mln as unlikely to pay.

With reference to bad loans, 13% of total payments received are from judicial collections, 24% from out-of-court settlements, 10% from property leasing sales, and 21% from enforcement of consortium guarantees (first-demand); in addition, around EUR 81.7 mln relating to collections from disposal.

933

BANCA MONTE DEI PASCHI DI SIENA

A.1.9bis – Balance-sheet credit exposure to customers: changes in gross forborne exposure broken down by credit quality

31 12 2024

---

| | | |
|:---|:---|:---|
| **Source/Categories** | **Non performing <br> forborne <br> exposures** | **Performing <br> forborne <br> exposures** |
| **A. Goss esposure, opening balance** | **1198368** | **1206186** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |
| **B.Increases** | **511034** | **533228** |
| &nbsp;&nbsp;&nbsp;B.1 Transfers from performing loans non forborne exposure | 205335 | 356262 |
| &nbsp;&nbsp;&nbsp;B.2 Transfers from performing forborne esposures | 168659 | X |
| &nbsp;&nbsp;&nbsp;B.3 Transfers from Non-performing forborne esposures | X | 126793 |
| &nbsp;&nbsp;&nbsp;B.4 Transfers from Non-performing loans non forborne exposure | 61155 | 2101 |
| &nbsp;&nbsp;&nbsp;B.5 Other increases | 75885 | 48072 |
| **C. Decreases** | **476198** | **665451** |
| &nbsp;&nbsp;&nbsp;C.1 Transfers to performing loans non forborne exposure | X | 247215 |
| &nbsp;&nbsp;&nbsp;C.2 Transfers to performing forborne exposures | 126793 | X |
| &nbsp;&nbsp;&nbsp;C.3 Transfers to non-performing forborne exposures | X | 168659 |
| &nbsp;&nbsp;&nbsp;C.4 Write-offs | 9233 | 32 |
| &nbsp;&nbsp;&nbsp;C.5 Collections | 217234 | 233062 |
| &nbsp;&nbsp;&nbsp;C.6 Amounts realised upon disposal of positions | 27488 |  |
| &nbsp;&nbsp;&nbsp;C.7 Losses from disposal |  |  |
| &nbsp;&nbsp;&nbsp;C.8 Other decreases | 95450 | 16483 |
| **D.Gross exposure, closing balance** | **1233204** | **1073963** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |

---

934

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.1.10 - Non-performing balance-sheet credit exposures to banks: changes in overall value adjustments

31 12 2024

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Bad loans** | **Bad loans** | **Unlikely to pay** | **Unlikely to pay** | **Non-performing Past due** | **Non-performing Past due** |
| <br>**Source/Categories** | **Total** | ***of which forborne*** | **Total** | ***of which forborne*** | **Total** | ***of which forborne*** |
| **A. Opening balance of overall adjustments** |  | **-** | **620** | **-** |  | **-** |
| &nbsp;&nbsp;&nbsp;*- of which: transferred but not derecognised* |  | *-* | *-* | *-* |  | *-* |
| **B. Increases** |  | **-** | **6005** | **-** |  | **-** |
| &nbsp;&nbsp;&nbsp;B.1 Value adjustments from purchased or originated credit impaired |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;B.2 Other value adjustment |  |  | 5979 |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Loss from disposal |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Transfers from other categories of non performing exposures |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Modification gains/losses |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;B.6 Other increases |  |  | 26 |  |  |  |
| **C. Decreases** |  | **-** | **-** | **-** |  | **-** |
| &nbsp;&nbsp;&nbsp;C.1 Write-backs from valuation |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Write-backs from collection |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Gains on disposal |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Write-offs |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Transfers to other categories of non performing exposure |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Modification gains/losses |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases |  |  |  |  |  |  |
| **D. Closing balance of overall adjustments** |  | **-** | **6625** | **-** |  | **-** |
| &nbsp;&nbsp;&nbsp;*- of which: transferred but not derecognised* |  | *-* | *-* | *-* |  | *-* |

---

At the reporting date, there are no impaired financial assets purchased during the financial year through either business combination transactions or other types of acquisitions.

935

BANCA MONTE DEI PASCHI DI SIENA

A.1.11 - Non-performing balance-sheet credit exposure to customers: changes in overall value adjustments

31 12 2024

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Bad loans** | **Bad loans** | **Unlikely to pay** | **Unlikely to pay** | **Non-performing Past due** | **Non-performing Past due** |
| <br>**Source/Categories** | **Total** | **of which <br> forborne** | **Total** | **of which<br> forborne** | **Total** | **of which <br> forborne** |
| **A. Opening balance of overall adjustments** | **897289** | **156177** | **737599** | **324383** | **26552** | **2560** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |  |  |  |
| **B. Increases** | **334777** | **74065** | **501853** | **159770** | **23043** | **1230** |
| &nbsp;&nbsp;&nbsp;B.1 Value adjustments from purchased or originated credit impaired | 477 | X | 8 | X |  | X |
| &nbsp;&nbsp;&nbsp;B.2 Other value adjustment | 176470 | 41071 | 446373 | 130723 | 20782 | 978 |
| &nbsp;&nbsp;&nbsp;B.3 Loss from disposal |  |  | 204 |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Transfers from other categories of non performing exposures | 149004 | 24830 | 13026 | 1376 | 55 | 7 |
| &nbsp;&nbsp;&nbsp;B.5 Modification gains/losses |  | X | 31 | X |  | X |
| &nbsp;&nbsp;&nbsp;B.6 Other increases | 8826 | 8164 | 42211 | 27671 | 2206 | 245 |
| **C. Decreases** | **416471** | **70351** | **374203** | **143433** | **24740** | **2639** |
| &nbsp;&nbsp;&nbsp;C.1 Write-backs from valuation | 44780 | 8638 | 66959 | 42415 | 3029 | 25 |
| &nbsp;&nbsp;&nbsp;C.2 Write-backs from collection | 43622 | 13053 | 92397 | 45690 | 4252 | 809 |
| &nbsp;&nbsp;&nbsp;C.3 Profit from disposal |  |  | 751 |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Write-offs | 46105 | 4911 | 40438 | 4321 | 140 |  |
| &nbsp;&nbsp;&nbsp;C.5 Transfers to other categories of non performing exposure | 417 | 33 | 145608 | 24635 | 16059 | 1546 |
| &nbsp;&nbsp;&nbsp;C.6 Modification gains/losses |  | X | 1114 | X | 1 | X |
| &nbsp;&nbsp;&nbsp;C.7 Other decreases | 281547 | 43716 | 26936 | 26372 | 1259 | 259 |
| **D. Closing balance of overall adjustments** | **815595** | **159891** | **865249** | **340720** | **24855** | **1151** |
| &nbsp;&nbsp;&nbsp;- of which: transferred but not derecognised |  |  |  |  |  |  |

---

The line C.7 "Other decreases", amounting to EUR 309.7 mln, refers mainly to the closing of provisions relating to the non-performing exposures sold in 2024, of which EUR 250.5 mln relates to positions classified as non-performing and EUR 13.7 mln to positions classified as unlikely to pay.

936

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

*Exposure to sovereign debt risk*

Below are the net sovereign credit risk exposures in government bonds, loans and credit derivatives held by the Bank as at 31 December 2024.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; in mln of EUR

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **DEBT SECURITIES** | **DEBT SECURITIES** | **DEBT SECURITIES** | **DEBT SECURITIES** | **DEBT SECURITIES** | **LOANS** | **CREDIT<br> DERIVATIVES** |
| | **Financial assets measured at fair<br> value through profit or loss** | **Financial assets measured at fair<br> value through profit or loss** | **Financial assets measured at fair<br> value through other comprehensive income** | **Financial assets measured at fair<br> value through other comprehensive income** | **Financial assets<br> measured at<br> amortised cost** | **Financial assets<br> measured at<br> amortised cost** | **Financial assets <br> held<br> for trading** |
| <br>**COUNTRY** | **Nominal** | **Fair value=book<br> value** | **Nominal** | **Fair value=book<br> value** | **Book value** | **Book value** | **Nominal** |
| Argentine | 0.5 |  |  |  |  |  |  |
| Bosnia |  |  | 8.0 | 3.3 |  |  |  |
| France |  |  | 45.0 | 42.7 | 11.1 |  |  |
| Italy | 1840.4 | 1572.9 | 1519.0 | 1451.9 | 8407.1 | 1528.1 | 1475.9 |
| Norway | 0.1 |  | 15.0 | 11.8 |  |  |  |
| Poland |  |  | 2.0 | 1.6 |  |  |  |
| Portugal | 0.3 | 0.2 | 19.6 | 11.7 | 2.9 |  |  |
| Russia |  |  | 30.0 | 25.6 |  |  |  |
| Spain |  |  |  |  | 666.5 |  |  |
| Sud Africa |  |  | 48.1 | 36.0 |  |  |  |
| Turkey |  |  | 5.0 | 5.1 |  |  |  |
| Other Countries | (0.1) | 0.1 | - | (0.1) | (0.1) | - | - |
| **Total 31 12 2024** | **1841.2** | **1573.2** | **1691.7** | **1589.6** | **9087.5** | **1528.1** | **1475.9** |
| **Total 31 12 2023** | **1636.4** | **1339.6** | **1876.3** | **1722.5** | **8719.0** | **1706.0** | **2325.6** |

---

Details on the Bank's exposure is presented taking into consideration that, according to instructions from the European Securities and Markets Authority (ESMA), "sovereign debt" is defined as bonds issued by the central and local Govern-ments and by government Entities, as well as loans disbursed to said entities. These financial instruments were measured according to the standards applicable to the category to which they belong.

As at 31 December 2024, the residual duration of the exposure to the most significant component of sovereign debt (Italian debt securities) was 6.73 years. The overall exposure to loans and debt securities amounted to EUR 13,778.5 mln, almost entirely in Italian debt, and is concentrated in the portfolio of financial assets measured at amortised cost. Exposures to Italy are almost entirely classified in level 1 of the fair value hierarchy, less EUR 411.3 mln classified in level 2 and mainly attributable to government securities.

We provide below a breakdown of reserves on financial assets measured at fair value through other comprehensive in-come and of Italian credit derivatives (in EUR/mln):

937

BANCA MONTE DEI PASCHI DI SIENA

---

| | | |
|:---|:---|:---|
| **Financial assets measured at fair value through other comprehensive income: Italy** | **31 12 2024** | **31 12 2023** |
| Book value | 1451.9 | 1624.6 |
| OCI reserve (after tax) | (19.2) | (39.8) |
| of which: hedging effect (after tax) | 0.1 | (20.1) |

---

---

| | | |
|:---|:---|:---|
| **Credit derivatives - Italy** | **31 12 2024** | **31 12 2023** |
| **Purchase of protection** |  |  |
| Nominal | (79.8) | (79.5) |
| Positive fair value |  |  |
| Negative fair value | (4.7) | (5.5) |
| **Sale of protection** |  |  |
| Nominal | 1555.7 | 2405.2 |
| Positive fair value |  |  |
| Negative fair value | (45.0) | (85.9) |

---

938

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.2 Classification of exposures by external and internal ratings

A.2.1 – Breakdown of financial assets, commitments to disburse funds and financial guarantees issued by external rating class (gross values)

31 12 2024

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **External class rating** | **External class rating** | **External class rating** | **External class rating** | **External class rating** | **External class rating** | | |
| <br>**Exposures** | **class 1** | **class 2** | **class 3** | **class 4** | **class 5** | **class 6** |<br>**No rating** |<br>**Total** |
| **A. Financial assets measured at amortised cost** | **698669** | **1076959** | **9204212** | **1212261** | **106194** | **28** | **81292072** | **93590395** |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 698669 | 1076959 | 9154814 | 341843 | 34307 |  | 67497881 | 78804473 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  | 49398 | 870418 | 71887 | 28 | 10226906 | 11218637 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  | 3564365 | 3564365 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  |  |  |  |  | 2920 | 2920 |
| **B. Financial assets measured at fair value through other comprehensive income** | 379648 | 11736 | 1717484 | 54737 |  | 2674 |  | 2166279 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 379648 | 11736 | 1717484 | 54737 |  |  |  | 2163605 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  | 2674 |  | 2674 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  |  |  |  |  |  |  |
| **C. Financial assets held for sale** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;- Stage 1 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | - | - | - | - | - | - |
| **Total (A+B+C)** | **1078317** | **1088695** | **10921696** | **1266998** | **106194** | **2702** | **81292072** | **95756674** |
| **D. Commitments to disburse funds and financial guarantees given** | 130429 | 643006 | 1300120 | 1245460 | 78484 | 12713 | 37951521 | 41361733 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 130429 | 525258 | 1298551 | 1245460 | 73407 | 10388 | 36170015 | 39453508 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  | 117748 | 1569 |  | 5077 | 2325 | 1150301 | 1277020 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  | 622263 | 622263 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | - | - | - | - | 8942 | 8942 |
| **Total (A+B+C+D)** | **1208746** | **1731701** | **12221816** | **2512458** | **184678** | **15415** | **119243593** | **137118407** |

---

class 1=AAA/AA-; class 2=A+/A-; class 3=BBB+/BBB- ;class 4=BB+/BB-;class 5=B+/B- class 6=Lower than B-

The external rating categories used to complete the table are from Standard & Poor's. Balance-sheet gross exposures correspond to the exposures in Table E.A.1.2, while off-balance-sheet exposures correspond to those shown in Table E.A.1.6 and E.A.1.7. If multiple external ratings are assigned, the rating is selected based on Bank of Italy's criteria (when two ratings are available, the lower of the two is used, and when three or more ratings are assigned, the second highest rating is selected). To ensure relevance of information, internal cross-reference tables were used to convert classification by various rating agencies into classification by Standard & Poor's.

939

BANCA MONTE DEI PASCHI DI SIENA

A.2.2 – Breakdown of financial assets, commitments to disburse funds and financial guarantees issued by internal rating class (gross values)

31 12 2024

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Internal rating class** | **Internal rating class** | **Internal rating class** | **Internal rating class** | **Internal rating class** | **Internal rating class** | **Internal rating class** | **Internal rating class** | **Internal rating class** |
| <br>**Exposures** | **High quality** | **Average<br> quality** | **Fair <br> quality** | **Mediocre<br> quality** | **Poor<br> quality** | **Default** | **Group<br> administrative<br> default** | **No rating** | **Total** |
| **A. Financial assets measured at amortised cost** | 9835149 | 21228170 | 20359308 | 9273574 | 512866 | 3566435 |  | 28814893 | 93590395 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 9580147 | 20636421 | 17344545 | 3967771 | 782 |  |  | 27274807 | 78804473 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 | 255002 | 591749 | 3013913 | 5305803 | 512084 |  |  | 1540086 | 11218637 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  | 3564365 |  |  | 3564365 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  | 850 |  |  | 2070 |  |  | 2920 |
| **B. Financial assets measured at fair value through other comprehensive income** | 912 | 7079 | 1 |  |  |  |  | 2158288 | 2166280 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 912 | 7079 | 1 |  |  |  |  | 2155614 | 2163606 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  | 2674 | 2674 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets |  |  |  |  |  |  |  |  |  |
| **C. Financial assets held for sale** | **-** | **-** | **-** | **-** | **-** | **-** |  | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | - | - | - | - |  | - | - |
| **Total (A+B+C)** | **9836061** | **21235249** | **20359309** | **9273574** | **512866** | **3566435** |  | **30973181** | **95756675** |
| **D. Commitments to disburse funds and financial guarantees given** | 6322368 | 8446893 | 8460187 | 2003292 | 44332 | 630959 |  | 15453702 | 41361733 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 1 | 6097948 | 8277324 | 7989803 | 1619411 | 24695 |  |  | 15444328 | 39453509 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 2 | 224420 | 169569 | 470139 | 383881 | 19637 |  |  | 9374 | 1277020 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  | 622263 |  |  | 622263 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Purchased or originated impaired financial assets | - | - | 245 | - | - | 8696 |  | - | 8941 |
| **Total (A+B+C+D)** | **16158429** | **29682142** | **28819496** | **11276866** | **557198** | **4197394** |  | **46426883** | **137118408** |

---

High Quality customers (Master Scale categories AAA and A1) Good Quality customers (Master Scale categories A2, A3 and B1) Fair Quality customers (Master Scale categories B2, B3, C1 and C2) Mediocre Quality customers (Master Scale categories C3, D1, D2 and D3) Poor Quality customers (Master Scale categories E1, E2 and E3)

The table provides a breakdown of customers of the Bank by risk categories assigned on the basis of ratings arising from internal models. For this purpose, account is given only of exposures (borrowers) for which an internal rating is periodically recorded for models/legal entities/portfolios which have been subject to a validation process with the Supervisory Authority

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without any cross-reference from official ratings to internal ratings, especially with regard to the following customer seg-ments: "Banks," "Non-banking financial institutions," and "Governments and Public Administration". Thus, based on this provision, exposures related to the latter segments, even if covered by official ratings, were reported as "unrated" in the internal rating models.

A.3 Breakdown of secured credit exposures by type of collateral

A.3.1 - Secured on- and off-balance-sheet exposures to banks

**31 12 2024** 

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | |  |  |  |  | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | |
|  | | |  |  |  |  | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | |
|  | | | **Collaterals** | **Collaterals** | **Collaterals** | **Collaterals** | | **Other derivatives** | **Other derivatives** | **Other derivatives** | **Other derivatives** | | | | | |
|  | <br>**Amount<br> of gross<br> exposure** | <br>**Amount of<br> NetExposure** | **Real<br> estate<br> mortgages** | **Real<br> estate<br> leasing** | **Securities** | **Other** | <br>**CLN** | **Central<br> counterparties** | **Banks** | **Other<br> Financial<br> entities** | **Other<br> entities** | **Public<br> entities** | **Banks** | **Other<br> financial<br> entities** | **Other<br> entities** | <br>**Total<br> collateral<br> and<br> personal<br> guarantees** |
| **1. Secured balance-sheetexposures:** | **859081** | **859076** | **802** | **-** | **850465** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **24** | **851291** |
| 1.1 totally secured | 857245 | 857240 | 802 |  | 850465 |  |  |  |  |  |  |  |  |  |  | 851267 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which non performing* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* |
| 1.2 partially secured | 1836 | 1836 |  |  |  |  |  |  |  |  |  |  |  |  | 24 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which non performing* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* |
| **2. Secured off-balance sheet exposures:** | **225867** | **225867** | **-** | **-** | **9659** | **196314** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **205973** |
| 2.1 totally secured | 9659 | 9659 |  |  | 9659 |  |  |  |  |  |  |  |  |  |  | 9659 |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which non performing* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* |
| 2.2 partially secured | 216208 | 216208 |  |  |  | 196314 |  |  |  |  |  |  |  |  |  | 196314 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which non performing | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* | *-* |

---

In addition to balance-sheet exposures, the table shows the amount of off-balance-sheet exposures to banks (including de-rivative contracts with banks) which are fully or partially secured. As regards personal guarantees, the economic segments to which guarantors and sellers of protection belong (in the case of unsecured loans and credit derivatives, respectively) are identified making reference to the classification criteria provided for in the brochure "classification of customers by segments and groups of economic activity" published by the Bank of Italy.

Exposures are classified as either "totally secured" or "partially secured" by comparing the gross exposure with the amount of the guarantee established in the contract; for that purpose, any supplemental guarantees are also considered.

The fair value of collaterals estimated as at the reporting date is shown in the columns "Collaterals" and "Personal guaran-tees"; if such information is not available, the contractual value is reported. Please note that both values may not be higher than the book value of secured exposures, in line with the 8th update to Bank of Italy Circular 262.

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A.3.2 - Secured on- and off-balance-sheet exposures to banks

**31 12 2024** 

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | |  |  |  |  | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | **Personal guarantees** | |
|  | | |  |  |  |  | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | **Unsecured signature loans** | |
|  | | | **Collaterals** | **Collaterals** | **Collaterals** | **Collaterals** | | **Other derivatives** | **Other derivatives** | **Other derivatives** | **Other derivatives** | | | | | |
|  | <br>**Gross<br> exposures** | <br>**Net<br> exposures** | **Real<br> estate<br> mortgages** | **Real<br> estate<br> leasing** | **Securities** | **Other<br> collaterals** | <br>**CLN** | **Central<br> counterparties** | **Banks** | **Other<br> Financial<br> entities** | **Other<br> entities** | **Public<br> entities** | **Banks** | **Other<br> financial<br> entities** | **Other<br> entities** | <br>**Total<br> callaterals<br> and<br> personnel<br> guarantees** |
| **1. Secured balance-sheet exposures** | **62034712** | **60361062** | **35530962** | **1665374** | **7439055** | **1123877** | **-** | **-** | **-** | **-** | **-** | **7529601** | **1980** | **583165** | **4687453** | **58561467** |
| 1.1 totally secured | 55983797 | 54471153 | 35526451 | 1665374 | 7301832 | 1063892 |  |  |  |  |  | 3773134 | 1537 | 529276 | 4374979 | 54236475 |
| - of which non-performing | 2599225 | 1426763 | 925492 | 85737 | 3417 | 16567 |  |  |  |  |  | 277090 |  | 16521 | 94185 | 1419009 |
| 1.2 Partially secured | 6050915 | 5889909 | 4511 |  | 137223 | 59985 |  |  |  |  |  | 3756467 | 443 | 53889 | 312474 | 4324992 |
| - of which non-performing | 419290 | 282094 | 448 |  | 1939 | 432 |  |  |  |  |  | 214143 |  | 3189 | 14765 | 234916 |
| **2. Secured off-balance sheet exposures** | **17651466** | **17621567** | **340518** | **21006** | **10265190** | **747689** | **-** | **-** | **-** | **-** | **-** | **764236** | **2926** | **497890** | **4248752** | **16888207** |
| 1.1 totally secured | 15618651 | 15593156 | 337853 | 21002 | 10235558 | 162130 |  |  |  |  |  | 466401 | 2926 | 454639 | 3844215 | 15524724 |
| - of which non-performing | 85548 | 75280 | 5086 | 1362 | 2048 | 1300 |  |  |  |  |  | 5339 |  | 1431 | 58585 | 75151 |
| 1.2 Partially secured | 2032815 | 2028411 | 2665 | 4 | 29632 | 585559 |  |  |  |  |  | 297835 |  | 43251 | 404537 | 1363483 |
| - of which non-performing | 24907 | 21949 |  |  | 219 | 561 |  |  |  |  |  | 3160 |  | 262 | 14239 | 18441 |

---

In addition to balance sheet exposures, the table shows the amount of off-balance sheet exposures to customers (includ-ing derivative contracts with customers) which are fully or partially secured.

As regards personal guarantees, the economic segments to which guarantors (credit commitments) and sellers of pro-tection (credit derivatives) belong are identified by making reference to the classification criteria provided for by the Bank of Italy, Circular no. 140 of 11 February 1991 "Instructions for classifying customers". Exposures are classified as either "totally secured" or "partially secured" by comparing the gross exposure with the amount of the guarantee established in the contract; for that purpose, any supplemental guarantees are also considered.

The fair value of collaterals estimated as at the reporting date is shown in the columns "Collaterals" and "Personal guaran-tees"; if such information is not available, the contractual value is reported. Please note that both values may not be higher than the book value of secured exposures, in line with the 8th update to Bank of Italy Circular 262.

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A.4 – Financial and non-financial assets obtained through enforcement of guarantees received

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | | | | **Book value** | **Book value** |
|  | <br>**Derecognised<br> credit exposure** | <br>**Gross Value** | <br>**Total<br> impairment<br> (losses)** |  | **of which:<br> obtained <br> during the year** |
| **A. Property, plant and equipments** | **48647** | **53749** | **25905** | **27844** | **3882** |
| &nbsp;&nbsp;&nbsp;A.1. Used in the business |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.2. Held for investments | 48647 | 53749 | 25905 | 27844 | 3882 |
| &nbsp;&nbsp;&nbsp;A.3. Inventories |  |  |  |  |  |
| **B. Equity instruments and Debt securities** | **24214** | **24214** | **(3001)** | **27215** | **-** |
| **C. Other assets** | **-** | **-** | **-** | **-** | **-** |
| **D. Non current assets and group of assets held for sale** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;D.1. Property, plant and equipment |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;D.2. Other assets | - | - | - | - | - |
| **Total 31 12 2024** | **72861** | **77963** | **22904** | **55059** | **3882** |
| **Total 31 12 2023** | **95985** | **74330** | **21484** | **52846** | **-** |

---

The "Financial and non-financial assets obtained through enforcement of guarantees received" shown in the table above include assets:

&nbsp;&nbsp;&nbsp;&nbsp;· resulting
 from non-redemption of assets in leasing and termination of non-performing finance lease
 agreements;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· resulting from datio in solutum.

As at 31 December 2024, the Bank held financial instruments with a book value of EUR 24.2 mln (EUR 27.1 mln as at 31 December 2023), classified in the accounting portfolio of "Financial assets mandatorily measured at fair value", which represent financial assets not previously granted by the debtor as collateral for pre-existing loans granted, but acquired as part of bilateral agreements with the latter, as a result of which the Group arranged for the derecognition of the related credit exposure.

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B. Breakdown and concentration of credit exposures

B.1 - Breakdown of on- and off-balance-sheet exposures to banks by business segment

31 12 2024

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Public entities** | **Public entities** | **Fianncial companies** | **Fianncial companies** | **Financial companies: <br> of which insurance <br> companies** | **Financial companies: <br> of which insurance <br> companies** | **Non-financial companies** | **Non-financial companies** | **Families** | **Families** |
| <br>**Exposures/Counterparties** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment <br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total <br> impairment<br> (losses)** |
| **A. Balance sheet exposure** |  |  |  |  |  |  |  |  |  |  |
| A.1 Bad loans | 176 | 813 | 3444 | 938 |  |  | 320856 | 649672 | 104779 | 164172 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne |  |  | 186 | 168 |  |  | 58281 | 114976 | 24145 | 44747 |
| A.2 Unlikely to pay | 1635 | 2077 | 1141 | 910 |  |  | 819196 | 613515 | 542974 | 248747 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne | 13 | 10 | 323 | 266 |  |  | 301597 | 198276 | 343359 | 142168 |
| A.3 Past-due nonperforming | 7631 | 6048 | 140 | 102 |  |  | 20018 | 7756 | 36704 | 10949 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne |  |  |  |  |  |  | 1650 | 678 | 1890 | 473 |
| A.4 Performing exposures | 15750518 | 7240 | 11048185 | 8987 | 81645 |  | 31888302 | 296192 | 32651368 | 158963 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: forborne | 18200 | 30 | 40960 | 794 | - |  | 602513 | 48851 | 344085 | 18531 |
| **Total A** | **15759960** | **16178** | **11052910** | **10937** | **81645** |  | **33048372** | **1567135** | **33335825** | **582831** |
| **B. Off-balance-sheet exposures** |  |  |  |  |  |  |  |  |  |  |
| B.1 Non performing exposures |  |  | 995 | 204 |  |  | 483857 | 115537 | 16273 | 583 |
| B.2 Performing exposures | 3578181 | 20 | 12580849 | 193 | 243571 |  | 24941281 | 38380 | 1764315 | 2539 |
| **Totale B** | **3578181** | **20** | **12581844** | **397** | **243571** |  | **25425138** | **153917** | **1780588** | **3122** |
| **Total (A+B) 31 12 2024** | **19338141** | **16198** | **23634754** | **11334** | **325216** |  | **58473510** | **1721052** | **35116413** | **585953** |
| **Total (A+B) 31 12 2023** | **19792482** | **19238** | **21683695** | **28957** | **125013** |  | **58608866** | **1637477** | **35238874** | **622484** |

---

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

B.2 – Breakdown of on- and off-balance-sheet exposures to customers by geographic area

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **ITALY** | **ITALY** | **OTHER EUROPEAN COUTRIES** | **OTHER EUROPEAN COUTRIES** | **AMERICA** | **AMERICA** | **ASIA** | **ASIA** | **REST OF THE WORLD** | **REST OF THE WORLD** |
| <br>**Exposures/Gerographic Areas** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** |
| **A. Balance sheet exposure** |  |  |  |  |  |  |  |  |  |  |
| A.1 Bad loans | 428389 | 812121 | 653 | 1591 | 154 | 1670 | 58 | 213 |  |  |
| A.2 Unlikely to pay | 1358864 | 856574 | 5424 | 7745 | 391 | 326 | 267 | 590 |  | 14 |
| A.3Past-due nonperforming | 61705 | 23943 | 1932 | 641 | 174 | 10 | 643 | 251 | 40 | 9 |
| A.4 Performing exposures | 88489488 | 469512 | 1037554 | 809 | 522653 | 493 | 113466 | 111 | 1175213 | 457 |
| **Total A** | **90338446** | **2162150** | **1045563** | **10786** | **523372** | **2499** | **114434** | **1165** | **1175253** | **480** |
| **B. Off-balance-sheet exposures** |  |  |  |  |  |  |  |  |  |  |
| B.1 Non performing exposures | 500387 | 116324 | 2 |  | 2 |  | 734 |  |  |  |
| B.2 Performing exposures | 40752627 | 41064 | 1680832 | 65 | 320121 | 2 | 49696 | - | 61350 | - |
| **Total B** | **41253014** | **157388** | **1680834** | **65** | **320123** | **2** | **50430** | **-** | **61350** | **-** |
| **Total (A+B) 31 12 2024** | **131591460** | **2319538** | **2726397** | **10851** | **843495** | **2501** | **164864** | **1165** | **1236603** | **480** |
| **Total (A+B) 31 12 2023** | **130875406** | **2293663** | **3522876** | **10804** | **573291** | **2310** | **155670** | **1212** | **196673** | **163** |

---

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B.3 - Breakdown of on- and off-balance-sheet exposures to banks by geographic area (book values)

**Esposizioni/Aree geografiche**

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **ITALY** | **ITALY** | **OTHER EUROPEAN COUTRIES** | **OTHER EUROPEAN COUTRIES** | **AMERICA** | **AMERICA** | **ASIA** | **ASIA** | **REST OF THE WORLD** | **REST OF THE WORLD** |
| <br>**Exposures/Gerographic Areas** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** | **Net<br> exposure** | **Total<br> impairment<br> (losses)** |
| **A. Balance sheet exposure** |  |  |  |  |  |  |  |  |  |  |
| A.1 Bad loans |  |  |  |  |  |  |  |  |  |  |
| A.2 Unlikely to pay |  |  | 420 | 748 | 7732 | 5877 |  |  |  |  |
| A.3Past-due nonperforming |  |  |  |  |  |  |  |  |  |  |
| A.4 Performing exposures | 14913631 | 343 | 1202333 | 231 | 48374 | 4 | 158655 | 450 | 97008 | 11 |
| **Total A** | **14913631** | **343** | **1202753** | **979** | **56106** | **5881** | **158655** | **450** | **97008** | **11** |
| **B. Off-balance-sheet exposures** |  |  |  |  |  |  |  |  |  |  |
| B.1 Non performing exposures |  |  |  |  | 13510 |  |  |  |  |  |
| B.2 Performing exposures | 564929 | 32 | 1272619 | 79 | 199464 | 2 | 619577 | 37 | 205280 | 104 |
| **Total B** | **564929** | **32** | **1272619** | **79** | **212974** | **2** | **619577** | **37** | **205280** | **104** |
| **Total (A+B) 31 12 2024** | **15478560** | **375** | **2475372** | **1058** | **269080** | **5883** | **778232** | **487** | **302288** | **115** |
| **Total (A+B) 31 12 2023** | **16834648** | **601** | **2313093** | **1166** | **289080** | **60** | **594343** | **264** | **280974** | **108** |

---

B.4 Large exposures

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Item/Amount** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| a) Book value |  | 110206514 |  | 87787472 |
| b) Weighted value |  | 2951123 |  | 2011916 |
| c) Number |  | 8 |  | 8 |

---

Regulations provide for positions to be defined as "large exposures" by making reference to credit-risk unweighted expo-sures.

An exposure is deemed as a "large exposure" when its amount is equal to or greater than 10% of own funds.

The increase recorded during 2024 compared to 2023 for the "Book value" is mainly due to the positive change in transac-tions both with the State and with eligible central counterparties, which are exempt from the calculation of the weighted value, as provided for in CRR, art. 400 (1) letter j). The increase in the "Weighted Value" referred to 2024, compared to 2023, is substantially attributable to the increase in guaranteed factoring operations (acquisition of bank guarantees from leading banks).

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C. SECURITISATION TRANSACTIONS

Qualitative Information

For qualitative information, please refer to Part E of the Notes to the Consolidated Financial Statements.

We describe below the characteristics of the Bank's securitisation transactions originated in previous financial years and outstanding as at 31 December 2024, the securities of which have been partly placed on the market.

Synthetic securitisation transactions

As at 31 December 2024, there were two synthetic securitisation transactions took in place on July 2021, called "Siena 2021 - RegCap-1" and "Siena 2021-RegCap Specialised Lending" (inherited following the merger by incorporation of MPS Capital Services Banca per le Imprese S.p.A.).

The main objective of a synthetic securitisation is to free up regulatory and economic capital by reducing the credit risk of the portfolio underlying the transaction (Significant Risk Transfer). In general, it is envisaged, through the stipulation of guarantee contracts, the purchase of protection of the credit risk underlying a loan portfolio, of which the Originator retains full ownership and the relative servicing management.

For further details, reference should be made to the Notes to the Consolidated Financial Statements - Part E - Section C "Securitisation transactions".

Own securitisations with derecognition of the underlying assets

*Siena NPL 2018 Srl*

In the course of 2017, on the basis of what is set forth in the Restructuring Plan and in line with the terms of the agreements entered into with Quaestio Capital Management SGR S.p.A., the Bank completed a transfer through securitisation of a portfolio of bad loans along with other Group companies.

The portfolio was sold on 20 December 2017 to the vehicle Siena NPL 2018 S.r.l., established for this purpose. The SPV financed the purchase of the portfolio through the issue of asset-backed securities with limited recourse of the Senior A1, Senior A2, Mezzanine and Junior class, centralized in dematerialized form at Monte Titoli S.p.A. and initially not listed on any regulated market in Italy and/or abroad.

On 9 January 2018, the transfer of 95% of the mezzanine notes to Quaestio Capital SGR on behalf of the Italian Recovery Fund (formerly Fondo Atlante II) was completed. In May 2018, at the end of the rating assignment process, the Senior Notes were restructured into a single class, obtaining an investment grade rating from the 3 ratings agencies involved as illustrated below. Consequently, the securities issued by the SPV were the following:

&nbsp;&nbsp;&nbsp;&nbsp;i. Senior A notes for EUR 2,918 mln, rating A3/BBB+/BBB (Moody's/Scope Ratings/DBRS). The outstanding
amount as at 31 December 2024 was around EUR 813 mln. The rating as at 31 December 2024 is Ba1/BBB+/BB high (Moody's/ Scope Ratings/DBRS);

&nbsp;&nbsp;&nbsp;&nbsp;ii. Mezzanine B notes for EUR 848 mln, without rating and sold to the Italian Recovery Fund, for a portion
of 95% of the issue. The outstanding amount as at 31 December 2024, also due to the capitalisation of the interest (payment-in-kind),
was about EUR 901 mln;

&nbsp;&nbsp;&nbsp;&nbsp;iii. Junior for EUR 565 mln, without rating and transferred to the Italian Recovery Fund, for a 95% share of
the issue.

The transfer of 95% of the Mezzanine and Junior securities resulted in the deconsolidation of the entire securitised portfolio in June 2018. The remaining 5% of the Mezzanine and Junior notes was retained for the purpose of compliance with the "retention rule".

Lastly, in July 2018, the MEF granted, with a decree, the government guarantee (GACS) on the senior tranche of the securi-tisation. Obtainment of the GACS completed the entire securitisation process.

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BANCA MONTE DEI PASCHI DI SIENA

*Norma SPV S.r.l.*

On 1 July 2017, as part of a securitisation of non-performing loans, partly originated by banks outside the Group, the Bank completed the sale of a portfolio of 12 non-performing loans in the real estate and shipping sectors for an amount equal to, respectively, EUR 24.0 mln and EUR 145.3 mln.

To fund the acquisition of this portfolio, on 21 July 2017 the SPV issued Class A1, B, C and D ABS securities (the "Secu-rities") for the real estate sector and Class A1, B, C1, C2 and D ABS securities for the shipping sector. The senior classes of both the real estate and shipping transactions were placed with institutional investors, while the mezzanine and junior classes were subscribed by each transferring bank in proportion with the transferred loans. Specifically, the Bank sub-scribed the following classes:

---

| | |
|:---|:---|
| <sub>·</sub> | Real Estate: Class B notes for a nominal amount of EUR 11.6 mln; Class C notes for a nominal amount of EUR 2.4 mln; Class D notes for a nominal amount of EUR 9.2 mln. |

---

<sub> </sub>

---

| | |
|:---|:---|
| <sub>·</sub> | Shipping: Class B notes for a nominal amount of EUR 46.2 mln; Class C1 notes for a nominal amount of EUR 20.7 mln; Class C2 notes for a nominal amount of EUR 6.6 mln; Class D notes for a nominal amount of EUR 66.8 mln. |

---

During the first quarter of 2020, the Bank carried out derecognition of the loans underlying the securitization because, following the approval of the proposal for composition with creditors with RBD Armatori S.p.A., there were no risks or benefits to the Bank linked to the ownership of the loans.

On 21 October 2024, Noteholders including Banca MPS entered into an Unwinding Agreement authorising the unwinding of both segments of the Norma SPV Securitisation following payments on that date of EUR 0.4 mln in respect of Real Es-tate and USD 0.1 mln in respect of Shipping. Subsequently, the Termination Letter was signed on 23 October 2024 and the notes were removed from the Bank's accounts on 2 January 2025 .

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

Quantitative Information

C.1 - Exposures arising from major own securitisation transactions broken down by type of securitised assets and type of exposure

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** |
| | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| <br>**Quality of<br> underlying <br> assets/esposures** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** | **Book <br> value** | **Impairment<br> (loss)/<br> reversals** |
| **A. Fully derecognised** | **818735** | **(615)** | **27920** | **(8949)** | **585** | **(3445)** |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Non performing loans | 818735 | (615) | 27920 | (8949) | 585 | (3453) |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Mortgages loans |  |  |  |  |  | (40) |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Shipping loans |  |  |  |  |  | 48 |  |  |  |  |  |  |  |  |  |  |  |  |
| **B. Partially derecognised** | **-** | **-** | **-** | **-** | **-** | **-** |  |  |  |  |  |  |  |  |  |  |  |  |
| **C. Not derecognised** | **483628** | **-** | **-** | **-** | **-** | **-** |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;SME Mortgages | 226748 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;SME and Corporate Mortgages | 256880 | - | - | - | - | - |  |  |  |  |  |  |  |  |  |  |  |  |
| **Total** | **1302363** | **(615)** | **27920** | **(8949)** | **585** | **(3445)** |  |  |  |  |  |  |  |  |  |  |  |  |
| Of vhich: non-performing | 818735 | (615) | 27920 | (8949) | 585 | (3445) |  |  |  |  |  |  |  |  |  |  |  |  |
| Of vhich: others | 483628 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |

---

In relation to securitisation transactions with own and third-party underlying assets, the table indicates balance-sheet ex-posures, unsecured exposures, and other forms of credit enhancement.

The table above shows, for synthetic securitisations, the amount of risk retained in transactions not derecognised from the Financial Statements.

949

BANCA MONTE DEI PASCHI DI SIENA

C.2 - Exposures arising from major 'third-party' securitisation transactions broken down by type of securitised asset and type of exposure

31 12 2024

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Balance- sheet exposure** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Guarantee issued** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** | **Lines of credit** |
| | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| <br>**Quality of<br> underlying<br> assets/esposures** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** | **Book<br> value** | **Impairment<br> (loss)/<br> reversals** |
| Non-performing loans | 4702 | (6075) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Commiercial mortgages | 10090 | (727) | 10952 | (2949) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| First mortgages real estate loans |  |  |  |  |  | (35) |  |  |  |  |  |  |  |  |  |  |  |  |
| Shipping loans | - | - | - | - | - | 35 | - | - | - | - | - | - | - | - | - | - | - | - |
| **Total** | **14792** | **(6802)** | **10952** | **(2949)** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |

---

The table provides the exposures taken by the Bank for each third-party securitisation transaction as well as reporting the contractual type of assets sold. The column "Write-downs/write-backs" indicates the amount of any write-downs or write-backs during the year as well as depreciations and revaluations posted to the income statement or directly to equity reserves, in the case of securities in the portfolio "Financial assets measured at fair value through other comprehensive income".

C.3 Special purpose securitisation vehicles

31 12 2024

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Assets** | **Assets** | **Assets** | **Liabilities** | **Liabilities** | **Liabilities** |
| <br>**Securitisation/Vehicle<br> company name** | <br>**Registered<br> office** | <br>**Consolidation** | **Credit** | **Debt <br> securities** | **Other** | **Senior** | **Mezzanine** | **Junior** |
| Belvedere SPV | Via Vittorio Betteloni 2, Milano | NO | 241838 |  | 138120 | 214958 | 70000 | 95000 |
| Deco 2019 - Vivaldi S.r.l. | Via Vittorio Betteloni 2, Milano | NO | 200000 |  |  | 110852 | 73599 | 15549 |
| Pietra Nera Uno S.r.l. | Via V.Alfieri, 1 Conegliano (TV) | NO | 194408 |  |  | 101101 | 83577 | 9730 |
| Siena Npl 2018 S.r.l. | Via Piemonte, 38 Roma | NO | 2159166 |  | 120038 | 812988 | 901215 | 565000 |
| **Total** |  |  | **2795412** |  | **258158** | **1239899** | **1128391** | **685279** |

---

C.4 - Non-consolidated special purpose securitisation vehicles

The information referred to in this table is not provided in that the Bank prepares the consolidated financial statements.

C.5 - Servicer activities - own securitisations: collections of securitised loans and redemptions of securities issued by the special purpose securitisation vehicle

As at 31 December 2024, the Bank does not carry out servicer activities in its own securitisation transactions in which the assets sold have been derecognised in the financial statements pursuant to IFRS 9.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

D. Information on structured entities not consolidated for accounting purposes (other than special purpose securitisation vehicles)

Qualitative Information

Quantitative Information

The information referred to in this section is not provided in that the Bank prepares the consolidated financial statements.

951

BANCA MONTE DEI PASCHI DI SIENA

E. Sale transactions

A. Financial assets sold and not fully derecognised

Qualitative Information

As at 31 December 2024, the Bank had no outstanding multi-originator transfers of loan portfolios to mutual funds with allocation of the relevant units to the transferring intermediaries that did not result in the derecognition of the transferred loans in accordance with IFRS 9. It should also be noted that the transfers for which the Bank has not fully derecognised its loans refer exclusively to securitisation transactions, for the qualitative details of which please refer to "Section C - Securitisation Transactions" of this Part E of the Notes to the Financial Statements.

Quantitative Information

E.1 - Financial assets sold and fully recognised and associated financial liabilities: book values

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Financial assets fully recognised** | **Financial assets fully recognised** | | | **Financial liabilities** | **Financial liabilities** |
|  | <br> **Book value** | **of which: <br> subject to<br> securitization<br> transactions** | **of which:<br> subject to<br> repurchase<br> agreement** | <br>**of which: non-performing** | <br> **Book value** | **of which: <br> subject to<br> securitization<br> transactions** | **of which:<br> subject to<br> repurchase<br> agreement** |
| **Financial assets held for trading** | **1134044** |  | **1134044** | **X** | **1136731** |  | **1136731** |
| **Financial assets mandatorily measured at fair value** | **-** |  |  | **-** | **-** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Equity instruments |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |  |  |  |
| **Financial assets designated at fair value** | **-** |  |  | **-** | **-** |  |  |
| **Financial assets measured at fair value through other comprehensive income** | 929299 |  | 929299 |  | 932973 |  | 932973 |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities | 929299 |  | 929299 |  | 932973 |  | 932973 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Equity instruments |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |  |  |  |
| **Financial assets measured at amortised cost** | **3566353** |  | **3566353** | **-** | **3150049** |  | **3150049** |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities | 3566353 |  | 3566353 |  | 3150049 |  | 3150049 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Loans | - | - | - | - | - | - | - |
| **Total as at 31 12 2024** | **5629696** | - | 5629696 | **-** | **5219753** | - | 5219753 |
| **Total as at 31 12 2023** | **3697203** | - | 3697203 | **-** | **3500295** | - | 3500295 |

---

952

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

E.2 - Financial assets sold and partially recognised and associated financial liabilities: book values

This table was not completed because at the reporting date and for previous year the Bank has no financial assets sold and partially recognised.

E.3 - Sales transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair value

This table is empty because in both the current and previous years, the Bank did not have any sales transactions relating to liabilities with repayment exclusively based on assets sold and not fully derecognised.

B. Financial assets sold and fully derecognised with assessment of continuing involvement

Qualitative Information

Quantitative Information

As at 31 December 2024, as well as 31 December 2023, no position should be reported.

C. Financial assets sold and fully derecognised

Qualitative Information

Following are multi-originator transfers, regarding loan portfolios, to a mutual investment fund with the attribution of the related units to the transferring intermediaries. The transactions outlined below led to the derecognition of the receivables sold pursuant to IFRS 9 ("derecognition"), as the Bank did not substantially retain the risks and rewards of the transferred assets and also did not retain any substantial control over these assets, which were instead assumed by the fund manage-ment company (hereinafter also SGR). In particular, the risks and benefits that the Group could achieve from the units held in exchange for the contribution of receivables, are not anchored in the an, nor the quantum or the time frame, to events affecting the assigned loans, given that the economic and financial trends related to individual receivables will not automatically and directly affect the returns of individual shareholders, which will instead depend on the general performance of the fund managed by the SGR.

Efesto Fund

In November 2020, jointly with the former subsidiary Capital Services, the Bank has finalised a multi-originator transfer of a portfolio of loans, classified as "unlikely to pay"; these are loans granted to industrial and service companies located in Italy and with a turnover of no less than EUR 20 mln in the last 3 years; these loans were sold to a Fund managed by Finan-ziaria Internazionale Investments S.G.R. S.p.A. The transaction has been settled by offsetting the credit on the Fund with the concurrent underwriting of freed-up units of the Fund itself.

As at the sale date, the portfolio consisted of loans payable to the Bank and other banking groups by 51 target companies (for the Bank 9 debtors) for a total gross exposure of EUR 432.5 mln (EUR 66.7 mln for the Bank) at a total price of EUR 197.2 mln, of which EUR 31.1 mln related to the Bank. At the sale date, the net book value of the loans for the Bank was EUR 36.9 mln.

The loans sold are fully derecognised as the assets of the Bank as at 31 December 2020 and the fund units are recognized for a total of EUR 28.3 mln, equal to a 15.8% investment in the fund.

With a legal effective date of 29 May 2023, the Bank has acquired the shares held by the subsidiary MPSCS as a result of the merger transaction carried out during the year, while the Group's overall investment in the Fund remained unchanged.

As at 31 December 2024, the Bank held 3.0% of the Fund's units (5.0% as at 31 December 2023), with a book value of EUR 21.5 mln (EUR 26.4 mln as at 31 December 2023). The reduction in percentage ownership is mainly due to new contributions made to the Fund by unit-holders other than the Bank. For more information on the criteria for determining the fair value of the units, please refer to Part A of these Notes to the Financial Statements.

953

BANCA MONTE DEI PASCHI DI SIENA

Back2Bonis Fund

On 27 December 2019, the Bank, in agreement with the former subsidiary Capital Services, UBI Banca and Banco BPM finalised with AMCO and the Prelios Group a transaction named Cuvée which has provided for the creation of a multi-originator platform to manage UTP (Unlikely to pay) loans, from EUR 3 mln to 30 mln, issued to companies of the real estate sector that are in a restructuring phase or in financial difficulties.

The first step of this transaction was completed in December 2019 when the positions of 46 debtors were transferred to the Fund (for the Bank, 4 debtors) for a total of about EUR 453 mln (of which EUR 56.7 mln for the Bank) at a price of about EUR 242 mln (EUR 21.5 mln for the Bank). The assignor banks received, as consideration for the sale and as a result of the steps described, the units of the Fund in which the Bank has an 8.9% holding.

As at 31 December 2024, the Bank held 4.0% of the Fund's units (4.1% as at 31 December 2023), with a book value of EUR 33.0 mln (EUR 34.3 mln as at 31 December 2023). The reduction in percentage ownership is mainly due to new contributions made to the Fund by unit-holders other than the Bank.

Clessidra Fund

In September 2019, the Bank finalised a transfer of a multi-originator type of a portfolio of loans classified as "unlikely to pay", issued to industrial and service companies located in Italy and with a turnover not under EUR 50 mln, to a Fund managed by Clessidra SGR S.p.A. The price settlement was determined by offsetting the loan owed by the Fund with the concurrent underwriting of freed-up units of the Fund.

The Fund was established for the purpose of improving the performance for the recovery of the loans acquired, thanks to the value increase of the target companies through:

● inputs of a managerial nature, made possible through the substantial addition of the Fund to the net financial positions of the companies and to any conversion of the acquired loans into equity instrument of the same companies;

<sub> </sub>

● contribution of financial resources instrumental for a better industrial and financial turnaround process.

The Fund has issued four categories of units with different economic rights:

● units A reserved to the transferring banks;

<sub> </sub>

● units B and C intended for two categories of institutional investors who contribute a "new finance";

<sub> </sub>

● units D reserved to the Fund management team.

At the date of sale, the portfolio consisted of receivables due to the Bank, the subsidiary MPS Capital Services S.p.A. and other banking groups from 13 target companies (for the MPS Group, 8 debtors) for a gross total exposure of approx. EUR 274 mln, of which EUR 91 mln referring to the Bank, at a total price of EUR 196 mln, of which EUR 69 mln referring to the Bank for a percentage interest in the fund of 35.2%. At the sale date, the net book value of the loans for the Bank was EUR 63 mln.

As at 31 December 2024, the Bank held 39.5% of the Fund's units (unchanged from 31 December 2023), with a book value of EUR 58.5 mln (EUR 40.6 mln as at 31 December 2023).

Idea I and Idea II Fund

In 2016 and in 2017, the Bank carried out two multi-originator sales of loan portfolios (with full derecognition in the financial statements) to a mutual investment fund, with attribution of the related units to the transferring intermediaries. This refers to a project of Idea Capital Fund S.g.r., a management company that has established two multi-segment mutual investment funds called the Idea CCR I Fund (2016) and Idea CCR II Fund (2017).

With regard to the Idea CRR I Fund, the Bank contributed 7 positions to the fund for a total of EUR 16.9 mln against a total of EUR 217 mln at a price of EUR 12.5 mln, receiving 5.7% of the shares of the Idea CCR I fund as consideration for the sale.

On the other hand, with regard to the Idea CRR II Fund, the Bank contributed 5 positions to the fund for a total of EUR 42.1 mln against a total of EUR 328.9 mln at a price of EUR 27.1 mln, receiving 11.7% of the shares of the Idea CCR II as consideration for the sale.

As at 31 December 2024, the Bank holds 6.39% and 1.65% of the units of sub-fund A respectively of the Idea CCR I Fund and the Idea CCR II Fund (6.39% and 4.00% as at 31 December 2023). The book value of these shares is respectively EUR 3.0 mln (EUR 4.4 mln as at 31 December 2023) and EUR 8.3 mln (EUR 10.5 mln as at 31 December 2023). The reduction in percentage equity investment in Idea CCR II Fund is mainly due to new contributions made to the Fund by unit holders other than the Bank.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

For more information on the criteria for determining the fair value of the units, please refer to Part A of these Notes to the Financial Statements.

E.4 - Covered bond transactions

Characteristics of the issuance programmes

The characteristics of the covered bond issuance programmes are shown in the corresponding section of the consolidated financial statements.

Accounting treatment

The accounting treatment is shown in the corresponding section of the consolidated financial statements.

Risks and Control Measures

The risks and control measures are shown in the corresponding section of the consolidated financial statements.

Description of individual issuances

The description of individual issuances is provided in the corresponding section of the consolidated financial statements.

955

BANCA MONTE DEI PASCHI DI SIENA

F. CREDIT RISK MEASUREMENT MODELS

This paragraph provides information of a quantitative nature related to the models for the measurement of credit risk, the qualitative characteristics of which have been described in Chapter 2 "Policies for credit risk management" of Section 2 "Prudential consolidation risk" of the Notes to the Consolidated Financial Statements.

The chart below provides a credit quality breakdown of the Bank portfolio as at 31 December 2024 by Exposure to Risk (REG EAD) and Regulatory Capital (REG CAP). It should be noted that about 58.3% (around 56% as at 31 December 2023) of risk exposure relates to high and good-quality customers (positions in financial assets are excluded). It should be noted that the ranking below also includes exposure to banks, government agencies and non-regulated financial and banking institutions, which are not included in the AIRB approaches. It should be noted that the quality is measured in terms of probability of default assigned to customers through the AIRB models of the MPS Group. Non-AIRB counterparties are nevertheless subject to a credit standing assessment using official ratings where available or appropriate internally determined benchmark values. utilizzando i *rating* ufficiali laddove presenti oppure opportuni valori internamente determinati.

![](tm2518026d1_ex99-4p3sp901.jpg)

On the other hand, the following chart provides a breakdown of credit quality only for Corporate and Retail portfolios (which are largely validated by the Supervisory Authority for the use of internal PD and LGD models). As at 31 December 2024, high or good quality exposure accounted for approximately 49.6% of total exposure.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

![](tm2518026d1_ex99-4sp10img1.jpg)

Analyses conducted at the end of 2024 show that Banca MPS risk exposure is mainly toward "Manufacturing Companies" (47.2% of total loans disbursed), "Households" (35%) and "Governments and Public Administration" (15.8%). The remaining portion refers to "Banks and Financial Institutions" (2.1%).

![](tm2518026d1_ex99-4sp10img2.jpg)

In terms of Regulatory Capital, the analysis shows that the "Manufacturing Companies" segment absorbs 76.1% of capital, while the "Households" segment absorbs 19.2%.

957

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4sp10img3.jpg)

An analysis of the geographical breakdown of Banca MPS customers shows that exposure to risk is primarily concentrated in Italy's Central regions (42.7%), followed by the North West and North East (20.8% and 17.7% respectively), the South (12.2%), the Islands (4.3%) and foreign countries (2.3%).

![](tm2518026d1_ex99-4sp10img4.jpg)

Also Regulatory Capital absorption is explained by the composition of loans, higher in Central Italy (29.6%) in North West Italy (29.2%) and North East Italy (20.2%). These are followed by the South (13.6%), the Islands (4.6%) and Abroad (2.8%)

![](tm2518026d1_ex99-4sp10img5.jpg)

Lastly, the following graphs show, solely for Italian corporate customers, the percentage breakdown of Default Exposure by individual Geographic Area and Regulatory Capital absorption by Business Sector.

The largest share of Default Exposure for businesses in all Geographic Areas is accounted for by the "Services" sector (54%). The remaining 46% is distributed as follows: Industry (32%), Building (8%) and Agriculture (6%).

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

![](tm2518026d1_ex99-4sp10img6.jpg)

Also as regards Regulatory Capital (CAP), the greater concentration relates to the Services sector in all Geographic Areas.

![](tm2518026d1_ex99-4sp10img7.jpg)

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BANCA MONTE DEI PASCHI DI SIENA

Section 2 - Market Risks

2.1 Interest rate and price risk – Regulatory trading book

For general information on the management model of market risks concerning the Trading Book of the Bank, refer to Part E in the Notes to the Consolidated Financial Statements.

As a result of the centralisation of the Group's Regulatory Trading Book positions in the Parent Company, the Bank's risk analyses are the same as those described in Part E of the Consolidated Notes to the Financial Statements, to which reference should be made.

Qualitative Information

Qualitative information regarding the measurement of the interest rate and price risk of the Regulatory Trading Book are shown in Part E of the Notes to the Consolidated Financial Statements.

Quantitative Information

1. Regulatory trading book: breakdown of balance sheet financial assets/liabilities and financial derivatives by residual life (repricing date).

This table was not prepared since an analysis of the regulatory trading book's sensitivity to interest rate risk and price risk is produced based on internal models.

2. Regulatory trading book: breakdown of exposures in equity instruments and stock indices by major countries of the listing market

This table was not prepared since an analysis of the regulatory trading book's sensitivity to interest rate risk and price risk is produced based on internal models.

3. Regulatory trading book: internal models and other sensitivity analysis methods

Each business unit within the Bank operates independently on the basis of the objectives and powers it has been assigned. Positions are managed by the Chief Financial Officer (CFO) and Chief Commercial Officer Large Corporate & Investment Banking (LCIB) desks, each with its own operational limits. Each desk adopts an integrated risk management approach (covering more than rate risk, when allowed) in order to benefit from the natural hedge resulting from simultaneously holding positions on risk factors that are not perfectly correlated.

All positions related to the Trading Book are classified as FVTPL for accounting purposes, with changes in fair value posted directly to profit and loss.

As a result of the centralisation of the Group's Regulatory Trading Book positions in the Parent Company, the Bank's risk factor sensitivity analyses are the same as those described in Part E of the Consolidated Notes to the Financial Statements, to which reference should be made.

960

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

2.2 Interest rate and price risk - Banking Book

Qualitative Information

The qualitative information on the measurement of the interest rate and price risk of the Banking Book is provided in Part E of the Notes to the consolidated financial statements, to which reference is also made for information on the risk management processes and measurement and control methods.

Quantitative Information

1. Banking book: breakdown of financial assets and liabilities by residual life (repricing date)

This table has not been prepared since an analysis of the banking book's sensitivity to interest rate risk and price risk is produced based on internal models.

2. Banking book: internal models and other sensitivity analysis method

*2.1 Interest rate risk*

The amount of economic value at risk due to a +100 bps parallel shift of the rate curve stood at EUR -380.6 mln for the Bank at year end (vs. EUR +271.7 mln for a shift of -100 bps).

*2.2 Price risk*

We provide below a scenario analysis which includes all directional positions assumed by the Parent Company in equity securities and UCITS, measured at fair value (e.g. securities classified as "Financial assets measured at fair value through other comprehensive income" and as "Financial assets mandatorily measured at fair value"):

**MPS Bank Banking Book**

(mln of Eur)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Risk Family** | **Scenario** | **Scenario** | **Effect on Net Banking**<br>**Income and Economic**<br>**result** |<br>**Ettect on Net Capital** |<br>**Overall Effect** |
| Equity | +1% | Equity Prices (prices, indicies) | 260 | 174 | 434 |
| Equity | -1% | Equity Prices (prices, indicies) | (2.60) | (1.74) | (4.33) |
| Equity | +1% | Equity Prices (prices, indicies) | 0 | 0 | 0 |

---

The equity investment in the Bank of Italy represents approximately 79% of the effect on the Shareholders' Equity relating to the scenario analysis described above.

The data shown in the table coincide with that illustrated in Part E of the Notes to the consolidated financial statements as a result of the centralisation in the Parent Company of the exposures in equities and UCITS measured at fair value.

961

BANCA MONTE DEI PASCHI DI SIENA

2.3 Foreign exchange risk

Qualitative Information

Qualitative information, including the hedging of exchange rate risk, is shown in Part E of the Notes to the Consolidated Financial Statements.

B. Hedging of exchange rate risk

Quantitative Information

1. Breakdown by currency of assets, liabilities and derivatives

31 12 2024

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** |
| <br>**Items** | **US dollar** | **Pound sterling** | **Yen** | **Canadian Dollar** | **Swiss Franc** | **Other currencies** |
| **A. Financial assets** | **1274488** | **102231** | **40454** | **2912** | **8387** | **44466** |
| &nbsp;&nbsp;&nbsp;A.1 Debt securities | 522577 | 274 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Equity securities | 53907 | 2426 | 198 | 26 | 1543 | 782 |
| &nbsp;&nbsp;&nbsp;A.3 Loans to banks | 150951 | 93393 | 36736 | 1708 | 1266 | 34283 |
| &nbsp;&nbsp;&nbsp;A.4 Loans to customers | 547053 | 6138 | 3520 | 1178 | 5578 | 9401 |
| &nbsp;&nbsp;&nbsp;A.5 Other financial assets |  |  |  |  |  |  |
| **B. Other assets** | **57566** | **1054** | **488** | **180** | **861** | **6959** |
| **C. Financial liabilities** | **870438** | **18219** | **28756** | **3815** | **2474** | **12209** |
| &nbsp;&nbsp;&nbsp;C.1 Deposits from banks | 268875 | 1926 | 3 | 1271 | 307 | 2000 |
| &nbsp;&nbsp;&nbsp;C.2 Customer accounts | 601563 | 16293 | 28753 | 2544 | 2167 | 10209 |
| &nbsp;&nbsp;&nbsp;C.3 Debt securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other financial liabilities |  |  |  |  |  |  |
| **D. Other liabilities** | **21285** | **334** | **53** | **34** | **45** | **9220** |
| **E. Financial derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Options |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;+ Long positions | 109078 | 7826 | 1064 |  |  | 8146 |
| &nbsp;&nbsp;&nbsp;+ Short positions | 171832 |  | 10071 |  |  | 38671 |
| &nbsp;&nbsp;&nbsp;- Other |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;+ Long positions | 1200711 | 155972 | 37889 | 5334 | 13970 | 86670 |
| &nbsp;&nbsp;&nbsp;+ Short positions | 1589904 | 246633 | 40699 | 3373 | 18081 | 62182 |
| **Total assets** | **2641843** | **267083** | **79895** | **8426** | **23218** | **146241** |
| **Total liabilities** | **2653459** | **265186** | **79579** | **7222** | **20600** | **122282** |
| **Difference (+/-)** | **(11616)** | **1897** | **316** | **1204** | **2618** | **23959** |

---

962

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

2. Internal models and other sensitivity analysis methods

For general information on the management model of foreign exchange risks, refer to Part E in the Notes to the Consolidated Financial Statements.

The following scenarios were used for foreign exchange rate simulations:

&nbsp;&nbsp;&nbsp;&nbsp;· +1%
 for all foreign exchange rates to the Euro,

· -1% for all foreign exchange rates to the Euro;

· +1
 point for all volatility surfaces of all foreign exchange rates.

The impact on operation margin and on net profit (loss) for the year was estimated taking account of positions classified as "Financial assets held for trading" and "Financial assets mandatorily measured at fair value"; market value changes are recognised directly in the income statement. Instead, the effect on equity is estimated with reference to all positions classified as "Financial assets measured at fair value through other comprehensive income" and related fair value hedges (FVH). The total effect is the result of the algebraic sum of the two components. Below is a summary of the scenario analyses.

**MPSBank**

(euro)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Risk Family** | **Scenario** | **Effect on Net<br> Banking Income and<br> Economic Result<br> Effect** | **Effect on Net capital** | **Overall Effect** |
| Forex | +1% FX against EUR | 056 | (0.35) | 021 |
| Forex | -1% FX against EUR | (0.64) | 035 | (0.29) |
| Forex | +1 punto Forex Volatility | 039 | 000 | 039 |

---

The figures reported in the are the same as those shown in Part E of the Consolidated Notes to the Financial Statements, as a result of the centralisation in the Parent Company of exchange rate risk exposures relating to financial assets held for trading and the aforementioned banking book assets measured at fair value.

963

BANCA MONTE DEI PASCHI DI SIENA

Section 3 - Derivatives and hedging policies

3.1 Derivatives for trading

A. Financial derivatives

A.1 Financial derivatives for trading: end of period notional amounts

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of derivative** | <br>**Central<br> counterparties** | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts not<br> subject to<br> Master netting<br> agreements** | <br>**Organised<br> financial<br> markets** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts not<br> subject to<br> Master netting<br> agreements** | <br>**Organised<br> financial<br> markets** |
| **1. Debt securities and interest rate** | **-** | **255858937** | **4441652** | **-** | **-** | **221288041** | **4548336** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 6002399 | 1120497 |  |  | 6114878 | 1284219 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 249675075 | 3052979 |  |  | 214988637 | 3076729 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  | 268176 |  |  |  | 187388 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  | 181463 |  |  |  | 184526 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **2. Equity securities and stock indices** | **-** | **3438909** | **3640** | **26302** | **-** | **7025975** | **16093** | **136737** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 1990874 | 3640 | 26302 |  | 4504097 | 16093 | 122954 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 1343460 |  |  |  | 2271760 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  | 104575 |  |  |  | 250118 |  | 13783 |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **3. Exchange rates and gold** | **-** | **257374** | **1743620** | **-** | **-** | **120930** | **1542058** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 182477 | 526333 |  |  | 44500 | 509261 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  | 74897 | 1217287 |  |  | 76430 | 1032797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **4. Commodities** | **-** | **76378** | **189858** | **-** | **-** | **87983** | **183004** | **-** |
| **5. Other underlying** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| **Total** | **-** | **259631598** | **6378770** | **26302** | **-** | **228522929** | **6289491** | **136737** |

---

964

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.2 Financial derivatives for trading: gross positive and negative fair value - breakdown by products

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of derivative** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts not<br> subject to<br> Master netting<br> agreements** | <br>**Mercati<br> organizzati** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> Master netting<br> agreements** | **Contracts not<br> subject to<br> Master netting<br> agreements** | <br>**Organised<br> financial<br> markets** |
| **1. Positive Fair value** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 174794 | 10528 | 206 |  | 251836 | 9142 | 3255 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 7601893 | 32113 |  |  | 8614066 | 24306 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swap |  | 42543 |  |  |  | 39507 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forward |  | 1569 | 26975 |  |  | 156 | 10104 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  | 545 |  |  |  | 218 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Other | - | - | 23044 | - | - | 2099 | 25839 | - |
| **Total** | **-** | **7821344** | **92660** | **206** | **-** | **8907882** | **69391** | **3255** |
| **2. Negative fair value** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 133687 | 29652 | 358 |  | 181922 | 51859 | 2848 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 6180420 | 56154 |  |  | 7418405 | 98441 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swap |  | 8090 |  |  |  | 19013 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forward |  | 787 | 18264 |  |  | 1296 | 13927 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  | 1712 |  |  |  | 135 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Other | - | - | 7835 | - | - | 3410 | 24579 | - |
| **Total** | **-** | **6324696** | **111905** | **358** | **-** | **7624181** | **188806** | **2848** |

---

965

BANCA MONTE DEI PASCHI DI SIENA

A.3 Financial OTC derivatives for trading: notional amounts, gross positive and negative fair value by counterparties

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying assets** | **Central<br> Counterparties** | **Banks** | **Other Fiancial<br> Companies** | **Other entities** |
| **Contracts not subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X | 116667 | 401062 | 3923923 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  | 1985 | 32771 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X | 7804 | 1611 | 69423 |
| **2) Equity securities and stock indices** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  | 2989 | 651 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  | 3206 | 3 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| **3) Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X | 325591 | 14438 | 1403591 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X | 15985 |  | 16372 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X | 486 | 986 | 23760 |
| **4) Commodities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  | 189858 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  | 22338 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  | 7835 |
| **5) Other underlying** |  |  |  |  |
| **Contracts subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 63657847 | 189590011 | 2611079 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 2198058 | 5424855 | 131586 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 1764857 | 4339043 | 89804 |
| **2) Equity securities and stock indices** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 693731 | 2570570 | 174608 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 32375 | 28600 | 3023 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 23277 | 99776 | 3579 |
| **3) Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 150130 | 24010 | 83234 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 1329 | 241 | 732 |
| &nbsp;&nbsp;&nbsp;- negative fair value | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- | 2301 | 233 | 114 |
| **4) Commodities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  | 76378 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  | 545 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 1712 |  |
| **5) Other underlying** |  |  |  |  |

---

966

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.4 Residual life of financial OTC derivatives for trading: notional amounts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying asset/residual life** | **Up to 1 year** | **1 to 5 years** | **Over 5 years** | **Total** |
| A.1 Financial derivatives on debt securities and interest rates | 79248845 | 89040476 | 92011268 | 260300589 |
| A.2 Financial derivatives on equity securities and stock indices | 2373700 | 998217 | 70632 | 3442549 |
| A.3 Financial derivatives on exchange rates and gold | 1859443 | 130723 | 10828 | 2000994 |
| A.4 Financial derivatives on other underlying assets | 220001 | 46235 |  | 266236 |
| A.5 Other financial derivates | - | - | - | - |
| **Total 31 12 2024** | **83701989** | **90215651** | **92092728** | **266010368** |
| **Total 31 12 2023** | **73969617** | **77851634** | **82991169** | **234812420** |

---

B. Credit derivatives

B.1 Credit derivatives for trading: end of period notional amounts

---

| | | |
|:---|:---|:---|
| | **Regulatory trading book** | **Regulatory trading book** |
| <br>**Transaction categories** | **single name** | **with multiple counterparties<br> (basket)** |
| **1. Purchases of protection** |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 136203 | 59500 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap | 90908 |  |
| &nbsp;&nbsp;&nbsp;d) Others | - | - |
| **Total 31 12 2024** | **227111** | **59500** |
| **Total 31 12 2023** | **136539** | **50200** |
| **2. Sales of protection** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 1555724 | 59500 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap |  |  |
| &nbsp;&nbsp;&nbsp;d) Others | - | - |
| **Total 31 12 2024** | **1555724** | **59500** |
| **Total 31 12 2023** | **2405174** | **13700** |

---

967

BANCA MONTE DEI PASCHI DI SIENA

B.2 Credit derivatives for trading: gross positive and negative fair value - breakdown by products

---

| | | |
|:---|:---|:---|
| **Portfolios/Types of derivatives** | **Total 31 12 2024** | **Total 31 12 2023** |
| **A. Positive fair value** |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 3416 | 777 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap | 29 |  |
| &nbsp;&nbsp;&nbsp;d) Other | - | - |
| **Total** | **3445** | **777** |
| **B. Negative fair value** |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 53769 | 92797 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swap | 74217 |  |
| &nbsp;&nbsp;&nbsp;d) Other | - | - |
| **Total** | **127986** | **92797** |

---

B.3 OTC credit derivatives for trading: notional amounts, gross fair value (positive and negative) by counterparties

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying assets** | **Central<br> counterparties** | **Banks** | **Other financial<br> companies** | **Other entities** |
| **Contracts not subject to master netting agreements** | | | | |
| **1) Purchase of protection** |  |  |  |  |
| **2) Sales of protection** |  |  |  |  |
| **Contracts subject to master netting agreements** |  |  |  |  |
| **1) Purchase of protection** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 38502 | 248109 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  | 162 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 597 | 82315 |  |
| **2) Sales of protection** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  | 1615224 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  | 3282 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 45075 |  |

---

968

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

B.4 Residual life of OTC credit derivatives for trading: notional amounts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying asset/residual life** | **Up to 1 year** | **1 to 5 years** | **Over 5 years** | **Total** |
| 1. Sales of protection | 2211 | 673608 | 939405 | 1615224 |
| 2. Purchase of protection | 2888 | 203723 | 80000 | 286611 |
| **Total 31 12 2024** | **5099** | **877331** | **1019405** | **1901835** |
| **Total 31 12 2023** | **96380** | **1291197** | **1218036** | **2605613** |

---

B.5 Credit derivatives related to the fair value option: annual changes

This table was not drawn up as the Bank does not apply the hedge accounting rules pursuant to IFRS 9.

969

BANCA MONTE DEI PASCHI DI SIENA

3.2 Hedges

Qualitative Information

The Bank, in applying IFRS 9, has exercised the option provided by the standard to continue to fully apply IAS 39 for all types of hedging (micro and macro). Therefore, the provisions of IFRS 9 in terms of hedging do not apply.

A. Fair value hedging

The purpose of interest rate risk hedging is to protect the banking book from changes in the fair value of deposits and loans caused by movements in the interest rate curve or to reduce the variability of cash flows linked to a particular asset/ liability.

The risk predominantly hedged is the interest rate risk with fair value hedges, for a total of approximately EUR 20.1 bn in nominal amount of hedging derivatives.

The Bank uses the following hedges to manage interest rate risk:

&nbsp;&nbsp;&nbsp;&nbsp;· fair
 value micro hedges: hedging of trading assets (loans/mortgage loans), security portfolio
 and bonds;

· fair
 value macro hedges: hedging of non-trading assets (loans/mortgage loans) and corporate funding
 (time deposits);

The fair value hedges at Bank level regard both micro hedges of assets and liabilities, identified specifically and represented by government bonds in the Banking Book and bonds issued by the Parent Company, as well as macro hedges (macro hedge - version with bottom layer approach) of retail fixed-rate deposits.

The derivatives used for this purpose are primarily interest rate swaps (IRS) and options on rates realised with third parties or with other companies of the Group.

Derivatives are not listed in regulated markets, but are traded within the scope of OTC circuits. OTC agreements also include those brokered through Clearing Houses.

B. Cash-flow hedging

Hedging activities carried out by the Bank aim at covering exposure to fluctuations in future cash flows, attributable to changes in the interest rate curve, associated with a specific asset/liability, as payments of future floating interests on a payable/receivable or to a highly probable future transaction.

The Bank adopts only specific hedges (micro cash flow hedge) of floating interest securities.

Hedging derivatives for cash flow hedging transactions, predominantly interest rate swaps (IRS), amounts to about EUR 1,392 mln in nominal value.

C. Hedging of foreign investments

The Bank does not have any such hedging in place.

D. Hedging instruments

The main causes of ineffectiveness of the model adopted by the Bank for verifying the effectiveness of hedges are attributable to the following phenomena:

&nbsp;&nbsp;&nbsp;&nbsp;· mismatch
 between notional amount of the derivative and the underlying hedged item recognised at the
 time of initial designation or generated subsequently, such as in the case of partial repayments
 of loans or repurchases of bonds;

· inclusion
 in the effectiveness test of the value of the variable interest rate cash flows of the hedging
 derivative, assuming a fair value hedge.

The ineffectiveness of the hedging is prompltly detected for the purpose: (i) of the determination of the effect on the Income Statement, and (ii) to assess as to hedge accounting rules can continue to be applied.

The Bank does not use dynamic hedge, as defined in IFRS 7, paragraph 23C.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

E. Hedged items

The main types of hedged items, for the Bank, are:

&nbsp;&nbsp;&nbsp;&nbsp;· debt
 securities under assets;

· debt
 securities issued;

· fixed-rate
 commercial loans;

· optional
 component implicit in the floating-rate mortgage loans;

· fixed-rate
 commercial funding.

E.1 Debt securities under assets

Hedging relationships of these assets are especially of a micro fair value hedge type; derivatives used for this purpose are mainly IRS and the hedged risk is the interest rate risk.

The Dollar Offset Method is used to verify the efficacy of the hedge. This method is based on the relationship between the cumulated changes (from the beginning of the hedging) in the fair value of the hedging instrument, attributable to the hedged risk, and the past changes in the fair value of the hedged item.

E.2 Debt securities issued

These are securities covered by hedges in the fair value micro hedge category; derivatives used as hedging instruments are primarily IRS. The hedged risk is the interest rate risk.

The Dollar Offset Method is used to verify the efficacy of the hedge. This method is based on the relationship between the cumulated changes (from the beginning of the hedging) in the fair value of the hedging instrument, attributable to the hedged risk, and the past changes in the fair value of the hedged item.

E.3 Fixed-rate commercial loans

In these cases, the hedging relationships in place are of a macro fair value hedge type and the derivatives used as hedging instruments are primarily IRS. The hedged risk is the interest rate risk.

The effectiveness of the macro hedging on fixed-rate loans is verified through specific forward- and backward-looking tests aimed at demonstrating that the hedged portfolio contains an amount of assets for which the sensitivity profile and the changes in the fair value for the interest rate risk can be said to match those of the hedging derivatives. It should be noted that for the purpose of the forward- and backward-looking tests, the hedged portfolio takes into account the prepayment estimates, determined on the basis of the model used from time to time to manage interest rate risk.

E.4 Optional component implicit in the floating-rate mortgage loans

The optional components implicit in mortgage loans with floating interest rate are hedged with a fair value macro hedge using, as hedging instruments, cap/floor derivatives.

The effectiveness of the hedging is verified by using the resilience of the capacity test.

E.5 Fixed-rate commercial funding

Fixed-rate commercial funding is subject to hedging relationships in the fair value macro hedge category, mainly through the use of hedging instruments such as IRS derivatives. The hedged risk is the interest rate risk.

The effectiveness of the macro hedges on the commercial funding with fixed interest rate is verified using the Dollar Offset Method. This method is based on the relationship between the cumulated changes (from the beginning of the hedging) in the fair value of the hedging instrument, attributable to the hedged risk, and the past changes in the fair value of the hedged item. The effectiveness is verified through a capacity test that compares the amount of the hedged items and the amount of the hedging instrument.

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Other information

Following, as required in IFRS 7.24H, is the table containing details, by nominal amounts, of the hedging according to the reference index of the interest rates.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Assets** | **Assets** | | **Liabilities** | **Liabilities** | |
| | **Nominal hedging** | **Nominal hedging** | | **Nominal hedging** | **Nominal hedging** | |
| <br>**Interest rate** | **Micro-FVH** | **Macro FVH** |<br>**Micro-CFH** | **Micro-FVH** | **Macro FVH** |<br>**Total** |
| EURIBOR 1M |  | 1430355 |  | 500000 |  | 1930355 |
| EURIBOR 3M |  | 1978879 |  | 750000 |  | 2728879 |
| EURIBOR 6M | 3726338 | 5957238 | 1392000 | 3488500 | 108699 | 14672775 |
| USD 3M LIBOR FALLBACK SOFR | 372509 |  |  |  |  | 372509 |
| USD SOFR | 48128 |  |  |  |  | 48128 |
| EURIBOR 30Y CMS | 80097 |  |  |  |  | 80097 |
| ESTR | 199000 |  |  |  |  | 199000 |
| **Total** | **4426072** | **9366472** | **1392000** | **4738500** | **108699** | **20031743** |

---

The table shows the notional amounts of hedging derivatives inclusive of the netting carried out pursuant to IAS 32.

As explained in Part A Accounting Policies, the Group has applied, as of the 2019 Financial Statements, Regulation No. 34/2020 of 15 January 2020, which adopted the document issued by the IASB in September 2019 on the "Reform of Interest Rate Benchmarks (Amendments to IFRS 9 Financial Instruments, IAS 39 Financial Instruments: recognition and measurement" and IFRS 7 "Financial instruments: supplementary information'). With the regulation in question, a number of changes were introduced in the area of hedge accounting with the aim of avoiding that uncertainties about the amount and timing of cash flows resulting from the rate reform could lead to the discontinuation of existing hedges and difficulties in designating new hedging relationships.

The Bank's hedging derivatives are mainly indexed to Euribor, the calculation methodology of which was revised during 2019 through the adoption of a hybrid-type calculation methodology, which fully complies with the requirements for so-called critical benchmarks, the EU Benchmark Regulation 2016/1011 and the IOSCO principles.

Therefore, the Bank does not consider there to be any uncertainty about the timing or amount of cash flows parameterised to Euribor and does not consider Euribor-linked hedges to be impacted by the reform, in continuity with the approach already adopted in previous years.

As at 31 December 2024, there were no rate-indexed hedges impacted by the IBOR Reform, pursuant to paragraph 24H of IFRS 7.

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Quantitative Information

A. Financial hedging derivatives

A.1 Financial hedging derivatives: end of period notional amounts

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of derivative** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts not<br> subject to<br> master netting<br> agreements** | <br>**Organised<br> financial<br> markets** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts not<br> subject to<br> master netting<br> agreements** | <br>**Organised<br> financial<br> markets** |
| **1. Debt securities and interest rate** | **-** | **20959292** | **-** |  |  | **20801463** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 2969649 |  |  |  | 3971432 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 17989643 |  |  |  | 16830031 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **2. Equity securities and stock indices** | **-** |  |  |  |  |  |  |  |
| **3. Exchange rates and gold** | **-** | **372509** |  |  |  | **350226** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 372509 |  |  |  | 350226 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| **4. Commodities** | **-** |  |  |  |  |  |  |  |
| **5.Other underlying** | **-** | - | - | - | - | - | - | - |
| **Total** | **-** | **21331801** | - | - | - | **21151689** | - | - |

---

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A.2 Financial hedging derivatives: gross positive and negative fair value - breakdown by products

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2024** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** | **Total 31 12 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **No Central counterparties** | **No Central counterparties** | | | **No Central counterparties** | **No Central counterparties** | |
| <br>**Underlying asset/Type of derivative** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts not<br> subject to<br> master netting<br> agreements** | <br>**Organised<br> financial<br> markets** | <br>**Central<br> couterparties** | **Contracts<br> subject to<br> master netting<br> agreements** | **Contracts not<br> subject to<br> master netting<br> agreements** | <br>**Organised<br> financial<br> markets** |
| **1. Positive Fair value** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 8130 |  |  |  | 12785 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 432072 |  |  |  | 956485 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Other | - | - | - | - | - | - | - | - |
| **Total** | **-** | **440202** | **-** | **-** | **-** | **969270** | **-** | **-** |
| **2. Negative fair value** | **-** | **-** | **-** | **-** | **-** | **-** | **-** | **-** |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 32533 |  |  |  | 33509 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swap |  | 648952 |  |  |  | 584266 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swap |  | 74352 |  |  |  | 42905 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swap |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Other | - | - | - | - | - | - | - | - |
| **Total** | **-** | **755837** | **-** | **-** | **-** | **660680** | **-** | **-** |

---

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

A.3 Financial OTC hedging derivatives: notional amounts, gross positive and negative fair value by counterparties

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Contracts not subject to netting agreements** | **Central<br> counterparties** | **Banks** | **Other financial<br> companies** | **Other entities** |
| **Contracts not subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| **2) Equity securities and stock indices** |  |  |  |  |
| **3) Exchange rates and gold** |  |  |  |  |
| **4) Commodities** |  |  |  |  |
| **5) Other underlying** |  |  |  |  |
| **Contracts subject to master netting agreements** |  |  |  |  |
| **1) Debt securities and interest rates** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 20227716 | 731576 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 423554 | 16648 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 584905 | 96580 |  |
| **2) Equity securities and stock indices** |  |  |  |  |
| **3) Exchange rates and gold** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 372509 |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 74352 |  |  |
| **4) Commodities** |  |  |  |  |
| **5) Other underlying** |  |  |  |  |

---

A.4 Residual life of financial OTC hedging derivatives: notional amounts

---

| | | |
|:---|:---|:---|
| <br>**Underlying asset/residual life** | **Up to**<br>**1 year** |<br>**Total** |
| A.1 Financial derivatives on debt securities and interest rates | 448488 | 20959291 |
| A.2 Financial derivatives on equity securities and stock indices |  |  |
| A.3 Financial derivatives on exchange rates and gold | 372509 | 372509 |
| A.4 Financial derivatives on other underlying assets |  |  |
| A.5 Other financial derivates | - | - |
| **Total 31 12 2024** | **820997** | **21331800** |
| **Total 31 12 2023** | **2296631** | **21151689** |

---

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B. Credit hedging derivatives

B.1 Credit hedging derivatives: end of period notional amounts

The tables for this section were not completed since the Bank has no credit hedging derivatives for either the current or previous financial year.

B.2 Credit hedging derivatives: gross positive and negative fair value - breakdown by products

The tables for this section were not completed since the Bank has no credit hedging derivatives for either the current or previous financial year.

B.3 OTC credit hedging derivatives: notional amounts, gross positive and negative fair value by counterparties

The tables for this section were not completed since the Bank has no credit hedging derivatives for either the current or previous financial year.

B.4 Residual life of OTC credit hedging derivatives: notional amounts

The tables for this section were not completed since the Bank has no credit hedging derivatives for either the current or previous financial year.

• ••

C. Non-derivative hedging instruments

C.1 Hedging instruments other than derivatives: breakdown by accounting portfolio and type of hedge

The Bank avails itself of the possibility, envisaged upon the introduction of IFRS 9, to continue to apply all hedge account-ing provisions of IAS 39 (carved out version endorsed by the European Commission) for all types of hedge (both micro and macro hedges). For this reason, the Bank has no financial instruments in its portfolio which would be reported in the table.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

D. Hedged instruments

The Bank avails itself of the possibility, envisaged upon the introduction of IFRS 9, to continue to apply all hedge accounting provisions of IAS 39 (carved out version endorsed by the European Commission) for all types of hedge (both micro and macro hedges).

D.1 Fair value hedging

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Micro-hedge** | **Micro-hedge** | **Micro-hedge** | |
| | |<br><br>**Micro hedge:**<br>**book value** | **Micro-hedges -**<br>**net positions:**<br>**balance sheet**<br>**value of assets**<br>**or liabilities**<br> **(before netting)** | **Cumulative**<br>**changes in**<br>**fair value of**<br>**the hedged**<br>**instrument** | **termination of**<br>**hedge: residual**<br>**cumulative**<br>**changes in fair**<br>**value** | **Change in**<br>**value used to**<br>**recognise**<br>**the ineffectiveness**<br>**of the hedge** |<br><br>**Macro hedge:**<br>**book value** |
| **A.** | **Assets** |  |  |  |  |  |  |
| **1.** | **Financial assets measured at fair value through other comprehensive income– hedge of:** | **257911** |  | **(344)** | **(25553)** | **(141)** |  |
|  | 1.1 debt securities and interest rate | 257911 |  | (344) | (25553) | (141) | X |
|  | 1.2 Equity |  |  |  |  |  | X |
|  | 1.3 Foreign exchange and gold |  |  |  |  |  | X |
|  | 1.4 Creditiì |  |  |  |  |  | X |
|  | 1.5 Other |  |  |  |  |  | X |
| **2.** | **Financial assets measured at amortaised cost –hedge of:** | **4113635** |  | **196707** | **(329261)** | **15043** | **9173675** |
|  | 1.1 debt securities and interest rate | 3790203 |  | 184787 | (329261) | 15043 | X |
|  | 1.2 Equity |  |  |  |  |  | X |
|  | 1.3 Foreign exchange and gold | 323432 |  | 11920 |  |  | X |
|  | 1.4 Creditiì |  |  |  |  |  | X |
|  | 1.5 Other |  |  |  |  |  | X |
| **Total 31 12 2024** | **Total 31 12 2024** | **4371547** | **-** | **196363** | **(354814)** | **14902** | **9173675** |
| **Total 31 12 2023** | **Total 31 12 2023** | **5393662** |  | **(189947)** | **(19328)** | **163427** | **10613386** |
| **B.** | **Liabilities** |  |  |  |  |  |  |
| **1.** | **Financial liabilitites measured at amortised cost - hedge of:** | **4824626** | **-** | **(20223)** | **(33951)** | **88025** | **108007** |
|  | 1.1 debt securities and interest rate | 4824626 |  | (20223) | (33951) | 88025 | X |
|  | 1.2 Foreign exchange and gold |  |  |  |  |  | X |
|  | 1.3 Other |  |  |  |  |  | X |
| **Total 31 12 2024** | **Total 31 12 2024** | **4824626** | **-** | **(20223)** | **(33951)** | **88025** | **108007** |
| **Total 31 12 2023** | **Total 31 12 2023** | **3204465** |  | **(111131)** | **(121725)** | **117192** | **792263** |

---

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D.2 Cash-flow and foreign investment hedging

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | **Change in value used**<br>**to recognise hedging**<br>**ineffectiveness Hedging**<br>**of foreign investments** |<br><br>**hedging reserves** |<br>**Termination of hedging:**<br>**residual value of**<br>**hedging reserves** |
| **A.** | **Cash flows hedge** |  |  |  |
| **1.** | **Assets** |  |  |  |
|  | 1.1 debt securities and interest rate | 16910 | 36212 | 16919 |
|  | 1.2 Equity |  |  |  |
|  | 1.3 Foreign exchange and gold |  |  |  |
|  | 1.4 Creditiì |  |  |  |
|  | 1.5 Other |  |  |  |
| **1.** | **Financial liabilities measured at amortised cost - hedge of:** |  |  |  |
|  | 1.1 debt securities and interest rate |  |  |  |
|  | 1.2 Foreign exchange and gold |  |  |  |
|  | 1.3 Other |  |  |  |
| **Total A 31 12 2024** | **Total A 31 12 2024** | **16910** | **36212** | **16919** |
| **Total A 31 12 2023** | **Total A 31 12 2023** | **2383** | **26499** | **24116** |
| **B.** | **Hedging of foreign investments** | **X** |  |  |
| **Total (A+B) 31 12 2024** | **Total (A+B) 31 12 2024** | **16910** | **36212** | **16919** |
| **Total (A+B) 31 12 2023** | **Total (A+B) 31 12 2023** | **2383** | **26499** | **24116** |

---

E. Effects of hedging transactions on equity

E.1. Reconciliation of equity items

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Cash flows hedge reserve** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** | **Reserve from hedging foreign investments** |
|  | **Debt**<br>**securities and**<br>**interest**<br>**rates** | **equity**<br>**instruments**<br>**and stock**<br>**indices** |<br>**currencies**<br>**and gold** |<br><br>**Credits** |<br><br>**Others** | **Debt**<br>**securities and**<br>**interest**<br>**rates** | **equity**<br>**instruments**<br>**and stock**<br>**indices** |<br>**currencies**<br>**and gold** |<br><br>**Credits** |<br><br>**Others** |
| **Opening balance** | **26499** |  |  |  |  |  |  |  |  |  |
| Fair value changes | 16910 |  |  |  |  |  |  |  |  |  |
| Reversal to profit and loss |  |  |  |  |  |  |  |  |  |  |
| - of which: future transactions not expected |  |  |  |  |  | X | X | X | X | X |
| Other changes | (7197) |  |  |  |  |  |  |  |  |  |
| -of which: transfers at initial book value of hedged instruments |  |  |  |  |  | X | X | X | X | X |
| **Closing balance** | **36212** | **-** |  |  |  | **-** | **-** | **-** | **-** | **-** |

---

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

3.3 Other information on derivatives (trading and hedging)

A. Financial and credit derivatives

A.1 OTC financial and credit derivatives: net fair values by counterparties

The table shows the positive or negative fair values of the derivatives subject to offsetting pursuant to IAS 32.42.

31 12 2024

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Underlying assets** | **Underlying assets** | **Central**<br>**counterparties** |<br>**Banks** | **Other financial**<br>**companies** |<br>**Other entities** |
| **A.** | **Financial derivatives** |  |  |  |  |
| **1.** | **Debt securities and interest rates** |  |  |  |  |
|  | - notional value |  | 71147765 | 176789740 |  |
|  | - positive fair value |  | 307022 | 742242 |  |
|  | - negative fair value |  |  |  |  |
| **2.** | **Equity securities and stock indices** |  |  |  |  |
| **3.** | **Exchange rates and gold** |  |  |  |  |
| **4)** | **Commodities** |  |  |  |  |
| **4.** | **Other underlying** |  |  |  |  |
|  | - notional value |  |  | 1531358 |  |
|  | - positive fair value |  |  |  |  |
|  | - negative fair value |  |  | 1254 |  |
| **B.** | **Credit derivatives** |  |  |  |  |
| **1.** | **Purchase of protection** |  |  |  |  |
|  | - notional value |  |  | 138813 |  |
|  | - positive fair value |  |  |  |  |
|  | - negative fair value |  |  | 187 |  |
| **2.** | **Sales of protection** |  |  |  |  |

---

The table shows the positive or negative fair values of the derivatives subject to offsetting pursuant to IAS 32.42.

In particular, it relates to the over-the-counter (OTC) financial and credit derivatives for trading and hedging that are outstanding through various third-party cleaning members with whom the Bank has entered into clearing agreements, drafted in accordance with international standards (ISDA/FIA contract forms), for which fair values have been offset in the financial statements.

For OTC financial derivatives over "Debt securities and interest rates", the net gain from offsetting was EUR 1,049.3 mln, divided between banking counterparties and other financial companies (positive fair value of EUR 6,976.1 mln vs negative fair value of EUR 5,926.8 mln), of which EUR 19.8 mln attributable to hedging derivatives and EUR 1,029.5 mln to derivatives for trading. In addition, for OTC financial derivatives under the sub-item "Other", a net loss was recorded of EUR 1.3 mln (negative fair value of EUR 10.7 mln vs positive fair value of EUR 9.4 mln), attributable entirely to derivatives for trading.

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Section 4 - Liquidity risk

Qualitative Information

A. Liquidity risk: general aspects, operational processes and measurement methods

The qualitative information on the management and measurement of the liquidity risk is shown in Part E of the Notes to the Consolidated Financial Statements.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

Quantitative Information

1. Breakdown of financial assets and liabilities by residual contractual duration - Currency: Euro

31 12 2024

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Account** | **Account** | **On demand** | **1 to 7 days** | **7 to 15 days** | **15 days to 1 month** | **1 to 3 month** | **3 to 6 month** | **6 month to 1 year** | **1 to 5 years** | **Over 5 years** | **Unspecified maturity** |
| **Balance-sheet assets** | **Balance-sheet assets** | **11213651** | **15178156** | **2259251** | **2032922** | **5500373** | **5549533** | **6093828** | **26616639** | **36881877** | **544118** |
| A.1 | Government securities |  | 3335 | 178269 | 71511 | 680666 | 282119 | 313889 | 6203572 | 6189645 |  |
| A.2 | Other debt securities | 116777 | 931 | 704 | 20615 | 52574 | 86442 | 103784 | 536967 | 2473382 | 3431 |
| A.3 | Units of UCITS | 271238 |  |  |  |  |  |  |  |  |  |
| A.4 | Loans | 10825636 | 15173890 | 2080278 | 1940796 | 4767133 | 5180972 | 5676155 | 19876100 | 28218850 | 540687 |
|  | - Banks | 2153568 | 10960817 | 421515 | 178844 | 196495 | 50218 | 39162 | 35936 | 434502 | 535006 |
|  | - Customers | 8672068 | 4213073 | 1658762 | 1761952 | 4570637 | 5130754 | 5636993 | 19840164 | 27784348 | 5681 |
| **Balance-sheet liabilities** | **Balance-sheet liabilities** | **70409530** | **5743070** | **4529286** | **1543120** | **7043697** | **2042593** | **3113705** | **6793954** | **3473965** | **-** |
| B.1 | Deposits and current accounts | 66445169 | 66693 | 437092 | 403310 | 1169322 | 1121997 | 1657499 | 835351 | 603139 |  |
|  | - Banks | 3051623 |  |  |  | 30772 | 250 | 926 | 400000 | 600000 |  |
|  | - Customers | 63393546 | 66693 | 437092 | 403310 | 1138550 | 1121747 | 1656573 | 435351 | 3139 |  |
| B.2 | Debt securities | 504757 |  |  | 109441 | 74490 | 786874 | 1196525 | 5605150 | 2376658 |  |
| B.3 | Other liabilities | 3459604 | 5676377 | 4092194 | 1030369 | 5799885 | 133722 | 259681 | 353453 | 494168 |  |
| **Off-balance-sheet transactions** | **Off-balance-sheet transactions** |  |  |  |  |  |  |  |  |  |  |
| C.1 | Financial derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions | 12900 | 229984 | 100191 | 785446 | 607425 | 369021 | 94939 | 16376 | 56466 |  |
|  | - short positions | 85743 | 183929 | 39441 | 295901 | 255747 | 190691 | 124051 | 92478 | 774174 |  |
| C.2 | Financial derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions | 7321253 | 3 |  | 239 | 31211 | 18053 | 58611 |  |  |  |
|  | - short positions | 5929172 | 1355 | 17407 | 224 | 15015 | 41539 | 75574 |  |  |  |
| C.3 | Deposits and borrowings to be received |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  | 22614461 |  |  |  |  |  |  |  |  |
|  | - short positions |  | 22010403 | 502065 |  | 101993 |  |  |  |  |  |
| C.4 | Irrevocable commitments to disburse funds |  |  |  |  |  |  |  |  |  |  |
|  | - long positions | 339640 | 9073944 | 204046 | 545754 | 185581 |  | 8282 | 230511 | 989827 |  |
|  | - short positions | 1568261 | 10009326 |  |  |  |  |  |  |  |  |
| C.5 | Financial guarantees given | 9336 |  | 17 | 99 | 715 | 1853 | 3028 | 6732 | 3097 |  |
| C.6 | Financial guarantees received |  |  |  |  |  |  |  |  |  |  |
| C.7 | Credit derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  |  |  |  |  |  | 2211 | 624108 | 1019406 |  |
|  | - short positions |  |  |  |  |  |  | 2211 | 624108 | 1019406 |  |
| C.8 | Credit derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions | 3409 |  |  |  |  |  |  |  |  |  |
|  | - short positions | 77597 |  |  |  |  |  |  |  |  |  |

---

981

BANCA MONTE DEI PASCHI DI SIENA

2. Breakdown of financial assets and liabilities by residual contractual duration - Currency: Other

31 12 2024

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Account** | **Account** | **On demand** | **1 to 7 days** | **7 to 15 days** | **15 days to 1 month** | **1 to 3 month** | **3 to 6 month** | **6 month to 1 year** | **1 to 5 years** | **Over 5 years** | **Unspecified maturity** |
| Balance-sheet assets | Balance-sheet assets | 244954 | 45144 | 57104 | 87247 | 337634 | 150169 | 26871 | 78491 | 641523 | 3092 |
| A.1 | Government securities |  |  |  |  | 17 | 1048 | 1081 | 868 | 64640 |  |
| A.2 | Other debt securities |  |  | 2082 | 2 | 11673 | 8937 | 18578 | 74533 | 576883 |  |
| A.3 | Units of UCITS | 15520 |  |  |  |  |  |  |  |  |  |
| A.4 | Loans | 229434 | 45144 | 55022 | 87245 | 325944 | 140184 | 7212 | 3090 |  | 3092 |
|  | - Banks | 177616 | 22992 | 14064 | 28184 | 48618 | 24727 | 1928 | 664 |  |  |
|  | - Customers | 51818 | 22152 | 40957 | 59061 | 277326 | 115457 | 5284 | 2426 |  | 3092 |
| **Balance-sheet liabilities** | **Balance-sheet liabilities** | **563258** | **33208** | **70707** | **4813** | **222375** | **39807** | **1738** | **-** | **-** | **-** |
| B.1 | Deposits and current accounts | 559684 | 33208 | 70707 | 4813 | 5371 | 39807 | 1738 |  |  |  |
|  | - Banks | 19337 | 32727 | 1745 |  |  |  |  |  |  |  |
|  | - Customers | 540348 | 481 | 68962 | 4813 | 5371 | 39807 | 1738 |  |  |  |
| B.2 | Debt securities |  |  |  |  |  |  |  |  |  |  |
| B.3 | Other liabilities | 3574 |  |  |  | 217004 |  |  |  |  |  |
| **Off-balance-sheet transactions** | **Off-balance-sheet transactions** |  |  |  |  |  |  |  |  |  |  |
| C.1 | Financial derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  | 456494 | 87157 | 268422 | 190982 | 113961 | 141530 | 8706 |  |  |
|  | - short positions | 14438 | 508238 | 168583 | 102345 | 534127 | 111133 | 145839 | 10960 | 3609 |  |
| C.2 | Financial derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions | 43449 |  |  |  |  |  |  |  |  |  |
|  | - short positions | 44314 |  |  |  |  |  |  |  |  |  |
| C.3 | Deposits and borrowings to be received |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  |  |  |  |  |  |  |  |  |  |
|  | - short positions |  |  |  |  |  |  |  |  |  |  |
| C.4 | Irrevocable commitments to disburse funds |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  |  | 9659 | 1062 | 2449 | 124 |  |  |  |  |
|  | - short positions | 3635 | 9659 |  |  |  |  |  |  |  |  |
| C.5 | Financial guarantees given | 66 |  |  |  | 4 |  | 178 |  |  |  |
| C.6 | Financial guarantees received |  |  |  |  |  |  |  |  |  |  |
| C.7 | Credit derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  |  |  |  |  | 2888 |  | 43315 |  |  |
|  | - short positions |  |  |  |  |  | 2888 |  | 43315 |  |  |
| C.8 | Credit derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
|  | - long positions |  |  |  |  |  |  |  |  |  |  |
|  | - short positions |  |  |  |  |  |  |  |  |  |  |

---

982

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

Self-securitisations

The securitisation transactions whereby the Bank underwrites securities issued by vehicle companies (self-securitisations), or for which only securities fully subscribed by the Group remained outstanding, are not shown in the tables of Part E of the Notes to the Financial Statements, section "C. Asset securitisation and disposal transactions", pursuant to the provisions of Circular 262 of the Bank of Italy.

Self-securitisations of assets are transactions aimed at improving liquidity risk management by optimising the amount of assets readily available to cover liquidity requirements.

Although the Bank's direct and full underwriting of the notes issued by the vehicles, i.e. the total holding of securities at a point in time after issue, does not make it possible to obtain direct liquidity from the market, it still provides the Group with securities that could be used for ECB refinancing (limited to the senior tranches as ECB eligible) and for purchase agreements by increasing the availability of disposable assets, thus improving the Bank safety margin against liquidity risk (counterbalancing capacity). These transactions had no economic impact on the financial statements: loans continue to be reported under item 40b) "Financial assets measured at amortised cost: loans to customers" on the assets side, while underwritten notes are not reported.

As at 31 December 2024, this category includes the self-securitisations completed in December 2007 (Siena Mortgages 07–5), April 2008 (Siena Mortgages 07-5 II series), April 2019 (Siena PMI 2016 Series 2).<sup>20</sup>

Siena Mortgages 07-5, I and II series

On 21 December 2007, the Parent Company, through the special purpose vehicle Siena Mortgages 07-5 S.p.A., has finalised a securitisation of performing loans consisting of a portfolio of 57,968 residential mortgage loans for a total of EUR 5,162.4 mln, of which a balance of EUR 462.8 mln (10,722 mortgage loans) outstanding as at 31 December 2024.

In order to fund the acquisition, the Vehicle issued Residential Mortgage Backed Floating Rate Notes (RMBS) in the following classes, rated by Moody's and Fitch as at 31 December 2024:

· Class A notes (Aa3 and AA-) for a nominal amount of EUR 4,765.9 mln, of
which EUR 4,701.7 mln redeemed;

· Class B notes (Aa3 and AA-), for a nominal amount of EUR 157.4 mln;

· Class C notes (Ba1 and B-), for a nominal amount of EUR 239.0 mln.

At the same time as the securities listed above, the vehicle also issued class D securities for an initial amount of EUR 124.0 mln, the proceeds of which were partly allocated to the establishment of a cash reserve. The target level of the cash reserve was gradually reduced based on the performance of the transaction: as at 31 December 2024, this reserve amounted to EUR 38.8 mln. The Class D notes were redeemed until reaching the 10% threshold (EUR 12.4 mln).

Through the same special purpose vehicle (Siena Mortgages 07-5 S.p.A.), on 24 April 2008 a second transaction was finalised (Siena Mortgages 07-5 series 2), collateralised by a separate pool of assets consisting of an additional sale of a portfolio of performing loans composed of 41,888 residential mortgage loans for a total of EUR 3,416.0 mln and with a residual life of about 20 years.

As at 31 December 2024, this portfolio had a residual debt of EUR 342.4 mln (6,721 mortgages).

In order to fund acquisition of the loans, the Vehicle issued RMBS notes in the following classes, rated by Moody's and Fitch as at 31 December 2024:

· Class A notes (Aa3 and A+) for a pair value of EUR 3,129.4 mln, of which
EUR 3,074.9 mln redeemed;

· Class B notes (Aa3 and A+), for a nominal amount of EUR 108.3 mln;

· Class C notes (NR and CCC), for a nominal amount of EUR 178.3 mln.

At the same time as the securities listed above, the vehicle also issued class D securities for an initial amount of EUR 82.1 mln, the proceeds of which were partly allocated to the establishment of a cash reserve. The target level of the cash reserve was gradually reduced based on the performance of the transaction: as at 31 December 2024, this reserve amounted to EUR 25.7 mln. The Class D notes were redeemed until reaching the 10% threshold (EUR 8.2 mln).

20 The Siena PMI 2016 Series 2 transaction, following redemption of the securities placed on the market, became a self-securitisation in 2022 since the outstanding securities were entirely underwritten by the Parent Company.

983

BANCA MONTE DEI PASCHI DI SIENA

Siena PMI 2016 Series 2

In 2019 the Bank carried out a securitisation through the vehicle named Siena PMI 2016 S.r.l. The transaction was finalised on 12 April 2019 through the sale of a portfolio of performing loans by the Bank to Italian small and medium sized enterprises, for a total of EUR 2,258.4 mln. As of 31 December 2024, the outstanding debt amounted to EUR 316.1 mln and for a number of loan contracts amounting to 2,666.

To fund the acquisition of the portfolio sold, on 19 June 2019 the SPV issued asset-backed securities (ABS) in the following classes, rated by Fitch and DBRS as at 31 December 2024 as follows:

i. Class A1 notes for a nominal amount of EUR 519.4 mln, redeemed in full;

ii. Class A2 notes for a nominal amount of EUR 813.0 mln, redeemed in full;

iii. Class B notes for a nominal amount of EUR 225.8 mln, redeemed in full;

iv. Class C notes for a nominal amount of EUR 271.0 mln, redeemed in full;

v. Class B notes (AA and AAH) for a nominal amount of EUR 248.5 mln, of which EUR 92 mln redeemed;

vi. Class J notes (not rated) for a nominal amount of EUR 180.7 mln.

The Class A2 notes were placed with institutional investors for a total of EUR 720 mln; the remaining senior notes, together with the mezzanine and junior notes, were instead underwritten by the Bank.

The partial sale of the Class A2 notes on the market did not entail the derecognition of the underlying assets from the balance sheet of the transferring bank, which has substantially retained all risks and benefits associated with the ownership of the assets sold. Following the full repayment of that class in 2022, the transaction was reclassified from "Own securitisation without derecognition" to self-securitisation.

984

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

Section 5 - Operational risks

Qualitative Information

A. Operational risk: general aspects, operational processes and measurement methods

The qualitative information on the management and measurement of operational risks is shown in Part E of the Notes to the Consolidated Financial Statements.

Quantitative Information

Following is the percentage breakdown of the number of events and operating losses recognised in 2024, broken down by risk class.

![](tm2518026d1_ex99-4sp11img01.jpg)

As at 31 December 2024, the number of operational risk events remained largely stable as compared to December 2023, while operational losses increased.

The types of event with the greatest impact on the income statement remain attributable to operational and process management shortfalls (under "Process management, execution and delivery": approximately 48% of the total) and the non-fulfilment of professional obligations with customers (under "Customers, products and operating practices': approximately 39% of the total).

With regard to operational and process management shortfalls, these events mainly refer to cases of debt collection and legal actions.

With regard to breaches of professional obligations towards customers, on the other hand, the events mainly refer to disputes over the application of compound interest and over derivative transactions.

985

BANCA MONTE DEI PASCHI DI SIENA

Main types of legal, employment law and tax risks

The following were pending as at 31 December 2024:

· legal proceedings with relief sought, where quantified, totalling EUR 3,370.0
mln

· out-of-court claims with relief sought, where quantified, totalling EUR
81.2 mln.

· risks associated with contractual guarantees with relief sought, where quantified,
of EUR 271.3 mln.

These amounts, in accordance with IAS 37, include all disputes, out-of-court claims and contractual risks for which the risk of disbursement of economic resources deriving from potential loss has been assessed as likely or possible and, therefore, does not include disputes for which the risk has been assessed as remote. The aforementioned risks were specifically and carefully analysed by the Bank, particularly in the presence of a likely risk gradient and if a reliable estimate of the relative amount could be made, and specific and appropriate provisions were allocated to the Provision for Risks and Charges. Without prejudice to the risk of uncertainty that characterises every dispute, the estimate of the obligations that could emerge from the disputes - and therefore the amount of any provisions made - derives from the forecast assessments regarding the outcome of the proceedings.

These forward-looking assessments are in any case carried out on the basis of the information available at the time of the estimate and updated during the course of the valuation. As indicated in the paragraphs "Use of estimates and assumptions when preparing financial statements", to which reference is made, the complexity of the situations forming the basis of the disputes imply significant elements of proceedings that could affect the if, how much and related materialisation timing of the liability. In this regard, therefore, although the Bank's estimates are considered robust, reliable and compliant with the dictates of reference accounting standards, it cannot be excluded that charges arising on final settlement of the disputes may prove different, even significantly, from those allocated. The above aggregate includes:

1. Legal disputes and out-of-court claims

The following were pending as at 31 December 2024:

· legal disputes with a total relief sought, where quantified, of EUR 3,290.6
million, of which approximately EUR 1,587.9 million as relief sought relating to disputes classified as a "likely" risk, for
which provisions for EUR 455.7 million are recognised and approximately EUR 1,702.7 million as relief sought attributed to disputes classified
as having "possible" risk;

· out-of-court claims for a total relief sought, where quantified, of approximately
EUR 81.2 mln, of which approximately EUR 39.7 mln classified with a "likely" risk of losing the case and approximately EUR
41.5 mln with a "possible" risk of losing the case.

The disputes of greatest relevance by macro-category or individually are illustrated below.

*Disputes regarding compound interest, interest rates and conditions*

The total relief sought in these disputes as at 31 December 2024 amounted to EUR 184.1 mln (EUR 227.7 mln as at 31 December 2023), while the allocated provisions amounted to EUR 79.7 mln (down from the provision of EUR 97.9 mln as at 31 December 2023).

*Dispute regarding claw-back actions in insolvency proceedings*

The total relief sought in these disputes as at 31 December 2024 was EUR 30.9 mln (EUR 52.6 mln as at 31 December 2023), while allocated provisions totalled EUR 13.9 mln (a decrease of EUR 17.0 mln compared to 31 December 2023).

*Dispute with purchasers of subordinated bonds issued by Group companies*

Following the burden-sharing plan implemented in 2017 in application of Italian Law Decree no. 237/2016, some investors who had purchased subordinated bonds issued by the Bank (later becoming shareholders as a result of the aforementioned measure, with resulting losses compared to the amount initially invested) sued the Bank, claiming that, at the time of the investment, it did not inform customers regarding the nature and characteristics of the financial instruments purchased, also raising objections on the proper fulfilment of obligations with which the Bank must comply as a financial intermediary.

This dispute is primarily related to investments in Lower Tier II bonds; indeed, in the majority of the cases the investors had their securities converted into ordinary shares pursuant to the law, without being able to benefit from the public offering for settlement and exchange promoted by the Bank pursuant to Decree no. 237/2016 (known as Burden Sharing Decree) intended for retail investors only.

986

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

However, for the sake of comprehensiveness, we would like to point out other cases where, despite purchasing Upper Tier II securities, the counterparties claim to have been unable to participate in the public offering due to misselling by the Bank, or in any event to have had objections relating to the Upper Tier II securities purchased after 31 December 2015 (cut-off date). Lastly, a limited number of disputes concerns cases in which investors sold their bonds prior to the Burden Sharing pursuant to Decree no. 237/2016. The focus of the opposing claims is concentrated on the alleged lack of disclosure and/ or in any case violations of specific regulations on financial intermediation.

The total relief sought in these disputes as at 31 December 2024 was EUR 30.8 mln (EUR 34.7 mln as at 31 December 2023), whilst allocated provisions totalled EUR 16.0 mln (an increase of EUR 0.5 mln compared to 31 December 2023).

*Derivatives litigation*

Litigation concerning OTC derivative contracts is mostly concerned with the ascertainment of the nullity of the product on the assumption that the financial instrument lacks the indication of elements such as the mark to market and the probabilistic scenarios considered essential by the now dominant jurisprudence following the well-known ruling of the Supreme Court in United Sections no. 8770/2020 (later confirmed by pronouncements no. 21830/2021 and no. 22014/2023).

On the assumption of nullity, the counterparties therefore request that the Bank be ordered to return all the amounts paid for the financial instruments in question, or the repetition of the spreads paid, the commissions as well as the failure to take on the residual mark to market in cases in which the derivative is still in place.

The total relief sought in these disputes as at 31 December 2024 was EUR 126.0 mln (EUR 124.2 mln as at 31 December 2023), while allocated provisions totalled EUR 40.8 mln (a decrease of EUR 45.5 mln compared to 31 December 2023).

*Disputes and out-of-court claims related to financial information*

As at 31 December 2024, the Bank was exposed to civil actions, to the consequences of decisions arising from criminal proceedings (955/16, 33714/16 and 29877/22) with regard to the financial information disclosed during the past periods. The total relief sought at the same date for this type of dispute was equal to approx. EUR 1,343 mln, broken down as fol-lows (data in EUR mln):

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Type of disputes** | **31/12/24** | **30/09/24** | **30/06/24** | **31/03/24** | **31/12/23** |
| Civil dispute | 674 | 675 | 675 | 670 | 685 |
| Filed civil claim cp 955/16 | 160 | 160 | 160 | 160 | 160 |
| Filed civil claim cp 33714/16 | 483 | 483 | 483 | 495 | 495 |
| Filed civil claim cp 29877/22 | 26 | - | - | - | - |
| **Total legal proceedings** | **1.343** | **1.318** | **1.318** | **1.325** | **1.340** |

---

With reference to civil litigation, the decrease in relief sought recorded as at 31 December 2024 compared to the end of the previous year is mainly attributable to the settlement of certain disputes following the appearance of the plaintiffs in criminal case PP 33714/16.

With reference to criminal proceedings, it is noted: (i) in PP 33714, the decrease in the relief sought, amounting to approximately EUR 12 mln, is due to the exclusion of certain civil parties ordered by order dated 22 April 2024; (ii) in PP 29877/22 the *relief sought* in the amount of EUR 26 mln, is represented for the first time in the fourth quarter of 2024, following the incorporation of the Bank in November 2024 as civilly liable party. The aforementioned *relief sought* where quantified, has been determined having regard to the claims of the civil parties formed in the aforementioned proceedings reduced by what has already been claimed in the joined PP 33714/16 by the civil parties intervening in both proceedings.

987

BANCA MONTE DEI PASCHI DI SIENA

The main disputes pending as at 31 December 2024 are shown below

*Banca Monte dei Paschi di Siena S.p.A. vs. Alken Fund Sicav and Alken Luxembourg S.A. (now VIRMONT SA) dispute.*

On 22 November 2017, the opposing parties (the "Funds") served a complaint on the Bank, as well as Nomura International ("Nomura"), Giuseppe Mussari, Antonio Vigni, Alessandro Profumo, Fabrizio Viola and Paolo Salvadori, before the Court of Milan, requesting that the court confirm and declare: (i) an alleged liability of the Bank under Article 94 of the TUF and Article 2935 of the Italian Civil Code for the torts committed against the Claimants; (ii) alleged liability of the defendants Mussari and Vigni in relation to the investments made by the Funds in 2012 on the basis of the untrue information; (iii) an alleged liability of the defendants Viola, Profumo and Salvadori in relation to the investments made by the Funds after 2012 and finally (iv) an alleged liability of Nomura pursuant to Article 2043 of the Italian Civil Code.

On these grounds, the Funds sought an order that the defendants be jointly and severally ordered to pay compensation for pecuniary loss in the amount of EUR 423.9 mln for Alken Funds Sicav and EUR 10 mln for lower management fees and reputational damage for the management company Alken Luxembourg SA, as well as an order that the defendants pay compensation for non-pecuniary loss, subject to a finding of the crime of false corporate communications. The Bank duly appeared and set out its defence. Four individuals also intervened in the case, claiming damages totalling approximately EUR 0.7 mln. In a ruling dated 7 July 2021, the Court of Milan rejected all the claims of the Funds, which were ordered to pay the Bank's legal fees. The request of only one intervener was partially accepted, in relation to which the Bank was ordered to pay the sum of approximately EUR 52 thousand (for principal and interest) jointly with Nomura and in part with Messrs. Antonio Vigni and Giuseppe Mussari. Both the Bank and Nomura and the Funds appealed (the latter for relief sought of approximately EUR 454 mln) against the ruling before the Court of Appeal of Milan. The three proceedings were joined and finally the Court of Appeal of Milan, with a ruling published on 9 November 2023, rejected the Funds' claims in their entirety, while upholding the appeals of Banca MPS, Nomura, Mussari and Vigni. On 9 January 2024, the Funds filed an appeal with the Court of Cassation, where the Bank duly appeared, requesting the rejection of the opposing appeal and an order that the Funds pay the costs.

*Banca Monte dei Paschi di Siena S.p.A. vs. Fondi York and York Lussemburgo*

On 11 March 2019, York Funds and York Luxembourg served a writ of summons, bringing an action before the Court of Milan (Section specialised in corporate matters) against the Bank, Messrs. Alessandro Profumo, Fabrizio Viola, and Paolo Salvadori as well as Nomura International PLC, ordering the defendants, jointly and severally, to pay damages for pecuniary damages quantified in a total of EUR 186.7 mln and non-pecuniary damages to be settled on an equitable basis pursuant to Article 1226 of the Italian Civil Code, plus interest and revaluation.

The plaintiffs' claim relates to losses incurred as part of its investment transactions in Banca MPS totalling EUR 520.3 mln, carried out through the purchase of shares (investment of EUR 41.4 mln by the York Luxembourg Fund) and through synthetic purchases of equity swap contracts (whose value was linked to the performance of the MPS share at a 1:1 ratio) (investment of EUR 478.9 mln by the York Funds). The counterparties claimed that they had disposed of the two investments described above with losses of approximately EUR 5.5 mln in the first investment and EUR 181.2 mln in the second, losses that, according to the counterparties, were caused by unlawful conduct of the Bank's top management that distorted the financial representation in the financial statements, significantly altering the assumptions underlying the valuation of the financial instruments issued by the Bank.

The Bank duly appeared before the court.

In its judgment of 16 May 2024, the Court of Milan dismissed all the claims of the Funds, which were condemned to pay legal costs amounting to EUR 240 thousand in addition to the payment of the sum of EUR 120 thousand pursuant to Article 96 of the Italian Code of Civil Procedure in favour of each defendant.

On 17 June 2024, the Funds appealed against this judgment; the Bank duly entered an appearance in view of the first hearing set for 22 January 2025. At that hearing, the death of Mr Salvadori was acknowledged and the case was declared discontinued.

*Banca Monte dei Paschi di Siena S.p.A. / Civil action and third-party action of the Bank as civilly liable party*

**Criminal proceedings no. 955/16**

On 12 May 2017 the committal for trial of the representatives Alessandro Profumo, Fabrizio Viola and Paolo Salvadori was requested within new criminal proceedings before the Court of Milan, in which they were charged with false corporate disclosures (art. 2622 of the Italian Civil Code) in relation to the accounting of the "Santorini" and "Alexandria" transactions with reference to the Bank's financial statements, reports and other corporate communications from 31 December 2012 to 31 December 2014 and with reference to the half-yearly report as at 30 June 2015, as well as market manipulation

988

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

(art. 185 of the Consolidated Law on Finance) in relation to the disclosures to the public concerning the approval of the financial statements and the balance sheets specified above.

On 15 October 2020, the Court of Milan read the conclusion of the ruling of first instance, registered under number 10748/20, sentencing all accused natural persons and the Bank pursuant to Italian Legislative Decree 231/01. The reasons were filed on 7 April 2021.

The Bank filed an appeal before the Court of Appeal of Milan against the ruling of first instance, as the civilly liable party, jointly and severally liable with the defendants, having administrative liability under Italian Legislative Decree 231/2001.

On 11 December 2023, the Court overturned the first instance ruling. The defendants were fully acquitted because the fact does not exist, both with reference to the crime pursuant to Article 2622 of the Italian Civil Code (false corporate communications) in relation to the financial statements as of 31 December 2012 and to the interim report as of 30 June 2015, and with reference to the crime pursuant to Article 185 of the TUF (market manipulation) in relation to the press releases concerning the approval of the financial statements as of 31 December 2012 to 31 December 2014 and to the interim report as of 30 June 2015, on the assumption that there was no existence, beyond reasonable cause, of the alleged false accounting representation of the Santorini and Alexandria transactions. Likewise, the Bank was acquitted of administrative infringements as the predicate offences proved groundless. The ascertained lack of the objective element of the alleged offences also eliminated the prerequisite for claims for damages advanced by the civil parties against the defendants and the Bank as civilly liable party.

On 22 July 2024, an appeal against the ruling was filed before the Court of Appeal by both the Public Prosecutor's Office and the civil party Bluebell Capital Partners. At the hearing of 20 February 2025, the V section of the Court of Cassation rejected the appeals of both parties, upholding the judgment of the Court of Appeal of Milan of 11 December 2023 to acquit the defendants and the Bank.

**Criminal proceedings no. 33714/16**

In relation to criminal proceedings no. 33714/16 pending before the Milan Public Prosecutor's Office, the Bank was originally implicated as party bearing administrative liability pursuant to Italian Legislative Decree no. 231/2001 in connection with an allegation of false corporate communications (pursuant to art. 2622 of the Italian Civil Code) relating to the 2012, 2013, 2014 Financial Statements and the 2015 half-yearly report due to the alleged overstatement of so-called non-performing loans.

On 4 May 2018, the Bank's position was dismissed by the Public Prosecutor's Office due to the groundlessness of the crime (a measure also confirmed by the General Prosecutor's Office on 15 March 2019).

On 25 July 2019, the GIP [Preliminary Investigations Judge] of the Court of Milan, while acknowledging the dismissal of the proceedings against the Bank, as the liable entity pursuant to Italian Legislative Decree No. 231/2001 and ordered the continuation of the investigations of the defendant natural persons (i.e. chairman of the Board of Directors, Managing Director/CEO and pro-tempore Chairman of the Board of Statutory Auditors) which initially continued in the form of the evidence gathering procedure during which two experts were appointed by the GIP who, on 30 April 2021, filed their report.

Subsequently, in the context of further investigations, the Public Prosecutor ordered two new technical consultations which, although noting some alleged accounting errors, reached significantly different conclusions from those of the expert report ordered ex officio by the GIP in the context of the evidence gathering procedure.

On 16 September 2022, a notice was received concerning the conclusion of preliminary investigations pursuant to art. 415-bis of the Italian Code of Criminal Procedure against three former members of the Bank (two Chairmen of the Board of Directors and one Chief Executive Officer) and a former Executive manager (responsible for the preparation of corporate accounting documents). Despite the previous dismissal, the Bank also received the same notice as party bearing adminis-trative liability pursuant to Italian Legislative Decree 231/01.

On 14 December 2022, a request for committal for trial was issued against the above-mentioned representatives and the former Executive manager; On 12 December 2022, the Bank's position as administratively liable pursuant to the Compliance Model under law 231 was instead dismissed.

The natural persons are charged with the offences of false corporate communications (pursuant to art. 2622 of the Italian Civil Code) and market manipulation (pursuant to art. 185 of the Consolidated Law on Finance) with reference to the 2013-2014-2015 Financial Statements and the 2015-2016 half-yearly reports, as well as of false information (pursuant to art. 173-bis of the Consolidated Law on Finance) in relation to the 2014-2015 prospectuses.

At the preliminary hearing, civil parties with a combined total of more than 5,000 names appeared. Most of the aforementioned civil parties requested the summoning of Banca Monte di Paschi di Siena as civilly liable and at the hearing of 10 November 2023, the Bank duly appeared.

989

BANCA MONTE DEI PASCHI DI SIENA

At the hearing of 22 April 2024, the Judge for the Preliminary Hearing read the order concerning the issues on civil action, ordering the exclusion mainly for formal defects of almost 300 civil parties with a relief sought, where quantified, of approximately EUR 12 mln.

At the hearing of 20 June 2024, the Preliminary Hearing Judge, assigned to the matter of compulsory indictments relating to Criminal Proceedings no. 29877/2022 (see below), issued an order expressing opinion in favour of merging the two proceedings, deeming the legal prerequisites to be met. These proceedings were, accordingly, merged at the hearing of 20 January 2025. The next hearing was scheduled for 28 February 2025.

At the hearing of 28 February 2025, the Public Prosecutor requested that a "ruling not to proceed" be issued for all the natural persons in relation to the charges in both criminal proceedings 33714/16 and in the joined criminal proceedings 29877/22, with the exception of the charge relating to false corporate communications, with reference to the financial statements relating to the financial year 2015 and to the half-yearly financial report as at 30 June 2016, for which the Public Prosecutor requested the indictment of the former Chairman of the Board of Directors, of the former Chief Executive Officer and of the former Financial Reporting Officer

This will be followed by the hearings on 9 April and 8 May for the conclusions of the civil parties and the discussion of the civil defendant and the defendants' defence respectively.

**Criminal Proceedings no. 29877/2022, Court of Milan**

On 28 May 2024, a number of employees, former employees and former representatives of the Bank received an order pursuant to Articles 409 and 410 of the Italian Criminal Code concerning "non-performing loans", regarding the alleged failure to recognise prior losses. This de facto order extends the period covered by criminal proceedings 33714/2016 on the same matter, regarding financial statements from 31 December 2013 to 30 June 2016, also to the financial statements as at 31 December 2016 and 31 December 2017. This order commands public prosecutors to proceed with compulsory indictment of five natural persons. With the request for commitment to trial, the public prosecutors simultaneously filed an application to merge this case into the main proceedings (see above, case ref. PP33714/2016).

At the preliminary hearings, held on 23 July 2024 and 23 September 2024, approximately 2,080 civil parties appeared, of which approximately 1,900 had already appeared in cp 33714/2016, with a simultaneous request to summon the Bank and Consob as civilly liable.

At the hearing on 28 November 2024, the Bank appeared as civilly liable, and at the subsequent hearing on 19 December 2024, the Judge issued the order ordering: (i) the exclusion of Consob as civilly liable party, (ii) the exclusion of 20 civil parties for formal defects.

At the hearing on 20 January 2025, the judge ordered the two proceedings to be merged.

In addition, in the aforementioned order of indictment of 28 May 2024, the Preliminary Hearing Judge ordered a supplement to investigations with regard to alleged fraud against the State with reference to the precautionary recapitalisation transaction. The investigation is still ongoing.

• • •

The procedural events described in greater detail above and connected to (i) the hearing on 20 February 2025 before the Court of Cassation, which confirmed the sentence of the Milan Court of Criminal Appeals acquitting the defendants and the Parent Company, within the framework of the criminal proceeding no. 955/16 and (ii) at the preliminary hearings in the criminal proceedings on non-performing loans 33714/2016 and in the merged criminal proceedings 29877/2022, relating to the accounting of Banca MPS's non-performing loans in the financial statements from 2013 to 2017, following the order of 28 May 2024, whereby the GIP at the Criminal Court of Milan ordered the compulsory indictment of certain employees, former employees and former officers of the Bank, have led, also taking into account the progressive stratification of further positive judgements in all clusters of civil litigation related to the disclosure of financial information in the period 2008- 2015, to confirm the assessments of the risk of losing the case already made last year.

In detail, civil litigation, relating to the 2014 and 2015 capital increase transactions and the subject of criminal proceedings 955/2016, 33714/2016 and 29877/2022 are classified as at 'probable' risk, civil litigation, relating to the 2014 and 2015 capital increase transactions and the subject of criminal proceedings 955/2016, 33714/2016 and 29877/2022 as well as the criminal proceedings 955/2016, and at 'remote' risk the civil litigation, relating to the 2008-2011 capital increase transactions, and the out-of-court complaints filed by investors concerning the alleged false information relating to the accounting of the Alexandria and Santorini transactions and of the 'non-performing loans'.

The provisions for risks and charges relating to proceedings classified as "likely risk" were determined so as to take into account the amount invested by the counterparty in specific periods of time by the disputed information alterations

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

(net of any disinvestments made during these same periods). The damage subject to compensation was then determined on the basis of the "differential damage" criterion, which identifies the damage as the lowest price that the investor would have had to pay if he had access to complete and correct information. For the purposes of this determination, econometric analysis techniques have been adopted - with the support of qualified experts - suitable to eliminate, among other things, the component inherent in the performance of the equity securities belonging to the banking sector during the reference period. More in detail, the total damage caused by each event potentially capable of generating information alterations was first quantified and then the amount abstractly attributable to the individual civil party was calculated, taking into account the share of capital held from time to time. From a prudential standpoint, along with the differential damage, the different criterion of "full compensation" was also taken into account (of a minor importance in the prevailing law, including the one that is currently taking shape on this specific subject matter), and that is based on the argument that false or incomplete information may have a causal impact on the investment choices of the investors to such an extent that, in the presence of correct information, they would not have made the investment in question; in this case, the damage is therefore commensurate to the invested capital, net of the amounts recovered from the sale of shares by the civil party.

In any case, the Bank has exercised the possibility granted by IAS 37 of not providing disclosures on the provisions allocated in the balance sheet as it believes that such information could seriously jeopardise its position in disputes and in potential settlement agreements.

Overall, settlement agreements were reached which led to the closure of disputes and out-of-court claims for a total relief sought of approximately EUR 4.4 bn with a total outlay of approximately EUR 242 mln (5.5% of the relief sought); these amounts include the transaction for EUR 150 mln with the MPS Foundation, which took place in 2021, against a relief sought of EUR 3.8 bn (4% of the relief sought).

It should also be noted that up to December 2024, disputes and criminal proceedings for relief sought of approximately EUR 946 million have reached judgement, at least at first instance. Unfavourable judgements represent less than 2% of the relief sought which reached judgement and resulted in the Bank being ordered to pay damages for approximately 0.1% of the relief sought which reached judgement.

• • •

*Banca Monte dei Paschi di Siena S.p.A. vs. Fresh 2008 bondholders*

Certain holders of FRESH 2008 Bonds maturing in 2099, by document served on 15 November 2017, sued the Bank, Mit-subishi UFJ Investors Services & Banking Luxembourg SA (which replaced the issuing Bank of New York Mellon Luxembourg), the English company JP Morgan Securities PLC and the American company JP Morgan Chase Bank N.A. (which entered into a swap agreement with the issuer of the bond) before the Court of Luxembourg in order to: (i) establish the inapplicability of the Burden Sharing Decree to the holders of the FRESH 2008 Securities and, consequently, to hold that the said bonds cannot be forcibly converted into shares, (ii) assert the validity and effectiveness of the said bonds in accordance with the terms and conditions of their issue as governed by Luxembourg law, and, finally, (iii) assert that the Bank is not entitled, in the absence of the conversion of the FRESH 2008 Securities, to obtain from JP Morgan the payment of EUR 49.9 million to the detriment of the holders of the FRESH 2008 Securities. The Court of Luxembourg, by order of 11 January 2022, rejected the Bank's requests for a stay of the proceedings until the international courts have ruled on the preliminary objections raised by the Bank. Instead, it upheld the plea of lack of jurisdiction of the court in relation to the claim concerning the usufruct contract entered into by the Bank with JP Morgan Securities PLC and JP Morgan Chase in the context of the 2008 share capital increase transaction. In relation to the aforementioned usufruct contract, the Luxembourg court reserved its decision pending the decision of the Italian court. On the contrary, it declared its jurisdiction in relation to the swap contract entered into by the Bank with the same counterparties in the context of the 2008 capital increase transaction.

It is noted that, following the start of the proceedings in question by the holders of the FRESH 2008 Securities, the Bank, on 19 April 2018, has brought a legal action before the Court of Milan against JP Morgan Securities Ltd JP Morgan Chase Bank N.A. London Branch, as well as the representative of the FRESH 2008 securities holders and Mitsubishi Investors Services & Banking (Luxembourg) S.A. to ascertain that the Italian Judge is the only one with jurisdiction and competence to decide about the usufruct contract and the company swap agreement signed by the Bank with the first two defendants in the context of the operation of the share capital increase in 2008. Consequently, the Bank asked:

· to ascertain, pursuant to Article 22, paragraph 4 of Decree 237 of 23 December
2016, the ineffectiveness of the usufruct contract and the company swap agreement that provide for payment obligations in favour of JP
Morgan Securities PLC and JP Morgan Chase Bank NA;

· to ascertain the ineffectiveness and/or termination and/or discharge of
the usufruct contract or, in the alternative;

· to ascertain the termination of the usufruct contract due to the capital
deficiency event of 30 June 2017.

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BANCA MONTE DEI PASCHI DI SIENA

The first hearing was held on 18 December 2018 and the Investigating Judge, considering the prejudicial nature of the issue of jurisdiction raised by the defendants, in view of the fact that a dispute is pending before the Luxembourg Court involving the same relief sought and the same cause, had granted the parties terms to reply only to the procedural objections and adjourned the hearing to 16 April 2019 for assessment of the disputed issue. At the subsequent hearing on 2 July 2019, the case was held over for decision and by order of 2 December 2019, the Court of Milan ordered the proceedings to be suspended pending the decision of the aforementioned Luxembourg Court. Against this order, the Bank had filed a petition with the Court of Cassation for the referral to a different competent court. The court has rejected the petition of the Bank with ruling dated 31 March 2021.

In the meantime, the holders of the Fresh securities challenged the first instance ruling issued by the Luxembourg Court in November 2022, against which the Bank in turn filed a cross-appeal. The decision in the case was deferred to a later date; The next hearing is scheduled for 4 April 2025.

At the same time, the Bank – based on the ruling issued by the Court of Luxembourg – filed an appeal to the Court of Milan for the resumption of the proceedings initiated therein in 2018, but the Court of Milan, with an order of 11 January 2024, declared it so inadmissible, highlighting that the suspension of the Italian proceedings had been ordered at the time (02.12.2019) until the final decision of the Luxembourg Court, a decision which, however, having been the subject, as mentioned above, of both the main appeal and the cross-appeal, did not become final, therefore the conditions that had prompted the Italian judge to withhold the suspended proceedings were still in place.

In the event of a favourable outcome of the dispute, the FRESH 2008 Securities will be converted into the shares, already issued, of the Bank which will also collect the amount of EUR 49.9 mln, recording a corresponding economic proceeds.

In the event of an unfavourable outcome of the dispute, the principle of burden sharing cannot be applied and therefore the bondholders will retain the right to receive the coupon (equal to Euribor 3M + 425 bps on a notional amount of EUR 1 bn) provided that the Bank generates distributable profits and pays dividends.

Considering that the Bank had not paid dividends from the date of the burden sharing, any unfavourable outcome of the dispute will only produce effects starting with the decision to distribute dividends in 2024 on 2023 profit. Note that, as at the reporting date of these Financial Statements, no further claims of any kind have been brought over and above the disputes described herein. In any case, at the current stage of the dispute, the Bank considers all rights of the 2008 FRESH bond-holders null and void pursuant to the application of art. 22, paragraph 4 of Italian Legislative Decree 237/2016 and of the capital deficiency event recorded as at 30 June 2017. It therefore determined the equity ratios and earnings per share as at 31 December 2024 (in continuity with 31 December 2023) without taking into account the 2008 FRESH coupon.

Other proceedings

*Banca Monte dei Paschi di Siena S.p.A. vs. Fatrotek*

This case, where the Bank was sued together with other credit institutions and companies with the summons of 27 June 2007, seeks the assessment of alleged monetary and non-monetary damage suffered by the plaintiff, as a result of an alleged unlawful report filed with the Italian Central Credit Register. The relative relief sought amounts to EUR 157 million. The plaintiff also asks that the defendant banks be found jointly liable, each proportionately to the seriousness of its behaviour. The Bank's defence was based on the fact that the Company's extremely severe financial situation fully justified the Bank's initiatives.

On 5 June 2018, the bankruptcy of the company was declared, which prompted the receivership to take up the case again. At the end of the preliminary investigation, during which an expert was court-appointed, the case was withheld for decision on 6 October 2022. Subsequently, on 11 November 2022, the Court of Salerno ascertained and settled only the non-pecuniary damage, amounting to EUR 20,000 for each bank (thus totalling EUR 100,000), plus interest and costs of litigation. The disbursement attributable to the Bank is approximately EUR 34 thousand. The case concerning the appeal lodged by the Receivership was held on 11 July 2024, for the acquisition of the official technical report carried out as part of the first instance proceedings. At present, the trial has been postponed to the hearing on 25 September 2025 for closing arguments; the Court deferred to the decision-making phase any assessment regarding renewed court appointment of an expert requested by the counterparty.

*Banca Monte dei Paschi di Siena S.p.A. vs. Renova Red SpA*

On 9 September 2024, Renova Red brought the Bank before the Court of Siena to ascertain the defendant's failure to comply with the framework agreement on the ecobonus, stipulated in September 2021 between Banca MPS and the plaintiff for a total nominal value of approximately EUR 76 mln.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

The counterparty argument is that the Bank arranged the purchase of only a minimal part of the receivables envisaged in the aforementioned framework agreement, then unjustifiedly refusing to purchase subsequent receivables from November 2021. This would have forced Renova Red to find other brokers on the market to complete subsequent factoring only six months later with considerable damages in terms of financial and non-financial losses, estimated by the plaintiff as approximately EUR 32 mln.

With act dated 14 Novembre 2024 the Parent Company entered an appearance and, following the Court's adjournment, the first appearance hearing was set for 29 April 2025. Starting from 20 March 2025, both parties will be called upon to file their respective supplementary briefs.

*Banca Monte dei Paschi di Siena S.p.A. vs. Riscossione Sicilia S.p.A. (now ADER - Revenue Agency - Collections)*

**Dispute brought by Riscossione Sicilia**

By writ of summons served on 15 July 2016 Riscossione Sicilia S.p.A. (today the ADER, Italian Revenue Agency - Collections, which took over all legal relations of Riscossione Sicilia from 1 October 2021, pursuant to art. 76 of Italian Law Decree no. 73/2021 converted with Italian Law no. 106/2021) had summoned the Bank before the Court of Palermo, asking for it to be ordered to pay the total sum of EUR 106.8 mln.

With judgement no. 2350/22, filed on 30 May 2022, the Court of Palermo, essentially adhering to the conclusions of the court-appointed expert, rejected Riscossione Sicilia's counterclaims and sentenced the latter to pay the Bank approximately EUR 2.9 mln plus legal interest and court fees.

This judgment was appealed on 27 December 2022 by summons before the Court of Appeal of Palermo. The Bank made an entry of appearance with a petition filed on 13 April 2023, explaining a cross-appeal. The case is currently adjourned for closing arguments until 7 November 2025.

• • •

**Legal action brought by the Finance Department of the Sicily Regional Government ("the Department")**

On 17 July 2018, the Finance Department of the Sicily Regional Government served an injunction order upon the Bank pursuant to art. 2, Italian Royal Decree no. 639/1910 and for repayment of a total of around EUR 68.6 mln pursuant to art. 823, paragraph 2 of the Italian Civil Code. After integration of the cross-examination of riscossione Sicilia S.p.A., by ruling no. 3649/2021, published on 4 October 2021 and notified on 5 October 2021, the Court of Palermo rejected the Bank's objection to the aforementioned order with simultaneous sentencing of the Parent Company to pay legal costs. Banca MPS lodged an appeal against this decision before the Palermo Court of Appeal. With an order filed on 11 February 2022, the Court of Appeal ordered the integration of the cross-examination against the Revenue Collection Agency (ADER), as successor of Riscossione Sicilia S.p.A., setting the collegial hearing for the new appearance on 1 July 2022. Currently, the case has been adjourned to the hearing of 18 December 2025 for closing arguments.

• • •

**Actions brought by Banca Monte dei Paschi di Siena S.p.A.**

In the additional and separate administration proceedings (case ref. 2201/2018) brought by the Bank before the Regional Administrative Court of Sicily to obtain a declaration of invalidity and cancellation of the injunction order pursuant to art. 2, Italian Royal Decree no. 639/1910, by ruling no. 3043 of 17 November 2023 the Court accepted the Bank's appeal, cancelling the challenged order limited to the alternative claim of the Sicily Regional Government, deeming that the Regional Government could not object to any action for protection of possession pursuant to art. 823, paragraph 2, of the Italian Civil Code, since it constitutes a right of claim rather than a right in rem, and ordered the costs to be offset between the parties. The judgment was not appealed and has become final.

Following service upon the Bank on 21 September 2022 of the tax demand stating the amount claimed by the Department pursuant to ruling no. 3649/2021, by writ of summons of 21 November 2022, the Bank filed claims before the Court of Siena (RG 2737/2022) against ADER and the Department in other proceedings opposing enforcement of the tax demand as an executive order pursuant to art. 615 of the Code of Civil Procedure, also for the purpose of suspending enforceability. These proceedings ended with a ruling on 13 December 2023, which rejected the Bank's opposition and ordered it to pay the costs of EUR 91.6 thousand; By summons of 21 June 2024, said ruling was appealed before the Court of Appeal of Florence, which adjourned the case for decision to the hearing of 20 January 2026.

993

BANCA MONTE DEI PASCHI DI SIENA

The other actions undertaken by the Bank to respond to the credit claim of the Regional Government referred to in ruling no. 3649/2021 – specifically, the application before the Court of Auditors brought on 21 November 2022 pursuant to art. 172 paragraph 1.d) of the Code of Accounting Justice to declare null and void the actions carried out for recovery of the amounts as well as the petition of 16 November 2022 pursuant to Law 228/2012 to obtain suspension of the collection of the amount indicated in the tax demand – were unsuccessful and therefore, on 27 January 2023, in strict compliance with the tax demand, which in the itemised credit items of the tax authority interest at the legal rate was contemplated, the payment of a total EUR 74 mln was arranged as full repayment of the amount demanded by the Sicily Regional Government.

Lastly, the steps necessary to recover the afore-mentioned credit of about EUR 68.6 mln from ADER, to which the Bank is entitled, as the sole successor of Riscossione Sicilia S.p.A., are underway.

*Banca Monte dei Paschi di Siena S.p.A. vs. Nuova Idea*

With a writ of summons notified on 21 December 2021, Nuova Idea S.r.l. summoned the Bank before the Court of Caltanissetta in order to have it declare that it was obliged to compensate all the damages, financial and non-financial, suffered by the company as a consequence of the protest of a bill of EUR 2,947 domiciled at the Caltanissetta branch, which according to the plaintiff's prospect would have been raised due to the Bank's exclusive acts and negligence.

The plaintiff argues that the illegitimate protest constituted the only causation of a chain of events described in the writ of summons which resulted in the sharp reduction of its equity investment in a Temporary Grouping of Companies (RTI) that had been awarded a service contract with ASL Napoli 1 Centro, consequently requesting, principally, that the Bank was ordered to pay in its favour the amount of EUR 57.3 mln by way of loss of earnings as well as an amount of EUR 2.8 mln by way of loss of profit, and thus a total of EUR 60.1 mln, in addition to compensation for damage to the corporate image and commercial reputation to be paid on an equitable basis.

With ruling No. 26 of the Court of Caltanissetta, published on 8 January 2025, the first instance of the case was finalised with the Bank being ordered to pay EUR 2.8 million as compensation for the damage suffered by Nuova Idea S.r.l., with full compensation for legal costs. The Court held that there was a causal link between the non-payment of the bill by Banca MPS and the marginalisation of the company in the public tender obtained in RTI. Since there are valid grounds for review, the Parent Company, with a notice of appeal dated 17 February 2025 contested the first instance ruling before the Court of Appeal of Caltanisetta, requesting a suspension of the enforceability of the judgment. The first paper hearing is scheduled for 10 July 2025.

*Banca Monte dei Paschi di Siena S.p.A. vs. EUR S.p.A.*

EUR S.p.A. sued before the Court of Rome the former subsidiary MPS Capital Services S.p.a. (now merged by incorporation into the Bank - hereinafter referred to as MPSCS), jointly with three other financing banks, principally in order to obtain the declaration of nullity or, in the alternative, the annulment and/or ineffectiveness of the following contracts: 1) Interest rate swap (IRS) concluded on 24 April 2009; 2) IRS of 29 July 2009; 3) the Novation Confirmation of 15 July 2010 by which the IRS sub 2 was transferred from Eur Congressi Spa to Eur Spa; 4) the close-out contract dated 29 July 2010 relating to IRS sub 1; 5) the Termination Agreement of 18 December 2015 relating to the IRS sub 2. Also principally, the plaintiff seeks an order that the pool banks be ordered, jointly and severally, by way of restitution of undue payments and compensation for pre-contractual and/or contractual and/or non-contractual damages, to pay the amount of approximately EUR 57.7 mln representing the relief sought indicated by the plaintiff.

Since this amount relates to all the derivatives concluded by the 4 banks of the pool with EUR S.p.A., it should be noted that in the unlikely event of losing, the burden arising from the ruling will be divided among the banks in the pool in proportion to their share in the financing, which for MPSCS was 12.61%.

On 21 April 2023, rejecting the claims put forward by Società EUR, the Court of Rome issued the judgment in which: 1) it declared the lack of jurisdiction of the Italian Court, in favour of the UK Court; 2) it declared that the objection of lis pendens cease to obtain, alternatively, by the defendant Banks pursuant to art. 7, paragraph 1, Law no. 218 of 31 May 1995; 3) it ordered that legal costs be fully offset between the parties.

On 5 December 2023, EUR notified the appeal against the first instance judgement, challenging the decision of the Court to refer the case to the jurisdiction of the English court and re-proposing in substance all the claims and arguments put forward in the first instance. In February 2025, a settlement agreement was reached with the other party that resulted in the dismissal of the appeal.

*Banca Monte dei Paschi di Siena S.p.A. vs. Italtrading*

In February 2020, the Italtrading receiver sued the former subsidiary MPS Leasing & Factoring, as civilly liable for the damage pursuant to art. 2049 of the Italian Civil Code caused through a former employee, consisting of the irregular recognition in the financial statements of lower payables to the banking system and at the same time of lower receivables from subsidiaries and some customers.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

This is in violation of the provisions of art. 2423 of the Italian Civil Code, resulting in a concealment of the loss of share capital and, therefore, an aggravation of the insolvency. The claim for damages was quantified at EUR 132.8 mln.

During the lawsuit, in which the former subsidiary appeared before the court, following the conclusions of the insolvency proceedings, the claim was reduced to EUR 63 mln with the request for a provisional payment of EUR 6 mln.

With ruling of 19 May 2023, the Court of Milan acquitted the former employee of the charges against him, with consequent release effect for Banca MPS, which had taken over by virtue of incorporation from MPS L&F. Appeal proceedings are pending before the Court of Appeal of Milan, filed last October by the Italtrading receiver. The first appeal hearing was held on 4 July 2024. The Public Prosecutor deferred the case to the Court, given the exclusively civil nature of the matter. At the hearing on 5 March 2025the Court granted the request for a rehearing by one of the defendants, by ordered a further postponement to 7 April 2025.

*Banca Monte dei Paschi di Siena S.p.A. vs. Privilege Yard S.p.A. (in bankruptcy) - Appeal*

By ruling no. 14832/2022 of 4 October 2022, the Court of Rome ascertained the liability of various credit institutions, including the former subsidiary MPS Capital Services S.p.A. (now merged into the Bank), defendants jointly and severally for complicity pursuant to art. 2055 of the Italian Civil Code in the misadministration by the directors of Privilege Yard S.p.A. pursuant to art. 2393 of the Italian Civil Code and consequently ordered them to pay as compensation for the damage caused to the assets of Privilege Yard S.p.A. an amount, quantifiable by way of application of the net equity criterion, equal to EUR 57.1 mln, in addition to legal costs and expenses.

In agreement with the other banks, which were originally part of the pool, the decision was to proceed with the spontaneous payment, although subject to repetition at the outcome of the appeal, by paying in the agreed amount of one fifth, for each bank, of the sentenced amount plus costs, fees and expenses.

All banks, including the former subsidiary, appealed independently. The first appearance hearing held in February 2024 was postponed for closing arguments to November 2025.

Several proposals were submitted by third parties to the banks for transfer of the dispute, some formalised, others only verbal to explore the Banks' possible willingness to settle. However, no proposal was made official.

*Banca Monte dei Paschi di Siena S.p.A. vs. Barbero Metalli S.p.A.*

The proceedings, with relief sought equal to EUR 37.5 mln, were brought by B.M. 124 S.R.L. - official assignee of the composition in bankruptcy pertaining to Barbero Metalli Spa in JV with BeCause - against the directors and external auditors of the company, as well as the different credit institutions jointly and severally, for having contributed to the insolvency of the company through the predatory lending.

The plaintiff asks for the directors, auditors and banks to be found jointly and severally liable for approximately EUR 37.5 mln as additional loss incurred by the company, and in the alternative liable for EUR 22.9 mln, as the value of individual detrimental transactions carried out by the company and expressly listed in the summons (the contribution indicated for the Bank would consist in having advanced EUR 8.8 mln to the company since 2009).

On 13 September, due to the failure of the settlement proposal put forward, the judge ordered the opening of the preliminary investigation of the case by means of technical advice. On 4 December 2024, the court-appointed expert was sworn in and the Bank appointed its own expert witness.

*Banca Monte dei Paschi di Siena S.p.A. vs. Isoldi S.p.A.*

In June 2020, a summons was served by the bankruptcy receiver of Isoldi Holding S.p.A. in liquidation against several credit institutions (including the Bank) on the assumption of joint and several liability of the banks with the board of directors of Isoldi Holding S.p.A. in liquidation for having contributed to the commission of acts disposing of the company's assets, to the artificial survival of the company despite its insolvency and to the worsening thereof, identified as:

· purchase of shares and the related option rights of the company Aedes S.p.a.,
carried out at prejudicial conditions compared to market prices with an increase in indebtedness, in a position of equity and financial
instability of the bankrupt company;

· access to a reorganisation plan pursuant to art. 67, paragraph 3, letter
d), of the Bankruptcy Law, signed on 9 May 2011 by 7 banks (the Bank for 19%) and Isoldi Holding through the establishment of two new
companies for the transfer of business units bound to the satisfaction of debtors with collaterals (Newco Isoldi and I.R.O.) and the disbursement
of new funding for a total of EUR 17.6 bn secured by mortgages in grade II and sureties of Isoldi Holding.

995

BANCA MONTE DEI PASCHI DI SIENA

The first hearing was held on 16 February 2023 with the judge reserving judgment on the various preliminary claims brought by the parties without granting the six-month postponement requested by the Receivers for the definition of an insolvency agreement and subsequent continuation of proceedings by the insolvent party. On 9 January 2024, the Judge withdrew his reservation, recognising, on a preliminary basis, the assignee's legitimacy to continue the proceedings initiated by the receivers and approving the court-appointed expert in relation to the two macro transactions referred to in the summons. The lawsuit, scheduled for January 2025, was then postponed as negotiations were opened to settle out of court the pending litigation with the bankrupt Isoldi Holding (formerly Isoldi Spa), now BeCause. On 13 February 2025, the Bank paid the agreed sum net of the court-appointed expert's fee, for which payment remains outstanding. It is expected that relief from proceedings will be granted.

*Banca Monte dei Paschi di Siena S.p.A. vs. Parrini S.p.a.*

The lawsuit, with relief sought equal to EUR 42.2 mln, was brought against different credit institutions jointly and severally alleged to have contributed to the insolvency of the company through predatory lending.

Notably, in regard to the position of the former subsidiary MPS Capital Services S.p.A. (now merged into the Bank), the complaint concerns the connivance with the acts of maladministration of the directors, who made use of credit at a time when the state of crisis of the company was no longer remediable, not in view of a corporate restructuring, but for the sole purpose of continuing the business activity and management, without letting this state of crisis become public, thus delaying the declaration of insolvency, and causing damage to the company and its creditors by granting a mortgage loan on 4 August 2011.

Given the content of the claims, the share of the risk pertaining to the former subsidiary MPS Capital Services S.p.A., jointly and severally summoned with the other defendants to pay the entire amount requested in relief, has not been quantified.

On 3 February 2022, the Judge lifted the reserve by postponing the case to the hearing of 31 October 2022 to produce items of evidence. The receivers asked for the appointment of a court-appointed expert. At the hearing, the Receivers insisted on the request for an economic-financial and accounting court-appointed expert report and the request for the issuance of the order to produce evidence concerning the investigation carried out by the banks prior to the granting of the loans to Parrini.

On 26 March 2024, the Parrini Spa receivership filed an "Application to fast track first instance rulings" with the Court of Rome, for the Judge to lift the reserve and appoint a court-appointed expert, an application that was made again on 16 July 2024, but to date the reserve has not yet been lifted.

*Banca Monte dei Paschi di Siena S.p.A. vs. Le Camelie S.R.L dispute*

The lawsuit was brought by "Le Camelie S.r.l." and by Giacomo Polito, as third-party mortgage lender, against the Bank and the former subsidiary MPS Capital Services S.p.A. together with Siena NPL 2018, for alleged simulation of the allocation of the amounts disbursed for mortgage loans, for abuse of credit disbursement and for nullity of contracts due to unlawful causes.

The compensation claim amounts to a total of EUR 45.2 mln, a value corresponding to the sum of the values attributed by the plaintiffs to their foreclosed assets in the enforcement proceedings initiated in relation to the loans in question.

During the June 2023 hearing, the Judge deemed the case ripe for decision and set the hearing for the presentation of closing arguments as 6 February 2024. The proceedings were postponed to 24 May 2024, pursuant to art. 309 of the Italian Code of Civil Procedure, for a settlement with the transferee. The case was settled at the hearing of 18 June 2024, pursuant to art. 309 of the Italian Civil Code, given the intervening transaction between the transferee Siena NPL and the plaintiff.

*Banca Monte dei Paschi di Siena S.p.A. vs. Società Italiana per Condotte D'Acqua S.P.A. under extraordinary administration*

By means of a writ of summons served on the Bank on 23 December 2022, Società Italiana per Condotte D'Acqua S.p.A. under extraordinary administrative proceedings brought an action for damages against the credit institutions in conjunction with the factoring companies (32 counterparties), the independent auditors, the members of the Managing Board and of the Supervisory Board of the company in bonis, for having contributed - through the use and granting of credit - to the commission of acts of misadministration that caused (or contributed to causing) serious damage to the company and to the entire creditors' class. The damage is quantified:

· jointly and severally among all defendants in the amount of EUR 389.3 mln;

· alternatively EUR 322.0 mln (increase in insolvency liabilities);

· or alternatively in the amount of EUR 39.5 mln with reference to individual
transactions (referring to associates).

At the hearing of 22 April 2024, a number of parties filed action against third parties; in authorising these claims against third-parties, the Judge adjourned the first appearance hearing to February and, then again, to 1 July 2025 for the same issues, pending proof that the amended summons had been served on Banco Do Brasil S.A.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

*Banca Monte dei Paschi di Siena S.p.A. vs. Extraordinary Administrators of Impresa S.p.A.*

By means of a writ of summons served on 11 November 2016, Impresa S.p.A. in extraordinary administration sued the Bank, together with other banks participating in a pool (our share 36.48%), to ascertain and declare the liability of said companies, of the members of the Board of Directors of Impresa S.p.A., and of the independent auditors, and to order them to pay damages, jointly, allegedly suffered by the company in the amount of EUR 166.9 million.

According to the allegations, the banks, in conspiracy with the statutory auditors, directors and auditors, by financing the acquisition of the infrastructure branch of B.T.P. S.p.A. by Impresa S.p.A. caused the latter's bankruptcy. The Bank appeared before the court.

At the hearing on 7 January 2023, the judge admitted a Court Appointed Expert (CTU), filed on 29 March 2024. On the basis of the report, the disputed transaction would have generated an imbalance in the company's sources of financing, causing the unsustainability of the debt and the consequent insolvency of Impresa S.p.A., quantifying the relative damage at EUR 86.1 mln and noting how the credit rating was not adequately assessed by the financing banks at the time of disbursement.

At the hearing on 22 April 2024, the Judge recorded the parties' exceptions and granted a time limit for written notes to 31 May 2024. After filing the authorised notes by the stated deadlines, the Judge' decision to lift the reservation is pending.

*Banca Monte dei Paschi di Siena S.p.A. vs. Berloni Immobiliare Srl*

By writ of summons served on 2 November 2018, Berloni Immobiliare Srl and Berloni Marcello sued before the Court of Pesaro (G.R. 2923/2018) Banca MPS Spa together with 7 other banking and financial institutions, the assessor and the drafting company, in order to obtain the declaration of nullity and/or annulment of all the acts carried out in execution of the recovery plan and the financing agreement reached between the defendant Banks and the companies of Banca Berloni (financing, mortgage registrations, pledges, contribution of shares, etc.), as well as an order that the defendants be ordered jointly and severally to pay damages, both pecuniary and non-pecuniary, allegedly suffered. The total claim for damages is quantified at EUR 53.5 million and the Bank has entered an appearance. In May 2019, Berloni Immobiliare srl filed a quitclaim. The lawsuit continued for a relief sought of approximately EUR 30 mln. In November 2022, a court-appointed expert was ordered to verify the 'manifest unsuitability' of the recovery plan drawn up. The case was decided by order of 3 October 2024.

*Compensation for transactions in diamonds*

With reference to the "diamonds" case and the allegations of self-money laundering, the Public Prosecutor's Office at the Court of Siena, as part of the criminal proceedings, issued a request for dismissal on 12 September 2022 versus the natural persons (4 former executive managers and the only executive manager still employed), who had been investigated for self-money laundering and also issued a decree for dismissal with regard to the Bank as a party bearing administrative liability and has also ordered the revocation of the preventive seizure issued in relation to the offence of self-money laundering pursuant to Italian Legislative Decree no. 231/2001, for the amount of EUR 0.2 mln. On 16 November 2022, the Attorney General of the Court of Appeal of Florence had ratified the decree of dismissal against the Bank, while the Judge for Preliminary Investigations on 5 October 2022 had issued a decree of dismissal against the natural persons.

With regard to the criminal proceedings pending before the Court of Rome, listed under no. 44268/21 concerning the offences of aggravated fraud, against only natural persons, including 5 former members of the Bank, and 8 employees, on 18 June 2024, a ruling was made that there was no need to proceed due to the statute of limitations of the offence.

About the same case, additional criminal proceedings for the offences of aggravated fraud, self-money laundering and hindering the exercise of the functions of Public Supervisory Authorities were commenced before the Public Prosecutor's Office at the Court of Milan against seven former executive managers (of which five in the main line of litigation) and the Chief Executive Officer and pro tempore General Manager of the Bank.

These proceedings were moved, following the lack of territorial jurisdiction, to i) Rome for the hypothesis of aggravated fraud formulated against natural persons and in the context of which we are awaiting, as in the case of the trial aforementioned, the decision not to proceed due to the lapse of the statute of limitations; ii) Siena for the crime of self-laundering and obstruction of the functions of the Public Supervisory Authorities, the latter concluded on 8 February 2024 with the decree of dismissal.

With this last decree of dismissal, the criminal proceedings relating to the diamond operation involving the Parent Company as administrative head are all to be considered settled.

997

BANCA MONTE DEI PASCHI DI SIENA

2. Employment law disputes

As at 31 December 2024, tax disputes were pending for which the total relief sought, where quantified, was equal to approximately EUR 43.9 mln. Specifically:

· approx. EUR 31.4 mln in relief sought for disputes for which there is a
 "likely" risk of losing the case, for which provisions of about EUR 14.1 mln have been recognised;

· approx. EUR 12.5 mln as relief sought for disputes for which there is a
 "possible" risk of disbursing financial resources. Information on the most significant disputes pending as at 31 December
2024 is provided below.

*Banca Monte dei Paschi di Siena S.p.A. vs. Fruendo*

The transaction for the sale of the "back office" business unit of Banca MPS to Fruendo, dating back to 1 January 2014 for 1064 resources, was declared unlawful in all levels of proceedings and resulted in the reinstatement with the Parent Company of 452 plaintiffs (1 April 2020), at the same time seconded to the company.

It should also be noted that in the case of the transfer of a branch of business deemed unlawful, the Court of Cassation, with reference to the salary obligation incumbent on the transferor, has ruled in a manner that differs from the settled opinion of the Court of Cassation itself. In fact, numerous rulings, issued starting from July 2019, stated that, in the event the transfer of the employment relationship, in the broader context of the transfer of business units, is declared unlawful, the transferor employer, who does not reinstate the employees, is still liable to fulfil the remuneration obligations in addition to those fulfilled by the transferee employer, since the principle that the payment made by the latter would discharge the former is considered not applicable to the case in question.

Based on this change in case law ("double remuneration"), as at the reporting date of these Financial Statements, 52 workers involved in the transfer of the business unit and recipient of the above rulings in their favour, have sued the Bank in order to request the remuneration allegedly due. These actions were lodged before the Courts of Siena, Florence, Mantua and Rome, with hearings currently scheduled between December 2024 and November 2025.

The progress of litigation, in its various stages, has led to negotiations for the settlement of disputes that have resulted in 350 settlements to date.

With reference to the "unlawful contract" line of the suit, a first group of appeals by Fruendo workers (52 then reduced to 32 following waivers/settlements) was rejected at first instance by the Court of Siena on 25 January 2019. This ruling was challenged by 16 workers before the Court of Appeal of Florence Labour Law Division which, on the other hand, ascertained the illegitimacy of the contract, ordering the reinstatement in service of 14 workers (as for 2 workers, the matter of the dispute was declared to have ceased to exist following waivers/conciliations), which was implemented with effect from 1 March 2022. The final ruling against the Bank was pronounced by the Supreme Court of Cassation by order of 17 May 2024.

Further actions were filed to ascertain the unlawfulness of the contract, which currently involve 30 Fruendo workers, all of which have been brought before the Court of Siena - labour section:

· for two groups of plaintiffs (18 in total, subsequently reduced to 14 as
a result of waivers/conciliations) who brought class actions, first instance rulings were pronounced in favour of the Bank by the Labour
Law Division of the Court of Siena. The Florence Court of Appeal, by rulings issued on 5 April 2024, rejected the workers' appeals
and the cases are currently pending in Cassation;

· for another group of applicants (18 in total, subsequently reduced to 16
as a result of waivers/conciliations), a first instance decision is currently pending before the Court of Siena, Labour Law Division,
next hearing date 14 February 2025;

· for the only applicant filing individual proceedings, the Labour Law Division
of the Court of Siena issued a ruling against the Bank. The employee was readmitted to service on 1 March 2024 and the case was settled
out of court on 10 September 2024.

3. Tax disputes

As at 31 December 2024, tax disputes were pending for which the total relief sought, where quantified, was equal to approximately EUR 35.5 mln. Specifically:

· approx. EUR 12.2 mln as relief sought for disputes for which there is a
 "likely" risk of disbursing financial resources, for which provisions of approx. EUR 12.0 mln have been allocated;

· approx. EUR 23.3 mln as relief sought for disputes for which there is a
 "possible" risk of disbursing financial resources.

998

2024 ANNUAL REPORT - Notes to the separate financial statements - Part E - Information on risks and hedging policies

Risk linked to representations and warranties given in the sale and demerger of impaired loans

In previous years, the Bank launched an important destocking plan for non-performing loans with the aim of significantly reducing its NPE ratio. As part of these transfers of non-performing loan portfolios, indemnities are envisaged to be paid to the transferee counterparties if the representations and warranties (R&W) issued prove untrue.

In this regard, note the securitisation transaction carried out by the Bank in December 2017 in favour of Siena NPL which resulted in the cancellation of bad loans for a gross exposure of over EUR 22 bn, whose R&W expired on 31 July 2021. At the reporting date of these financial statements, all claims received by the deadline were reviewed, of which a small percentage were assessed as well-founded and were paid.

Also noteworthy are, (i) the "Hydra-M" demerger transaction in the 2020 financial year concerning EUR 7.2 billion of gross impaired loans whose R&W matured on 1 December 2022 and for which all claims received were analysed and paid where deemed justified; (ii) the 2022 "Fantino" sale transaction concerning EUR 0.9 billion of impaired loans whose representations and warranties expired between 28 October 2023 (Intrum Spa) and 20 May 2024 (Amco Spa and Illimity Spa); all claims received have been analysed and paid where deemed justified, with the exception of the assignee Amco Spa, for which negotiations are underway to define the claims notified close to their due date; (iii) the 2023 "Mugello" sale transaction concerning EUR 0.2 billion of impaired loans, whose representations and warranties will expire in the first quarter of 2025; to date, a small number of claims have been notified; all claims received were analysed and paid where deemed justified; (iv) the 2024 'Bricks' sale transaction finalised through the signing of three sale agreements with different assignees and concerning a total of EUR 0.3 billion of impaired loans, whose representations and warranties will expire between December 2025 and the first quarter of 2026; To date, no claims have been notified.

The total relief sought for these transactions as at 31 December 2024 amounted to EUR 271.3 mln, of which around EUR 63.8 mln classified as "likely" risk of losing and around EUR 207.5 mln as "possible" risk of losing.

For all the aforementioned transactions, a risk remains limited to that part of the claims already analysed and considered non-indemnifiable by the Bank in addition, where present, to the residual component of claims to be analysed.

In general, the risk provisions for this type of transaction, if the claims are not fully analysed and/or the expiry date has not yet matured, are also determined through the use of statistical techniques to take into account the overall expected risk.

999

BANCA MONTE DEI PASCHI DI SIENA

Financial risks of investment services

Foreword

The following section on financial risks of investment services was written as part of the "Operational Risk" section in line with the compulsory framework for preparation of the Notes to the Financial Statements, even though this subject presents specific characteristics and involves organisational levels of authority that are not directly traceable to operational risk management.

Wealth risk management process and methods

Please refer to Part E of the Notes to the Consolidated Financial Statements.

Consultancy services offered

The strategic choice of the Bank is to systematically combine the placement of financial products with advisory so as to ensure the highest level of protection for the investor and, at the same time, enhance the role played by relationship managers. Again, with a view to protecting customers, the obligation to verify appropriateness has also been extended to the trading activities on the secondary market of the certificates issued by the Bank.

The Bank offers two types of advisory services:

· a "basic" advisory, aimed at verifying the suitability of a
single specific investment recommendation, or several investment transactions or several disinvestment transactions in relation to the
risk of the customer's investment portfolio as a whole. In this regard, the adequacy model adopts a multivariate control approach
to the individual risk factors, taking the risk of the customer's portfolio, including the recommended investment product(s), as
a reference;

· an "advanced" advisory, aimed at verifying the suitability of
the overall set of advised transactions based on a range of investment/disinvestment transactions targeted at the construction of one
or more portfolios of advanced advisory, consistent with the respective investment objectives, in reference with an optimal asset allocation
that aims at obtaining maximised future returns, based on the investment portfolio risk given the customer's risk profile. In this
regard, the adequacy model adopts a multivariate control approach to the individual risk factors, taking the risk of the customer's
portfolio, including the recommended investment product(s), as reference.

Wealth risk management activities cover the entire distribution perimeter of the network of Group branches, the investment services operated by Banca Widiba.

For further details, please refer to "Operational risk" section in Part E of the Notes to the Consolidated Financial Statements.

1000

2024 ANNUAL REPORT - Notes to the separate financial statements - Part F - Information on shareholders' equity

Part F - Information on shareholders' equity

For qualitative information on capital, the corresponding management policies and the rules underlying the determination of own funds, please refer to Part F of the Consolidated Notes to the Financial Statements.

B. Quantitative Information

B.1 Shareholders' Equity: breakdown

---

| | | | |
|:---|:---|:---|:---|
| **Net equity items** | **Net equity items** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** |
| 1. | Shareholders' equity | 7453451 | 7453451 |
| 2. | Share premium |  |  |
| 3. | Reserves | 1855557 | 146613 |
|  | - retained earnings | 1353492 | (226598) |
|  | &nbsp;&nbsp;&nbsp;a) Legal reserves | 202153 |  |
|  | &nbsp;&nbsp;&nbsp;b) statutory reserve | 303229 |  |
|  | &nbsp;&nbsp;&nbsp;c) Treasury shares |  |  |
|  | &nbsp;&nbsp;&nbsp;d) others | 848110 | (226598) |
|  | -others | 502065 | 373211 |
| 4. | Equity instruments |  |  |
| 5. | Treasury shares (-) |  |  |
| 6. | Valuation reserves | 52555 | 20069 |
|  | - Equity instruments measured at fair value through other comprehensive income | (14167) | (14112) |
|  | - Financial assets (other than equity instruments) measured at fair value through other comprehensive income | (29852) | (60145) |
|  | - Tangible assets | 104046 | 114756 |
|  | - Cash flow hedges | 24316 | 17794 |
|  | - Exchange difference | 4395 | 2984 |
|  | - Non-current assets and group of assets held for sale | 5570 | (2409) |
|  | - Financial liabilities measured at fair value through profit and loss (changes in own credit worthiness) | 4925 | 8369 |
|  | - Actuarial gains (losses) on defined benefit plans | (46678) | (47168) |
| 7. | Profit (loss) for the year | 1922898 | 2021525 |
| **Net equity** | **Net equity** | **11284461** | **9641658** |

---

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BANCA MONTE DEI PASCHI DI SIENA

B.2 Valuation reserves for financial assets measured at fair value through other comprehensive income: breakdown

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total<br> 31 12 2024** | **Total<br> 31 12 2024** | **Total<br> 31 12 2023** | **Total<br> 31 12 2023** |
| <br>**Asset/Amount** | **Positive<br> reserve** | **Negative<br> reserve** | **Positive<br> reserve** | **Negative<br> reserve** |
| 1. Debt securities | 12418 | (42270) | 10065 | (70210) |
| 2. Equity instruments | 7001 | (21168) | 7864 | (21976) |
| 4. Loans | - | - | - | - |
| **Total** | **19419** | **(63438)** | **17929** | **(92186)** |

---

B.3 Valuation reserves for financial assets measured at fair value through other comprehensive income: annual changes

31 12 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | **Debt securities** | **Equity instruments** | **Loans** |
| **1.** | **Opening balance** | **(60145)** | **(14111)** |  |
| **2.** | **Increases** | **33759** | **2782** |  |
|  | 2.1 increases in fair value | 30255 | 2320 |  |
|  | 2.2 Net losses (recoveries) on impairment |  | X |  |
|  | 2.3 Reversal to profit and loss of negative reserves | 3317 | X |  |
|  | 2.4 Transfers to other component of equity (equity instruments) |  | 1 |  |
|  | 2.5 Other increases | 187 | 461 |  |
| **3.** | **Decreases** | **3466** | **2838** |  |
|  | 3.1 Decreases in fair value | 2148 | 40 |  |
|  | 3.2 impairment provisions |  |  |  |
|  | 3.3 Reversal to profit and loss of positive reserves:following disposal | 1131 | X |  |
|  | 3.4 Transfers to other component of equity |  | 2774 |  |
|  | 3.5 Other decreases | 187 | 24 |  |
| **4.** | **Closing balance** | **(29852)** | **(14167)** |  |

---

1002

2024 ANNUAL REPORT - Notes to the separate financial statements - Part F - Information on shareholders' equity

B.4 Valuation reserves for defined benefit plans: annual changes

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Internal funds** |<br>**External funds** | **Provisions for**<br>**employees severance**<br>**pay** | **31 12 2024** |
| **Opening balance** | **(34202)** | **(225)** | **(14169)** | **(48594)** |
| **Remeasurement of net defined benefit liability (asset):** | **(163)** | **-** | **(21)** | **(184)** |
| Return on plan assets excluding interests |  | (5) |  | (5) |
| Actuarial gains (losses) arising from changes in demo-graphic assumptions |  | (2) |  | (2) |
| Actuarial gains (losses) arising from experience adjustments | (107) | (1017) | 357 | (767) |
| Actuarial gains (losses) arising from changes in financial assumptions | (56) | 1432 | (378) | 998 |
| Changes in effect of limiting net defined benefit asset to asset ceiling |  | (408) |  | (408) |
| **Gains (losses) on settlements** | **-** | **-** | **-** | **-** |
| **Others** | **53** | **619** | **2** | **674** |
| **Closing balance** | **(34312)** | **394** | **(14188)** | **(48104)** |

---

Section 2 – Regulatory banking capital and ratios

See the information on own funds and capital adequacy contained in the public disclosure (Pillar 3).

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BANCA MONTE DEI PASCHI DI SIENA

Part G - Business combinations

Section 1 – Business combinations during the financial period

1.1 Business combinations

1.1.1 Transactions included in the scope of application of the international accounting standard IFRS 3 "Business combinations"

No business combinations, as defined by IFRS 3, were carried out in 2024.

Business combinations between entities under common control

In 2024, no business combinations were carried out between entities under common control.

Section 2 - Business combinations completed after the financial period

There are no transactions to report.

Section 3 – Retrospective adjustments

No retrospective adjustments are reported.

1004

2024 ANNUAL REPORT - Notes to the separate financial statements - Part H - Related-party transactions

Part H - Related-party transactions

1 Compensation of key management personnel

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Board of Director** |<br>**Board of Statutory**<br>**Auditors** | **Other Managers**<br>**with strategic**<br>**responsibility** |<br>**Total** |
| Short - term benefits (1) | 1216 | 216 | 4559 | 5991 |
| Post-retirement benefits (2) |  |  | 98 | 98 |
| Termination benefits (3) |  |  | 1044 | 1044 |
| Share based payments (4) |  |  | 1821 | 1821 |
| Other benefits (5) | - | - | 1234 | 1234 |
| **Total as at 31 12 2024** | **1216** | **216** | **8756** | **10188** |
| Short - term benefits (1) | 1229 | 218 | 4611 | 6058 |
| Post-retirement benefits (2) |  |  | 98 | 98 |
| Termination benefits (3) |  |  |  |  |
| Share based payments (4) |  |  | 1164 | 1164 |
| Other benefits (5) | - | - | 797 | 797 |
| **Total as at 31 12 2023** | **1229** | **218** | **6670** | **8117** |

---

1. includes salaries and fringe benefits;

2. includes company contributions to pension funds;

3. includes contractual indemnities due on termination of employment;

4. includes the cost of share-based payments under the incentive scheme;

5. includes variable compensation under the incentive scheme.

In compliance with the instructions provided by accounting standard IAS 24 and in light of the current organisational structure, the Bank has opted for the disclosure scope to include not only the Directors, Statutory Auditors, the General Manager and the Deputy General Managers, but also other Key Management Personnel.

The information regarding remuneration policies is contained in the 'Remuneration Report pursuant to art. 123-ter of the Consolidated Law on Finance', available on the Bank's web site, which contains the following data:

· a detailed breakdown of compensation paid to the Administration and Control
Bodies, General Managers and, in aggregate form, to Key Management Personnel;

· quantitative information on the remuneration of "Identified Staff";

· monetary incentive plans in favour of members of the Administration and
Control Body, the General Managers, the Deputy General Managers and other Key Management Personnel;

· information on the equity investments of members of the Administration and
Control Bodies, the General Managers and other Key Management Personnel.

There were 3 terminations of employment of executives in the financial year 2024.

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BANCA MONTE DEI PASCHI DI SIENA

2. Related-party transactions

In compliance with the provisions of Consob Resolution no. 17221, 12 March 2010, as subsequently amended (hereinafter the "Consob Regulations"), as well as art. 53 Consolidated Banking Law and its implementing provisions (Bank of Italy Circular 285/2013, Part Three, Chapter 11 "Risk assets and conflicts of interest with respect to associated parties"), the "Committee for Related-party Transactions" was established, composed of between three and five independent directors, carrying out the functions envisaged by the Articles of Association and the current legislative and regulatory provisions on transactions with related and associated parties.

The "*Group Directive concerning Management of regulatory obligations on related parties, associated parties and obligations of bank representatives*" (hereinafter the "Group Directive"), accompanied by the "*Group Regulation concerning Management of regulatory obligations on related parties, associated parties and obligations of bank representatives*" (hereinafter the "Group Regulations"), approved by the Bank's Board of Directors, with the prior favourable opinions of the Committee for Related Party Transactions and the Board of Statutory Auditors, contains provisions and internal procedures on related parties, aligned with the provisions of the Consob Regulation. The Group Directive was most recently updated on 3 July 2024 to adapt to the current organisational structure of Banca MPS.

The Group Directive defines the organisational model adopted by the Bank and the companies of the MPS Group (principles and responsibilities) for the management process of the provisions applicable to related parties, associated parties and obligations of the bank representatives, and in particular, governs the principles and rules at the MPS Group level for the control of risks arising from situations of possible conflicts of interest with some subjects close to the decision making centres of the Bank.

Within the Group Directive, the following is also defined:

· the formulation of the responsibilities assigned within the Bank and to
the MPS Group (tasks and responsibilities of the top management bodies and corporate functions of the Bank and Subsidiaries);

· the scope of the related parties, associated parties ("Group Scope")
and other subjects in a potential conflict of interest;

· the criteria for the identification of transactions, level of relevance
of the transactions;

· the decision-making procedures and exemption cases;

· the internal policies in the area of control.

For the purpose of the Group Directive, significance is attributed to the transactions carried out with the subjects operating within the Group Scope which involve the performance of risk activities, the transfer of resources, services and obligations, regardless of the requirement of a consideration. With regard to the type of transactions, these are classified in detail in the aforementioned Group Regulations, as:

· "**most significant transactions** ": transactions where at
least one of the following relevance indicators, applicable according to the specific transaction, exceeds the 5% threshold (greater
relevance threshold):

countervalue relevance index: the ratio of the countervalue of the transaction to the total of the own funds resulting from the most recent published consolidated balance sheet;

relevance index of the assets: the ratio of the total assets of the entity to which the transaction refers, to the total assets of BMPS;

relevance index of the liabilities: the ratio of the total liabilities of the acquired entity to the total assets of BMPS;

· "**transaction of lesser relevance** ": transactions above
the small amount and up to the large amount threshold; in the context of transactions of lesser significance, transactions in which the
amount exceeds EUR 100.0 mln and up to the threshold of greater significance (significance index of the equivalent value) are considered
to be of lesser significance as a "significant amount", or, in the case of acquisitions, mergers and demergers for an amount
equal to or less than EUR 100.0 mln, the significance index of the assets and/or liabilities is equal to or greater than the ratio of
EUR 100.0 mln and own funds at a consolidated level;

· "**transactions of a negligible amount** ": transactions of
EUR 250 thousand or less where the counterparty is a legal person; transactions of EUR 100,000 or less, where the counterparty is a natural
person.

The provisions and procedures applicable to transactions with related parties, in the versions in force at the time, are published on the website www.gruppomps.it in the section "Corporate Governance - Transactions with related parties".

From 2016, the Bank's Board of Directors formally resolved to approve inclusion of the Ministry of Economy and Finance (MEF) and of the relevant directly and indirectly controlled companies within the scope of related parties on a discretionary basis pursuant to the provisions of the Group Directive, excluding the prudential regulation.

1006

2024 ANNUAL REPORT - Notes to the separate financial statements - Part H - Related-party transactions

Following completion of the Bank's precautionary recapitalisation procedure, after which the MEF became the controlling shareholder from August 2017, the Bank received notification on 18 December 2017 from the Supervisory Authorities with regard to the methods for the resulting application of limits to risk assets laid out in prudential regulations, pursuant to art. 53 of the Consolidated Law on Banking (TUB) and its implementing provisions (Bank of Italy Circ. 263/06 Title V, Section 5), through application to the Bank of the "silo" approach for calculation of the reference limits.

On 27 December 2024, the status of the MEF became that of a shareholder with significant influence following changes to the Bank's corporate structure and the composition of its Board of Directors in November and December 2024.

Since the MEF was a controlling shareholder for almost the entirety of 2024, MEF's scope as a controlling shareholder was kept unchanged for the purposes of disclosing the Bank's transactions 2024.

With reference to the MEF scope, the Bank has availed itself of the exemption provided by paragraph 25 of IAS 24 on the disclosure of transactions and balances of existing transactions with government-related entities. The main transactions carried out with the MEF and with its subsidiaries and associated companies, in addition to financing transactions, include Italian government securities recorded in the portfolios "Financial assets measured at fair value through other comprehensive income" for a nominal amount of EUR 1,519.0 mln, "Financial assets measured at fair value through profit or loss" for a nominal amount of EUR 1,840.4 mln and "Financial assets measured at amortised cost" for a nominal amount of EUR 8,047.8 mln.

The most significant transactions, in terms of amount, carried out by the Bank with related parties in 2024 are discussed below.

MEF related-party transactions

*i. Transactions with SACE S.p.A.*

On 6 February 2024, the Board of Directors of the Bank, subject to opinion in favour from the Related Party Transactions Committee, voted in favour of including Banca MPS in the proposed arrangement with creditors (pursuant to art. 161, paragraph 6 of the Bankruptcy Law) formulated by GRUPPO PSC S.p.A., which with regard to short and medium/long-term cash exposure for a total of EUR 24.2 mln particularly envisages voting on: (a) quarterly repayment by SACE S.p.A. of EUR 15.5 mln in accordance with the original exposure recovery plan guaranteed by SACE S.p.A.; (b) repayment of 2.05% (amounting to EUR 51.0 k) of SACE's total unsecured exposure of EUR 2.5 mln; (c) repayment of 2.03% (approximately EUR 127.0 k) of the total exposure of EUR 6.3 mln.

On 20 February 2024, the Credit Committee approved the framework resolution with a credit pool of EUR 390.0 mln, concerning the Bank's operations with SACE S.p.A., relating to the issue of financial guarantees by SACE S.p.A. against credit lines/loans granted by Banca MPS to companies that will be able to benefit from the SACE Futuro guarantee, aimed at promoting growth in global markets, supporting technological innovation and the digitalisation process, investing in infrastructure and sustainability, supporting strategic supply chains and economically disadvantaged areas, contributing to the growth of the social ecosystem through the development of female entrepreneurship, with a particular focus on initiatives related to the National Recovery and Resilience Plan (NRRP, "DQSACEFUTURO2024"). On 16 December 2024, the Credit Committee resolved to increase the ceiling to EUR 500.0 mln. The DQSACEFUTURO2024 is valid for a period of 12 months from the date of acceptance by the parties of the special terms and conditions applicable to the loans. It applies only to Banca MPS, not at Group level.

On 19 March 2024, the Credit Committee resolved in favour of the Bank's customers to grant a 10-year unsecured loan for a total of EUR 49.0 mln for the construction of a tourism-hotel structure abroad, 80% guaranteed by SACE S.p.A. among others ("Political Risk" guarantee).

On 26 March 2024, the Credit Committee authorised the granting of medium/long-term credit lines in favour of the Bank's customers for a total of EUR 70.0 mln, with a duration of 8 years, to support environmental sustainability expenses in infrastructure contracts in Italy and abroad, of which one tranche of EUR 50.0 mln is for investments in Italy, 80% backed by a guarantee issued by SACE S.p.A. ("Strategic Relief" guarantee).

On 16 April 2024, the Credit Committee resolved to renew the framework resolution (that expired on 30 March 2024)<sup>21</sup>, with a reduction of the amount from EUR 500.0 mln to EUR 400.0 mln, concerning the Bank's operations with SACE S.p.A. relating to the issue of financial guarantees by SACE S.p.A. against credit facilities/loans granted by Banca MPS to companies as part of the "Green New Deal", i.e. to pursue environmental objectives adequately supported by suitable projects for reducing pollution and the extent of polluting emissions and therefore at promoting eco-sustainable development and the transition to a low environmental impact economy ("DQSACEGREEN2024"). The DQSACEGREEN2024 is valid for a period of 12 months from the date of adoption of the resolution and operates in relation only to Banca MPS and not at Group level.

21 See Part H of the Notes to the 2023 Financial Statements for more details.

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BANCA MONTE DEI PASCHI DI SIENA

In April, May and June 2024, transactions were concluded with SACE S.p.A., in favour of customers of the Bank, for the issue of a 70% SACE Futuro guarantee, to guarantee medium/long-term credit lines for SACE S.p.A. maximum guaranteed amounts of EUR 18.0 mln (with guarantee of EUR 12.6 mln), EUR 34.0 mln (with guarantee of EUR 23.8 mln) and EUR 15.0 mln (with guarantee of EUR 10.5 mln), as part of the DQSACEFUTURO2024 initiatives described above.

During the first half of 2024, two insurance policies were finalised with SACE S.p.A., with coverage equal to 50% of the risk of non-payment, relating to confirmation transactions of documentary credits in US dollars, entered into by Banca MPS customers with foreign banks, for values of approximately USD 14.3 mln and USD 12.8 mln, respectively.

On 5 August 2024, the Board of Directors authorised the Bank's participation, up to a maximum of EUR 30.0 mln, in a max 10-year EUR 100.0 mln syndicated loan to non-related customers with a EUR 1.5 mln credit line to hedge against interest rate risks. The loan is backed by a SACE guarantee for between 50% and 80% of the loan value.

In the second half of 2024, two insurance policies were finalised with SACE S.p.A. in relation to the following confirmation transactions of documentary credits in US dollars: (i) on 8 August, an insurance policy covering 76% of the risk of default, entered into by a non-related Italian customer, for a value of approximately USD 28.6 mln; (i) on 27 November, an insurance policy covering 70% of the risk of default, entered into by a customer with a foreign bank, for a value of approximately USD 12.7 mln.

On 20 November 2024, the Credit Committee authorised a EUR 25.0 mln loan to non-related customers, as the Bank's share of a 50% SACE-guaranteed EUR 150.0 mln syndicated loan.

In July, September, November and December 2024, several transactions were concluded with SACE S.p.A., in favour of customers of the Bank, for the issue of a 70% SACE Futuro guarantee, as part of the DQSACEFUTURO2024 initiatives described above., to guarantee medium/long-term credit lines for SACE S.p.A. maximum guaranteed amounts: EUR 17.0 mln (with guarantee of EUR 11.9 mln); EUR 20.0 mln (with guarantee of EUR 14.0 mln); EUR 30.0 mln (with guarantee of EUR 21.0 mln); EUR 25.0 mln (with guarantee of EUR 17.5 mln); EUR 25.0 mln (with guarantee of EUR 17.5 mln); EUR 15.0 mln (with guarantee of EUR 10.5 mln); EUR 20.0 mln (with guarantee of EUR 14.0 mln).

These transactions with SACE S.p.A. fall within the scope of application of Consob Regulation no. 17221/2010, since SACE S.p.A. is a wholly-owned subsidiary of the MEF.

In addition, on 5 August 2024 the Board of Directors granted OPEN FIBER S.p.A.: (i) a EUR 47.0 mln credit line as the Bank's share of a new EUR 1.05 bn syndicated loan intended to support the investment plan for construction of a broadband network – the loan is backed by a 70% SACE guarantee and, among other things, by a pledge on the shares of OPEN FIBER S.p.A.. by parent company OPEN FIBER HOLDING S.p.A, and a EUR 2.0 mln derivative credit line to hedge interest rate risk; and (ii) an amendment to certain terms and conditions of a previous 2022-dated EUR 7.1 bn syndicated loan, of which the Bank's share is EUR 200.0 mln, in order to bring it into line with the new credit line referred to in (i) above. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, both because OPEN FIBER S.p.A. is a subsidiary of OPEN FIBER HOLDING S.p.A., which is in turn controlled by OPEN FIBER HOLDINGS S.p.A., in turn controlled by CDP S.p.A., in turn controlled by the MEF, and because SACE S.p.A. is a wholly-owned subsidiary of the MEF.

Also on 5 August 2024, as part of its ordinary review of credit lines, the Board of Directors authorised the following in favour of ANSALDO ENERGIA S.p.A.: a) conformation of EUR 11.0m in mixed revolving credit lines, which can be used for the issue of unsecured loans; b) the Bank's participation, up to a maximum of EUR 10.0 mln and with a related EUR 0.5 mln credit line to hedge against interest rate, in a 70%-SACE-guaranteed 3-year EUR 50.0 million syndicated loan. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, as: (i) ANSALDO ENERGIA S.p.A. is a subsidary of CDP Equity S.p.A., in turn a wholly-owned subsidiary of CDP S.p.A., in turn controlled by the MEF, and (ii) SACE S.p.A. is a wholly-owned subsidiary of the MEF.

*ii. Transactions with CDP S.p.A.*

As part of the placement of Covered Bonds, with a 5-year maturity, finalised by the Bank on 16 April 2024 for a total of EUR 750.0 mln, CDP S.p.A. - pursuant to Art. 5, paragraph 8-ter of Italian Law Decree no. 269/2003, converted into Law no. 326/2003 in compliance with art. 6, paragraph 1.b) of Italian Law Decree no. 102/2013 - subscribed this issue for a total of EUR 60.0 mln. The residual amount was placed with other institutional investors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, as CDP S.p.A. is a subsidiary of the MEF.

On 29 October 2024, the Credit Committee authorised a loan of up to EUR 30.0 mln to non-related customers as the Bank's share of a EUR 135.0 mln syndicated loan, in which CDP S.p.A also participates with a share of EUR 35.0 mln. The granting of the syndicated loan is conditional upon obtaining a 25% SACE guarantee, which may be accumulated by up to 50% with another guarantee provided by a public economic entity that is not a related party.

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On 7 November 2024, the Board of Directors approved a EUR 153.75 mln loan to non-related parties as the Bank's share (corresponding to 20%) of a EUR 765.0 mln syndicated loan, in which CDP S.p.A. also participates (with a 19.6% share). The loan is 50%-to-70% guaranteed by SACE, with the Bank's credit line share up to a maximum EUR 84.0 mln.

The above transactions fall within the scope of application of Consob Regulation No. 17221/2010, both because the MEF is the majority shareholder of CDP S.p.A. (a participant in the syndicated financing), and because SACE S.p.A. (the guarantor) is a wholly-owned subsidiary of the MEF.

*iii. Transactions with FINCANTIERI S.p.A.*

On 19 March 2024, the Credit Committee resolved, in favour of customers that are not related parties, on granting a debtor credit pool for a non-recourse risk limit of EUR 50.0 mln, usable against the transferor FINCANTIERI S.p.A., subject to positive assessment and decision, with operations backed by a trade finance guarantee issued by SACE S.p.A. with a coverage ratio of 80%.

On 10 December 2024, the Credit Committee authorised, in favour of customers that are not related parties, on granting a debtor credit pool for a non-recourse risk limit of EUR 120.0 mln, usable against the transferor FINCANTIERI S.p.A., subject to positive assessment and decision, with operations backed by a trade finance insurance guarantee issued by SACE S.p.A. with a coverage ratio of 80%.

These transactions fall within the scope of application of Consob Regulation no. 17221/2010 as the MEF is the majority shareholder of CDP S.p.A., which in turn controls CDP Equity S.p.A., the majority shareholder of FINCANTIERI S.p.A. (transferor), and as SACE S.p.A. (issuer of the trade finance insurance guarantee) is wholly owned by the MEF.

In addition, on 24 September 2024, the Credit Committee authorised, in favour of customers that are not related parties on granting a credit pool for a non-recourse risk limit of EUR 30.0 mln, usable against the transferor FINCANTIERI S.p.A., subject to positive assessment and decision, backed by a trade finance guarantee issued by SACE S.p.A. with a coverage ratio of 100%. Subsequently, on 12 December 2024 the Board of Directors, after obtaining the favourable opinion of the Committee for Transactions with Related Parties, authorised a transaction similar to the one in 2021, relating to the Bank's participation, up to a maximum of EUR 200.0 mln overall, to a Buyer's Credit Pool operation, totalling approximately EUR 1.8 bn, with CDP S.p.A. and another banking counterpart, assisted, inter alia, by an insurance policy SACE S.p.A. to cover 100% of the loan and with the intervention of SIMEST S.p.A. for the purposes of any stabilization of the interest rate. The transaction falls within the application of Consob Regulation no. 17221/2010 due to the role of: (i) CDP S.p.A., a subsidiary of the MEF, as co-lender; (ii) SACE S.p.A., a wholly-owned subsidiary of the Ministry of Economy and Finance, as guarantor in the insurance policy issuance; (iii) SIMEST S.p.A., a direct subsidiary of CDP S.p.A., which is in turn controlled by the MEF, as a participant for the purposes of any interest rate stabilisation, and (iv) FINCANTIERI S.p.A., a subsidiary of CDP Equity S.p.A., which is controlled by CDP S.p.A., in turn controlled by the MEF.

Lastly, on 12 December 2024, the Bank's Board of Directors decided, as part of a review of its EUR 390.0 mln credit framework, to grant FINCANTIERI S.p.A. a EUR 320.0 mln debtor credit pool for factoring operations of various types. The transaction falls within the scope of application of CONSOB Regulation no. 17221/2010, since FINCANTIERI S.p.A. is jointly owned by Eni S.p.A. and CDP Equity S.p.A., which are in turn owned by the MEF.

*iv. Transactions with other MEF related parties*

On 15 January 2024, the ordinary review at par of good-till-cancelled credit facilities in favour of SO.G.I.N. S.p.A. was authorised with confirmation of the two mixed credit lines in place for a total of EUR 19.9 mln, which can be used for the issue of unsecured loans for EUR 18.9 mln and EUR 1.0 mln that can be used for forex hedging. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since SO.G.I.N. S.p.A. is a wholly-owned subsidiary of the MEF.

On 2 February 2024, as part of the ordinary review of credit lines for approximately EUR 12.2 mln, the mixed revolving credit line extended with an increase from EUR 2.2 mln to EUR 6.0 mln was authorised in favour of HOTELTURIST S.p.A., usable for the issue of Italian/foreign sureties. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since HOTELTURIST S.p.A. is a 45.95% investee of CDP Equity S.p.A., in turn a wholly-owned subsidiary of CDP S.p.A. which is in turn controlled by the MEF.

On 20 February 2024, the ordinary review of credit lines for a total of EUR 14.1 mln was authorised in favour of GPI S.p.A., confirming the existing mixed credit line of EUR 3.5 mln, usable for advances on invoices and the issue of guarantees. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since GPI S.p.A. is a subsidiary of CDP Equity S.p.A., a wholly-owned subsidiary of CDP S.p.A., in turn controlled by the MEF.

On 7 March 2024, an increase in the without recourse risk limit from EUR 7.0 mln to a total of EUR 27.0 mln was resolved in favour of FERROVIENORD S.p.A., for application in relation to third-party transferors subject to positive assessment and decision, and backed by a guarantee with a 95% coverage ratio.

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The transaction falls within the scope of application of Consob Regulation no. 17221/2010 because FERROVIENORD S.p.A. is wholly owned by FNM S.p.A., a 14.74% investee of Ferrovie dello Stato S.p.A. which is in turn a wholly-owned subsidiary of the MEF.

On 13 March 2024, the granting of current account credit facilities of EUR 35.0 mln and EUR 40.0 mln, respectively, were authorised in favour of the investment funds FOF PRIVATE DEBT ITALIA and FOF PRIVATE EQUITY ITALIA, both expiring on 5 September 2025, to be used for financial advances. The transaction falls within the scope of application of Consob Regulation No. 17221/2010 because FOF PRIVATE DEBT and FOF PRIVATE EQUITY ITALIA, closed-end Italian alternative investment funds reserved for professional investors, are managed by Fondo Italiano di Investimento SGR S.p.A., which is 55% owned by CDP EQUITY S.p.A., a wholly-owned subsidiary of CDP S.p.A., which in turn is controlled by the MEF.

On 28 March 2024, as part of the ordinary review of credit lines for a total of EUR 170.0 mln, the Board of Directors resolved in favour of FERROVIE DELLO STATO S.p.A.: (i) reduction of the mixed credit line from EUR 50.0 mln to EUR 20.0 mln; (ii) granting of a credit pool without recourse risk limit of EUR 125.0 mln, for application in relation to third-party transferors, backed by an insurance policy with 95% coverage, and (iii) granting of a credit pool with a notional with recourse limit of EUR 25.0 mln, valid for transferors subject to positive assessment and decision. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since FERROVIE DELLO STATO S.p.A. is a wholly-owned subsidiary of the MEF.

Again on 28 March 2024, the Board of Directors resolved on the ordinary review of credit lines in favour of ANAS S.p.A., for total of EUR 205.0 mln. The transaction envisages the confirmation of existing credit lines and increase of the credit line without recourse risk limit from EUR 13.0 mln to EUR 40.0 mln, applicable to third-party assignors and suppliers, backed by an insurance policy with 95.0% coverage of the risk limit. Subsequently, on 20 May 2024, the increase in the unsecured credit line was authorised from EUR 15.0 mln to EUR 20.0 mln, usable for foreign guarantees and fully guaranteed by a cash pledge, with simultaneous cancellation of the Italian credit guarantee facility not used for EUR 5.0 mln. These transactions fall within the scope of application of Consob Regulation no. 17221/2010, since ANAS S.p.A. is a wholly-owned subsidiary of Ferrovie dello Stato S.p.A., in turn controlled by the MEF.

On 10 June 2024, as part of the ordinary review of credit lines, the confirmation at par of existing credit lines of EUR 8.0 mln and EUR 10.0 mln<sup>22</sup>, respectively, was authorised in favour of TITAGARH FIREMA S.p.A. with granting of a new unsecured loan for EUR 3.0 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since TITAGARH FIREMA S.p.A. is approximately 30% owned by Invitalia S.p.A., which in turn is wholly owned by the MEF.

On 11 June 2024, as part of the ordinary review of credit lines the Credit Committee authorised the following in favour of SAIPEM S.p.A.: i) the increase from EUR 90.0 mln to EUR 135.0 mln of the existing mixed revolving credit line, usable up to the entire amount for the issue of Italian/foreign unsecured loans and for the release of documentary credit commitments, and up to a maximum of EUR 50.0 mln for financial transactions involving bankers' drafts; (ii) the reduction from EUR 4.87 mln to EUR 3.37 mln of the credit line with a pool of other banks; and (iii) cancellation of the existing mixed credit line of EUR 5.0 mln for operations in derivatives. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since SAIPEM S.p.A. is indirectly owned by the MEF through ENI S.p.A. and CDP Equity S.p.A., which are in turn controlled by the MEF.

In the first half of 2024, the postal services contract with the counterparty POSTE ITALIANE S.p.A. was renewed, for an aggregate principal amount of approximately EUR 19.6 mln (including VAT), for the two-year period 2024-2026, of which: (i) EUR 2.8 mln for technical extension of the contract, valid from 16 February 2024 to 9 July 2024, at the same economic conditions as the previous contract expiring on 15 February 2024, and (ii) EUR 16.7 mln for the signing of a new two-year contract, valid from 10 July 2024 to 9 July 2026, with the possibility of extension for a further year. The services provided are necessary to guarantee the regular delivery to customers of the mandatory paper communications provided for by Legislative Decree no. 385/1993 (Consolidated Law on Banking). The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since the MEF has a controlling interest in POSTE ITALIANE S.p.A.

On 16 July 2024, approval was given, in favour of asset management company CDP VENTURE CAPITAL SGR S.p.A. (the "AMC"), acting in the name and on behalf of FOF VENTURITALY (a closed-end Italian alternative investment fund reserved for professional investors set up by the AMC), for an increase in the credit line which can be used as a current account credit facility to meet temporary cash requirements from EUR 10.0 mln to EUR 20.0 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since CDP VENTURE CAPITAL SGR S.p.A. is a 70% investee of CDP Equity S.p.A., a wholly-owned subsidiary of CDP S.p.A., which is in turn controlled by the MEF.

On 27 September 2024, the Credit Committee authorised the granting of a non-recourse line of credit with a EUR 30.0 mln risk limit to FIBERCOP S.p.A. as account debtor in factoring arrangements for application in relation to approved transferors.

22 See Part H of the Notes to the 2023 Consolidated Financial Statements for more details.

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part H - Related-party transactions

Subsequently, on 12 December 2024, the Board of Directors approved an increase in the credit limit of the non-recourse line of credit from EUR 30.0 mln to EUR 120.0 mln for application in relation to approved transferors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since FIBERCOP S.p.A. is a wholly-owned indirect subsidiary of Optics Holdco Srl, which in turn is an investee of the MEF.

On 8 October 2024, the ordinary revision of credit facilities in favour of SOGEI S.p.A. was authorised with a EUR 11.0 mln extension of the non-recourse credit line risk limit as account debtor in factoring arrangements. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since SOGEI S.p.A. is a wholly-owned subsidiary of the MEF.

On 17 October 2024, the ordinary revision of EUR 13.0 mln in credit facilities in favour of GPI S.p.A. was authorised with a EUR 3.5 mln extension of the mixed credit line, usable up to the full amount for early payment of receivables and up to the EUR 1.0 million for early payment of orders/flows. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since GPI S.p.A. is an indirect subsidiary (through CDP Equity S.p.A.) of CDP S.p.A., in turn controlled by the MEF.

On 29 October 2024, the Credit Committee authorised the granting of a new non-recourse credit pool with EUR 50.0 mln risk limit to OPEN FIBER HOLDINGS S.p.A. for factoring operations, for application in relation to approved transferors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since OPEN FIBER HOLDINGS S.p.A. is a subsidiary of CDP S.p.A., in turn controlled by the MEF.

On 5 November 2024, the ordinary revision of credit facilities, in favour of CONSIP S.p.A. was authorised with an extension of the credit facility which can be used as a current account credit facility, for EUR 10.0 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since CONSIP S.p.A. is a wholly-owned subsidiary of the MEF.

On 20 November 2024, a credit line of EUR 30.0 mln was authorised in favour of the FOF INFRASTRUTTURE, which can be used as a current account credit facility. The transaction falls within the application of Consob Regulation No. 17221/2010 because FOF INFRASTRUTTURE, a closed-end Italian alternative investment fund reserved for professional investors, is managed by CDP Real Asset SGR S.p.A., a subsidiary of CDP S.p.A., which in turn is controlled by the MEF.

On 12 December 2024 as part of the ordinary review of credit facilities, the Board of Directors approved, subject to the favourable opinion of the Related Party Transactions Committee, the following in favour of ENEL S.p.A.: (i) confirmation of the EUR 200.0m multi-purpose, mixed, current account line of credit; (ii) an increase of the multi-purpose, mixed, factoring line of credit from EUR 80.0 mln to EUR 100.0 mln; (iii) an increase of the non-recourse risk limit from EUR 35.0 mln to EUR 70.0 mln, which can be used for the non-recourse transfer of receivables from approved transferors; (iv) a reduction in the notional limit of the recourse risk limit from EUR 27.5 mln to EUR 16.0 mln, which can be used for the recourse transfer of receivables from approved transferors. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, as ENEL S.p.A. is a subsidiary of the MEF.

Transactions with other related parties

On 10 December 2024, subject to the favourable opinion of the Committee for Related Party Transactions, the transfer of 800 units held by the Bank in the share capital of Banca d'Italia to the Supplementary Pension Fund for employees of MPS (MPS PENSION FUND") was approved, at a price equal to the nominal value of EUR 25,000 per unit, for a total amount of EUR 20.0 mln. The transaction, authorised beforehand by the Board of Directors on 7 November 2024, falls within the scope of application of Consob Regulation No. 17221/2010, as the MPS PENSION FUND, as the counterparty to the transaction, is by law a related party of the Bank for the purposes of Consob Regulation No. 172221/2010.

Transactions with subsidiaries

In the first six months, the Bank, as part of the Second Covered Bonds Programme, finalised a loan transfer in favour of the special purpose vehicle MPS COVERED BOND S.r.l., pursuant to the resolution of the Board of Directors of 25 January 2024, which authorised the transfer, in one or more tranches, to the Banca MPS Covered Bonds Programmes (to the First and/or Second Covered Bonds Programme), pursuant to Italian Law 130/99, of a portfolio of performing mortgage loans up to a maximum total amount of EUR 5.0 bn. The transfer involved a portfolio of performing residential mortgage loans for EUR 2 mln, increasing the amount of the subordinated loan disbursed to the vehicle for the purposes of the payment of the price. In the same half of the year, a EUR 750 mln public issue of covered bonds was completed also under the First Programme, with the guarantee extended accordingly. In the context of the Second Covered Bond Programme, the maturities of two retained issues (Series No. 38 and Series No. 39) were extended with the guarantee extended accordingly.

In the second half of 2024, a EUR 750.0 mln public issue of covered bonds was completed also under the First Covered Bonds Programme, with the guarantee extended accordingly. As part of the Second Covered Bonds Programme, the Bank finalised a loan transfer concerning a portfolio of performing mortgage loans in favour of the special purpose vehicle MPS COVERED BOND S.r.l, pursuant to Law 130/99, for an amount of approximately EUR 647.0 mln.

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In the context of the Second Covered Bond Programme, the maturities of two retained issues (Series No. 41 and Series No. 42) were also extended with the guarantee extended accordingly.

These transactions fall within the scope of Consob Regulation no. 17221/2010 as the Bank holds 90% of the share capital of MPS COVERED BOND S.r.l. and MPS COVERED BOND 2 S.r.l.

Lastly, in December 2024, as part of ordinary funding operations, two term deposits were finalised by WISE DIALOG BANK S.p.A. ("WIDIBA") with the Bank (value date: 19 December 2024) with early redemption options at market value (a 5-year EUR 400.0 mln and a 7-year EUR 600.0 mln term deposit). The transactions fall within the scope of application of Consob Regulation no. 17221/2010, since WIDIBA is a wholly-owned subsidiary of the Bank.

As regards securitisation transactions and covered bond programmes, see the specific information provided in the Notes to the Consolidated Financial Statements - Part E – Information on risks and hedging policies.

The following tables summarise the relationships and financial effects of transactions carried out in the financial year with subsidiary and associate companies, key management personnel and other related parties.

On 27 December 2024, the MEF became a shareholder with significant influence in the Bank. Since the MEF was a controlling shareholder for almost the entirety of 2024, the scope of related parties relating to MEF as a controlling shareholder has been kept unchanged for the purposes of disclosing qualitative information relating to the impact on the year's transactions on the balance sheet and the income statement. At the end of the statements, details are given of transactions with the MEF's direct and indirect associates which, taking into account the new status in equity of the MEF, would not fall within the scope of related party transactions.

Lastly, on 27 December 2024, the Banks' Board of Directors co-opted 5 directors that are considered related parties as of 31 December 2024. Considering the short period, from Friday 27 December 2024 to Tuesday 31 December 2024, of the existence of the related party relationship, which could have influenced the Bank's economic, financial and equity position for 2024, and in keeping with the choice applied to the MEF's perimeter of related parties, among the "other related parties" are summarized the relationships and economic effects of transactions during the year exclusively between the Parent Company and key managers, without including the related parties of the new directors with whom no new transactions were concluded between 27 and 31 December 2024.

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2. a Related-party transactions: balance sheet items

Value as at 31 12 2024

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | <br>**Subsidiaries** | <br> **joint**<br>**venture** | <br> **Associated**<br>**companies** | **Executives**<br>**with strategic**<br>**responsibility** | **other**<br>**related**<br>**parties** | <br> **MEF**<br>**Scope** | <br>**Total** | <br> **%**<br>**FS items** |
| Current accounts and demand deposits with banks | 1127232 |  |  |  |  |  | 1127232 | 86.26% |
| Financial assets held for trading | 11981 |  | 3750 |  |  | 3178675 | 3194406 | 52.17% |
| Financial assets measured at fair value mandatory |  |  |  |  |  | 15548 | 15548 | 3.43% |
| Financial assets measured at fair value through other comprehensive income |  |  |  |  |  | 1501791 | 1501791 | 64.25% |
| Loans to banks measured at amortised cost | 417683 |  |  |  |  | 65669 | 483352 | 12.78% |
| Loans to customers measured at amortised cost | 1415403 | 41755 | 62535 | 2208 | 219 | 9869251 | 11391371 | 13.00% |
| Other assets | 24032 | - | - | - | - | 1844971 | 1869003 | 52.18% |
| **Total assets** | **2996331** | **41755** | **66285** | **2208** | **219** | **16475905** | **19582703** |  |
| Financial liabilities measured at amortised cost | 4044372 | 4764 | 58304 | 2958 | 32993 | 3053354 | 7196745 | 6.95% |
| Financial liabilities held for trading | 34678 |  | 1515 |  |  | 84683 | 120876 | 4.56% |
| Other liabilities | 5443 | 20 | 815 | 2 | 2 | 2040 | 8322 | 0.27% |
| **Total liabilities** | **4084493** | **4784** | **60634** | **2960** | **32995** | **3140077** | **7325943** |  |
| Guaranties issued and Commitments | 348446 | 41144 | 26058 | 232 | 10 | 2327019 | 2742909 | n.a. |

---

2. b Related-party transactions: income statement items

Value as at 31 12 2024

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | <br>**Subsidiaries** | <br>**joint**<br>**venture** | <br> **Associated**<br>**companies** | **Executives**<br>**with strategic**<br>**responsibility** | **other**<br>**related**<br>**parties** | <br>**MEF**<br>**Scope** | <br>**Total** | <br>**%**<br>**FS items** |
| Interest income and similar revenues | 39317 | 2406 | 3040 | 43 | 1 | 430302 | 475109 | 10.22% |
| Interest costs and similar charges | (143510) |  | (219) | (72) | (3800) | (67453) | (215054) | 8.71% |
| Fee and commission income | 1367 | 79 | 196710 | 7 | 3 | 284257 | 482423 | 30.24% |
| Fee and commission expense | (2914) |  | (412) | (1) | (1) | (13391) | (16719) | 10.10% |
| Net profit (loss) form financial assets and liabilities measured at fair value through other comprehensive income |  |  |  |  |  | (12012) | (12012) | -128.92% |
| Net adjustments/impaiments | 21 | (28757) | 92 | (4) |  | 5347 | (23301) | 6.45% |
| Dividend | 117 |  | 35483 |  |  | 7932 | 43532 | 74.64% |
| Operating costs | 17584 | 1 | (1422) | (10467) | (4) | (19764) | (14072) | n.m. |

---

1013

BANCA MONTE DEI PASCHI DI SIENA

For the list of subsidiaries and companies subject to significant joint control as at 31 December 2024, see the tables of the Notes to the financial statements - Part B - Information on the balance sheet – Section 7. The securitisation transactions are described in Part E of the Notes to the financial statements.

As at 31 December 2024, transactions with subsidiaries mainly referred to:

&nbsp;&nbsp;&nbsp;&nbsp;· reciprocal current accounts and deposits held with the subsidiary Widiba;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loan transfer transactions to the special purpose vehicles MPS Covered Bond
S.r.l. and MPS Covered Bond 2 S.r.l. under the two programs for the issue of covered bonds;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· outsourcing services related to the auxiliary activities provided by the
Bank (administrative services and property administration and IT services).

Transactions with associates mainly refer to AXA Group companies. In particular, the financial assets and liabilities held for trading refer to the hedging of AXA Group insurance products placed by the MPS network.

With regard to the balances in Table 2.b "Related-party transactions: income statement items" shown above, please note the following:

&nbsp;&nbsp;&nbsp;&nbsp;· Interest income and expenses relating to subsidiaries mainly derives from the above-mentioned positions
 held with Widiba;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· fee and commission income from subsidiaries mainly derives from financial
services provided within the framework agreement entered into with MP Fiduciaria; fee and commission income from associates refers almost
entirely to the insurance investees Axa MPS Assicurazioni Vita S.p.A. and Axa MPS Assicurazioni Danni S.p.A.;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· net impairment for credit risk relates mainly to the joint venture Immobiliare
Novoli S.p.A. and its subsidiary San Donato;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· dividends refer to G.Imm.Astor in relation to subsidiaries and to Axa MPS
Assicurazioni Danni S.p.A, and Fondo Etrusco in relation to associates;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· operating costs relating to associates mainly consist
of insurance expenses with insurance affiliates as counterparts. With regard to the MEF scope, note the following:

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial assets (item 20, 30 and 40) mainly consist of EUR 12,936.0 mln
in government bonds, which generated interest income for EUR 272.9 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the other assets consist of tax credits held by the Group on the tax authorities
for various reasons as a result of the measures introduced by various legal provisions, of which EUR 1,804.8 mln due to tax credits for
construction subsidies purchased by the Bank, which boosted the interest income item by EUR 109.0 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial liabilities measured at amortised cost mainly refer to deposits
with the counterparty CDP amounting to EUR 920.6 mln and Invitalia amounting to EUR 511.8 mln, which account for EUR 30.3 mln and EUR
9.9 mln of interest expense, respectively;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the fee and commission income refer, in addition to the distribution contract
with Anima (associate in the MEF scope,) to the support activities for the State securities placement auctions carried out by the Bank;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· profit (loss) from other assets and liabilities measured at fair value through
profit or loss mainly relate to capital losses on units of the Fondo Italiano di Investimento;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· operating costs are almost entirely attributable to postage and shipping
costs.

Finally, specifically with regard to the transactions with direct and indirect associates included in the MEF scope, it should be noted that:

&nbsp;&nbsp;&nbsp;&nbsp;· financial assets held for trading include securities and derivatives amounting
to approximately EUR 6.3 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial assets measured at fair value through other comprehensive income
include EUR 17.4 mln in debt securities;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· loans and advances to customers at amortised cost include EUR 150.2 mln
in loans, which generated interest income of EUR 14.6 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial liabilities measured at amortised cost include EUR 409.6 mln relating
mainly to current accounts, which generated an interest expense of EUR 9.7 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· financial liabilities held for trading include derivative instruments amounting
to approximately EUR 1.5 mln;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· guarantees and commitments are valued at approximately EUR 631.8 mln;

1014

2024 ANNUAL REPORT - Notes to the separate financial statements - Part H - Related-party transactions

&nbsp;&nbsp;&nbsp;&nbsp;· fee and commission income relates, for EUR 258.6 mln, to Anima, fee and
commission expenses for approximately EUR 10.7 mln are paid to Nexi;

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· net impairment/(reversals) for credit risk relates mainly to the reversals
on loans with the counterparty Gruppo PSC S.p.A. after the Bank joined the proposed arrangement with creditors.

1015

BANCA MONTE DEI PASCHI DI SIENA

Part I - Share-based payments agreement

Qualitative Information

Description of share-based payments agreement

To pursue the objective of encouraging alignments of the interests of management with those of shareholders, Supervisory Provisions on remuneration and incentive policies and practices establish that at least 50% of variable remuneration provided to "identified staff" should be paid in the form of shares or associated financial instruments over a period of at least 4 years. "Variable remuneration" refers to both variable components linked to the performance or other parameters and amounts paid as incentives for the early termination of the employment relationship exceeding the amount due by law ("severance").

In accordance with the aforementioned regulatory provisions, the Montepaschi Group has adopted annual phantom shares plans in the financial years 2017, 2020, 2021, 2022 and 2023<sup>23</sup>, and annual treasury share plans in the financial years 2018 and 2019.

In the session of 11 April 2024, the Shareholders' Meeting of the Bank approved a Phantom Shares Plan for 2024, designated exclusively to the payment of any severance or variable incentive remuneration for the staff of the Montepaschi Group. The contents and the operating procedures of these plans are included in the "Remuneration policies" posted on the web site of the Parent Company *<u>https://www.gruppomps.it/corporate-governance/assemblea-azionisti/archivio-assemblee.html</u>*.

The correspondence of the phantom shares for the Plans up to 2017 and for Plans from 2020 to 2024 do not require the material assignment of shares, but rather the payment of an amount pegged to the share value reported over time, for accounting purposes it is considered a cash settled share based payment pursuant to IFRS 2 "Share-based payments". The debt corresponding to the amounts to be recognised will be settled in cash and accounted for at the end of the year of service; the total amount will depend on the price of the instruments representative of the capital (phantom shares) which will be measured at fair value, calculated as the best estimate of the amount due in consideration of the different conditions established by the plans, valued with regard to the fair value of the shares of the Bank assigned from year to year and the value of the Bank's shares. The estimate of the fair value of the share, at the measurement date, will not take into account any expected vesting conditions (e.g. condition of permanence in service or conditions for the achievement of results), except for market conditions. The vesting conditions should be taken into consideration by adjusting the number of assignments included in the assessment of the liability arising from the transaction; the market conditions (as with any other non-accrual-related conditions) should instead be considered in the estimate of the liabilities fair value arising from the transaction and of the related cost attributed to the Income Statement.

The 2018 and 2019 plans, providing for the assignment of shares of the Bank at the accrual time of the vesting conditions, fall within the scope of the application of the IFRS 2 accounting standard as equity settled share-based payments, in the context of which the instruments representative of the capital are attributed as an offsetting entry to an equity reserve. Within this scope, the severance cost set forth in the Plans and the corresponding increase in net equity are measured at the fair value of the shares that will be assigned; the estimate of the fair value of the share at the measurement date will not need to take into account any expected vesting conditions (e.g. condition of permanence in service or conditions for the achievement of results), except for market conditions. The vesting conditions should be taken into consideration by adjusting the number of financial instruments included in the measurement of the amount of the transaction so that the value recognised in the financial statements for the services received as a consideration for the financial instruments will be based on their number which, at the end, will actually be accrued; the market conditions should instead be considered in the estimate of the fair value of the assigned shares.

The fair value of the Phantom Shares and of the treasury shares assigned is determined – pursuant to art. 9, paragraph 4 of the Income Tax Act (TUIR) – on the basis of the arithmetic average of the MPS share prices reported in the thirty days leading up to the assignment date.

23 It should be noted that, although the characteristics and operation remain unchanged, with a view to greater alignment with market practices, the name of the synthetic instrument was changed from "Performance Shares" (name used by the Bank until 2022) to "Phantom Shares".

1016

2024 ANNUAL REPORT - Notes to the separate financial statements - Part I - Share-based payments agreement

Quantitative Information

With regard to the 2016 plan, 10,688.19 of the original 32,806 deferred phantom shares were paid out during 2024 under the Deferral Plans signed with two former Executives. First, 8.19 phantom shares (corresponding to the last deferred tranche under the plan) were paid out. Second, having verified that the conditions for applying the malus mechanism were no longer met, the last two deferred shares were paid out, for a total of 10,680 phantom shares.

Therefore, as at 31 December 2024, following both the liquidations and write-offs that have occurred to date, and the reverse split of the BMPS share in the ratio of 100 to 1, which took place with the resolution of the Shareholders' Meeting of 15 September 2022, no phantom shares remained to be liquidated in relation to the 2016 plan.

With reference to the cash-settled 2017, 2020, 2021 2022 plans and the equity-settled" 2018 and 2019 plans, neither equity instruments nor shares were ever allocated due to failure to meet the vesting conditions. Therefore, these plans have never been recognised in accounts and are not represented in the Financial Statements as at 31 December 2024.

With regard to the 2023 plan, as at 31 December 2024 disbursement by way of severance was outstanding on 44,998 phantom shares for a sum of EUR 294.0 mln, according to the terms and methods set forth in the deferral plan signed at the time of the early termination of the employment between an executive and the Bank. In addition, 479,609 phantom shares were utilised in 2024 for an amount, as at 31 December 2024, of EUR 3.1 million, intended for the incentive scheme payment pertaining to 2023. Disbursements will be made in accordance with the terms and conditions set out in the deferral plans and differentiated based on PPR cluster.

With regard to the 2024 plan envisaging incentive scheme payments and disbursements by way of severance, 68,987 phantom shares were utilised by way of severance for an amount, at 31 December 2024, of EUR 450.8 k. Disbursements will be made in accordance with the terms and conditions set out in the deferral plans upon the early termination of the employment relationship between the two executives and the Bank.

1017

BANCA MONTE DEI PASCHI DI SIENA

Part M - Leasing Information

Section 1 – Lessee

Qualitative Information

In the capacity of lessee, the Bank stipulates lease agreements of properties to be primarily used for business. Therefore, these leased properties are used as branches and as spaces intended to accommodate ATMs or internal offices.

The leasing activity also includes the stipulation of leasing agreements related to residential property used by employees during transfers to other work locations.

In reality, the leasing activities of the Bank is also aimed at the need to relocate branches and offices. Particular attention is paid to the identification of the properties that are more suitable for the intended use, in line with the cost effectiveness criteria set forth by the company.

As at 31 December 2024, the Bank had approximately 1007 contracts in place in the capacity of lessee.

In addition, the Bank has contracts for motor vehicles, mainly referring to long-term leases of company cars and cars given as a fringe benefit to employees. In view of the marginal relevance of the afore-mentioned lease agreements with respect to the total values of the assets consisting of rights of use recognised in the Financial Statements pursuant to IFRS 16, no further disclosure is provided on these contract categories.

The Bank is not usually exposed to cash outflows not included in the lease liability. The exposures deriving from extension options are included in the lease liabilities since, in order to provide business continuity to the branch offices, the Bank considers the first renewal to be certain, except in special cases. The rent due on the leases is updated in line with ISTAT data. No contracts entered into as lessee falls into the other categories referred to in the standard (residual value guarantees, commitments on leases not yet operational).

In the course of 2024, a sale and leaseback transaction was concluded to enable the units of the Bank housed in the property to continue to use it.

The Bank recognises as costs:

&nbsp;&nbsp;&nbsp;&nbsp;· short-term leases in the case of assets such as properties and technologies
when the related contracts have a maximum term of twelve months and do not provide for any extension options.

<sub> </sub>

&nbsp;&nbsp;&nbsp;&nbsp;· the leasing of assets of a modest value, i.e. characterised by a value that
is under five thousand euro, related mainly to cell phones.

1018

2024 ANNUAL REPORT - Notes to the separate financial statements - Part M - Leasing Information

Quantitative Information

Part B - "Assets" of the Notes to the Financial Statements discloses, respectively, information on rights of use acquired through leasing(Table 8.1 - Property, plant and equipment used in the business: breakdown of assets measured at cost; and Table 8.6 a - Property, plant and equipment used in the business - rights of use acquired through leasing: annual changes),while Part B - "Liabilities" discloses lease payables(Table 1.1 - Financial liabilities measured at amortised cost: breakdown of due to banks; Table 1.2 - Financial liabilities measured at amortised cost: breakdown of due to customers).

Specifically, as at 31 December 2024, rights of use acquired through leasing amount to EUR 148.1 mln (EUR 163.2 mln as at 31 December 2023), of which EUR 147.7 mln relating to property leases (EUR 162.1 mln as at 31 December 2023).

Lease payables amount to EUR 154.6 mln (EUR 168.0 mln as at 31 December 2023). Please refer to those sections for more details.

Part C of the Notes to the Financial Statements contains information on interest expense on Lease payables and other expenses relating to rights of use acquired under leasing and income from sub-leasing. Please refer to those sections for more details.

The following table shows amortisation costs for the assets comprising the right of use, broken down by the underlying asset class.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **item** | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| **Depreciations on right of Use acquired through leasing** |  | **39,335** |  | **42,761** |
| a) land |  |  |  |  |
| b) buildings |  | 38362 |  | 37818 |
| c) furniture and furnishings |  |  |  |  |
| d) electronic systems |  |  |  | 3631 |
| e) other |  | 973 |  | 1312 |

---

1019

BANCA MONTE DEI PASCHI DI SIENA

Section 2 – Lessor

Qualitative Information

The Bank executes, in its capacity as the lessor, leasing contracts of properties for business and residential use.

The properties for business use are leased to both third parties and to intragroup companies. In the latter case, the properties and spaces occupied by the administrative offices of the companies of the Group are the subject matter of these contracts.

As regards the properties for residential use, these are primarily owned flats leased to third parties.

The contracts for residential use generally have a duration of 4+4 years, while those for business use a duration of 6+6 years.

For the most part, active leases, excluding those granted to Group companies, are primarily protected by the payment of a security deposit or surety bond by the tenant, as required by current legislation. This amount can be used to repair any damage that the tenant may cause.

In addition to this, the Bank does not apply any specific contractual clause regarding the management of any risk associated with the rights held on the underlying assets.

The Bank also operates in the financial leasing market, stipulating contracts mainly for companies and offering products in the real estate, capital goods, vehicles, energy and aircraft sectors, using its own network and, at the same time, single-firm agents.

As at 31 December 2024, the Bank had approximately 17,535 contracts in its portfolio for a gross book value of EUR 2,974.1 mln, of which EUR 1,854.7 mln in the real estate leasing sector (3,577 contracts), EUR 745.1 mln in the capital goods sector (7910 contracts), EUR 194.2 mln in the vehicle sector (5,669 contracts), EUR 155.4 mln in the energy sector (286 contracts) and EUR 24.6 mln in the aviation sector (93 contracts). The value of the lease agreements executed in 2024 amounted to EUR 268 mln (1,301 contracts), down 46.6% from the previous year. The company's performance by segment in terms of volume shows a contraction compared to the previous year for real estate (-29.5%; EUR -38 mln) for capital goods (-60.9%; EUR -162 mln), vehicles (-30.8%; EUR -29 mln), energy (-31%; EUR -4 mln) and aerospace (-87.2%; EUR -1.3 mln).

The Bank recognises financial leasing in compliance with the accounting standard IFRS 16 and classifies the transactions under financial assets measured at amortised cost.

Quantitative Information

1. Information on the balance sheet and income statement

Information on loans for leasing and assets transferred under operating leasing is provided, respectively, in Part B, Assets - Section 4 table 4.2 "Financial assets measured at amortised cost: breakdown of loans to customers" and underneath table 8.4 "Property, plant and equipment held for investment: breakdown of assets measured at fair value. For the information on interest income on loans for leasing and on other income from financial and business leasing, see, respectively, table 1.1 "Interest income and similar revenues: breakdown" and 14.2 "Other operating income": breakdown" contained in Part C.

1020

2024 ANNUAL REPORT - Notes to the separate financial statements - Part M - Leasing Information

2. Finance leases

2.1 Quantitative information - Financial leases

---

| | | |
|:---|:---|:---|
| | **31 12 2024** | **31 12 2023** |
| <br>**Time bands** | **Total lease payments**<br>**receivable** | **Total lease payments**<br>**receivable** |
| Up to 1 year | 735597 | 828788 |
| from 1 to 2 years | 349770 | 458561 |
| from 2 to 3 years | 401820 | 502826 |
| from 3 to 4 years | 330322 | 396122 |
| from 4 to 5 years | 401507 | 451125 |
| over 5 years | 897322 | 1102285 |
| **Total lease payments receivable** | **3116338** | **3739707** |
| Reconciliation with investments | 3116339 | 3739705 |
| Not accued gains | 420515 | 479367 |
| Unguaranteed residual values | 421373 | 629803 |
| Loans' Impairment | 360761 | 434463 |
| **Finance lease** | **2274450** | **2630535** |

---

The table shows the classification by time bands of payments to be received for leasing and the reconciliation between the payments to be received and the loans for lease financing in the portfolio as at 31 December 2024. The amounts are not discounted (IFRS 16.94).

2.2 Other information

Financial lease agreements, executed with customers, allow for a risk management on the underlying assets in line with the policies of the Bank but they do not provide for repurchase agreements, guarantees on the residual value or variable payments.

1021

BANCA MONTE DEI PASCHI DI SIENA

3. Operating leases

3.1 Classification by time bands of payments to be received

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 12 2024** | **31 12 2024** | **31 12 2023** | **31 12 2023** |
| <br>**Time bands** |<br>**Year** | **Total lease payments**<br>**receivable (excluding**<br>**VAT)** |<br>**Year** | **Total lease payments**<br>**receivable (excluding**<br>**VAT)** |
| Up to 1 year | 2024 | 7286 | 2023 | 7708 |
| from 1 to 2 years | 2025 | 7036 | 2024 | 7757 |
| from 2 to 3 years | 2026 | 6854 | 2025 | 7602 |
| from 3 to 4 years | 2027 | 5966 | 2026 | 7427 |
| from 4 to 5 years | 2028 | 4973 | 2027 | 6521 |
| over 5 years | starting from 2029 | 22496 | starting from 2029 | 20700 |
| **Total** |  | **54611** |  | **57715** |

---

The table shows the classification by time bands of payments to be received for leasing. The amounts of payments shown are not actualised.

3.2 Other information

No other information to report.

1022

![](tm2518026d1_ex99-4imgtop.jpg)

**Certification**

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2024 ANNUAL REPORT - Notes to the separate financial statements - Part M - Leasing Information

**CERTIFICATION OF THE FINANCIAL STATEMENTS PURSUANT TO ART. 81-TER OF CONSOB REGULATION NO. 11971 OF 14 MAY 1999, AS SUBSEQUENTLY AMENDED AND SUPPLEMENTED**

1. The undersigned, Luigi Lovaglio, as Chief Executive Officer, and Nicola Massimo Clarelli, as Financial
Reporting Officer of Banca Monte dei Paschi di Siena S.p.A., also having regard to art. 154-bis, paragraphs 3 and 4 of Italian Legislative
Decree no. 58 of 24 February 1998, do hereby certify the:

- appropriateness with respect to the company's profile, and

- effective application of the administrative and accounting procedures used in the preparation of the separate financial statements for fiscal year 2024.

&nbsp;&nbsp;&nbsp;&nbsp;2. The verification of the adequacy and effective application of administrative and accounting procedures
for the preparation of the separate financial statements during 2024 was based on methods defined by the MPS Group in line with the COSO
model, and for the IT component, COBIT, which constitute the reference framework for the internal control system generally accepted internationally.

&nbsp;&nbsp;&nbsp;&nbsp;3. It is also certified that:

&nbsp;&nbsp;&nbsp;&nbsp;3.1 the separate financial statements:

- were prepared in accordance with the international accounting standards recognised by the European Union pursuant to European Parliament and Council Regulation No. 1606/2002 of 19 July 2002;

- are consistent with the underlying documentary evidence and accounting records;

- are suitable to provide a true and fair representation of the capital, economic and financial situation of the issuer.

&nbsp;&nbsp;&nbsp;&nbsp;3.2 the Report on Operations includes a reliable analysis of the trends and results of operations as well
as of the position of the issuer, together with a description of the main risks and uncertainties to which it is exposed.

Siena, 6 March 2025

---

| | |
|:---|:---|
| *Signed by* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Signed by* |
| *On behalf of the Board of Directors* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*The Financial Reporting Officer* |
| *The Chief Executive Officer* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Nicola Massimo Clarelli* |
| *Luigi Lovaglio* |  |

---

1024

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**Independent Auditors' report<br> on the financial statements**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-4imgpwc.jpg)

***Independent auditor's report***

*in accordance with article 14 of Legislative Decree No. 39 of 27 January 2010 and article 10 of Regulation (EU) No. 537/2014*

To the Shareholders of

Banca Monte dei Paschi di Siena SpA

***Report on the Audit of the Financial Statements***

***Opinion***

We have audited the financial statements of Banca Monte dei Paschi di Siena SpA (the "Bank"), which comprise the balance sheet as of 31 December 2024, the income statement, statement of comprehensive income, statement of changes in equity, cash flow statement for the year then ended, and notes to the financial statements, including material accounting policy information.

In our opinion, the financial statements give a true and fair view of the financial position of the Bank as of 31 December 2024, and of the results of its operations and cash flows for the year then ended in accordance with IFRS Accounting Standards as issued by the International Accounting Standards Board and adopted by the European Union, as well as with the regulations issued to implement article 9 of Legislative Decree No. 38/05 and article 43 of Legislative Decree No. 136/15.

***Basis for Opinion***

We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the *Auditor's Responsibilities for the Audit of the Financial Statements* section of this report. We are independent of the Bank pursuant to the regulations and standards on ethics and independence applicable to audits of financial statements under Italian law. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

***Key Audit Matters***

Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the current period. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

1026

2024 ANNUAL REPORT - Independent Auditors' report on the financial statements

![](tm2518026d1_ex99-4imgpwc.jpg)

---

| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |

---

**Valuation of loans to customers measured at amortised cost**

*Notes to the financial statements:*

*Part A – Accounting policies;*

*Part B – Information on the balance sheet, Section 4 – Financial assets measured at amortised cost;*

*Part C – Information on the income statement, Section 8 – Net impairment (losses) /reversals for credit risk;*

*Part E – Information on risks and hedging policies, Section 1 – Credit risk.*

Loans to customers as at 31 December 2024 represent the predominant part of line item 40 b) "*Financial assets measured at amortised cost – loans to customers*" which shows a balance equal to Euro 87,632 million, corresponding to 72 per cent of the total assets of the financial statements.

Net impairment losses on loans to customers recognised in the year amounted to Euro 361 million (line item 130 a) in the income statement).

Special attention was paid to the valuation of the above-said loans as part of the audit because of the materiality of the value of loans in relation to the financial statements, as a whole, as well as because the related impairment losses consist of estimates made by the directors which incorporate elements of subjectivity and complexity related to the complex valuation processes, methods and assumptions utilised.

The use of significant assumptions in the estimation processes specifically regards, beside the verification of the significant increase in credit risk for the allocation of the portfolios to the various risk stages, the determination of parameters used in the models to calculate the expected loss on a collective basis and, for loans being assessed on an individual basis, the estimation of the expected future cash flows

In performing the audit, we considered the internal control system relevant to the preparation of the financial statements in order to design audit procedures that were appropriate in the circumstances.

In order to address this key audit matter, the following main activities were performed also with the support of PwC network experts:

· understanding,
 evaluation and verification of the operating effectiveness of relevant controls over the
 IT systems and applications used;

· understanding
 and evaluation of the design of relevant controls as part of the monitoring, classification
 and valuation of loans and testing of the operating effectiveness of such controls;

· understanding
 and verification of the appropriateness of policies, procedures and models used to measure
 the significant increase in credit risk, for the allocation of the portfolios to the various
 risk stages and for measuring the expected loss both on an individual and collective basis,
 taking also into account the results of backtesting implemented by the Bank;

· understanding
 and verification of the methods used to determine the main estimation parameters in the context
 of the models used to measure the expected loss on a collective basis, taking into account
 the adjustments made during the year to the models already used. We also verified the methods
 to determine management overlays, which were required to take

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---

| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |

---

related to timing and the realisable value of the underlying guarantees, if any.

Furthermore, these estimation processes were also impacted by the change and update of the management overlays which were required to take into account any potential worsening of credit risk linked to the current and future economic and financial risks and uncertainties, including climate-environmental risks that are not currently factored in the models in use.

---

| | |
|:---|:---|
|  | into account any potential worsening of credit risk linked to the current and future economic and financial risks and uncertainties, including climate-environmental risks that are not currently factored in the models in use, in order to assess their reasonableness; |
| · | verification, on a sample basis, of the reasonableness of the classification among performing loans (stage 1 and stage 2) and non-performing loans (stage 3) based on the available information on the status of the borrower and other pieces of information available, including external information; |

---

· verification
 of the correct application of the measurement criteria established for loans classified as
 performing (stage 1 and stage 2), of the completeness and accuracy of the model input data
 used to determine the expected loss on a collective basis;

· with
 specific regard to non-performing loans (stage 3), taking into account the financial statement
 classification according to the categories under the applicable regulatory framework and
 the currently assumed recovery scenarios (sale or internal recovery), for loans assessed
 on an individual basis, we checked, on a sample basis, the reasonableness of the assumptions
 made to estimate the expected credit loss with particular reference to the identification
 and quantification of the expected future cash flows from the recovery activities, to the
 evaluation of the guarantees backing these exposures and to the estimate of the recovery
 times;

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---

| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |

---

· for
 non-performing loans valued on a collective basis, we verified the correct determination
 of the main estimation parameters within the model used, as well as the completeness and
 accuracy of the model input data;

· benchmark
 analysis procedures on the customer loan portfolio and related coverage levels and analysis
 of the most significant fluctuations, taking into consideration loss forecasts within and
 outside the Bank (such as the Financial Stability Report issued by the Bank of Italy) and
 discussing the most significant changes and the elements characterizing the loan portfolio
 with management;

· critical
 reading of the minutes of the corporate governance bodies and the correspondence with the
 Supervisory Authorities;

· performance
 of audit procedures on subsequent events as at the reporting date;

· acquisition
 of specific written representations from management;

· check
 of the completeness and adequacy of the disclosures provided in accordance with the provisions
 of international accounting standards, the applicable regulatory framework, as well as with
 the notices and recommendations issued by the Supervisory Authorities and standard setters.

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| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |

---

**Evaluation of legal risks**

*Notes to the financial statements:*

*Part A – Accounting policies;*

*Part B – Information on the balance sheet, Section 10 – Provisions for risks and charges;*

*Part C – Information on the income statement, Section 11 – Net provisions for risks and charges;*

*Part E – Information on risks and hedging policies, Section 5 – Operational risks.*

The Bank is exposed to civil disputes and to the effects of rulings due to criminal proceedings, with reference to the financial information publicly disseminated in the period from 2008 to 2015, for which the damages requested remain significant, despite the positive outcome of certain civil and criminal judgements related thereto.

Furthermore, the Bank is exposed to risks linked to representations and warranties given in the disposal and derecognition of non-performing loans.

Net provisions for risks and charges amounted in the year to positive Euro 65 million (line item 170 b) in the income statement) of which Euro 154 million related to new provisions in the year and Euro 89 million related to reversals.

The evaluation process of these legal risks that the Bank performed with the support also of its legal counsel and other external experts, with particular reference to provisions related to civil and criminal disputes deriving from information publicly disseminated in the period from 2008-2015, as well as the provisions linked to representations and warranties given in the disposal and derecognition of non-performing loans, is considered a key audit matter, for the aggregate high value of the damages requested related to these risks, as well as because estimating the associated charges requires management to make use of estimates which, by their very nature, are marked by a high degree of

In performing the audit, we considered the internal control system relevant to the preparation of the financial statements in order to design audit procedures that were appropriate in the circumstances.

In order to address this key audit matter, the following main activities were performed also with the support of PwC network experts:

· understanding
 and evaluation of the design of relevant controls implemented by the Bank in relation to
 the management and assessment of legal risks and verification of the operating effectiveness
 of such controls;

· obtainment
 and analysis of the written confirmation from the Bank's legal advisors about their
 considerations on the evolution of the pending lawsuits, the possibility of loss, as well
 as the main information used;

· analysis
 of the reasonableness of the directors' assumptions for estimating provisions and reversals
 made, in addition to the methods and conclusions included in the reports prepared by the
 external experts engaged by the Bank;

· performance
 of procedures to validate the completeness and accuracy of the data used to determine the
 provisions for risks and charges;

· critical
 reading of the minutes of the corporate governance bodies and the correspondence with the
 Supervisory Authorities;

· performance
 of audit procedures on subsequent events as at the reporting date;

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| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |

---

subjectivity.

· acquisition
 of specific written representations from management;

· verification
 of the completeness and adequacy of disclosures connected with the key audit matter in question,
 with reference also to the requirements of the applicable accounting standards.

**Recoverability of deferred tax assets**

*Notes to the financial standards:*

*Part A – Accounting policies;*

*Part B – Information on the balance sheet, Section 10 – Tax assets and liabilities;*

*Part C – Information on the income statement, Section 19 – Tax (expense)/recovery on income from continuing operations.*

As of 31 December 2024, the Bank recorded Euro 2,069 million in the asset line item 100 "Tax assets" for net deferred tax assets ("DTA") related to tax losses that cannot be converted into tax credits and other deductible temporary differences, whose recoverability depends on the availability of taxable income in the future.

The line-item 270 of the income statement "Tax (expense)/recovery on income from continuing operations" amounted to Euro 524 million, largely due to the positive effect of the measurement of DTAs equal to Euro 987 million.

The assessment of the recoverability of these assets is a key audit matter because they are significant in value with respect to the financial statements, taken as a whole, and because their valuation is based on an estimation process (probability test), which entails using assumptions and parameters, considering their very nature, that include a high degree of subjectivity.

Specifically, the aforesaid estimation process relies on prospective income statement projections of the Bank, consistent with the 2024-2028 Group Business Plan approved by the Board

In performing the audit, we considered the internal control system relevant to the preparation of the financial statements in order to design audit procedures that were appropriate in the circumstances.

Specifically, in order to address this key audit matter, the following main activities were performed, also with the support of PwC network experts:

· understanding
 and evaluation of the process and methodology adopted by the directors to carry out the probability
 test;

· check
 of the consistency of the methodology adopted with the provisions of the applicable international
 financial reporting standard, taking into account professional practices, as well as the
 notices and recommendations of the Supervisory Authorities and standard setters;

· assessment,
 including through a check of external data, where available, of the reasonableness of the
 main qualitative and quantitative assumptions (revenue flows, discount and growth rates)
 and of the different types of deductible temporary differences based on the applicable tax
 legislation, used to prepare the probability test;

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| | |
|:---|:---|
| ***Key Audit Matters*** | ***Auditing procedures performed in response to key audit matters*** |

---

of Directors of the Bank on 5 August 2024, which must be supplemented by valuation assumptions such as (i) the determination of taxable income that is expected to be realised in the time-period considered for the recovery of DTAs, (ii) the growth rates used for the projection of future taxable income and the probability that there will be future taxable income, (iii) the extent of the foreseeable time-period for the recovery of DTAs, (iv) the correct interpretation of the applicable tax legislation.

· analysis
 of the reasonableness of the Bank prospective income statement projections used and verification
 of the consistency with the 2024-2028 Group Business Plan;

· verification
 of the mathematical accuracy of calculations underlying the probability test and the correctness
 of the calculations performed;

· critical
 reading of the minutes of the corporate governance bodies and the correspondence with the
 Supervisory Authorities;

· acquisition
 of specific written representations from management;

· check
 of the completeness and adequacy of disclosures provided by the directors in the notes to
 the financial statements in accordance with international financial reporting requirements
 and the applicable regulatory framework, as well as with the notices and recommendations
 issued by the Supervisory Authorities and standard setters.

***Responsibilities of the Directors and the Board of Statutory Auditors for the Financial Statements***

The directors are responsible for the preparation of financial statements that give a true and fair view in accordance with IFRS Accounting Standards as issued by the International Accounting Standards Board and adopted by the European Union, as well as with the regulations issued to implement article 9 of Legislative Decree No. 38/05 and article 43 of Legislative Decree No. 136/15 and, in the terms prescribed by law, for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

The directors are responsible for assessing the Bank's ability to continue as a going concern and, in preparing the financial statements, for the appropriate application of the going concern basis of accounting, and for disclosing matters related to going concern. In preparing the financial statements, the directors use the going concern basis of accounting unless they either intend to liquidate the Bank or to cease operations, or have no realistic alternative but to do so.

The board of statutory auditors is responsible for overseeing, in the terms prescribed by law, the Bank's financial reporting process.

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***Auditor's Responsibilities for the Audit of the Financial Statements***

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.

As part of our audit conducted in accordance with International Standards on Auditing (ISA Italia), we exercised our professional judgement and maintained professional scepticism throughout the audit. Furthermore:

· We
 identified and assessed the risks of material misstatement of the financial statements, whether
 due to fraud or error; we designed and performed audit procedures responsive to those risks;
 we obtained audit evidence that is sufficient and appropriate to provide a basis for our
 opinion. The risk of not detecting a material misstatement resulting from fraud is higher
 than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions,
 misrepresentations, or the override of internal control;

· We
 obtained an understanding of internal control relevant to the audit in order to design audit
 procedures that are appropriate in the circumstances, but not for the purpose of expressing
 an opinion on the effectiveness of the Bank's internal control;

· We
 evaluated the appropriateness of accounting policies used and the reasonableness of accounting
 estimates and related disclosures made by the directors;

· We
 concluded on the appropriateness of the directors' use of the going concern basis of
 accounting and, based on the audit evidence obtained, whether a material uncertainty exists
 related to events or conditions that may cast significant doubt on the Bank's ability
 to continue as a going concern. If we conclude that a material uncertainty exists, we are
 required to draw attention in our auditor's report to the related disclosures in the
 financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions
 are based on the audit evidence obtained up to the date of our auditor's report. However,
 future events or conditions may cause the Bank to cease to continue as a going concern;

· We
 evaluated the overall presentation, structure and content of the financial statements, including
 the disclosures, and whether the financial statements represent the underlying transactions
 and events in a manner that achieves fair presentation.

We communicated with those charged with governance, identified at an appropriate level as required by ISA Italia, regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identified during our audit.

We also provided those charged with governance with a statement that we complied with the regulations and standards on ethics and independence applicable under Italian law and communicated with them all relationships and other matters that may reasonably be thought to bear on our independence, and where applicable, actions taken to eliminate the related risks, or safeguards applied.

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From the matters communicated with those charged with governance, we determined those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We described these matters in our auditor's report.

***Additional Disclosures required by Article 10 of Regulation (EU) No. 537/2014***

On 11 April 2019, the shareholders of Banca Monte dei Paschi di Siena SpA engaged us to perform the legal audit of the stand-alone and the consolidated financial statements for the years ending 31 December 2020 to 31 December 2028.

We declare that we did not provide any prohibited non-audit services referred to in article 5, paragraph 1, of Regulation (EU) No. 537/2014 and that we remained independent of the Bank in conducting the statutory audit.

We confirm that the opinion on the financial statements expressed in this report is consistent with the additional report to the board of statutory auditors, in its capacity as audit committee, prepared pursuant to article 11 of the aforementioned Regulation.

***Report on Compliance with other Laws and Regulations***

***Opinion on compliance with the provisions of Commission Delegated Regulation (EU) 2019/815***

The directors of Banca Monte dei Paschi di Siena SpA are responsible for the application of the provisions of Commission Delegated Regulation (EU) 2019/815 concerning regulatory technical standards on the specification of a single electronic reporting format (ESEF - European Single Electronic Format) (hereinafter, the "Commission Delegated Regulation") to the financial statements as of 31 December 2024, to be included in the annual report.

We have performed the procedures specified in auditing standard (SA Italia) No. 700B in order to express an opinion on the compliance of the financial statements with the provisions of the Commission Delegated Regulation.

In our opinion, the financial statements as of 31 December 2024 have been prepared in the XHTML format in compliance with the provisions of the Commission Delegated Regulation.

***Opinions and statement in accordance with article 14, paragraph 2, letters e), e-bis) and e-ter) of Legislative Decree No. 39/10 and with article 123-bis, paragraph 4, of Legislative Decree No. 58/98***

The directors of Banca Monte dei Paschi di Siena SpA are responsible for preparing a report on operations and a report on the corporate governance and ownership structure of Banca Monte dei Paschi di Siena SpA as of 31 December 2024, including their consistency with the relevant financial statements and their compliance with the law.

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We have performed the procedures required under auditing standard (SA Italia) No. 720B in order to:

· express
 an opinion on the consistency of the report on operations and of the specific information
 included in the report on corporate governance and ownership structure referred to in article
 123-bis, paragraph 4, of Legislative Decree No. 58/98, with the financial statements;

· express
 an opinion on the compliance with the law of the report on operations and of the specific
 information included in the report on corporate governance and ownership structure referred
 to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98;

· issue
 a statement on material misstatements, if any, in the report on operations and in the specific
 information included in the report on corporate governance and ownership structure referred
 to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98.

In our opinion, the report on operations and the specific information included in the report on corporate governance and ownership structure referred to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98 are consistent with the financial statements of Banca Monte dei Paschi di Siena SpA as of 31 December 2024.

Moreover, in our opinion, the report on operations and the specific information included in the report on corporate governance and ownership structure referred to in article 123-bis, paragraph 4, of Legislative Decree No. 58/98 are prepared in compliance with the law.

With reference to the statement referred to in article 14, paragraph 2, letter e-ter), of Legislative Decree No. 39/10, issued on the basis of our knowledge and understanding of the company and its environment obtained in the course of the audit, we have nothing to report.

Florence, 24 March 2025

PricewaterhouseCoopers SpA

*Signed by*

Marco Palumbo

(Partner)

*As disclosed by the Directors, the accompanying financial statements of Banca Monte dei Paschi di Siena SpA constitute a non-official version which is not compliant with the provisions of the Commission Delegated Regulation (EU) 2019/815. This independent auditor's report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative.*

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**Report of the Board of**

**Statutory Auditors**

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BANCA MONTE DEI PASCHI DI SIENA

**<u>REPORT OF THE BOARD OF STATUTORY AUDITORS TO THE GENERAL SHAREHOLDERS' MEETING CALLED TO APPROVE THE FINANCIAL STATEMENTS OF BANCA MONTE DEI PASCHI DI SIENA SPA, FOR THE YEAR ENDED ON 31 DECEMBER 2024 DRAWN UP IN ACCORDANCE WITH ARTICLE 2429, SECOND PARAGRAPH OF THE ITALIAN CIVIL CODE AND ARTICLE 153, FIRST PARAGRAPH OF ITALIAN LEGISLATIVE DECREE NO. 58 OF 24 FEBRUARY 1998</u>**

**Contents**

1. <u>Activities of the Board of Statutory Auditors</u> 

&nbsp;&nbsp;&nbsp;&nbsp;1.1 - Results of the audit activities conducted by the Board
of Statutory Auditors

&nbsp;&nbsp;&nbsp;&nbsp;1.2 - Mandatory opinions, comments/determinations, considerations and proposals issued by the Board of Statutory
Auditors

2. <u>Comments on compliance with the principles of proper administration</u> 

&nbsp;&nbsp;&nbsp;&nbsp;2.1 - Significant transactions and events

&nbsp;&nbsp;&nbsp;&nbsp;2.2 - Intra-group transactions, with related, atypical or unusual parties and falling within the obligations
of banking representatives

3. <u>Supervisory activities</u> 

&nbsp;&nbsp;&nbsp;&nbsp;3.1 - on the adequacy of the internal control system

&nbsp;&nbsp;&nbsp;&nbsp;3.2 - on the adequacy of the organisational structure

&nbsp;&nbsp;&nbsp;&nbsp;3.3 - on the administrative accounting system

&nbsp;&nbsp;&nbsp;&nbsp;3.4 - on the statutory accounting audit

&nbsp;&nbsp;&nbsp;&nbsp;3.5 - on the financial reporting process

4. <u>Supervisory activities of Sustainability Reporting</u> 

5. <u>Remuneration policies</u> 

6. <u>Other information</u> 

&nbsp;&nbsp;&nbsp;&nbsp;6.1 - Relations with subsidiaries

&nbsp;&nbsp;&nbsp;&nbsp;6.2 - Audits by Supervisory Authorities

&nbsp;&nbsp;&nbsp;&nbsp;6.3 - Complaints and petitions

&nbsp;&nbsp;&nbsp;&nbsp;6.4 - Corporate governance and the Corporate Governance Code

&nbsp;&nbsp;&nbsp;&nbsp;6.5 - Mediobanca Public Exchange Offer

<u>Conclusions</u>

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Dear Shareholders,

During 2024, the global economy was strongly affected by the escalation of international tensions that influenced the dynamics of world trade, characterised by the continued recomposition of global inflation and the start of monetary easing by the main Authorities, albeit with differentiated rates of intervention.

In the scenario described, in which Italy has seen its economic growth gradually slow down, your Bank has improved its operating performance with rising revenues and maintaining effective control over operating costs.

The excellent profitability and the confirmation of capital strength allow the Directors to propose the distribution of dividends of more than EUR 1 billion, for which the ECB removed the prior authorisation requirement with its SREP letter of 10 December 2024.

In 2024, the Bank approved the 2024-2028 Business Plan with an update of the financial targets, following the surpassing of the main targets of the previous 2022-2026 Plan, and of the strategic guidelines to strengthen the positioning of a "Clear and Simple Commercial Bank" through a digital-driven transformation and an increasing specialisation of the service model for households and businesses.

The Ministry of Economy and Finance (MEF), through two separate Accelerated Bookbuilding transactions, on 26 March 2024 and 13 November 2024, further progressively reduced its stake in the Bank to its current shareholding of approximately 11.7% of the share capital.

As of the date of this Report, in addition to the already mentioned MEF, there are significant shareholders: Delfin Srl with 9.78%, Gruppo Francesco Gaetano Caltagirone with 5.026%, Banco BPM Spa with 5.003% and Anima Holding Spa with 3.992%.

On 17 December 2024, five independent directors indicated by the MEF in the lists submitted on 27 March 2023 resigned, namely: Mr Paolo Fabris De Fabris, Ms Lucia Foti Belligambi, Ms Laura Martiniello, Ms Annapaola Negri-Clementi and Ms Donatella Visconti.

On 27 December 2024, the Board of Directors, with the approval of the Board of Statutory Auditors, appointed Mr Alessandro Caltagirone, Ms Elena De Simone, Ms Francesca Renzulli, Ms Marcella Panucci and Ms Barbara Tadolini by co-optation, pursuant to Article 2386 of the Italian Civil Code.

On 24 January 2025, pursuant to art. 102 of Legislative Decree no. 58/98 Consolidated Finance Act (TUF) and subsequent amendments and additions, the Bank announced that on 23 January 2025, it had taken the decision to promote a voluntary Public Exchange Offer pursuant to and in accordance with arts. 102 and 106 of Legislative Decree No. 58/98 concerning the total number of ordinary shares, as at the date of the announcement amounting to 833,279,689, of Mediobanca - Banca di Credito Finanziario Società per azioni.

The Financial Statements of the Parent Company BMPS show a profit for the year of EUR 1,922.9 mln and shareholders' equity of EUR 11,284.5 mln, while the Group's Consolidated Report shows a profit of EUR 1,950.6 mln and consolidated shareholders' equity of EUR 11,649.3 mln,

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BANCA MONTE DEI PASCHI DI SIENA

respectively, before the loss and non-controlling interests of EUR 0.2 mln and EUR 0.3 mln, as analytically shown in the documents you are called upon to approve.

The Directors propose to allocate the net profit for the year 2024 as follows:

(i) to the legal reserve in an amount equal to 10% of the accrued
profit corresponding to EUR 192,289,824.17 in compliance with the provisions of Article 31 of the By-Laws;

(ii) to the statutory reserve of an amount equal to 15% of the
accrued profit corresponding to EUR 288,434,736.26, in compliance with the provisions of Article 31 of the By-Laws;

(iii) to the unavailable reserve of an amount equal to EUR 19,970,421.59, in compliance with the provisions
of art. 6 of Italian Legislative Decree no. 38/2005;

(vi) to the Shareholders, with the distribution of a unit dividend
of EUR 0.86 for each outstanding share, eligible for the payment of dividends, for a total maximum amount of EUR 1,083,333,147.16;

(v) to the extraordinary reserve of the remaining profit in the
amount of EUR 338,870,112.53.

\* \* \*

With this Report, the Board of Statutory Auditors provides the necessary information in accordance with the law, following the instructions set forth in Consob Communication no. 1025564 of 6 April 2001 and subsequent amendments and also taking into account the rules of conduct recommended by the National Council of Chartered Accountants (Consiglio Nazionale dei Dottori Commercialisti e degli Esperti Contabili - CNDCEC), recently amended and in force since 1 January 2025.

This Report, referring to the separate financial statements, also takes into account certain aspects discussed more extensively in the consolidated financial report, for a more complete analysis.

As required by the regulations, the activity of the Board of Statutory Auditors also extended to the Sustainability Report, which is included in the Report on Operations to the Consolidated Financial Statements and is described in this Report in section 4.

**1. Activities of the Board of Statutory Auditors**

It should be noted in advance that the Shareholders' Meeting, on 20 April 2023, had confirmed Mr Enrico Ciai as Chairman of the Board of Statutory Auditors also for the 2023-2025 mandate, to appointed Ms Lavinia Linguanti and Mr Roberto Serrentino as Standing Auditors and Ms Piera Vitali and Mr Pierpaolo Cotone as Alternate Auditors.

With reference to the aforementioned appointments, to be noted is the resignation presented first by Ms Piera Vitali, Alternate Auditor (2/5/2023) and, subsequently, by Mr Roberto Serrentino, Standing Auditor (15/5/2023).

Following the latter's resignation, on 15 May 2023, Alternate Auditor Mr Pierpaolo Cotone succeeded Mr Serrentino as Standing Auditor.

On 11 April 2024, the Shareholders' Meeting integrated the composition of the Board of Statutory Auditors by appointing Mr Giacomo Granata as Standing Auditor and Ms Paola Lucia Isabella Giordano as Alternate Auditor. On the latter date, Mr Pierpaolo Cotone, who had previously, as mentioned, taken over as Standing Auditor, returned to the position of Alternate Auditor.

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This Report also refers to the oversight activities carried out by the Control Body in office during the period from 1 January to 11 April 2024.

The Board of Statutory Auditors in office then proceeded to examined, as the competent body pursuant to Ministerial Decree 169/20, the suitability and requirements of the new members for the performance of their duties, as well as carried out the necessary interlocking checks and forwarded the results to the Supervisory Authority.

This process ended with the positive assessment of the ECB, which transmitted its decision on 12 September 2024.

Throughout the entire course of the 2024 financial year, the Board of Statutory Auditors has fulfilled its institutional duties by holding a total of 43 meetings<sup>1</sup>, properly convened and formed, protecting against any situations of conflict of interest, without exception.

In particular, the Control Body in office until 11 April 2024 held 23 "meetings<sup>1</sup>"; the Board of Statutory Auditors in its current composition, as determined by the Shareholders' Meeting of 11 April, held 20 "meetings<sup>1</sup>" of which 1 was held remotely.

This Board of Statutory Auditors also participated in the only Shareholders' Meeting held during the year, all 14 meetings of the Board of Directors and those of the Board committees, constituted and operating according to the reference regulations.

On the occasion of the Board of Directors' meetings, the Statutory Auditors, inter alia, had the opportunity to review the reports containing the mandatory quarterly information required by law and the By-Laws.

From the start of the year until the date on which this Report was filed, 23 meetings were held<sup>1</sup>, of which 9 were held remotely.

The Statutory Auditors also participated in the '*Board Induction*' training programme for all members (Directors and Statutory Auditors) on the following topics: "Corporate Governance in Banks", "Sustainability Governance and the Evolution of Sustainability Reporting", "Credit Risk Models", "ICAAP ILAAP with a focus on Pillar 2 Risks", "Bank and Group Product Catalogue - Products Oversight Governance", "Transactions with Related Parties and Connected Persons", "Remuneration Policies", "Banking Transparency", "The Risk Identification Process", "Capital Requirements Regulation 3 - CRR3", "The AML Self-Assessment Process", "Cybersecurity" and "Regulatory Framework of Banking Union Credit Institutions".

When expressly indicated by rules, the Board of Statutory Auditors has issued the mandatory opinions. In addition, it has provided specific considerations, observations and comments and has formulated proposals on issues as required by Supervisory Authorities, both domestic and European (refer to section 1.2).

In the above-mentioned ordinary meetings, normally held in connection with the Board of Directors' meetings, the Heads of the Control Functions and their collaborators regularly attend,

<sup>1</sup> "Meetings" refers to meetings and/or the issuance of mandatory opinions, observations/determinations and considerations of the Board of Statutory Auditors, as further detailed in paragraph 1.2.

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who are in charge of monitoring the matters to be examined so as to ensure the necessary in-depth examination of the topics, dealing with the information flows forwarded to the Control Body with the established periodicity.

During these meetings, meetings have also been assiduously held with other head office units, both to inform them more directly about the areas of attention that have arising from time to time in performing the supervisory activities of the Board and the Control Functions, and to be informed by them, each for the aspects falling within their areas of competence, on the implementation of the agreed improvement/corrective actions, or on updates on the remedial activities implemented.

Further topics of specific interest to the Board of Statutory Auditors in the performance of its supervisory activities or in order to issue, where applicable, opinions, observations, considerations and proposals were discussed with the same Managers and the Heads of the Control Functions.

Particular attention was paid to the new 2024-2028 Business Plan, the development of which was deemed appropriate by the Directors in light of the results achieved and the evolution of the macroeconomic context. This Plan aims to create a Bank ready for the future, capable of satisfying the needs and evolution of customers, through a process of business and technological innovation supported by a broad investment plan, making full use of the Bank's resources, further improving the sustainability of the business, strengthening the Balance Sheet and focusing on distribution and value creation for all the Bank's stakeholders.

The Statutory Auditors also actively participated in the preparatory work for the definition of this Plan during 3 off-site meetings held for this purpose.

In this context, specific importance was attributed by the Board of Statutory Auditors to the punctual follow-up of new projects launched during the year as they were considered enabling factors of the aforementioned Business Plan (such as the IT/IS Plan), or of initiatives necessary to ensure the Bank's full compliance with Supervisory expectations or regulatory developments aimed at laying the foundations for harmonising and strengthening the Bank's operational and digital resilience (PERDAR/RDARR and DORA).

There was constant monitoring by the Control Body of the activities carried out by the Supervisory Authorities, in particular with the process of following up on the SREP Decision notified by the ECB during the year and the consequent actions taken by the Bank.

Considerable efforts were devoted to monitoring the remedial actions identified and implemented by the competent Functions in order to achieve the concrete overcoming of the findings formulated by the Supervisory Authorities.

A similar and continuous follow-up was implemented on the timely and effective resolution of the gaps found by the Control Functions in the course of their own verification activities, duly and constantly reported to the Board of Statutory Auditors at agreed intervals.

During the year, the Control Body also held meetings with the Supervisory Authorities, which conducted specific audits at the Bank (AML and OSI Credit), and a meeting with the Joint Supervisory Team (JST) as part of their ordinary discussions.

Direct audits were also carried out, with the assistance of the Audit Function, which are described in more detail later in this Report.

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The minutes of the Board of Statutory Auditors that give an account of the aforementioned activities, in relation to the various areas dealt with, were sent, when foreseen or deemed appropriate, to the attention of the Chairman of the Board of Directors and the Chief Executive Officer/General Manager also in his capacity as Director in charge of the internal control and risk management system and, for the aspects strictly within his competence, were also sent to the Chairmen of the board Committees.

For the purpose of supervising the financial reporting processes, the Board of Statutory Auditors met on a regular basis with both the Financial Reporting Officer and the Independent Auditors PricewaterhouseCoopers Spa (PwC) appointed for the nine-year period 2020-2028; with the latter to allow in particular the usual exchange of information, as provided for in Article 150 of Legislative Decree No. 58/98 (TUF).

With reference to the auditing of the accounts, we note, in particular, the Proposal that this Board of Statutory Auditors, after the end of the financial year, formulated to the Board of Directors concerning the request of PwC for the integration of the fees inherent to additional and supplementary auditing activities with respect to the statutory auditing services, at the time included in the initial Proposal for the appointment approved by the Bank's Shareholders' Meeting on 11 April 2019. These are additional activities that involved a greater commitment for the Independent Auditors, connected with the need to ensure alignment with the new sustainability obligations introduced by the Corporate Sustainability Reporting Directive (CSRD) 2022/2464, implemented in Italy with Legislative Decree no. 25/24.

These activities entailed total costs of EUR 210,000 for 2024 and forecast costs of EUR 130,000 for each of the following years until 2028 (plus VAT and Consob contribution).

Lastly, it notes that the same auditing firm will no longer be paid the fees for the limited audit of the DNF pursuant to Legislative Decree No. 254 of 30 December 2016 (approximately EUR 44,000) envisaged by the aforementioned Initial Proposal approved by the Shareholders' Meeting in 2019.

The Chairman of the Board of Directors will report on these activities and the resulting increase in fees at the Shareholders' Meeting called to approve the Financial Statements for the year ended 31 December 2024.

As required by art. 151 of Italian Legislative Decree no. 58/98 and the Supervisory Instructions of the Bank of Italy, specific meetings were held with the Boards of Statutory Auditors of the main subsidiaries in order to exchange information on the activities carried out as specified in paragraph 6.1 below.

There was a similar, proactive exchange of information with the 231/01 Supervisory Body, which it met with regularly throughout the year for discussions on topics of reciprocal interest.

**1.1 Result of the audit activities conducted directly by the Board of Statutory Auditors**

**Direct audits carried out by the Board of Statutory Auditors**

As part of the overall activities carried out by the Board of Statutory Auditors to perform the supervisory tasks required by the reference regulations, the audits carried out during the year,

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mainly with the collaboration of the Internal Audit Function, as well as the other Control functions, are of major importance.

Specifically, these are audits falling within the broader context of the Audit Plan, which respond to the necessity of the Board of Statutory Auditors to directly investigate the issues that year by year are considered of greater importance and of primary interest.

For 2024, 14 audits were carried out with the assistance of the Chief Audit Executive (CAE) Department, which allowed for an in-depth examination of specific areas, deemed particularly significant by the Board of Statutory Auditors, related to the following processes:

**Credit** (no. 4): *Credit File Review* 1S24; *Credit File Review* UTP; *Assurance NPE Strategy*; Credit Portfolio Management 2024;

**Data Governance** (no. 2): OSI 198380 *Credit Risk* - *Recommendation* #11-*Data Quality-Loan data Tape*; Data Quality AIRB;

**Commercial Business processes and support** (no. 4): POG on banking products for retail customers: implementation and deliberation; Foreign Credit Transfer Management (Fruendo); IT project management expenses; ATM management (Nexi);

**ICT and Logical Security** (no. 2): Penetration Testing from within the corporate network; Technology obsolescence governance and management;

**Transparency** (no. 1): Management of FAD cheques for reimbursements of the transparency remedy plan;

**Combating money laundering and terrorist financing** (no. 1): Countering the Financing of Terrorism.

On the sidelines of the aforementioned audit activities, in line with the usual four-level rating scale with increasing criticality "R1-Green", "R2-Yellow", "R3-Orange" and "R4-Red", substantially positive judgements were given: "R1-Green" and "R2-Yellow", with reference to 3 and 9 interventions respectively. For the remaining 2 interventions, considering their type (asseveration activities on OSI 198380 Credit Risk and Penetration Testing from within the company network) no judgement was given.

In this regard, compared to last year, there was an improvement in the overall results of the audits of the type, which, as mentioned above, recorded ratings on the positive end of the assessment scale.

When the above-mentioned audits were completed, the concerning elements identified were appropriately shared with the respective owner Functions for the development of the ensuing remedial actions, subject to the usual monitoring by the Audit Function. The implementation of these actions is also the purpose of systematic monitoring carried out by this Control body, through a precise analysis of the special reports and plans prepared and made available for this purpose (Quarterly report, Gap Execution plan).

**Focus on Credit risk**

In continuity with previous years, also for 2024, the Board of Statutory Auditors paid particular attention to the governance and development of lending activities, which represents the Group's core business and main risk component; this is with a view to gaining insight into the adequacy of

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systems and procedures to ensure effective credit risk management, in line with the targets defined in the lending strategies approved by the Board of Directors (29 February 2024).

The supervisory action of the Board of Statutory Auditors, therefore, concerned all the activities and initiatives developed by the Bank in order to ascertain their alignment with the same lending strategies as well as with the expectations of the Regulators, reiterating the need to pursue a careful supervision and monitoring of exposures on an ongoing basis in order to ensure consistency over time between the characteristics of the counterparty and its classification/assessment, identifying in a timely manner the positions that show signs of deterioration and thus guaranteeing the containment of the cost of credit and the flow of defaults.

Specific analyses and reflections were conducted on the impacts deriving from the broader external, socio-economic and geopolitical context, where the evolution of macro-economic variables (inflation, interest rates, growth, industrial production) and the related underlying risks could affect the ability of the Group's customers to honour their commitments and consequently determine a significant deterioration in credit quality.

In this context, the management actions identified by the competent Functions of the Bank to ensure the regular progress of the process of implementation and strengthening of the overall control system on credit risk, in line with the reference legislation as well as with the indications and expectations of the Supervisory Authority which, on several occasions, has taken the opportunity to emphasise the importance to be attributed to the prevention and management of situations of difficulty of companies and individuals, as well as to the evaluation of guarantees, public and real estate, and to the integration of climate and environmental risks in credit management. In this last regard, in fact, the particular attention paid to climate risks and those linked to environmental transition is noteworthy, with the aim of accelerating the process of integrating the demands of the regulator and the market into ordinary strategies in line with the commitments undertaken by the Group within the NZBA (Net-Zero Banking Alliance).

The Board of Statutory Auditors obtained further details on the evolution of the overall activities and initiatives carried out for this purpose, including the development and analysis processes aimed at monitoring credit risk, during the systematic meetings held throughout the year with both the business and control functions. Reference is made, inter alia, to the meetings held with the Chief Lending Officer (CLO), mainly aimed at reviewing and commenting on the evolution of credit aggregates and the trend of performance indicators, and to the meetings held with the Chief Risk Officer (CRO) more focused on the quantitative aspects of risk measurement and related models.

Moreover, the main changes characterising lending activities were also analysed together with the Financial Reporting Officer, as well as with the independent auditors, in order to also acquire the results emerging from the respective control activities on the subject.

Lastly, as a third level of control, there are the audits conducted by the Audit Function at the level of both process and peripheral territorial structures, also including the asseveration activities required by the Supervisory Authorities and the so-called "single name " analyses (Credit File Review), aimed at examining a sample of selected files to determine their correct administrative classification.

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Furthemore, starting from the fourth quarter of 2024, in addition to the individual "one-to-one" meetings with the Heads of the above-mentioned Functions involved in the credit process in various capacities, the Board of Statutory Auditors introduced the practice of a joint meeting with the same Managers, to be held at least quarterly, in order to develop synergies and moments of coordination and collaboration between the Functions themselves; the first meeting of the species, held on 15 October 2024, was followed by the one on 18 February.

The objective pursued is to share together the areas of improvement and the most significant risk elements that have emerged in the course of the respective activities carried out, verifying their effective implementation by the owner Functions, at the same time taking stock of the regular evolution of the initiatives resulting from the resolution of findings raised by the Supervisory Authorities as a result of inspections carried out by the same Authorities or responding to specific indications and/or recommendations formulated by the same Authorities in order to ensure a continuous and punctual monitoring of credit risk.

In this context, during the year the Board of Statutory Auditors was able to take note of the completion, on schedule and in line with the expected "deliverables", of all the activities included in the Action Plan defined by the competent Functions to overcome the areas of improvement identified by the ECB during the audit conducted from 21 April to 19 August 2022 on corporate and small business credit processes (OSI-2022-ITMPS-0198380). Moreover, as required by the Supervisory Authority, the effective closure of remedial actions was confirmed by the asseveration activities conducted by the Audit Function.

Some of the aforementioned audits were conducted with the assistance of this Board of Statutory Auditors, as detailed in more detail in the previous paragraph. Given the importance of the issue at hand, for the reasons already indicated, the Board of Statutory Auditors has also explicitly asked the Internal Audit Department to include specific audits on credit processes (5) in the Audit Plan 2025.

Finally, it should be noted that, from 11 November 2024 to the end of February 2025, a specific inspection activity on "Credit and Counterparty Risk" (OSI-2024-0240556) was conducted by the ECB with the aim of assessing the adequacy and effectiveness of credit risk management on the SME portfolio, with particular regard to the following areas: i) IFRS 9: Methodologies, policies and procedures for accounting staging and provisions; ii) Review of credit processes: risk identification, classification, provisioning and collateral management; iii) Follow-up of previous OSI 2022 findings (#finding releases closed on 30 June 2024). The same inspection also covered a specific Credit File Review (CFR), in relation to which a sample of credit positions (performing and non-performing) referring to 30 June 2024 was examined.

The Board of Statutory Auditors, in line with the requests made by the Inspection Team, made available the minutes of its meetings as of September 2022 and held a special meeting with the same Inspection Team (15 January 2025) during which it illustrated the systematic monitoring activity conducted in the credit area that gradually covered all the analysis components associated with the process itself. The inspectors provided the general, albeit partial, picture that had emerged from the investigations conducted up to that date. The inspections were, in fact, completed at the end of February 2025 and the final inspection report is expected within the first half of this year.

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For more details, please refer to the specific section on "Audits by Supervisory Authorities" (paragraph 6.2).

**Focus on Business Plan 2024-2028 and IT/IS Strategic Plan 2024-2028**

In 2023, Banca MPS achieved, ahead of schedule, the main economic and financial KPIs (Key Performance Indicators) defined in the 2022-2026 Strategic Plan, launching a series of initiatives that laid the foundations for further improvements in performance over time; in light of the results already achieved and the evolving macroeconomic environment, it was deemed appropriate to develop a new Strategic Plan.

In 2024, therefore, the Board of Directors of the Parent Company (5 August 2024) approved a new Business Plan for the period 2024-2028, "A Clear and Simple Commercial Bank Revolving Around Customers, Combining Technology With Human Touch", which targets a Bank capable of successfully satisfying evolving customer demands through a process of corporate and technological innovation supported by a broad investment plan, fully leveraging talent, further improving business sustainability, strengthening financial statements and focusing on the distribution and creation of value for all stakeholders.

The aforementioned Plan was accompanied by the Multi-Year Liquidity and Funding Plan, which defines the guidelines for the Group's liquidity and funding management activities with a multi-year time horizon, in support of the development and objectives outlined in the Plan and consistent with the levels of capital adequacy and liquidity indicated therein.

The Plan is also integrated with the IT/IS Strategic Plan, to oversee the evolution of Information Technology (IT) and Information Security (IS), which is an update of the IT and IS Strategic Plan 2024-26, which in turn incorporates the contents of the Three-Year Logical Security Plan 2022-24, adapting them to the new corporate strategies in terms of digital evolution; the regulatory requirements from the DORA (Digital Operational Resilience Act) Regulation aimed at strengthening ICT risk management and the findings of the Cyber Resilience Stress Test are then implemented. Furthermore, the time horizon is also extended to the years 2027 and 2028, introducing new initiatives focused on the technological renewal of security infrastructures.

In particular, consistent with the above-mentioned IT/IS Strategic Plan 2024-2028, the Digital Transformation Strategy was defined - based on three macro-directives: "Development of end*-*to*-*end digital solutions", "Modernisation and scalability of applications" and "Data protection and AI/Gen AI (Generative Artificial Intelligence) algorithm development" - and the necessary project activities for its implementation. In this regard, there are nine strategic projects spread over 19 modules dedicated to the evolution of business/operating models in order to strengthen the Bank's business and technological positioning and 36 additional prescriptive projects that will be implemented in the course of 2025, in order to adapt processes and applications to support ordinary activities with the involvement of all the operational Functions concerned and with an adequate investment plan.

The guidelines and consequent strategic initiatives envisaged in the 2024-2028 Business Plan were represented in the dedicated offsite meeting sessions and in the board meetings attended by the Statutory Auditors. Further in-depth studies were then conducted by the Board of Statutory Auditors with the Company's Management during meetings with the Heads of the corporate functions involved, mainly CFO, CRO and COO, with whom specific analyses and assessments were carried out respectively on the subject of the "Funding Plan", "Capital Adequacy and

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Liquidity", Technological Development and "Digital Transformation Strategy" in support of the Strategic Plan.

On the basis of the information illustrated and made available in these venues, the Control Body was able to take note of the relevance and scope of the actions planned and the consequent investments required to enable the digital transformation and the implementation of the Plan's distinctive initiatives, reiterating the need to pay particular attention to the execution risk with reference to the objectives of the planned business actions, the digital transformation projects and the consequent evolution of the IT architecture and infrastructure, ensuring the development of the projects themselves, mainly aimed at pursuing regulatory compliance and strengthening IT security.

**1.2 Mandatory opinions, comments/determinations, considerations and proposals issued by the Board of Statutory Auditors**

The Board of Statutory Auditors has been asked to issue the following declarations that governing regulations and Supervisory provisions assign to its competence:

&nbsp;&nbsp;&nbsp;&nbsp;➢ *Activity carried out until the date on which the Report to the Financial Statements at 31 December 2023 is filed (18 March 2023):* 

<u>Mandatory opinions:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· revision of the limits for transactions with Related Parties, as part of the broader Group Risk Appetite Statement (RAS) 2024 proposal;

&nbsp;&nbsp;&nbsp;&nbsp;· 2024 activity plan for the Audit function;

&nbsp;&nbsp;&nbsp;&nbsp;· compliance with the requirements for the continuous use of advanced credit risk management systems (AIRB) and operational risk management systems (AMA);

&nbsp;&nbsp;&nbsp;&nbsp;· approval of the 2023 bonus granted to the Chief Executive Officer and General Director;

&nbsp;&nbsp;&nbsp;&nbsp;· 2024 incentive scheme and phantom shares granted to the Chief Executive Officer and General Manager.

<u>Considerations</u>:

&nbsp;&nbsp;&nbsp;&nbsp;· controls carried out by Internal Audit on the outsourced operating
functions.

<u>Comments/Determinations:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· controls carried out by the Compliance, Risk Management and Audit Functions regarding the provision of investment services to customers.

&nbsp;&nbsp;&nbsp;&nbsp;➢ *Activity carried out from the date on which the Report to the Financial Statements at 31 December 2023 (18 March 2023) is filed, until 31 December 2024:* 

<u>Mandatory opinions</u>:

&nbsp;&nbsp;&nbsp;&nbsp;· report on ICAAP (Internal Capital Adequacy Assessment Process) and ILAAP (Internal Liquidity Adequacy Assessment Process);

&nbsp;&nbsp;&nbsp;&nbsp;· Appointment of the Group Anti-Money Laundering Manager, organisational adjustment of the AML Function and updating and revocation of the Delegation of Authority pursuant *to* Article 36 of Legislative Decree no. 231/2007 as amended on the subject of "reporting suspicious transactions";

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&nbsp;&nbsp;&nbsp;&nbsp;· Request for information and action by the Bank of Italy of 30 April 2024 "Investigation into unauthorised transactions and disallowances";

&nbsp;&nbsp;&nbsp;&nbsp;· review of the plan of activities scheduled for the Audit Function for 2024;

&nbsp;&nbsp;&nbsp;&nbsp;· appointment of the head of the Chief Risk Officer department;

&nbsp;&nbsp;&nbsp;&nbsp;· remuneration to be paid to the members of the IT and Digitalisation Committee;

&nbsp;&nbsp;&nbsp;&nbsp;· co-optation of five directors pursuant to Article 2386 of the Italian Civil Code.

&nbsp;&nbsp;&nbsp;&nbsp;➢ *Activity carried out as of 1 January 2024 and until the date on which this Report was filed:* 

<u>Mandatory opinions</u>:

&nbsp;&nbsp;&nbsp;&nbsp;· update of delegated powers pursuant to art. 36 of Italian Legislative Decree no. 231/2007 and subsequent amendments and integrations with regard to "notifications of suspicious transactions";

&nbsp;&nbsp;&nbsp;&nbsp;· revision of the limits for transactions with Related Parties, as part of the broader Group Risk Appetite Statement (RAS) 2025 proposal;

&nbsp;&nbsp;&nbsp;&nbsp;· 2025 activity plan for the Audit function;

&nbsp;&nbsp;&nbsp;&nbsp;· compliance with the requirements for the continuous use of advanced credit risk management systems (AIRB) and operational risk management systems (AMA);

&nbsp;&nbsp;&nbsp;&nbsp;· report on ICAAP (Internal Capital Adequacy Assessment Process) and ILAAP (Internal Liquidity Adequacy Assessment Process);

&nbsp;&nbsp;&nbsp;&nbsp;· 2025 incentive scheme and phantom shares granted to the Chief Executive Officer and General Manager.

&nbsp;&nbsp;&nbsp;&nbsp;· Additional tasks entrusted to the Independent Auditors, pursuant to Regulation (EU) No. 537/14 and Legislative Decree No. 39/10 as amended by Legislative Decree No. 135/16 connected with the Public Exchange Offer on Mediobanca Spa shares;

&nbsp;&nbsp;&nbsp;&nbsp;· approval of the 2024 bonus granted to the Chief Executive Officer and General Director.

<u>Considerations</u>:

&nbsp;&nbsp;&nbsp;&nbsp;· controls performed by Internal Audit on the outsourced operating
functions.

<u>Comments/Determinations:</u>

&nbsp;&nbsp;&nbsp;&nbsp;· controls carried out by the Compliance, Risk Management and Audit Functions regarding the provision of investment services to customers.

<u>Proposals</u>

&nbsp;&nbsp;&nbsp;&nbsp;· request submitted by the Independent Auditors to integrate the fee for additional and supplementary auditing activities with respect to the legal audit, as previously approved by the Shareholders' Meeting (new sustainability obligations introduced by the CSRD).

**2.** **Observations on compliance of the principles of correct administration** 

The Board of Statutory Auditors monitored compliance with the principles of proper administration and protection of the Bank's assets, the management of which complies with the

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law and the By-Laws, also in view of an adequate organisation of powers and the system of delegation, consistent with the Bank's dimensional, organisational and governance structure.

In the course of the 2024 financial year, the Board of Statutory Auditors received periodic information from the Directors - including by attending Board of Directors' meetings and taking part in all the Board Committees to which the Bank adheres, as well as at meetings with the Boards of Statutory Auditors of the main Subsidiaries, with the Bank's top management, with the Control Functions and with the Company appointed to perform the statutory audit - on the activities carried out and on the management actions performed by the Bank and, in light of the information available, can reasonably confirm that the transactions carried out are in compliance with the law and the By-Laws.

**<u>2.1 Significant transactions and events</u>**

The Board of Statutory Auditors has continuously monitored the most important economic, financial and asset operations carried out by the Bank, developing a process of constant and beneficial dialogue with the various corporate Functions involved, within the scope of their respective competences.

On the basis of the main evidence acquired in the performance of its duties, certain events, in addition to those described in other sections of this Report, deemed most significant that characterised the financial year 2024, as well as the first few months of 2025, have been identified and are listed below, grouped by subject and chronology. Please also refer to the Group Report on Operations prepared by the Directors for further details.

**<u>Rating assessment</u>**

In the course of 2024, the improvement in the Bank's creditworthiness, as well as the strengthening of its solvency and re-established capacity to generate profits, led the Rating Agencies (including DBRS Ratings, Moody's and Fitch) to further improve BMPS' rating.

Following the Bank's announcement on 24 January 2025 on the launch of the voluntary total exchange offer for Mediobanca shares (OPS), the rating agency Moody's upgraded the long-term outlook on the Bank's deposit and senior unsecured debt ratings from stable to positive, confirming all the Bank's ratings.

Moody's also indicated the possibility of a multi-notch upgrade, contingent on the successful completion of the transaction and improvement of creditworthiness.

On 28 February 2025, Standard Ethics raised the Bank's Corporate Standard Ethics Rating to "EE+" from the previous "EE" with confirmation of the positive outlook, highlighting a "strong integration in the corporate strategy of ESG factors that characterise the risk monitoring and management systems, as well as the Bank's operations including lending, financing and funding.

**<u>Liquidity and Funding Strategy</u>**

With reference to the Group's liquidity and funding profile, the Board of Statutory Auditors noted the solid liquidity position with an uncommitted counterbalancing capacity of EUR 33 bn and a ratio of ECB funding to total liabilities (around 7%) already in line with the 2026 target of the new Business Plan.

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The maturity profile in the 2024-2028 time horizon is mainly represented by the ECB auctions, which, as at 31 December 2024, amounted to EUR 8.5 bn (down about 35% from 31 December 23). In the period from 2024 to 2028, the other maturities are institutional bonds, amounting to some EUR 5.8 bn to be repaid, in periodic instalments, by 2028.

In line with the objectives of the funding plan and in compliance with the MREL (Minimum Requirement for own funds and Eligible Liabilities) targets, during 2024, the Bank realised the following 4 placements for a total of EUR 2.75 bn, with requests far exceeding the actual placed:

- March 2024, senior preferred bond of EUR 0.5 bn with a maturity of 5 years;

- April 2024, first issue of European Covered Bonds EUR 0.75 bn;

- July 2024, first issue of Social European Covered Bond EUR 0.75 by BMPS;

- November 2024, senior preferred EUR 0.75 with 6-year term.

Overall, the Board of Statutory Auditors noted that, during 2024, the main liquidity ratios (Liquidity Coverage Ratio and Net Stable Funding Ratio) remained above the limitations imposed in the Risk Appetite Framework and that the liquidity stress tests conducted in the Group resulted in positive outcomes in all cases. The 2024-2028 Group Liquidity and Funding Plan will in any case require annual implementation, as appropriate, which will illustrate in greater detail the actual actions to be taken during the reference year and the authorisations to the operating structures for their implementation.

**<u>MREL Capacity</u>**

With regard to the minimum requirement of own funds and eligible liabilities (MREL), as at 31 December 2024, the Group had values that exceeded the requirements for the year: (i) MREL capacity of 28.50% in terms of TREA (Total Risk Exposure Amount) and 11.19% in terms of LRE ("Leverage ratio exposure measure"); (ii) an MREL subordination capacity of 21.24% in terms of TREA and 8.34% in terms of LRE.

By letter dated 29 November 2024, the Bank received the MREL Decision 2024 on the determination of the minimum capital requirement and eligible liabilities. The determination of the MREL, effective as of the same date, requires the Bank to meet, on a consolidated basis, an MREL of 23.59% in terms of TREA, to which must be added the Combined Capital Reserve Requirement (CBR) of 2.89% and 6.43% in terms of LRE. To these must be added the additional subordinated MREL requirements, to be met with own funds and subordinated instruments, equal to 13.99% of TREA, to which the CBR must be added, and 6.43% of LRE.

\* \* \*

Overall, given the planned maturities, the Group's funding strategies, defined in line with the Risk Appetite Statement and outlined in the Funding plan, aim to maintain liquidity indicators at adequate levels, well above regulatory limits, as well as to ensure that MREL requirements are met.

**<u>Capital adequacy</u>**

On 11 December 2024, the Bank received notification of the ECB's final decision on the capital requirements to be met on a consolidated basis as of 1 January 2025, following the completion of the annual prudential review and assessment process conducted in 2024.

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The overall minimum Common Equity Tier 1 ratio (CET 1) stands at 8.78%, the sum of Pillar 1 (4.50%), Pillar 2 (1.41%) and Combined Buffer Requirement (2.87%). The Pillar 2 Capital Guidance "P2G", set at 1.15%, is unchanged from 2024 levels.

Specifically, it is indicated that the Parent Company must maintain, effective 1 January 2025, a consolidated TSCR (Total SREP Capital Requirement ratio) level of 10.50%, unchanged compared to 1, which includes 8% as a minimum Pillar 1 requirement pursuant to Article 92 of the CRR and an additional Pillar 2 requirement of 2.50%, down from the 2024 level of 2.75%, of which at least 56.25% must be met with CET1 and at least 75% with Tier 1. Furthermore, with respect to P2G, the ECB expects BMPS to maintain, on a consolidated basis, a requirement of 1.15%, to be met entirely with Common Tier 1 capital in addition to the overall capital requirement.

In addition, as at 31 December 2024, the Group has to comply with the Systemic Risk Buffer of 1% of credit and counterparty risk-weighted exposures to Italian residents, which is to be achieved gradually by building up a buffer of 0.5% of material exposures by 31 December 2024 and the remaining 0.5% by 30 June 2025.

As of 31 December 2024, the Group's CET1 and Total Capital ratios, which include 2024 earnings, net of the amount of dividends to be distributed, were 18.3% and 20.6%, respectively (approximately +1.10% and -4.6%, respectively, compared to 31 December 2023).

**<u>Residual Commitments Related to State Aid Received in 2017 and Later Revised in 2022</u>**

As of 31 December 2024, the Parent Company was substantially compliant with the 23 Commitments, which had been undertaken by the Italian Republic in order to allow, pursuant to European Union and Italian regulations, the precautionary recapitalisation of the Bank in 2017, subsequently revised in 2022, whose monitoring was constantly followed by the Board of Statutory Auditors over the course of the various financial years.

Regarding Commitment #2 "Prohibition of Dividend Distribution" with SREP letter of 11 December 2024, ECB removed the prior authorisation requirement for dividend distribution.

With reference to Commitment #6 "The number of branches of the Bank shall not exceed 1,258 branches by the end of the year 2024", the last 53 planned branches were closed in January 2025.

In March and November 2024, the MEF finalised, in two separate transactions, the sale of its 27.5% stake in the share capital of Banca MPS and, therefore, at 31 December 2024, the MEF's stake in Banca MPS stood at approximately 11.7% of the share capital, with the fulfilment of commitment #12.

Therefore, as foreseen in the aforementioned commitment and as officially communicated by the European Commission itself, commitments #5 (Ban on Acquisition), #9 (Remuneration of Bank employees and managers), #10 (Operating costs), #11 (Total assets target), #19(Loan to deposit ratio) and #19 (Closure of foreign branches) ceased as a consequence of the above-mentioned divestment.

Regarding Commitment #14 on the Subsidiary "Monte Paschi Banque S.A.", in December 2024 the Bank entered into a sale agreement with a private equity fund for the sale of the Subsidiary. Upon completion of the union consultation, the bank will be able to proceed with the transaction, which is expected to be finalised in the course of 2025.

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As of the Half-Yearly Financial Report to 30 June 2024, the affiliate MP Banque was classified as a discontinued operation.

During 2024, the streamlining of the investment portfolio also continued, including simplification of the structure of the Banking Group. Among the most significant transactions carried out during the year was the reaching of an agreement for the sale of the entire equity investment held in Bancomat Spa (4.32%) and the partial disposal of the shares held in Bank of Italy (commitment #18).

**<u>Significant events after the end of the 2024 financial year</u>**

Below are the significant events that occurred in the period between the reporting date (31 December 2024) and the date of approval of the Consolidated Financial Statements by the Board of Directors (6 March 2025), entirely attributable to non-adjusting events, pursuant to IAS 10, i.e. events that do not entail any adjustments to the Financial Statements, as they are the expression of situations arising after the reporting date.

Following authorisation from the Supervisory Authority and in line with the funding plan, the Bank exercised full early redemption of the following securities in the first quarter of 2025:

- 22 January 2025 subordinated Tier 2 bond of EUR 0.4 bn issued in January 2020, with original maturity 2030;

- 2 March 2025 senior bond of EUR 0.75 bn issued in September 2020, with final maturity March 2026.

On 24 January 2025, pursuant to art. 102 of Legislative Decree no. 58/98 Consolidated Finance Act (TUF) and subsequent amendments and additions, the Bank announced that on 23 January 2025, it had taken the decision to promote a voluntary total Public Exchange Offer pursuant to and in accordance with arts. 102 and 106 of Legislative Decree No. 58/98 concerning the total number of ordinary shares, as at the date of the announcement amounting to 833,279,689, of Mediobanca.

More information on this is given in paragraph 6.5.

**2.2 Intra-group transactions, with related parties, atypical or unusual transactions, and those falling within the obligations of banking representatives**

The Bank strictly complies with the pro-tempore regulations in force on related parties and connected persons, in order to guard against the risk that the proximity of such persons to its decision-making centres compromises the objectivity and impartiality of assessments relating to the granting of loans and the performance of other transactions with such persons.

These types of transactions are regulated within the Group by the "Group Directive on the Management of Prescriptive Compliance with Related Parties, Connected Persons and Bankers' Obligations", flanked by the "Group Regulation on the Management of Prescriptive Compliance with Related Parties, Connected Persons and Bankers' Obligations", approved by the Parent Company's Board of Directors, with the prior favourable opinions of the Related Party Transactions Committee and the Board of Statutory Auditors.

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For the purposes of the disclosure provided in the 2024 Annual Report on transactions with related parties, as of 31 December 24, the perimeter relating to the MEF (formerly the controlling shareholder) was kept unchanged, considering the Ministry's acquisition of the status of shareholder with significant influence only as of 27 December 24, following the gradual reduction of its shareholding and the consequent changes in the shareholding structure and in the composition of the Board of Directors of the Parent Company.

As part of its supervisory activities, the Board of Statutory Auditors has continuously monitored the entire process relating to the application of the aforementioned internal regulations, both through its participation in all meetings of the Related Party Transactions Committee , and through the receipt of periodic information flows directly addressed to the Control Body.

On the basis of the activities carried out in 2024, the information set out in the Annual Financial Report, the information received during meetings of the Board of Directors and that provided by the Chief Executive Officer, Management, the Control Functions, the Boards of Statutory Auditors of the Subsidiaries and PricewaterhouseCoopers Spa, as the Group's sole auditor, the Control Body had no evidence of the existence of any transactions that could be defined as atypical or unusual - i.e., those transactions whose characteristics could give rise to doubts as to the correctness or completeness of the information in the financial statements, conflict of interest, the safeguarding of corporate assets and the protection of minority shareholders - carried out by the Bank with third parties, Group Companies or related parties.

The Control Body constantly monitored, with the support of the relevant functions, compliance with regulatory and management limits; the latter, established by the Board of Directors, take on, within the Group's Risk Appetite Framework (RAF), the value of risk tolerance and risk capacity at a consolidated and individual level on individual connected persons, which are added - with a view to preventing overruns - to the prudential limits set by Bank of Italy Circular No. 285/13.

In this regard, in January 2024, in line with the Supervisory Provisions and the Bank's internal rules, in order to ensure greater consistency with the limits on individual related parties, the Board of Directors, with the favourable opinion of this Control Body, revised the risk tolerance and risk capacity thresholds of the "Total exposure on own funds" indicator in a more prudential manner.

In February 2025, the Board of Statutory Auditors expressed a favourable opinion on the subsequent proposal to revise the RAS 2024 threshold of the Total Exposures on Own Funds indicator, intended as the total sum of all weighted exposures to Group Consolidated Related Parties/Equity Funds, put forward by the relevant Function in order to factor in a possible increase in the total exposure expected at the end of 2025 to certain Related Parties.

The Control Body also acknowledged that the perimeter of Related Parties was changed to take into account the Bank's new reference shareholders, and that the loans associated with one of them are not such as to exceed the established limits, both individually and in total.

Finally, the Board of Statutory Auditors has acknowledged that Part H of the Notes to the Consolidated Financial Report as at 31 December 2024, to which reference is made for a more in-depth analysis of such operations, includes the information concerning transactions with related parties, pursuant to art. 5, paragraph 8 of the Consob Regulation containing the provisions on transactions with related parties adopted with resolution no. 17221/2010, as amended.

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Reference should also be made to the discussion of the Mediobanca OPS and capital increase with regard to the positions of Shareholders Delfin and Caltagirone, identified on a discretionary basis as "related parties" of MPS by Consob, inasmuch as they hold an interest of more than 3% of the Bank's capital, in the context of the voluntary Public Exchange Offer for all Mediobanca ordinary shares (paragraph 6.5).

**3. Supervisory activities**

**3.1 Supervisory activities on the adequacy of the internal control system**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;➢ <u>The Internal Control System (ICS)</u>

The Internal Control System (ICS) adopted by the Montepaschi Group comprises a set of rules, functions, structures, resources, processes and procedures which aim to ensure sound and prudent company management.

Pursuant to the Supervisory Provisions for Banks (Circular no. 285 of Bank of Italy), the Board of Statutory Auditors is tasked to supervise the "completeness, adequacy, functionality and reliability of the internal control system and of the RAF". The supervisory role of the ICS is also confirmed by the Corporate Governance Code to which the Bank has adhered, where Article 6 "Internal Control and Risk Management System" provides that "The Board of Statutory Auditors supervises the adequacy and effectiveness of the internal control and risk management system".

For the purposes of the Internal Control System, in the Group's approach **all the Corporate Functions** are responsible for ensuring the adequate and correct implementation and have the direct responsibility of the processes under their competence in terms of monitoring, improvement and correct operation with respect to the expected results, as well as for the management of risks and their relative controls.

More specifically, in line with the aforementioned Bank of Italy Circular, Banca MPS has established five permanent and independent **Corporate Control Functions**, corresponding to the following:

&nbsp;&nbsp;&nbsp;&nbsp;1. Compliance Function;

&nbsp;&nbsp;&nbsp;&nbsp;2. Risk Control Function;

&nbsp;&nbsp;&nbsp;&nbsp;3. Internal Validation Function;

&nbsp;&nbsp;&nbsp;&nbsp;4. Anti-money Laundering Function;

&nbsp;&nbsp;&nbsp;&nbsp;5. Internal Audit Function.

The first four relate to second level controls, and Internal Audit to third level controls.

For specific areas of competence, there are also **other control functions** with specific supervisory responsibilities within the ICS, which include, among others, the Financial Reporting Officer, the Outsourcing Control Function, the ICT Risk Control Function and the Security Function.

The Board of Statutory Auditors has established a constant exchange of relevant information with the aforementioned Functions during the reporting period, taking note of the individual

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evaluations issued by them, of the points of attention highlighted and of the consequent remedial actions taken. It also states that, to the extent of its knowledge, the same control Functions have fulfilled the related information obligations with respect to the Statutory Auditors.

In particular, the analysis and assessment of the information flows that were made available, together with the in-depth analyses conducted during its meetings, enabled this Control Body to ascertain that the overall layout of the ICS and the Functions involved in it were in line with the directions and expectations provided by the Supervisory Authority from time to time, as well as with the Bank's strategic objectives.

The importance of having structured and, if necessary, timely information flows is emphasised: for the Board of Statutory Auditors, in fact, the analysis of the information received and the data acquired constitutes the reference basis for fulfilling its supervisory role, depending on the relevance of the risks highlighted. The transmission and exchange of information is useful both for corrective action on critical issues encountered and for exercising proactive and awareness-raising powers to prevent their recurrence.

On several occasions, the need has been reiterated to ensure an ever greater and more capillary diffusion at all levels of the organisational structure of the **culture of risk and control**, in order to increase the Group's Risk Culture and make all the relevant Organisational Units fully responsible for respecting and pursuing the risk propensity objectives, as required by regulations and Supervisory Authorities and suggested by best practices. This moves in the direction of increasing the awareness of risks and the correct knowledge and application of the processes and internal models to guard against them, as a fundamental prerequisite for effective, sound and prudent business management. This includes, among other things, the dissemination of the culture of risk and control that, in continuity with the similar activities carried out in previous years, was conducted by the Board of Statutory Auditors in 2024 and will be repeated in the first half of this year, with the support of the competent Functions of the Bank (Commercial, Credit and Audit), which will be aimed precisely at promoting the culture of risk and control at the various levels of the territorial structures.

The dissemination of risk culture is also pursued through the multimedia training initiatives, continued in 2024, dedicated to all personnel, on the subject of process coverage and corporate risk control, aimed at focusing attention on topics concerning different risk areas: from ESG sustainability to operational risks, anti-money laundering, privacy and cybersecurity issues.

In compliance with the aforementioned responsibility to supervise the functionality of the overall internal control system, specific attention was paid by the Board of Statutory Auditors to the **new 2024-2028 Business Plan**, whose objectives and contents, in addition to having been represented in the dedicated offsite meeting sessions and in the board meetings in which the Statutory Auditors participated, have also been the subject of further analyses duly conducted with the Company's Management, aimed at delving into all the guidelines planned in the various reference areas, first and foremost the technological one, given the relevance and scope of the actions planned and the consequent investments required to enable the digital transformation and the implementation of the distinctive initiatives of the IT/IS (*Information Technology/Information Security*) Strategic Plan.

The regulatory evolution of imminent application, together with the indications and expectations expressed in various locations on the subject of **Information Technology** by the Authorities, have required, in fact, the necessary strengthening of ICT risk control, both in terms of process (organisational structures, roles and responsibilities) and governance (new Board Committee): the

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overall digitisation strategy and the consequent industrial projects that implement its operational path have been the subject of constant attention and monitoring by the Board of Statutory Auditors.

In this context, we would like to highlight the punctual updates acquired during the year by the competent Function on the progress of the work to comply with the new **DORA Regulation**, which came into force on 17 January 2025, laying the foundations for harmonising and strengthening the Bank's operational and digital resilience. At the same time, the Control Body followed the path that led to the establishment of the new IT and Digitalisation Committee, in line with the need highlighted by the ECB to strengthen the governance controls in the ICT sphere in order to assist the activities of the Board of Directors and allow for greater challenge to management 's proposals on the subject, enabling, among other things, a more constant and traced information flow. In fact, this Committee has been assigned the task of providing preliminary support to the Board of Directors with reference to issues concerning *information* & *communication technology* and, more generally, the Bank's digitalisation process.

Particular attention was also paid to the continuation of activities aimed at monitoring emerging risks, particularly in the area of ESG (Environmental, Social and Governance) sustainability, given their relevance also in relations with customers and their prospective importance in terms of business and strategic risk. More specifically, the Board of Statutory Auditors followed the evolution of the initiatives contemplated in the **Sustainability Plan,** then brought back into the **ESG Programme**, aimed at the structural integration of ESG factors into the business model, decision-making processes and commercial, lending and risk management strategies, taking note of the new initiatives duly defined during the year, to supplement those already planned, in order to fully grasp the opportunities offered by the transition and by national and EU plans on the subject of transition and to continue the process of integrating ESG principles.

The update of the Sustainability Plan 2024 was mainly focused on the development of projects related to Sustainability Reporting (CSRD), the expansion of the commercial offer of green financing products and services and of insurance products covering climate risks, as well as the consolidation of the environmental risk management framework, in order to achieve greater integration and automation of management and institutional reporting on ESG issues and risks. In this respect, please also refer to the following paragraph 4 for more detail.

In continuity with previous years, also for 2024 the Board of Statutory Auditors kept its focus on **Credit Risk** and, more generally, on the development of lending activities, in order to gain an understanding of the adequacy of the systems and procedures aimed at guaranteeing effective credit risk management. In this regard, as further detailed in the dedicated section (Focus on Credit Risk), all remedial actions connected with the 2022 ECB audit on Corporate and Small business credit processes (OSI-2022-ITMPS-0198380) were completed, and a further inspection activity was conducted by the same Authority (11 November 2024 - 28 February 2025) on "Credit and Counterparty Risk" (OSI-2024-0240556), the results of which are not yet known.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;➢ <u>Focus on the Corporate Control Functions (CCF)</u>

Further details relating to the main drivers on which the CCFs have targeted the activities within their scope of competence and the relative outcomes are provided below.

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-*Compliance Function*

It is carried out by the Chief Compliance Executive (CCE) Department, with responsibility assigned to the Manager of the same Department.

It oversees, using a risk based approach, the management of non-compliance risk with regard to all corporate activities, checking that the internal procedures are adequate for preventing such risk.

On the basis of the activities performed during the year, of the controls, the dialogue with the Supervisory Authorities and the comparisons carried out also with the other Corporate Control Functions, the overall assessment of the Internal Control System, as a judgement of compliance, stands at a "mostly adequate" level.

The Global Compliance Index continues its trend of steady improvement, settling at a level of "mostly compliant" (3.41 on a scale of 1 to 4), which is above the RAS target level (3.15).

As at 31 December 2024, there were no regulatory areas with a "significant" or "critical" residual risk, 16 regulatory areas had a "moderate" residual risk and 10 had a "minimal" residual risk (in 2023, there were 20 and 6, respectively).

During the year, the Function carried out the planned compliance checks for all Group Companies, providing opinions and validating the internal regulations of competence. It also pursued project initiatives aimed at implementing further continuous monitoring tools and developing Robotic Process Automation solutions for repetitive activities, and tested a Generative Artificial Intelligence system capable of supporting the Compliance Function in the POG (Product Oversight Governance) validation process, with particular reference to verifying the regulatory compliance of a product being issued. The objective pursued is to achieve an overall improvement in the effectiveness of compliance activities, in extension of the automatisms already in use in some areas (MiFID), with the evolution of digitisation solutions. Moreover, on the same subject, in view of the entry into force (2 February 2025) of the first part of the European Regulation on Artificial Intelligence, which defines prohibited practices, the Compliance Function carried out an assessment of the Artificial Intelligence (AI) solutions currently in use at the Montepaschi Group, confirming that no AI systems falling within the category of "prohibited practices" are used.

The involvement of the Compliance Function in the Project for Compliance with New European Rules on Digital Operational Resilience under the DORA Regulation was highly structured, with responsibility for one project module and participation as a contributor in all other modules. This includes the formalisation of the compliance gap analysis, the definition of requirements and the validation of documents and processes to arrive at a final compliance opinion of "mostly compliant" and the indication of certain areas of focus to be addressed during 2025.

In addition, again in compliance with the provisions of the aforementioned DORA Regulation, an organisational intervention was deemed appropriate to develop synergies between the areas overseen by the DPO Staff in the area of Privacy and the ex ante compliance activities in the areas of ICT, Security and Outsourcing. More specifically, the former structure dealing with ICT and Outsourcing issues was reallocated within the DPO and ICT Advisory Staff and the Controlling structure was upgraded on the same issues, placing it directly reporting to the first-level structure.

In addition to this, the other main activities carried out during the year concerned the follow-up of (i) the Action Plan defined following the Consob inspection on investment services (3 May

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2022 -17 February 2023) - which was completed in November 2024 - and (ii) activities relating to the grounding of the ESG Programme in order to oversee its regulatory compliance, as well as the definition of a specific framework for overseeing responsibilities in the area of Anti-Financial Crime, identifying the matters included in the same perimeter and the control Functions in charge of overseeing them, also updating the Policy on the Internal Control System in this regard.

With regard to active compliance gaps during the financial year, 18 gaps attributed to other corporate functions were opened by the Compliance Function for all Group companies and 16 gaps were closed; at the end of December 2024 the open active gaps amounted to 11.

With reference to the two macro-families of complaints, the Compliance Function shows an increase in those relating to investment services (Consob) - mainly related to the issue of "compensation to shareholders" for alleged irregularities in the Bank's prospectuses and/or financial statements for past years - and a decrease in those relating to banking services (ABI); ABF appeals also decreased.

As regards the "Privacy" area, to be noted are the advisory and control activities carried out by the Data Protection Officer (DPO), whose role is assigned to the pro tempore Manager of the DPO and the ICT Advisory Staff, specifically consulted by this Board of Statutory Auditors at the meeting of 5 March. The informational items on the matter, aside from being reported with the highest level of detail in the annual Report of the DPO, are also included, in summary form, in the Annual Compliance Report in the dedicated section (Personal data protection - Privacy): its overall compliance assessment is at a "mostly compliant" level with a moderate residual risk.

In October 2024, an on-site audit was carried out at the Bank's premises by a team from the Italian Data Protection Authority, essentially focused on GDPR (General Data Protection Regulation) compliance and monitoring access to customers' economic and financial data. Pending its outcome, a specific Project ("Customer Data Accessibility") coordinated by the DPO was activated, with the aim of updating and modernising security measures on access control and introducing additional automated controls.

-*Risk Control Function*

It is carried out by the Chief Risk Officer (CRO) Department, with responsibility assigned to the manager of the same Department.

During the year, a change in the management of the Department took place, since, following the resignation of the previous Head, the responsibility of the Department was assigned to Mr Lorenzo Boetti (Head of the Risk Management Department as of 2021) with the simultaneous spin-off of the AML-CFT Department, now reporting directly to the Chief Executive Officer. This appointment was finalised in March 2025 following the positive ECB decision on Mr Boetti's suitability.

During 2024, as also reported in the Risk Management Report, the Function has maintained as its main priorities the management of the Risk Profile and the continuous evaluation of the capital and liquidity adequacy (ongoing ICAAP and ILAAP).

With regard to the risk profile, the same Function has expressed its own specific assessments from the perspective of (i) inherent risk, i.e. the overall level of risks faced by the Group and (ii) the

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adequacy of the organisational processes, systems, controls and monitoring in place to manage and mitigate these risks.

Overall, the assessment of the Risk Management Function with reference to the current inherent risks of the Group is fully adequate (score of 1 out of 4). The positive assessment, in continuity with last year, is attributable to the capital strengthening implemented, the consolidation of profitability, the structural reduction in costs and the improved external ratings, which make it possible to outline a definitely positive path. Even considering some qualitative elements of prudence in a forward-looking perspective, linked to the evolution of the external scenario and to potential execution risks of the Plan, the final assessment remains of adequacy.

From the point of view of internal controls, organisational processes and risk management systems, a situation emerges in line with that of the previous year, with the rating remaining at a predominantly adequate level overall (score of 2 out of 4).

In this regard, there are still areas for improvement in the area of credit risk management, digitalisation and the related impacts on ICAAP and ILAAP processes, as well as the need to continue the integration of the risk management framework in the ESG area and the improvement of controls on Operational, IT/Security risks, including those attributable to Third Parties. Also from a forward-looking perspective during 2025, the Bank will be called upon, as outlined in the SREP Decision 2024, to consolidate its credit risk management processes to continue the finalisation of the two-year project to achieve full compliance with the PERDAR/BCBS239 principles.

In this regard , in order to consolidate the aforementioned assessment, the Risk Function considers it sufficient to fully implement the actions already included in the Budget/Plan, to pursue the reduction of the non-performing portfolio and to continue the further reduction of dependence on ECB *funding* through market transactions by implementing, for full compliance with the MREL thresholds, the planned emission plan.

On the other hand, with regard to processes, in addition to monitoring credit risks, to be noted is the need to evolve and fully integrate emerging risks (in particular IT/Cyber, ESG, Third Party, digitisation and geopolitical risks, where present) into the management process.

-*Anti-money Laundering Function*

It is carried out by the first-level structure "AML-CFT" placed (as of May 2024) directly reporting to the Chief Executive Officer and previously allocated within the Chief Risk Officer Department.

According to a risk-based approach, the Function oversees the risks related to combating money laundering and the financing of terrorism and continually verifies that business processes and procedures are consistent with the objective of preventing and combating the violation of regulations on such matters.

During 2024, remote audits were carried out with the frequency and in the manner set out in the "control catalogue", with reference to the areas of: Suspicious Transaction Assessment, Countering Terrorist Financing, Data Retention, Adequate Customer Verification and Organisation and Controls; 6 new controls were also progressively introduced on Adequate Customer Verification (No. 2), Data Retention (No. 1), SOS (No. 1) and Organisation and Controls (No. 1).

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Overall, as shown in the "AML 2024 Report" made available to this Board of Statutory Auditors, the Anti-Money Laundering and Combating Terrorist Financing sectors confirm a level of considerable sustainability.

The Parent Company's 2024 self-assessment exercise confirmed a "Low" residual risk level, resulting from the combination of the inherent risk (Medium-Low) and vulnerability of controls (Not Significant) ratings for each of the Bank's business lines (Retail, Corporate and Private); The Group's residual risk level was also confirmed as "Low", in line with the result obtained the previous year.

For the three business lines identified for Banca MPS, "Retail", "Corporate" and "Private", the combination of the inherent risk (**Medium-Low**) and the vulnerability of the controls (**Not Significant**) determined a **Low** Residual Risk for 2024, confirming the 2023 assessment.

On the basis of the formalisation of specific "Cooperation Protocols", updated in 2024, the Anti-Money Laundering Function constantly cooperates in the implementation of appropriate Level I and II controls, both by making available to the other Control Functions the main documents representing its activities (monthly reports, results of individual controls, results of any on-site inspections), and by interacting with and receiving from the Control Functions flows and information useful to have a greater perception of any problems in the AML-CFT area that may constitute a functional database for the development of its activities.

As of the second half of 2024, the AML Function started preparing a special information flow ("AML-CFT Strategic Programme") to provide a more detailed representation of the progress of AML initiatives and projects; this is also in line with the specific request made by the Bank of Italy in its letter of 24 May 2024 concerning "Monte dei Paschi di Siena. Situation of the anti-money laundering sector".

In the context of the aforesaid communication, the Supervisory Authority took note of the structured initiatives undertaken by the Bank "moving towards the strengthening of anti-money laundering controls and the uniformity of processes at the Group level", noting the persistence of certain areas of reinforcement in relation to which it requested the definition of a specific action plan and the submission of the remedial actions envisaged therein, to an effectiveness check by the Internal Audit Function, sharing the results with the Board of Directors, after consulting the Board of Statutory Auditors.

In this regard, the Board of Statutory Auditors, after having taken note of the text of the Response Letter transmitted to the Bank of Italy, including the Action Plan, examined the new information flow made available on a quarterly basis by the AML Function, and then reviewed the findings of the effectiveness checks carried out by the Audit, which concerned part of the measures. The audits of the remaining measures were included in the Audit Plan 2025 and will be conducted with the assistance of the Board of Statutory Auditors.

Finally, it notes the commencement as of 10 June 2024 of an on-site inspection by the Bank of Italy, aimed at investigating compliance with the regulations on due diligence and related applications and the progress made with respect to the outcomes of the 2018 inspection conducted by the same authority. The inspection activities ended on 9 August 2024 and the results were announced on 12 December 2024. In this regard, a special Action Plan has been defined and will be constantly monitored by the Statutory Auditors.

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-*Internal Validation Function*

It is carried out by the First Level "Risk Systems Validation" structure, located within the CRO Department; responsibility is attributed to the Head of that Structure.

The Internal Validation Function is required to constantly verify the consistency of the risk measurement systems with company regulations and the regulations of the Supervisory Authorities. It is responsible for validating the advanced internal models and the gradual extension to those of Pillar I not used for regulatory purposes and to those of Pillar II, according to a materiality criterion. Furthermore the function has the task to prepare the mandatory information set in relation to the models validated.

The Validation Report referring to 2024, presented by the Head of the same Function during the meeting of this Board of Directors on 5 March, includes the assessments formulated by the Validation Function regarding the Credit Risk Measurement Systems - Internal Rating System (AIRB-SRI), Operational Risks (AMA), Interest Rate Risk of the Banking Book and IFRS 9 impairment models, following the completion of the activities provided for in the 2024 Validation Plan and the additional activities made necessary in the course of year.

The outcome of the Validation analyses confirmed, in particular for regulatory risks (AIRB-SRI and AMA), the positive assessment of this with regard to the minimum requirements established for the use of internal systems for the determination of the capital requirement; all the identified areas for improvement have been addressed and resolution activities are under way.

More in detail, in line with last year's assessments, the Validation Function expressed an opinion of "Mainly Favourable" both with regard to the AIRB-SRI Credit Risk Measurement System - Internal Rating System, and with reference to the Operational Risk Measurement System (AMA). Similar conclusions emerged from the audits conducted during the year, which confirmed compliance with the requirements and eligibility conditions for the use for regulatory purposes of advanced methods for the management and measurement of Credit and operational risks.

However, as of 2025, with the entry into force of EU Regulation 2024/1623 (CRR3), the Operational Risk Measurement System (AMA Model) will be discontinued for regulatory purposes and the operational requirement will be determined using a Standardised Measurement Approach (SMA).

The Validation Function then gave a rating of "Mainly Favourable" opinions to the Interest Rate Risk in the Banking Book (IRRBB) and the Liquidity Risk Management and Measurement Systems, and to the IFRS9 impairment accounting Models in the area of Credit.

With reference to the rating assigned to the Model Risk, to be noted is that the AIRB and AMA models are unchanged compared to the previous year. Assessments are then expressed as: HIGH for AIRB models and MEDIUM for AMA and IRRBB models.

-*Audit Function*

It is carried out by the Chief Audit Executive Department, with responsibility assigned to the Manager of the same Department.

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The CAE Department performs an independent and objective activity aimed at controlling, on the one hand, based on third-level controls, the regular performance of operations and the evolution of risks and, on the other hand, at evaluating the completeness, adequacy, functionality and reliability of the organisational structure and the other components of the Internal Control System, bringing any possible improvements to the attention of the company bodies, with particular reference to the RAF, the risk management process, as well as the instruments for measuring and controlling these risks.

From the same Function, the Board of Statutory Auditors received the necessary assistance for the performance of the supervisory activities falling within its competence and acquired information concerning the Audit Plan, the activities performed, the reports issued, the results of the audits carried out during the year, selected on the basis of shared criteria of relevance, and the progress of the corrective actions identified; with regard to the significant aspects that emerged, this Control Body took steps to ensure that the necessary and most timely corrective measures were taken by the Bank's competent functions.

More specifically, on the basis of the overall activities carried out, the Audit Function found no risk elements to be considered serious and/or significant; however, certain aspects of attention are highlighted, which are also shared and deemed significant by this Control Body for its own audits, mainly in the following areas: "ICT and Logical Security", "AML/CFT", "Credit", "Risk Management and Validation" and the "Outsourcing" cluster.

The year 2024 was the first year of the 2024-2026 three-year audit cycle, a period in which the CAE Department set itself the goal of ensuring an adequate degree of coverage of the audit universe (represented by the scope of the companies and the taxonomy of business processes).

During the same year, the audits performed exceeded the expectations defined in the planning, also taking into account the interim audit (+4%), bringing the total number of audits performed to 358 (343 planned), of which 84 were process interventions (including 36 compulsory revisions resulting from regulatory requirements) and 274 interventions on peripheral network structures. As already highlighted in the specific section (paragraph 1.1), 14 audits were carried out in assistance to the Board of Statutory Auditors.

On the basis of the information acquired and included in the Annual Report of the Audit Function for 2024 presented to this Board of Statutory Auditors by the CAE Manager during the meeting held on 5 March and subsequently submitted to the Board of Directors (6 March 2025), in terms of completeness, adequacy, functionality and reliability, the rating given to the Group's Internal Control System, "R2-Yellow", was substantially positive (according to the usual scale of judgements adopted by the CAE Department itself for the assessment of its audit activities, distributed over four levels with increasing relevance: R1-Green, R2-Yellow, R3-Orange and R4-Red).

This assessment takes into account the qualitative-quantitative evidence resulting from the audit activities carried out by the CAE Department during the year, the results of the follow up activities, the annual reports prepared by the Second Level Control Functions, as well as the results of the activities conducted by the Supervisory Authorities.

This result represents the summary of the qualitative-quantitative evidence resulting from the auditing and asseveration activities carried out during the year (on the processes of the General Management), which recorded predominantly positive ratings - in 96% of cases (47% "R1-Green" and 49% "R2-Yellow"), to which the audits completed without a grade (1%) and those with a rating

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of "R3-Orange" (3%) must be added. During 2024, no cases with a negative rating ("R4-Red") were identified.

More specifically, at the level of central processes, 43% of the audits (36) were rated "R1-Green" and 34% (29) "R2-Yellow"; the remaining 23% (19) correspond to interventions concluded without the awarding of a grade (e.g. asseveration activities, Advisory, Safety Test follow-up). Of the audits conducted, 10 had a specific ESG focus*.*

With reference to the interventions on the commercial network, the distribution of the ratings assigned, both by BMPS and Widiba, shows a higher concentration on the positive grades "R1-Green" and "R2-Yellow" (240 interventions). For the residual "R3-Orange" component (34 interventions) - essentially attributable to certain behavioural anomalies in the areas of documentation acquisition, monitoring and review of risk practices, and physical and logical security control - in addition to individual remedial plans, a criticality sharing process was adopted with the involvement also of the central hierarchical structures of reference, which allowed the implementation of further initiatives for a more effective targeting of the behaviour of network resources and the decision-making chain. This includes specific targeted training initiatives on the topics found to be most significant, as well as periodic Risk Culture meetings with intermediate management structures.

The audit Function also has Group level responsibility for internal **whistleblowing** systems for reporting violations. This activity is managed through the "WB Confidential" information system that supports the entire process and ensures, at every stage, the confidentiality of the report and privacy of the personal data of the reporting party and possibly the party to which the report refers, ensuring a specific and independent channel, separate from ordinary reporting lines.

The relevant application has undergone several evolutions over the years for the purpose of the necessary technological update and to ensure ever increasing levels of IT security; with this in mind, after the activation of the unified communication and collaboration platform to allow the inclusion of reports in oral form (mode provided for by Legislative Decree No. 24 of 30 March 2023), as of March 2024, the platform was also made accessible via the Internet, so as to allow reporting also to "qualified external parties", also providing a dedicated telephone service, which can be used to report a violation or request a direct meeting with the Whistleblowing Manager or to be contacted by telephone by the same. As required by the same Decree, a special section of the Group's institutional website containing information on the channels and procedures adopted has also been published.

The training initiatives on the subject already started in previous years also continued, complying with the provisions of Bank of Italy Circular No. 285 whereby banks are required to explain to their staff in a clear, precise and complete manner the internal reporting system adopted.

During 2024, 31 reports were received and in-depth analysis activities were completed on 36 reports (of which 22 reports were received in 2023 and 14 reports were in stock as at 1 January 2024) and in-depth analysis activities are in progress for the remaining 9 reports, mainly relating to trade network processes and individual conduct in specific business units.

These activities performed by the **Fraud Audit** Function were brought to the awareness of the Board of Statutory Auditors on a regular basis.

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Overall, as confirmed by the Head of the Internal Whistleblowing Systems for reporting violations, which is part of the 2024 Report, the whistleblowing systems adopted is properly functioning, according to the external and internal regulations currently in force. The digital platform and telephone service used did not show any technological criticalities and also ensured ease of use for users.

In addition to the management of reports of this kind, the Fraud Audit Function paid particular attention to "Prevention" activities - aimed at identifying, on the basis of the frauds suffered and the evidence that emerges from the continuous monitoring of risky events, the weak points of the processes in the area of fraud risk and defining the consequent improvement actions - as well as those related to "Detection", aimed at defining and keeping up-to-date the fraud risk indicators, with the aim of promptly identifying fraudulent and irregular behaviour, launching Special Investigations if necessary.

The active gaps being monitored by the Audit Function amounted to 57, with medium (28) and low (29) relevance, respectively, a decrease of 17% compared to the figure at the end of 2023 (69); The trend of the gaps subject to rescheduling also declined (12 to 15 in 2023). There were also no gaps that expired during the year.

Finally, in accordance with International Standards, the Internal Audit function is required to carry out an assurance and quality improvement programme covering the various aspects of audit activity. This includes, inter alia, the external Quality Assurance Review (QAR) activity scheduled to take place in 2025, in line with the planned periodicity on at least a five-year basis (the last QAR was carried out in 2020 with a generally compliant final outcome).

\* \* \*

The supervisory role on the adequacy and effectiveness of the Internal Control and Risk Management System attributed, as seen, by the Law to the Board of Statutory Auditors, starts from the relationships and information exchanges defined with the Corporate Control Functions and continues by contemplating all other interactions and comparisons made with all the "other actors" of the ICS, as already reported elsewhere in this Report.

Reference is made, inter alia, to relations with the Other Control Functions (e.g. the Financial Reporting Officer, the IT Function), the Control Bodies of the Subsidiaries (pursuant to Article 151(2) of the Consolidated Law on Finance), the other Top Management Bodies (Director in charge of the ICS, Supervisory Board 231/2001) up to and including the Company entrusted with the legal audit (PwC).

\* \* \*

At the overall level, considering the results of the audits conducted by the Control Functions, the Financial Reporting Officer and the Supervisory Authorities, the active gaps being monitored as at 31 December 24 amounted to 100 (158 as at 31 December 23), of which 84 were opened by the FACs and 16 were attributable to ECB audits.

At present, there are no overdue findings against the ECB and the remedial plans are on track.

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The improving trends with regard to the number of gaps and compliance with deadlines are derived both from the **constant attention** maintained by the CAE Department on the follow-up of mitigation actions, and from the further monitoring carried out monthly by the Secretariat of the Coordination Committee of the Control Functions, together with the **strong commitment** of Top Management.

The resolution of the critical areas (gaps) identified during audits and, moreover, those identified by the Supervisory Authorities, was subject to constant monitoring by the Board of Statutory Auditors, which within the scope of its supervisory activities focused in particular on trends in the performance of the corrective actions carried out by the owner Functions and respect for agreed timing.

This Control Body has, in fact, regularly monitored the development of open gaps, acquiring the relevant updates from the special reports drawn up for the purpose (Quarterly Report and Gap Execution Plan), emphasising the need to give top priority to the effective implementation of activities to resolve the gaps identified by the Control Functions as well as the findings reported by the Supervisory Authorities resulting from the inspections conducted by them, in compliance with the time frames and procedures defined for the purpose. This is since the improvement of processes and the ensuing value added for the overall company Organisation presupposes not only the identification of anomalies by the Control Functions but also the necessary remediation and resolution of the reasons for such anomalies, in order to achieve effective risk mitigation.

\* \* \*

On the basis of these assumptions and with particular reference to the specific operating contexts analysed and the consequent corrective actions defined on the sidelines of the overall control activities, including those of the Financial Reporting Officer, it is believed that the Internal Control System is **mostly adequate**, confirming the same judgements expressed in previous years. We acknowledge the improvements achieved by the Bank with regard to its long-term sustainability and the progress on the adequacy of the internal control system, in particular with reference to the strengthened coordination between Corporate Control Functions, the increased oversight on gap monitoring, as well as an increased commitment by the entire Top Management with regard to risk culture and the dissemination of a preventive approach.

This was also confirmed by the Director in charge of the Internal Control and Risk Management System who was heard during the meeting held jointly with the Risk and Sustainability Committee on 3 March 2025. The progress made during the year by the system itself was reaffirmed, in addition to the mostly positive assessment directly expressed. The progress in question concerns, on the one hand, the monitoring of the gaps and areas for improvement highlighted by the FACs and the Authorities, reduced - as already mentioned - not only in numerical terms but also in terms of resolution times, due to the strong impulse provided directly to the Management and, in cascade, to the individual Structures, and, on the other hand, in the growth of synergies between the Control Functions, functional to a unified management of the Bank's risks and to the same business development with a view to sound and prudent management and long-term sustainability.

Still standing is the need to continue to constantly improve the effectiveness of control activities and to implement additional IT solutions and tools for each Corporate Control Function, aimed at strengthening the overall Internal Control System and increasing the level of automation in general, while optimising the use of resources and the control of risks, also in a logic of revision of processes from a digital perspective and with the use of artificial intelligence tools, remains valid.

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This includes the development and innovation initiatives carried out by each FAC with a view, precisely, to continuous improvement and evolutionary implementation, in particular for audit activities and related methodologies, in line with the Strategic Plan 2024-2028, aimed at strengthening the headmasters and the overall ICS.

Finally, as part of an integrated risk management approach, increasing levels of coordination and interaction among all the Functions involved in the overall Internal Control System will be pursued, including that of the Financial Reporting Officer, proceedings with due proactivity and incisiveness in identifying and overseeing the remedial activities defined in response to the areas of improvement identified, while at the same time maintaining constant attention to the recommendations issued by the Supervisory Authorities and according to the legislation and its evolution, so that the Bank can prepare the necessary changes/adaptations in good time.

The action of the Board of Statutory Auditors will continue to monitor the proper functioning in terms of adequacy and effectiveness, also prospectively and proactively, of the Internal Control System, in line with the Bank's strategies, to support the implementation of projects functional to the sound and prudent management of risks<sup>2</sup>.

**3.2 Supervisory activities on the adequacy of the organisational structure**

The Bank, in its capacity as Parent Company of the MPS Group, performs the functions of policy-making, governance and unitary control over the Subsidiaries, through management and coordination activities, within the general guidelines defined by the Board of Directors and in the interest of the Group's stability.

The Group's model, organisational structure and management and coordination tools are defined in internal regulations, which govern the roles and tasks assigned to the Bodies to establish strategic guidelines and implement risk management policies and the Internal Control System.

The management and coordination of the Banks and Subsidiaries takes place mainly through the appointment of the respective corporate officers and the implementation of mechanisms established to implement the internal directives of the Parent Company. In accordance with statutory provisions, laws and external and internal regulations, the Corporate Bodies of the Parent Company, the Banks and Subsidiaries are the recipients of periodic and structured information flows, relating, inter alia, to risks and controls.

In the course of 2024, the Group's organisational structure was affected by a number of General Management optimisation measures, in particular: (i) organisation of the single first-level structure Human Resources Management (CHCO) into 2 first-level structures, dedicated to Network and DG resources respectively; (ii) establishment of a Top Level Structure (Performance and Service Quality) for the definition and management of the Project Plan and the management of the Demand Management process reporting directly to the Chief Operating Officer; (iii) transfer of the first-level Information Security structure from the Chief Operating Officer to the Chief Safety Officer, with simultaneous renaming to Chief Safety and Security Officer; (iv) creation of the role of Deputy Chief Commercial Officer, to whom the Chief Commercial Officer Retail and the Chief Commercial Officer Enterprise and Private report; (iii) Strengthening wealth management and supply chains related to the support of the Italian agri-food sector and the PDO Economy.

<sup>2</sup> The preceding and following considerations on organisational structure and *corporate governance* refer to the current configuration of the MPS Group.

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Further changes concerned the organisational structure of the branches, also through the evolution of the "Small Business" and "Value" service models, which took place in April, and which contributed to the development of skills, including relational and managerial ones, in both areas, as well as opportunities for professional growth to cover new roles.

Initiatives and activities in the Diversity & Inclusion area continued in 2024, in line with the path of leveraging diversity, recognised as a strategic driver for the development and dissemination of an inclusive corporate culture geared towards long-term value creation. In this regard, during the year the Bank announced new appointments at the top of some key functions with the enhancement of the assets of internal resources, through targeted policies for the developments of talents.

After consulting the Board of Statutory Auditors, in May 2024 the Board of Directors resolved to transfer the AML-CFT Function to report directly to the Chief Executive Officer, previously allocated to the Chief Risk Officer. The new organisational model, ensuring greater adherence to the provisions of the Bank of Italy, further ensures that the Function has access to all the activities of the supervised entity, as well as to any information relevant to the performance of its tasks.

In July 2024, in line with market best practice, the responsibilities related to the Banking Recovery and Resolution Directive (BRRD) were transferred from the Transparency Programme Staff to the Capital Planning, BRRD, Studies and Research Function within the Chief Financial Officer's department.

During the 2024 financial year, the organisational structure of the Compliance Function was modified, with a view to constant streamlining and updating with respect to the evolution of the external regulatory framework, mainly responding to the requirements of the 40th update of Circular 285/2013 and Regulation (EU) 2022/2554 - so-called DORA. Specifically, the structure that dealt with ICT and Outsourcing issues was reallocated within the DPO and ICT Advisory Staff, with a concomitant streamlining of the Control structure on the same issues and its placement reporting directly to the First Level Function.

With reference to the Network processes, in continuity with the previous year, the interventions aimed at improving the quality of work, freeing up commercial time and increasing the quality of the service offered to the customer continued, reducing response times/service delivery through the rationalisation of "administrative" activities and document management costs, with a strong focus on increasing process digitalisation.

In the exercise of its duties to supervise the adequacy of the ICS, this Control Body, on the basis of direct comparisons with the Heads of the Control Functions, has acknowledged that the FACs themselves currently consider their sizing and capacity to be adequate.

With regard more specifically to the organisational structure, the Board of Statutory Auditors constantly monitored the organisational revisions made to the Parent Company's structure, through in-depth discussions with the heads of the relevant corporate functions.

In light of the activities performed, the information acquired and the documentation examined, most recently the periodic report on the organisational structure required by Circular no. 285 of the Bank of Italy, this Control Body has acknowledged that the MPS Group's organisational structure, in its design and implementation to date, ensures efficient decision-making processes, consistent with the Business Plan, albeit with the awareness that, in a Group as sizeable and

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structurally significant as Banca MPS, such organisational structure requires continuous interventions, particularly with regard to technological development, the evolution of digitalisation, the use of artificial intelligence and the increasingly marked attention to ESG aspects, will have a significant impact on banking operations.

**3.3 Supervisory activities on the administrative-accounting system**

Responsibility for administrative and accounting processes in the Bank's organisation is assigned to the Chief Financial Officer Department and in particular, within it, to the Administration and Financial Statements and Controls Law 262 and Tax Compliance structure, the latter coordinated by the Financial Reporting Officer.

The Board of Statutory Auditors met regularly with both the Chief Financial Officer and the Financial Reporting Officer.

Specifically, the latter did not report any significant gaps in the operating and control processes that could jeopardise the assessment of the administrative and accounting procedures as suitable and effectively applied in order to correctly represent the Bank's financial situation as presented in the separate and consolidated financial statements as at 31 December 2023.

The main issues that the Financial Reporting Officer decided to examine in depth during the 2024 financial year, as they were also considered relevant for auditing purposes, in addition to the more general checks on the reliability of financial reporting, were as follows: (i) Sustainability Reporting and the system of controls; (ii) DTA evaluation; (iii) MP Banque - classification as discontinued operations; (iv) Provision for Risks and Charges: Legal risk from financial information; (v) Property valuation

These topics, extensively discussed during several meetings of the Board of Statutory Auditors also with the Financial Reporting Officer, are reported in more detail in the Notes, to which reference is made.

On 10 September 2024, Legislative Decree No. 125/2024 transposing the CSRD (Directive 2022/2462/EU) was published in the Official Journal. In view of the obligations introduced by this Decree, the Financial Reporting Officer, as of 31 December 2024, also issues the Sustainability Reporting.

The control methodologies, defined by the MPS Group for the purposes of the operation of the Financial Reporting Officer's structure and the corrective action plan activated to date, allow the Financial Reporting Officer to formulate an opinion on the adequate monitoring of accounting risk and compliance with reporting standards pursuant to Directive 2013/34/EU, Legislative Decree no. 125 of 6 September 2024 and EU Regulation 2020/852.

Also from the additional audits carried out in the area of credit, finance and provisions for risks and charges also did no elements emerged that would prevent the issuance of the Financial Reporting Officer's certification of the Financial Statements and Consolidated Financial Statements as at 31 December 2024. The issues raised were brought to the attention of the owner functions for subsequent remedial action.

The Board of Statutory Auditors constantly interacted with the Financial Reporting Officer on these issues as well, ensuring - as better specified in paragraph 4 - that the resulting responsibilities were promptly and effectively taken care of.

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The Statutory Auditors have also constantly monitored the remedial activities, coordinated by the Financial Reporting Officer, carried out by the competent Functions of the Bank having regard to the areas for improvement and the areas for strengthening of the internal control system, also highlighted by the Independent Auditors PwC, with reference to the activities carried out on the Financial Statements for the year ended 31 December 2023, noting their substantial completion.

For the purposes of its control activities, the Board of Statutory Auditors also constantly monitored the remedial activities relating to the gaps highlighted by the Financial Reporting Officer with reference to the financial year 2023, verifying their almost substantial definition. In the course of the activities carried out during the year, areas for improvement and certain gaps emerged, particularly in the areas of credit and finance, on which remedial action is being taken, with activities scheduled by 2025 and on which the Board of Statutory Auditors will closely monitor.

During the year, the Board of Statutory Auditors conducted frequent meetings, sometimes through informal discussions, with the Independent Auditors PwC aimed at exchanging information on the adequacy of the administrative and accounting system in place in the Company. During this activity, no facts deemed censurable were reported. The Board of Statutory Auditors also had the opportunity to share with the Independent Auditors the procedures adopted in drafting the 2024 separate and consolidated financial statements.

Given the above, the Board highlights that:

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| |
|:---|
| pursuant to the provisions of Italian Legislative Decree no. 38 of 28 February 2005, the Bank's financial statements were drafted by applying the international accounting principles issued by the International Accounting Standards Board (IASB) and related interpretations by the IFRS Interpretations Committee, endorsed by the European Commission as established by EC Regulation no. 1606 of 19 July 2002 effective as at 31 December 2023, as well as in compliance with the "Framework for the preparation and presentation of financial statements" ("Conceptual Framework"); |
| the provisions contained in Bank of Italy Circular no. 262, as amended by the eighth update of 17 November 2022, were also applied to the financial statements and the respective Notes. |

---

The Group has also noted that in the Bank of Italy communication of the Bank of Italy of 14 March 2023 "Update of the provisions of Circular no. 262 - Bank financial statements: layout and rules for preparation" regarding the impacts of COVID-19 and measures to support the economy", which requests, in free format, financial statement disclosure on the loans subject to public guarantee;

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| |
|:---|
| disclosures to the public are made available on the Bank's website within the deadlines set for the publication of annual and interim financial statements, according to the provisions indicated in prudential supervisory regulations (known as Pillar 3); |
| all activities performed, the control methods defined and the corrective action plan activated thus far have allowed the Board of Directors and the Financial Reporting Officer to issue the certifications envisaged by art. 81-ter of Consob Regulation no. 11971 of 14 May 1999 and subsequent amendments and by art. 154-bis of the Consolidated Law on Finance with reference to the 2024 separate and consolidated financial statements. The Risk and Sustainability Committee has expressed a favourable opinion on these statements. |

---

It should also be noted that the Directors did not opt to exercise the derogation of powers pursuant to art. 5, para. 1, of Italian Legislative Decree no. 38/05.

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With regard to the issue of going concern and the requirements of Document no. 2 of 6 February 2009 and Document no. 4 of 3 March 2010, issued jointly by the Bank of Italy, Consob and ISVAP, with subsequent amendments, this Board of Statutory Auditors acknowledges that the financial statements were drafted under the "going concern" assumption, based on the reasonable assumption of continuing to operate in the foreseeable future.

Taking note of this assumption, we refer to what is stated by the Board of Directors in Part A of the Explanatory Notes - Accounting policies in the "going concern" section of the financial statements.

The assessment of the Group's ability to continue as a going concern is based essentially on the prospective evolution of the capital and liquidity position over a time span of at least 12 months.

The Bank's Directors deem that, after assessment of the evolution of the equity and liquidity positions and with regard to the indications provided in Document no. 2 of 6 February 2009 and Document no. 4 of 3 March 2010, issued jointly by the Bank of Italy, Consob and ISVAP, as amended, the Group has a reasonable expectation that it will continue to operate as a going concern for the foreseeable future and has therefore prepared its financial statements on such going concern basis.

\* \* \*

In the context of the tasks assigned to it, not being required to carry out analytical checks on the merits of the content of the financial statements, the Board of Statutory Auditors has carried out an overall check on the adequacy of the process for the preparation of the Financial Statements as at 31 December 2024 and on the audits carried out by the Independent Auditors.

Therefore, pursuant to the provisions of Italian Legislative Decree 39/10 as amended and supplemented, the Board of Statutory Auditors has verified the financial information process used by the Bank and in particular by the Financial Reporting Officer, by the Chief Executive Officer and by the Directors and, with reference to the audit carried out by the Independent Auditors, has monitored the audit of the Financial Statements for the year closed on 31 December 2024.

In conclusion, to the extent of its own competence, this Board of Statutory Auditors has ensured that the entire process followed by the Bank, the directors and by the Independent Auditors was carried out in accordance with the laws and regulations, not having identified any inconsistencies between the information received with the information supplied in the Financial Statements.

Having said that, the Auditors have also examined the specific issue of the going concern assumption in the widest context in the exercise of their own supervisory and monitoring duties on occasion of the preparation and approval by the Bank of the Financial Statements as at 31 December 2024.

The Control Body was thus able to verify the process for the preparation of the Financial Statements as at 31 December 2024 at the end of which the Directors, with regard to the evaluation of the assumption of going concern, came to the conclusions highlighted above. What was represented to this Board of Statutory Auditors on such issue, to the extent of its knowledge and its competence, was found to be consistent with the information on the Financial Report.

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In this regard, it should be noted that Consob on 10 December 2024, in the absence of elements of uncertainty as to the business continuity of the Company and the Group, fully revoked the disclosure obligations set forth in the provision of 22 April 2021 of the same Supervisory Authority.

At the end of our verification activities, taking into account the conclusions of the information reviewed, there is therefore reason to assert that the Bank's administrative accounting system is able to ensure the correct representation of management events.

**3.4 Supervisory activities on the statutory accounting audit**

The Board of Statutory Auditors supervised, to the extent of its responsibilities, the statutory audit of the separate and consolidated financial statements through the ongoing exchange of information with the Independent Auditors PricewaterhouseCoopers Spa, appointed by the Shareholders' Meeting of 11 April 2019 for the financial years from 31 December 2020 to 31 December 2028.

The Statutory Auditors has held numerous meetings with the same Company, during which they reviewed the audit plans relating to the interim financial statements as at 30 June 2024 and the separate and consolidated financial statements as at 31 December 2024 and has addressed the main risks and points of attention identified by the Independent Auditors.

The same PricewaterhouseCoopers, on 24 March 2025, transmitted the Reports issued pursuant to art. 14 of Italian Legislative Decree no. 39/10 and art. 10 of the Regulation (EU) no. 537/14.

From the review of these documents it was therefore acknowledged that:

· in the opinion of the Independent Auditors, the financial statements provide a true and fair representation
of the financial position of the Bank and Group as at 31 December 2023, as well as the economic result and cash flows for the financial
year closed on that date, in accordance with International Financial Reporting Standards issued by the International Accounting Standards
Board and adopted by the European Union and the provisions issued in implementation of art. 9 of Italian Legislative Decree no. 38/05
and art. 43 of Italian Legislative Decree no. 136/15;

· the Independent Auditors point out that the Directors are responsible for applying the provisions issued
by the European Commission Delegated Regulation (EU) 2019/815 with regard to regulatory technical standards on the specification of a
single electronic reporting format (ESEF – European Single Electronic Format), to the Financial Statements and Consolidated Financial
Statements as at 31 December 2023, to be included in the Annual Financial Report. The Independent Auditors have carried out the procedures
described in the auditing standard (SA Italy) no. 700B in order to express an opinion on the compliance of the Financial Statements and
the Consolidated Financial Statements with the provisions of the Delegated Regulation. In the opinion of the Independent Auditors, the
Financial Statements and Consolidated Financial Statements as at 31 December 2024 have been prepared in XHTML format and the Consolidated
Financial Statements alone have been marked in all significant aspects in accordance with the provisions of the Delegated Regulations;

· in the opinion of the Independent Auditors, the Report on Operations and the specific information contained
in the Report on Corporate Governance and Ownership Structures indicated in Article 123-bis, paragraph 4, of Legislative Decree No. 58/98
are consistent with the statutory and Consolidated Financial Statements;

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· in the opinion of the Independent Auditors, the Report on Operations, excluding the
section on consolidated sustainability reporting, and the specific information contained in the Report on Corporate Governance and Ownership
Structure indicated in Article 123-bis, paragraph 4, of Legislative Decree No. 58/98 are prepared in accordance with the law.

The Board of Statutory Auditors was also able to examine the Report of the Independent Auditors PwC on the limited examination of the MPS Group's consolidated sustainability reporting, pursuant to Article 14-bis of Legislative Decree No. 39 of 27 January 2010, which is referred to in the specific section.

PricewaterhouseCoopers Spa has highlighted the following key audit matters, which were also discussed by this Board of Statutory Auditors in the aforementioned meetings held with the Independent Auditors:

- Evaluation of loans to customers for loans valued at amortised cost; <br> - Assessment of legal risks; <br> - Recoverability of deferred tax assets.

The Independent Auditors also provided this Control Body with the "Additional Report" (dated 24 March 2025), provided for by Article 11 of the aforementioned Regulation (EU) No 537/14. Pursuant to the same article and to Article 19, paragraph 1, letter a) of Legislative Decree no. 39/10, the Board of Statutory Auditors is required to forward this document, accompanied by its own evidence, to the Directors, together with the outcome of the audit carried out by PricewaterhouseCoopers Spa.

Based on the evidence obtained, the Independent Auditors did not identify any significant uncertainties regarding the Bank's and the Group's ability to continue as a going concern; points out, however, that neither the Directors nor the Independent Auditors can guarantee the future capacity of the Bank and the Group to continue to operate as a going concern.

This Report shows that, as part of the auditing activities carried out, no actual or suspected cases of fraud were identified and no significant issues were identified regarding cases of non-compliance, actual or presumed, with laws and regulations or provisions of the By-Laws.

In addition to this, it is noted that during the course of the audit assignment, more specifically in the process of preparing the financial statements and the consolidated financial statements, a number of areas of the internal control system requiring strengthening and/or areas requiring potential improvement were identified by the Auditor and brought to the attention of Management and the Heads of Governance activities. In this regard, the Board of Statutory Auditors, in agreement with the Independent Auditors, will constantly monitor them as part of its supervisory activities.

At the date this report was submitted, the Board of Statutory Auditors did not find any critical elements regarding the independence of the Independent Auditors or causes of incompatibility. In this sense, it also received confirmation from the Independent Auditors, expressly contained in the aforementioned reports, both in the supplemental and standard reports, that PricewaterhouseCoopers Spa has not provided services that are prohibited pursuant to art. 5, para. 1 of the aforementioned Regulation.

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With reference to the aforementioned Consob Communication no. 1025564 of 6 April 2001 and subsequent amendments, note that in 2024 the Bank granted the Independent Auditors additional assignments for "certification services" in addition to the audit, for fees in the amount of EUR 877 thousand (amount net of VAT, ancillary costs and Consob contribution), as reported in the Notes, to which reference is made for that which is not expressly reported herein.

At Group level, this amounted to EUR 952 thousand for "certification services".

The aforementioned assignments were granted in compliance with the limits established by the "Group Policy on granting and revoking assignments to the Independent Auditors", which the Bank has internally adopted and in accordance with the provisions of EU Regulation no. 537/14.

As stated in paragraph 1 of this Report, to be also noted is the proposal that this Board of Statutory Auditors submitted to the Board of Directors during the year concerning PwC's request for the integration of the fees for additional and supplementary auditing activities with respect to the independent auditor services, which were included in the initial proposal for the appointment approved by the Bank's Shareholders' Meeting on 11 April 2019.

After the end of the financial year and in connection with the overall voluntary Public Exchange Offer transaction pursuant to Articles 102 and 106 of Legislative Decree No. 58/98 promoted by Banca MPS and concerning the ordinary shares of Mediobanca Spa, the following tasks were assigned to PwC with total fees of EUR 1,900,000:

1. Fairness opinion pursuant to Article 2441 of the Italian Civil Code, Article
158 of the Consolidated Law on Finance and Article 70 of the Regulation on Issuers;

2. Voluntary report on the criteria adopted by the Board of Directors to determine the exchange ratio.

These amounts are to be considered net of VAT and expenses, which in any case may not exceed the limit of EUR 50,000 for the assignment referred to in point 1 alone.

The appointments in question were conferred by resolution of the Board of Directors with the prior authorisation of this Board of Statutory Auditors.

**3.5 Supervisory activities on the financial reporting process**

The Board of Statutory Auditors performed the functions of the Internal Control and Audit Committee envisaged for entities of public interest by the Consolidated Law on Statutory Auditing, analysing and monitoring the financial reporting process, examining and following the orderly execution of the work plan prepared by the Independent Auditors (for both financial statements as at 30 June 2024 and 31 December 2024) and verifying its adequacy with respect to the size and organisational and business complexity of the Bank.

This Control Body also interacted with the Financial Reporting Officer from whom it received assurance, including through the specific Certification Report of the Financial Statements, on the consistency between the information reported therein and the results of the accounting applications in use at the Bank. Similar dialogue was conducted for the information contained in press releases and presentations to analysts.

The matter, specifically regulated also in the Bank's internal regulations, was audited by this Board in relation to the reliability of financial information communicated by the Company.

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As part of its risk disclosure, the Bank identifies as risks of high significance the credit risk, market risk and operational risk (including legal risk), business risk and strategic risk, as well as Funding Risk and Liquidity Risk.

In the area of credit risks, the Directors placed special emphasis on the incorporation of climate and environmental risks in the determination of expected losses.

With reference to the risks related to regulatory stress test exercises, it should be noted that the Montepaschi Group has been included in the sample of banks called to carry out the next EBA EU-Wide Stress Test that will take place in the first half of 2025.

During the year, legal risks, which include all litigation, out-of-court claims and contractual risks, decreased slightly, with provisions substantially in line with the previous year.

Also in 2024, the Statutory Auditors, with the contribution of and constant discussions with the Group General Counsel and the Financial Reporting Officer, devoted special attention to this issue in order to assess its adequate monitoring, the correctness of the valuation process and the consequent recognition in the Financial Statements.

At the conclusion of this activity, the Statutory Auditors have acknowledged that, in application of the provisions of international accounting standard IAS 37, the Bank had availed itself of the option granted by the same standard not to provide detailed disclosure on the provisions set aside in the financial statements if such information may seriously jeopardise its position in disputes and in potential settlement agreements.

**<u>Management overlay</u>**

The Board of Statutory Auditors closely monitored the valuation approaches adopted by the Bank (the so-called overlay approach and post-model adjustment), within the framework of the calculation of value adjustments, which were the subject of various in-depth discussions with the relevant structures and with the Independent Auditors.

Overall, the Bank, in terms of management overlay, decided to operate, for the purposes of the Consolidated Financial Statements as at 31 December 2024, in substantial methodological continuity with what was done for the purposes of the 2023 Financial Statements. This without prejudice to the transitional nature of the aforementioned management overlays linked to the capacity of expected credit loss models to recognise emerging risks, in addition to the consideration that results deriving from models calculating expected losses are influenced by macroeconomic scenarios largely dependent on phenomena that are not fully consolidated and in any case still subject to extreme variability and uncertainty.

The management overlays used for accounting valuations as at 31 December 2024 resulted in higher adjustment provisions of about EUR 69.2 mln (up by about 28% from 31 December 2023 - about EUR 54 mln). In detail, they can be traced back to the following events:

C&E scenarios. In continuity with the previous year, the Group has factored climate-environmental risks into the ECL calculation models for the year 2024, estimating the impacts that the different transition scenarios may produce on the accounting models currently in use, taking into account that these are scenarios characterised by transition policies and

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implementation times that can significantly affect various macroeconomic indicators. The estimation of the aforementioned risks was conducted through managerial adjustments with respect to the evidence of the "core" model, resulting in an increase in expected losses of EUR 23.4 mln (EUR 38.1mln at 31 December 2023). The downward change is due to using an updated scenario in which a smaller contraction in the global economy is forecast that used for the 2023 assessments.

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| |
|:---|
| Floating-rate retail mortgages classified as stage 2. The analysis of the default rates observed in 2024 on variable-rate mortgages confirmed the signs of criticality observed in 2023, leading the Group to maintain the application of a correction on retail loans with variable-rate mortgages, determined through a sensitivity analysis carried out on the income ratio in a stress scenario. The application of this adjustment resulted in higher provisions of EUR 25.2 mln, up from the EUR 9.7 mln accrued in 2023, as a result of the increased instalment/income ratio, which factors in the impact of interest rate rises during 2024. |
| Backtesting analysis on positions classified as non-performing, which revealed, at an overall level, a conservatism of both statistical and analytical provisions, also highlighting for some clusters of the statistical LGD actual rates slightly higher than those estimated. The higher adjustments, amounting to EUR 20.6 mln as at 31 December 2024, were recognised in the income statement. |

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**<u>Valuation of tax assets – Deferred Tax Assets (DTA)</u>**

For the purpose of the valuation of the DTAs, the taxable income for future years was estimated, in line with what has been done since 30 June 2024, on the basis of the expected evolution of the Bank's income statement inferred from the income projections contained in the Group's 2024- 2028 Business Plan, approved by the Board of Directors on 5 August 2024.

As a matter of prudence, for the purposes of the valuation for the 31 December 2024 Financial Statements, the positive trend in economic results for future years outlined in the aforementioned Business Plan was limited to the first three years following the Financial Statements date (2025-2027).

In order to reflect the level of uncertainty that characterises the actual realisation of long-term forecasts, a discount factor was applied to the forecast operating results (Risk-adjusted profits approach) equal to 9%, unchanged compared to that used for the previous Financial Statements.

Income taxes for the period recorded a positive contribution of EUR 506 mln (EUR 345 mln at 31 December 2023), mainly attributable to the revaluation of DTAs, as a result of the update of the Group's income projections carried out from the second quarter onwards based on the new 2024-2028 Business Plan, net of tax relating to profit for the period.

Although not summarised here, please refer to the exhaustive information provided in "Part B" of the Notes, where reference is made to the types of risk and the related hedging policies.

In performing the supervisory duties attributed by reference regulations, this Control body verified the consistency of the specific periodic information provided to the Authority and the public with the events and occurrences noted over time, along with overall consistency with the disclosure submitted by the Directors in Board meetings and the profit and loss and financial position statements prepared during that period.

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**<u>ESMA Priorities 2024</u>**

In preparing the Consolidated Financial Statements, the Bank has also taken into account, to the extent applicable, the supervisory priorities that the European Securities and Markets Authority (ESMA) published in October 2024, with its Public Statement divided into specific sections covering financial reporting, sustainability reporting, ESEF reporting, and general considerations present in previous years' statements.

Concerning the European Single Electronic Format (ESEF) for annual financial reports, Delegated Regulation (EU) 2025/19 was published on 15 January 2025, amending the regulatory technical standards as regards the 2024 update of the taxonomy for the single electronic financial reporting format. The Group did not make use of the option to anticipate the application of the new rule; so for the 2024 financial year, the schedules and notes to the consolidated financial statements were "marked up" using the ESEF Taxonomy 2022.

**<u>Tax Credits</u>**

With reference to tax matters, the Board of Statutory Auditors notes that the item "Other Assets" in the Balance Sheet includes tax credits acquired from a third party (transferee of the tax credit) in connection with the "Cura Italia" and "Relaunch" decrees (the so-called Ecobonus and Sismabonus), as they do not represent, for the purposes of international accounting standards, tax assets, public grants, intangible assets or financial assets.

The Group purchases credits on the basis of its tax capacity with the aim of holding them and using them for future offsets; therefore, these credits are linked to a Hold to Collect Business Model and recognised at amortised cost , which takes into account the purchase price and the net accrued fees at the end of the relevant financial year, with representation of the remuneration in the interest margin over the recovery period.

The corresponding book value disclosed under the aforementioned heading "Other Assets" for the financial year 2024 amounts to about EUR 1.8 bn, with an impact of about EUR 109 mln on the item interest income.

It should also be noted that the total amount of receivables acquired and requests for assignment being processed for this category of receivables, as of 31 December 24, is in line with the estimated total tax capacity, i.e., the tax/contribution payments that the Group expects to make and that are available for offsetting with tax credits from the "Building Bonus". This valuation also takes into account the significant decrease in the estimated prospective "Tax Capacity" caused by changes to the rules underlying the use of tax credits purchased introduced by Italian Law no. 67 of 23 May 2024, which converted Italian Decree Law no. 39/24 (the tax benefits decree) into law, with amendments.

**<u>Property valuation</u>**

As at 31 December 2024, the fair values of all real estate assets were updated; the valuation methodologies applied remained unchanged from the previous valuations at 31 December 2023 and 30 June 2024.

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As regards the economic and equity impact for the MPS Group, the net negative effect for the year 2024 totalled EUR 42.7 mln, of which EUR 42.9 mln attributable to the parent company, gross of the related taxation.

**4. Supervisory activities of Sustainability Reporting**

Legislative Decree no. 125/24 (hereinafter also Decree), which transposes into Italian law the so-called Corporate Sustainability Reporting Directive (CSRD), as set forth in Directive (EU) 2022/2464, concerning corporate sustainability reporting, has reformed the previous regulations on the disclosure of non-financial information and stipulates that companies obliged to sustainability reporting must include the information necessary for understanding the impact of sustainability issues on the company and the group in a special section of the "Report on Operations".

Pursuant to this Directive, as of 31 December 2024, the Sustainability Report, prepared on a consolidated basis, is part of the Report on Operations of the consolidated financial statements, together with the Sustainability Report attestation required by Article 154--bis of Legislative Decree No. 58/98, paragraph 5-ter issued by the Financial Reporting Officer and the Chief Executive Officer.

It should be noted that for this Report, the Group was neither required to mark up the sustainability information nor to prepare the Report on Operations in XHTML, as this obligation was postponed until 31 December 2025.

For the purpose of supervising compliance with the provisions established by the regulations on Sustainability Reporting, the Board of Statutory Auditors, during the 2024 financial year, received from the Structures in charge of the relevant process, with the established periodicity, the required information flows, which were regularly discussed during its meetings, which were attended by the latter structure provides operational support to the CFO and is responsible for overseeing the sustainability reporting regulations, coordinating and implementing the related projects, as well as directing the preparation of disclosures, in continuous interaction with the Bank's various Structures. Meetings were also held with the Financial Reporting Officer and with the Independent Auditors PricewaterhouseCoopers Spa.

The consolidation perimeter of the Sustainability Report coincides with the consolidation perimeter of the Consolidated Financial Statements, and therefore includes the Parent Company BMPS and the subsidiaries consolidated on a line-by-line basis within the Consolidated Financial Statements, which are exempt from individual sustainability reporting in accordance with the provisions of Legislative Decree no. 125/24, art. 7, paragraph 1, as they are included in the consolidated Sustainability Report of the Parent Company.

In order to fully grasp the compliance of business processes with the standards required by the pro-tempore regulations in force for Sustainability Reporting, the Bank has adopted a control framework that is based on the identification of: (i) the owner functions responsible for performing line controls to ensure the completeness, accuracy, reliability and timeliness of the information provided for sustainability reporting purposes; (ii) the subsidiaries, within the reporting boundary, responsible for carrying out line controls to ensure the completeness, correctness, reliability and timeliness of the information; (iii) the Sustainability and ESG Function, which performs an annual

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dual materiality analysis in accordance with CSRD requirements in order to identify relevant and reportable datapoints; (iv) Corporate control functions entrusted with control activities in their area of responsibility; (v) the ICT Function, which oversees the process for the Information Technology component, ensuring data integrity; (vi) the Financial Reporting Officer and the Chief Executive Officer expressing an opinion on the compliance of the Sustainability Report with the reporting standards applied pursuant to Directive 2013/34/EU and Legislative Decree No. 125 of 6 September 2024, by means of a statement of compliance.

Also taking into account the indications provided by the National Council of Chartered Accountants as well as Assonime Circular no. 21 of 7 November 2024 ("The new rules on corporate reporting and disclosure obligations in the field of sustainability"), the Board of Statutory Auditors paid particular attention to the activities implemented by the Bank, which have led to significant changes for the Group, in terms of processes, contents and methodologies, in order to comply with the new regulatory provisions on Sustainability Reporting with specific regard to responsibilities in the field of sustainability, distributed among the Bodies and Functions of the Bank according to four guidelines: strategy, actions and policies, risk factor management, monitoring and reporting.

During the 2024 financial year, this Control Body, also through the participation of its members in the Risk and Sustainability Committee, as well as in the Board of Directors, took note of the information flows provided to the Governance Bodies, both quantitative and qualitative, functional to the definition of the Sustainability Report and the new methodology adopted for the dual materiality analysis, aligned with the regulatory requirements of the European Sustainability Reporting Standards (ESRS), the reference guidelines and the Group's internal developments.

The process adopted for the purpose of conducting the double materiality analysis, which presents a greater degree of detail compared to the analysis presented in the "Consolidated Non-Financial Statement 2023", was developed in accordance with both the reference standards and the Group's business context and through a dialogue with stakeholders.

The Board of Statutory Auditors has acknowledged that, pursuant to Article 154-bis, paragraph 5-ter, of the Consolidated Law on Financial Intermediation, the Financial Reporting Officer, together with the Chief Executive Officer, certify, in a specific Report, that the Sustainability Reporting included in the Report on Operations has been prepared in accordance with the reporting standards applied pursuant to Directive 2013/34/EU of the European Parliament and of the Council, of 26 June 2013 and the legislative decree adopted in implementation of Art. 13 of Law No. 15 of 21 February 2024 and with the specifications adopted pursuant to Article 8(4) of Regulation (EU) 2020/852 of the European Parliament and of the Council of 18 June 2020.

In this regard, this Control Body met periodically with the Financial Reporting Officer, who initiated, in particular, the "Control Law 262 and Tax Compliance" Structure, in view of the new regulatory obligations, starting from the first half of 2024, an activity of study, in-depth analysis and analysis of the new sustainability reporting standards (ESRS) and took part in the CSRD Project Working Group - New Sustainability Reporting, together with the contacts of the Financial Reporting and Accounting Function and the Sustainability and ESG Staff.

During the course of the year, as reported to the Board of Statutory Auditors, the same Structure conducted: (i) adequacy and effectiveness checks to support internal certification of compliance of Sustainability Reporting; (ii) analysis aimed at implanting the first set of controls on the Sustainability Reporting process; (iii) checks on the overall compliance of sustainability disclosures

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with ESRS standards in order to ensure consistency between the outcomes of the double materiality, the scope of datapoints considered relevant for reporting purposes and the disclosures made with respect to what is required by regulations.

Considering that the control model adopted for the 2024 financial year represents the first definition of the model set up for the purpose of preparing the Sustainability Report in the FTA (Fault Tree Analysis) phase, the Board of Statutory Auditors positively assesses the suggested methodological refinements that will be implemented by the Structure for a more precise verification of the compliance of the Sustainability Report with the reference regulations and ESRS standards.

Given the activities carried out, the Financial Reporting Officer did not report any significant critical issues that could affect the opinion on the issuance of the certification of compliance with the reporting standards pursuant to Directive 2013/34/EU, Legislative Decree no. 125 of 6 September 2024 and EU Regulation 2020/852.

The main issues brought to the attention of the Control Body by the Financial Reporting Officer, as possible areas for improvement on sustainability reporting to be further investigated during the 2025 financial year, specifically relate to the following: (i) possible methodological developments on double materiality analysis; (ii) IT implementations (reduction of manual labour for feeding taxonomy tables and formalisation of sustainability expenditure); (iii) formalisation in corporate law of the new Sustainability Reporting process with roles and responsibilities; (iv) integration of the system of controls.

Similarly, the Board of Statutory Auditors monitored the certification activities of the Sustainability Report by setting up a regular exchange of information flows with the Independent Auditors PwC and sharing with the auditors the methodological framework adopted for the purpose of carrying out the aforementioned assignment.

At the conclusion of the independent verification activities conducted by PwC, the Board of Statutory Auditors acknowledges the contents of the relevant Report on the Limited Examination of the Sustainability Report for the year ended 31 December 2024, which certifies that no evidence has come to its attention that would suggest that:

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| |
|:---|
| the Sustainability Report of the MPS Group has not been prepared, in all significant aspects, in accordance with the reporting standards adopted by the European Commission pursuant to Directive 2013/34/EU (European Sustainability Reporting Standards "ESRS"); |
| the information contained in the paragraph "Disclosure pursuant to Article 8 of Regulation (EU) 2020/852 (EU Taxonomy Regulation)" of the consolidated sustainability report has not been prepared, in all material respects, in accordance with the aforementioned Article 8. |

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PwC also certifies that, in the course of its own verification activities relating to Sustainability Reporting, no elements of non-compliance and/or violation of the relevant regulatory provisions came to its attention.

PricewaterhouseCoopers, after the filing date of this Report, will issue a Letter of Suggestion in a manner and timing to be agreed with the Bank's Management.

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**Conclusions**

The Board of Statutory Auditors, therefore:

. having acknowledged the certification of the Financial Reporting Officer;

. having acknowledged the contents of the Independent Auditors' Report on the Montepaschi Group's Sustainability Reporting for the year ended 31 December 2024,

certifies that, in the course of its own verification activities relating to Sustainability Reporting, no elements of non-compliance and/or violation of the relevant regulatory provisions came to its attention.

As part of the performance of its assigned supervisory tasks, this Control Body also monitors compliance with the requirements in terms of publicity of the Sustainability Report, verifying that the same information included in the Report on Operations, as well as the report certifying compliance pursuant to Article 14-bis of Legislative Decree No. 39 of 27 January 2010, are published in the manner and within the time limits set forth in articles 2429 and 2435 of the Italian Civil Code and on the Bank's website.

**5. Remuneration policies**

In 2024, the Board of Statutory Auditors monitored the remuneration aspects that characterise the MPS Group, through the constant participation of the Statutory Auditors in the meetings of the Remuneration Committee, taking note of the activities (depending on the case, preliminary, consultative and propositional) carried out by the aforementioned Board Committee, also for the purpose of issuing the opinions required by the relevant regulations.

The Board of Statutory Auditors has acknowledged that the Board of Directors, on the proposal submitted by the Remuneration Committee and upon receiving the opinion of the Risk and Sustainability Committee, at the meeting of 14 March 2025, has approved, to the extent of its area of competence pursuant to the legislation in force at the time, the Report on the Remuneration Policy and Compensation Paid to MPS Group personnel, including the following two sections: "2025 Group Remuneration and Incentive Policy 2025" and "Compensation Paid".

This Report, which fulfils the disclosure obligations provided for by Consob regulations and the Bank of Italy's Supervisory Provisions, will be submitted for approval to the Shareholders' Meeting called for 17 April 2025.

In particular, the Board of Statutory Auditors reserved specific interest for the remuneration paid to the Corporate Officers appointed as members of the newly-established IT and Digitalisation Committee, which was defined in a logic of continuity and consistency with the remuneration already envisaged for the members of the Appointments, Remuneration and Related Party Transactions Committees.

The 2025 remuneration policies, defined in substantial continuity with 2024, incentivising merit and the achievement of strategic objectives, through a fair and measurable system that values individual and collective performance, are found to fully support the 2024-2028 Business Plan. Confirming, moreover, the Bank's constant commitment and the central role of diversity and inclusion in its human capital development strategy, it is worth noting that it has maintained its Gender Equality Certification for the year 2024, with a significant improvement in its rating compared to the previous year.

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Faced with Consob Warning Notice of 11 February 2025 on the subject of "Compliance with 'sustainable finance' obligations by managers", complementary to the Commission's call for attention no. 1/24 of 25 July 2024, the Board of Statutory Auditors has acknowledged that the variable remuneration system of all the Bank's employees also considers ESG issues among its non-financial objectives, through a specific objective consisting of various KPIs that do not, however, concern the provision of investment services.

The incentive system envisaged for 2025, compared to 2024, confirming the bonus pool funding approach in close correlation with the results achieved and the prospective riskiness, has the purpose of supporting the focus of the Group's personnel on the achievement of the objectives defined in the 2024-2028 Business Plan.

With regard to the allocation of variable remuneration, the 2025 remuneration policies provide that such instruments, in addition to being gender-neutral, are also activated to the extent that there is economic capacity within the values envisaged in the 2025 RAS and, in particular, within the overall annual allocation for variable remuneration determined in accordance with the Supervisory Provisions.

In light of the Supervisory Provisions, the Board of Statutory Auditors acknowledges that the 2025 remuneration policies provide that the combination of fixed and variable components (pay mix) is established in advance for each sub-category of staff, so as not to induce risky, short-term oriented behaviour.

Following the finalisation by the MEF of the further sale of the shareholding (which took place with two separate transactions in March and November 2024), the shareholding held in Banca MPS stood at approximately 11.7% of the share capital with the consequent fulfilment of Commitment No. 12. As officially communicated by the European Commission, some Commitments, including Commitment No. 5 ("Remuneration of the Bank's Employees and Managers") ceased as a consequence of the aforesaid sale.

To complement the remuneration offer, in continuation of what was recognised in 2024, the remuneration policies for 2025 provide for: (i) an incentive system dedicated to the Identified Staff (PPR) and other key staff and (ii) incentive systems for other personnel.

In particular, in line with applicable regulations and supervisory guidelines on the matter, the Group's Remuneration Policies provide that a portion of any variable remuneration to be paid to the Identified Staff is to be paid in financial instruments and, in particular, shares or instruments linked to them.

The incentive system dedicated to the remaining Group personnel, the allocation of which is in any case subject to the achievement of annual targets at Group and Structure level, including non-financial targets, also taking into account the professional contribution and the activities performed, also includes a bonus system, defined with a specific trade union agreement, which may also provide for welfare payments.

The Board of Statutory Auditors, also availing itself of the discussions with the Human Resources Function, has acknowledged that the 2025 incentive system, in compliance with the current regulations on "Transparency of banking and financial transactions and services", as well as the recent updates on MIFID, not being based solely on commercial objectives, is consistent with the

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company's values and long-term strategies, inspired by criteria of diligence, transparency and fairness in relations with customers, containment of legal and reputational risks, and protection and customer loyalty.

In line with what was proposed in the previous financial year and in compliance with the applicable regulations and supervisory guidelines on the subject, the proposals on the 2025 Incentive System and on the Plan to use "Phantom Shares" will be submitted to the Shareholders' Meeting of 17 April 2025 to meet possible future commitments related to the payment of given amounts as an incentive for the achievement of previously set objectives and for the early termination of employment or early termination of office (severance pay) intended for the "Identified Staff" of the Group Companies.

In this regard, it should be noted that the proposals drawn up by the Remuneration Committee were approved by the Board of Directors on 14 March 2025, with the positive opinion of the Risk and Sustainability Committee and, having regard to the positions of the Chief Executive Officer and General Manager, pursuant to the provisions set forth in articles 2389 of the Italian Civil Code and 26 of the By-Laws, of the Board of Statutory Auditors.

At the same Board meeting, the Remuneration Committee also submitted the managerial performance evaluations and the 2024 bonus of the Control Functions, the Deputy Chief Commercial Officer, the Chief Financial Officer, the Financial Reporting Officer and the Chief Executive Officer/General Manager. For the latter, with reference to the 2024 bonus, this Board of Statutory Auditors has issued a specific opinion, pursuant to the aforementioned articles.

The Board of Statutory Auditors points out that as evidence of the Bank's policies to enhance diversity and the inclusion of human capital, with a particular focus on the gradual and substantial reduction of the gender pay gap, in 2024, 56.5% of staff remuneration interventions were made in favour of the female gender.

This Control Body has acknowledged the opinion issued by the Compliance Function on the assessment of the conformity of the remuneration and incentive policies with the regulatory framework and the Supervisory provisions. The Compliance Function also carried out additional activities and checks in the financial year 2024 to ascertain the actual compliance of the incentive scheme with the regulations. All the activities carried out lead to an assessment compliant with both the aspects of competence relating to the implementation of the 2024 Policies, and with regard to the proposed 2025 Remuneration Policies.

The Board of Statutory Auditors also examined the report of the Audit Function, which accounts for the findings of the audits it conducted in 2024 on the implementation of the Group's remuneration and incentive system: (i) the compliance of remuneration practices with the policies approved by the Shareholders' Meeting on 11 April 2024, as well as with relevant external regulations; (ii) the adequacy of the process followed to define the 2025 Remuneration and Incentive Policies.

The Risk Control Function also considered that the planned remuneration and incentive policies and the consequent forms of variable remuneration reported in the Remuneration Report for 2025, are on the whole consistent with the Montepaschi Group's Risk Appetite Framework and with the numerical thresholds expressed in the Group's Risk Appetite Statement and related cascading down for the year 2025 (RAS 2025) approved by the Board of Directors.

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The Board of Statutory Auditors noted that the Risk Management Function also verified the remediation of some specific recommendations formulated by the Supervisor during the SREP Decision 2024 regarding the remuneration framework, among which the expansion of the Group's "gate" system to include the new indicator MREL Overall Requirement on TREA, which must be greater than the Risk Tolerance RAS 2025.

For the purposes of the Report, although the aforementioned specific gate on MREL compliance was introduced this year, the Risk Management Function nevertheless verified - for greater conservatism - that compliance with all regulatory constraints was explicitly mentioned for the disbursement of any form of variable remuneration.

**6. Other information**

**6.1 Relations with subsidiaries**

Relations within the Montepaschi Group are managed on the basis of a "Group Operating Governance Regulation", which governs and coordinates the Group's activities and ensures the achievement of results through defined rules and clear mechanisms for assigning management responsibilities, in compliance with the instructions issued by the Supervisory Authorities in the interest of the Group's stability.

During the 2024 financial year, the Board of Statutory Auditors regularly monitored the adequacy of the instructions given to the Subsidiaries, also pursuant to Article 114, paragraph 2, of the Consolidated Law on Finance, availing itself of the support of the Parent Company's Corporate Control Functions, also by virtue of the centralisation of the corresponding Functions of the Italian subsidiaries (Widiba and MPS Fiduciaria).

This Control Body acquired periodic information flows during the year concerning the evolution of the process of the sale of the Subsidiary "Monte Paschi Banque S.A.", as well as the relative accounting in the Financial Statements, as better detailed in paragraph 2.1.

During 2024, the Board of Statutory Auditors was in constant contact with the corresponding control bodies of the companies. This initiative, for the subsidiary MPS Fiduciaria, was also facilitated by the fact that Ms Linguanti also holds the same office of Statutory Auditor in the aforementioned Company.

As also provided for by Art. 151, paragraph 2 of the Consolidated Law on Finance and the Supervisory Provisions of the Bank of Italy, during the financial year and in the first months of 2025, special meetings were held with the Boards of Statutory Auditors of the main Subsidiaries, during which attention was focused, in particular, on the general performance of the Company's business, any observations on the financial statements, the outcomes of the meetings with the appointed independent auditors, the functioning of the internal control system, risk controls, governance and any irregularities encountered in the performance of activities by the independent auditors, and intragroup information flows.

Taking into account the relations with the corresponding Control Bodies of the aforementioned Subsidiaries, as well as the evidence presented by the Parent Company's FACs, from which no critical issues worthy of reporting emerged, the Board of Statutory Auditors has no observations

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to make on the adequacy of the internal regulations necessary to acquire sufficient information flows to ensure the timely fulfilment of the reporting obligations required by law.

**6.2 Audits by Supervisory Authorities**

As part of the prudential supervision programme adopted by the ECB, to which the Parent Company is subject, reference is made below to the inspection activities carried out by the Supervisory Authority during 2024 and the main communications with the same, referable to inspections carried out in previous years.

In the latter area, all activities under the Action Plan defined following the ECB's 2022 inspection of credit and counterparty risk (OSI-2022-ITMPS-0198380) were completed in the first half of 2024; effective closure of remedial actions was also confirmed by the asseveration activities conducted by the Audit Function.

As at 30 June 2024, on schedule, the implementation of remedial actions related to the 2022 Targeted Review on Residential Real Estate was also completed, aimed at analysing the risk management methods for the retail residential mortgage portfolio.

In October 2024, the Bank was included in a Deep Dive audit on UTP loans, with a focus on governance and monitoring processes and a specific credit file review; the Parent Company received the draft letter in February 2025 and is awaiting final letter.

Remaining in the area of credit, from November 2024 until the end of February 2025, the ECB carried out a new inspection activity (OSI 0240556) related to the SME segment, which focused on compliance with IFRS9, the examination of credit processes and the conduct of a specific Credit Quality Review, the results of which are not yet known.

In December 2024, the Bank was informed about the start of an on-site audit on Internal Governance and Risk Management (OSI 0259894) as of February 2025, which is part of the Supervisory Programme 2025. On 24 February, the kick-off meeting took place, the inspection will last about 12 weeks and its results will be considered in the framework of the SREP Decision 2026.

With reference to the inspections on internal models for measuring credit risk - the so-called IMI "Internal Model Investigation" - during the year the Bank completed the implementation of the remedial action plans related respectively to the inspections (i) IMI-0227377 of 2023, concerning the extension of the advanced models on credit risk to the WIDIBA Subsidiary and (ii) IMI-0197502 of 2022, on the Model Change 2021 request for authorisation of material changes on credit risk models.

On 9 December 2024, an on-site inspection was initiated by the ECB to assess the Bank's application for a Model Change (MC 2024) for credit risk models.

In 2024, the Group continued to implement the plan to integrate climate and environmental risks (C&E) into the risk management framework, in line with recommendation received from the ECB as part of the specific Thematic Review launched at the beginning of 2022.

In particular, in order to pursue a further strengthening of certain environmental risk issues, with particular reference to non-climate environmental risk factors, as indicated by the Supervisory Authority in the Feedback Letter transmitted on 10 July 2024, the Group set up a specific plan of activities, all of which were completed during 2024.

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During the first quarter of 2024, the Parent Company also participated, together with 108 other banks (of which 11 Italian), in the data collection exercise "Fit-for-55 climate risk scenario analysis" conducted by the EBA, jointly with the ECB and SRB, aimed at assessing the progress made by banks in managing C&E risk data and aligning to best practices in this area; this revealed a good data collection capacity (both actual and estimated) on the part of the Bank, with results essentially in line with the peer group, both in terms of energy classification and emissions.

In the area of operational resilience, the Bank was selected by the ECB to participate in the 2024 cyber resilience Stress Test, aimed at assessing digital operational resilience in the event of a serious cyber security threat. In July, the ECB communicated the outcome of the exercise, highlighting five findings: the related remedial activities, which have already started and are part of the programme to strengthen the IT security posture and the project to comply with the DORA Regulation, will be concluded in 2025, based on a programme agreed with the Supervisory Authority.

During the second half of the year, the Supervision Authority conducted further investigations on the same topic of operational resilience; in fact, two Targeted Reviews were conducted, in the form of a self-assessment questionnaire, aimed respectively at analysing Cyber Resiliency and Outsourcing processes; its outcomes are expected by the first half of 2025.

During the second half of the year, the Bank was included in a Deep Dive audit on the digital transformation process, in order to verify the adherence of the adopted strategy and implemented processes to the expectations of the Supervisory Authority; the Draft Feedback Letter on the results of the audits was received, pending the final version.

Finally, the Bank's participation in the EBA EU-Wide Stress Test 2025 exercise was formalised, aimed at assessing the resilience of the European banking sector against hypothetical scenarios of geopolitical tensions and macroeconomic shocks; activities started in January 2025 and the results will be announced at the end of the first half of 2025.

The main communications with the national Supervisory Authorities are described below.

From 10 June 2024 until 9 August 2024, the Bank of Italy conducted an on-site inspection on Anti-Money Laundering matters, with the main focus on the renewal process of due diligence, the results of which were released on 12 December 2024. In this regard, a specific Action Plan has been defined and the activities summarised in it are being implemented.

In October 2024, an on-site inspection was carried out by the Data Protection Authority in order to verify compliance with data protection provisions, mainly focused on GDPR compliance and monitoring access to customers' economic and asset data. The Authority itself has not yet transmitted the results.

With regard to investment services, 2024 was characterised by the completion in November of the Action Plan that had been defined following the Inspection conducted by Consob on investment services from 3 May 2022 to 17 February 2023.

The Board of Statutory Auditors also carefully followed the set of discussions that the competent Bank Functions had with the Supervisory Authorities with regard to specific issues subject to inspections by the same Authorities.

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**6.3 Complaints and petitions**

In the period between 1 January 2024 and up to the date of filing of this Report (24 March 2025), two complaints pursuant to Article 2408 of the Italian Civil Code have been brought to the attention of this Board of Statutory Auditors.

In the first complaint, Mr Michele Di Bari, a shareholder of BMPS as holder of 1 ordinary share, in a nutshell: (i) advanced the request for information and certification of the nominal and unit value of the share issued by the Bank in execution of the reverse split of the ordinary shares preparatory to the share capital increase carried out in 2022 and (ii) claimed the allocation of the corresponding corporate dividend paid by BMPS on 22 May 2024.

With reference to this complaint, the Board of Statutory Auditors, after having preliminarily ascertained the status of shareholder and the occurrence of the prerequisites set forth in the first paragraph of Article 2408 of the Italian Civil Code, conducted the necessary in-depth investigations to verify the possible relevance and grounds of the grievances represented.

As a result of these investigations, the Control Body was able to find that the complaint filed by Mr Di Bari, which was vague due to the lack of clarity of its content, was unfounded in fact and in law. The general feedback provided by the Bank, to which the complaint was - among others - addressed, was correct.

The second complaint was filed, after the end of the financial year but before the filing of this Report, by Mr Marino Tommaso who, after the announcement by BMPS of the total and voluntary Public Exchange Offer operation involving the shares of Mediobanca Spa, asked to verify the reasons why the MPS share had fallen by about 10% and whether BMPS had considered the buyback possibility that Mediobanca had reserved for itself until June 2025.

Also in this case, the Board of Statutory Auditors verified the status of shareholder of the complainant, bearer of 1 ordinary share and, therefore, the occurrence of the prerequisites set forth in the first paragraph of Article 2408 of the Italian Civil Code.

At the end of its investigations, the Board of Statutory Auditors concluded that, in the circumstances highlighted by the shareholder, no censurable facts or, even less, circumstances constituting the prerequisites set forth in Article 2409 of the Italian Civil Code could be identified.

**6.4 Corporate governance and the Corporate Governance Code**

The overall "corporate governance" framework of the MPS Group is defined in accordance with the regulations in force, as well as the recommendations contained in the Corporate Governance Code, to which the Bank adheres.

The full application of the Principles and Recommendations of the Code, entails a balanced composition of the corporate bodies, the appropriate assignment of powers, the balanced differentiation of roles and responsibilities, as well as the prevention of conflicts of interest, and it bases its organisational foundations on effective controls, the identification and monitoring of all enterprise risks, adequate information flows and on corporate social responsibility and sustainability.

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The Board of Statutory Auditors has taken note of the information provided in the Annual Report on corporate governance and ownership structure for the year 2024, approved by the Board of Directors at its meeting on 14 March 2025, and has verified its compliance with art. 123-bis of the TUF, with the standard most recently released by Borsa Italiana, ascertaining the adequacy and completeness of the information contained therein as well as compliance with the provisions contained in the aforementioned Corporate Governance Code for Listed Companies.

The Board of Statutory Auditors, in consideration of its responsibility to supervise the methods of concrete implementation of the Code, has verified that the above-mentioned Report on Corporate Governance and Ownership Structure contains evidence of the "2024 Report" and the "Recommendations of the Committee for 2025" addressed to Italian listed companies by the Italian Corporate Governance Committee in a letter dated 17 December 2024.

In detail, the Board of Statutory Auditors acknowledged the results of the analysis conducted on the aforementioned Recommendations by the Board of Directors, expressed during the meeting of 14 March 2025, during which the Strategic Supervisory Board confirmed the substantial consistency of the corporate governance model adopted by the Bank with the Principles and Recommendations of the Corporate Governance Code. With regard to the indications contained in the Recommendations for 2025, concerning the completeness and timeliness of pre-meeting disclosures, the transparency and effectiveness of the remuneration policy, and the executive role of the Chairman, this Control Body has noted that the aforementioned Report contains details of the results of the analyses conducted, based on the "comply or explain" principle, according to which deviation from each recommendation of the Code must be clearly indicated, explaining the reasons that may be linked to factors internal and external to the Issuer, according to which the practice recommended by the Code may not be functional or compatible with its governance model.

The corporate governance system was also outlined in compliance with current regulations of the Code, banking and financial supervision. As a listed company and Parent Company of the Montepaschi Group, BMPS complies with Italian and supranational regulatory requirements for issuers of securities listed on a regulated market; as a bank, is subject to the laws, regulations and supervisory rules applicable to banks and banking groups.

Based on the criteria laid down in the Supervisory provisions concerning the corporate governance of banks, BMPS is a significant bank in terms of size and operational complexity and is subject to the prudential supervision of the European Central Bank.

The corporate governance adopted is broken down into coordinated rules and structures functional to the performance of the Bank's activities and the pursuit of its strategies, guaranteeing transparent and accurate management of internal relationships amongst the various bodies and functions of the Company and between the latter and its shareholders, investors and other stakeholders relevant to the Bank.

The Bank and the Montepaschi Group adopt a Code of Ethics that forms the foundation of the Group's activities, which is also an important governance tool and an essential and integral part of Model 231. Its implementation is monitored and verified under the internal control system.

This Control Body, within the scope of the tasks assigned to it, has taken note of the proposed amendments to Articles 14 and 15 of the By-Laws, resolved upon by the Board of Directors in

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December 2024, authorised by the European Central Bank by means of a Decision sent to the Issuer on 13 March 2025 and which will be submitted to the Shareholders' Meeting called for 17 April 2024.

The proposed amendments, which are aimed at aligning the text of the By-Laws with the new regulatory framework and increasing the effectiveness and efficiency of the Bank's governance processes, introduce (i) in Article 14, the power reserved to the Board of Directors to identify a Designated Representative when calling each Shareholders' Meeting, whether ordinary or extraordinary, and (ii) in Article 15, a simplification of the process for co-opting new company directors.

In compliance with the Supervisory Provisions and related specific Regulation, the Board of Statutory Auditors, appointed for the three-year period 2023-2025 by the Shareholders' Meeting of 20 April 2023 and integrated by the Shareholders' Meeting of 11 April 2024, underwent the self-assessment process for the financial year 2024, availing itself of the assistance of an external, independent advisor, expert in corporate governance practices and appointed in agreement with the Board of Directors for carrying out the relevant activities.

On 11 February 2025, the Board of Statutory Auditors concluded said self-assessment process on its adequacy in terms of composition and on the proper and effective functioning of the Body. The Board of Statutory Auditors, also on the basis of what was concluded by the advisor, who presented a document containing the results from the assessment activity performed and from which no specific areas for improvement of the operations of said Body are identified, has assessed its current composition as adequate, also in light of the diversity in terms of skills, expertise and experience, as well as gender, which ensure the effective functioning of the Body on an ongoing basis. In any case, taking a cue from the results of the assessment, the Board also formulated some considerations functional to an increasingly effective development of its operations.

As set forth in the Corporate Governance Code, the Board of Statutory Auditors has verified the correct application of the criteria and procedures aimed at meeting the requirements adopted by the Board of Directors for the annual evaluation of the independence of its non-executive members.

Similarly, the Board of Statutory Auditors also confirmed that its members meet the same requirements, moreover, introducing the adoption of adequate internal safeguards for the prevention of any potential conflict of interest which could alter its regular functioning; informing the Supervisory Authorities concerned.

The Board of Statutory Auditors verified its composition and outcomes of this verification, communicated to the Board of Directors as provided for by the same Code, confirm that all members of the Board of Statutory Auditors of the Bank meet the legal and regulatory requirements.

Pursuant to the provisions of the By-Laws and the applicable self-regulatory regulations, within the Board of Directors four Board Committees are established, with advisory and proposal functions: Risk and Sustainability Committee, Appointments Committee, Remuneration Committee, Related Party Transactions Committee. In September 2024, a fifth committee called the IT and Digitalisation Committee was established.

The Board Committees are composed of between three and five non-executive directors, the majority of whom are independent, with the exception of the Related Party Transactions Committee composed exclusively of independent directors. The members are chosen by ensuring

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the presence of at least one member belonging to the least represented gender in the Board and at least one director elected by the minorities (if any), consistent with the skills required to hold office and to ensure the effective performance of the relevant tasks. The Committees have adopted their own regulations, duly approved with specific resolutions of the Board of Directors.

The current composition of the Board Committees is compliant with the provisions of the By-Laws.

Constant and accurate information was exchanged with the Risk and Sustainability Committee, whose meetings are attended by all Statutory Auditors. In accordance with the Regulation of this Committee, at least the Chairman of the Board of Statutory Auditors or an Auditor designated thereby participate in the work of the committee. During the year, when deemed necessary, joint meetings of the Risk and Sustainability Committee were held with the Board of Statutory Auditors, also in order to guarantee a coordinated and timely review of the matters of common interest, encouraging their effective discussion in the joint presence of the Functions concerned.

The Board of Statutory Auditors also constantly attended the meetings of the Related Party Transactions Committee, the Appointments Committee, the Remuneration Committee and the IT and Digitalisation Committee.

On 12 December 2024, at the unanimous request of the independent directors, the Board of Directors appointed, with the abstention of the interested party, Ms Paola De Martini, independent Director, as Lead Independent Director of the Bank, in office until the expiration of the Board and therefore until the Shareholders' Meeting to be called to approve the Bank's Financial Statements for the year ended 31 December 2025.

The Board of Statutory Auditors also took note of the process followed by the Bank in identifying five new company directors to be co-opted following the resignation of five independent directors on 17 December 2024, in compliance with its "Policy of Dialogue with Shareholders and Investors".

With the unanimous resolution of the Strategic Supervisory Board and the positive opinion of the Board of Statutory Auditors, five new company directors were co-opted, pursuant to Article 2386 of the Italian Civil Code, confirming the consistency of the Board's collective composition with the criteria of adequate composition and collective diversification of the body: Mr Alessandro Caltagirone, Ms Elena De Simone, Ms Marcella Panucci, Ms Francesca Paramico Renzulli and Ms Barbara Tadolini.

Following the aforementioned reintegration of the Board of Directors, on 6 February the same body resolved on the new composition of the Board Committees and appointed their members.

The new Company Directors will remain in office until the Shareholders' Meeting called to approve the Financial Statements for the year 2024, which will have to make the necessary resolutions as provided for in Article 2386 of the Italian Civil Code.

The Board of Directors has set up a Supervisory Board 231/01 in charge of overseeing the functioning of and compliance with the 231 Model, as well as of ensuring that it is kept up to date. Information Flows are sent to this Board so that it can carry out constant monitoring of the activities at risk of commission of offences pursuant to Italian Legislative Decree 231/01, both concerning the Bank and its main Subsidiaries.

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The Supervisory Board 231, a collective body separate from the Board of Statutory Auditors, is composed of three members (meeting the requirements of integrity and professionalism), two of whom are external professionals, Ms Romina Guglielmetti and Mr Gianluca Tognozzi, and a Board Member, Ms Paola De Martini - appointed on 5 February 2025 to replace the resigning Mr Paolo Fabris De Fabris - with independence characteristics in accordance with the requirements set forth by the Corporate Governance Code. This Body has its own internal regulation governing its functions, composition and operating methods, as well as information flows with the Board of Directors and the Board of Statutory Auditors.

In this regard, in order to ensure the most complete performance of control activities, the functional and information liaison between the Board of Statutory Auditors and the Supervisory Board is ensured not only by the periodic exchange of the appropriate information flows, but also by the fact that the minutes of the Board's meetings, once approved, are transmitted and brought to the attention of the Board of Statutory Auditors. In this context, the Board of Statutory Auditors acknowledged the adequacy and effectiveness of the organisational model adopted pursuant to the relevant regulations.

**6.5 Mediobanca Public Exchange Offer**

On 24 January 2025, the Bank, pursuant to Article 102 of Legislative Decree No. 58/98 (Consolidated Law on Finance) and Article 37 of the Regulations adopted by Consob with resolution No. 11971 of 14 May 1999 (Issuers' Regulations), announced that on 23 January 2025 it had taken the decision to promote a voluntary, all-inclusive Public Exchange Offer pursuant to Articles. 102 and 106 of the TUF concerning all of the ordinary shares of Mediobanca - Banca di Credito Finanziario Spa amounting to 833,279,689 ordinary shares, representing 100% of the share capital and shares of Mediobanca Spa itself.

For each Mediobanca share tendered to the Offer, Banca Monte dei Paschi will offer a unit price of 2.3 newly issued ordinary shares or 23 shares for every 10 Mediobanca shares.

The Shareholders' Meeting convened for next 17 April is called to approve under item no. 1 on the agenda of the extraordinary part (i) the proposal to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Bank's share capital in one or more tranches, in a divisible manner, with the exclusion of option rights pursuant to Article 2441 of the Italian Civil Code, paragraph 4, first sentence, with the issue of a maximum number of 2,230,000,000 ordinary shares for a maximum amount of share capital equal to EUR 13,194,910,000, in addition to any overpricing to be released by means of a contribution in kind at the service of the voluntary Public Exchange Offer by Banca Monte dei Paschi di Siena for all the ordinary shares of Mediobanca Spa; (ii) the consequent amendment of Article 6 of the By-Laws.

For the purposes of the capital increase at the service of the Offer, the Board of Directors of MPS applied the civil law rules for the valuation of the Issuer's shares to be contributed.

In particular, the Bank appointed KPMG Corporate Finance, a division of KPMG Advisory Spa, to valuation the shares of Mediobanca, availing itself of the discipline set forth in Article 2343-ter of the Italian Civil Code, which concluded that the fair value of the aforementioned shares was not less than EUR 16.406 cum dividend or EUR 15.852 ex dividend.

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The Bank's Board of Directors also mandated the Independent Auditors PricewaterhouseCoopers to prepare, on a voluntary basis and in accordance with the criteria set forth in ISAE 3000 "revisedlimited assurance engagement", a report on the adequacy of the criteria adopted by the Board for determining the exchange ratio.

As a result of its activities, PwC concluded that no evidence had come to its attention that would suggest that the criteria adopted by the directors of MPS for the determination of the exchange ratio were not appropriate and that they had not been correctly applied.

For a complete examination, please refer to the "Explanatory Report of the Board of Directors on item no. 1 on the agenda of the Extraordinary Shareholders' Meeting of 17 April 2025" drafted pursuant to Article 125-ter of the Consolidated Law on Finance and Article 70 of the Issuers' Regulation published on 18 March 2025.

The Transaction is subject to the prior authorisations required by applicable law and industry regulations. On 13 February 2025, MPS filed the Offer Document with Consob. On the same date, the Bank submitted the following to the competent authorities: (i) the petitions to obtain the authorisations required by the sector regulations in relation to the Offer pursuant to Article 102, paragraph 4 of the TUF and Article 37-ter, paragraph 1, letter b) of the Issuers' Regulations, and (ii) the notifications/communiques on antitrust and golden power matters.

The approval of the Offer Document by Consob, pursuant to Article 102, paragraph 4 of the Consolidated Law on Finance, may take place only after obtaining each of the prior authorisations by the respective competent authorities. At the closing date of this Report, the necessary negotiations with the same authorities to obtain these authorisations were still ongoing.

It should be noted that Banca MPS has prepared and published, pursuant to the Consob Regulation containing provisions on Related Party Transactions (RPTs), a similar Regulation of its own and the Bank of Italy Circular No. 285/13, a specific Information Document in order to provide shareholders and the market with the information required by the aforementioned regulations on the Capital Increase Transaction at the service of the Offer in question.

In fact, the Committee for Transactions with Related Parties deemed its competence regarding the Transaction to exist on the basis of an approach of maximum transparency and guarantee of fairness, considering the significance of the Transaction itself.

The capital increase is reserved to the shareholders of Mediobanca who will adhere to the Offer and, consequently, the assessment as to the application of the safeguards set forth in the Consob RPT Regulations and the MPS Regulations is a consequence of the circumstance that certain persons, having significant shareholdings in MPS, in excess of 3%, are also in the legitimate position of holding significant shareholdings in Mediobanca and, therefore, fall within the definition of "discretionary" related parties.

This increase therefore qualifies as a related-party transaction, as it is reserved for subscription by Mediobanca's shareholders (which include Delfin and Caltagirone with a stake of over 3%). The right of the latter to be able to analyse the Transaction from different perspectives and at different times, being at the same time shareholders in MPS and, with even higher percentages, in Mediobanca, constituted a central element in the analyses carried out for the purposes of applying the measures and safeguards required by the Consob RPT Regulation and the MPS Regulation.

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For the sake of completeness, the Bank clarified that all evaluations on the advisability of implementing the Transaction were carried out in full autonomy by the Bank's top management, taking into account that no party, given the intrinsic structure of the Transaction, being a voluntary public exchange offer not previously agreed upon, could have been involved in any kind of negotiation.

The Bank is also preparing for the benefit of the Shareholders' Meeting called for 17 April next the Information Document required by Article 70, paragraph 7, letter b) of the Issuers' Regulation No. 11971/99 with a specific illustration of the risks inherent in the Transaction.

\* \* \*

The Board of Statutory Auditors has carefully monitored, ever since the board meeting that resolved to promote the Offer in question, every phase of the process implemented by the Bank, with particular regard to compliance with the rules governing transactions of this kind, in the authorisation and implementation stages.

This activity also took the form of the constant monitoring of interlocutions with the competent Supervisory Authorities, participation in the activities of the Board Committees and the Board of Directors, as well as the exchange of information with the competent Functions of the Bank.

The control activity by this Board of Statutory Auditors continues and will continue until the completion of the Transaction.

**<u>Conclusions</u>**

On the basis of what was illustrated above, we can confirm that nothing emerged that could be subject to reproach and no omissions or irregularities worthy of specific reporting to the Shareholders were found in the performance of the Company's activities in the fiscal year 2024.

Taking into account the information acquired in the course of its supervisory activities, as described in this Report, the Board of Statutory Auditors has not become aware of any transactions that have not been carried out in compliance with the law and the By-Laws and the principles of proper administration, that are not in the Bank's interest or that are manifestly imprudent or risky.

We acknowledge that the Directors, having assessed the outlook for the Bank's capital position and liquidity position over a time horizon of at least 12 months, believe that the Bank and the Group have a reasonable expectation of continuing to operate as a going concern and have therefore prepared the Financial Statements on a going concern basis.

Hence, the Board of Statutory Auditors, having considered the content of the Reports drawn up by the Independent Auditors, having acknowledged the declarations issued jointly, with a favourable outcome, by the Board of Directors, having heard the opinion of the Risk and Sustainability Committee and the Financial Reporting Officer, having no proposals to formulate pursuant to art. 153, paragraph 2 of the TUF, invites the Shareholders' Meeting to approve the

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Financial Statements of Banca Monte dei Paschi di Siena Spa for the year ended 31 December 2024 and the distribution of profit as proposed by the Directors:

(i) to the legal reserve in an amount equal to 10% of the accrued
profit corresponding to EUR 192,289,824.17 pursuant to Article 31 of the By-Laws;

(ii) to the statutory reserve of an amount equal to 15% of the accrued
profit corresponding to EUR 288,434,736.26, pursuant to Article 31 of the By-Laws;

(iii) to the unavailable reserve of an amount equal to EUE 19,970,421.59,
pursuant to art. 6 of Legislative Decree no. 38/2005;

(vi) to the Shareholders, with the distribution of a unit dividend
of EUR 0.86 for each outstanding share, eligible for the payment of dividends, for a total maximum amount of EUR 1,083,333,147.16;

(v) to the extraordinary reserve of the remaining profit in the
amount of EUR 338,870,112.53.

---

| | | |
|:---|:---|:---|
|  | BOARD OF STATUTORY AUDITORS | BOARD OF STATUTORY AUDITORS |
|  |  | Enrico Ciai |
|  |  | Chairman |
|  |  | Lavinia Linguanti |
|  |  | Standing Auditor |
|  |  | Giacomo Granata |
|  |  | Standing Auditor |
| Rome, 24 March 2025 |  |  |

---

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**Annexes**

![](tm2518026d1_ex99-4imgbtm.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified income statement as at 31 December 2024 and related statutory ac-counts

![](tm2518026d1_ex99-4sp16img001.jpg)

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2024 Financial Statements - Annexes

![](tm2518026d1_ex99-4sp16img002.jpg)

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BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified income statement as at 31 December 2023 and related statutory accounts

![](tm2518026d1_ex99-4sp16img003.jpg)

1097

2024 Financial Statements - Annexes

![](tm2518026d1_ex99-4sp16img004.jpg)

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BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified balance sheet as at 31 December 2024 and related statutory accounts

![](tm2518026d1_ex99-4sp16img005.jpg)

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2024 Financial Statements - Annexes

![](tm2518026d1_ex99-4sp16img006.jpg)

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BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified balance sheet as at 31 December 2023 and related statutory accounts

![](tm2518026d1_ex99-4sp16img007.jpg)

1101

2024 Financial Statements - Annexes

![](tm2518026d1_ex99-4sp16img008.jpg)

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BANCA MONTE DEI PASCHI DI SIENA

Disclosure of Independent auditors' fees

Pursuant to the provisions of art. 149-duodecies of the Consob Issuers' Regulations, the table below provides information on the fees paid to the Independent Auditors PricewaterhouseCoopers S.p.A. and to the companies belonging to the same network for the services detailed below:

---

| | | | |
|:---|:---|:---|:---|
| **31 12 2024** |  |  |  |
| **Type of services** | **PricewaterhouseCoopers S.p.a.** | **PwC Network** | **Total** |
| Auditing | 1006 | 45 | 1051 |
| Other attestation services | 877 | 25 | 902 |
| **Total** | **1883** | **70** | **1953** |

---

Amounts are exclusive of V.A.T., ancillary expenses and CONSOB contribution.

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2024 Financial Statements - Annexes

PENSION FUNDS – Defined benefit pension funds without plan assets

Obligation for "Supplementary Pension Fund for personnel of former Provveditori"

---

| | |
|:---|:---|
| **Accounting statemet as at 31 12 2024** | **(Euro units)** |
| **Opening balance as at 01 01 2024** | **1893927** |
| Increases | 291242 |
| &nbsp;&nbsp;&nbsp;- provisions for the year | 68356 |
| &nbsp;&nbsp;&nbsp;- Other | 222886 |
| Decreases | 264301 |
| &nbsp;&nbsp;&nbsp;- Benefit paid | 264301 |
| &nbsp;&nbsp;&nbsp;- Other | - |
| **Closing balance as at 31 12 2024** | **1920868** |

---

"Supplementary Pension Fund for personnel of former Credito Lombardo"

---

| | |
|:---|:---|
| **Accounting statemet as at 31 12 2024** | **(Euro units)** |
| **Opening balance as at 01 01 2024** | **1486738** |
| Increases | 42997 |
| &nbsp;&nbsp;&nbsp;- provisions for the year | 41718 |
| &nbsp;&nbsp;&nbsp;- Other | 1279 |
| Decreases | 195855 |
| &nbsp;&nbsp;&nbsp;- Benefit paid | 195855 |
| &nbsp;&nbsp;&nbsp;- Other | - |
| **Closing balance as at 31 12 2024** | **1333880** |

---

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Concept & Premedia AGEMA<sup>®</sup> - RiEditing platform 2.2.4

1105

![](tm2518026d1_ex99-4sp16img009.jpg)

## Exhibit 99.5

**Exhibit 99.5**

**M E D I O B A N C A**

![](tm2518026d1_ex99-5s1img002.jpg)

*I n t e r i m R e p o r t*

for the six months ended 31 December 2024

**M E D I O B A N C A**

SHARE CAPITAL

€ 444,680,575

HEAD OFFICE: PIAZZETTA ENRICO CUCCIA 1, MILAN, ITALY

REGISTERED AS A BANK

PARENT COMPANY OF THE MEDIOBANCA BANKING GROUP

REGISTERED AS A BANKING GROUP

![](tm2518026d1_ex99-5s1img002.jpg)

*I n t e r i m R e p o r t*

*f o r t h e s i x m o n t h s e n d e d 3 1 D e c e m b e r 2 0 2 4*

 

Mediobanca S.p.A.

Registered Office: Piazzetta Enrico Cuccia, 1 - Milan, Italy

Tel. +39 02 88291 – Fax +39 02 8829.550

Enrolled in the Bank of Italy Register of Banks as No. 4753

Parent Company of Mediobanca Banking Group

Enrolled in the Register of Banking Groups with ABI code No. 10631.0

www.mediobanca.com;

Tax code and Milan-Monza-Brianza-Lodi Companies' Register Enrolment

No. 00714490158

V.A.T. No. 10536040966

Share capital €444,680,575

Member of the Interbank Deposit Guarantee Fund and the National Guarantee

Fund Ordinary shares listed on MTA Market

www.mediobanca.com

*translation from the Italian original which remains the definitive version.*

**BOARD OF DIRECTORS**

---

| | | |
|:---|:---|:---|
|  |  | Term of |
|  |  | office |
| Renato Pagliaro | Chairman | 2026 |
| Sabrina Pucci | Deputy Chairman | 2026 |
| Vittorio Pignatti Morano | Deputy Chairman | 2026 |
| Alberto Nagel | Chief Executive Officer | 2026 |
| Francesco Saverio Vinci | General Manager | 2026 |
| Mana Abedi | Director | 2026 |
| Virginie Banet | Director | 2026 |
| Laura Cioli | Director | 2026 |
| Angela Gamba | Director And Lead Independent Director | 2026 |
| Marco Giorgino | Director | 2026 |
| Valérie Hortefeux | Director | 2026 |
| Maximo Ibarra | Director | 2026 |
| Sandro Panizza | Director | 2026 |
| Laura Penna | Director | 2026 |
| Angel Vilà Boix | Director | 2026 |

---

**STATUTORY AUDIT COMMITTEE**

---

| | | |
|:---|:---|:---|
| Mario Matteo Busso | Chairman | 2026 |
| Elena Pagnoni | Standing Auditor | 2026 |
| Ambrogio Virgilio | Standing Auditor | 2026 |
| Angelo Rocco Bonissoni | Alternate Auditor | 2026 |
| Anna Rita de Mauro | Alternate Auditor | 2026 |
| Vieri Chimenti | Alternate Auditor | 2026 |

---

\* \* \*

Massimo Bertolini Secretary of the Board of Directors <br> Emanuele Flappini Head of Company Financial Reporting

Board of Directors \| 3

**TABLE OF CONTENTS**

---

| | |
|:---|:---|
| **Consolidated Accounts** |  |
| &nbsp;&nbsp;&nbsp;Review of the Mediobanca Group's Operations as at 31 December 2024 | 5 |
| &nbsp;&nbsp;&nbsp;Declaration by Financial Reporting Officer | 52 |
| &nbsp;&nbsp;&nbsp;External Auditors' Report | 54 |
| **Consolidated Financial Statements** |  |
| &nbsp;&nbsp;&nbsp;Notes to the Accounts | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part A – Accounting Policies | 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part B - Notes to the Consolidated Balance Sheet | 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part C - Notes to Consolidated Income Statement | 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part E – Information on Risks and Related Hedging Policies | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part F - Information on Consolidated Capital | 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part H – Related-Party Transactions | 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part I – Share-Based Payment Schemes | 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part L – Segment Reporting | 198 |

---

\*\*\*

---

| | |
|:---|:---|
| **Annexes** |  |
| &nbsp;&nbsp;&nbsp;Consolidated financial statements | 202 |

---

\*\*\*

4 \| Interim Report for the six months ended 31 December 2024

REVIEW OF OPERATIONS

FOR SIX MONTHS ENDED 31 DECEMBER 2024

![](tm2518026d1_ex99-5s1img002.jpg)

MEDIOBANCA GROUP

REVIEW OF OPERATIONS

The Mediobanca Group delivered a net profit of €659.7m for the six months, higher than last year (up 7.9%, to €611.2m), confirming the trend seen in the first quarter, with a focus on capital-light business. Fee income, which was up 29.5% YoY (from €422.1m to €546.7m), drove the growth in revenues to €1.8bn (up 6.8% YoY and up 13.7% QoQ), on a slight reduction in net interest income (less marked than in 1Q) which was down 1.8% YoY, to €978.9m, and in net treasury income (down 1.7% YoY, to €91.8m).

Profit from ordinary activities totalled €934.2m (up 8.3% YoY; up 18.1% QoQ), with the cost/ income ratio stable at 42%, and the cost of risk (CoR) at 50 bps (51 bps). ROTE at Group level remained at 14%, while RoRWA rose from 2.5% to 2.8%.

Net New Money (NNM) in Wealth Management reported significant inflows again in 2Q (€2.3bn), well directed towards AUM (up 54% QoQ to €1.9bn), and contributing to the TFAs stock which reached €106.8bn, €48.2bn of which AUM, €30.4bn AUAs, and €28.2bn deposits. Lending activity returned to growth in the six months, totalling €53.9bn, with Consumer Finance posting a near-record total in new loans of €2.2bn in 2Q (€4.3bn in 1H), while corporate lending also recovered, from €18.4bn to €19.9bn. The final months of 2024 saw strong corporate finance activity in advisory services and by the Debt Division, with an increase in non-domestic transactions (with Group Legal Entity Arma Partners<sup>(1)</sup> in particular recording a record result).

Consolidated revenues were up 6.8%, from €1,730.6m to €1,847.7m, with €983.1m contributed in 2Q, compared with €864.6m in the previous quarter, reflecting the greater concentration of capital-light components. The main income items performed as follows:

Net interest income<sup>(2)</sup> totalled €978.9m, reflecting slight growth for the three months (from €485m to €493.9m), on an improved performance in Consumer Finance (up 8.6% YoY; up 2.7% QoQ) and the reduced cost of Wealth Management deposits (which decreased from 1.93% to 1.81% in the three months). The return on assets reflects the reduction in market interest rates (Euribor 3M: down 67 bps), absorbing the effect of the higher volumes (up €1.4bn). Breaking the result down by divisions, net interest income from Consumer Finance rose from €512.7m to €556.9m, primarily due to the higher volumes (average volumes were up €850m); while the reduction in NII posted by Wealth Management (from €213m to €204.2m) also reflects the prepayments in mortgage lending as a result of the reduction in interest rates; NII in CIB was stable at €152,6m, with the reduction in large corporate loans (from €79.5m to €71.5m) offset by the increase in the Markets Division (up €11m); whereas NII from Treasury operations decreased from €85m to €35.8m, reflecting the delay in repricing on intercompany company loans, and also the stickiness in the Wealth cost of funding;

Net fee and commission income totalled €546.7m (up 29.5% YoY; up 36.5% QoQ), a new six-month record; Investment Banking posted fees of €188.7m (up 93% YoY), in part due to the inclusion of Arma Partners (€80.8m) as well as in the increase in CIB activity (from €39.6m

<sup>(1)</sup> One of the leading European advisors in the Digital Economy segment.

<sup>(2)</sup> It should be noted that the interest rates stated are inclusive of hedging, both receivable and payable.

6 \| Interim Report for the six months ended 31 December 2024

---

| |
|:---|
| to €78m, €58.8m of which in 2Q); the recurring fees component for the Wealth Management franchise rose by 10%, to €260m, €138.7m of which in 2Q (up 14%); while the increase in fees from lending activity was lower, up 8% (to €120m, €62m of which in 2Q). By division: Wealth Management fees totalled €270.4m (31/12/23: €240.4m: up 12.5% YoY, up 17.4% QoQ); Corporate and Investment Banking fees €233.7m (€133.4m: up 75.2% YoY, up 79.2% QoQ); and Consumer Fees €72.2m (€70.9m; up 7.5% QoQ); |
| Net treasury income of €91.8m was near last year's levels (€93.4m), with €52.6m added in 2Q on the back of a recovery by the CIB proprietary trading book (€15.2m in 2Q, €20.1m in 1H; vs €7.3m last year), which offset the lower by the Holding Functions Division's banking book (€5.6m in 6M, vs €23.1m last year) caused by the decrease in yields and spreads, which also, however, drove an increase in the OCI reserve (which rose by €42.8m in 6M). The Markets Division more or less replicated last year's six-monthly performance, with revenues declining from €48.4m to €43.9m (€21.8m of which in 2Q), despite the fact that the higher result posted by the fixed-income component is now accounted for as net interest income; |

---

The contribution from Assicurazioni Generali, accounted for using the equity method, totalled €226.7m, higher than last year (up 5.4%, from €215.1m), with a 2Q contribution of €121.3m buoyed by a positive performance in all segments (Life, Non-Life, Asset & Wealth Management); while the other IAS 28 investments contributed €3.6m (€3.5m).

Operating costs totalled €780.1m, €411.1m of which in 2Q; the increase from last year (up 6.1%, from €735.4m), has not affected the cost/income ratio which stands at 42.2% (42.5%), despite the fact that all cost components reflect increases. Labour costs were up 9.7%, from €382.2m to €419.1m (€219m of which in 2Q), reflecting the increase in headcount (FTEs: up 2.6%, from 5,369 to 5,510), concentrated in the business areas, and the increases in variable remuneration payable in CIB in line with performance. Administrative expenses (up 2.2%, from €353.2m to €361m, €192.1m of which in 2Q) reflect the increases in the technology component (which was up 2.5% YoY, to €127.2m), back office/operations costs (up 5% to €103m), branches and offices (up 8% to approx. €50m), and di credit recovery expenses (up 5% to €21m, net).

Loan loss provisions were stable at €133.4m (31/12/23: €132.9m), and reflect provisions of €66.2m for the quarter; similarly the CoR stood at 50 bps (vs 51 bps last year). The total at Group level consists effectively of the provisioning for the Consumer Finance division (up 11.8%, from €121.3m to €135.6m, €67.7m of which in 2Q), reflecting primarily the change in the portfolio mix which is evident also in the CoR trend (which rose from 166 bps to 176 bps in 12M; versus 175 bps three months previously). The other areas all reflect significant improvements, with loan loss provisions down to just €1m in Wealth Management (from €6.3m last year), and writebacks credited in both CIB (of €0.5m) and Leasing (of €2.3m). The stock of overlays decreased slightly, from €221.6m to €201m, and the use in the six months refers exclusively to Consumer Finance, with most of the change attributable to their being absorbed into the IFRS 9 model.

Valuations of the holdings in investment funds included in the banking book added €8.4m (€7.8m last year), and the banking book portfolio of securities recorded writebacks of €2.3m.

The net profit also reflects non-recurring expenses of €13.6m, €6m of which in adjustments to earn-out mechanisms (in particular for the deferred share in respect of Arma Partners), and €3.6m due to adjustments to the risks provisions primarily in relation to litigation and indemnities.

Tax for the period totalled €231.4m (at a tax rate of 24.8%).

\* \* \*

Review of group operations \| 7

On the balance-sheet side, at 31 December 2024 total assets showed a slight increase for the six months, from €99.2bn to €99.9bn, with the main items reflecting the following performances:

Customer loans increased from €52.4bn to €53.9bn, due to the recovery in Corporate and Investment Banking (up from €19bn to €19.9bn), concentrated in the Large Corporate segment (where loans rose by 7%, from €16bn to €17.2bn), with a slight reduction in factoring business (down 8.3%, from €3bn to €2.7bn), which was impacted by the slowdown in the automotive sector. Consumer Finance confirmed the upward quarterly trend, with customer loans growing by 2.4% (from €15.2bn to €15.6bn), as well as the wealth management (up 1.4% from 16.9bn to 17.2bn) helped by the recovery of CMB Monaco (up 4.4%, from €2.9bn to €3bn), but reflecting the stability of mortgage loans (€12.6bn), due to the resumption of early repayments;

Gross non-performing loans totalled €1,379m (up 3.2% HoH; down 1% QoQ), due to the increase in the Consumer Finance component, which rose to €1,050m (up 7,4% HoH; up 1.3% QoQ), offset by the reductions in Corporate and Investment Banking (€33.2m, €6.7m of which in the Large Corporate segment), Wealth Management (€225.7m, €148.1m of which Mediobanca Premier), and Leasing (€70.1m);

Banking book securities increased from €11.3bn to €12bn, €5.2bn of which in the HTC portfolio, and €6.4bn in the HTC&S portfolio, with €0.4bn recognized at fair value (FVO); the position in Italian government securities rose from €5.4bn to €6.1bn, maintaining an average duration of approx. 2 years. In line with the market trend, the portfolio appreciated by approx. €230m (including the hedging effect of €130m); unrealized gains on the Hold to Collect portfolio totalled €7.9m (compared with unrealized losses at end-June 2024 totalling €44.2m);

Treasury assets reduced to €4.6bn, following the repayment of the last T-LTRO instalment, which reduced the balance of liquid assets held on deposit with the ECB, while the deposits for stock lending increased (net deposits: down €700m). Financial assets held for trading remained at their previous levels despite reflecting a different mix (the reductions in equities and bonds offset the increase in the EUA certificates share of approx. €500m);

Total funding increased from €63.7bn to €64.2bn, with the debt security component totalling €28.7bn (following €3.1bn in new issues and €2bn in repayments), while Wealth Management deposits grew from €27.9bn to €28.2bn as a result of the resilient performance by the Premier channel, while use of interbank funds totalled €7.3bn;

Total Financial Assets (TFAs) increased to €106.8bn (up 14.2% HoH; up 3.6% QoQ), with the growth in NNM (€4.5bn) complemented by a positive market effect estimated at €2.6bn. AUM rose to €48.2bn, up €4.9bn in 6M and €7.4bn higher than twelve months previously; AUA were stable at €30.3bn, while deposits increased to €28.2bn, €17.9bn of which in Mediobanca Premier. Indirect funding in Private Banking totalled €36.8bn, with €3bn added in 6M (€1.9bn of which NNM), in Premier Banking €26.9bn (up €2bn, €1.2bn of which NNM), with the share of AUM now €16.9bn; and in Asset Management €31.7bn, €16.8bn of which placed by the Group networks.

8 \| Interim Report for the six months ended 31 December 2024

The capital ratios (CET1: 15.2%<sup>(3)</sup>; Total Capital: 17.6%) confirm a Maximum Distributable Amount buffer<sup>(4)</sup> of 420 bps, which incorporates the adjustment made to the Overall Capital Requirement<sup>(5)</sup> (increased to 8.65%).

The QoQ reduction of 20 bps reflects the increase in lending and trading (RWAs: up €300m), the impact of the prudential deductions (chiefly Assicurazioni Generali, down 25 bps) and the reduction in the FVOCI reserve (down 5 bps). The profit for the six months net of the dividend payout (70%) corresponds to approx. 50 bps.<sup>(6)</sup> Introduction of the new Basel IV rules as from 1 January 2025 will not entail any extra burden in terms of RWAs.

The total capital ratio declined to 17.6%, while the leverage ratio remained stable at 7.4%, and the MREL indicator stood at 42.7% of RWAs and 20.7% of LREs (above the minimum requirements set, which were 23.57% of RWAs and 5.91% of LREs).

\* \* \*

The divisional performances for the twelve months were as follows:

*Wealth Management* (WM): this division delivered a net profit in the six months of €110.6m (up 10.4% YoY, up 8.7% QoQ), with RORWA increasing to 3.8% (from 3.6% twelve months previously); net fee and commission income of €270.4m (up 12.5% YoY) drove revenues up 4.9% YoY to €480.1m, with the cost/income ratio stable at 65.6% on sharply declining loan loss provisions (down from €6.3m to €1m). The strong commercial activity resulted in NNM of €4.8bn, on TFAs of €106.8bn;

*Corporate and Investment Banking* (CIB): net profit rose to €141.5m, with a RORWA of 1.9% (up 70 bps on twelve months previously) due to the reduction in RWAs (down 5.6% YoY), with density at 38.4%. Revenues grew to €451.4m (up 31.9%), driven by fee income of €233.7m (up 75.2%), due to extremely positive momentum in Investment Banking, by Arma Partners in particular (€80.8m). The cost/income ratio declined to 44%, despite rising costs (up 16.8% YoY, to €200.3m), in connection with the retention policies and international expansion (labour costs were up 24.6% YoY), as well as to digitalization;

*Consumer Finance* (CF): this division delivered a net profit of €203.4m, with a RORWA of 2.8% (6 bps higher than twelve months previously); the stock of customer loans totalled €15.6bn, equivalent to a ROA of 9%, on the back of the favourable product mix (direct personal loans account for 40% of the new business). Revenues increased to €628.9m (up 8% YoY), on net interest income of €556.9m (up 8.6% YoY, up 2.7% QoQ). The cost/ income ratio was stable at 30%, with costs of €189.2m (up 8.4% YoY), and a CoR of 176 bps (up 10 bps YoY; down 3 bps in 2Q);

<sup>(3)</sup> CET1 fully loaded, pro forma, considering the Danish Compromise as permanent (benefit of ~100 bps) and including approx. 50 bps of retained earnings for the six months, net of the dividend payout of 70%).

<sup>(4)</sup> Maximum Distributable Amount (MDA): minimum level of CET1 required, which includes the shortfall on AT1 and Tier 2 capital (as at 31 December 2024, 1.83% and 0.04% respectively).

<sup>(5)</sup> The Overall Capital Requirement for CET1 includes 56.25% of the P2R requirement for 2024 which is equal to 1.75%, the Conservation Capital Buffer (2.50%), the Counter-Cyclical Buffer as of 31 December 2024 (0.14%), the O-SII requirement introduced for Mediobanca starting from 2024 equal to 0.125% (0.25% fully-loaded as from 2025), and the new system risk buffer recently introduced by the Bank of Italy which at 31 December 2024 was equal to 0.4% (1% of relevant exposures once fully-loaded, by end-June 2025).

<sup>(6)</sup> The Corep CET1 ratio, without earnings for the period, is 14.8%: no profit permission was applied for from the ECB, in line with the recent guidance on the treatment of share buybacks, according to which an entity cannot include any interim profits in its Common Equity Tier 1 if the distribution policy does not define the maximum amount to be distributed.

Review of group operations \| 9

*Insurance* - *Principal Investing* (PI): this division posted a net profit for the six months of €240.5m with a RORWA of 3.4%. The contribution from Assicurazioni Generali was €226.7m, on a positive performance in all business segments. The book value of the Assicurazioni Generali investment totalled €4bn, compared with a market value of €5.6bn;

*Holding Functions* (HF): this division posted a net loss of €29.9m, reflecting the effects of the declining market interest rates on net interest income (which decreased from €103.1m to €48.1m) and net treasury income (which declined from €23.1m to €5.6m); the regulatory indicators are all adequate (LCR: 155%; NSFR: 115%; MREL: 42.7%). Operating costs decreased from €93.8m to €83.5m (down 11% YoY); the central cost component (€54.7m) represents 7% of the Group's total costs.

\* \* \*

Significant events in the six months include the following:

The opening of a new branch office at Frankfurt in Germany, which has been operative since July 2024, focused on advisory activity in Corporate and Investment Banking, with a particular emphasis on the Mid Corporate segment. Two experienced managers are leading the new branch office's operations: Wolfram Schmerl as Branch Manager and Christoph Handrup as Co-Head of Mediobanca Germany, both of whom will report to Lorenzo Astolfi, Head of Global Mid Corporate & Sponsor Solutions of Mediobanca. The new office will also enable the Group to expand the range of services it offers, including cross-border M&A advisory activities, strengthening its commitment to Germany;

– Closing of the first CLO in the United States promoted by the Polus Capital Management Group in partnership with one of the leading local operators and a major commitment by the Abu Dhabi Investment Authority (ADIA) in favour of the first Special Situation fund launched twelve months ago;

Launch of share buyback programme (8.1 million shares as at 31 December 2024) approved by shareholders at the Annual General Meeting held on 28 October 2024, following authorization from the European Central Bank. Under the terms of the programme, treasury shares will be acquired for a maximum outlay of up to €385m, or of 37,500,000 ordinary shares (approx. 4.5% of the company's share capital);

The presentation of the Mediobanca EMTN (Euro Medium Term Notes) programme to the market, approved by Consob and eligible for listing on the MOT bond trading market. The programme confirms the Bank's commitment to relaunching the Italian bond market through the issue of securities issued under Italian law in dematerialized form and centralized at the Euronext Securities Milan, the national clearing system;

At end-December 2024, Compass Banca S.p.A. signed a contract with the shareholders of holding company HeidiPay AG to acquire a majority interest in the company, of which it already held a 19.5% stake. The deal is expected to be closed, subject to the requisite regulatory clearances, by year-end 2025. The acquisition of the shares not already owned, and therefore of a controlling interest, in HeidiPay, a holding company specialized in the development of digital platforms to support BNPL operations, is consistent with the bank's plans for international expansion in both direct and digital channels. In particular, its technological expertise will allow Compass to integrate its risk assessment capabilities into full-digital and real-time processes.

\* \* \*

10 \| Interim Report for the six months ended 31 December 2024

The Group, which has always assigned great importance to Environmental, Social and Governance (ESG) issues, has stepped up its efforts in the sustainability area.

The gradual integration of these issues into the company's processes has been recognized by the leading ESG rating agencies: MSCI has revised its rating from "AA" to "AAA", assigned to just 7% of banks rated. Standard & Poor's has also increased its score for Mediobanca by nine points, with the Bank scoring 69 out of 100, positioning it far above the sector average.

In the effort to address climate change, the Group has consolidated its progress towards decarbonization by confirming its commitment to use 100% energy from renewable sources, and offsetting its greenhouse gas emissions (Scope 1 and Scope 2, market-based).

The residual emissions for FY 2023-24 have been neutralized by acquiring carbon credits certified according to VCS-Verra standards in connection with the Larimar Wind Farm energy project in the Dominican Republic.

In the social area, the Group has renewed its commitment to the community by participating in charitable initiatives, which include "Orizzonti", Horizons, a project to facilitate the reintegration into society of young inmates held in a total of six institutions for juvenile offenders in Italy, in conjunction with Fondazione Francesca Rava.

Finally, Mediobanca also organized its first CSR Conference on the topic of migration and inclusion of unaccompanied foreign minors, publishing a report on "The economic impacts of migration: problem or resource?", which analyses the economic and social data on migration flows and their impacts.

\* \* \*

**Developments on capital markets**

In the second half of 2024, the trends witnessed on financial markets in the first six months continued: modest growth, ongoing difficulties for the Chinese economy, and further fragmentation of the global economy. The United States were the exception, where the fiscal consolidation process (which had deferred on multiple occasions) and the employment market, more vibrant than expected, enabled decent growth levels to be posted. In the Eurozone, economic activity seems to be weak, and especially sickly in Germany and France (where the political difficulties that making government action less incisive are accentuating the tendency towards weakness); activity continues to be robust in Spain and still modest in Italy.

In this scenario, central banks are continuing with their accommodative monetary policy with measured reductions in the reference interest rates: The ECB made its first, 25 bps cut in June 2024, and further cuts of the same amount in September, October and December; while the Fed, having launched the process with a cut of 50 bps in September, continued with 25 bps reductions in November and December, signalling that it was inclined to take a break at this point pending further reassurance regarding the prospects for inflation. During the six months the Bank of Japan raised its reference rates cautiously, against a backdrop of a nascent inflationary process showing good signs of consolidation.

Review of group operations \| 11

The Chinese macroeconomic and financial scenario is still hostage to strong risk aversion on the part of both households and companies, driven by the ongoing difficulties in the real estate sector and the fragile financial conditions of the local governments. The action taken by the Chinese authorities has been measured so as not to attenuate the incentive to deploy resources in high value sectors to the detriment of the real estate sector.

In Italy growth has been modest, as mentioned, confirming the weakness seen in the first six months of 2024; the inflation rate remained significantly below 2% YoY (the average for the six months was 1.1% YoY); while the unemployment rate has fallen in any case (5.7% in November).

In the markets, investors' preference for equities have continued, which only began to move sideways in the final quarter of the calendar year. Overall, the stock market performances reported in the six months under review reflected the economic performances of their respective geographies (with the exception of China, which benefited from particularly appealing valuations as a result of the measures implemented in support of the economy). The following market performances were recorded: Eurostoxx -0.7%, FTSE MIB, +3.1%, S&P 500 +7.7%, Morgan Stanley Stock Market Index Global +5.6%, and Morgan Stanley China +11.8%. The valuations of credit default swaps in Europe decreased slightly over the period, reflected, for example, in a slightly higher cost of the premium insuring against default in the next five years: the Xover index closed at 314 bps (up 22 bps), and the Main index at 58 bps (up 5 bps).

Government interest rates remained virtually unchanged in the United States (the 10Y yield rose by 11 bps to 4.57%), and fell in the Eurozone (where, for example, the German 10Y rate decreased by 24 bps, to 2.37%), although not without some volatility, in December especially. Government spreads within the Eurozone reflected the preference for risk assets (for instance, the spread on 10Y yields between Italian and German paper reduced by around 40 bps to 115 bps), apart from in France, where they were virtually unchanged, reflecting the institutional stalemate situation which commenced with the national legislative elections.

The prospects for both Italian and Eurozone growth are linked to private consumption and international demand. The former could be helped by the robust job market, while the latter will inevitably be impacted by the stance being taken by the new US administration, which could impose tariffs on imports to protect its own production system. Concerns for Italy, and for Europe in general, regard primarily the Russia-Ukraine conflict, the preference being granted by European voters for political groupings that favour national interests to the detriment of increased integration, and the prospects for geo-economic polarization as a result of the costly reforms in China.

\* \* \*

12 \| Interim Report for the six months ended 31 December 2024

**Consolidated profit-and-loss/balance-sheet data**

The consolidated profit and loss account and balance sheet have been restated – including by business area – based on the structure that provides the most accurate reflection of the Group's operations.

**CONSOLIDATED BALANCE SHEET**

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Assets** |  |  |  |
| Financial assets held for trading | 15171.8 | 15409.5 | 11132.0 |
| Treasury financial assets and cash | 10386.4 | 11102.6 | 12440.8 |
| Banking book securities | 12063.4 | 11340.7 | 10858.6 |
| Customer loans | 53858.5 | 52447.4 | 51827.3 |
| Equity Investments | 4991.7 | 4702.7 | 4539.3 |
| Tangible and intangible assets | 1639.2 | 1595.0 | 1646.2 |
| Other assets | 1800.7 | 2628.4 | 2466.1 |
| **Total assets** | **99911.7** | **99226.3** | **94910.3** |
| **Liabilities and net equity** |  |  |  |
| Funding | 64210.7 | 63669.9 | 60624.0 |
| Treasury financial liabilities | 11840.5 | 10584.1 | 9657.7 |
| Financial liabilities held for trading | 9095.4 | 9504.7 | 9349.0 |
| Other liabilities | 3295.1 | 4066.3 | 4047.7 |
| Provisions | 148.8 | 158.1 | 177.8 |
| Net equity | 10575.3 | 9883.7 | 10346.6 |
| Minority interests | 86.2 | 86.1 | 96.3 |
| Profit for the period | 659.7 | 1273.4 | 611.2 |
| **Total liabilities and net equity** | **99911.7** | **99226.3** | **94910.3** |

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**Key Performance Indicators (KPIs)<sup>(\*)</sup>**

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| CET 1 capital | 7248.1 | 7222.5 | 7532.3 |
| Total Capital | 8380.8 | 8438.0 | 8546.3 |
| RWA<sup>(1)</sup> | 47561.2 | 47622.0 | 49088.4 |
| CET1 ratio (Phase-in)<sup>(2)</sup> | 15.2% | 15.2% | 15.3% |
| RWA Density<sup>(3)</sup> | 47.6% | 48.0% | 51.7% |
| Total capital ratio | 17.6% | 17.7% | 17.4% |
| Leverage ratio<sup>(4)</sup> | 7.4% | 7.1% | 7.8% |
| Gross NPL / Gross loans ratio<sup>(5)</sup> | 2.48% | 2.47% | 2.43% |
| Net NPL / Net loans ratio<sup>(6)</sup> | 0.78% | 0.79% | 0.77% |
| No. shares (m) | 833.3 | 832.9 | 849.9 |

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<sup>\*</sup> Alternative Performance Measures (AMPs): in addition to those required as part of the IFRS. Further details are provided in the Annexes (Lists of Restatements) and the Glossary.

<sup>(1)</sup> 1 Risk Weighted Assets.

<sup>(2)</sup> CET1/RWAs.

<sup>(3)</sup> RWAs/total assets.

<sup>(4)</sup> CET1/total leveraged exposures.

<sup>(5)</sup> Gross NPLs/gross loans.

<sup>(6)</sup> Net NPLs/net loans.

Review of group operations \| 13

**CONSOLIDATED PROFIT AND LOSS ACCOUNT**

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31 December**<br>**2024** |<br>**12 mths ended**<br>**30 June 2024** | **6 mths ended**<br>**31 December**<br>**2023** |<br>**Chg. (%)** |
| **Profit-and-loss data** |  |  |  |  |
| Net interest income | 978.9 | 1984.8 | 996.5 | -1.8% |
| Net treasury income | 91.8 | 172.2 | 93.4 | -1.7% |
| Net fee and commission income | 546.7 | 939.4 | 422.1 | 29.5% |
| Equity-accounted companies | 230.3 | 510.4 | 218.6 | 5.4% |
| **Total income** | **1847.7** | **3606.8** | **1730.6** | **6.8%** |
| Labour costs | (419.1) | (804.5) | (382.2) | 9.7% |
| Administrative expenses | (361.0) | (737.7) | (353.2) | 2.2% |
| **Operating costs** | **(780.1)** | **(1542.2)** | **(735.4)** | **6.1%** |
| Loan loss provisions | (133.4) | (252.1) | (132.9) | 0.4% |
| Provisions for other financial assets | 10.7 | 13.9 | 5.1 | n.m. |
| Other income (losses) | (13.6) | (90.2) | (25.2) | -46.0% |
| **Profit before tax** | **931.3** | **1736.2** | **842.2** | **10.6%** |
| Income tax for the period | (231.4) | (436.7) | (220.7) | 4.8% |
| Minority interest<sup>(\*)</sup> | (40.2) | (26.1) | (10.3) | n.m. |
| **Net profit** | **659.7** | **1273.4** | **611.2** | **7.9%** |

---

<sup>(\*)</sup> Includes profits credited back to the category B partners of Arma Partners.

**Key Performance Indicators (KPIs)<sup>(\*)</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31 December**<br>**2024** |<br>**12 mths ended**<br>**30 June 2024** | **6 mths ended**<br>**31 December**<br>**2023** |<br>**Chg. (%)** |
| ROTE<sup>(1)</sup> | 14.0% | 14.0% | 13.4% | 4.5% |
| Cost / Income ratio<sup>(2)</sup> | 42% | 43% | 42% | n.m. |
| CoR (bps)<sup>(3)</sup> | 50 | 48 | 51 | -2.0% |
| EPS<sup>(4)</sup> | 0.79 | 1.53 | 0.72 | 10.0% |

---

<sup>(\*)</sup> Alternative Performance Measures (AMPs): in addition to those required as part of the IFRS. Further details are provided in the Annexes (Lists of Restatements) and the Glossary.

<sup>(1)</sup> *Adjusted Return On Tangible Equity.* 

<sup>(2)</sup> *Cost/income ratio.* 

<sup>(3)</sup> *Cost of Risk.* 

<sup>(4)</sup> *Earnings Per Share.* 

14 \| Interim Report for the six months ended 31 December 2024

**EARNINGS/BALANCE-SHEET DATA BY DIVISION<sup>(\*)</sup>**

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**6 mths ended 31/12/24** |<br>**Wealth**<br>**Management** | **Corporate**<br>**and**<br>**Investment**<br>**Banking** |<br>**Consumer**<br>**Finance** |<br>**Insurance-**<br>**Principal**<br>**Investing** |<br>**Holding**<br>**Functions** |<br><br>**Group<sup>(1)</sup>** |
| **Profit-and-loss** |  |  |  |  |  |  |
| Net interest income | 204.2 | 152.6 | 556.9 | (3.5) | 48.1 | 978.9 |
| Net treasury income | 5.5 | 65.1 |  | 16.0 | 5.6 | 91.8 |
| Net fee and commission income | 270.4 | 233.7 | 72.2 | (0.3) | 2.7 | 546.7 |
| Equity-accounted companies |  |  | (0.2) | 230.9 | (0.4) | 230.3 |
| **Total income** | **480.1** | **451.4** | **628.9** | **243.1** | **56.0** | **1847.7** |
| Labour costs | (167.5) | (117.6) | (62.0) | (2.1) | (70.0) | (419.1) |
| Administrative expenses | (147.6) | (82.7) | (127.2) | (0.7) | (13.5) | (361.0) |
| **Operating costs** | **(315.1)** | **(200.3)** | **(189.2)** | **(2.8)** | **(83.5)** | **(780.1)** |
| Loan loss provisions | (1.0) | 0.5 | (135.6) |  | 2.7 | (133.4) |
| Provisions for other financial assets | 0.1 | (0.6) |  | 9.4 | 1.8 | 10.7 |
| Other income (losses) | (4.0) | (3.5) |  |  | (0.8) | (13.6) |
| **Profit before tax** | **160.1** | **247.5** | **304.1** | **249.7** | **(23.8)** | **931.3** |
| Income tax for the period | (48.5) | (68.3) | (100.7) | (9.2) | (4.7) | (231.4) |
| Minority interest | (1.0) | (37.7) |  |  | (1.4) | (40.2) |
| **Net profit** | **110.6** | **141.5** | **203.4** | **240.5** | **(29.9)** | **659.7** |
| Cost/Income (%) | 65.6 | 44.4 | 30.1 | n.m. | n.m. | 42.2 |
| RORWA | 3.8% | 1.9% | 2.8% | 3.4% |  | 2.8% |
| **Balance sheet data** |  |  |  |  |  |  |
| Loans and advances to customers | 17088.9 | 19877.0 | 15563.7 |  | 1328.9 | 53858.5 |
| Risk-weighted assets | 6201.2 | 15018.9 | 14409.3 | 8079.9 | 3851.9 | 47561.2 |
| No. of staff | 2283 | 764 | 1581 | 9 | 873 (441) | 5510 |

---

Notes:

<sup>\*</sup> Divisions comprise:

Wealth Management (WM):): this division brings together all portfolio management services offered to the various client segments, plus asset management. It includes MB Premier; the MBPB and CMB Monaco private banking networks, and the asset management companies (Polus Capital, Mediobanca SGR, Mediobanca Management Company, and RAM Active Investments), plus Spafid;

- Consumer Finance (CF): this division provides retail clients with the full range of consumer credit products, ranging from personal loans to salary-backed finance, to the Pagolight solution (Compass Banca, Compass RE and HeyLight SA);

Corporate & Investment Banking (CIB): this division brings together all services provided to corporate clients in the following areas: Investment Banking (lending, advisory, capital markets activities) and proprietary trading (businesses performed by Mediobanca and Mediobanca International, Mediobanca Securities, Messier et Associés and Arma Partners), and Speciality Finance, which in turn consists of factoring and credit management activities for third parties performed by MBFACTA and Revalea;

- Insurance – Principal Investing (PI): division that manages the Group's portfolio of equity investments and holdings;

- Holding Functions: division which includes SelmaBipiemme Leasing, MIS, and other minor companies, plus the following Group units: Treasury and ALM, operations, support and control, as well as the senior management of Mediobanca S.p.A.; for further details please refer to p. 43.

<sup>(1)</sup> The sum of the divisional data differs from the Group total due to adjustments/differences arising on consolidation between business areas (equal to €1.1m), and other effects attributable to acquisitions (in particular in respect of put-and-call and earn-out arrangements) that have not been allocated to any business line in particular (€5.3m).

Review of group operations \| 15

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**6 mths ended 31/12/23** |<br>**Wealth**<br>**Management** | **Corporate**<br>**and**<br>**Investment**<br>**Banking** |<br>**Consumer**<br>**Finance** |<br>**Insurance-**<br>**Principal**<br>**Investing** |<br>**Holding**<br>**Functions** |<br><br>**Group<sup>(1)</sup>** |
| **Profit-and-loss** |  |  |  |  |  |  |
| Net interest income | 213 | 153.1 | 512.7 | (3.6) | 103.1 | 996.5 |
| Net treasury income | 4.4 | 55.8 | 0.4 | 7.8 | 23.1 | 93.4 |
| Net fee and commission income | 240.4 | 133.4 | 70.9 |  | 8 | 422.1 |
| Equity-accounted companies |  |  | (0.2) | 218.8 |  | 218.6 |
| **Total income** | **457.8** | **342.3** | **583.8** | **223.0** | **134.2** | **1730.6** |
| Labour costs | (159.4) | (94.4) | (57.6) | (2.0) | (68.6) | (382.2) |
| Administrative expenses | (142.2) | (77.1) | (117.0) | (0.6) | (25.2) | (353.2) |
| **Operating costs** | **(301.6)** | **(171.5)** | **(174.6)** | **(2.6)** | **(93.8)** | **(735.4)** |
| Loan loss provisions | (6.3) | 0.4 | (121.3) |  | (5.7) | (132.9) |
| Provisions for other financial assets | 0.7 | (2.9) | (0.1) | 9.2 | (1.8) | 5.1 |
| Other income (losses) | (2.9) | 1 | 0.1 |  | (23.7) | (25.2) |
| **Profit before tax** | **147.7** | **169.3** | **287.9** | **229.6** | **9.2** | **842.2** |
| Income tax for the period | (47.0) | (52.5) | (93.8) | (6.2) | (20.9) | (220.7) |
| Minority interest | (0.5) | (8.5) |  |  | (1.3) | (10.3) |
| **Net profit** | **100.2** | **108.3** | **194.1** | **223.4** | **(13.0)** | **611.2** |
| Cost/Income (%) | 65.9 | 50.1 | 29.9 | n.m. | n.m. | 42.5 |
| RORWA | 3.6% | 1.2% | 2.7% | 3.2% |  | 2.6% |
| **Balance sheet data** |  |  |  |  |  |  |
| Loans and advances to customers | 16867.6 | 18939.6 | 14701.5 |  | 1318.6 | 51827.3 |
| Risk-weighted assets | 5864.2 | 15991.9 | 14545 | 8395.1 | 4292.1 | 49088.4 |
| No. of staff | 2233 | 730 | 1542 | 9 | 855 (427) | 5369 |

---

<sup>(1)</sup> The sum of the divisional data differs from the Group total due to adjustments/differences arising on consolidation between business areas (equal to €1.8m).

16 \| Interim Report for the six months ended 31 December 2024

**Balance sheet**

The Group's total assets rose from €99.2bn to €99.9bn, with parent company Mediobanca's contribution totalling 58% (56% twelve months previously). The main balance-sheet items showed the following trends for the six months under review (comparative data as at 30 June 2024).

**Funding** – funding totalled €64.2bn, higher than last year (€63.7bn), through a diversified funding strategy which has entailed strong debt security activity on the primary market, with new issues of €3.1bn, approx. €1bn of which placed through the networks (€300m with Group WM clients). The cost of the new issues was lower than twelve months previously (down from 145 bps to 85 bps), taking the interest rate payable on bonds issued to 3.85% and that for the entire funding to 3.3%. The stock of paper in issue rose from €27.6bn to €28.7bn, reflecting repayments of €2bn, and absorbing the closure of the T-LTRO programme (€1.3bn). Wealth Management deposits grew from €27.9bn to €28.2bn, despite the many offers proposed by the Group's competitors, on strong commercial activity, through targeted promotions and retention activities at low cost. Interbank funding rose from €6.8bn to €7.3bn.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Debt securities (incl. ABS) | 28727.7 | 45% | 27619.2 | 43% | 4.0% |
| Premier Banking deposits | 17903.9 | 28% | 16888.0 | 27% | 6.0% |
| Private Banking deposits | 10292.1 | 16% | 11010.6 | 17% | -6.5% |
| Interbank funding (+CD/CP) | 7287.0 | 11% | 8152.1 | 13% | -10.6% |
| **Total funding** | **64210.7** | **100%** | **63669.9** | **100%** | **0.8%** |

---

Interest rate risk hedging activity, which is used for virtually all the Bank's funding using plain vanilla swaps with qualified market counterparties, serves to transform the funding to floating rate (for bond issues and part of the modelled Wealth Management deposits). The reduction in interest rates during the six months drove an increase in the fair value of fixed-rate funding, the value of which (minus €300m) is perfectly offset by the valuations for the derivatives (which are booked as other liabilities).

**Loans and advances to customers —** this item rose by 2.7%, from €52.4bn to €53.9bn, due to the recovery in Corporate and Investment Banking (up 4.7%, from €19bn to €19.9bn) driven by the recovery in loans in the Large Corporate segment which totalled €17.2bn (up 7%), offsetting the reduction in factoring business (down 8.3%, from €2.9bn to €2.7bn), impacted by the crisis affecting the automotive sector. Customer loans in Consumer Finance continue to grow, rising 2.4% in the six months, from €15.2bn to €15.6bn, driven by personal loans (up 2.5%, from €7.5bn to €7.7bn); and were higher in Wealth Management, as well, totalling €17.1bn (vs €16.9bn), boosted by the recovery by CMB (up 4.4%, from €2.9bn to €3bn), with loans in Premier banking stable at €12.6bn. Conversely, customer loans in Leasing business fell by 5.3%, to €1.2bn.

New loans in Consumer Finance in 6M posted double-digit growth (up 10.5%, from €3,927.4m to €4,340m), with all products performing positively: personal loans (up 9.2%, from €1,815m to €1,982.3m), automotive finance (up 4,9%, from €671.3m to €703.9m), and special purpose loans (up 4.3%, from €582m to €607.1m); while the HeyLight/BNPL channel reported growth of 51% (from €207.1m to €312.7m). Corporate and Investment Banking was boosted by the recovery in Lending and Structured Finance (new business of €4.2bn, vs repayments of €3.2bn), which absorbed the lower turnover in Factoring business (down from €6.2bn to €4.9bn). In Wealth Management, new

17 \| Review of group operations

mortgage loans of €652.3m were recorded, an increase of 36%, virtually in line with repayments (€618m) due to the increase in prepayment.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Corporate & Investment Banking | 19877.0 | 37% | 18993.3 | 36% | 4.7% |
| Consumer Banking | 15563.7 | 29% | 15197.6 | 29% | 2.4% |
| Wealth Management | 17088.9 | 32% | 16853.3 | 32% | 1.4% |
| Holding Functions (leasing and NPL management) | 1328.9 | 2% | 1403.3 | 3% | -5.3% |
| **Total loans and advances to customers** | **53858.5** | **100%** | **52447.4** | **100%** | **2.7%** |

---

(€m)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | **30/6/24** | **30/6/24** |
|  | **Performing** | **Performing** | | | **Performing** | **Performing** | | |
|  | **Stage 1** | **Stage 2** |<br>**NPL** |<br>**Tota**l | **Stage 1** | **Stage 2** |<br>**NPL** |<br>**Total** |
| Corporate & Investment Banking | 19618.1 | 251.1 | 7.8 | 19877.0 | 18692.8 | 277.1 | 23.4 | 18993.4 |
| Consumer Banking | 14030.5 | 1263.5 | 269.7 | 15563.7 | 13722.1 | 1234.0 | 241.4 | 15197.6 |
| Wealth Management | 16201.2 | 756.9 | 130.8 | 17088.9 | 15978.3 | 744.9 | 130.0 | 16853.3 |
| Holding Functions (leasing and NPL management) | 1234.3 | 81.0 | 13.6 | 1328.9 | 1308.9 | 75.5 | 18.8 | 1403.2 |
| **Total loans and advances to customers** | **51084.1** | **2352.5** | **421.9** | **53858.5** | **49702.2** | **2331.5** | **413.7** | **52447.4** |
| **As % of total** | **94.8%** | **4.4%** | **0.8%** | **100%** | **94.8%** | **4.4%** | **0.8%** | **100.0%** |

---

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | **30/6/24** |
|  |<br>**Gross** |<br>**Net** | **Coverage**<br>**ratio %** |<br>**Gross** |<br>**Net** | **Coverage**<br>**ratio %** |
| Corporate Investment Banking | 33.2 | 7.8 | 76.5% | 51.2 | 23.4 | 54.4% |
| Consumer Banking | 1050.0 | 269.7 | 74.3% | 978.0 | 241.4 | 75.3% |
| Wealth Management | 225.7 | 130.8 | 42.1% | 227.7 | 130.0 | 42.9% |
| Holding Functions (leasing and NPL management) | 70.1 | 13.6 | 80.6% | 79.8 | 18.8 | 76.4% |
| **Total net non-performing loans** | **1379.0** | **421.9** | **69.4%** | **1336.7** | **413.7** | **69.1%** |
| &nbsp;&nbsp;&nbsp;– of which: bad loans | 367.1 | 36.6 |  | 359.6 | 29.6 |  |
| **As % of total loans and advances** | **2.5%** | **0.8%** |  | **2.5%** | **0.8%** |  |

---

Gross NPLs decreased from €1,336.7m to €1,379m, but were stable in relative terms, at 2.5%, as indeed was the coverage ratio (at 69.4%); net NPLs increased from €413.7m to €421.9m, with bad loans accounting for a very low percentage (€36.6m). Gross NPLs in Consumer Finance was raised from €978m to €1,050m, as a result of the expected increase in default rates that have returned to their pre-Covid levels, with gross NPLs representing 6.21% of total loans (5.93%); the coverage ratio was 74.3%, with the net stock totalling €269.7m (1.73% of total loans). Wealth Management's contribution was €225.7m (€148.1m from Mediobanca Premier), and that of Corporate and Investment Banking €33.2m (only €6.7m of which Large Corporate).

Net Stage 2 positions remained at €2,352.5m (4.4% of net loans), with slight increase in Consumer Finance (from €1,234m to €1,263.5m; 8% of net loans), Wealth Management (from €744.9m to €756,9m, €682m of which for Mediobanca Premier), and Leasing (from €65.8m to €81m), most of which absorbed by the reduction in Corporate and Investment Banking (from €277.1m to €251.1m), in the Large Corporate segment in particular (from €174.4m to €151.5m), with no significant impact deriving from the adoption of lifetime criteria in connection with SICR (Significant Increase in Credit Risk).

18 \| Interim Report for the six months ended 31 December 2024

The selective lending policy adopted, coupled with prudent provisioning, has enabled the Group to keep its coverage ratios basically stable, both for performing loans (1.26%, versus 1.31% last year) and Consumer Finance (3.57%, versus 3.67%). The stock of overlays remains adequate (at approx. €210m, €154m of which in Consumer Finance), with the reduction for the period (down €20m) regarding exclusively Consumer Finance, roughly half of which absorb the ECL adjustment post-model.

**Investment holdings**<sup>(7)</sup> — these increased from €4.7bn to €5bn, €4.1bn of which involve the investments accounted for using the equity method, plus €651.2m in investments in funds, and €248.3m in equities (including equity-like instruments).

The book value of the Assicurazioni Generali investment increased from €3,698m to €4,000.7m in the six months, on profits of €226.7m and upward capital adjustments of €76m. The book value as at 31 December 2024 (calculated based on the company's net equity as at 30 September 2024) reflects a positive performance by all business segments, including non-life insurance despite the significant impact of catastrophic events.

The value of the investment in IEO (25.37%) was €38.6m, while that in Finanziaria Gruppo Bisazza S.r.l. (22.67%) was €6.3m; the value of the investment in CLI Holdings II Limited reduced to €36.3m, after dividends collected (€5.4m) and profits for the period (€4.7m); while the value of the most recent acquisitions of HeidiPay AG and MB SpeedUp totalled €6.5m and €3.7m respectively.

The value of the investments in funds decreased from €657.3m to €651.2m, following net disposals totalling €15.1m, which were in part offset by upward value adjustments (totalling €9.1m); of this total, approx. €359.6m was attributable to investments in seed capital funds managed by the Group.

Meanwhile equities (which include equity-like investments) decreased from €256.2m to €248.3m, following downward adjustments to reflect net fair value totalling €4m (linked to the distribution of dividends), and net disposals amounting to €3.4m.

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** |
|  | **Book value** | **HTC&S reserve** | **Book value** | **HTC&S reserve** |
| Partecipazioni equity method<sup>(1)</sup> | 4092.2 | n.a. | 3789.2 | n.a. |
| Listed shares | 124.0 | 64.9 | 127.5 | 68.5 |
| Other unlisted shares | 124.3 | 78.1 | 128.7 | 82.7 |
| Seed capital | 359.6 |  | 376.0 |  |
| Private equity | 200.9 |  | 181.7 |  |
| Other funds | 90.7 |  | 99.6 |  |
| **Total equity holdings** | **4991.7** | **143.0** | **4702.7** | **151.2** |

---

<sup>(1)</sup> Differs from the figure shown in the following table by just under €0.1m due to minor associate companies (30/6/24: €0.1m)..

<sup>(7)</sup> This heading brings together investments covered by IAS 28, joint ventures covered by IFRS 11 (MB SpeedUp), investments measured at fair value through other comprehensive income, and holdings in funds (including seed capital) measured at fair value through profit and loss; the equity-accounted investments have been allocated to the Insurance/Private Investing Division with the exception of HeidiPay (Consumer Finance) and MB SpeedUp (Holding Functions).

Review of group operations \| 19

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **% ownership** |  | **31/12/24** | **30/6/24** |
| Assicurazioni Generali | 13.34 |  | 4000.7 | 3698.0 |
| CLI Holdings II\* | 21.02 | <sup>(\*)</sup> | 36.3 | 37.0 |
| Finanziaria Gruppo Bisazza | 22.67 |  | 6.3 | 6.7 |
| Istituto Europeo di Oncologia | 25.37 |  | 38.6 | 39.0 |
| HeidiPay | 19.45 |  | 6.5 | 6.6 |
| MB SpeedUP (JV) | 50.0 |  | 3.7 | 1.80 |
| **Equity Method investments** |  |  | **4092.1** | **3789.1** |

---

<sup>(\*)</sup> Percentage calculated based on the nominal value of the notes issued.

**Banking book debt securities** — Fixed-income securities held as part of the banking book totalled €12.1bn, split between Hold to Collect & Sell (€6.4bn), Hold to Collect (€5.2bn), and Fair Value Option (€0.4bn). The following were recorded during the six months under review:

Sales and purchases in the HTC&S portfolio involving an amount of €600m, with healthy portfolio turnover (acquisitions totalling €1.8bn) on €1bn in redemptions; adjustments to reflect fair value amounted to approx. €100m (roughly half of which involved hedge accounting positions), well distributed between sovereign debt securities and corporate and financial bonds;

Purchases in the HTC portfolio amounting to €800m, against disposals and redemptions totalling €250m, and adjustment to reflect amortized cost and the fair value of hedged positions of €130m; unrealized gains on the portfolio at the reporting date totalled €7.9m (compared with unrealized losses of €44.2m as at 30 June 2024);

– An increase in financial bonds (up €300m) designated as Fair Value Option to cover the issuer risk related to the certificates issued.

The sovereign debt securities held as part of the portfolio now amount to approx. €9bn (or three-quarters of the portfolio), €3.4bn as Hold to Collect and €5.5bn as Hold to Collect & Sell, with a much shorter duration (approx. two years); the share represented by Italian government securities totalled €6.1bn (with a duration of approx. two years).

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** |
|  | **(€m)** | **%** | **(€m)** | **%** |
| Hold to Collect | 5246.4 | 43% | 4550.5 | 38% |
| Hold to Collect & Sell | 6387.6 | 53% | 6649.5 | 55% |
| Other (Mandatorily measured at FV) | 429.4 | 4% | 140.7 | 1% |
| **Total banking book securities** | **12063.4** | **100%** | **11340.7** | **94%** |

---

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | **30/6/24** |
|  | **Book value** | **Book value** | | **Book value** | **Book value** | |
|  | **HTC** | **HTC&S** |<br>**OCI reserve** | **HTC** | **HTC&S** |<br>**OCI reserve** |
| Italian government bonds | 2109.7 | 3965.9 | 29.2 | 1985.7 | 3394.1 | (16.6) |
| Foreign government bonds | 1338.2 | 1560.0 | (8.3) | 1228.8 | 2246.5 | (3.8) |
| Bond issued by financial institutions | 365.6 | 616.0 | 17.5 | 353.1 | 706.0 | 11.1 |
| Corporate bonds | 236.4 | 192.3 | 4.5 | 240.3 | 224.3 | 0.4 |
| Asset Backet Securities (ABS) | 1196.4 | 53.5 | (0.1) | 742.6 | 78.6 | (0.3) |
| **Total banking book securities** | **5246.3** | **6387.7** | **42.8** | **4550.5** | **6649.5** | **(9.2)** |

---

**Net treasury assets** — these decreased from €6.4bn to €4.6bn, due to use of part of the liquidity on deposit with the ECB (€1.5bn) accumulated in order to meet the requirement in terms of repaying the T-LTRO; conversely, there was an increase in the deposits available for use in stock lending (deposits payable rose from €0.4bn to €1.1bn). In trading activity, there was also a turnover from equities and bonds to commodities due to the purchase of EUA certificates on the ICE Europe market (approx. €500m), fully matched by forward sales on the futures market.

20 \| Interim Report for the six months ended 31 December 2024

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | |
|  | **(€m)** | **(€m)** |<br>**Chg.** |
| Financial assets held for trading | 15171.8 | 15409.5 | -1.5% |
| Treasury financial assets and cash | 10386.4 | 11102.6 | -6.5% |
| Financial liabilities held for trading | (9095.4) | (9504.7) | -4.3% |
| Treasury financial liabilities | (11840.5) | (10584.1) | 11.9% |
| **Net treasury assets** | **4622.3** | **6423.3** | **-28.0%** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | |
|  | **(€m)** | **(€m)** |<br>**Chg.** |
| Equities | 3694.8 | 3880.7 | -4.8% |
| Bond securities | 3216.7 | 3507.7 | -8.3% |
| Derivative contract valuations | 61.1 | (10.7) | n.m. |
| Certificates | (1429.9) | (1728.7) | -17.3% |
| Trading loans | 533.5 |  | n.m. |
| Loan di trading<sup>(\*)</sup> | 0.2 | 255.9 | n.m. |
| **Financial instruments held for trading** | **6076.4** | **5904.9** | **2.9%** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | |
|  | **(€m)** | **(€m)** |<br>**Chg.** |
| Cash and current accounts | 1383.9 | 1232.0 | 12.3% |
| Cash available at BCE | 1148.8 | 2608.4 | -56.0% |
| Deposits | (3986.8) | (3322.0) | 20.0% |
| **Net treasury** | **(1454.1)** | **518.4** | **n.m.** |

---

<sup>(\*)</sup> The amount as at 30 June 2024 referred to a single position that was wound up during 1Q FY 2024-25.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Italian government bonds | 4579.2 | (3883.7) | 5218.2 | (3998.2) |
| Foreign government bonds | 1351.8 | (794.1) | 1360.4 | (734.2) |
| Bond issued by financial institutions | 1590.0 | (145.0) | 1400.3 | (167.8) |
| Corporate bonds | 264.7 | (2.0) | 142.6 | (1.2) |
| Asset Backet Securities (ABS) | 255.8 |  | 287.6 |  |
| Equities | 4297.1 | (68.8) | 3930.0 | (49.3) |
| **Total securities** | **12338.6** | **(4893.6)** | **12339.1** | **(4950.7)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Interest rate swaps | 353.5 | (319.8) | 572.3 | (658.4) |
| Foreign exchange | 407.4 | (350.2) | 309.0 | (263.3) |
| Interest rate options/futures | 23.8 | (74.8) | 12.1 | (47.4) |
| Equity swaps e options | 1773.1 | (1752.6) | 1784.4 | (1787.1) |
| Credit derivatives (others) | 275.0 | (274.3) | 287.6 | (220.0) |
| **Derivative contract valuations** | **2832.8** | **(2771.7)** | **2965.3** | **(2976.0)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Securities lending/repos deposits | 5540.9 | (8848.7) | 5187.0 | (9055.2) |
| Stock lending deposits | 130.1 | (1279.2) | 188.0 | (636.8) |
| Other deposits | 2813.5 | (2343.4) | 2405.2 | (1410.2) |
| **Deposits** | **8484.5** | **(12471.3)** | **7780.2** | **(11102.2)** |

---

Review of group operations \| 21

**Tangible and intangible assets –** hese were stable at €1.6bn, with the share of intangible assets virtually unchanged, at €1.1bn, due to the absence of new purchase (the goodwill in foreign currencies has been translated to Euros based on prevailing exchange rates); purchases of software (€21m) were largely absorbed by amortization charges for the period (€14m).

Tangible assets rose from €549.6m to €578.1m, following purchases of furniture and equipment totalling €13.2m, capitalized improvement expenses amounting to €7.4m, and operations in leasing accounted for pursuant to IFRS 16 (most of which concerned rental contracts) totalling €45.5m; depreciation and amortization expenses amounted to €38.8m, €27.3m of which attributable to IFRS 16, and €11.6m for properties and other tangible assets.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| &nbsp;&nbsp;&nbsp;Land and properties | 480.3 | 29% | 456.0 | 29% | 5.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which: core | 169.2 | 10% | 169.5 | 11% | -0.2% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;buildings RoU ex IFRS16 | 253.1 | 15% | 229.7 | 14% | 10.2% |
| &nbsp;&nbsp;&nbsp;Other tangible assets | 97.8 | 6% | 93.6 | 6% | 4.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: RoU ex IFRS16 | 16.5 | 1% | 15.6 | 1% | 5.8% |
| Goodwill | 833.7 | 51% | 827.3 | 52% | 0.8% |
| Other intangibile assets | 227.4 | 14% | 218.1 | 14% | 4.3% |
| **Total tangible and intangible assets** | **1639.2** | **100%** | **1595.0** | **100%** | **2.8%** |

---

(€m)

---

| | | |
|:---|:---|:---|
| **Transaction** | **31/12/24** | **30/6/24** |
| Polus Capital | 58.9 | 57.7 |
| &nbsp;&nbsp;&nbsp;-of which: ex- Bybrook | 14.1 | 13.8 |
| MB Private Banking | 52.1 | 52.1 |
| Messier et Associés | 93.2 | 93.2 |
| Arma Partners | 252.0 | 246.9 |
| Consumer | 377.5 | 377.4 |
| **Total Goodwill** | **833.7** | **827.3** |

---

**Provisions for liabilities** – these amounted to €148.8m, with no significant changes in "Commitments and guarantees" or "Provision for statutory end-of-service payments" (which totalled €22.1m and €20.6m accordingly); while the reduction in the "Provision for other risks and charges" (from €116.3m to €106.1m) is attributable to the payment of indemnities, early retirement agreements, and complaints (which together totalled €23.4m), on new transfers to provisions totalling €13.3m.

The provision for the overall liability comprises the following: tax litigation (€38.9m), indemnities (€24.2m), complaints (€14m), early retirements (€8.4m), and other risks (€20.7m).

For further details, reference is made to section 10 of the Notes to the Accounts.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Commitments and financial guarantees given | 22.1 | 14.9% | 21.4 | 14% | 3.3% |
| Provisions for risks and charges | 106.1 | 71.3% | 116.3 | 74% | -8.8% |
| Staff severance indemnity provision | 20.6 | 13.8% | 20.4 | 13% | 1.0% |
| &nbsp;&nbsp;&nbsp;of which: staff severance provision discount | -0.1 | *n.m.* | -0.6 | *n.m.* | -83.3% |
| **Total provision** | **148.8** | **100%** | **158.1** | **100%** | **-5.9%** |

---

22 \| Interim Report for the six months ended 31 December 2024

**Net equity** – net equity was unchanged at €11.2bn: the profit for the period (€660m) was offset by payment of the balance of the FY 2023-24 dividend (€464m), the performance of the valuation reserves (the shortfall on which increased from €68.6m to €152.3m) due to the reduction in the cashflow hedge reserve (which declined from €113.7m to minus €36.6m), closely linked to the trend in market interest rates; while the launch of the share buyback<sup>(8)</sup> entailed a €115m reduction (equal to the €8.1m bought back during the period).

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **Chg.** |
| Share capital | 444.7 | 444.5 | 0.0% |
| Other reserves | 10282.9 | 9929.0 | 3.6% |
| Interim dividend |  | (421.2) | n.m. |
| Valuation reserves | (152.3) | (68.6) | n.m. |
| &nbsp;&nbsp;&nbsp;- of which: Other Comprehensive Income | 143.8 | 116.5 | 23.4% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;cash flow hedge | (36.6) | 113.7 | n.m. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;equity investments | (247.0) | (274.4) | -10.0% |
| Profit for the period | 659.7 | 1273.4 | -48.2% |
| **Total Group net equity** | **11235.0** | **11157.1** | **0.7%** |

---

The FVOCI valuation reserve increased from €116.5m to €143.8m: the continuing reduction in spreads enabled a further recovery in the fair value of the securities held as part of the portfolio (up €52m), approx. €45m of which is made up of Italian government securities.

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **Chg.** |
| Equity shares | 143.0 | 151.2 | -5.4% |
| Bonds | 42.8 | (9.2) | n.m. |
| &nbsp;&nbsp;&nbsp;of which: Italian government bonds | 29.2 | (16.6) | *n.m.* |
| Tax effect | (42.0) | (25.5) | 64.6% |
| **Total OCI reserve** | **143.8** | **116.5** | **23.5%** |

---

<sup>(8)</sup> At the Annual General Meeting held on 28 October 2024, the Bank's shareholders approved the acquisition of up to 37,500,000 treasury shares (equal to 4.5% of its current share capital) for a maximum outlay of up to €385m.

Review of group operations \| 23

**Profit and loss account**

**Net interest income** — net interest income for the six months totalled €978.9m, €17.6m lower than last year, but at the same time reflecting a QoQ recovery, with €493.9m posted in 2Q (Q1: €485m). Indeed, a €1.4bn increase in customer loan volumes was posted in 2Q, which now stand at €53.9bn, offsetting the anticipated reduction in yields (ROA: down 20 bps, to 6.5%), which in any case was lower than the movements in interest rates (Euribor3M: down 67 bps), due to the resilience of yields in Consumer Finance and to the turnover in the banking book securities portfolio. Conversely, the interest rate payable on deposits was stable at 3.3%, in view of the strategic objective to grow volumes and diversify channels (retail/institutional/ promotions) in a scenario of strong competition in Wealth Management. Consumer Finance consolidated its position as the Group's leading contributor, with net interest income of €556.9m (up 8.6% YoY; up 2.7% QoQ) and near-record new business levels (€2.2bn in 2Q, €4.3bn in 6M) on an increasing ROA (up 66 bps to 8.84%); NII in Wealth Management totalled €204.2m (down 4.1% YoY; up 0,4% QoQ), reflecting the lower contribution from assets attributable to CMB (which are more exposed to interest rate sensitivity) and Mediobanca Premier (due to the strong competition in mortgage lending, which kept spreads down). Net interest income earned by the Corporate and Investment Banking division was stable at €152.6m, the higher contribution from the Markets Division (up €11m) offsetting the slowdowns in Lending (down 10.2% YoY, reflecting the derisking process and the fact that new business is increasingly focused on investment-grade clients) and proprietary trading, with the latter still posting improved dealing profits. NII generated from treasury operations decreased to €35.5m (down €49m YoY; down €7m QoQ), and incorporates virtually all the reduction in the difference between the interest rates receivable and payable by the Group as a result of its strategic decision not to alter the FTP rates in order to foster growth in lendings (corporate and mortgages).

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Consumer Banking | 556.9 | 512.7 | 8.6% |
| Wealth Management | 204.2 | 213.0 | -4.1% |
| Corporate and Investment Banking | 152.6 | 153.1 | -0.3% |
| Holding Functions e altre (incl.IC) | 65.2 | 117.7 | -44.6% |
| **Net interest income** | **978.9** | **996.5** | **-1.8%** |

---

**Net treasury income** — this item totalled €91.8m, roughly at last year's levels (€93.4m) following a good 2Q performance with revenues of €52.6m (€39.2m). In particular, the CIB proprietary trading portfolio contributed income of €15.2m in 2Q, making up almost all of the gap versus last year (€26.8m, vs €30.4m); the reduction in the banking book (from €23.1m to €5.7m) is closely related to the proxy hedge strategy used for the banking book securities, which increased significantly in value during the period, in line with the reduction in interest rates and credit spreads (the 10Y BTP spread decreased from 169 bps to 115 bps), reflected in the good performance by the OCI reserves (which increased by €52m in 6M). Markets activity contributed €43.9m (near to last year's level), following a recovery in the equity segment (from €17.9m to €47m), which offset the fixed-income component, although the latter did make an improved contribution to net interest income. Dividends and other income from Principal Investing increased from €7.8bn to €16m, after some amounts were collected from holdings in private equity funds.

24 \| Interim Report for the six months ended 31 December 2024

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Corporate Investment Banking | 65.1 | 55.8 | 16.7% |
| &nbsp;&nbsp;&nbsp;of which: market division | 43.9 | 46.8 | -6.2% |
| Principal Investing | 16.0 | 7.8 | n.m. |
| Holding Functions | 5.6 | 23.1 | -75.8% |
| Other (including Intercompany) | 5.1 | 6.7 | -23.9% |
| **Net treasury income** | **91.8** | **93.4** | **-1.7%** |

---

**Net fee and commission income** — this item totalled €546.7m, a strong increase compared to last year (up 29.5% YoY, from €422.1m), following a record performance in 2Q when fees of €316m were posted (€127m of which from Investment Banking<sup>(9)</sup> and €270.4m from Wealth Management). The leading contributor was once again the Wealth Management franchise,<sup>(10)</sup> which posted fees of €260m (up 10% YoY; up 14% QoQ), on management fees<sup>(11)</sup> of €158.7m (ROA: 99 bps) and upfront fees of €50m (near the levels seen in the last two half-years). Significant improvements were reported both by investment banking and corporate services,<sup>(12)</sup> the contributions from which were almost twice as high has last year (up from €97.2m to €188.7m, two-thirds of which in 2Q), with acceleration in non-domestic transactions (approx. €110m), and by Arma Partners in particular (€80.8m), which in 2024 confirmed its position as of the leading European advisors in the Digital Economy segment. Lending activity posted an increase in fee income<sup>(13)</sup> from €111m to €120m, with corporate lending activity recovering to €48m (up 19% YoY; stable QoQ). At the level of individual business line, fees earned by Wealth Management increased from €240.4m to €270.4m, and by CIB from €133.4m to €233.7m, with the contribution from Specialty Finance stable at €17m; while Consumer Finance posted fees of €72.2m, of which the HeyLight component was €11m.

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Wealth Management | 270.4 | 240.4 | 12.5% |
| Corporate & Investment Banking | 233.7 | 133.4 | 75.2% |
| Consumer Banking | 72.2 | 70.9 | 1.8% |
| Holding Functions and other (including intercompany) | (29.6) | (22.6) | 31.0% |
| **Net fee and commission income** | **546.7** | **422.1** | **29.5%** |

---

**Insurance sector and other equity-accounted investments** — tthe growth in this item, from €218.6m to €230.3m (up 5.3%), was related to the positive performance by Assicurazioni Generali (contribution up from €215.1m to €226.7m), reflecting the healthy trend reported by all business segments. The other investments contributed €3.6m.

**Operating costs —** coperating costs totalled €780.1m (up 6.1% YoY; up 11.4% QoQ), reflecting the strengthening in headcount (FTEs: up 2.6%, to 5,510), in Wealth Management in particular (up 2.2%, to 2,283) and in CIB initiatives; the cost/income ratio remained at 42%; the main components reflected the following performances:

Labour costs totalled €419.1m (up 9,7% YoY; up 9.4% QoQ), with the fixed component

<sup>(9)</sup> Investment banking and corporate services: includes Corporate Finance, ECM, and NPL management.

<sup>(10)</sup> Recurring fees WM franchise: this includes management fees (including the component accounted for by the Group's product factories), banking fees, upfront and advisory fees from (Mediobanca Premier, CMB Monaco, Mediobanca Private Banking).

<sup>(11)</sup> ROA calculated as ratio between management fees (including product factories component) and average AUM.

<sup>(12)</sup> Investment banking and corporate services: includes Corporate Finance, ECM, and NPL management.

<sup>(13)</sup> Lending activity includes retail credit operations (consumer credit) and corporate lending (including leasing).

Review of group operations \| 25

---

| |
|:---|
| (up 8% YoY) reflecting the revised version of the national collective contract coming into force, plus the increases in both number and seniority of staff, and the variable share increasing by 17% YoY, in line with the good performance in the capital-light component. Most of the increase was concentrated in CIB (up 24.6% YoY, to €117.6m), as an effect of the expansion in the scope of operations (with €13m of the increase attributable to the opening of the Frankfurt office plus the Arma Partners arrangement becoming fully operative); while Wealth Management (labour costs up 4.5% YoY, to €167.5m) reflects the commercial expansion (with 30 new sales staff, 28 of whom FAs and two bankers) plus the strengthening at Polus Capital, including the new commercial ventures (CLO US and launch of the Special Situation fund); the contribution from Consumer Finance was €62m (up 7.6% YoY; 1,581 staff members) and that of Holding Functions €70m (up 2% YoY); |
| Administrative expenses rose by 2.2%, from €353.2m to €361m, and reflect the technology upgrade required in relation to innovation in the business (Customer Managements Accounts - CMA - platform, new apps, etc.) and to IT resilience; the rise in overheads (up 5% YoY) is the result of instalments and info-provider costs rising, as well as the increase in volumes managed and the higher infrastructure costs for branches and offices. The share of spending on digital operations rose to €127.2m, due to the major effort made in terms of projects (up 7% YoY, to approx. €26m), regarding certain strategic cross-divisional initiatives (DORA, ESG, etc.) as well as others specific to the individual divisions (launch of CMAs, update of CRM in Private Banking and CIB, change in core banking system at CMB Monaco, etc.). The divisional performances were as follows: Wealth Management contributed costs of €147.6m (up 3.8% YoY); Consumer Finance €127.2m (up 8.7% YoY); Corporate and Investment Banking €82.7m (up 7.3% YoY, up 3.9% like-for-like); and Holding Functions €13.5m. |

---

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Labour costs | 419.1 | 382.2 | 9.7% |
| of which: directors | 5.6 | 8.2 | -31.7% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;stock option and performance share schemes | 5.7 | 6.0 | -5.0% |
| Sundry operating costs and expenses | 361.0 | 353.2 | 2.2% |
| of which: depreciations and amortizations | 52.8 | 49.5 | 6.7% |
| &nbsp;&nbsp;&nbsp;administrative expenses | 308.2 | 303.7 | 1.5% |
| **Operating costs** | **780.1** | **735.4** | **6.1%** |

---

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Legal, tax and professional services | 10.3 | 10.8 | -4.6% |
| Other consultancy expenses | 16.8 | 21.7 | -22.6% |
| Credit recovery activities | 20.6 | 23.1 | -10.8% |
| Marketing and communication | 22.1 | 24.0 | -7.9% |
| Rent and property maintenance | 12.0 | 12.3 | -2.4% |
| EDP | 95.8 | 83.8 | 14.3% |
| Financial information subscriptions | 32.1 | 29.9 | 7.4% |
| Bank services, collection and payment commissions | 16.7 | 15.6 | 7.1% |
| Operating expenses | 30.5 | 33.3 | -8.4% |
| Other labour costs | 10.7 | 7.4 | 44.6% |
| Other costs (including charity exp.) | 23.7 | 22.5 | 5.3% |
| Direct and indirect taxes | 16.9 | 19.3 | -12.4% |
| **Total administrative expenses** | **308.2** | **303.7** | **1.5%** |

---

**Loan loss provisions** — loan loss provisions were stable at €133.4m, despite the difference in the composition of the loan book which did not impact on the cost of risk (CoR) which

26 \| Interim Report for the six months ended 31 December 2024

stood at 50 bps. Provisioning for Consumer Finance increased from €121.3m to €135.6m, the majority of which attributable to direct personal loans; credit recovery rates remain excellent, with the NPLs stock fairly low, and adequate coverage ratios (NPLs: 74.3%; performing loans: 3.57%; overlays: €201m, only €21m of which taken through profit and loss for 6M); while the CoR rose from 166 bps to 176 bps (175 bps in 3Q). The other divisions all reflected improvements: Corporate and Investment Banking (net writebacks €0.5m; overlays €27.1m), Wealth Management (net writedowns decreasing from €6.3m to €1m; overlays: €12.6m); Leasing (net writebacks of €2.3m; overlays: €7.2m).

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Corporate & Investment Banking | (0.5) | (0.4) | 25.0% |
| Consumer Banking | 135.6 | 121.3 | 11.8% |
| Wealth Management | 1 | 6.3 | -84.1% |
| Holding Functions (leasing and NPL management) | (2.7) | 5.7 | n.m. |
| **Loan loss provisions** | **133.4** | **132.9** | **0.4%** |
| **Cost of risk (bps)** | **50** | **51** |  |

---

**Provisions for other financial assets<sup>(14)</sup> –** these reflect writebacks of €10.7m, €8.4m of which due to improvement in the fair value of holdings in investment funds (which are required mandatorily to be restated at current prices), and €2.3m due to the improvement in the ECL on securities pursuant to IFRS 9 following the update of the macroeconomic scenario.

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg.** |
| Hold-to-Collect securities |  | (0.7) | n.m. |
| Hold-to-Collect & Sell securities | 2.3 | (2.0) | n.m. |
| Financial assets mandatorily FVTPL | 8.4 | 7.8 | 7.7% |
| **Provisions for other financial assets** | **10.7** | **5.1** | **n.m.** |

---

**Other income (losses)** – these totalled €13.6m, of which: €6m regards the effects of the earn-out mechanisms in the partnerships, Arma Partners in particular; €3.6m transfers to the risks provisions, linked primarily to litigation and indemnities; and €4m in non-recurring costs, concentrated primarily in WM and CIB.

**Income tax** – income tax for the period totalled €231.4m (31/12/23: €220.7m), equivalent to a tax rate of 24.8 % (26.2%). The Mediobanca Group adheres to the consolidated tax regime provided by Articles 117ff of the Italian Income Tax Act (known also as "national tax consolidation"). Of the various effects deriving from this decision, the main benefit is being able to determine an overall amount of comprehensive income, which is equal to the algebraic sum of the tax income or losses reported by the parties that have opted into this system, which is subject to IRES taxation at 24%.

<sup>(14)</sup> Under IFRS 9, the impairment process applies to all financial assets (securities, repos, deposits and current accounts) recognized at cost (the "Hold to Collect" model) and to all bonds recognized at fair value through other comprehensive income (the "Hold to Collect and Sell" model)

Review of group operations \| 27

**Profit-and-loss figures/balance-sheet data by division**

***WEALTH MANAGEMENT***

This division brings together all asset administration and management services offered to the following client segments:

– *Private Banking (Mediobanca Private Banking and CMB Monaco);*

– Mediobanca Premier, formerly CheBanca!;

Asset Management division, primarily captive business (Mediobanca SGR, Polus Capital, RAM Active Investments, Mediobanca Management Company)

This division also includes the results of the fiduciary business carried on by Spafid S.p.A., as well as by Spafid Trust.

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| **Profit-and-loss** |  |  |  |  |
| Net interest income | 204.2 | 425.0 | 213.0 | -4.1 |
| Net trading income | 5.5 | 9.2 | 4.4 | 25.0 |
| Net fee and commission income | 270.4 | 489.4 | 240.4 | 12.5 |
| **Total income** | **480.1** | **923.6** | **457.8** | **4.9** |
| Labour costs | (167.5) | (325.1) | (159.4) | 5.1 |
| Administrative expenses | (147.6) | (288.4) | (142.2) | 3.8 |
| **Operating costs** | **(315.1)** | **(613.5)** | **(301.6)** | **4.5** |
| Loan loss provisions | (1.0) | (7.4) | (6.3) | -84.1 |
| Provisions for other financial assets | 0.1 | 1.4 | 0.7 | -85.7 |
| Other income (losses) | (4.0) | (3.7) | (2.9) | 37.9 |
| **Profit before tax** | **160.1** | **300.4** | **147.7** | **8.4** |
| Income tax for the period | (48.5) | (91.0) | (47.0) | 3.2 |
| Minority interest | (1.0) | (0.9) | (0.5) | n.m. |
| **Net profit** | **110.6** | **208.5** | **100.2** | **10.4** |
| Cost/Income (%) | 65.6 | 66.4 | 65.9 |  |

---

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Balance-sheet data** |  |  |  |
| Loans and advances to customers | 17088.9 | 16853.2 | 16867.6 |
| &nbsp;&nbsp;&nbsp;of which: |  |  |  |
| &nbsp;&nbsp;&nbsp;MB Premier | 12615.2 | 12568.0 | 12539.7 |
| &nbsp;&nbsp;&nbsp;Private Banking | 4473.7 | 4285.2 | 4327.9 |
| New loans | 652.3 | 1100.6 | 479.8 |
| Risk-weighted assets | 6201.2 | 6051.5 | 5864.2 |
| RORWA | 3.8% | 3.6% | 3.6% |
| No. of staff | 2283 | 2259 | 2233 |

---

Net profit totalled €110.6m (up 10.4% YoY; up 8.7% QoQ), on revenues of €480.1m (up 4.9% YoY; up 10.2% QoQ), driven by strong growth in fee income (up 12.5% YoY; up 17.4% QoQ), with a cost/income ratio of 65.6% (vs 65.9% twelve months previously) and the cost of risk reflecting a significant reduction. RORWA remained high at 3.8%.

28 \| Interim Report for the six months ended 31 December 2024

The macro scenario in which the Wealth Management Division operates was boosted by a positive performance on global share and bond markets, which enabled the turmoil seen at the start of August 2024, triggered by rising interest rates in Japan, to be absorbed comfortably. The dovish stance adopted by the central banks (the Fed in particular, which cut rates by 75 bps on the back of more solid macro data) enabled a rapid recovery to be made. The new market interest rate scenario favoured investments by Premier Banking clients in debt products, including those offered by the Group's product factories. The Private Banking segment remains focused on portfolio management, sale of certificates, and the offering of Private Markets products.

In Private Markets operations, the Private Banking segment has launched the capital raising phase of Group Global Value, a global private equity fund, and the Apollo European Private Credit fund, focused on direct loans to European companies, alongside Apollo Aligned Alternatives and KKR; all evergreen products that allow clients to subscribe for private equity strategies but with increased capital liquidity (a total of €132m in capital has been raised). At end-November 2024 the placement of Mediobanca UBS Global Real Estate Co-Investment Opportunities ended; the international real estate co-investment programme has raised a soft commitment of €480m. At the same time, the placement of closed-end fund Investindustrial VIII (approx. €30m) ended, and another two new funds were launched: Three Hills Impact Fund, a preferred capital themed fund, and Polus Special Situations Fund, a private credit fund.

As regards club deals with high-potential Italian SMEs as their target, following the completion of the soft commitment raising process for TEC2, the first two investments were made, for a combined total of approx. €190m (€100m in 6M), against a total amount of €900m.

Implementation of the Private & Investment Banking model continued, leveraging synergies with the CIB Division, by intercepting the liquidity events generated by Investment Banking as one of the most important factors for the growth of TFAs managed. In particular, some €790m in revenues were generated through liquidity events, approx. €650m of which from cross-selling opportunities with the Mediobanca CIB Division.

As for the Premier Banking segment, the repositioning versus higher-end client brackets continued, with an increase in the number of clients with AUM of over €500k, providing increased opportunities to leverage the Group's integrated offering, with increased recourse to the capabilities represented in the Group's product factors and to CIB services.

The placement of delegated management funds in partnership with leading international asset managers has continued (Mediobanca Morgan Stanley Step In Global Balanced ESG Allocation, Mediobanca Fidelity World Fund, Mediobanca MFS Prudent Capital, Mediobanca Nordea World Climate Engagement, Mediobanca Pictet New Consumer Trend, Mediobanca Schroders Diversified Income Bond, and Mediobanca Candriam Global High Yield), for a total of approx. €340m. Two new Target Maturity bond funds have also been placed during the period: MB Selezione Cedola Italia 2030, and MB Credit Opportunities 2030 (for a combined total of approx. €215m). During the period under review, securities were placed for a total of approx. €400m, approx. €110m of which in certificates, and approx. €170m in bonds issued by the Group.

Review of group operations \| 29

In Alternative Asset Management, a further increase in AUM was recorded by Polus Capital, which now has €10bn under management following the closure of CLO XVIII and CLO I US - the US platform's first deal - which raised a total of approx. €780m. In the distressed segment, a major commitment (of up to €1bn) was recorded in the Special Situations strategy by a company owned by the Abu Dhabi Investment Authority.

In September 2024, RAM AI received two awards in recognition of the quality of its funds, at the "Globes de la Gestion 2024" event in Paris, in the Emerging Markets Equities category, with its Emerging Markets Equities fund (which has put on 7.2% since January 2024), and Sectors-Environmental Equities category, with its Global Stable Climate fund (up 8.2%). Positive performances were also recorded by its core funds European Market Neutral Equity (up 18.7%), which generated performance fees at the year-end, and RAM Mediobanca Strata UCITS (up 9.9%). Net inflows of over €80m were recorded in 2Q, enabling the company to post AUM of over €1.6bn.

Overall, the Wealth Management distribution structure consists of 1,337 professionals, 1,181 of whom work in Premier Banking, consisting of 538 bankers and 643 FAs, working out of 100 branch offices and 108 points of sale; with a total of 30 new sales staff recruited in 6M, 28 of whom FAs and two bankers. Private Banking increased its number of bankers to 156, with the addition of three new senior bankers to the regional network; at the same time the programme to develop talented young bankers also continued through the dedicated programme.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** | **Chg (%)** |
| **Commercial data** |  |  |  |  |
| Relationship managers | 538 | 536 | 524 | 2.7% |
| Financial advisors | 643 | 615 | 573 | 12.2% |
| No. of branches/agencies MB Premier | 208 | 209 | 206 | 1.0% |
| Private Banker | 156 | 155 | 156 | n.m. |

---

\* \* \*

Total Financial Assets (TFAs) totalled €106.8bn (30/6/24: €99.4bn), higher than twelve months previously (with an increase of €13.3bn), including a market effect estimated at €2.6bn; AUM rose to €48.2bn (up €7.4bn YoY and up €5bn in 6M); while AUA totalled €30.4bn (up 21% YoY, and up 8% in 6M) and deposits €28.2bn (up 2% YoY, up 1% in 6M, and stable QoQ). Private Banking contributed €47.2bn of the TFAs (up 12% YoY and up 5% in 6M), €36.8bn of which AUM/AUA (up 18% and up 9% respectively), and €10.3bn in deposits; Premier Banking contributed €44.8bn (up 14% YoY and up 7% in 6M), €26.9bn of which AUM/AUA (up 21% YoY; up 4% QoQ) and €17.9 in deposits (up €400m in 2Q). TFAs in Asset Management increased to €31.7bn (up 18% YoY and up 12% QoQ), €16.9bn of which placed internally within the Group.

Net New Money (NNM) came in at €4.8bn, on consistent growth in AUM (€1.3bn in 1Q and €1.9bn in 2Q); the share of the NNM generated by Premier and Private Banking clients was €3.4bn (the majority AUM/AUA), with the percentage accounted for by inhouse products 44%; Polus Capital contributed €1.1bn, €780bn of which from CLOs.

Customer loans totalled €17.1bn (up 1.4%, from €16.9bn), with a mortgage lending component of €12.6bn; the share attributable to Private Banking totalled €4.5bn, €3bn of which attributable to CMB Monaco.

30 \| Interim Report for the six months ended 31 December 2024

Gross NPLs totalled €225.7m (€148.1m of which attributable to Premier Banking), largely stable in 1H, and representing 1.3% of total loans; with a coverage ratio of 42.1%, the stock of net NPLs totalled €130.7m (split equally between Premier and Private Banking).

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. %** | **Chg. %** |
| <br>**TFA Net** |<br>**31/12/24** |<br>**30/6/24** |<br>**31/12/23** | **Dec 24/ Dec 23** | **Dec 24/June 24** |
| Private Banking | 47166 | 44867 | 41980 | 12.4% | 5.1% |
| Premier Banking | 44826 | 41820 | 39289 | 14.1% | 7.2% |
| Asset Management | 31686 | 28239 | 26959 | 17.5% | 12.2% |
| Intercompany | (16854) | (15495) | (14673) | 14.9% | 8.8% |
| **Wealth Management** | **106824** | **99431** | **93555** | **14.2%** | **7.4%** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. %** | **Chg. %** |
| <br>**Deposits** |<br>**31/12/24** |<br>**30/6/24** |<br>**31/12/23** | **Dec 24/ Dec 23** | **Dec 24/June 24** |
| Private Banking | 10324 | 11026 | 10709 | -3.6% | -6.4% |
| Premier Banking | 17904 | 16888 | 16992 | 5.4% | 6.0% |
| Asset Management |  |  |  | n.m. | n.m. |
| **Wealth Management** | **28228** | **27915** | **27702** | **1.9%** | **1.1%** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. %** | **Chg. %** |
| <br>**AUM/AUA** |<br>**31/12/24** |<br>**30/6/24** |<br>**31/12/23** | **Dec 24/ Dec 23** | **Dec 24/June 24** |
| Private Banking | 36843 | 33841 | 31270 | 17.8% | 8.9% |
| Premier Banking | 26922 | 24932 | 22296 | 20.7% | 8.0% |
| Asset Management | 31686 | 28239 | 26959 | 17.5% | 12.2% |
| Intercompany | (16854) | (15495) | (14673) | 14.9% | 8.8% |
| **Wealth Management** | **78597** | **71517** | **65853** | **19.4%** | **9.9%** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **2023-2024** | **2023-2024** | **2023-2024** | **2024-2025** | **2024-2025** | **2024-2025** |
| <br>**Net New Money** | **IQ** | **IIQ** | **IIIQ** | **IVQ** | **IQ** | **IIQ** |
| Private Banking | 624 | 1649 | 299 | 1893 | 946 | 277 |
| Premier Banking | 163 | 955 | 679 | 1261 | 1069 | 1149 |
| Asset Management | 395 | (82) | 371 | 145 | 553 | 825 |
| **Wealth Management** | **1182** | **2522** | **1349** | **3299** | **2568** | **2251** |

---

\* \* \*

Total revenues increased from €457.8m to €480.1m (up 4.9% YoY), reflecting QoQ growth from €228.4m to €251.7m; the main income items performed as follows:

Net interest income totalled €204.2m (down 4.1% YoY), due to the reduction in yields on loans (ROA down from 4.2% to 4%), in part offset by the higher volumes and the increase Wealth Management deposits (average figure: up €900m) transferred to centralized treasury operations at Group level (net contribution: €7.3m);

Net fee and commission income grew from €240.4m to €270.4m (up 12.5% YoY); the recurring franchising component (management, banking and placement fees) rose from €235.6m to €260.3m, with the ROA on management fees stable at 99 bps, despite the strong increase in average TFAs (up 17% YoY) and significant QoQ growth (up 14% QoQ); upfront fees of €50m (€45.5m) continue to be driven by placements, whereas banking fees were virtually stable (at €52m), boosted in 2H by more vibrant trading activity. Asset management fees rose from €29m to €31.7m, plus €16.4m in performance fees; Polus Capital contributed healthily, with fees up 11.7% YoY, to approx. €30m.

Review of group operations \| 31

Operating costs rose from €301.6m to €315.1m (up 4.5% YoY); labour costs rose to €167.5m (up 5.1% YoY), reflecting the increase in headcount (with a net total of 50 more staff than twelve months ago) which primarily regards the Mediobanca Premier (22) and Private Banking distribution networks (20). The moderate increase in administrative expenses (from €142.2m to €147.6m) reflects stabilization in digitalization costs, where the investments (Customized Managed Accounts and replacement of the core banking system for CMB Monaco) have been offset by careful management of current expenses.

Loan loss provisions reduced to approximately €1m (versus €6.3m last year), confirming the good asset quality, with the stock of overlays totalling €12m.

The net profit reflects non-recurring charges of €4m, approx. €1m of which regards the effects of the earn-out mechanism in favour of the former Bybrook partners (after the company was merged into Polus Capital), €1.2m in adjustments to staff provisions, and €1.8m in litigation costs and other contingent liabilities.

32 \| Interim Report for the six months ended 31 December 2024

***CORPORATE AND INVESTMENT BANKING***

This division provides services to Corporate customers in the following areas:

*–* Wholesale Banking: lending, capital market activities, advisory services, and trading (client and proprietary), performed by Mediobanca, Mediobanca International, Mediobanca Securities, Messier et Associés and Arma Partners

*–* Specialty Finance: factoring, performed by MBFACTA, and credit management, performed by MBCredit Solutions and MBContact Solutions.

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. %** |
| **Profit-and-loss** |  |  |  |  |
| Net interest income | 152.6 | 307 | 153.1 | -0.3 |
| Net treasury income | 65.1 | 95 | 55.8 | 16.7 |
| Net fee and commission income | 233.7 | 360.6 | 133.4 | 75.2 |
| **Total income** | **451.4** | **762.6** | **342.3** | **31.9** |
| Labour costs | (117.6) | (215.0) | (94.4) | 24.6 |
| Administrative expenses | (82.7) | (164.9) | (77.1) | 7.3 |
| **Operating costs** | **(200.3)** | **(379.9)** | **(171.5)** | **16.8** |
| Loan loss provisions | 0.5 | 10.6 | 0.4 | 25 |
| Provisions for other financial assets | (0.6) | (3.4) | (2.9) | (79.3) |
| Other income (losses) | (3.5) | (2.5) | 1 | n.m. |
| **Profit before tax** | **247.5** | **387.4** | **169.3** | **46.2** |
| Income tax for the period | (68.3) | (121.0) | (52.5) | 30.1 |
| Minority interest (\*\*) | (37.7) | (22.9) | (8.5) | n.m. |
| **Net profit** | **141.5** | **243.5** | **108.3** | **30.7** |
| Cost/Income (%) | 44.4 | 49.8 | 50.1 |  |

---

<sup>(\*\*)</sup> Includes profits credited back to the category B partners of Arma Partners.

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Balance-sheet data** |  |  |  |
| Loans and advances to customers | 19877.0 | 18993.3 | 18939.6 |
| of which: Corporate | 17170.4 | 16042.9 | 16011.8 |
| Factoring | 2706.6 | 2950.4 | 2927.8 |
| Corporate new loans | 4141.5 | 5794.3 | 2253.1 |
| Factoring turnover | 4856.4 | 12009.5 | 6225.6 |
| Risk-weighted assets | 15018.9 | 14857.6 | 15991.9 |
| RORWA | 1.9% | 1.4% | 1.2% |
| No. of staff | 764 | 732 | 730 |
| Front Office | 443 | 356 | 351 |

---

Net profit totalled €141.5m, a sharp improvement on last year's performance (€108.3m); revenues amounted to €451.4m (up 31.9% YoY), and the cost/income ratio declined to 44%; the reduction in RWAs (down €888.4m YoY) contributed to the growth in RoRWA which stood at 1.9% (up 70 bps YoY). The Wholesale Banking division's contribution to net profit totalled €127.7m (€96.1m); while that of Specialty Finance amounted to €13.8m (€12.2m).

The European M&A market closed 2024 with announced deal volumes up 13% on 2023. The upturn in business, driven by the expectations of a reduction in interest rates, even though the macroeconomic scenario continues to reflect many areas of uncertainty, has been fuelled primarily by strategic activity from corporates (up 14% on 2023) and increased activity levels from private equity players (up 37% on 2023). At the same time, there was also moderate

Review of group operations \| 33

growth in the number of deals announced, up 4%, driven by the number of large deals (with value of over $500m), which were up 13%; by contrast, the number of medium-/small-sized transactions was down 3%.

The Italian market has seen the positive trend of recent quarters continue with an increase of 31% in deals announced versus 2023. Significant increases in volumes, above the European average, were also recorded in the United Kingdom, up 42%, while the growth was more moderate in Spain and Germany (up 11% and up 4% respectively); while in France the level of volumes were virtually flat versus last year.

In this market scenario, the Bank has confirmed its position as advisor of choice in Italy, taking part in the most important deals announced, and completing a total of 57 deals over the course of the six months.

Some of the main deals completed in Italy include KKR's acquisition of assets belonging to the TIM fixed-line network in the TMT sector, the sale of Acqua & Sapone to TDR Capital by H.I.G. In the Retail sector, the acquisition of Grandi Stazioni Retail by OMERS Infrastructure and DWS Infrastructure in the Infrastructure sector, and the public tender offer launched by S.G.G. Holding for SAES Getters ordinary shares in the Industrials sector, plus certain deals in the mid-cap segment, including the acquisition of Marval by Azzurra Capital, the acquisition of Vista Vision by Ardian, and the acquisition of a majority stake in Relatech by Bregal.

As regards Advisory business at the European level, the Bank was also involved in the voluntary public tender offer for Greenvolt launched by KKR, and the acquisition of a majority share in Terna Energy by Masdar in the Energy Transition sector, the sale of OnTower Austria by Cellnex Telecom to a consortium of investors consisting of Vauban Infrastructure Partners, EDF Invest and MEAG in the TMT sector, , while on the French market, the acquisition of 48% of the share capital of Santos Brasil by CMA CGM, plus the subsequent launch of a public tender offer for the remaining shares, in the Infrastructure sector was worthy of note.

In the Digital Economy sector, Arma Partners confirmed its position as one of the leading advisors in Europe, with sixteen deals completed in the six months. The software segment has been particularly active, where some the most important deals covered by the company include the sale of Aareon to TPG and CDPQ by Advent International and Aareal Bank, the acquisition of Zellis Group by Apax Partners, the acquisition of Copperleaf Technologies by IFS, and the investment in team.blue by CPP Investments and Sofina.

The performance in Advisory business is expected to remain positive in the coming quarters as well, driven by the strong pipeline of deals announced in recent months in both the Italian and international pipeline, including, in the TMT sector, the sale of IGT's Gaming and Digital business lines to Apollo Global Management; in the Industrials sector, the acquisition by Investindustrial of a controlling interest in Piovan and the subsequent launch of a mandatory public offer in order to have the company listed; in the Infrastructure sector, the sale by Ardian and Crédit Agricole Assurances of a stake in 2i Aeroporti to Asterion; and, in the Financial Institutions sector, the public tender offer for Banco Sabadell launched by BBVA.

In Equity Capital Markets, investors continue to be highly selective with regard to IPOs in particular; against this backdrop, the Bank has taken part in some of the largest deals

34 \| Interim Report for the six months ended 31 December 2024

completed on the domestic market, acting as Joint Global Co-ordinator in the rights issue launched by Fincantieri, and the rights issue implemented by doValue.

Mediobanca's commitment to ESG issues has been a feature of the CIB Division's activities, in line with the Strategic Plan targets, with a view to supporting clients in their energy transition strategies, and to allocating capital with a focus on ESG issues through deals that demonstrate the Bank's commitment to projects that contribute to environmental and social sustainability. With reference to Advisory business, on the domestic market deals worth of note include the announcement of the sale of a minority interest in Enilive to KKR by Eni, the sale of 2i Rete Gas to Italgas by F2i SGR and Finavias, and the further investment by Energy Infrastructure Partners in Plenitude.

In Debt Capital Markets, the Bank has played a leading role in the placement of new Green, Social and Sustainability-Linked bonds, including a dual-tranche sustainability-linked bond for Snam. At the same time, in the six months Mediobanca has also taken part in some of the largest senior and subordinated bond issues for both corporates and financial institutions in Italy (including Assicurazioni Generali, Banca Monte Paschi di Siena, BPER Banca, Prysmian, Recordati and UniCredit) and in its other core markets (including BNP Paribas, Commerzbank, Criteria Caixa, Swisscom, Tatra banka and TDF Infrastructure).

In Lending, the growing trend in ESG loans granted by the Bank has continued, with Mediobanca participating in a sustainability-linked revolving credit line for Snam. Furthermore, in a market scenario marked by limited lending volumes, in the acquisition financing segment in particular, the Bank has confirmed its position as market leader in Italy while at the same time strengthening its European footprint by assisting its clients in their ordinary operations, by raising finance and in refinancing operations (including ACS, Bolloré, CDP Reti, Garofalo Health Care, Monaco Telecom and Verallia), and in their extraordinary operations (including Recordati as part of its acquisition of the global rights for Enjaymo from Sanofi, KKR in its voluntary public tender offer for Greenvolt, and the consortium comprising OMERS Infrastructure and DWS Infrastructure in the acquisition of Grandi Stazioni Retail). This segment also reflects the more selective lending criteria adopted in recent quarters in order to protect the profit margins on the capital absorbed and safeguard the high quality of the loan book in the current scenario.

Markets activity offset the reduction in business with institutional clients by improving activities with private and professional clients, continually searching out high-yield investment instruments for customers with substantial liquidity positions exposed to inflation.

\* \* \*

Customer loans increased from €19bn to €19.9bn, driven by Wholesale Banking (up from €16bn to €17.2bn, €13.7bn of which in Lending and Structured Finance), which more than offset the reduction in factoring (which reduced from €3m to €2.7m). Higher new business in Lending and Structured Finance (which totalled €4.1bn, up 84% YoY) was more than double the amount of the repayments (€2.2bn), whereas there was a marked reduction in turnover in Factoring business (down 22%, from €6.2bn to €4.9bn), which was impacted by the crisis in the automotive sector.

Review of group operations \| 35

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **31/12/24** | **31/12/24** | **30/6/24** | **30/6/24** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg. (%)** |
| Italy | 10266.9 | 51.7% | 9250.2 | 48.7% | 11.0% |
| France | 2135.7 | 10.7% | 2485.1 | 13.1% | -14.1% |
| Spain | 1960.5 | 9.9% | 1601.9 | 8.4% | 22.4% |
| Germany | 1902.7 | 9.6% | 1796.9 | 9.5% | 5.9% |
| U.K. | 993.8 | 5.0% | 969.0 | 5.1% | 2.6% |
| Other non resident | 2617.4 | 13.2% | 2890.2 | 15.2% | -9.4% |
| **Total loans and advances to customers** | **19877.0** | **100.0%** | **18993.3** | **100.0%** | **4.7%** |
| &nbsp;&nbsp;&nbsp;- of which: Specialty Finance | 2706.2 | 13.6% | 2950.4 | 15.5% | -8.3% |

---

Gross NPLs decreased from €51.2m to €33.2m, following the exit of two Large Corporate positions, one repayment and one disposal, the stock of which reduces accordingly to €6.6m; while gross NPLs in Specialty Finance were stable at €26.5m. Net NPLs totalled less than €8m.

Gross positions classified as Stage 2 totalled €264.2m (or 1.3% of total loans), following adaptation to the new rules on SICR; Wholesale Banking contributed €161.1m (a reduction of €20.4m in the six months), and Factoring €103.1m (down €4.3m).

Revenues climbed to €451.4m (up 31.9% YoY, up 46.1% QoQ), with the share from Wholesale Banking totalling €412.9m (up 35.5% YoY; up 51.6% QoQ) and that from Specialty Finance totalling €38.5m (up 2.7% YoY), €24.5m of which attributable to MBFACTA.

The main income items performed as follows:

Net interest income was in line with last year, at €152.6m, on a positive contribution from the Markets division (€56.7m, up 24.3% YoY), due to the performance by the fixed-income segment (which eroded part of net treasury income); whereas the contribution from Lending operations was slightly lower, at €71.4m, a YoY reduction of 10%, impacted by the derisking process and by the fact that new business is increasingly geared towards the investment grade segment (with credit spreads under pressure because of the broad offering), with proprietary trading also lower (down from €6.2m to €2.3m) as a result of the different positioning, which, however, boosted net treasury income instead; NII earned from Speciality Finance operations was stable, at €21.5m, as yet unaffected by the reduction in turnover;

Net fee and commission income doubled in size, to €233.7m; fees from Advisory business in particular leapt from €79m to €177.4m, following an impressive contribution from Arma Partners (€80.8m) and the Large Corporate segment in Italy (up from €15m to €42m) and Spain (€10.5m), with deals in the main sectors (Consumer, Infrastructure and TMT); while the growth in fees was lower for Messier & Associés (from €15.2m to €18.3m) and the Mid-Corp segment (from €24m to €26m), and ECM, in line with the market, reported fees flat at €4.5m. The Debt Division posted an increase in fees from Lending (from €24.9m to €31m) and DCM (from €10.4m to €12.2m); while Specialty Finance repeated last year's performance with fees of €17m, €13.7m of which attributable to MBCredit Solutions;

Net treasury income totalled €65.1m (€55.8m last year), with a good QoQ performance (€37.3m, vs €27.8m); the growth was concentrated in proprietary trading (from €7.2m to €20.1m, €15.2m of which in 2Q due to active management of bond securities and US volatility options); while Markets Division activity was stable at €48.4m, with growth in equity trading (from €17.9m to €47m) in line with other market operators, which offset the lower contribution from fixed-income trading which nonetheless increased its share of net interest income.

36 \| Interim Report for the six months ended 31 December 2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Revenues** | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| Capital Market | 16.7 | 29.5 | 15.0 | 11.4% |
| Lending | 102.4 | 222.8 | 105.9 | -3.3% |
| Advisory M&A | 178.2 | 229.1 | 79.3 | n.m. |
| &nbsp;&nbsp;&nbsp;- of which Arma Partners | 81.9 | 68.5 | 24.7 | *n.m.* |
| Trading Prop | 20.7 | 27.8 | 11.6 | 78.4% |
| Market, sales and other gains | 94.9 | 177.6 | 93.0 | 2.0% |
| Specialty Finance | 38.5 | 75.8 | 37.5 | 2.7% |
| **Total Revenues** | **451.4** | **762.6** | **342.3** | **31.9%** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Commissions** | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| Capital Market, Sales and other gains | 8.3 | 36.0 | 13.4 | -38.2% |
| Lending | 31.0 | 63.1 | 24.9 | 24.9% |
| Advisory M&A | 177.4 | 228.2 | 79.0 | n.m. |
| &nbsp;&nbsp;&nbsp;- of which Arma Partners | 80.8 | 66.9 | 24.1 | *n.m.* |
| Specialty Finance | 17.0 | 33.3 | 16.1 | 5.6% |
| **Total Commissions** | **233.7** | **360.6** | **133.4** | **75.2%** |

---

Operating costs grew from €171.5m to €200.3m, €20.2m attributable to Arma Partners. Growth in labour costs (up 24.6%, to €117.6m, €15.3m of which attributable to Arma Partners) reflects the strengthening of the headcount, including the opening of the Mid-Corp branch office at Frankfurt, plus higher accruals for variable remuneration in line with the performance in capital-light activities. Administrative expenses increased from €77.1m to €82.7m (an increase of 7% YoY), with the share of the spending attributable to digitalization totalling €29m (up 5% YoY) and operations (including info-providers) amounting to €17m (up 10% YoY).

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| Wholesale loans | (1.4) | 10.4 | 1.5 | n.m. |
| Specialty Finance loans | 1.9 | 0.2 | (1.1) | n.m. |
| Other financial assets | (0.6) | (3.4) | (2.9) | -79.3% |
| **Total provisions** | **(0.1)** | **7.2** | **(2.5)** | **-96.0%** |

---

The valuation of financial assets (receivables, banking book securities, and holdings in funds) was virtually zero; while writebacks of €0.5m were credited in respect of the loan book, confirming the good quality of the exposures helped by the derisking process.

The net profit includes non-recurring expenses of €3.5m, €2m of which in provisions for litigation and €1.4m of which in one-off costs.

Review of group operations \| 37

***CONSUMER FINANCE***

This Division provides retail clients with the full range of consumer credit products: personal and special-purpose loans, salary- or pension-backed finance, credit cards, plus the new, innovative Buy Now Pay Later solution called "HeyLight", which includes the activities of HeyLight SA (previously named HeidiPay Switzerland AG). Also included in Consumer Finance are Compass RE, which reinsures risks linked to insurance policies sold to clients, Compass Rent, which operates in asset rental, and Compass Link, which distributes Compass products and services via external collaborators.

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| **Profit-and-loss** |  |  |  |  |
| Net interest income | 556.9 | 1043.9 | 512.7 | 8.6 |
| Net trading income |  | 0.2 | 0.4 | n.m. |
| Net fee and commission income | 72.2 | 145.1 | 70.9 | 1.8 |
| Equity-accounted companies | (0.2) | (0.3) | (0.2) | n.m. |
| **Total income** | **628.9** | **1188.9** | **583.8** | **7.7** |
| Labour costs | (62.0) | (120.6) | (57.6) | 7.6 |
| Administrative expenses | (127.2) | (248.9) | (117.0) | 8.7 |
| **Operating costs** | **(189.2)** | **(369.5)** | **(174.6)** | **8.4** |
| Loan loss provisions | (135.6) | (249.7) | (121.3) | 11.8 |
| Provisions for other financial assets |  |  | (0.1) | n.m. |
| Other income (losses) |  | 0.1 | 0.1 | n.m. |
| **Profit before tax** | **304.1** | **569.8** | **287.9** | **5.6** |
| Income tax for the period | (100.7) | (186.9) | (93.8) | 7.4 |
| **Net profit** | **203.4** | **382.9** | **194.1** | **4.8** |
| Cost/Income (%) | 30.1 | 31.1 | 29.9 |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Balance-sheet data** |  |  |  |
| Loans and advances to customers | 15563.7 | 15197.6 | 14701.5 |
| &nbsp;&nbsp;&nbsp;- of which: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Personal loans | 7707.7 | 7516.6 | 7245.7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Salary-backed finance | 1778.5 | 1728.0 | 1680.7 |
| New loans | 4340.0 | 8370.1 | 3927.4 |
| Risk-weighted assets | 14409.3 | 14493.2 | 14545.0 |
| RORWA | 2.8% | 2.7% | 2.7% |
| No. of staff | 1581 | 1563 | 1542 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** | **Chg. (%)** |
| **Commercial data** |  |  |  |  |
| Branches Consumer | 182 | 181 | 181 | 0.6% |
| Agencies Consumer | 88 | 85 | 78 | 12.8% |

---

Growth in profits continues uninterrupted, with a bottom line of €203.4m posted (up 4.8% YoY), with the contribution in both quarters over €100m; the high profitability (RORWA 2.8%) was driven by the solid commercial performance (new loans totalled €4.3bn and lendings €15.6bn), reflected in the trend in net interest income (which totalled €556.9m; up 8.6% YoY, up 2.7% QoQ) and revenues (€628.9m; up 7.7% YoY; up 3.2% QoQ), with both the cost/ income ratio and the cost of risk (CoR) under control.

38 \| Interim Report for the six months ended 31 December 2024

The multichannel approach saw an expansion in direct distribution, with four new points of sale opened in the six months, and the activation of two new Linkers (with priority thus given to variable cost solutions); as at end-December 2024, the Compass distribution platform had 182 branches (one added in 6M), 88 agencies (three added in 6M), and 61 Compass Quinto POS (specializing in the sale of salary-backed finance products), whereas Compass Link<sup>(15)</sup> now has over 221 collaborators. Enhancement of the digital channels continues, which increased their share of personal loans through the direct channel to 40% (vs 33% last year), helped by the introduction of new easier methods for recording new clients (including use of the SPID digital identity), speed of approval (more than 80% of applications are approved in one hour, and 90% in two hours), plus an "instant lending" product for clients with solid track records.

In the meantime, measures have been taken to optimize RWAs: in June 2024, the first SRT securitization was completed (which reduced RWAs by €500m), and in 1Q FY 2024-25 savings of €200m were made enabled by revision of the AIRB models, reflected in the growth in RoRWA and reduction in RWAs (with the density reducing from 89.8% to 88.4%).

Among the development projects implemented in the area of Consumer Financing, the PagoLight product launched in 2021 and progressively enhanced with cutting-edge technology assets and the digital capabilities of fintech companies Soisy (subsequently merged into Compass) and HeidiPay, has undergone a rebranding process. On 10 September 2024 HeyLight was launched: Compass's new international Buy Now Pay Later (BNPL) platform, which has the objective of combining payment solutions featuring full-digital and real-time processes, enabling purchases made in both physical stores and through e-commerce sites to be paid for by instalments. As a result of these initiatives, the name of HeidiPay Switzerland AG was changed to HeyLight AG on 5 September 2024.

HeyLight has a wide base in terms of commercial agreements in Italy, with over 1,500 digital stores and more than 32,000 points of sale: a growing network, with a track record of almost 800 new merchants activated each month. In addition to these, more than 500 commercial agreements in Switzerland are in place with important distributors, luxury brands and technology operators, laying the foundations to develop an international product offering well-suited to multi-country merchants.

The Italian consumer credit market reported significant growth in flows financed in 2024, 7.5% higher than the previous year, for a total of €55.8bn financed. This positive trend accelerated progressively during the course of the year. The broader scenario, following the reduction in inflation as a result of the fall in interest rates and the generally positive situation on the job market, has allowed households to resume their plans and hence consumption levels. The sector's positive performance was driven by personal loans, which recorded growth of 12.2%, and represent more than 50% of the total volumes. The following sectors also made a significant contribution to the upward trend: loans to acquire cars and motorbikes (up 4.4%), volumes paid by instalments through credit cards (up 2.1%), and other special purpose loans (up 2%). Salary- and pension-backed finance products also posted growth, with an increase in volumes of 1.8% from the previous year. Compass in the twelve months of the 2024 calendar year had a market share of 13.9%.

<sup>(15)</sup> Company which acts as an agent in financial activities, launched at year-end 2021 and focused on offering off-site products.

Review of group operations \| 39

New loans for the six months totalled €4.3bn, up 10.5% on the figure posted twelve months previously (€3.9bn), with good performances in all products: personal loans rose by 9.2% (from €1,815m to €1,982.3m), with the share generated by the direct channel (which rose by 7.5%, from €1,444.8m to €1,552.8m) now accounting for almost 80% of the total, coupled with a recovery in the Poste Italiane channel (up 37%, from €115.8m to €158.7m), which is reflected also in the indirect channel (up 16%, from €370.3m to €429.5m); there were also increases in automotive finance (up 4.9%, from €671.3m to €703.9m) and special purpose loans (up 4.3%, from €582m to €607.1m); and growth also in salary-backed finance operations (up 43.7%, from €166.2m to €238.8m); while HeyLight's Italian operations climbed by 39.9% (from €197.3m to €276.1m), plus the contribution from its Swiss channel (€36.6m).

The asset quality indicators remain robust: gross NPLs of €1,050m represent 6.2% of the total loan stock (30/6/24: 5.9%); whereas net NPLs account for 1.7% of total loans (up 14 bps), with a coverage ratio for non-performing exposures of 74.3% (75.3%); the coverage ratio for performing loans stood at 3.57%.

\* \* \*

The growth in revenues (up 7.7%, from €583.8m to €628.9m) was higher than the growth in average lending volumes (which rose by 6%). The main income items performed as follows:

---

| |
|:---|
| Net interest income posted a new record total of €556.9m (up 8.6% YoY; up 2.7% QoQ), with higher volumes in personal loans in particular, which maintained their profitability despite the declining market interest rate trend, and absorbed the increase in the cost of funding;<sup>(16)</sup> |
| Net fee and commission income totalled €72m; the growing contribution from the activities of HeyLight (which rose from €9.2m to €10.7m) and the good performance in terms of income from credit recovery activities offset the downturn in insurance income and the higher commissions credited back to distributors in the indirect channel. |

---

Operating costs of €189.2m (up 8.4% YoY; cost/income ratio 30%) reflect strong activity levels in terms of product and channel development; the growth was split equally between labour costs (up 7.6%, from €57.6m to €62m) linked to the growth in headcount (FTEs have increased from 1,542 to 1,581) and those linked to the remuneration policies, including renewal of the national collective contract. Administrative expenses rose by 8.7% to €127.2m; one-third of the increase is attributable to overheads (approx. €32m), while the remainder was due to credit recovery expenses (which increased from €31m to €34m, up 9% YoY), direct marketing and digital development (approx. €13M, up 15% YoY); while the IT cost component rose from €24m to €27m.

Loan loss provisions rose by 11.8%, from €121.3m to €135.6m, still reflecting the effects of the product mix being geared more towards personal loans (which require a higher level of provisioning right from the point at which they are granted), plus the risk indicators gradually realigning with pre-Covid levels as expected. The cost of risk for the six months stood at 176 bps (31/12/23: 166 bps; down from 178 bps to 175 bps in 2Q), following limited use of overlays (€21m in 1H, with a total of €154m remaining), but reducing in 2Q in line with the good performance in terms of entries to recovery, supported by increasingly effective recovery action, both at the phone collection phase and in the subsequent stages, with strong and ongoing coverage of by both internal and external teams.

<sup>(16)</sup> Featuring the renewal of derivative contracts with higher rates than those falling due.

40 \| Interim Report for the six months ended 31 December 2024

***INSURANCE - PRINCIPAL INVESTING***

The Insurance – Principal Investing (PI) division comprises the Group's portfolio of equity investments and holdings, including the 13.34% stake in Assicurazioni Generali. The latter investment has been this division's main component for many years, and is distinguished for its sound management, consistency of results, high profitability and contribution in terms of diversification and stabilization to the Mediobanca Group's revenues. The division includes the Group's investments in funds and SPVs and/or managed by the Group's asset management companies (seed capital) based on an approach that combines mid-term profitability for the Group with synergies between the divisions, as well as investment activity in private equity funds managed by third parties.

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| **Profit-and-loss** |  |  |  |  |
| Other incomes | 12.2 | 19.5 | 4.2 | n.m. |
| Equity-accounted companies | 230.9 | 510.7 | 218.8 | 5.5 |
| **Total income** | **243.1** | **530.2** | **223.0** | **9.0** |
| Labour costs | (2.1) | (4.1) | (2.0) | 5.0 |
| Administrative expenses | (0.7) | (1.1) | (0.6) | 16.7 |
| **Operating costs** | **(2.8)** | **(5.2)** | **(2.6)** | **7.7** |
| Net loss provisions | 9.4 | 20.0 | 9.2 | 2.2 |
| **Profit before tax** | **249.7** | **545.0** | **229.6** | **8.8** |
| Income tax for the period | (9.2) | (23.0) | (6.2) | 48.4 |
| **Net profit** | **240.5** | **522.0** | **223.4** | **7.7** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Balance-sheet data** |  |  |  |
| Banking book equity securities | 793.6 | 802.2 | 737.6 |
| IAS28 investments | 4081.8 | 3780.7 | 3683.6 |
| Risk-weighted assets | 8079.9 | 8066.5 | 8395.1 |
| RORWA | 3.4% | 3.8% | 3.2% |

---

This division delivered a net profit for the six months of €240.5m, 7.7% higher than last year (€223.4m) due to equity method valuations of €230.9m, and upward adjustments to reflect current fair value for holdings in funds, which at €9.4m were basically in line with last year; il RoRWA<sup>(17)</sup> for the division rose from 3.2% to 3.42%.

The equity method result reflects an increase of 5.5% (from €218.8m to €230.9m), on a growing contribution from Assicurazioni Generali of €226.7m (up 5.4%, from €215.1m), following good performances in all areas of the company's business: indeed, the trend in the Non-Life segment was healthy, despite the significant impact of catastrophic events, as were those in the Life and Asset & Wealth Management segments, the latter favourably impacted by the performance of Banca Generali and the contribution from Conning Holdings Limited. The other IAS 28 investments (IEO, CLI Holdings II, Finanziaria Gruppo Bisazza) contributed a total of €4.1m (€3.5m last year).

Amounts collected by way of dividends and other income from holdings in funds and equities (included under Other income) totalled €16m (€7.5m last year), €6.3m of which from

<sup>(17)</sup> Adjusted Return On RWAs.

Review of group operations \| 41

holdings in private equity funds; upward adjustments of €11.4m were made to the holdings in funds to reflect fair value, €9.2m of which regard the seed capital funds and €2.2m the private equity funds, due to the customary quarterly update of the NAV which reflects the required adjustments (FVA and IPV).<sup>(18)</sup>

The book value of the Assicurazioni Generali investment rose from €3,698m to €4,000.7m, due primarily to the profit for the period (equal to €226.7m) and the increase in reserves (€76m), €27.8m of which from valuations. The data has been calculated based on the investee company's net equity as at 30 September 2024, as permitted by the International Financial Reporting Standards.<sup>(19)</sup>

The other banking book securities increased to €793.6m (30/6/24: €802.2m). Holdings in funds totalled €546m (€546.7m), after the following were recorded during the six months under review:

Net disposals of €12.2m, split between €25.5m in drawdowns from commitments and redemptions totalling €37.7m, virtually all of which linked to expansion of the investor base (known as equalizations);

– Upward changes of €11.4m to reflect fair value, due primarily to holdings in seed capital funds.

By contrast, the equity component saw a reduction in the six months, from €255.5m to €247.5m, following redemptions of approx. €8m, and the deterioration in the positions in listed equities (which reduced by €3.5m), more than offset by new investments totalling €4.6m.

<sup>(18)</sup> Reference is made to sections A3 and A4 of the Notes to the Accounts for further details.

<sup>(19)</sup> Reference is made to sections A1 and A2 of the Notes to the Accounts for further details.

42 \| Interim Report for the six months ended 31 December 2024

***HOLDING FUNCTIONS (CENTRAL, TREASURY AND LEASING)***

The Holding Functions comprises SelmaBipiemme Leasing, MIS and other minor companies, Group Treasury and ALM<sup>(20)</sup> (with the aim of optimizing funding and liquidity management on a consolidated basis, including the securities held as part of the banking book), Group central function costs including the operations, support units (Chief Financial Office, Group Corporate Affairs, Investor Relations, Human Resources, etc.), senior management and the control units (Risk Management, Group Audit and Compliance), for the shares not attributable to the business lines.

(€m)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 mths ended**<br>**31/12/24** | **12 mths ended**<br>**30/6/24** | **6 mths ended**<br>**31/12/23** |<br>**Chg. (%)** |
| **Profit-and-loss** |  |  |  |  |
| Net interest income | 48.1 | 178.0 | 103.1 | -53.3 |
| Net trading income | 5.6 | 39.2 | 23.1 | -75.8 |
| Net fee and commission income | 2.7 | 6.3 | 8.0 | -66.3 |
| Equity-accounted companies | (0.4) |  |  | n.m. |
| **Total income** | **56.0** | **223.5** | **134.2** | **-58.3** |
| Labour costs | (70.0) | (139.7) | (68.6) | 2.0 |
| Administrative expenses | (13.5) | (52.6) | (25.2) | -46.4 |
| **Operating costs** | **(83.5)** | **(192.3)** | **(93.8)** | **-11.0** |
| Loan loss provisions | 2.7 | (5.6) | (5.7) | n.m. |
| Provisions for other financial assets | 1.8 | (4.1) | (1.8) | n.m. |
| Other income (losses) | (0.8) | (49.4) | (23.7) | n.m. |
| **Profit before tax** | **(23.8)** | **(27.9)** | **9.2** | **n.m.** |
| Income tax for the period | (4.7) | (13.2) | (20.9) | -77.5 |
| Minority interest | (1.4) | (2.7) | (1.3) | 7.7 |
| **Net profit** | **(29.9)** | **(43.8)** | **(13.0)** | **n.m.** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Balance-sheet data** |  |  |  |
| Loans and advances to customers | 1328.9 | 1403.3 | 1318.6 |
| Banking book securities | 9201.6 | 9258.4 | 8950.6 |
| No. of staff | 873 (441) | 880 (443) | 855 (427) |
| Risk-weighted assets | 3851.9 | 4153.2 | 4292.1 |

---

The net loss posted by the Holding Functions division in the six months totalled €29.9m, impacted primarily by the trend in market interest rates (Euribor 3M: down 67 bps vs twelve months previously), which halved net interest income (which declined from €103.1m to €48.1m). The reduced contribution from short-term cash consumption activity in support of trading activity (including equity trading), accentuated by the increase in the cost of funding in the Wealth Management channel, was not offset by a good performance in government securities, with the BTP/*Bund* spread at low levels, which reduced active portfolio management while preserving the generation of reserves (€63m) to the detriment of earnings which totalled €5.6m (including gains on the banking book). Operating costs decreased from €93.8m to €83.5m, including the central cost component (€54.7m) which represents 7% of the Group's total costs.

<sup>(20)</sup> Group Treasury finances the individual business areas' operations, applying the funds transfer pricing (FTP) rate based on the relevant curves, with spreads varying depending on the expiries agreed for the respective use of funds.

Review of group operations \| 43

The main income items performed as follows:

Treasury: the net contribution from treasury operations fell to €15.5m (down €40m YoY), reflecting the reduction in net interest income (from €85m to €35.8m), related, on the one hand, to the increase in the cost of funding in the Wealth Management channel, which, despite remaining the cheapest form of funding for the Group, still reflects an external cost which is 36 bps higher than twelve months previously (the internal funds transfer pricing rate is 283 bps), and, on the other, to the stability of the internal FTP rate to facilitate new business in order to support corporate lending and mortgage volumes. The Group's ALM position remains balanced, with regulatory indicators stable (MREL: 42.7%; LCR: 155% and NSFR: 115%);

Leasing: the net profit earned by leasing operations totalled €2.3m (€2m), corresponding to the amount of the net writebacks to receivables (€2.3m) in connection with the reduction in the loan stock (down from €1,238.1m to €1,172.7m), which, however, was reflected in the lower revenues (down 17.5%); at the same time, gross NPLs also decreased (from €79.8m to €70.1m), while net NPLs totalled approx. €14m.

\* \* \*

44 \| Interim Report for the six months ended 31 December 2024

**Mediobanca Spa**

**REST** **ATED PROFIT AND LOSS ACCOUNT**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **6 months ended**<br>**31/12/24** | **12 months ended**<br>**30/6/24** | **6 months ended**<br>**31/12/23** |<br>**Chg. (%**) |
| **Profit-and-loss data** |  |  |  |  |
| Net interest income | 165.6 | 401.7 | 210.7 | -21.4% |
| Net treasury income | 96.3 | 168.4 | 97.5 | -1.2% |
| Net fee and commission income | 198.3 | 364.0 | 150.9 | 31.5% |
| Dividends on investments | 471.5 | 1041.2 | 419.4 | 12.4% |
| **Total income** | **931.7** | **1975.3** | **878.5** | **6.1%** |
| Labour costs | (160.2) | (309.9) | (145.2) | 10.3% |
| Administrative expenses | (109.6) | (235.7) | (108.6) | 0.9% |
| **Operating costs** | **(269.8)** | **(545.6)** | **(253.8)** | **6.3%** |
| Loan loss provisions | (0.2) | 5.0 | (3.4) | -94.3% |
| Provisions for other financial assets | 10.8 | 12.3 | 4.4 | n.m. |
| Impairment on investments |  | (35.2) |  | n.m. |
| Other income (losses) | (3.3) | 0.2 | (0.5) | n.m. |
| **Profit before tax** | **669.2** | **1412.0** | **625.2** | **7.0%** |
| Income tax for the period | (75.0) | (168.0) | (85.0 | -11.8% |
| **Net profit** | **594.2** | **1244.0** | **540.2** | **10.0%** |

---

**RESTATED BALANCE SHEET**

---

| | | | |
|:---|:---|:---|:---|
|  | **31/12/24** | **30/6/24** | **31/12/23** |
| **Assets** |  |  |  |
| Financial assets held for trading | 15130.9 | 15437.9 | 11280.2 |
| Treasury financial assets | 13285.1 | 13949.5 | 14645.5 |
| Banking book debt securities | 11947.8 | 11231.6 | 11114.4 |
| Customer loans | 42533.2 | 40282.0 | 39931.8 |
| Equity Investments | 4905.4 | 4836.2 | 4847.4 |
| Tangible and intangible assets | 171.1 | 170.8 | 169.5 |
| Other assets | 912.2 | 1387.3 | 1165.1 |
| **Total assets** | **88885.7** | **87295.3** | **83153.9** |
| **Liabilities and net equity** |  |  |  |
| Funding | 58874.0 | 58292.2 | 55487.5 |
| Treasury financial liabilities | 13624.7 | 11588.1 | 10799.5 |
| Financial liabilities held for trading | 9291.5 | 9666.7 | 9582.7 |
| Other liabilities | 1899.3 | 2637.1 | 2317.1 |
| Provisions | 79.2 | 79.4 | 92.2 |
| Net equity | 4522.8 | 3787.8 | 4334.7 |
| Profit of the period | 594.2 | 1244.0 | 540.2 |
| **Total liabilities and net equity** | **88885.7** | **87295.3** | **83153.9** |

---

Mediobanca S.p.A., the parent company of the Mediobanca Group, delivered a net profit of €594.2m for the six months, up 10% on last year (€540.2m). Revenues were up 6.1%, from €878.5m to €931.7m, on a 31.5% increase in fee income, with dividends from Group Legal Entities rising by 12.4%, offsetting the anticipated reduction in net interest income (which was down 21.4%). The main income items performed as follows:

---

| | |
|:---|:---|
| *–* | Net interest income decreased from €210.7m to €165.6m, reflecting the reduction in market interest rates and the rigorous selection of corporate counterparties in Lending business (which is increasingly focused on investment-grade clients), against an increase in the cost of |

---

Review of group operations \| 45

---

| |
|:---|
| funding, in Wealth Management especially, in view of the high competition levels in the sector; |
| Net treasury income totalled €96.3m, basically in line with last year's result (€97.5m), on a good performance in trading income (which rose from €7.3m to €21.2m), offsetting the reduction in the ALM proxy hedge portfolio (from €22.8m to €4.1m) which protected the whole of the banking book from the diminishing market yields. The slight reduction in client solutions activity (from €46.5m to €42.1m) was offset by higher dividends and income from holdings in funds, which totalled €28.9m (compared with €20.8m); |

---

Net fee and commission income totalled €198.3m (€150.9m; an increase of 31.5%), with the contribution from Wholesale Banking up sharply (from €75.2m to €121.7m), concentrated in Corporate Finance (up from €39.6m to €78.3m), Lending (up from €20.6m to €26.8m), and DCM (up from €10.4m to €12.2m); while the growth reported in Private Banking (from €64.9m to €73.5m) regards management fees (up 10% YoY, to €38m), with upfront fees from placements resilient at €26.2m (€23.6m), and a good performance in management fees (€2.4m);

---

| | |
|:---|:---|
| *–* | Dividends from investments amounted to €471.5m, €380m of which from Compass Banca, €40m from Mediobanca Premier, €19.5m from Mediobanca International, €15.5m from MBFACTA, €8m from Mediobanca SGR, and €8.5m from other Group Legal Entities. |

---

The increase in operating costs, which were up 6.3% (from €253.8m to €269.8m; cost/income ratio 29%), chiefly regards labour costs (up 10.3%, from €145.2m to €160.2m) linked to the increase in the headcount, coupled with the higher performance-related variable remuneration component, while the impact of the national collective contract renewal was minimal; administrative expenses rose slightly, up 0.9% (from €108.6m to €109.6m), due primarily to technology upgrades.

Net writebacks were taken for the six months in respect of financial assets (loans, banking book securities and holdings in funds) totalling €10.6m (vs writebacks of €1m) last year, approx. €8m of which regarding the fair value of funds.

Net profit reflects non-recurring charges of €3.3m, liabilities of approx. €1m for indemnities, and other contingent liabilities.

The Bank's total assets increased from €87.3bn to €88.9bn in the six months under review, and reflect the following performances:

*–* Customer loans increased from €40.3bn to €42.5bn, and regard €14.5bn in loans to corporate clients (€13.2bn), €1.5bn in loans to Private Banking clients (€1.4bn), and €26.6bn in loans to Group Legal Entities (€25.7bn);

---

| | |
|:---|:---|
| *–* | Funding, including treasury operations, rose from €69.9bn to €72.5bn, following strong activity on the debt security market (with new issues totalling €3.1m) and an increase in Wealth Management deposits. |

---

AUM/AUA in Private Banking rose by 8%, from €22.9bn to €24.7bn, with a strong managed component (AUM up 8%, from €10.8bn to €11.7bn); NNM for the six months totalled €1.5bn, €443m of which in 2Q (mostly AUM).

46 \| Interim Report for the six months ended 31 December 2024

The financial highlights for the other Group Legal Entities in the six months under review are shown below:

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Company** | <br>**Percentage**<br>**shareholding** | <br>**Business**<br>**Line** | <br>**Total**<br>**Assets** | **Loans and**<br>**andvances**<br>**to customers** | <br>**Total Net**<br>**Equity<sup>(1)</sup>** | <br>**No. of**<br>**staff** |
| Mediobanca Securities (data in USDm) | 100% | CIB | 8.1 |  | 6.4 | 6 |
| Messier et Associés S.A.S.<sup>(\*)</sup> | 100% | CIB | 58.9 |  | 19.3 | 42 |
| Messier et Associés L.L.C. (data in USDm)<sup>(\*)</sup> | 100% | CIB | 0.6 |  | 0.6 | 2 |
| Mediobanca International | 100% | CIB | 7202.4 | 4845.3 | 434.3 | 18 |
| MBFACTA | 100% | CIB | 2904.1 | 2706.6 | 234.9 | 52 |
| MBCredit Solutions | 100% | CIB | 52.1 | 0.4 | 35.2 | 159 |
| MB Contact Solutions | 100% | CIB | 1.4 |  | 0.6 | 6 |
| Arma Partnes LLP (data in GBPm) | 100% | CIB | 81.9 |  | 63.5 | 90 |
| Arma Partnes CF Ltd UK (data in GBPm) | 100% | CIB | 3.8 |  | 0.7 |  |
| Arma DE GmbH (data in GBPm) | 100% | CIB | 0.7 |  | 0.5 |  |
| Compass Banca | 100% | CF | 16917 | 15535 | 2707.7 | 1557 |
| Quarzo S.r.l. | 90% | CF | 2.4 |  |  |  |
| Compass RE | 100% | CF | 306.4 |  | 184.4 | 1 |
| Compass Rent | 100% | CF | 10.5 |  | 0.9 | 14 |
| Compass Link | 100% | CF | 2.4 |  | (1.8) | 1 |
| Heidi Pay Switzerland AG (data in CHFm) | 100% | CF | 40.2 | 36.9 | 1.2 | 11 |
| MB Premier | 100% | WM | 31679.7 | 12615.3 | 950.9 | 1590 |
| Mediobanca Covered Bond | 90% | WM | 0.9 |  | 0.1 |  |
| CMB Monaco | 100% | WM | 8343.6 | 3022.5 | 795.1 | 267 |
| Spafid | 100% | WM | 47.4 |  | 40.9 | 40 |
| Polus Capital Management Group Ltd (data in GBPm)<sup>(\*)</sup> |  |  |  |  |  |  |
| - consolidated | 89.07% | WM | 155.7 |  | 105.8 | 73 |
| &nbsp;&nbsp;&nbsp;Polus Capital Management Group Ltd | 89.07% | *WM* | 124.6 |  | 85.8 | 67 |
| &nbsp;&nbsp;&nbsp;Polus Capital Management Ltd | 89.07% | *WM* | 29.9 |  | 20.3 | 1 |
| &nbsp;&nbsp;&nbsp;Polus Capital Management (US) Inc. | 89.07% | *WM* | 1.2 |  | (0.4) | 5 |
| &nbsp;&nbsp;&nbsp;Bybrook Capital Management Limited | 89.07% | *WM* |  |  |  |  |
| RAM Active Investments (data in CHFm)<sup>(\*)</sup> | 98.28% | WM | 17.7 |  | 13.1 | 30 |
| CMG Monaco | 100% | WM | 14.6 |  | 0.7 | 13 |
| Spafid Trust S.r.l. | 100% | WM | 1.5 |  | 1.2 | 3 |
| Mediobanca SGR S.p.A. | 100% | WM | 78.5 | 35.4 | 61.3 | 66 |
| Mediobanca Management Company S.A. | 100% | WM | 12.8 |  | 7.1 | 11 |
| CMB RED | 100% | WM | 124.7 |  | 124.2 | 1 |
| Mediobanca International Immobilière | 100% | HF | 2.2 |  | 2.1 |  |
| Mediobanca Funding Luxembourg | 100% | HF | 98 |  | 1 |  |
| SelmaBipiemme Leasing | 60% | HF | 1275.1 | 1172.7 | 181.2 | 89 |
| Mediobanca Innovation Services | 100% | HF | 93.– |  | 35.6 | 161 |

---

<sup>(1)</sup> Includes profit for the period..

<sup>(\*)</sup> Taking into account the put and call option; see Part A1 – section 3 – Area and methods of consolidation p. 72.

Review of group operations \| 47

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Company** | <br>**Percentage**<br>**shareholding** | <br>**Business**<br>**Line** | <br>**Income** | <br>**Costs** | <br>**Provisions** | **Gain/(loss)**<br>**for the**<br>**period** |
| Mediobanca Securities (data in USDm) | 100% | CIB | 2.4 | (2.2) |  | 0.1 |
| Messier et Associés S.A.S.<sup>(\*)</sup> | 100% | CIB | 17.6 | (16.4) |  | 1 |
| Messier et Associés L.L.C. (data in USDm)<sup>(\*)</sup> | 100% | CIB |  | 0.1 |  | 0.1 |
| Mediobanca International | 100% | CIB | 18.1 | (4.9) | 0.2 | 10.3 |
| MBFACTA | 100% | CIB | 24.5 | (7.5) | 1.5 | 12.3 |
| MBCredit Solutions | 100% | CIB | 14.3 | (12.2) | (0.6) | 0.9 |
| MB Contact Solutions | 100% | CIB | 1.1 | (1.0) |  |  |
| Arma Partnes LLP (data in GBPm) | 100% | CIB | 68.7 | (17.0) |  | 51.7 |
| Arma Partnes CF Ltd UK (data in GBPm) | 100% | CIB | 8.5 | (8.5) |  |  |
| Arma DE GmbH (data in GBPm) | 100% | CIB | 0.5 | (0.5) |  |  |
| Compass Banca | 100% | CF | 612.1 | (183.3) | (134.4) | 195.9 |
| Quarzo S.r.l. | 90% | CF |  |  |  |  |
| Compass RE | 100% | CF | 14.5 | (0.5) |  | 11.5 |
| Compass Rent | 100% | CF | 1 | (2.6) |  | (1.2) |
| Compass Link | 100% | CF | 0.6 | (0.8) |  | (0.3) |
| Heidi Pay Switzerland AG (data in CHFm) | 100% | CF | 1.1 | (1.9) | (1.0) | (1.9) |
| MB Premier | 100% | WM | 233.7 | (160.7) | (1.9) | 46.8 |
| Mediobanca Covered Bond | 90% | WM |  |  |  |  |
| CMB Monaco | 100% | WM | 89.3 | (53.0) | (0.3) | 27.4 |
| Spafid | 100% | WM | 4.7 | (5.1) |  | 0.1 |
| Polus Capital Management Group Ltd (data in GBPm)<sup>(\*)</sup> |  |  |  |  |  |  |
| - consolidated | 89.07% | WM | 25.7 | (21.9) |  | 2.5 |
| &nbsp;&nbsp;&nbsp;Polus Capital Management Group Ltd | 89.07% | WM | 4.4 | (4.4) |  |  |
| &nbsp;&nbsp;&nbsp;Polus Capital Management Ltd | 89.07% | WM | 20.7 | (15.4) |  | 3.7 |
| &nbsp;&nbsp;&nbsp;Polus Capital Management (US) Inc. | 89.07% | WM | 0.6 | (2.1) |  | (1.2) |
| &nbsp;&nbsp;&nbsp;Bybrook Capital Burton Partnership (GP) Limited | 89.07% | WM |  |  |  |  |
| RAM Active Investments (data in CHFm)<sup>(\*)</sup> | 98.28% | WM | 7.3 | (7.4) |  | (0.6) |
| CMG Monaco | 100% | WM | 2.5 | (2.2) |  | 0.2 |
| Spafid Trust S.r.l. | 100% | WM | 0.4 | (0.4) |  |  |
| Mediobanca SGR S.p.A. | 100% | WM | 17.8 | (10.4) |  | 5.2 |
| Mediobanca Management Company S.A. | 100% | WM | 1.4 | (2.2) |  | (0.7) |
| CMB RED | 100% | WM |  |  |  |  |
| Mediobanca International Immobilière | 100% | HF | 0.1 | (0.1) |  |  |
| Mediobanca Funding Luxembourg | 100% | HF | 0.2 | (0.2) |  |  |
| SelmaBipiemme Leasing | 60% | HF | 13.8 | (9.9) | 2.3 | 3.6 |
| Mediobanca Innovation Services | 100% | HF |  | 0.4 |  | 0.1 |

---

<sup>(\*)</sup> Taking into account the put and call option; see Part A1 – section 3 – Area and methods of consolidation p. 72.

**Other information**

**Related party disclosure**

Financial accounts outstanding as at 31 December 2024 between companies forming part of the Mediobanca Group and related parties, and transactions undertaken between such parties during the period, are illustrated in Part H of the Notes to the Accounts, along with all the information required in terms of transparency pursuant to Consob resolution no. 17221 issued on 12 March 2010 (amended most recently by resolution no. 21264 of 10 December 2020). All such accounts form part of Group companies' ordinary operations, are maintained on an arm's length basis, and are entered into solely in the interests of the companies concerned. No atypical or irregular transactions have been entered into with such counterparties.

48 \| Interim Report for the six months ended 31 December 2024

**Article 15 of Consob's market regulations**

With reference to Article 15 (previously Article 36) of Consob resolution 16191/07 (Market Regulations) on the subject of prerequisites for listing in respect of parent companies incorporated or regulated by the laws of EU member states and relevant to the preparation of the consolidated accounts, CMB Monaco is the only Group Legal Entity affected by this provision, and adequate procedures have been adopted to ensure it is fully compliant.

**Principal risks facing the Group**

In addition to the customary information on financial risks (credit, market, liquidity and operational risks), the notes to the accounts contain a description of the other risks to which the Group is exposed in the course of its business, as they emerged from the ICAAP self-assessment process now required by the regulations in force. In particular, this involves concentration risk versus Italian groups in the Group's corporate activities, financial risk on the banking book (primarily interest rate risk), strategic or business risk, risk deriving from exposure to volatility on financial markets for the equities held in the banking portfolio, and exposure to sovereign debt.

**Consolidated Non-Financial Statement**

Since FY 2017-18, the Group has published a Consolidated Non-Financial Statement drawn up in accordance with Article 4 of Italian Legislative Decree 254/16, and contains information on environmental and social issues, human resources, protection of human rights and anti-corruption measures, in order to facilitate understanding of the Group's activities, performance, results and impact generated.

Following the enactment of Directive (EU) No. 2022/2464 as regards corporate sustainability reporting (the "Corporate Sustainability Reporting Directive", or the "CSRD") and the adoption of the European Sustainability Reporting Standards (the "ESRS"), the Group has launched an "ESG Disclosure and Reporting" project which has enabled the areas of activity to be defined which will enable it to prepare its first Sustainability Statement for the twelve months ending 30 June 2025 as part of the Review of Operations.

The main initiatives here have involved: identification of the scope of reporting and analysis of the value chain; implementation of the Group's first double materiality analysis; implementation of a dedicated reporting application; and structuring of internal procedures and controls.

**Research**

Economic research is carried on by the Mediobanca Research Area. The Research Area's catalogue includes the customary publications which have been produced for many years now ("Leading Italian Companies", "Financial Aggregates of Italian Companies", "Medium-Sized Industrial Companies"), plus a series of industrial economic reports on the sectors in which the Italian market is most involved internationally. Research covers the sectors of most importance to Italian manufacturing industry (e.g. "Made-in-Italy" products), and sectors at the cutting edge in technology terms. Special attention is also devoted to family business issues.

Review of group operations \| 49

**Credit rating**

Ratings agencies Moody's and Fitch have confirmed their long-term ratings in the last year, at Baa1 and BBB respectively, both with stable outlook. The public exchange offer launched by MPS is under review by the ratings agencies, with possible negative implications for Mediobanca's rating. At the end of January 2025 Moody's downgraded its outlook for Mediobanca from stable to negative, while retaining its Baa1 long-term rating, because of the effects of the possibility of the Bank merging with a group such as MPS which the agency considered to be weaker than Mediobanca.

**Outlook**

The European scenario for the coming months will continue to reflect the uncertainty driving from the geopolitical risks and the first initiatives implemented by the new US administration: the imposition of tariffs on international markets could further weakening the leading EU economies (Germany and France in particular), despite the accommodative monetary policies put in place by the ECB which, unlike the Fed, continued its interest rate-cutting trajectory into January 2025.

Against this backdrop, the Mediobanca Group will unlock value from the strategic vision and trajectory outlined in its 2023-26 Strategic Plan "One Brand-One Culture", based on high growth due to the divisions' specialized and distinctive positioning, including in particular:

*–* Growth in Wealth Management as priority, a sector in which Mediobanca is now a leading player, with above-average growth rates;

*–* increasingly synergic with Wealth Management, diversified and sustainable, but at the same time more international and focused on capital-light activities;

*–* Consumer Finance continuing to grow, on the back of Compass's effective proprietary distribution network and established risk assessment capability;

*–* *Insurance as* a source of revenues, strongly decorrelated from the core banking business;

*–* High capital generation and best-in-class distribution policy, with low execution risk.

The Mediobanca Group, on the strength of the results delivered so far, the outstanding start made to the 2024-25 financial year, and the potential embedded in its business model, estimates the following targets for the current year:

– NNM of €9-10bn per annum;

– Revenues growing, with fees set to grow at a low double-digit rate, and net interest income resilient (despite the anticipated reduction in interest rates) due to the strength of Consumer Finance operations, which are able to absorb the reduction in yields on other assets;

– Cost/income ratio and cost of risk under control;

Growth in Earnings Per Share (EPS) of 6-8%:<sup>(21)</sup>

High shareholder remuneration, including completion of the share buyback currently in progress (€385m, 61% of which already complete), plus a 70% cash payout (with an interim dividend payable in May 2025 and the balance due in November 2025), as well as decisions on possible further buybacks which will be disclosed by end-June 2025;

<sup>(21)</sup> Including the cancellation of shares acquired as part of the €385m buyback in the course of being executed.

50 \| Interim Report for the six months ended 31 December 2024

The good performance by the various business lines will lead to growth in EPS of 6-8%<sup>(22)</sup>;

High shareholder remuneration, with the completion of the share buyback programme currently in progress (€385m, 61% of which has already been completed, and a cash payout of 70% (interim dividend payable in May 2025, with the balance due in November 2025), plus further decisions on buybacks to be discolsed by the end of the financial year.

**Reconciliation of shareholders' equity and net profit**

(€m)

---

| | | |
|:---|:---|:---|
|  | **Shareholders'**<br>**equity** | **Net profit**<br>**(loss)** |
| Balance at 30/06 as per Mediobanca S.p.A. accounts | 4520093 | 594914 |
| Net surplus over book value for consolidated companies | 14822 | 374332 |
| Differences on exchange rates originating from conversion of accounts made up in currencies other than the Euro | 22913 |  |
| Other adjustments and restatements on consolidation, including the effects of accounting for companies on an equity basis | 6017466 | (309509) |
| Dividends received during the period |  |  |
| **Total** | **10575294** | **659737** |

---

Milan, 10 February 2025

The Board of Directors

<sup>(22)</sup> Including the cancellation of approx. 80% of the shares to be acquired as part of the €385m buyback in the course of being executed.

Review of group operations \| 51

CERTIFICATION BY THE HEAD

OF COMPANY FINANCIAL REPORTING

![](tm2518026d1_ex99-5s1img002.jpg)

***Declaration concerning the half-yearly financial report <br> pursuant to Article 81-ter of CONSOB Regulation No. 11971<br> of 14 May 1999, as amended***

1. The
 undersigned Alberto Nagel and Emanuele Flappini, in their respective capacities as Chief
 Executive Officer and Financial Reporting Officer of Mediobanca, hereby, and in view inter
 alia of the provisions contained in Article 154- *bis*, paragraphs 3 and 4, of Italian
 Legislative Decree No. 58 of 24 February 1998, declare that the administrative and accounting
 procedures used in the preparation of the consolidated financial statements:

– were adequate in view of the company's characteristics and

– were effectively adopted during the period 1 July - 31 December 2024.

2. Assessment
 of the adequacy of said administrative and accounting procedures for the preparation of the
 half-yearly financial report as at 31 December 2024 was based on a model defined by Mediobanca
 in accordance with benchmark standards for internal control systems which are widely accepted
 at international level (CoSO and CobiT frameworks).

3. It
 is further hereby declared that

&nbsp;&nbsp;&nbsp;&nbsp;3.1 this half-yearly financial report:

– was drawn up in accordance with the International Financial Reporting Standards adopted by the European Union pursuant to Regulation (EC) 1606/02 issued by the European Parliament and Council on 19 July 2002;

– corresponds to the data recorded in the company's books and accounting ledgers;

– is adequate for the purpose of providing a true and fair view of the capital, earnings and financial situation of the issuer and of the group of companies included within its area of consolidation.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2 the
 interim review of operations includes a reliable analysis of references to significant events
 that occurred in the first half of the financial year and their impact on the half-year financial
 report, together with a description of the main risks and uncertainties for the remaining
 half of the financial year. The interim review of operations also includes a reliable analysis
 of the information on significant transactions with related parties.

Milan, 10 February 2025

*Chief Executive Officer* *Financial Reporting Officer* <br>Alberto Nagel Emanuele Flappini

Certification by the Head of Company Financial Reporting \| 53

EXTERNAL AUDITORS' REPORT

![](tm2518026d1_ex99-5s1img002.jpg)

---

| | | |
|:---|:---|:---|
| ![](tm2518026d1_ex99-5sp3img001.jpg) | EY S.p.A.<br> Via Meravigli, 12<br> 20123 Milano | Tel: +39 02 722121<br> Fax: +39 02 722122037<br> ey.com |

---

**Review report on the interim condensed consolidated financial statements**

**(Translation from the original Italian text)**

To the Shareholders of

Mediobanca S.p.A.

**Introduction**

We have reviewed the interim condensed consolidated financial statements, comprising the consolidated balance sheet, the consolidated profit and loss account, the consolidated comprehensive profit and loss account, the statement of changes to consolidated net equity, the consolidated cash flow statement and related notes of Mediobanca S.p.A. and its subsidiaries (hereafter "Mediobanca Group") as of December 31, 2024 and for the six months then ended. The Directors are responsible for the preparation of the interim condensed consolidated financial statements in conformity with the International Financial Reporting Standard applicable to interim financial reporting (IAS 34) issued by the International Accounting Standards Board and adopted by the European Union. Our responsibility is to express a conclusion on these interim condensed consolidated financial statements based on our review.

**Scope of Review**

We conducted our review in accordance with review standards recommended by Consob (the Italian Stock Exchange Regulatory Agency) in its Resolution no. 10867 of 31 July 1997. A review of interim condensed consolidated financial statements consists of making inquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing (ISA Italia) and consequently does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion on the interim condensed consolidated financial statements.

**Conclusion**

Based on our review, nothing has come to our attention that causes us to believe that the interim condensed consolidated financial statements of Mediobanca Group as of December 31, 2024 are not prepared, in all material respects, in conformity with the International Financial Reporting Standard applicable to interim financial reporting (IAS 34) issued by the International Accounting Standards Board and adopted by the European Union.

Milan, February 11, 2025

EY S.p.A.

Signed by: Davide Lisi, Auditor

*This report has been translated into the English language solely for the convenience of international readers*

EY S.p.A.

Sede Legale: Via Meravigli, 12 – 20123 Milano

Sede Secondaria: Via Lombardia, 31 – 00187 Roma

Capitale Sociale Euro 2.975.000 i.v.

Iscritta alla S.O. del Registro delle Imprese presso la CCIAA di Milano Monza Brianza Lodi

Codice fiscale e numero di iscrizione 00434000584 - numero R.E.A. di Milano 606158 - P.IVA 00891231003

Iscritta al Registro Revisori Legali al n. 70945 Pubblicato sulla G.U. Suppl. 13 - IV Serie Speciale del 17/2/1998

A member firm of Ernst & Young Global Limited

CONSOLIDATED FINANCIAL <br> STATEMENTS

![](tm2518026d1_ex99-5s1img002.jpg)

**Consolidated Balance Sheet**

(€'000)

---

| | | | |
|:---|:---|:---|:---|
| **Assets** | **Assets** | **31/12/24** | **30/6/24** |
| 10. | Cash and cash equivalents | 2086067 | 3361150 |
| 20. | Financial assets at fair value with impact taken to profit and loss | 16314194 | 16787866 |
|  | a) Financial assets held for trading | 14638267 | 15409451 |
|  | b) Financial assets designated at fair value | 1021306 | 719215 |
|  | c) Other financial assets mandatorily at fair value | 654621 | 659200 |
| 30. | Financial assets at fair value with impact taken to comprehensive income | 6635852 | 6905703 |
| 40. | Financial assets at amortized cost | 66810007 | 64158936 |
|  | a) Due from banks | 5574379 | 5527291 |
|  | b) Due from customers | 61235628 | 58631645 |
| 50. | Hedging derivatives | 233252 | 705549 |
| 60. | Adjustment of hedging financial assets (+/-) |  |  |
| 70. | Equity investments | 4092183 | 3789216 |
| 80. | Insurance assets |  |  |
|  | a) issued insurance contracts that constitute assets |  |  |
|  | a) reinsurance contracts ceded that constitute assets |  |  |
| 90. | Property, plant and equipments | 578029 | 549617 |
| 100. | Intangible assets | 1061161 | 1045432 |
|  | of which: |  |  |
|  | goodwill | 833749 | 827313 |
| 110. | Tax assets | 452118 | 754812 |
|  | a) current | 143423 | 350699 |
|  | b) deferred | 308695 | 404113 |
| 120. | Assets classified as held for sale |  |  |
| 130. | Other assets | 1648791 | 1167993 |
| **Total assets** | **Total assets** | **99911654** | **99226274** |

---

Consolidated Financial Statements \| 57

(€'000)

---

| | | | |
|:---|:---|:---|:---|
| **Liabilities and net equity** | **Liabilities and net equity** | **31/12/24** | **30/6/24** |
| 10. | Financial liabilities at amortized cost | 71606983 | 70321563 |
|  | a) Due to banks | 11596182 | 10962115 |
|  | b) Due to customers | 33427969 | 34104548 |
|  | c) Debt securities in issue | 26582832 | 25254900 |
| 20. | Trading financial liabilities | 9095372 | 9504710 |
| 30. | Financial liabilities designated at fair value | 4718565 | 4239199 |
| 40. | Hedging derivatives | 1111317 | 1431642 |
| 50. | Adjustment of hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities | 534397 | 749647 |
|  | a) current | 151458 | 359882 |
|  | b) deferred | 382939 | 389765 |
| 70. | Liabilities included in disposal groups classified as held for sale |  |  |
| 80. | Oher liabilities | 1290300 | 1488427 |
| 90. | Staff severance indemnity provision | 19853 | 20445 |
| 100. | Provisions | 128977 | 137691 |
|  | a) commitments and financial guarantees | 22123 | 21396 |
|  | b) post-employment and similar benefits | 730 |  |
|  | c) other provisions | 106124 | 116295 |
| 110. | Insurance liabilities | 84698 | 89765 |
|  | a) issued insurance contracts that constitute liabilities | 84698 | 89765 |
|  | b) reinsurance contracts ceded that constitute liabilities |  |  |
| 120. | Revaluation reserves | (152312) | (68578) |
| 130. | Redeemable shares repayable on demand |  |  |
| 140. | Equity instruments repayable on demand |  |  |
| 150. | Reserves | 8347917 | 7380974 |
| 160. | Share premium reserve | 2080830 | 2195606 |
| 170. | Share capital | 444681 | 444515 |
| 180. | Treasury share (-) | (145822) | (68828) |
| 190. | Minority interests (+/-) | 86161 | 86114 |
| 200. | Profit/(loss) for the period (+/-) | 659737 | 1273382 |
| **Total liabilities and net equity** | **Total liabilities and net equity** | **99911654** | **99226274** |

---

58 \| Interim Report for the six months ended 31 December 2024

**Consolidated Profit and Loss**

(€'000)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Items** | **Items** | **31/12/24** | **30/6/24** | **31/12/23** |
| 10. | Interest and similar income | 2015320 | 3973022 | 1956429 |
|  | of which: interest income calculated according to the effective interest method | 1678699 | 3237324 | 1587765 |
| 20. | Interest expense and similar charges | (1093434) | (2025489) | (963934) |
| **30.** | **Net interest income** | **921886** | **1947533** | **992495** |
| 40. | Fee and commission income | 587547 | 992546 | 440793 |
| 50. | Fee and commission expense | (100109) | (181406) | (85848) |
| **60.** | **Net fee and commission income** | **487438** | **811140** | **354945** |
| 70. | Dividends and similar income | 52159 | 138027 | 28029 |
| 80. | Net trading income | 88112 | 39684 | 37592 |
| 90. | Net hedging income (expense) | 6663 | 2083 | (2354) |
| 100. | Gain (loss) on disposal/repurchase: | 24254 | 8090 | 13754 |
|  | a) financial assets measured at amortized cost | 423 | 606 | 8652 |
|  | b) financial assets valued at fair value with impact taken to comprehensive income | 24572 | 6431 | 4402 |
|  | c) financial liabilities | (741) | 1053 | 700 |
| 110. | Net result from other financial assets and liabilities measured at fair value with impact taken to profit and loss: | (67501) | 34129 | 36821 |
|  | a) financial assets and liabilities designated at fair value | (76674) | 12041 | 24672 |
|  | b) other financial assets mandatorily valued at fair value | 9173 | 22088 | 12149 |
| **120.** | **Total income** | **1513011** | **2980686** | **1461282** |
| 130. | Net write-offs (write-backs) for credit risk: | (131531) | (248274) | (139794) |
|  | a) financial assets measured at amortized cost | (133828) | (246276) | (137789) |
|  | b) financial assets valued at fair value with impact taken to comprehensive income | 2297 | (1998) | (2005) |
| 140. | Gains (losses) from contractual modifications without derecognition | (110) | (159) | (46) |
| **150.** | **Net income from financial operations** | **1381370** | **2732253** | **1321442** |
| 160. | Premiums earned (net) | 10904 | 21365 | 10978 |
|  | a) insurance revenues from insurance contracts issued | 14927 | 30851 | 13462 |
|  | b) costs for insurance services arising from insurance contracts issued | (4023) | (9486) | (2484) |
|  | c) insurance revenues from insurance contracts ceded |  |  |  |
|  | d) costs for insurance services arising from insurance contracts ceded |  |  |  |
| 170. | Other income / charges from insurance activities | (24) | (143) | (83) |
|  | a) net financial costs / revenues relating to insurance contracts issued | (24) | (143) | (83) |
|  | b) net financial costs / revenues relating to insurance contracts ceded |  |  |  |
| **180.** | **Net profit from financial and insurance activities** | **1392250** | **2753475** | **1332337** |
| 190. | Administrative expenses: | (778473) | (1592999) | (754816) |
|  | a) personnel coss | (421339) | (807070) | (381690) |
|  | b) other administrative expenses | (357134) | (785929) | (373126) |
| 200. | Net transfers to provisions: | (9737) | (2968) | (2414) |
|  | a) commitments and financial guarantees | (729) | 765 | 2332 |
|  | b) other sums set aside (net) | (9008) | (3733) | (4746) |
| 210. | Net adjustments to tangible assets | (38836) | (71112) | (34440) |
| 220. | Net adjustments to intangible assets | (13979) | (80474) | (15039) |
| 230. | Other operating income (expense) | 111666 | 195683 | 88293 |
| **240.** | **Operating costs** | **(729359)** | **(1551870)** | **(718416)** |
| 250. | Gain (loss) on equity investments | 230307 | 510406 | 218615 |
| 260. | Net result from fair value valuation of tangible and intangible assets | (373) | (1610) | (1610) |
| 270. | Goodwill write-offs |  |  |  |
| 280. | Gain (loss) on disposal of investments | 1 | 90 | 96 |
| **290.** | **Profit (loss) on ordinary activity before tax** | **892826** | **1710491** | **831022** |
| 300. | Income tax for the year on ordinary activities | (231407) | (433972) | (218029) |
| **310.** | **Profit (loss) on ordinary activities after tax** | **661419** | **1276519** | **612993** |
| 320. | Gain (loss) of ceded operating assets, net of tax |  |  |  |
| **330.** | **Net profit (loss) for the period** | **661419** | **1276519** | **612993** |
| 340. | Net profit (loss) for the period attributabe to minorities | (1682) | (3137) | (1814) |
| **350.** | **Net profit (loss) for the period attributable to Mediobanca** | **659737** | **1273382** | **611179** |

---

Consolidated Financial Statements \| 59

**Statement of Consolidated Comprehensive Income**

(€'000)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **31/12/24** | **30/6/24** | **31/12/23** |
| 10. | Profit (Loss) for the period | 661419 | 1276519 | 612993 |
|  | **Other income items net of tax without passing through profit and loss** | **(6893)** | **(32081)** | **11909** |
| 20. | Equity securities designated at fair value with impact taken to comprehensive income | (5996) | 10438 | 8007 |
| 30. | Financial liabilities at fair value with impact taken to profit and loss (variation of own credit risk) | 6920 | (27509) | (4506) |
| 40. | Hedging of equity securities designated at fair value with impact taken to comprehensive income |  |  |  |
| 50. | Property, plant and equipments |  |  |  |
| 60. | Intangible assets |  |  |  |
| 70. | Defined benefit schemes | (1240) | 258 | (943) |
| 80. | Non-current assets held for sale |  |  |  |
| 90. | Share of valuation reserves attributable to equity-accounted companies | (6577) | (15268) | 9351 |
| 100. | Financial profits or losses related to insurance contracts issued |  |  |  |
|  | **Other income items net of tax passing through profit and loss** | **(75404)** | **(90705)** | **(189063)** |
| 110. | Foreign investments hedges |  |  |  |
| 120. | Exchange rate differences | 6206 | 6515 | 128 |
| 130. | Cash flow hedges | (150365) | (158734) | (172883) |
| 140. | Hedging instruments (non-designated elements) |  |  |  |
| 150. | Financial assets (other than equity securities) valued at fair value with impact taken to comprehensive income | 34806 | 42847 | 49745 |
| 160. | Non-current assets held for sale |  |  |  |
| 170. | Share of valuation reserves attributable to equity-accounted companies | 33949 | 18667 | (66053) |
| 180. | Financial costs or revenues relating to insurance contracts issued |  |  |  |
| 190. | Financial costs or revenues relating to insurance contracts ceded |  |  |  |
| **200.** | **Total other income items, net of tax** | **(82299)** | **(122786)** | **(177154)** |
| **210.** | **Comprehensive income (Heading 10 +170)** | **579124** | **1153733** | **435839** |
| **220.** | **Consolidated comprehensive income attributable to minorities** | **1608** | **3118** | **1694** |
| **230.** | **Consolidated comprehensive income attributable to Mediobanca** | **577516** | **1150615** | **434145** |

---

60 \| Interim Report for the six months ended 31 December 2024

**Statement of Changes in Consolidated Net Equity**

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Allocation of profit** | **Allocation of profit** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | | | |
|  | | **for previous period** | **for previous period** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | **Operazioni sul patrimonio netto** | | | | |
|  | <br>**Total Group**<br>**net equity**<br>**at 30/6/24** | <br>**Reserves** | **Dividends and**<br>**other fund**<br>**applications** | **Changes**<br>**to**<br>**reserves** | **Changes**<br>**to**<br>**reserves** | **New**<br>**shares**<br>**issued** | <br>**Shares**<br>**purchases** | <br>**Interim**<br>**dividends** | **Extra-ordinary**<br>**dividend**<br>**payouts** | **Changes**<br>**to equity**<br>**instruments** | **Treasury**<br>**shares**<br>**derivates** | **Stock**<br>**options**<br>**<sup>(1)</sup>** | <br>**Changes to**<br>**investments** | <br>**Comprehensive**<br>**income**<br>**for the year** | <br>**Total net**<br>**equity at**<br>**31/12/24** | <br>**Net equity**<br>**attributable**<br>**to the group**<br>**at 31/12/24** | **Net equity**<br>**attributable**<br>**to the**<br>**minorities at**<br>**31/12/24** |
| Share capital: | 461144 |  |  |  | 166 |  |  |  |  |  |  |  |  |  | 461310 | 444681 | 16629 |
| a) ordinary shares | 461144 |  |  |  | 166 |  |  |  |  |  |  |  |  |  | 461310 | 444681 | 16629 |
| b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium reserve | 2197454 |  |  |  |  | (114776) |  |  |  |  |  |  |  |  | 2082678 | 2080830 | 1848 |
| Reserves: | 7445490 | 1276519 | (463007)<sup>(1)</sup> | 49045 |  | 98943 |  |  |  |  |  | 7019 |  |  | 8414009 | 8347917 | 66092 |
| a) retained earnings | 7775891 | 1276519 | (463007)<sup>(1)</sup> | 47532 |  |  |  |  |  |  |  |  |  |  | 8636935 | 8571470 | 65465 |
| b) others | (330402) |  |  | 1513 |  | 98943 |  |  |  |  |  | 7019 |  |  | (222927) | (223554) | 627 |
| Valuation reserves | (68594) |  |  | (1513) |  |  |  |  |  |  |  |  |  | (82295) | (152402) | (152312) | (90) |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares | (68828) |  |  |  |  | (76994) |  |  |  |  |  |  |  |  | (145822) | (145822) |  |
| Profit (loss) for the period | 1276519 | (1276519) |  |  |  |  |  |  |  |  |  |  |  | 661419 | 661419 | 659737 | 1682 |
| Total net equity | 11243185 |  | (463007) | 47532 | 166 | (92827) |  |  |  |  |  | 7019 |  | 579124 | 11321192 | X | X |
| Net equity attributable to the group | 11157071 |  | (463007) | 49093 | 166 | (92827) |  |  |  |  |  | 7019 |  | 577516 | X | 11235031 | X |
| Net equity attributable to minorities | 86114 |  |  | (1561) |  |  |  |  |  |  |  |  |  | 1608 | X | X | 86161 |

---

<sup>(1)</sup> Dividend amount (€884.2m) after the interim dividend of €421.2m distributed last May.

Consolidated Financial Statements \| 61

**Statement of Changes in Consolidated Net Equity**

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Allocation of profit** | **Allocation of profit** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | **Changes during the reference period** | | | |
|  | | **for previous period** | **for previous period** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | **Transactions involving net equity** | | | | |
|  | <br>**Total Group**<br>**net equity**<br>**at 30/6/23<sup>(\*)</sup>** | <br>**Reserves** | **Dividends and**<br>**other fund**<br>**applications** | **Changes**<br>**to**<br>**reserves** | **New**<br>**shares**<br>**issued** | <br>**Shares**<br>**purchases** | <br>**Interim**<br>**dividends** | **Extra-ordinary**<br>**dividends**<br>**payouts** | **Changes**<br>**to equity**<br>**instruments** | **Treasury**<br>**shares**<br>**derivates** | **Stock**<br>**options**<br>**<sup>(\*)</sup>** | <br>**Changes to**<br>**investments** | <br>**Comprehensive**<br>**income**<br>**for the year** | <br>**Total net**<br>**equity at**<br>**31/12/23** | <br>**Net equity**<br>**attributable**<br>**to the group**<br>**at 31/12/23** | **Net equity**<br>**attributable**<br>**to the**<br>**minorities at**<br>**31/12/23** |
| Share capital: | 460798 |  |  |  | 341 |  |  |  |  |  |  |  |  | 461139 | 444510 | 16629 |
| a) ordinary shares | 460798 |  |  |  | 341 |  |  |  |  |  |  |  |  | 461139 | 444510 | 16629 |
| b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium reserve | 2197454 |  |  |  |  |  |  |  |  |  |  |  |  | 2197454 | 2195606 | 1848 |
| Reserves: | 7759051 | 1029020 | (713361) | (34620) | (341) | (11407) |  |  |  |  | 5668 |  |  | 8034010 | 7957842 | 76168 |
| a) retained earnings | 7914545 | 1029020 | (713361) | (34630) | (341) |  |  |  |  |  |  |  |  | 8195233 | 8119692 | 75541 |
| b) others | (155494) |  |  | 10 |  | (11407) |  |  |  |  | 5668 |  |  | (161223) | (161850) | 627 |
| Valuation reserves | 62130 |  |  | (10) |  |  |  |  |  |  |  |  | (177154) | (115034) | (114917) | (117) |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares | (78876) |  |  |  |  | (57568) |  |  |  |  |  |  |  | (136444) | (136444) |  |
| Profit (loss) for the period | 1029020 | (1029020) |  |  |  |  |  |  |  |  |  |  | 612993 | 612993 | 611179 | 1814 |
| Total net equity | 11429577 |  | (713361) | (34630) |  | (68975) |  |  |  |  | 5668 |  | 435839 | 11054118 | X | X |
| Net equity attributable to the group | 11325434 |  | (713361) | (25135) |  | (68975) |  |  |  |  | 5668 |  | 434145 | X | 10957776 | X |
| Net equity attributable to minorities | 104143 |  |  | (9495) |  |  |  |  |  |  |  |  | 1694 | X | X | 96342 |

---

<sup>(\*)</sup> The figures relating to the previous financial year were restated following the retrospective adoption of the accounting standard IFRS 17 – Insurance Contracts.a

62 \| Interim Report for the six months ended 31 December 2024

**Consolidated Cash Flow Statement Direct Method**

(€'000)

---

| | | |
|:---|:---|:---|
|  | **Amount** | **Amount** |
|  | **31/12/24** | **31/12/23** |
| **A. Cash flows from operating activity** | | |
| **1. Operating activity** | **(103406)** | **1047219** |
| &nbsp;&nbsp;&nbsp;- interest received | 2682152 | 3714201 |
| &nbsp;&nbsp;&nbsp;- interest paid | (1974054) | (1878404) |
| &nbsp;&nbsp;&nbsp;- dividends and similar income | 46994 | 27658 |
| &nbsp;&nbsp;&nbsp;- net fees and commission income | 160950 | 248842 |
| &nbsp;&nbsp;&nbsp;- cash payments to employees | (358960) | (349329) |
| &nbsp;&nbsp;&nbsp;- net receipts and paid costs of insurance contracts issued and reinsurance disposals (+/-) | (4695) | (4545) |
| &nbsp;&nbsp;&nbsp;- other expenses paid | (560995) | (715687) |
| &nbsp;&nbsp;&nbsp;- other income received | 113010 | 122583 |
| &nbsp;&nbsp;&nbsp;- income taxes paid | (207808) | (118100) |
| &nbsp;&nbsp;&nbsp;- Expenses/income from group of assets being sold |  |  |
| **2. Cash generated/absorbed by financial assets** | **(1012242)** | **(1024819)** |
| &nbsp;&nbsp;&nbsp;- financial assets held for trading | 569674 | (819341) |
| &nbsp;&nbsp;&nbsp;- financial assets valued at fair value | (260739) | (85078) |
| &nbsp;&nbsp;&nbsp;- financial assets mandatorily valued at fair value | 9008 | (28252) |
| &nbsp;&nbsp;&nbsp;- financial assets valued at fair value with impact taken to profit and loss | 379147 | (211634) |
| &nbsp;&nbsp;&nbsp;- financial assets valued at amortized cost | (1168042) | (283245) |
| &nbsp;&nbsp;&nbsp;- other assets | (541290) | 402731 |
| **3. Cash generated/absorbed by financial liabilities** | **459486** | **1199415** |
| &nbsp;&nbsp;&nbsp;- financial liabilities valued at amortized cost | 839991 | 1011833 |
| &nbsp;&nbsp;&nbsp;- financial liabilities held for trading | (368870) | (420727) |
| &nbsp;&nbsp;&nbsp;- financial liabilities designated at fair value | 287213 | 784799 |
| &nbsp;&nbsp;&nbsp;- other liabilities | (298848) | (176490) |
| **4. Net cash flow (outflow) from operating activities** | **11244** | **13573** |
| &nbsp;&nbsp;&nbsp;- issued insurance contracts constituting liabilities/assets (+/-) | 11244 | 13573 |
| &nbsp;&nbsp;&nbsp;- reinsurance disposals that constitute assets/liabilities (+/-) |  |  |
| &nbsp;&nbsp;&nbsp;**Net cash flow (outflow) from operating activities** | **(644918)** | **1235388** |
| **B. Cash flows from investment activity** |  |  |
| **1. Cash generated from:** | **12466** | **104618** |
| &nbsp;&nbsp;&nbsp;- disposal of shareholdings |  | 100001 |
| &nbsp;&nbsp;&nbsp;- dividends received in respect of equity investments | 5647 | 4617 |
| &nbsp;&nbsp;&nbsp;- disposals of tangible assets | 6819 |  |
| &nbsp;&nbsp;&nbsp;- disposals of intangible assets |  |  |
| &nbsp;&nbsp;&nbsp;- disposals of subsidiaries or business units |  |  |
| **2. Cash absorbed by:** | **(62058)** | **(42175)** |
| &nbsp;&nbsp;&nbsp;- purchases of shareholdings |  | (3168) |
| &nbsp;&nbsp;&nbsp;- purchases of tangible assets | (41423) | (25744) |
| &nbsp;&nbsp;&nbsp;- purchases of intangible assets | (20635) | (13208) |
| &nbsp;&nbsp;&nbsp;- purchases of subsidiaries or business units |  | (55) |
| &nbsp;&nbsp;&nbsp;**Net cash flow (outflow) from investment activity** | **(49592)** | **62443** |
| **C. Cash flows from funding activity** | **(580573)** | **(791469)** |
| &nbsp;&nbsp;&nbsp;- issuance/acquisition of treasury shares | (114776) | (68975) |
| &nbsp;&nbsp;&nbsp;- issuance/acquisition of capital instruments |  |  |
| &nbsp;&nbsp;&nbsp;- distribution of dividends and other purposes | (465797) | (722494) |
| &nbsp;&nbsp;&nbsp;- purchases/acquisition of minorities |  |  |
| &nbsp;&nbsp;&nbsp;**Net cash flow (outflow) from funding activities** | **(580573)** | **(791469)** |
| &nbsp;&nbsp;&nbsp;**Net cash flow (outflow) during the period** | **(1275083)** | **506362** |

---

Consolidated Financial Statements \| 63

**Reconciliation**

(€'000)

---

| | | |
|:---|:---|:---|
| | **Amount** | **Amount** |
| <br>**Accounting items** | **31/12/24** | **31/12/23** |
| Cash and cash equivalents: balance at start of period | 3361150 | 4236982 |
| Total cash flow (ouflow) during the period | (1275083) | 506362 |
| Cash and cash equivalents: exchange rate effect |  |  |
| Cash and cash equivalents: balance at end of period | 2086067 | 4743344 |

---

64 \| Interim Report for the six months ended 31 December 2024

NOTES TO THE ACCOUNTS

![](tm2518026d1_ex99-5s1img002.jpg)

**NOTES TO THE ACCOUNTS**

---

| | |
|:---|:---|
| **Part A - Accounting Policies** | **68** |
| **A.1 - General Part** | **68** |
| Section 1 - Statement of Compliance with IAS/IFRS | 68 |
| Section 2 - General Principles | 68 |
| Section 3 - Area and Methods of Consolidation | 72 |
| Section 4 - Events Subsequent to the Reporting Date | 76 |
| Section 5 - Other Aspects | 76 |
| **A.2 - Significant Accounting Policies** | **76** |
| **A.3 - Information on Transfers between Financial Asset Portfolios** | **94** |
| **A.4 - Information on Fair Value** | **94** |
| **A.5 - Disclosure on Day One Profit/Loss** | **107** |
| **Part B - Notes to the Consolidated Balance Sheet** | **108** |
| **Assets** | **108** |
| Section 2 - Heading 20: Financial Assets Measured at Fair Value through Profit or Loss | 108 |
| Section 3 - Heading 30: Financial Assets Measured at Fair Value through Other Comprehensive Income | 109 |
| Section 4 - Heading 40: Financial Assets Measured at Amortized Cost | 110 |
| Section 5 - Heading 50: Hedging Derivatives | 112 |
| Section 7 - Heading 70: Equity Investments | 113 |
| Section 9 - Heading 90: Property, Plant and Equipment | 115 |
| Section 10 - Heading 100: Intangible Assets | 115 |
| Section 11 - Asset Heading 110 and Liability Heading 60: Tax Assets and Liabilities | 117 |
| **Liabilities** | **118** |
| Section 1 - Heading 10: Financial Liabilities Measured at Amortized Cost | 118 |
| Section 2 - Heading 20: Trading Financial Liabilities | 120 |
| Section 3 - Heading 30: Financial Liabilities Designated at Fair Value | 121 |
| Section 4 - Heading 40: Hedging Derivatives | 122 |
| Section 6 - Heading 60: Tax Liabilities | 123 |
| Section 10 - Heading 100: Provisions for Risks and Charges | 123 |
| Section 13 - Headings 120, 130, 140, 150, 160, 170 and 180: Group Net Equity | 125 |
| **Other Information** | **126** |

---

66 \| Interim Report for the six months ended 31 December 2024

---

| | |
|:---|:---|
| **Part C - Notes to Consolidated Income Statement** | **128** |
| Section 1 - Headings 10 and 20: Net Interest Income | 128 |
| Section 2 - Headings 40 and 50: Net fee and commission income | 130 |
| Section 3 - Heading 70: Dividends and Similar Income | 132 |
| Section 4 - Heading 80: Net Trading Income | 132 |
| Section 5 - Heading 90: Net Hedging Income (Expense) | 133 |
| Section 6 - Heading 100: Gains (Losses) on Disposals/Repurchases | 133 |
| Section 7 - Heading 110: Net income from other financial assets and liabilities measured at fair value through profit or loss | 134 |
| Section 8 - Heading 130: Net value adjustments (write-backs) for credit risk | 135 |
| Section 12 - Heading 190: Administrative expenses | 136 |
| Section 13 - Heading 200: Net Transfers to Provisions for Risks and Charges | 137 |
| Section 16 - Heading 230: Other Operating Income (Expense) | 137 |
| Section 17 - Heading 250: Gains (Losses) on Equity Investments | 138 |
| Section 25 - Earnings per share | 138 |

---

---

| | |
|:---|:---|
| **Part E - Information on risks and related hedging policies** | **139** |
| Introduction | 139 |
| Section 1 - Consolidated Accounting Risks | 139 |
| Section 2 - Consolidated Prudential Risks | 145 |

---

---

| | |
|:---|:---|
| **Part F - Information on Consolidated Capital** | **189** |
| Section 1 - Consolidated Capital | 189 |
| Section 2 - Own Funds and Banking Supervisory Ratios | 190 |
| **Part H - Related-Party Transactions** | **193** |
| **Part I - Share-Based Payment Schemes** | **195** |
| **Part L - Segment Reporting** | **198** |

---

Consolidated Financial Statements \| Notes to the Accounts \| 67

**Part A - Accounting Policies**

**A.1 - General Part**

**SECTION 1**

**Statement of Compliance with IAS/IFRS**

As required by Italian Legislative Decree No. 38/05, these abbreviated half-yearly consolidated financial statements have been drawn up in accordance with the International Financial Reporting Standards (IFRS) and International Accounting Standards (IAS) issued by the International Accounting Standards Board (IASB), and the respective interpretations issued by the IFRS Interpretations Committee (IFRIC), which were adopted by the European Commission in accordance with the procedure laid down in Article 6 of Regulation (EC) No. 1606/02 issued by the European Parliament and Council on 19 July 2002. In particular, account was taken of accounting standard IAS 34 on interim financial reports and of the "Instructions on preparing statutory and consolidated financial statements for banks and financial companies which control banking groups" issued by the Bank of Italy under Circular No. 262 of 22 December 2005 - eighth update of 17 November 2022,<sup>(1)</sup> - which define the structure to be used in compiling and preparing the financial statements and the contents of the notes to the accounts.

In reference to balance sheet asset and liability classification, recognition, valuation, and derecognition phases and with regard to revenue and cost recognition methods, the accounting standards adopted for the preparation of these abbreviated half-yearly consolidated financial statements remained unchanged compared to those adopted for the preparation of the 2024 financial statements of the Mediobanca Group.

**SECTION 2**

**General Principles**

These consolidated financial statements comprise:

– Consolidated balance sheet;

– Consolidated income statement;

– Consolidated statement of other comprehensive income;

– Statement of changes to consolidated net equity;

– Consolidated cash flow statement, drawn up using the direct method;

– Notes to the accounts.

All the statements have been drawn up in conformity with the general principles provided for under IAS and the accounting policies illustrated in part A.2, and show data for the period under review compared with that for the previous financial year in the case of balance-sheet figures or the corresponding period of the previous financial year for profit-and-loss data.

<sup>(1)</sup> The eighth update published on 17 November 2022 transposed the regulatory changes of IFRS 17 "Insurance Contracts".

68 \| Interim Report for the six months ended 31 December 2024

With regard to the going-concern assumption, the Directors believe they have a reasonable expectation that the Group will continue to carry out operations in the foreseeable future and, consequently, these abbreviated half-yearly consolidated financial statements were prepared on a going-concern basis. The Directors also would like to specify that they found no symptoms in the Company's capital and financial structure and operational performance that could lead to uncertainties regarding the going-concern assumption.

Lastly, with regard to the discretionary assessment of risks and uncertainties linked to the use of significant accounting estimates that company management are required to make in compliance with IFRS and which may affect the adoption of accounting standards and the amounts of assets, liabilities, costs and revenues recognized in the half-yearly consolidated financial statements, please refer to the contents of the Group's annual financial statements as at 30 June 2024.

\*\*\*

During the half year under review, the European Commission adopted Regulation (EU) 2024/2862 of 12 November 2024 (published in the Official Journal of the European Union on 13 November 2024), amending IAS 21. These amendments introduce requirements for determining when a currency is convertible into another currency and when it is not. They require an entity to estimate the spot exchange rate when it determines that a currency is not convertible into another currency. The amendments introduced had no impact on the Group.

On 1 July 2024, the following came into force for the Group:

– Regulation (EU) 2023/2468 of 8 November 2023, adopting amendments to IAS 12 "Income taxes". These amendments added a temporary exception to account for deferred taxes resulting from the implementation of OECD Pillar II rules, as well as targeted disclosures for the entities involved;

– Regulation (EU) 2023/2579 of 20 November 2023 adopting the amendments to IFRS 16 "Leases". In particular, such amendments specify how the transferor/lessee should subsequently measure the value of sale and leaseback transactions;

– Regulation 2023/2822 of 19 December 2023, adopting amendments to IAS 1 "Presentation of Financial Statements". These amendments improve the information a company should provide when its right to defer settlement of a liability for at least 12 months is subject to covenants;

– Commission Regulation (EU) 2024/1317 of 15 May 2024, adopting "Supply financing arrangements", which amends IAS 7 Cash Flow Statement and IFRS Financial Instruments: Additional Information. The document introduces disclosure requirements regarding a company's supply financing arrangements.

\* \* \*

The measures and statements published by regulatory and supervisory authorities in the past six months regarding the most suitable way to apply accounting standards that supplement the measures contained in the latest financial statements at 30 June 2024, to which reference should be made for further details, are shown below.

Notes to the accounts \| Part A - Accounting policies \| 69

On 24 October 2024, ESMA published the annual statement "European Common Enforcement Priorities for 2024 Corporate Reporting" outlining the priorities on which listed companies should focus when preparing the annual reports as at 31 December 2024. ESMA, in particular, recommended that the following information be provided in the financial statements: required disclosure on liquidity risk (IAS 7 for the Cash Flow Statement regarding supply financing agreements – SFA – and IFRS 7 with reference to covenants) in order to allow users of the financial statements to understand the liquidity risks that the company may incur; disclosure on the main accounting policies adopted and on the discretionary assessments of risks and uncertainties related to accounting estimates, which should be as entity-specific as possible and consistent with the rest of the disclosure provided; disclosure to be provided in the Sustainability Statements (formerly CSRD),<sup>(2)</sup> which should be aligned with the new ESRS principles issued by EFRAG both with regard to dual materiality and value chain and with regard to the structure of the Report. ESMA also mentioned the most common errors in ESEF tagging, providing instructions on how to avoid repeating them. Finally, ESMA provided some more general instructions on the connectivity between financial and sustainability disclosures and on the importance of publishing Alternative Performance Measures (APMs). These Recommendations refer to annual financial statements only and will be implemented by the Group in the next financial statement as at 30 June 2025.

On 20 December, CONSOB published Warning Notice No. 2/24, which made reference to the ESMA Recommendations of 24 October, focusing mainly on the importance of providing clear and complete disclosure on the impacts of climate change to be shown in both financial and sustainability reports, ensuring consistency between the two disclosures. When preparing Part E "Information on risks and related hedging policies" of this half-yearly report, the Group took into account CONSOB's requests by incorporating the information provided in the 2024 financial statements.

**Global Minimum Tax**

Directive (EU) 2022/2523 of 15 December 2022 was transposed in Italy under Legislative Decree No. 209 of 27 December 2023 for the "implementation of the tax reform in the field of international taxation", aiming to ensure a minimum global tax rate of 15% for entities that are part of a multinational group of companies with annual revenues equal to or greater than €750m for at least two of the four financial years preceding the one under review.

Since the provisions of Legislative Decree No. 209/2023 will be coming into force starting from the financial year following the one in progress as at 31 December 2023, the first year in which such legislation will be adopted for the Mediobanca Group will be the financial year ending as at 30 June 2025. The activities necessary to verify whether the tests required by each jurisdiction have been passed are currently in progress.

Based on the preliminary estimate made using final data relating to the financial year ended 30 June 2024, it would appear that all the jurisdictions where the Group operates should benefit from the Country-by-Country Safe Harbours, i.e. the simplification regime for the first three years confirming non-significant impacts on the Group.

<sup>(2)</sup> The CSRD Directive requires publication of the Sustainability Report only in annual financial statements and at consolidated level. See below for more details on the ongoing Group project.

70 \| Interim Report for the six months ended 31 December 2024

**Corporate Sustainability Reporting Directive (CSRD) Project**

The Group is completing its path to incorporate the new European Sustainability Reporting Standards (ESRS) to be applied to the annual sustainability report as at 30 June 2025, through a specific project aimed at defining the areas of action necessary to draft the first Sustainability Report as part of its Review of Operations, as required by Legislative Decree No. 125/2024, transposing the Corporate Sustainability Reporting Directive (CSRD).

The main areas of action were identified in line with the defined time frame, including: definition of the scope and value chain, assessment of double materiality, identification of business requirements and functional analyses, taxonomy and integration of the internal control system.

During the half year under review, an analysis was conducted to identify and evaluate the relevant sustainability issues, following the "Double Materiality" assessment process, as required by ESRS 1 - General Requirements and IG 1 - Materiality Assessment instructions of EFRAG. Such process identifies two dimensions of relevance, impact (referred to as impact materiality) and finance (referred to as financial materiality).

In particular, impacts, risks and opportunities (IRO) are also identified with the involvement of internal and external stakeholders (i.e. "stakeholder engagement").

With reference to the internal control system, the current financial and sustainability reporting process was analysed to identify the main actions to be undertaken, where necessary, supplementing processes, positions and controls with the aim of ensuring an adequate sustainability reporting compliance level with the ESRS.

Activities for the implementation of standard solutions for the preparation of the tables required by Article 8 of the Delegated Act of the EU Taxonomy and the quantitative and qualitative information required for the Pillar 3 disclosure in the ESG field, continued.

Notes to the accounts \| Part A - Accounting policies \| 71

**SECTION 3**

**Area and methods of consolidation**

The consolidated financial statements comprise the financial position and the results of the Group Legal Entities and companies directly or indirectly controlled by them, including those operating in sectors other than the one in which the Parent Company operates.

Based on the combined provisions of IFRS 10 "Consolidated Financial Statements", IFRS 11 "Joint Arrangements" and IFRS 12 "Disclosure of Interests in Other Entities", the Group has proceeded to consolidate its Legal Entities on a line-by-line basis, and its associates and joint arrangements using the net equity method.

During the half year under review, no acquisitions were carried out. However, the consolidation area was modified due to the closure of Bybrook Capital Management Limited, wholly owned by Polus Capital Management Group (already in liquidation) and the merger of Spafid Family Office SIM into Spafid.

At the end of December, the acquisition of control of HeidiPay (a company already owned by Compass at 19.5%) was finalized, the closing of which will take place during the financial year once the authorization process has been completed.

72 \| Interim Report for the six months ended 31 December 2024

*1. Equity Investments in Group Legal Entities*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | **Type of** | **Ownership** | **Ownership** |  | **Voting** |
|  |  |  | **relationship** | **Controlling** | **%** |  | **rights** |
| **Company name** | **Company name** | **Site** | **<sup>(1)</sup>** | **entity** | **shareholding** |  | **in % <sup>(2)</sup>** |
| A. | COMPANIES INCLUDED IN AREA OF CONSOLIDATION |  |  |  |  |  |  |
| A.1 | Line-by-line method |  |  |  |  |  |  |
| 1. | MEDIOBANCA - Banca di Credito Finanziario S.p.A. | Milan | 1 |  |  |  |  |
| 2. | SPAFID S.P.A | Milan | 1 | A.1.1 | 100 |  | 100 |
| 3. | MEDIOBANCA INNOVATION SERVICES - S.C.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 4. | CMB MONACO S.A.M. | Montecarlo | 1 | A.1.1 | 100 |  | 100 |
| 5. | CMG MONACO S.A.M. | Montecarlo | 1 | A.1.4 | 9992 |  | 9992 |
| 6. | MEDIOBANCA INTERNATIONAL (LUXEMBOURG) S.A. | Luxembourg | 1 | A.1.1 | 99 |  | 99 |
|  |  |  | 1 | A.1.7 | 1 |  | 1 |
| 7. | COMPASS BANCA S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 8. | MEDIOBANCA PREMIER S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 9. | MBCREDIT SOLUTIONS S.P.A. | Milan | 1 | A.1.7 | 100 |  | 100 |
| 10. | SELMABIPIEMME LEASING S.P.A. | Milan | 1 | A.1.1 | 60 |  | 60 |
| 11. | MB FUNDING LUXEMBOURG S.A. | Luxembourg | 1 | A.1.1 | 100 |  | 100 |
| 12. | MEDIOBANCA SECURITIES USA LLC | New York | 1 | A.1.1 | 100 |  | 100 |
| 13. | MB FACTA S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 14. | QUARZO S.R.L. | Milan | 1 | A.1.7 | 90 |  | 90 |
| 15. | MEDIOBANCA COVERED BOND S.R.L. | Milan | 1 | A.1.8 | 90 |  | 90 |
| 16. | COMPASS RE (LUXEMBOURG) S.A. | Luxembourg | 1 | A.1.7 | 100 |  | 100 |
| 17. | MEDIOBANCA INTERNATIONAL IMMOBILIERE S. A R.L. | Luxembourg | 1 | A.1.6 | 100 |  | 100 |
| 18. | POLUS CAPITAL MANAGEMENT GROUP LIMITED | London | 1 | A.1.1 | 89.07 | <sup>(\*)</sup> | 62.45 |
| 19. | POLUS CAPITAL MANAGEMENT LIMITED | London | 1 | A.1.18 | 100 |  | 100 |
| 20. | POLUS CAPITAL MANAGEMENT (US) INC. | Wilmington (USA) | 1 | A.1.18 | 100 |  | 100 |
| 21. | POLUS CAPITAL MANAGEMENT INVESTMENTS LIMITED (non-operating) | London | 1 | A.1.18 | 100 |  | 100 |
| 22. | POLUS INVESTMENT MANAGERS LIMITED (non-operating) | London | 1 | A.1.18 | 100 |  | 100 |
| 23. | Bybrook Capital Burton Partnership (GP) Limited | Grand Cayman | 1 | A.1.18 | 100 |  | 100 |
| 24. | SPAFID TRUST S.R.L. | Milan | 1 | A.1.2 | 100 |  | 100 |
| 25. | MEDIOBANCA MANAGEMENT COMPANY S.A. | Luxembourg | 1 | A.1.1 | 100 |  | 100 |
| 26. | MEDIOBANCA SGR S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 27. | RAM ACTIVE INVESTMENTS S.A. | Ginevra | 1 | A.1.1 | 98.3 | <sup>(\*\*)</sup> | 93 |
| 28. | MESSIER ET ASSOCIES S.A.S. | Parigi | 1 | A.1.1 | 100 | <sup>(\*\*\*)</sup> | 82.44 |
| 29. | MESSIER ET ASSOCIES L.L.C. | New York | 1 | A.1.28 | 100 | <sup>(\*\*\*)</sup> | 50 |
| 30. | MBCONTACT SOLUTIONS S.R.L. | Milan | 1 | A.1.9 | 100 |  | 100 |
| 31. | COMPASS RENT S.R.L. | Milan | 1 | A.1.7 | 100 |  | 100 |
| 32. | COMPASS LINK S.R.L. | Milan | 1 | A.1.7 | 100 |  | 100 |
| 33. | RAM ACTIVE INVESTMENTS LIMITED (UK) (in liquidation) | London | 1 | A.1.27 | 100 |  | 100 |
| 34. | CMB REAL ESTATE DEVELOPMENT S.A.M. | Montecarlo | 1 | A.1.4 | 60 |  | 60 |
|  |  |  | 1 | A.1.1 | 40 |  | 40 |
| 35. | ARMA PARTNERS LLP | London | 1 | A.1.1 | 100 |  | 100 |
| 36. | ARMA PARTNERS CORPORATE FINANCE LTD | Londra | 1 | A.1.35 | 100 |  | 100 |
| 37. | ARMA DEUTSCHLAND GmbH | Munich | 1 | A.1.35 | 100 |  | 100 |
| 38. | HEYLIGHT SA | Ginevra | 1 | A.1.7 | 100 |  | 100 |

---

(\*) Taking into account the recently renegotiated put & call option exercisable for the next 3 years; without including investment plans for employees and strategic partners.

(\*\*) Taking into account the put and call options exercisable from the third to the tenth anniversary of the closing date of the transaction.

(\*\*\*) Taking into account the put & call option renegotiated during the year under review, which can be exercised for the next 2 years.

*Legend*

<sup>(1)</sup> Type of relationship: 1 = Majority of voting rights in ordinary AGMs.

<sup>(2)</sup> Effective and potential voting rights in ordinary AGMs.

Notes to the accounts \| Part A - Accounting policies \| 73

*2. Considerations and significant assumptions used to determine consolidation area*

The area of consolidation is defined on the basis of IFRS 10, "Consolidated Financial Statements", which provides that control occurs when the following three conditions apply:

– when the investor has power over the investee, defined as having substantive rights over the investee's relevant activities;

– when the investor has exposure, or rights, to variable returns from its involvement with the investee; and

when the investor has the ability to exert power over the investee to affect the amount of the variable returns.

Group Legal Entities are consolidated on a line-by-line basis, which means that the carrying amount of the parent's investment and its share of the Group Legal Entity's equity after minority interests are eliminated against the addition of that company's assets and liabilities, income and expenses to the parent company's totals. Any surplus arising following allocation of asset and liability items to the Group Legal Entity is recorded as goodwill. Any assets and liabilities, income and expenses from transactions between consolidated companies are eliminated upon consolidation.

Investments in associates and joint arrangements are consolidated using the equity method. Associates are companies that are subject to significant influence, a concept defined as the power to participate in activities which are significant for the company without having control of it. Significant influence is assumed to exist in cases where one company holds at least 20% of the voting rights of another. When establishing whether or not significant influence exists, account is also taken of potential rights, rights exercisable under options, warrants or conversion rights embedded in financial instruments; the ownership structure is also considered, as well as voting rights owned by other investors.

The definition of joint arrangement used is that provided in IFRS 11, which involves the twofold requirement of the existence of a contractual arrangement and that such an arrangement must provide joint control to two or more parties. In this case the expected valuation method is the Net Equity method, as in other instances.

Under the equity method of accounting, any changes in the net equity of the investee company (including gains and losses) since the acquisition date should be included in the book value of the investment (originally recognised at cost). This value is reduced in the event that the investment distributes dividends. The gain or loss generated by the investment is recorded pro rata in the consolidated income statement, including any value impairment or write-ups; while all other changes are recognized directly in net equity.

The financial statements of the consolidated companies represented in currencies other than the Euro are converted by applying the exchange rate prevailing at the end of the accounting period to the balance sheet items, and the average exchange rates for the same period to the income statement items. All exchange rate differences arising as a result of the translation are recorded in a specific net equity valuation reserve which, as and when the investment is sold, is eliminated and the relevant amount is debited from or credited to the income statement as

74 \| Interim Report for the six months ended 31 December 2024

the case may be. The following Table summarizes the conversion rates into Euros used in the statement as at 31 December 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **ITEM CHANGES IN PROFIT AND LOSS** | **ITEM CHANGES IN PROFIT AND LOSS** |
| <br>**CURRENCY** | **ITEM CHANGES IN BALANCE SHEET** | **ITEM CHANGES IN BALANCE SHEET** | **ACCOUNT** | **ACCOUNT** |
| (CHF) SWISS FRANC |  | 0.9412 |  | 0.94367 |
| US DOLLAR (USD) |  | 1.0389 |  | 1.0829 |
| BRITISH POUND (GBP) |  | 0.8292 |  | 0.8386 |

---

With regard to the determination of the stake used for equity-based consolidation, it should be noted that it was determined as the ratio of the shares owned excluding those held for trading and/or through securities lending transactions (which transfer ownership, but not risks and benefits) and voting capital, represented by share capital after deducting treasury shares.

As required by paragraph 5-A of IFRS 12, the companies included within the area of consolidation, which must be disclosed in this paragraph, also include the equity investments of entities classified as held for sale (or included in a disposal group which is classified as held for sale).

*3. Investments in Group Legal Entities with significant minority interests*

Nothing to report.

*Significant restrictions*

The Group considers that no restrictions currently in force, under the terms of its Articles of Association, shareholders' agreements or external regulations, would prevent it or otherwise limit its ability to access its assets or settle its liabilities.

The Group also considers that no rights are in force to protect the interest of minority or third parties.

*4. Other Information*

The reporting date for the consolidated financial statements is the date on which the Parent Company's financial year ends. In cases where Group Legal Entities have reporting periods ending on different dates, these companies are consolidated based on financial and earnings situations prepared as at the reporting date for the consolidated financial statements.

The financial statements of all Group Legal Entities have been drawn up based on the same accounting principles used at Group level.

Associates which have reporting periods ending on different dates compared to the Parent Company prepare a pro-forma accounting statement as at the consolidated reporting date, or alternatively send a statement referring to a previous date as long as it is not more than three months previously. This eventuality is expressly provided for by IAS 28 (paras. 33-34) provided that due account is taken of any material transactions or events that occur between said date and the reporting date for the financial statements.

Notes to the accounts \| Part A - Accounting policies \| 75

**SECTION 4**

**Events subsequent to the reporting date**

No other events requiring an adjustment to be made, under IAS 10, to the data shown in the half-yearly consolidated financial statements at 31 December 2024 occurred after such date.

**SECTION 5**

**Other Aspects**

The half-yearly consolidated financial statements are accompanied by the Declaration by Financial Reporting Officer pursuant to Article 154-*bis* of the Italian Consolidated Law on Finance and are subject to a limited audit by the independent auditing firm EY S.p.A., according to the criteria recommended by CONSOB under Resolution No. 10867 of 31 July 1997.

\* \* \*

**A.2 - Significant Accounting Policies**

**1 - Financial assets measured at fair value through profit or loss**

These include financial assets held for trading and other financial assets mandatorily measured at fair value, and assets for which the Fair Value Option was modified.

Financial assets held for trading are assets which have been acquired principally for the purpose of being traded. This category comprises debt securities, equities, loans held for trading purposes, and the positive value of derivatives held for trading, including those embedded in complex instruments (such as structured bonds), which are recorded separately. This category also includes syndicated loan underwriting commitments in the event of a positive value.

Assets mandatorily measured at fair value include financial assets that are not held for trading but are mandatorily measured at fair value through profit or loss given the fact that they do not meet the requirements to be measured at amortized cost or at fair value through other comprehensive income. In particular, as clarified by the IFRS Interpretation Committee, this category includes units in mutual investment funds.<sup>(3)</sup>

With regard to financial assets mandatorily measured at fair value, during the financial year the organizational model, the monitoring process and the methodology that the Bank applies in order to classify, measure and verify the value of OICs as instruments accounted for at Fair Value were defined in compliance with Community Regulations (see section A.4 for further details).

<sup>(3)</sup> The IFRS Interpretation Committee's clarification rules out any possibility of such instruments being treated as equities.

76 \| Interim Report for the six months ended 31 December 2024

Initial recognition occurs at the settlement date for securities and loans and at the subscription date for derivatives. At initial recognition, such financial assets are booked at fair value not including any transaction expenses or income directly attributable to the asset concerned, which are taken through the profit and loss account. Following their initial recognition, they will continue to be measured at fair value, and any changes in fair value will be recognized in the profit and loss account. Interest on instruments mandatorily measured at fair value will be recognized according to the interest rate stipulated contractually. Dividends paid on equity instruments will be measured through profit or loss when the right to collect them becomes effective.

Equities and linked derivatives whose fair value may not be reliably measured using the methods described above are stated at cost (these too qualify as Level 3 assets). If the assets suffer impairment, they are written down to their current value.

Gains and losses upon disposal or redemption and the positive and negative effects of changes in fair value over time are recognized in the profit and loss account under the respective headings.

Assets held for trading mandatorily measured at fair value also include loans which do not guarantee full repayment of principal in the event of the counterparty's financial difficulties and which have therefore failed the SPPI test. The process followed to write down these positions is aligned with that used for other loans, on the grounds that the exposure is basically attributable to credit risk, with both the gross exposure and related provisioning stated.

This item also includes financial assets designated at fair value upon initial recognition with the aim of eliminating or significantly reducing a valuation inconsistency. This case in particular concerns the related portfolio of assets and liabilities required by applying the business model for managing equity-linked certificates where changes in own credit risk and realizations are recognized through profit or loss to eliminate the accounting mismatch.

**2 - Financial assets measured at fair value through other comprehensive income**

These are financial instruments, mostly debt securities, which meet both the following conditions:

– the instruments are held on the basis of a business model whose objective is the collection of contractual cash flows and of proceeds deriving from the sale of such instruments;

– the contractual terms have passed the SPPI test.

Financial assets measured at fair value through other comprehensive income (FVOCI) are recognized at fair value, including transaction costs and income directly attributable to them. Thereafter, they will continue to be measured at fair value. Changes in fair value are measured through other comprehensive income, while interest and currency exchange gains/losses are

Notes to the accounts \| Part A - Accounting policies \| 77

recorded in the profit and loss account (in the same way as financial instruments measured at amortized cost).

Expected losses of financial assets measured at fair value through other comprehensive income (debt securities and receivables) are calculated (as per the impairment process) in the same way as those of financial assets measured at amortized cost, with the resulting value adjustment recorded in the profit and loss account.

Retained earnings and accumulated losses recorded in other comprehensive income will be measured through profit or loss when the instrument is removed from the balance sheet.

The category also includes equities not held for trading which meet the definition provided by IAS 32, and which the Group decided to classify irrevocably in this category at the initial recognition stage. As the instruments in question are equities, they are not subject to impairment and no gains/losses on equities will be measured through profit or loss, including following the sale of the instrument. Conversely, dividends on the instruments will be measured through profit or loss when the right of collection takes effect.

**3 - Financial assets measured at amortized cost**

These include loans and advances to customers and banks, debt securities and repo transactions which meet the following conditions:

– the financial instrument is held and managed according to the hold-to-collect business model, i.e. with the objective of holding it in order to collect the cash flows governed by the contract;

such contractual cash flows consist entirely of payment of principal amount and interest (and therefore meet the requirements set by the SPPI test).

This heading also includes receivables originated from finance leases, the valuation and classification rules for which are governed by IFRS 16 (cf. below), even though the impairment rules introduced by IFRS 9 apply for valuation purposes.

The Group's business model should reflect the ways in which financial assets are managed at a portfolio level and not at the instrument level, on the basis of factors observable at the portfolio level and not at the instrument level, such as the following:

– operating procedure adopted by management in the performance evaluation process;

– risk type and procedure for managing risks taken, including indicators for portfolio rotation;

– means for determining remuneration mechanisms for risk-takers.

The business model is based on expected reasonable scenarios (without considering "worst case" and "stress case" scenarios). In the event of cash flows differing from those estimated at initial recognition, the Group is not bound to change the classification of financial instruments forming part of the portfolio, but uses the information for deciding the classification of new financial instruments.<sup>(4)</sup>

<sup>(4)</sup> These considerations are stated in the internal management policies, which reiterate the link between business model and accounting treatment and introduce frequency and materiality thresholds for changes in portfolios of assets measured at amortized cost.

78 \| Interim Report for the six months ended 31 December 2024

At initial recognition, the Group analyses contractual terms for the instruments to check whether the instrument, product or sub-product has passed the SPPI test. In this connection, the Group has developed a standardized testing process which involves analysing loans by using a specific tool, developed internally, which is structured in decision-making trees, at the level of the individual financial instrument or product based on their different degrees of customisation. If the test is not passed, the tool will show that the assets should be measured at fair value through profit or loss (FVTPL). The method by which loans are tested differs according to whether or not the asset is a retail or corporate loan: at product level for retail loans, individually for corporate loans. An external info-provider is used to test debt securities; if, however, no test results are available, the instrument is analysed using the SPPI tool. When contractual cash flows for the instrument do not represent solely payments of principal and interest on the outstanding amount, the Group mandatorily classifies the instrument at fair value through profit or loss.

At the initial recognition date, financial assets are measured at fair value, including any costs or income directly attributable to individual transactions that can be established from the outset even if they are actually settled at later stages. The recognition value does not, however, factor in costs with the above characteristics which are repaid separately by the borrower, or may be classified as ordinary internal administrative expenses.

The instrument is measured at amortized cost, i.e. the initial value less/plus the repayments of principal made, write-downs/write-ups, and amortization – calculated using the effective interest rate method – of the difference between the amount disbursed and the amount repayable at maturity, adjusted to reflect expected losses.

The amortized cost method is not used for short-term receivables, as the discounting effect is negligible; for this reason, such receivables are recognized at historical cost. The original effective interest rate is defined as the rate of interest which renders the discounted value of future cash flows deriving from the loan or receivable by way of principal and interest equal to the initial recognition value of the loan or receivable.

The original effective interest rate for each loan will remain unchanged in subsequent years, even if new terms are negotiated leading to a reduction to below market rates, including non-interest-bearing loans. The relevant value adjustment is recognized in the profit and loss account.

In accordance with the provisions of IFRS 9, the impairment model involves financial assets being classified at one of three different risk stages (Stage 1, Stage 2 and Stage 3), depending on developments in the borrower's credit quality, to which different criteria for measuring expected losses apply. Accordingly, financial assets are split into the following categories:

– Stage 1: this includes exposures at their initial recognition date for as long as there is no significant impairment to their credit quality; for such instruments, the expected loss should be calculated depending on default events which may occur within twelve months of the reporting date;

Stage 2: this includes exposures which, while not classified as impaired as such, have nonetheless experienced significant impairment to their credit quality since the initial recognition date; in the transition from Stage 1 to Stage 2, the expected loss will be calculated for the outstanding life of the instrument;

Notes to the accounts \| Part A - Accounting policies \| 79

Stage 3: this category consists of non-performing (impaired) exposures according to the definition provided in the regulations. In the transition to Stage 3, exposures are valued individually, that is, the value adjustment is calculated as the difference between the carrying value at the reference date (amortized cost) and the discounted value of the expected cash flows, which are calculated by applying the original effective interest rate. The expected cash flows consider the anticipated collection times, the probable net realizable value of any guarantees, and the costs which are likely to be incurred for the recovery of the credit exposure from a forward-looking perspective which factors in alternative recovery scenarios and developments in the economic cycle.

In the model for calculating expected losses applied by the Group, forward-looking information was taken into consideration by referring to three possible macroeconomic scenarios (baseline, mild-positive and mild-negative) that may have an impact on PD and LGD, including any sales scenarios where the Group's NPL strategy considers that such assets should be recovered through sale on the market.

The Group's policy to establish a significant increase in credit risk is based on qualitative and quantitative criteria and uses the 30-day past due loans or their classification as forborne as conditions to be otherwise included in Stage 2 (referred to as backstop indicators). Cases of low-risk instruments at the recording date are identified, compatible with classification as Stage 1 (low credit risk exemption), where there is a BBB- rating on the Standard & Poor's scale, or a corresponding internal PD estimate.

Purchased or originated credit impaired items (POCIs) are receivables that are already impaired at the point in time when they are acquired or disbursed, which does not preclude their being subsequently classified as performing. Writedowns are in any case calculated on a lifetime horizon.

Following initial recognition, all financial assets measured at amortized cost are subject to the impairment model based on the expected loss, i.e. performing as well as non-performing exposures.

Impairment regards losses which are expected to materialize in the twelve months following the reporting date, or losses which are expected to materialize throughout the rest of the instrument's lifetime in the event of a significant increase in credit risk. Both the twelve-month and lifetime expected losses can be calculated on an individual or collective basis according to the nature of the underlying portfolio.

Expected credit losses are recorded and released only to the extent that changes have occurred. For financial instruments considered to be in default, the Group records an expected loss on the residual lifetime of the instrument (similar to Stage 2 above); value adjustments are determined for all the exposures of the different categories considering forecast information reflecting macro-economic factors (forward-looking approach).

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**4 – Hedging**

With reference to hedging transactions, the Group has chosen to adopt the provisions of IFRS 9 and not to make use of the exception granted, i.e. to continue to apply the IAS 39 rules to these transactions, with the exception of the specific cases set forth in IFRS 9 (para. 6.1.3)<sup>(5)</sup> and not governed by the same.

The types of hedges used by the Group are the following:

– fair value hedges, which aim to offset the exposure to changes in the fair value of a financial item or homogeneous group of assets in terms of risk profile;

– cash flow hedges, which are intended to offset the exposure of recognized assets and liabilities to changes in future cash flows attributable to specific risks relating to the items concerned;

– hedges of foreign investments in currencies other than the Euro: these refer to the hedging of risks in an investment in a non-Italian company denominated in a foreign currency.

For the process to be effective, the item must be hedged with a counterparty from outside the Group.

Hedge derivatives are measured at fair value as follows:

– for fair value hedges, a change in the fair value of the hedged item is offset by the change in fair value of the hedging instrument, both of which recognized in the profit and loss account, should a difference emerge as a result of the partial ineffectiveness of the hedge;

– for cash flow hedges, a change in fair value is recognized in net equity for the effective portion of the hedge and in the profit and loss account only when, with reference to the hedged item, the change in the cash flows to be offset actually occurs.

Hedge accounting is permitted for derivatives where the hedging relationship is formally designated and documented and provided that the hedge is effective at its inception and is expected to be so for its entire life.

At inception, the Group formally designates and documents the hedging relationship, with an indication of the risk management objectives and strategy for the hedge. The documentation includes identification of the hedging instrument, the item hedged, the nature of the risk hedged and how the entity intends to assess if the hedging relationship meets the requisites for the hedge to be considered effective (including analysis of the sources of any ineffectiveness and how this affects the hedging relationship). The hedging relationship meets the eligibility criteria for accounting treatment reserved for hedges if, and only if, the following conditions are met:

– the effect of the credit risk does not prevail over the changes in value resulting from the economic relationship;

<sup>(5)</sup> IFRS 9 par. 6.1.3: "For a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities (and only for such a hedge), an entity may apply the hedge accounting requirements in IAS 39 instead of those in this Standard. In that case, the entity must also apply the specific requirements for the fair value hedge accounting for a portfolio hedge of interest rate risk and designate as the hedged item a portion that is a currency amount (see paragraphs 81 A, 89 A and AG114–AG132 of IAS 39)."

Notes to the accounts \| Part A - Accounting policies \| 81

– the coverage provided by the hedging relationship is the same as the coverage which results from the quantity of the item hedged which the entity effectively hedges, and the quantity of the hedging instrument which the Group actually uses to hedge the same quantity of the item hedged.

*Fair value hedges*

As long as the fair value hedge meets the qualifying criteria, the gain or loss on the hedging instrument must be recognized in the profit and loss account or under one of the other comprehensive income headings if the hedging instrument hedges another equity instrument for which the Bank has chosen to measure changes in fair value through OCI. The hedge profit or loss on the hedged item is recorded as an adjustment to the book value of the hedged instrument with a matching entry through profit or loss, even in cases where the item hedged is a financial asset (or one of its components) measured at fair value with changes through OCI. However, if the hedged item is an equity instrument for which the entity has opted to measure changes in fair value through OCI, the amounts remain in the statement of other comprehensive income.

If the hedged item is an unrecognized irrevocable commitment (or a component thereof), the cumulative change in fair value of the hedged item resulting from its designation is recognized as an asset or liability with a corresponding gain or loss recorded in the profit (loss) for the period.

*Cash flow hedges*

As long as the cash flow hedge meets the qualifying criteria, it is accounted for as follows:

– the gain or loss on the hedging instrument in relation to the effective portion of the hedge is measured through OCI in the cash flow reserve, whereas the ineffective part is measured through profit or loss.

– the cash flow reserve is adjusted to the lower of:

– the cumulative gain or loss on the hedging instrument since the hedge's inception; and

– the cumulative change in fair value (at the present value) of the hedged item (i.e. the present value of the cumulative change in the estimated future cash flows hedged) since the hedge's inception.

The cumulative amount in the cash flow hedge reserve will be reclassified from the cash flow hedge reserve to profit (loss) for the period as a reclassification adjustment in the same period or periods in which the estimated future cash flows being hedged have an impact on the profit (loss) for the period (e.g. in periods when interest receivable or payable are recorded, or when the planned sale takes place). However, if the amount constitutes a loss and the entity does not expect to recover the whole loss or part of it in one or more future periods, the entity must classify the amount it does not expect to recover in the profit (loss) for the period (as an adjustment due to reclassification) immediately.

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*Foreign currency investment hedges*

As far as it complies with eligibility criteria, a cash flow hedge is accounted for in the following ways:

– the portion of gain or loss on the hedging instrument that results in an effective hedge is booked into other comprehensive income; and

– the ineffective share is booked through profit or loss.

The cumulative gain or loss on the hedging instrument related to the effective part of the hedge which had been accumulated into the foreign currency exchange rate reserve will be reclassified from net equity to profit and loss as a reclassification adjustment (see IAS 1), as required by paras. 48 and 49 of IAS 21 regarding the partial or total disposal of the foreign investment.

**5 - Investments**

This heading consists of interests<sup>(6)</sup> held in jointly-controlled entities and associates. Companies subject to joint control, otherwise known as joint ventures, are defined as entities whose control is contractually stipulated as being shared between the Group and one or more other parties, or when the unanimous consent of all parties which share control of the entity is required for decisions regarding relevant activities.

Companies subject to significant influence, otherwise known as associates, are defined as entities in which the Group holds at least 20% of the voting rights (including "potential" voting rights) or for which – despite holding a lower share of the voting rights – it is entitled to participate in deciding the financial and management policies by virtue of its being represented in that company's management bodies, without actually having control over it.

The Group uses the net equity method to account for these investments; hence they are initially recognized at cost and subsequently adjusted to reflect changes in the net assets attributable to the Group since the acquisition date.

Following application of the net equity method, if there is objective evidence that the value of an investment may have reduced, estimates are made of its recoverable value, taking into account the value of the discounted future cash flows which the investment might generate, including the final sale value of the investment itself.

If the recoverable value is lower than the book value, the difference is measured through profit or loss.

If, in a period following the year in which an impairment loss has been recorded, a change occurs in the estimates used to determine the recoverable value, the book value of the investment will be revised to reflect the recoverable value and the adjustment will give rise to a write-back.

<sup>(6)</sup> As specified in IAS 28, the stake in an associated company is the book value of the investment in the affiliated company calculated using the equity method together with any other long-term stake which, in substance, represents the entity's additional net investment in the affiliated company. Any short-term transactions (trading and securities lending) are not relevant for the computation of the stake for equity-based consolidation purposes.

Notes to the accounts \| Part A - Accounting policies \| 83

In cases where significant influence or joint control are lost, the Group recognizes and values any residual share still held at fair value. Any difference between the book value at the date on which the loss of significant influence or joint control occurs, plus the fair value of the share still held and the consideration received on disposal, will be recognized in the income statement.

**6 - Tangible assets**

This heading comprises land, core and investment properties, plant, furniture, fittings and equipment of all kinds. It also includes the R-o-U assets acquired under leases and related use of tangible assets (for lessees) and assets used under the terms of finance leases (for lessors), despite the fact that such assets remain the legal property of the lessor rather than the lessee.

Assets held for investment purposes refer to investments in real estate, if any (whether owned or acquired under leases), which are not core to the Bank's main activities and/or are chiefly leased out to third parties.

The heading also includes tangible assets classified pursuant to IAS 2 – Inventories, namely assets deriving from guarantees being enforced or acquired at an auction which the firm has the intention of selling in the near future, without carrying out any major refurbishment work and which do not fall into any of the previous categories.

Such assets are recognized at historical cost, which, in addition to the purchase price, includes any ancillary charges directly attributable to the purchase and/or commissioning of the asset. Extraordinary maintenance charges are accounted for by increasing the asset's value, while ordinary maintenance charges are recorded in the profit and loss account.

Fixed assets are depreciated over the length of their useful life on a straight-line basis, with the exception of land, which is not depreciated on the grounds that it has unlimited useful life. Properties built on land owned by the Bank are recorded separately on the basis of valuations prepared by independent experts.

At annual and interim reporting dates, where there is objective evidence that the value of an asset may be impaired, its carrying amount is compared to its current value, which is the higher of its fair value after any costs to sell and its related value in use. Adjustments, if any, are recognized in the profit and loss account. If the reasons for recognizing a loss in value no longer apply, the adjustment will be written back, with the proviso that the amount credited may not exceed the value which the asset would have had after depreciation, which is calculated assuming no impairment took place.

**7 - Intangible assets**

These chiefly comprise goodwill, long-term computer software applications and other intangible assets deriving from business combinations subject to IFRS 3R.

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Goodwill may be recognized where this is representative of the investee company's ability to generate future income. At each reporting date, goodwill recorded as an asset is tested for impairment.<sup>(7)</sup> Any reduction in value due to impairment is calculated as the difference between the initial recognition value of goodwill and its realizable value, the latter being equal to the higher of the fair value of the related cash-generating unit after any costs to sell and its value in use, if any. Any adjustments will be recognized in the profit and loss account.

Other intangible assets are measured at cost, adjusted to reflect ancillary charges only where it is likely that future earnings will derive from the asset and the cost of the asset itself may be reliably determined. Otherwise, the cost of the intangible asset is booked through the profit and loss account in the year in which the expense was incurred.

The cost of intangible assets is amortized on a straight-line basis over the useful life of the related asset, verified on an annual basis if necessary. If its useful life is indefinite the cost of the asset is not amortized, but the value at which it is initially recognized is tested for impairment on a regular basis.

At annual and interim reporting dates, the realizable value of the asset is estimated if there is evidence of impairment.<sup>(8)</sup> The impairment is recognized in the profit and loss account as the difference between the carrying amount and the recoverable value of the asset concerned.

**8 - Non-current assets and asset groups as held for sale (IFRS 5)**

Under assets heading "Non-current assets and asset groups as held for sale" and under liability heading "Liabilities associated with assets held for sale" the Group classifies non-current assets or groups of assets/liabilities whose booking value will be presumably recovered by mean of a sale process. To be classified in this heading, assets or liabilities (or disposal groups) should be readily available for sale and selling plans should be identified, which are active and realistic in a way that their completion is considered highly probable. After the classification in the identified heading, these assets are valued at the lower of the booking value and the fair value after costs to sell, with the exception of some categories of assets (i.e. assets falling under the scope of standard IFRS 9) for which IFRS 5 requires specifically that the valuation provisions of the applicable standard should be used. In case of held-for-sale assets to be still depreciated, this process ends when assets are classified in the mentioned heading.

<sup>(7)</sup> The Group has adopted a policy for the impairment testing process in line with the provisions of Organismo Italiano di Valutazione (OIV), Impairment test dell'avviamento in contesti di crisi finanziaria (Impairment test of goodwill during financial crises) of 14 June 2012, Principi Italiani di Valutazione (PIV, Italian Valuation Standards) published in 2015, Discussion Paper of 22 January 2019, Discussion Paper no. 01/2021 issued on 16 March 2021 by Organismo Italiano di Valutazione (O.I.V.) "*L'uso di informazione finanziaria prospettica nella valutazione d'azienda*" (Use of forward-looking financial information in company valuation), Discussion Paper no. 02/2021 issued on 16 March 2021 by Organismo Italiano di Valutazione (O.I.V.) "*Linee Guida per l'Impairment Test dopo gli effetti della pandemia da Covid-19*" (Guidelines for Impairment Tests after the effects of the Covid-19 pandemic), with suggestions published by ESMA, the guidelines of the joint document Bank of Italy, Consob, IVASS (document no.4 of 3 March 2010 and no.8 of 21 December 2018) and various Consob communications and warning notices, as well as the IOSCO (*International Organization Of Securities Commissions*) Document containing "*Recommendations on Accounting for Goodwill*", published in December 2023.

<sup>(8)</sup> Under IAS 36, impairment testing, i.e. tests to ascertain whether or not there has been a loss in the value of individual tangible and intangible assets, must be carried out at least once a year, in conjunction with preparation of the financial statements, or more frequently if events have taken place or materialized that would indicate there has been a reduction in the value of such assets (known as "impairment indicators").

Notes to the accounts \| Part A - Accounting policies \| 85

In case of discontinued operations, i.e. the sale of operating assets relating to an important business sector or geographical area, the standard requires gains and losses related thereto to be grouped together, after any tax effect, in the profit and loss heading "320. Gains (losses) of discontinued operating assets, after tax".

If the fair value of assets and liabilities held for sale, after costs to sell, is lower than their book value, a write-off will be calculated and booked through profit or loss.

Non-current assets held for sale and disposal groups are derecognized from the balance sheet when the sale occurs.

**9 - Tax assets and liabilities**

Income taxes are recorded through the profit and loss account, with the exception of tax payable on items debited or credited directly to net equity. Provisions for income tax are calculated on the basis of current, advance and deferred obligations. In particular, prepaid and deferred taxes are calculated on the basis of temporary differences – without time limits – between the value attributed to an asset or liability according to (Italian) statutory regulations and the corresponding values used for tax purposes.

Advance tax assets are recognized in the balance sheet based on the likelihood of their being recovered.

Deferred tax liabilities are recognized with the exception of tax-suspended reserves, if the size of available reserves previously subjected to taxation is such that it may be reasonably assumed that no transactions will be carried out on the Group's own initiative that might lead to their being taxed.

Deferred taxes arising upon business combinations are recognized when this is likely to result in an actual charge for one of the consolidated companies.

Tax assets and liabilities are adjusted as and when changes occur in the regulatory framework or in applicable tax rates, inter alia to cover charges that might arise in connection with inspections by or disputes with the tax revenue authorities.

Contributions to Deposits Guarantee Schemes and resolution funds are accounted for according to IFRIC 21.

**10 - Provisions for risks and charges**

These regard risks linked to loan commitments and guarantees issued, and to the Group's operations which could lead to expenses in the future as well as post-retirement plan provisions (cf. below).

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In the first case (provisions for risks and charges to cover commitments and guarantees issued), the amounts set aside are quantified in accordance with the rules on impairment of financial assets measured at amortized cost.

In the other cases the rules of IAS 37 apply, i.e. the potential charge must be estimated reliably; if the time effect is material, provisions are discounted using current market rates; and the provision is recognized in the profit and loss account.

Provisions are reviewed on a regular basis, and where the charges that gave rise to them are deemed unlikely to crystallize, the amounts involved are written back to the profit and loss account in part or in full.

Withdrawals are only made from provisions to cover the expenses for which the provision was originally set aside.

As permitted by IAS 37, paragraph 92, no precise indication has been given of any contingent liabilities where this could compromise the company in any way.

**11 - Financial liabilities measured at amortized cost**

These include the items Due to banks, Due to customers and Debt securities in issue less any amounts bought back. The heading also includes payables in respect of finance lease transactions, whose valuation and classification rules are governed by IFRS 16 and which are subject to the impairment rules under IFRS 9. For a description of the rules for valuing and classifying lease receivables, see the relevant section.

Initial recognition takes place when funds raised are collected or debt securities are issued, and occurs at fair value, which is equal to the amount collected after transaction costs incurred directly in connection with the liability concerned. After initial recognition, liabilities are measured at amortized cost on the basis of the effective interest rate, with the exception of short-term liabilities which will continue to be stated at the original amount collected.

Derivatives embedded in structured debt instruments are stripped out from the underlying contract and recognized at fair value when they are not closely correlated to the host instrument. Subsequent changes in fair value are recognized through the profit and loss account.

Financial liabilities are derecognized upon expiry or repayment, even if buybacks of previously issued bonds are involved. The difference between the liabilities' carrying value and the amount paid to repurchase them is recognized through the profit and loss account.

The sale of treasury shares over the market following a buyback (even in the form of repos and securities lending transactions) is treated as a new issue. The new sale price is recorded as a liability without passing through the profit and loss account.

Notes to the accounts \| Part A - Accounting policies \| 87

**12 - Trading financial liabilities**

This item includes the negative value of trading derivatives and any derivatives embedded in complex instruments. Liabilities for technical overdrafts connected to securities trading activities as well as the negative value of syndicated loan underwriting commitments are also included. All trading liabilities are measured at fair value and changes are taken through the profit and loss account.

**13 - Financial liabilities designated at fair value**

These include the value of financial liabilities measured at fair value through profit or loss, on the basis of the option granted to companies (referred to as "fair value option") by IFRS 9 and in compliance with the cases provided for by such legislation.

Such liabilities are measured at fair value, accounting for earnings according to the following rules laid down in IFRS 9:

– changes in fair value attributable to changes in one's credit quality must be recognized in the Statement of Other Comprehensive Income (Net Equity);

– other changes in fair value must be recognized through Profit or Loss;

amounts stated in Other Comprehensive Income will not flow through profit or loss.

This method cannot be adopted, however, if the recognition of the effects of the issuer's own credit quality in Net Equity generates or accentuates an accounting mismatch in profit and loss. In such cases, the profits or losses related to the liability, including those caused as the effect of the change in the issuer's credit quality, must be measured through profit or loss.<sup>(9)</sup>

In compliance with the provisions of IFRS 9, the correlation between assets and liabilities is monitored on an ongoing basis.

**14 - Foreign currency transactions**

Transactions in foreign currencies are recorded by applying the exchange rates as at the date of the transaction to the amount in the foreign currency concerned.

Assets and liabilities denominated in currencies other than the Euro are translated into Euros using exchange rates prevailing at the reference dates. Differences on cash items due to translation are recorded through the profit and loss account, whereas those on non-cash items are recorded according to the valuation criteria used in respect of the category they belong to (i.e. at cost, through profit or loss or on an equity basis).

<sup>(9)</sup> This case in particular concerns the related portfolio of assets and liabilities concerning the business model for managing the funding of equity-linked certificates aiming to eliminate the accounting mismatch.

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The assets and liabilities of non-Italian entities consolidated on a line-by-line basis have been converted at the exchange rate prevailing at the reporting date, whereas the profit-and-loss items have been converted using the average of the average monthly exchange rate readings for the period; any differences emerging after the conversion are recognized among the Net Equity valuation reserves.

**15 – Insurance assets and liabilities**

Insurance assets and liabilities that fall within the scope of IFRS 17 "Insurance Contracts" are classified in this category.

In particular, the asset item "80. Insurance assets" or the liability item "110. Insurance liabilities" include insurance contracts, reinsurance contracts, and investment contracts with issued discretionary profit-sharing features, as defined and regulated by IFRS 17, belonging to portfolios of insurance contracts, based on the net balance of the portfolio to which they belong. Generally, insurance contracts have a negative balance (insurance liabilities), while reinsurance contracts have a positive balance (insurance assets).

At the time of signing the insurance contract(10) with the insured party, a liability is recognized whose amount is given by the algebraic sum of the present value of the expected contractual cash flows (Present value of future cash flow – "PVFCF") which include the so-called Contractual Service Margin – "CSM", i.e. the present value of expected future profits and the Risk adjustment ("RA") to cover non-financial risks. All contracts are grouped together to identify "portfolios" that have similar risks and which can be managed in a unified manner.

There are two measurement models: General Model - applicable in principle to all contracts, and Variable Fee Approach ("VFA") - applicable in particular to direct profit-sharing contracts. An optional simplified model (Premium Allocation Approach - "PAA") is also provided for the purpose of measuring the residual coverage liability for contracts with a coverage period lasting one year or longer and for all contracts in the event that the measurement is not materially different from the one resulting from applying the General Model.

The insurance liability should be updated at each reporting period to verify the consistency of the estimates made with respect to market conditions. The effects of any updates detected will be recognized in the profit and loss account if the changes refer to current or previous events or to a reduction in the Contractual Service Margin if the changes are due to future events.

With regard to financial assumptions, the principle provides for the option of representing the effects of changes in the profit and loss account or in shareholders' equity (referred to as Other Comprehensive Income Option - OCI).

<sup>(10)</sup> An insurance contract is defined as a contract under which one party (the issuer) underwrites a "significant insurance risk" from another party (the insured), agreeing to indemnify the insured in the event that the same suffers damage resulting from a specific uncertain future event (the insured event).

Notes to the accounts \| Part A - Accounting policies \| 89

Lastly, IFRS 17 provides that the insurance contract should be derecognized when, and only when, the contract is extinguished, i.e. when the obligation specified in the insurance contract expires or is discharged or cancelled.

**16 – Other Information**

**Financial liabilities recognized at present value of redemption amount**

These consist of financial liabilities originating from agreements to buy out minorities in connection with acquisitions of controlling interests. These items, accounted for in heading "80. Other liabilities" of balance sheet, must be recognized at the present value of the redemption amount.

**Derecognition of assets**

A financial asset must be derecognized from the balance sheet if, and only if, the contractual rights to the cash flows deriving from it have expired, or if the asset has been transferred in accordance with the circumstances permitted under IFRS 9. In such cases the Group checks if the contractual rights to receive the cash flows in respect of the asset have been transferred, or if they have been maintained while a contractual obligation to pay the cash flows to one or more beneficiaries continues to exist. It is necessary to check that basically all risks and benefits have been transferred, and any right or obligation originated or maintained as a result of the transfer is recorded separately as an asset or liability where appropriate. If the Group retains virtually all risks and benefits, the financial asset must continue to be recorded.

If the Group has neither transferred nor maintained all risks and benefits, but at the same time has retained control of the financial asset, this continues to be recognized up to the residual interest retained in that asset.

The main forms of activity currently carried out by the Group which do not require underlying assets to be derecognized are the securitization of receivables, repo trading and securities lending. Conversely, items received as part of deposit bank activity, the return on which is collected in the form of a commission, are not recorded, as the related risks and benefits continue to accrue entirely to the end-investor.

When a financial asset measured at amortized cost is renegotiated, the Group derecognizes it only if the renegotiation entails a change of such magnitude that the initial instrument effectively becomes a new one. In such cases, the difference between the original instrument's carrying value and the fair value of the new instrument is measured through profit or loss, taking due account of any previous write-downs. The new instrument is classified as Stage 1 for the purpose of calculating the expected loss (save in cases where the new instrument is classified as a POCI).

In cases where the renegotiation does not result in substantially different cash flows, the Group does not derecognize the instrument, but the difference between the original carrying value and the estimated cash flows discounted using the original internal rate of return must be measured through profit or loss (taking due account of any provisions already set aside to cover it).

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**Leases (IFRS 16)**

An agreement is classified as a lease<sup>(11)</sup> (or contains a lease) based on the substance of the agreement at the execution date. An agreement is, or contains, a lease if its performance depends on the use of a specific good (or goods) and confers the right to use such good (goods) – the "Right of Use" (RoU) – for an agreed period of time and in return for payment of a fee (Lease liabilities). This definition of leasing therefore also includes long-term rentals or hires.

Right-of-use assets are recognized among "Tangible assets", and calculated as the sum of the current value of future payments (which corresponds to the current value of the recognized liability), the initial direct costs, any instalments received in advance or on the effective date of the lease (down payment), any incentives received from the lessor, and estimates of any costs for removing or restoring the asset underlying the lease.

The lease liability, which is booked under "Financial liabilities measured at amortized cost", is equal to the discounted value of payments due in respect of the lease discounted, as required by the Standard, to the marginal financing rate, equal for the Group to the Funds Transfer Pricing rate (FTP) as at the date concerned.

The duration of the lease agreement must not only consider the non-cancellable period established by contract, but also the extension options if their use is considered reasonably certain; in particular, the counterparty's past behaviour, the existence of corporate plans for the disposal of the leased business and any other circumstances indicative of the reasonable certainty of renewal must be considered when providing for automatic renewal.

After initial recognition, right-of-use assets are amortized over the lease duration and written down as appropriate. The liability will be increased by the interest expense accrued and progressively reduced as a result of the payment of fees; in the event of a change in payments, the liability will be recalculated against the right-of-use asset.

For sub-leases, i.e. when an original lease has been replicated with a counterparty, and there are grounds for classifying it as a finance lease, the liability in respect of the original lease is matched by an amount receivable from the sub-lessee rather than the value in use.

**Provisions for statutory end-of-service payments and post-retirement schemes**

Provisions for statutory end-of-service payment qualify as a defined-contribution retirement plan for units accruing from 1 January 2007 (the date on which the reform of supplemental retirement plans came into force under Legislative Decree No. 252 of 5 December 2005), for cases where the employee opts into a supplemental retirement plan, and also for cases where contributions are paid into the treasury fund held with Istituto Nazionale di Previdenza Sociale (INPS, Italian national social security institution). For such payments, the amount accounted for under labour costs is determined on the basis of the contributions due without using actuarial calculation methods.

<sup>(11)</sup> Leases in which the Group is a lessor may be divided into finance leases and operating leases. A lease is defined as a finance lease if all risks and benefits typically associated with ownership are transferred to the lessee. Such leases are accounted for by using the financial method, which involves a receivable being booked as an asset for an amount equal to the amount of the lease, after any expired instalments on principal paid by the lessee, and the interest receivable being taken through the income statement.

Notes to the accounts \| Part A - Accounting policies \| 91

Provisions for statutory end-of-service payment accrued up to 1 January 2007 qualify as defined benefit retirement plans, and as such will be recorded depending on the actuarial value calculated in line with the projected unit method. Therefore, future payments will be estimated based on past statistical analyses (for example turnover and retirements) and on the demographic curve; these flows will then be discounted according to a market interest rate that takes the market yield of bonds of leading companies as a benchmark taking into account the average residual duration of the liability weighted on the basis of the percentage of the amount paid or advanced for each maturity with respect to the total amount to be paid or advanced until the final settlement of the entire obligation.

Post-retirement plan provisions have been set aside under company agreements and also qualify as defined benefit plans. In this case, the current value of the liability is adjusted by the fair value of any assets to be used under the terms of such plan.

Actuarial gains and/or losses are recorded in the Other Comprehensive Income statement, while the interest component is recognized in the profit and loss account.

**Stock Options, Performance Shares and Long-Term Incentives**

Stock option, performance share and long-term incentive (LTI) schemes operated on behalf of Group staff members and collaborators are treated as a component of labour costs.

Schemes which involve payment through the award of shares are measured through profit or loss, with a corresponding increase in net equity, based on the fair value of the financial instruments allocated at the award date, thus spreading the cost of the scheme throughout the period of time in which the requirements in terms of service have been met and the performance targets, if any, have been achieved.

The overall cost of the scheme is recorded in each financial year up to the date on which the plan vests, so as to reflect the best possible estimate of the number of shares that will actually vest. Requirements in terms of service and performance targets are not considered in determining the fair value of the instruments awarded, but the probability of such targets being reached is estimated by the Group and this is factored into the decision as to the number of instruments that will vest. Conversely, market conditions will be included in establishing the fair value, whereas conditions unrelated to the requirements in terms of service are considered "non-vesting conditions" and are reflected in the fair value established for the instruments, and result in the full cost of the scheme being recorded in the income statement immediately in the event that no service requirement and/or performance conditions have been met.

In the event of performance or service conditions not being met and the benefit failing to be allocated as a result, the cost of the scheme is written back. However, if any market conditions fail to be reached, the cost must be recorded in full if the other conditions have been met.

In the event of changes to the scheme, the minimum cost to be recorded is the fair value at the scheme award date prior to the change, if the original conditions for vesting have been met. An additional cost, established at the date on which the change is made to the scheme, must be recorded if the change has entailed an increase in the overall fair value of the scheme for the beneficiary.

92 \| Interim Report for the six months ended 31 December 2024

For schemes which will involve payments in cash upon expiry, the Group records an amount payable equal to the fair value of the scheme measured at the award date of the scheme and at every reporting date thereafter, up to and including the settlement date, with any changes recorded as labour costs.

**Treasury shares**

These are deducted from net equity. Any differences between the initial disbursement upon acquisition and the revenues on disposal are also recognized in net equity.

**Fees and commissions receivable in respect of services**

This heading includes all revenues deriving from the provision of services to customers with the exception of those relating to financial instruments, leases and insurance contracts.

Revenues from contracts with customers are measured through profit or loss when control over the service is transferred to the customer, in an amount that reflects the fee to which the Group considers to be entitled in return for the service rendered.

For revenue recognition purposes, the Group analyses the contracts to establish whether they contain more than one obligation to provide services to which the price of the transaction should be allocated. The revenues are then recorded throughout the time horizon over which the service is rendered, using suitable methods to recognize the measurement in which the service is provided. The Group also takes into consideration the effects of any variable commissions, and whether or not a significant financial component is involved.

In the event of additional costs being incurred to perform or execute the contract, where such costs meet the requirements of IFRS 15, the Group will assess whether to capitalize them and then amortize them throughout the life of the contract, or to make use of the exemption provided by IFRS 15 to expense the costs immediately in cases where their amortization period would be complete within twelve months.

**Dividends**

Dividends are recognized through profit or loss during the financial year in which their distribution is approved; they concern distributions from equity securities that are not part of affiliated investments and/or joint ventures measured according to the provisions of IAS 28.

**Cost recognition**

Costs are measured through profit or loss in accordance with the revenues to which they refer, except in case their capitalization requirements apply and where provided in order to determine amortized cost. Any other costs which cannot be associated with revenues are accounted for immediately in the profit and loss account.

Notes to the accounts \| Part A - Accounting policies \| 93

**Related parties**

Related parties are defined, inter alia in accordance with IAS 24, as follows:

a) individuals
 or entities which, directly or indirectly, exercise significant influence over the Bank;

b) shareholders
 with stakes of 3% or more in the Bank's share capital;

c) legal
 entities controlled by the Bank;

d) associated
 companies, joint ventures and entities controlled by the same;

e) key
 management personnel, that is, individuals with powers and responsibilities, directly or
 indirectly, for the planning, direction and control of the Parent Company's activities,
 including the members of the Board of Directors and Statutory Audit Committee;

f) entities
 controlled or jointly controlled by one or more of the entities listed under the foregoing
 letters a) and e) and the joint ventures of entities referred to under letter a);

g) close
 family members of the individuals referred to in letters a) and e) above, that is, individuals
 who may be expected to influence them or be influenced by them in their relations with Mediobanca
 (this category includes children, spouses and their children, partners and their children,
 dependants, spouses' dependants and their partners' dependants), as well as any
 entities controlled, jointly controlled or otherwise associated with such individuals.

**A.3 – Information on transfers between financial asset portfolios**

A*.3.1 Reclassification of financial assets: changes to the business model, book value and interest income*

*A.3.2 Reclassification of financial assets: changes to the business model, Fair Value and effects on other comprehensive income*

*A.3.3 Reclassification of financial assets: changes to the business model and effective interest rate*

At 31 December 2024, there were no data to be reported for any of the three sections above.

**A.4 – Information on Fair Value**

**QUALITATIVE INFORMATION**

***Fair Value***

In line with the international accounting standards, the Fair Value of financial instruments stated in the financial statements is the so-called exit price, i.e. the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions, regardless of whether such price is directly observable or estimated using another valuation technique (IFRS 13, §24).

Fair value, therefore, is "the price that would be received for the sale of an asset or that would be paid for the transfer of a liability in a regular transaction between market operators at the measurement date".

94 \| Interim Report for the six months ended 31 December 2024

The Fair Value hierarchy of an instrument is a direct consequence of the Fair Value estimation approach: in principle, a financial instrument is considered to be listed on an active market if its price represents its current exchange value in normal, effective and regular market operations.

If the market is not active, the Fair Value of the instrument being estimated is measured by using market prices for similar instruments on active markets (comparable approach) or, in the absence of similar instruments, using a valuation technique that uses market and non-observable information (observable/unobservable inputs).

The Group has laid down precise guidelines regarding three key aspects: independent calculation of Fair Value, conducted by the Group's control units; the adoption of any Fair Value adjustments to consider aspects of uncertainty/liquidity; and classification of financial instruments according to a Fair Value hierarchy based on the level of uncertainty of the valuation. In addition to the book Fair Value, which affects both the balance sheet and the income statement, the Group is required to make prudent valuation adjustments in order to calculate prudential requirements.

These guidelines, set out in Policies approved by the Board of Directors and related implementation Directives approved by the competent Committees, were defined in compliance with the main international regulations (IFRS 13<sup>(12)</sup> and CRR art 105<sup>(13)</sup>); the main activities for calculating the exit price of the financial instruments in the portfolio are shown below.<sup>(14)</sup>

**Independent Price Verification (IPV)**

Independent Price Verification (IPV) is the process through which prices and market data, used to calculate Fair Value and to measure prudent value, are subject to a verification process according to specific accuracy standards defined internally by the Group. The Independent Price Verification Policy and Directive meet the regulatory requirements that require institutions to perform independent price verification in addition to daily marking-to-market or marking-to-model practices and establish and maintain sufficient procedures for providing valuation estimates.

Independent Price Verification has the following objectives: formalisation of control methodologies, definition of a market parameter validation approach, definition of the methodologies for quantifying control thresholds, methods and types of escalation and reporting to Senior Management.

Verification of the correctness of the valuation will be based on verification of market parameters used for the valuation of instruments that present a risk profile for the Group and individual Desks by analysing the correct import of data from info providers and the fairness of the financial value through comparison with other info providers, indicative quotations provided by brokers and implicit parameters deduced from such quotations. With regard to

<sup>(12)</sup> IFRS 13 establishes guidelines for identifying the exit price by using available prices, valuation models and any corrections (FVA) to consider elements of illiquidity/risk which, if not applied, would lead to overestimating the financial instrument, and the need to classify financial instruments according to the level of objectivity in the computation of fair value (FVH).

<sup>(13)</sup> The guiding principles of the IPV and PVA processes are defined in the CRR Directive, Article 105.

<sup>(14)</sup> It should be emphasized that the accuracy and consistency of these guidelines are subject to rigorous supervision by the Group Audit unit, which verifies the effectiveness and adequacy thereof. Furthermore, a specific internal validation unit has been established, i.e. the Quantitative Risk Methodologies (QRM), which focuses on the validation of the quantitative methods used.

Notes to the accounts \| Part A - Accounting policies \| 95

illiquid financial instruments, verification should also be performed as regards the valuation methodology input data.

IPV performs data analysis in order to ensure consistency with a comparison source to ensure a correct evaluation of the Bank's and of individual Desks' risk positions of the main profit and loss drivers. Any changes to the data will have an impact not only on the balance sheet but also on the Profit and Loss reporting process of the portfolio concerned. Furthermore, the decision to change the source of valuation of any market data during the Independent Price Verification process, as well as the verification method itself, may generate a different classification of the instrument being analysed with respect to the Fair Value Hierarchy.

For the calculation of Independent Price Verification adjustments, the Mediobanca Group uses available and reliable sources. Where possible, these are also used for the prudent valuation adjustment (PVA) process in line with the provisions of Article 3 of Delegated Regulation (EU) 2016/101. These data sources are validated in accordance with the provisions of internal documentation and/or regulations.

The validation process focuses on the asset classes that have a direct impact on the Group's Income Statement, both for proprietary instruments and for guaranteed instruments. In this regard, before proceeding with the analysis of the market parameters, the scope of analysis where to perform the certification is divided into asset classes. However, materiality thresholds (at risk factor level) are established for each exposure above which to apply the calculation described below.

IPV requires daily checks to be performed on all Group positions (trading and banking book), which include the year-by-year price of financial instruments, market curves and volatility surfaces. Furthermore, monthly checks, at the latest, are carried out for some asset classes, based on consensus services, given the nature and frequency with which valuation data is available in the systems. Finally, starting from the year under review, annual verifications of the funds (Private Equity, Debt and Real Estate) have been introduced using a leading third-party firm for the valuation of the NAVs of UCITS funds. The IPV process is divided into two levels:

– the individual underlying assets are specifically verified and, based on the differences found compared to the valuation communicated by the manager, a valuation flag is assigned;

– the "Documentary completeness" and "Adequacy of valuations" are analysed for each fund.

**Fair Value Adjustment (FVA)**

Fair Value Adjustment (FVA) plays a fundamental role in the valuation of financial instruments, as it ensures that the fair value reflects the price actually realizable in a practical market transaction. The guidelines defined in the Fair Value policy fully reflect the requirements defined by accounting standard IFRS 13, according to which the valuation of financial instruments should use the exit price method and allow for corrections to be made to the valuations in specific circumstances.

96 \| Interim Report for the six months ended 31 December 2024

This fair value approach ensures that the valuations made by the Group are based on prices that are realistic and representative of current market conditions, guaranteeing adequate consideration to exit conditions and to the actual possibilities of selling or purchasing the financial instruments being valued. This ensures accurate and reliable financial information to be provided internally and to external stakeholders. In particular:

Inputs based on Bid and Ask Prices - §70: when measuring an asset or liability at fair value and having at one's disposal both a bid and an ask price (as in the case of inputs from a market of operators), the price within the bid-ask spread that best represents fair value in the specific circumstances should be chosen. The Group uses bid or ask prices in order to align with the closing price.

Inputs derived from Bid and Ask Prices - §71: the standard does not prohibit the use of average market prices or other pricing conventions commonly used by market participants to measure fair value within the bid-ask spread. However, in the Group's approach preference is given to the adoption of bid and ask prices in order to obtain a more precise fair value measurement particularly aligned with a reliable closing price.

Fair value adjustments have an impact on profit or loss and take into account market liquidity, the uncertainties of parameters, the financing costs, and the complexity of the valuation models used in the absence of shared market practices.

The scope of fair value adjustments includes the following categories:

– market price uncertainty (MPU): this consists in uncertainties in valuations based on market quotations;<sup>(15)</sup>

Closed-Out Cost (COC): this indicates uncertainties regarding the liquidity cost that the Group may incur in the event of a partial or total sale of an asset measured at fair value;

– Model Risk (MR): adjustments aimed at mitigating the risk of discrepancy with respect to market practice in the valuation of a product in relation to the choice and implementation of the valuation model;

– Concentrated Positions: this reflects uncertainties in the valuation of the exit price for positions classified as concentrated (i.e. positions whose disposal would significantly affect the market price);

– Additional investment and financing costs: investment and financing costs may be incurred for own bond issues with an early redemption clause or in the event of early closure of positions in derivative instruments. These costs may vary depending on fluctuations in financing costs.

Credit Value Adjustments (CVA) and Debt Value Adjustments (DVA) are incorporated into the valuation of derivatives to reflect the impact of the counterparty's credit risk and the Group's credit quality. CVA represents a negative amount that takes into account cases where the counterparty could go bankrupt before the Group / Bank, with a positive market value against the counterparty. DVA represents an amount that takes into account the cases in which the Group / Bank could go bankrupt before the counterparty, with an impact for

<sup>(15)</sup> With regard to new corrections to UCITS funds, the FVA process is structured by applying a "Performance Simulation Model", which uses the Monte-Carlo simulation method: the probability distribution of the discounted NAV of each fund and, consequently, the probability of having to record a discount, is found at maturity. This distribution is used to suggest a range of haircuts to apply to the NAV.

Notes to the accounts \| Part A - Accounting policies \| 97

the counterparty. These adjustments are calculated taking into account any risk mitigating arrangements, such as collateral and netting arrangements for each counterparty.

The method used to calculate CVA/DVA is based on the following inputs:

– Expected Positive (EPE) and Expected Negative (ENE) Exposure, derived from simulations, which reflect the positive and negative valuation exposures of derivatives;

– Probability of Default (PD), which may be derived from historical default probabilities or implied in the market prices of Credit Default Swaps or bonds;

– Loss Given Default (LGD) is based on the estimated value of expected recovery in the event of the counterparty's default, as defined by specific analyses conducted by the Group, or recovery rates conventionally used for Credit Default Swap quotations.

Furthermore, the fair value of non-collateralized derivatives may be affected by the Group's funding costs (Funding Value Adjustment). Therefore, adjustments are made for the different funding costs using a discount curve that represents the average funding level of banks operating in the European corporate derivatives market.

**Fair Value Hierarchy (FVH) – Observability and materiality of inputs**

The Observability Levelling and Day-one Profit Directive, as specified in IFRS 13, requires a hierarchy of levels reflecting the significance of inputs used in the valuations. These inputs, called "valuation inputs," are the market data used to estimate the fair value of financial instruments. The term "valuation input" refers to the market data used to estimate the fair value of instruments. To estimate the fair value of instruments, the Group uses valuation techniques that are adequate to the circumstances and for which sufficient data are available. Valuation techniques can be based on various approaches:

– market approach, which uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities;

cost approach (or current replacement method), which reflects the amount that would currently be required to replace an asset's service capacity;

income approach, which converts future amounts (e.g. cash flows or revenues and expenses) into a single discounted amount through, for example: present value methods and option pricing models.

These valuation methods may use different types of inputs, which may be observable or unobservable. Prices quoted in active markets are classified as "observable inputs". In other cases, the information is considered observable when the valuation is based on market information obtained from sources independent of the Group or from actual transactions. In accordance with IFRS 13, para. B34, some examples of markets from which observable inputs can be derived include the following:

– exchange markets: in an exchange market, closing prices are both readily available and generally representative of fair value (for example, regulated stock markets);

dealer markets: in a dealer market, dealers stand ready to trade (either buy or sell for their own account), thereby providing liquidity by using their capital to hold an inventory of the items for which they make a market. Typically bid and ask prices (representing the price at which a dealer is willing to buy and the price at which a dealer is willing to sell,

98 \| Interim Report for the six months ended 31 December 2024

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| |
|:---|
| respectively) are more readily available than closing prices. Over-the-counter markets (for which prices are publicly reported) are dealer markets. Dealer markets also exist for some other assets and liabilities, including some financial instruments, commodities and physical assets; |
| brokered markets: in a brokered market, brokers attempt to match buyers with sellers but do not stand ready to trade for their own account. Brokers do not use their own capital to hold an inventory of the items for which they make a market, but they know the prices bid and asked by the respective parties. Prices of completed transactions are sometimes available. Brokered markets include electronic communication networks, in which buy and sell orders are matched, and commercial and residential real estate markets; |

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– principal-to-principal markets: in a principal-to-principal market, transactions, both originations and resales, are negotiated independently with no intermediary. Little information about those transactions may be made available publicly.

All cases in which it is not possible to demonstrate the observability of inputs are classified as "unobservable inputs" and, in particular, when the information on which the valuation techniques are based reflects the Group's judgement formulated using the best information available in such circumstances.

In accordance with L IFRS 13, para. 67, valuation techniques used to measure fair value should maximize the use of relevant observable inputs and minimize the use of unobservable inputs.

In more detail, based on their observability and considering additional criteria, inputs can be classified into three different levels.

Level 1 inputs:

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date. A quoted price in an active market provides the most reliable evidence of Fair Value and it is the price to be used preferentially to measure financial assets and liabilities held in the portfolio. If a quoted price recorded on an active market is available, alternative valuation techniques based on quotes for comparable instruments or quantitative models cannot be used and the instrument is classified as a "Level 1 instrument" in its entirety. The objective is to reach a price at which a financial instrument would be traded at the reporting date (without altering the instrument) on an active market considered to be the main one or the most advantageous one for the Group and to which it has immediate access.

Notes to the accounts \| Part A - Accounting policies \| 99

Level 2 inputs:

Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include the following:

– quoted prices for similar assets or liabilities in active markets.

– quoted prices for identical or similar assets or liabilities in markets that are not active.

Inputs other than quoted prices that are observable for the asset or liability, for example:

(i) Interest
 rates and yield curves observable at commonly quoted intervals.

(ii) Implied
 volatility.

(iii) Credit
 spread.

Market-corroborated inputs.

Level 2 inputs may require adjustments for example relating to:

– the condition or location of the asset;

– the extent to which inputs relate to items that are comparable to the asset or liability;

– the volume or level of activity in the markets within which the inputs are observed.

If there is no public quotation on an active market for the price of the financial instrument as a whole, but active markets exist for its components, Fair Value will be calculated by reference to the relevant market prices for those components. In this case, valuation will not be based on active market quotations for the financial instrument in question, but on observable market inputs or through the use of inputs that are not observable but are supported and confirmed by market data. The use of this approach does not exclude the use of a calculation method, or rather, of a pricing model, through which it is possible to establish the correct price of the transaction at the reference date, in an ideal and independent trading environment justified by normal market considerations.

Level 3 inputs:

Level 3 inputs are not directly observable inputs that are used to measure the Fair Value in the event that relevant observable inputs are not available, making it possible to estimate a closing price even in situations of low market activity for the asset or liability as at the measurement date. The Group estimates unobservable inputs using the best information available in the circumstances, which could include its own data, considering all information on the assumptions of market participants that is reasonably available. Unlike Level 2 inputs, in this case the inputs must be internally estimated according to quantitative methods, such as the use of historical series and comparable underlying instruments. Both Level 2 and Level 3 inputs may be used for a certain instrument. In this case, the final classification of the instrument is defined by applying the materiality assessment.

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There are two stages in the process of setting the levels and observability of inputs. In the first stage, a level is assigned to each input used in the instrument valuation model. Thereafter, in the second stage, the relevance of the various inputs used to determine the materiality of unobservable inputs is verified, thus influencing the overall valuation of the instrument. It should be noted that for some categories of instruments, such as private equity or infrastructure alternative investment funds, a more rigorous classification (fair value level) is automatically applied, since the relevant underlying is not listed on the market. However, for some types of instruments there is an illiquidity discount in the NAV valuation in order to bring the valuation to the exit price.

Materiality is a crucial step in establishing whether unobservable inputs (Level 2 or 3) are meaningful to the entire measurement of the instrument. This materiality analysis also extends to inputs used to calculate any adjustments, such as the Fair Value Adjustment (FVA) or the Credit Value Adjustment (CVA).

In summary, the observability and materiality process ensures that the Fair Value of financial instruments is classified correctly based on the significance of the inputs used, ensuring an adequate valuation of the Group's financial assets and liabilities.

**Prudent Valuation Adjustment (PVA)**

The Prudent Valuation Policy and Directive meet the regulatory requirements of Regulation (EU) 575/2013<sup>(16)</sup>, which, solely for prudential purposes and therefore without accounting impacts, requires prudential valuation<sup>(17)</sup> to be performed by applying adjusted inputs in order to capture stressed events. The difference between Prudent Value and Fair Value (exit price used for recording the instruments in the Group's financial statements) is called Additional Valuation Adjustment (AVA). The aggregation of AVAs, called Prudent Value Adjustment (PVA), is deducted directly from Common Equity Tier 1 - CET1.

The final adjustment is defined by the Regulator by aggregating nine AVAs:

*–* Market Price Uncertainty (MPU): this is the valuation uncertainty based on market prices, calculated at the level of the exposure being measured;<sup>(18)</sup>

*–* Close-out Costs (CoC): these consist in the uncertainty of the exit price, calculated at the level of the exposure being measured;

*–* Model Risk (MR): this refers to the valuation uncertainty arising from the uncertainty of the model used and/or of the calibration thereof used by various market participants;

*–* Unearned Credit Spreads (UCS): this consists in uncertainty in the measurement necessary to include the present value of expected losses in the event of counterparty default on derivative positions;

*–* Investing and Funding Costs (IFC): this is the uncertainty of the valuation of funding costs used in the valuation of the exit price in accordance with the applicable accounting standards;

<sup>(16)</sup> Specifically, the provisions of Articles 34 and 105, para. 2

<sup>(17)</sup> Prudential valuation is understood as an exit price with a 90% level of certainty.

<sup>(18)</sup> In line with the regulations governing Fair Value Adjustments to UCITS funds, where the median of the identified haircut range is used to find the fund correction amount, the maximum value of the identified haircut range is applied on the prudent side.

Notes to the accounts \| Part A - Accounting policies \| 101

*–* Concentrated Positions (CP): these refer to the uncertainty of the exit price for positions defined as concentrated;

*–* Future and Administrative Costs (FAC): this considers administrative costs and future hedging costs over the expected lifetime of the exposures being measured to which a direct exit price has not been applied for CoC AVAs;

*–* Early Termination (ET): this considers contingent losses arising from non-contractual early terminations of the clients' trading positions;

*–* Operational Risk (OR): this considers contingent losses that may be incurred as a result of the operational risks associated with the measurement processes.

Positions measured at Fair Value include various categories of financial assets and liabilities, as defined by International Financial Reporting Standards (IFRS); however, some positions are excluded from the AVA calculation if a change in the valuation of their amount does not affect capital resources. These exclusions include positions available for sale (FVOCI) to the extent that valuation changes are subject to prudential filtering, perfectly matching opposite positions (back-to-back) and positions subject to hedging transactions (hedge accounting).

*A.4.1 Valuation processes and sensitivity analysis*

As required by IFRS 13, quantitative information on the significant non-observable inputs used for the assessment of Level 3 instruments is provided below.

*Uncertainties of the inputs and impact on the Mark-to-Market method*

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| | | | |
|:---|:---|:---|:---|
| <br>**Non-observable**<br>**inputs** | <br>**Quantification of parameter uncertainty** | **MtM +/- delta**<br>**(€'000)**<br>**31/12/24** | **MtM +/- delta**<br>**(€'000)**<br>**30/6/24** |
| Implied volatility | For each point on the volatility surface, this is defined as a standard deviation from consensus provided by the independent data provider. For non-contributed underlyings, a proxy is derived from the contributed underlyings. | (18.1) | (49.8) |
| Equity-equity correlation | For each expiry along the correlation curve, this is defined as a standard deviation from the consensus provided by the independent data provider. For non-contributed underlyings, a proxy is derived from the contributed underlyings. | (5.8) | (11.0) |
| Credit Spread | For financial guarantees with specific underlyings, credit spread curves are not observable. Proxy curves obtained from underlying prices are used for these instruments. | (1.4) | (0.5) |

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102 \| Interim Report for the six months ended 31 December 2024

*Measurement techniques - equity - receivables - interest rate - exchange rate products*

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Product** | <br>**Measurement technique** | <br>**Non-observable**<br>**inputs** | **Fair value<sup>(\*)</sup>**<br>**Assets**<br>**31/12/24**<br>**(€'000)** | **Fair value<sup>(\*)</sup>**<br>**Liabilities**<br>**31/12/24**<br>**(€'000)** | **Fair value<sup>(\*)</sup>**<br>**Assets**<br>**30/6/24**<br>**(€'000)** | **Fair value<sup>(\*)</sup>**<br>**Liabilities**<br>**30/6/24**<br>**(€'000)** |
| OTC bond option | Black-Scholes model | Implied volatility<sup>(1)</sup> |  |  | 0.73 | (0.42) |
| *OTC equity single name options, Variance swap* | *Black-Scholes model* | Implied volatility<sup>(1)</sup> | 0.44 |  | 8.60 |  |
| *OTC equity basket options, best of/ worst of, equity autocallable multi-asset options* | Black-Scholes model, local volatility model | Implied volatility Equity-equity correlation<sup>(2)</sup> | 0.01 | (7.11) | 19.10 | (19.32) |
| CDS on Single Names with *Recovery Rate 0* | *Arbitrage Free Credit Spread Model* | Recovery Rate | 1.39 |  | 0.05 |  |
| *Put options securing the financial yield of pension funds* | *Black-Scholes model* | *Projection of future premium flows and death rates of policy holders<sup>(3)</sup>* | 0.01 | (28.95) | 0.23 | (23.58) |
| *Forex barrier option* | Black-Scholes model | Uncertainty of valuation model<sup>(4)</sup> | 0.05 |  | 0.02 |  |
| Financial Guarantee | Arbitrage Free Credit Spread Model | Credit Spread and Recovery Rate<sup>(5)</sup> | 0.63 | (1.65) | 0.85 | (1.08) |

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(\*) The carrying amount shown above is equal to the full fair value of structures and includes fair value adjustments.

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| | |
|:---|:---|
| 1 | Volatility in a financial context is a measurement of how much the price of an underlying instrument may vary over time. The higher the volatility of the underlying instrument, the greater the risk associated with it. In general, long positions in options benefit from increases in volatility, whereas short positions in options lose out from them. For equity derivatives, the implied volatility area may be obtained from the price of the call and put options, as they have regulated markets. The uncertainty of this input is attributable to one of the following scenarios: illiquidity of quoted prices (wide bid/ask spreads, typical of long maturities or moneyness far from the At-The-Money spot), concentration effects and non-observable market data (again when maturities are considered too long or moneyness far from the At-The-Money spot). |

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| | |
|:---|:---|
| 2 | Equity-equity correlation is a measurement of the correlation between two equity-based underlying instruments. Variations in the correlation levels may impact an instrument's fair value positively or negatively, depending on the correlation type. |

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Equity-equity correlations are less observable than volatility, because no correlation products are quoted on any regulated markets. For this reason, correlations are more subject to data uncertainties.

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| | |
|:---|:---|
| 3 | The contractual form has been structured as a put option with an original term of between 10 and 30 years, the valuation of which is subject to uncertainty regarding both the estimate of future premiums and the NAV level of the underlying pension funds. |

---

---

| | |
|:---|:---|
| 4 | Model uncertainty is a measure of the relationship between two or more different valuation models for a derivative. Variations in valuation models used may impact an instrument's fair value positively or negatively. |

---

5 The contractual form is structured as a guarantee on specific underlying assets for which there are no observable input parameters.

The main factors contributing to transitions between fair value levels include changes in market conditions and refinements in the measurement models and/or the non-observable inputs.

Fair value of an instrument may transition from Level 1 to Level 2 or vice versa mainly as a result of the loss (increase) in significance of the price expressed by the active market of the instrument.

Conversely, transfers from Level 2 to Level 3 or vice versa mainly arise as a result of the loss (increase) in significance of inputs, in particular the predominance of non-observable inputs over observable inputs.

*A.4.4 Other information*

The Group uses the exception provided under IFRS 13, para. 48, allowing it to measure fair value of financial assets and liabilities on a net basis by offsetting market and counterparty credit risks.

Notes to the accounts \| Part A - Accounting policies \| 103

**QUANTITATIVE INFORMATION**

*A.4.5 Fair Value hierarchy*

*A.4.5.1 Assets and liabilities measured at Fair Value on a recurring basis, breakdown by Fair Value hierarchy*

(€'000)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| **Financial assets/liabilities**<br>**measured at fair value** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Financial assets measured at fair value through profit or loss | 12077824 | 3469017 | 767353 | 12496458 | 3084722 | 1206686 |
| &nbsp;&nbsp;&nbsp;a) financial assets held for trading | 11494964 | 2758379 | 384924 | 12181393 | 2421602 | 806456 |
| &nbsp;&nbsp;&nbsp;b) financial assets designated at fair value | 382544 | 625203 | 13559 | 127231 | 578774 | 13210 |
| &nbsp;&nbsp;&nbsp;c) other financial assets mandatorily measured at fair value | 200316 | 85435 | 368870 | 187834 | 84346 | 387020 |
| 2. Financial assets measured at fair value through other comprehensive income | 6238424 | 220327 | 177101 | 6414948 | 284208 | 206547 |
| 3. Hedging derivatives |  | 233252 |  |  | 705549 |  |
| 4. Tangible assets |  |  |  |  |  |  |
| 5. Intangible Assets |  |  |  |  |  |  |
| 6. Other Assets<sup>(1)</sup> | 533544 |  |  |  |  |  |
| **Total** | **18849792** | **3922596** | **944454** | **18911406** | **4074479** | **1413233** |
| 1. Financial liabilities held for trading | 5465147 | 3544019 | 86206 | 5796689 | 3608630 | 99391 |
| 2. Financial liabilities designated at fair value |  | 4188307 | 530258 |  | 3858906 | 380293 |
| 3. Hedging derivatives |  | 1111317 |  |  | 1431642 |  |
| **Total** | **5465147** | **8843643** | **616464** | **5796689** | **8899178** | **479684** |

---

<sup>(1)</sup> EUA - Commodities listed certificates.

The Group's trading book is mainly concentrated on liquid transactions with a low level of uncertainty. A residual, more complex part remains which, however, even in this context of greater volatility and uncertainty, has not undergone significant changes.

Level-3 assets held for trading were reduced to half, i.e. €384.9m, due to the closure of loan underwriting transactions to be syndicated on the market (€256m) with no impact on the profit and loss account, and as a result of the decline in unlisted convertible preferred shares (stock from €171.4m to €71.9m) following the conversion factor change. The remainder mainly consists in securitized stocks (€308.1m).

At 31 December, Level-3 liabilities held for trading mainly concerned autocallable certificates on basket equity (slightly decreasing from €99.4m to €86.2m).

Financial assets mandatorily measured at fair value, represented by investments in funds, remained substantially steady at €368.9m.

Level-3 financial liabilities measured at fair value rose from €380.3m to €530.3m with an increase in multi asset single-name equity certificates (up €170m).

Financial assets measured at fair value with an impact on other comprehensive income (bonds, shares and SFPs) decreased from €206.5m to €177.1m.

104 \| Interim Report for the six months ended 31 December 2024

*A.4.5.2 Annual changes in financial assets measured at Fair Value on a recurring basis (Level 3)*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (€'000)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets measured at fair value** | **Financial assets measured at fair value** | **Financial assets measured at fair value** | **Financial assets measured at fair value** | | | | |
|  | **through profit or loss** | **through profit or loss** | **through profit or loss** | **through profit or loss** | | | | |
|  |<br><br><br>**Total** |<br>**of which:**<br>**a) financial**<br>**assets held**<br>**for trading** |<br>**of which:**<br>**b) financial**<br>**assets**<br>**designated at**<br>**fair value** | **of which:**<br>**c) other**<br>**financial assets**<br>**mandatorily**<br>**measured at**<br>**fair value** |<br>**Financial assets**<br>**measured**<br>**at fair value**<br>**through other**<br>**comprehensive**<br>**income** |<br><br><br>**Hedging**<br>**derivatives** |<br><br><br>**Tangible**<br>**assets** |<br><br><br>**Intangible**<br>**assets** |
| 1. Opening balance | 1206639 | 806415 | 13210 | 387014 | 206548 |  |  |  |
| 2. Increases | 206399 | 175594 | 349 | 30456 | 1557 |  |  |  |
| &nbsp;&nbsp;&nbsp;2.1 Purchases | 193408 | 171346 |  | 22062 | 288 |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Profits recognized in: | 10309 | 2521 |  | 7788 | 1164 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Profit and loss account | 10309 | 2521 |  | 7788 | 448 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which, capital gains | 2053 | 2053 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Net equity |  |  |  |  | 716 |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels | 606 |  |  | 606 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases | 2076 | 1727 | 349 |  | 105 |  |  |  |
| 3. Decreases | (645684) | (597086) |  | (48598) | (31004) |  |  |  |
| &nbsp;&nbsp;&nbsp;3.1 Disposals | (478472) | (475702) |  | (2770) | (12922) |  |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Redemptions | (2134) | (2134) |  |  | (13456) |  |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Losses recognized in: | (138686) | (92858) |  | (45828) | (4626) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Profit and loss account | (138686) | (92858) |  | (45828) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which: capital losses | (92836) | (92836) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Net equity |  |  |  |  | (4626) |  |  |  |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels | (26392) | (26392) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases |  |  |  |  |  |  |  |  |
| 4. Closing balance | 767354 | 384923 | 13559 | 368872 | 177101 |  |  |  |

---

Notes to the accounts \| Part A - Accounting policies \| 105

*A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3)*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (€'000)

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Financial assets held**<br>**for trading** | **Financial assets**<br>**designated**<br>**at fair value** |<br>**Hedging**<br>**derivatives** |
| 1. Opening balance | 99350 | 380293 |  |
| 2. Increases | 56158 | 296609 |  |
| &nbsp;&nbsp;&nbsp;2.1 Issues | 3529 | 266024 |  |
| &nbsp;&nbsp;&nbsp;2.2 Losses recognized in: | 6925 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Profit and loss account | 6925 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, capital losses* | 6925 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Net equity |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels | 35928 | 30585 |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases | 9776 |  |  |
| 3. Decreases | (69302) | (146644) |  |
| &nbsp;&nbsp;&nbsp;3.1 Redemptions | (38862) | (97929) |  |
| &nbsp;&nbsp;&nbsp;3.2 Buybacks |  |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Profits recognized in: | (2899) | (19285) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Profit and loss account | (2899) | (19285) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which: capital gains* | (2468) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Net equity |  |  |  |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels | (27541) | (29430) |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases |  |  |  |
| 4. Closing balance | 86206 | 530258 |  |

---

*A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value hierarchy*

(€'000)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| **Assets/liabilities not**<br>**measured at fair value or**<br>**measured at fair value on a**<br>**non-recurring basis** | **Carrying**<br>**amount** |<br>**Level 1** |<br>**Level 2** |<br>**Level 3** | **Carrying**<br>**amount** |<br>**Level 1** |<br>**Level 2** |<br>**Level 3** |
| 1. Financial assets measured at amortized cost | 66810007 | 3347035 | 20310685 | 44535724 | 64158936 | 3663863 | 15945116 | 43894197 |
| 2. Tangible assets held for investment purposes | 49447 |  |  | 128390 | 47998 |  |  | 125045 |
| 3. Non-current assets and asset groups held for sale |  |  |  |  |  |  |  |  |
| **Total** | **66859454** | **3347035** | **20310685** | **44664114** | **64206934** | **3663863** | **15945116** | **44019242** |
| 1. Financial liabilities measured at amortized cost | 71606983 | 1185340 | 70518839 | 81096 | 70321563 | 1403249 | 68911567 | 33072 |
| 2. Liabilities associated with assets held for sale |  |  |  |  |  |  |  |  |
| **Total** | **71606983** | **1185340** | **70518839** | **81096** | **70321563** | **1403249** | **68911567** | **33072** |

---

106 \| Interim Report for the six months ended 31 December 2024

**A.5 - Disclosure on Day-one Profit/Loss**

Pursuant to IFRS 7, paragraph 28, the "Day-one Profit/Loss" is understood as the difference between the fair value of a financial instrument at the initial recognition date (transaction price) and the amount estimated at that date using a valuation technique. This difference may be positive or negative.

In the event that the difference is positive (day-one profit) and based on market quotations and models that almost exclusively include the use of observable market inputs, this amount can be included in the positive components of the income statement. However, if the positive difference is based on non-observable market inputs, the fair value of the instrument must be adjusted for such difference and charged through profit or loss when the inputs become observable.

In the event, however, that the difference attributable to non-observable inputs is negative (day-one loss), it is immediately recorded through profit or loss on a prudential basis.

The Group applies the day-one profit suspension rule to financial instruments classified as Level 3 of the Fair Value hierarchy, i.e. instruments for which the impact of one or more non-observable inputs on the fair value is considered significant, as defined in paragraph 73 of IFRS 13. The day-one profit, calculated after fair value adjustments, is amortized over the expected period for which the input data will remain unobservable. The day-one profit is not applied if the risks generated by the transaction are hedged with a market counterparty (back-to-back) and therefore there are no impacts on profit or loss due to the non-observable input.

The day-one profit method was used for the following types of transaction:

CLO financial guarantee: transactions in which the Bank purchased specific hedging on CLOs in its portfolio to neutralize the credit risk for which no observable, liquid market parameters were available compared to standard CDS. As at 31 December 2024, there were 8 transactions in progress for a nominal value of approximately €171m, for which profits of €6.2m were suspended and would be released pro rata temporis taking into account a certain stability of the uncertain input;

– Certificates with underlying equity and credit strategies: as at 31 December, approximately €2.6m in profits related to the issue of certificates (€301.4m) were suspended, mostly former autocallable certificates (€293.2m);

– Forex Contingent Swaps to cover M&A transactions: as at 31 December, €0.7m in profits related to a single transaction finalized last January were suspended.

Notes to the accounts \| Part A - Accounting policies \| 107

**Part B – Notes to the Consolidated Balance Sheet<sup>(\*)</sup>**

**Assets**

**SECTION 2**

**Heading 20: Financial assets measured at fair value<sup>(\*\*)</sup> through profit or loss**

*2.1 Financial assets held for trading: product breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| A. Cash assets |  |  |  |  |  |  |
| 1. Debt securities | 7267996 | 468328 | 305352 | 7627757 | 435729 | 345789 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities | 5418 | 17270 | 73382 | 11722 | 15892 | 52252 |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 7262578 | 451058 | 231970 | 7616035 | 419837 | 293537 |
| 2. Equity securities<sup>(1)</sup> | 3685617 |  | 72271 | 3753655 |  | 171736 |
| 3. UCIT units | 1111 |  | 4556 | 361 |  | 4198 |
| 4. Loans |  |  | 226 |  |  | 255901 |
| &nbsp;&nbsp;&nbsp;4.1 Reverse Repos |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.2 Other |  |  | 226 |  |  | 255901 |
| Total (A) | 10954724 | 468328 | 382405 | 11381773 | 435729 | 777624 |
| B. Derivative instruments |  |  |  |  |  |  |
| 1. Financial derivatives | 540240 | 2017092 | 505 | 799620 | 1754764 | 27981 |
| &nbsp;&nbsp;&nbsp;1.1 trading | 540240 | 2017092 | 505 | 799620 | 1754764 | 27981 |
| &nbsp;&nbsp;&nbsp;1.2 related to the fair value option |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 other |  |  |  |  |  |  |
| 2. Credit derivatives |  | 272959 | 2014 |  | 231109 | 851 |
| &nbsp;&nbsp;&nbsp;2.1 trading |  | 272959 | 2014 |  | 231109 | 851 |
| &nbsp;&nbsp;&nbsp;2.2 related to the fair value option |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 other |  |  |  |  |  |  |
| Total (B) | 540240 | 2290051 | 2519 | 799620 | 1985873 | 28832 |
| Total (A+B) | 11494964 | 2758379 | 384924 | 12181393 | 2421602 | 806456 |

---

<sup>(1)</sup> Equities include shares committed in securities lending transactions totalling €1,557,267 at 31 December 2024 and €1,015,975 at 30 June 2024.

<sup>(\*)</sup> Figures in €'000.

<sup>(\*\*)</sup> For the criteria used to determine fair value and the classification of financial instruments in the three fair value ranking levels, see Part A – Accounting Policies.

108 \| Interim Report for the six months ended 31 December 2024

*2.3 Financial assets designated at fair value (\*): product breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Debt securities <sup>(1)</sup> | 382544 | 33168 | 13559 | 127231 |  | 13210 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 382544 | 33168 | 13559 | 127231 |  | 13210 |
| 2. Loans |  | 592035 |  |  | 578774 |  |
| &nbsp;&nbsp;&nbsp;2.1 Structured |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Other <sup>(1)</sup> |  | 592035 |  |  | 578774 |  |
| Total | 382544 | 625203 | 13559 | 127231 | 578774 | 13210 |

---

<sup>(1)</sup> These offset Fair Value Option liabilities*.*

<sup>(\*)</sup> For the criteria used to determine fair value and the classification of financial instruments in the three fair value ranking levels, see Part A – Accounting Policies.

*2.5 Other financial assets mandatorily measured at fair value(\*): product breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Debt securities |  | 180 |  |  | 295 | 4 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities |  | 180 |  |  | 295 | 4 |
| 2. Equity securities |  |  | 8300 |  |  | 8554 |
| 3. UCIT units | 200316 | 82511 | 360120 | 187834 | 82412 | 378462 |
| 4. Loans |  | 2744 | 450 |  | 1639 |  |
| &nbsp;&nbsp;&nbsp;4.1 Reverse Repos |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.2 Other |  | 2744 | 450 |  | 1639 |  |
| Total | 200316 | 85435 | 368870 | 187834 | 84346 | 387020 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and the classification of financial instruments in the three fair value ranking levels, see Part A – Accounting Policies.

**SECTION 3**

**Heading 30: Financial assets measured at fair value (\*) through other comprehensive income**

*3.1 Financial assets measured at fair value through other comprehensive income: product breakdown <sup>(\*)</sup>*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Debt securities | 6113785 | 220327 | 53466 | 6286677 | 284208 | 78578 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 6113785 | 220327 | 53466 | 6286677 | 284208 | 78578 |
| 2. Equity securities | 124639 |  | 123635 | 128271 |  | 127969 |
| 3. Loans |  |  |  |  |  |  |
| Total | 6238424 | 220327 | 177101 | 6414948 | 284208 | 206547 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and the classification of financial instruments in the three fair value ranking levels, see Part A – Accounting Policies.

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 109

**SECTION 4**

**Heading 40: Financial assets measured at amortized cost**

*4.1 Financial assets measured at amortized cost: product breakdown of amounts due from banks*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** |
| | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value<sup>(\*)</sup>** | **Fair value<sup>(\*)</sup>** | **Fair value<sup>(\*)</sup>** | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value<sup>(\*)</sup>** | **Fair value<sup>(\*)</sup>** | **Fair value<sup>(\*)</sup>** |
| <br>**Transaction Type/<br> Values** | **Stages 1<br> and 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** | **L1** | **L2** | **L3** | **Stages 1<br> and 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** | **L1** | **L2** | **L3** |
| A. Due from Central Banks | 419051 |  |  |  | 419059 |  | 417902 |  |  |  | 417902 |  |
| &nbsp;&nbsp;&nbsp;1. Term deposits | 99992 |  |  | X | X | X | 100015 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2. Compulsory reserves | 319059 |  |  | X | X | X | 317887 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;3. Reverse Repos |  |  |  | X | X | X |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Other |  |  |  | X | X | X |  |  |  | X | X | X |
| B. Due from banks | 5155328 |  |  | 108492 | 5073440 | 36901 | 5109389 |  |  | 121688 | 4981350 | 105045 |
| &nbsp;&nbsp;&nbsp;1. Loans | 5045776 |  |  |  | 5073440 | 36901 | 4984711 |  |  |  | 4981350 | 105045 |
| &nbsp;&nbsp;&nbsp;1.1 Current accounts |  |  |  | X | X | X |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.2. Term deposits | 267123 |  |  | X | X | X | 214600 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.3. Other loans: | 4778653 |  |  | X | X | X | 4770111 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Reverse repos | 2227766 |  |  | X | X | X | 2165150 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Finance leases | 98 |  |  | X | X | X | 157 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other | 2550789 |  |  | X | X | X | 2604804 |  |  | X | X | X |
| 2. Debt securities | 109552 |  |  | 108492 |  |  | 124678 |  |  | 121688 |  |  |
| &nbsp;&nbsp;&nbsp;2.1 Structured securities |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Other debt securities | 109552 |  |  | 108492 |  |  | 124678 |  |  | 121688 |  |  |
| Total | 5574379 |  |  | 108492 | 5492499 | 36901 | 5527291 |  |  | 121688 | 5399252 | 105045 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | For the criteria used to determine fair value and the classification of financial instruments in the three fair value ranking levels, see Part A – Accounting Policies. |

---

110 \| Interim Report for the six months ended 31 December 2024

*4.2 Financial assets measured at amortized cost: product of amount due from customers*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 31 December 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** |
| | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value <sup>(\*)</sup>** | **Fair value <sup>(\*)</sup>** | **Fair value <sup>(\*)</sup>** | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value <sup>(\*)</sup>** | **Fair value <sup>(\*)</sup>** | **Fair value <sup>(\*)</sup>** |
| <br>**Transaction Type/<br> Values** | **Stages 1<br> and 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** | **L1** | **L2** | **L3** | **Stages 1<br> and 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** | **L1** | **L2** | **L3** |
| 1. Loans | 55604317 | 377760 | 116734 |  | 13847718 | 43563018 | 53714970 | 374084 | 116777 |  | 10270405 | 43222814 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1. Current accounts | 2807479 | 100 |  | X | X | X | 2681717 | 76 |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2. Reverse Repos | 3443256 |  |  | X | X | X | 3209855 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3. Mortgages | 28784403 | 73175 |  | X | X | X | 27496204 | 95162 |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.4. Credit cards, personal loans and salary-backed finance | 9838547 | 184100 | 116616 | X | X | X | 9585699 | 165150 | 116682 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.5 Finance leases | 1108685 | 13290 |  | X | X | X | 1175294 | 18465 |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.6. Factoring | 2553464 | 3825 |  | X | X | X | 2711129 | 2762 |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.7. Other loans | 7068483 | 103270 | 118 | X | X | X | 6855072 | 92469 | 95 | X | X | X |
| 2. Debt securities | 5136817 |  |  | 3238543 | 970468 | 935805 | 4425814 |  |  | 3542179 | 275459 | 566338 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1. Structured securities |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2. Other debt securities | 5136817 |  |  | 3238543 | 970468 | 935805 | 4425814 |  |  | 3542179 | 275459 | 566338 |
| Total | 60741134 | 377760 | 116734 | 3238543 | 14818186 | 44498823 | 58140784 | 374084 | 116777 | 3542179 | 10545864 | 43789152 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and the classification of financial instruments in the three fair value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> These concern forborne non-performing consumer credit, as further explained in Part E - Information on risks and related hedging policies - Section 1 credit quality.

*4.4 Financial assets measured at amortized cost: gross value and overall value adjustments*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | |
|  | **Stage 1** | **of which:<br> Low<br> credit risk <br> instruments** | **Stage 2** | **Stage 3** | **Purchased <br> or** <br> **originated** <br> **credit <br> impaired** <br> **assets<sup>(1)</sup>** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased <br> or** <br> **originated** <br> **credit** <br> **impaired <br> assets<sup>(1)</sup>** |<br>**Overall<br> partial <br> write-offs** |
| Debt securities | 5238666 | 443406 | 16746 |  |  | 2751 | 6291 |  |  |  |
| Loans | 59087078 | 319059 | 2646821 | 1247044 | 217088 | 297416 | 367340 | 869284 | 100354 | 1046 |
| Total 31 December 2024 | 64325744 | 762465 | 2663567 | 1247044 | 217088 | 300167 | 373631 | 869284 | 100354 | 1046 |
| Total 30 June 2024 | 61706854 | 1935071 | 2641718 | 1208750 | 218858 | 304928 | 375569 | 834666 | 102081 | 961 |

---

<sup>(1)</sup> These concern forborne non-performing consumer credit, as further explained in Part E - Information on risks and related hedging policies - Section 1 credit quality.

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 111

**SECTION 5**

**Heading 50: Hedging derivatives**

*5.1 Hedging derivatives: by hedge type and level*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Fair Value <br> 31 December 2024** | **Fair Value <br> 31 December 2024** | **Fair Value <br> 31 December 2024** | | **Fair Value <br> 30 June 2024** | **Fair Value <br> 30 June 2024** | **Fair Value <br> 30 June 2024** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Notional <br> value <br> 31 December**<br>**2024** | **Level 1** | **Level 2** | **Level 3** | **Notional <br> value<br> 30 June**<br>**2024** |
| A. Financial derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Fair value |  | 231131 |  | 24034914 |  | 556345 |  | 27121183 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Cash flows |  | 2121 |  | 9939000 |  | 149204 |  | 9926000 |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Foreign investments |  |  |  |  |  |  |  |  |
| B. Credit derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Fair value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Cash flows |  |  |  |  |  |  |  |  |
| Total |  | 233252 |  | 33973914 |  | 705549 |  | 37047183 |

---

*5.2 Hedging derivatives: by portfolio hedged and hedge type*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flows** | **Cash flows** | |
| | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | | | | |
| <br>**Transaction/Type of<br> hedge** | **debt<br> securities<br> and interest<br> rates** | **equity<br> securities<br> and stock<br> indexes** | **currencies<br> and gold** | **credit** | **commodities** | **other** | <br>**Generic** | **Specific** | **Generic** | <br>**Foreign<br> investments** |
| 1. Financial assets measured at fair value through other comprehensive income | 396 |  |  |  | X | X | X | 2121 | X | X |
| 2. Financial assets measured at amortized cost | 167853 | X |  |  | X | X | X |  | X | X |
| 3. Portfolio | X | X | X | X | X | X |  | X |  | X |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |
| Total assets | 168249 |  |  |  |  |  |  | 2121 |  |  |
| 1. Financial Liabilities | 62882 | X |  |  |  |  | X |  | X | X |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |
| Total liabilities | 62882 |  |  |  |  |  |  |  |  |  |
| 1. Expected transactions | X | X | X | X | X | X | X |  | X | X |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X |  | X |  |  |

---

112 \| Interim Report for the six months ended 31 December 2024

**SECTION 7**

**Heading 70: Equity investments**

*7.1 Equity investments: disclosure on relationships*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Ownership** | **Ownership** | |
| <br>**Company Name** | <br>**Registered<br> office** | <br>**Operating<br> office** | <br>**Type of<br> relationship** | **Controlling<br> entity** | **%<br> **s**hareholding** |<br>**Votes<br> available in %** |
| A. Entities under significant influence |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Assicurazioni Generali S.p.A. | Trieste | Trieste | 2 | Mediobanca S.p.A. | 13.02 | 13.34 |
| &nbsp;&nbsp;&nbsp;2. Istituto Europeo di Oncologia S.r.l. | Milan | Milan | 2 | Mediobanca S.p.A. | 25.37 | 25.37 |
| &nbsp;&nbsp;&nbsp;3. CLI Holdings II Ltd | London | London | 2 | Mediobanca S.p.A. | 21.02 | 21.02 |
| &nbsp;&nbsp;&nbsp;4. Finanziaria Gruppo Bisazza S.r.l. | Montecchio<br> Maggiore (VI) | Montecchio<br> Maggiore (VI) | 2 | Mediobanca S.p.A. | 22.67 | 22.67 |
| &nbsp;&nbsp;&nbsp;5. Heidi Pay AG | Geneva | Geneva | 2 | Compass Banca S.p.A | 19.45 | 19.45 |
| &nbsp;&nbsp;&nbsp;6. MB Speedup | London | London | 1 | Mediobanca S.p.A. | 50.00 | 50.00 |

---

Legend:

(1) Joint control.

(2) Subject to significant influence.

(3) Exclusively controlled and not consolidated.

Table 7.1 provides the following information for each affiliated company: business name; registered office; investment; shareholding calculated as a percentage of the share capital issued by the affiliate or joint venture; and availability of votes calculated as a percentage of the actual voting shares, i.e. not including the affiliate's treasury shares in the denominator. The latter is the percentage used for the purposes of consolidation by the Net Equity method.

It should be noted that any temporary transactions (such as securities lending transactions, repurchase agreements, etc.) involving shares in the affiliate are not considered for purposes of determining the consolidation percentage.

The criteria and methods for establishing the area of consolidation are illustrated in "Section 3 – Part A – Accounting Policies", to which reference is made.

All the equity investments have been measured using the Net Equity method, as required by the reference accounting standard (IAS 28 and IFRS 11), which includes treasury shares owned in the calculation, plus the value of any shares in Mediobanca owned by the investee company. Dividends collected are not taken through the income statement but are deducted from the investee company's book value.

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 113

*7.2 Significant investments: book values, fair values and dividends received*

---

| | | | |
|:---|:---|:---|:---|
| **Company Name** | **Carrying amount** | **Fair value<sup>(\*)</sup>** | **Dividend Received <sup>(\*\*)</sup>** |
| A. Entities under significant influence |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Assicurazioni Generali S.p.A. | 4000683 | 5572397 |  |
| &nbsp;&nbsp;&nbsp;2. Istituto Europeo di Oncologia S.r.l. | 38557 | n.a. | n.a. |
| &nbsp;&nbsp;&nbsp;3. CLI Holdings II Ltd | 36274 | n.a. | 5420 |
| &nbsp;&nbsp;&nbsp;4. Finanziaria Gruppo Bisazza S.r.l. | 6299 | n.a. | 227 |
| &nbsp;&nbsp;&nbsp;5. Heidi Pay AG | 6500 | n.a. | n.a. |
| &nbsp;&nbsp;&nbsp;6. MB Speedup | 3710 | n.a. | n.a. |
| Total<sup>(1)</sup> | 4092023 |  |  |

---

<sup>(1)</sup> The amount stated here differs from that represented in the balance sheet for other investments, which are minor in terms of both percentage share owned and amount (€160,000).

<sup>(\*)</sup> Available only for listed Companies.

<sup>(\*\*)</sup> Dividends collected in the course of the financial year have been deducted from the book value of the investment (as described in Part A – Accounting Policies of the Notes to the Accounts).

International accounting standards (IAS 28, IAS 36, IFRS 10, and IFRS 11) require the value of investments to be tested for impairment at least once a year or more frequently in the presence of events that may suggest that a reduction in value has occurred. The "Group's Impairment Policy", in accordance with IAS 36, requires verifying the performance of the stock market price, of the rating, and of the current and/or forward-looking operating income.

Since no potential indicators capable of revealing evidence of impairment as defined by IAS 36 were found in the half-yearly report, it was not deemed necessary to test the value of the investments for impairment.

For further information on impairment testing of investments, please refer to the Consolidated Financial Statements as at 30 June 2024.

114 \| Interim Report for the six months ended 31 December 2024

**SECTION 9**

**Heading 90: Property, plant and equipment**

*9.1 Core tangible assets: breakdown of assets stated at cost*

---

| | | |
|:---|:---|:---|
| **Assets/Values** | **Total 31 December 2024** | **Total 30 June 2024** |
| 1. Property assets | 250450 | 247498 |
| &nbsp;&nbsp;&nbsp;a) land | 116828 | 116829 |
| &nbsp;&nbsp;&nbsp;b) buildings | 52692 | 52667 |
| &nbsp;&nbsp;&nbsp;c) furniture | 32795 | 34588 |
| &nbsp;&nbsp;&nbsp;d) electronic systems | 7258 | 7609 |
| &nbsp;&nbsp;&nbsp;e) other | 40877 | 35805 |
| 2. Right-of-use assets acquired through lease | 269639 | 245266 |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings | 253093 | 229664 |
| &nbsp;&nbsp;&nbsp;c) furniture |  |  |
| &nbsp;&nbsp;&nbsp;d) electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) other | 16546 | 15602 |
| Total | 520089 | 492764 |
| *of which: obtained by enforcement of collateral* | *66* | *67* |

---

**SECTION 10**

**Heading 100: Intangible assets**

Intangible assets with indefinite duration consist of Goodwill, Trademarks and Contracts acquired as part of business combinations, whereas those with definite duration are the client lists similarly acquired and software. For details on the methods by which Intangible Assets are valued, reference is made to Part A – Accounting Policies.

*10.1 Intangible assets: breakdown by type of asset*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total 31 December 2024** | **Total 31 December 2024** | **Total 30 June 2024** | **Total 30 June 2024** |
| <br>**Assets/Values** | **Definite<br> life** | **Indefinite<br> life** | **Definite<br> life** | **Indefinite<br> life** |
| A.1 Goodwill | X | 833749 | X | 827313 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1.1 attributable to the group | X | 833749 | X | 827313 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1.2 attributable to minority interests | X |  | X |  |
| A.2 Other intangible assets | 82000 | 145412 | 75035 | 143084 |
| &nbsp;&nbsp;&nbsp;&nbsp;*of which: software* | 61516 |  | 52601 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2.1 Assets measured at cost: | 82000 | 145412 | 75035 | 143084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Intangible assets generated internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Other assets | 82000 | 145412 | 75035 | 143084 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2.2 Assets measured at fair value: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Intangible assets generated internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Other assets |  |  |  |  |
| Total | 82000 | 979161 | 75035 | 970397 |

---

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 115

**Information on intangible assets and goodwill**

During the half year, there were no changes in the Group's goodwill, the only differences being attributable to exchange rate adjustments.

The following table shows the summary of goodwill recognized in the financial statements broken down by Cash Generating Unit:

---

| | | |
|:---|:---|:---|
| **CGU** | **31 December 2024** | **30 June 2024** |
| Consumer | 377533 | 377415 |
| &nbsp;&nbsp;&nbsp;*-of which Heidi Pay Switzerland<sup>(\*)</sup>* | *5155* | *5037* |
| Polus Capital Management<sup>(\*)</sup> | 58911 | 57715 |
| MB Private Banking + AM | 29453 | 29453 |
| MB Mid corporate | 22650 | 22650 |
| Messier et Associés | 93153 | 93153 |
| Arma Partners<sup>(\*)</sup> | 252049 | 246927 |
| Total Goodwill | 833749 | 827313 |

---

<sup>(\*)</sup> Change entirely attributable to the currency exchange effect.

**Information on impairment indicators**

In line with the contents of the Accounting Policies section, IAS 36 requires any impairment loss of individual tangible and intangible assets to be tested at least once a year (impairment test), either when preparing the annual financial statements, or more frequently if events or circumstances occur which suggest that there may have been a reduction in value (referred to as impairment indicators).

The Group has adopted an Impairment Policy that regulates the impairment process and, as required, has carried out the necessary analyses of impairment indicators.

The cost of capital was reassessed in accordance with the Group Policy and as part of the monitoring activities of impairment indicators taking into account the recent market performance. The parameters that were most impacted by market changes in the half-year under review were the risk-free rates, which recorded a decline compared to June values (except for the British ten-year return) and the beta, which in fact rose slightly (except for the Consumer and MB Private Banking + AM CGUs). The following table shows the differences compared to June 30 last:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Tasso risk free R** | **Tasso risk free R** | **Beta - ß** | **Beta - ß** |
| <br>**CGU/Impairment indicators** | **31 December 2024** | **30 June 2024** | **31 December 2024** | **30 June 2024** |
| Consumer | 3.37 | 3.95 | 1.03 | 1.03 |
| Polus Capital Management | 4.44 | 4.14 | 1.28 | 1.23 |
| MB Private Banking + AM | 3.37 | 3.95 | 1 | 1.03 |
| MB Mid Corporate | 3.37 | 3.95 | 1.21 | 1.14 |
| RAM Active Investments | 0.24 | 0.71 | 1.28 | 1.23 |
| Messier & Associés | 3.03 | 3.16 | 1.21 | 1.14 |
| Arma Partners | 4.44 | 4.14 | 1.21 | 1.14 |

---

116 \| Interim Report for the six months ended 31 December 2024

Assessment of the other triggers, as set out in the Group Policy, revealed no other evidence of impairment.

For further information on the Impairment Test of intangible assets and goodwill, please refer to the Consolidated Financial Statements as at 30 June 2024.

**SECTION 11**

**Assets heading 110 and liabilities heading 60: Tax assets and liabilities**

*11.1 Advance tax assets: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total 31 December 2024** | **Total 30 June 2024** |
| - Against Profit and Loss | 259117 | 383359 |
| - Against Net Equity | 49578 | 20754 |
| Total | 308695 | 404113 |

---

Advance taxes qualifying as eligible, i.e., convertible into tax credits, amounted to €129.2m (€242.2m in June 2024), while those connected to previous operating losses amounted to less than €1m; the remainder mainly concerned valuation reserves and goodwill redemption.

All advance taxes not qualifying as eligible were subjected to a "probability test", i.e. an annual assessment as to their probability of recovery, broken down by IRES (corporate income tax) and IRAP (regional tax on production activities), and whether or not they fall within the scope of the National Tax Consolidation. For more information, please refer to the financial statements as at 30 June 2024.

---

| | | |
|:---|:---|:---|
|  | **31 December 2024** | **30 June 2024** |
| A - Gross advance tax assets | 308695 | 404113 |
| &nbsp;&nbsp;&nbsp;&nbsp;Loan loss provisions<sup>(\*)</sup> | 129211 | 242217 |
| &nbsp;&nbsp;&nbsp;&nbsp;Provisions for sundry risks and charges | 14206 | 15194 |
| &nbsp;&nbsp;&nbsp;&nbsp;Goodwill and other intangible assets<sup>(\*\*)</sup> | 89614 | 99787 |
| &nbsp;&nbsp;&nbsp;&nbsp;Financial instruments recognized at FVOCI | 59349 | 22367 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tax losses | 956 | 1029 |
| &nbsp;&nbsp;&nbsp;&nbsp;Other | 15359 | 23519 |
| B - Offset by deferred tax liabilities |  |  |
| C - Net advance tax assets | 308695 | 404113 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Among other figures, this item includes: i) prepaid taxes recognized on write-downs and losses on loans to customers, which will be absorbed by 30 June 2030 according to the plan pursuant to Article 16 of Law-Decree No. 83/2015, as amended; ii) prepaid taxes recognized on the components allocated to the provision for expected credit losses upon IFRS 9 FTA, which will be absorbed in tenths by 30 June 2030. |

---

---

| | |
|:---|:---|
| <sup>(\*\*)</sup> | This figure mainly includes goodwill redemptions on the Compass/Linea merger transaction (€85.2m), of which €12.4m pursuant to Article 176 of Presidential Decree No. 917/1986 and €72.8m in implementation of the provisions of Article 110 of Law-Decree No. 104/2020 with an amortization period of 18 years. |

---

*11.2 Deferred tax liabilities: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total 31 December 2024** | **Total 30 June 2024** |
| - Against Profit and Loss | 300372 | 280972 |
| - Against Net Equity | 82567 | 108793 |
| Total | 382939 | 389765 |

---

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 117

**Liabilities**

**SECTION 1**

**Heading 10: Financial liabilities measured at amortized cost**

*1.1 Financial liabilities measured at amortized cost: product breakdown of amounts due to banks*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Transaction Type/Values** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** |
| 1. Due to Central Banks | 200228 | X | X | X | 1313202 | X | X | X |
| 2. Due to banks | 11395954 | X | X | X | 9648913 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.1 Current accounts and demand deposits | 240352 | X | X | X | 278565 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.2 Term deposits | 37681 | X | X | X | 16493 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.3 Loans | 10823329 | X | X | X | 9331957 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3.1 Repos | 7359436 | X | X | X | 5342646 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3.2 Other | 3463893 | X | X | X | 3989311 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.4 Liabilities in respect of commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2.5 Lease liabilities | 4926 | X | X | X | 745 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.6 Other liabilities | 289666 | X | X | X | 21153 | X | X | X |
| Total | 11596182 |  | 11578286 | 17896 | 10962115 |  | 10962115 |  |

---

*1.2 Financial liabilities measured at amortized cost: product breakdown of amounts due to customers*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Transaction Type/Values** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** |
| 1. Current accounts and on demand deposits | 18284610 | X | X | X | 18725078 | X | X | X |
| 2. Term deposits | 11346877 | X | X | X | 10290506 | X | X | X |
| 3. Loans | 3529060 | X | X | X | 4792458 | X | X | X |
| &nbsp;&nbsp;&nbsp;3.1 Repos | 3170704 | X | X | X | 4754334 | X | X | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 358356 | X | X | X | 38124 | X | X | X |
| 4. Liabilities in respect of commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| 5. Lease liabilities | 232261 | X | X | X | 212155 | X | X | X |
| 6. Other liabilities<sup>(1)</sup> | 35161 | X | X | X | 84351 | X | X | X |
| Total | 33427969 |  | 33427969 |  | 34104548 |  | 34104548 |  |

---

<sup>(1)</sup> The item included liabilities related to the purchase of MBFACTA's unfunded loans.

118 \| Interim Report for the six months ended 31 December 2024

*1.3 Financial liabilities measured at amortized cost: product breakdown of debt securities in issue*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| | | **Fair Value(\*)** | **Fair Value(\*)** | **Fair Value(\*)** | | **Fair Value(\*)** | **Fair Value(\*)** | **Fair Value(\*)** |
| <br>**Type of security/Amounts** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** |
| A. Securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. bonds | 24920440 | 1185340 | 23914393 |  | 24015355 | 1403249 | 22638329 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 structured | 4621562 |  | 4633506 |  | 4068358 |  | 4082184 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 other | 20298878 | 1185340 | 19280887 |  | 19946997 | 1403249 | 18556145 |  |
| &nbsp;&nbsp;&nbsp;2. other securities | 1662392 |  | 1598191 | 63200 | 1239545 |  | 1206575 | 33072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 structured |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 other | 1662392 |  | 1598191 | 63200 | 1239545 |  | 1206575 | 33072 |
| Total | 26582832 | 1185340 | 25512584 | 63200 | 25254900 | 1403249 | 23844904 | 33072 |

---

<sup>(\*)</sup> Fair value amounts are shown after deducting issuer risk, which at 31 December 2024 suggested a capital gain of €219m (€204.3m as at 30 June 2024).

Bonds increased from €24bn to €24.9bn after new issues of €2.1bn covered by redemptions and repurchases of €1.5bn (realizing losses of €0.7m), to which other increases of €0.3bn (exchange rate adjustment, amortized cost and effect of hedges) should be added.

The bonds in issue include €2.2bn (nearly all of which issued by the subsidiary Mediobanca International and guaranteed by the parent company) related to arbitrage strategies leveraging derivative basis indexes (skew) mainly linked to credit derivatives (underlying transaction) and commodity derivatives and, to a lesser extent, to interest rate arbitrage, inflation and equity risk. All these issues involve payment of interest in the form of a coupon (including a premium – extra yield) and full repayment of capital at maturity. In case of the subscriber opting for early repayment, the issuer has the faculty, at its discretion, to choose a repayment price that takes into account the current fair value including that of the underlying transactions. As required by para. 4.3.3 of IFRS 9, the embedded derivative, identified by the right to include the arbitrage value within the repayment price, has been separated by the obligation valued at amortized cost and booked at fair value of underlying transactions through profit or loss.

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 119

**SECTION 2**

**Heading 20: Trading financial liabilities**

*2.1 Trading financial liabilities: product breakdown*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 December 2024** | **31 December 2024** | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | | **Fair Value** | **Fair Value** | **Fair Value** | |
| <br>**Transaction Type/Values** | **Nominal<br> or <br> notional**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**Value(\*)** | **Nominal<br> or <br> notional**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**Value(\*)** |
| A. Cash liabilities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Due to banks | 2067136 | 1894239 | 139986 |  | 2034224 | 1744377 | 1696621 | 3688 |  | 1700309 |
| &nbsp;&nbsp;&nbsp;2. Due to customers | 2863429 | 2823040 | 36480 |  | 2859520 | 3337805 | 3216770 | 33759 |  | 3250529 |
| &nbsp;&nbsp;&nbsp;3. Debt securities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1 Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other bonds |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other |  |  |  |  | X |  |  |  |  | X |
| Total (A) | 4930565 | 4717279 | 176466 |  | 4893744 | 5082182 | 4913391 | 37447 |  | 4950838 |
| B. Derivative instruments |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Financial derivatives | X | 747868 | 2942241 | 84552 | X | X | 883298 | 3183440 | 98311 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Trading | X | 747868 | 2940976 | 84552 | X | X | 883298 | 3183382 | 98311 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Related to the fair value option | X |  |  |  | X | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3 Other | X |  | 1265 |  | X | X |  | 58 |  | X |
| &nbsp;&nbsp;&nbsp;2. Credit derivatives | X |  | 425312 | 1654 | X | X |  | 387743 | 1080 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Trading | X |  | 425312 | 1654 | X | X |  | 387743 | 1080 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Related to the fair value option | X |  |  |  | X | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3 Other | X |  |  |  | X | X |  |  |  | X |
| Total (B) | X | 747868 | 3367553 | 86206 | X | X | 883298 | 3571183 | 99391 | X |
| Total (A+B) | X | 5465147 | 3544019 | 86206 | X | X | 5796689 | 3608630 | 99391 | X |

---

<sup>(\*)</sup> Fair value computed by excluding variations due to changes in the issuer's credit score following the date of emission.

120 \| Interim Report for the six months ended 31 December 2024

**SECTION 3**

**Heading 30: Financial liabilities designated at fair value**

*3.1 Financial liabilities designated at fair value: product breakdown*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 31 December 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** | **Total <br> 30 June 2024** |
| | | **Fair value** | **Fair value** | **Fair value** | | | **Fair value** | **Fair value** | **Fair value** | |
| <br>**Transaction Type/Values** | **Nominal**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**value(\*)** | **Nominal**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**value(\*)** |
| 1. Due to banks |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.2 Other |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;of which: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- loan commitments |  | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;- financial guarantees issued |  | X | X | X | X | X | X | X | X | X |
| 2. Due to customers | 1270000 |  | 1175925 |  | 1175925 | 1269999 |  | 1168714 |  | 1168714 |
| &nbsp;&nbsp;&nbsp;2.1 Structured | 1270000 |  | 1175925 |  | X | 1269999 |  | 1168714 |  | X |
| &nbsp;&nbsp;&nbsp;2.2 Other |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;of which: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- loan commitments |  | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;- financial guarantees issued |  | X | X | X | X | X | X | X | X | X |
| 3. Debt securities | 3506004 |  | 3012382 | 530258 | 3542640 | 3092613 |  | 2690192 | 380293 | 3070485 |
| &nbsp;&nbsp;&nbsp;3.1 Structured | 3425723 |  | 2930719 | 530258 | X | 3011665 |  | 2608292 | 380293 | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 80281 |  | 81663 |  | X | 80948 |  | 81900 |  | X |
| Total | 4776004 |  | 4188307 | 530258 | 4718565 | 4362612 |  | 3858906 | 380293 | 4239199 |

---

<sup>(\*)</sup> Fair value computed by excluding variations due to changes in the issuer's credit score following the date of emission.

The item Financial liabilities designated at fair value increased from €4,239.2m to €4,718.6m, including €1,175.9m in loans and €3,542.6m in securities (certificates and paper issues); the total amount of certificates stood at €3,243.9m, including €1,272.5m in credit-linked, €1,223m in equity, €85.5m in interest rate and €662.9m in delta-one products (without Mediobanca risk). Paper issues stood at €298.7m, €68.6m of which in callable securities. Level-3 positions mainly concerned certificates (€530.3m) mostly attributable to autocallable equity (€441.4m).

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 121

**SECTION 4**

**Heading 40: Hedging derivatives**

*4.1 Hedging derivatives: by hedge type and level*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **31 December 2024** | **31 December 2024** | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
|  | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Nominal**<br>**Value** | **Level 1** | **Level 2** | **Level 3** | **Nominal**<br>**Value** |
| A. Financial derivatives |  | 1111317 |  | 46327374 |  | 1431642 |  | 46968086 |
| &nbsp;&nbsp;1) Fair value |  | 1012428 |  | 45912374 |  | 1430774 |  | 46938086 |
| &nbsp;&nbsp;2) Cash flows |  | 98889 |  | 415000 |  | 868 |  | 30000 |
| &nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |  |  |  |
| B. Credit derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;1) Fair value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;2) Cash flows |  |  |  |  |  |  |  |  |
| Total |  | 1111317 |  | 46327374 |  | 1431642 |  | 46968086 |

---

*4.2 Hedging derivatives: by portfolio hedged and hedge type*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flows** | **Cash flows** | |
| | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | | | | |
| <br>**Transaction/Type of hedge** | **debt<br> securities<br> and<br> interest<br> rates** | **equity<br> securities<br> and stock<br> indexes** | **currencies<br> and gold** | **credit** | **commodities** | **other** |<br>**Generic** |<br>**Specific** |<br>**Generic** |<br>**Foreign<br> investments** |
| 1. Financial assets measured at fair value through other comprehensive income | 21457 |  |  |  | X | X | X | 11266 | X | X |
| 2. Financial assets measured at amortized cost | 148014 | X |  |  | X | X | X |  | X | X |
| 3. Portfolio | X | X | X | X | X | X |  | X |  | X |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |
| Total assets | 169471 |  |  |  |  |  |  | 11266 |  |  |
| 1. Financial liabilities | 842957 | X |  |  |  |  | X | 84900 | X | X |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |
| Total liabilities | 842957 |  |  |  |  |  |  | 84900 |  |  |
| 1. Expected transactions | X | X | X | X | X | X | X | 2723 | X | X |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X |  | X |  |  |

---

122 \| Interim Report for the six months ended 31 December 2024

**SECTION 6**

**Heading 60: Tax liabilities**

Please see asset section 11.

**SECTION 10**

**Heading 100: Provisions for risks and charges**

*10.1 Provisions for risks and charges: breakdown*

---

| | | |
|:---|:---|:---|
| **Items/Components** | **31 December 2024** | **30 June 2024** |
| 1. Provisions for credit risk related to commitments and financial guarantees issued | 21530 | 20791 |
| 2. Provision to other commitments and other guarantees issued | 593 | 605 |
| 3. Company retirement plans<sup>(1)</sup> | 730 |  |
| 4. Other provisions for risks and charges | 106124 | 116295 |
| &nbsp;&nbsp;&nbsp;4.1 legal and tax disputes |  |  |
| &nbsp;&nbsp;&nbsp;4.2 personnel expenses | 8439 | 16932 |
| &nbsp;&nbsp;&nbsp;4.3 other | 97685 | 99363 |
| Total | 128977 | 137691 |

---

<sup>(1)</sup> This refers to the pension fund of the Swiss subsidiary RAM AI.

IAS 37 requires provisions to be set aside in cases where there is an obligation, whether actual, legal or implicit, the amount of which may be reliably determined and the resolution of which is likely to entail a cash outflow for the company. The amount of the provision is determined from the best estimate, based on experience of similar operations or the opinion of independent experts. The provisions are revised on a regular basis in order to reflect the best current estimate.

As at 31 December, the item "Provisions for risks and charges" amounted to €129m with no significant changes in the component of commitments and financial guarantees (€22.1m) whereas "other provisions for risks and charges" decreased (from €116.3m to €106.1m) for the settlement of indemnities, early retirements and complaints of Corporate Finance (totalling €23.4m) after provisions for €13.3m.

In detail, these provisions cover tax disputes (€38.9m), possible personnel charges on guarantees and indemnities (€24.2m), provisions to cover specific risks arising from complaints (€14m) in addition to provisions set aside to encourage personnel turnover (€8.4m) and other miscellaneous risks (€20.7m).

The stock at the end of the half year under review was divided as follows: Mediobanca €51.4m (€51.8m), Mediobanca Premier €24.7m (€30.9m), Compass Banca €16.5m (€19.9 m), SelmaBPM €7.3m (€7.3m), CMB Monaco €1.1m (€2.6m) and other companies for €5.1m (€3.7m).

With reference to the main legal proceedings, please refer to the contents of the 2024 financial statements, as no significant events occurred during the half year under review.

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 123

With regard to disputes pending with the Italian Tax Authorities, the following progress during the half year under review should be noted:

with relation to the alleged failure to apply tax rules according to transparency, as required by legislation on Controlled Foreign Companies (CFC), to income earned by CMB Monaco and CMG Monaco in the three years 2013, 2014, and 2015 (for a total of €53.7m in disputed taxes, plus penalties and interest), the Bank won the cases in the first and second instance of the related judgements; the hearing before the Court of Cassation is awaited;

with regard to Mediobanca's alleged failure to withhold taxes from interest paid in the context of a secured financing transaction between the financial years 2014/2015 and 2017/2018 (for a total of €8.1m, plus interest and penalties), four tax assessment notices were served, one of which was annulled in the final judgement, two were successful in the second-instance judgements and one was successful in the first-instance judgement.

The provisions for risks and charges set aside in the financial statements adequately cover the amount mentioned above.

124 \| Interim Report for the six months ended 31 December 2024

**SECTION 13**

**Heading 120, 130, 140, 150, 160, 170 and 180: Group net equity**

*13.1 "Capital" and "Treasury Shares": breakdown*

For the breakdown of the group's capital, please see part F of the notes to the accounts.

*13.2 Capital – Number of parent company shares: changes for the year*

---

| | |
|:---|:---|
| **Items/Values** | **Ordinary** |
| A. Shares in issue at the start of the period | 832948824 |
| &nbsp;&nbsp;&nbsp;&nbsp;- fully paid up | 832948824 |
| &nbsp;&nbsp;&nbsp;&nbsp;- partially paid up |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Treasury shares (-) | (6299458) |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Shares in issue: opening balance | 826649366 |
| B. Increases | 3595963 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Newly issued shares | 330865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- for consideration |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- business mergers |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- bond conversions |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- exercise of warrants |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- free of charge: | 330865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to employees |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to directors |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Disposals of treasury shares | 3265098 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.3 Other changes |  |
| C. Decreases | 8093715 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.1 Cancellation |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.2 Purchases of treasury shares | 8093715 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.3 Disposals of businesses |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.4 Other changes |  |
| D. Shares in issue: closing amount | 822151614 |
| &nbsp;&nbsp;&nbsp;&nbsp;D.1 Treasury shares (+) | (11128075) |
| &nbsp;&nbsp;&nbsp;&nbsp;D.2 Shares held at the end of the period | 833279689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- fully paid up | 833279689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- partially paid up |  |

---

The buyback plan began on 12 November, with total repurchases of 8,093,715 treasury shares as at 31 December, for a value of €114.8m. As part of the performance share plans, 1,587,027 shares were allocated during the year, 1,256,162 of which through treasury shares and 330,865 through a capital increase. The item "Sales of own shares" includes disposals for the period to cover the first tranche of the deferred payment of the shareholding in the English Partnership Arma Partners LLP.

At 31 December, treasury shares in the portfolio therefore amounted to 11,128,075 shares (1.34% of the share capital).

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 125

The changes in the Reserve for treasury shares during the half year under review were as follows:

---

| | | |
|:---|:---|:---|
| **Items/Values** | **Number of shares** | **Value (€'000)** |
| Reserve for treasury shares: opening amount at 30 June 2023 | 6299458 | 68828 |
| Increases | 8093715 | 114776 |
| &nbsp;&nbsp;- Newly issued shares |  |  |
| &nbsp;&nbsp;- Purchases of treasury shares | 8093715 | 114776 |
| &nbsp;&nbsp;- Other changes |  |  |
| Decreases | 3265098 | 44122 |
| &nbsp;&nbsp;- Cancellations |  |  |
| &nbsp;&nbsp;- Disposals of treasury shares | 3265098 | 44122 |
| &nbsp;&nbsp;- Other changes |  |  |
| Reserve for treasury shares: closing amount at 30 June 2024 | 11128075 | 139482 |

---

**Other Information**

*1.* *Commitments and financial guarantees issued* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Nominal value of commitments and financial<br> guarantees issued** | **Nominal value of commitments and financial<br> guarantees issued** | **Nominal value of commitments and financial<br> guarantees issued** | **Nominal value of commitments and financial<br> guarantees issued** | | |
|  | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** |<br>**Total 31**<br> **December 2024** |<br>**Total 30<br> June 2024** |
| 1. Loan commitments | 15804060 | 281761 | 1069 |  | 16086890 | 21803516 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 2722005 |  |  |  | 2722005 | 7891710 |
| &nbsp;&nbsp;&nbsp;c) Banks | 35603 |  |  |  | 35603 | 69822 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 1444760 | 57638 |  |  | 1502398 | 2161593 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 8493736 | 168167 | 89 |  | 8661992 | 8580103 |
| &nbsp;&nbsp;&nbsp;f) Households | 3107956 | 55956 | 980 |  | 3164892 | 3100288 |
| 2. Financial guarantees issued | 587654 | 577 |  |  | 588231 | 1085998 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 4730 |  |  |  | 4730 | 8099 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 425782 |  |  |  | 425782 | 781103 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 137916 | 577 |  |  | 138493 | 272658 |
| &nbsp;&nbsp;&nbsp;f) Households | 19226 |  |  |  | 19226 | 24138 |

---

126 \| Interim Report for the six months ended 31 December 2024

*2. Other commitments and guarantees issued*

---

| | | |
|:---|:---|:---|
|  | **Nominal Value<br> 31 December 2024** | **Nominal Value<br> 30 June 2024** |
| 1. Other guarantees issued | 89387 | 125989 |
| &nbsp;&nbsp;&nbsp;*of which: non-performing exposures* | *39* | *—* |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 458 | 478 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 17676 | 41376 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 23208 | 21623 |
| &nbsp;&nbsp;&nbsp;f) Households | 48045 | 62512 |
| 2. Other commitments | 123615 | 122106 |
| &nbsp;&nbsp;&nbsp;*of which: non-performing exposures* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 33183 | 33049 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 38274 | 37264 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 52158 | 51793 |
| &nbsp;&nbsp;&nbsp;f) Households |  |  |

---

Notes to the accounts \| Part B - Notes to the consolidated balance sheet \| 127

**Part C – Information to the Consolidated Profit and Loss Account**

**SECTION 1**

**Headings 10 and 20: Net interest income**

*1.1 Interest and similar income: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Items/Instrument type** | **Debt securities** | **Loans** | **Other<br> transactions** | **First half of the<br> year 2024/25** | **First half of the<br> year 2023/24** |
| 1. Financial assets measured at fair value through profit or loss: | 67777 | 11031 |  | 78808 | 55647 |
| &nbsp;&nbsp;&nbsp;1.1 Financial assets held for trading | 61036 | 698 |  | 61734 | 43665 |
| &nbsp;&nbsp;&nbsp;1.2 Financial assets designated at fair value | 6391 | 10333 |  | 16724 | 11962 |
| &nbsp;&nbsp;&nbsp;1.3 Other financial assets mandatorily measured at fair value | 350 |  |  | 350 | 20 |
| 2. Financial assets measured at fair value through other comprehensive income | 124774 |  | X | 124774 | 110517 |
| 3. Financial assets measured at amortized cost: | 74045 | 1730454 |  | 1804499 | 1785139 |
| &nbsp;&nbsp;&nbsp;3.1 Due from banks | 1107 | 123651 | X | 124758 | 176538 |
| &nbsp;&nbsp;&nbsp;3.2 Due from customers | 72938 | 1606803 | X | 1679741 | 1608601 |
| 4. Hedging derivatives | X | X |  |  |  |
| 5. Other assets | X | X | 7239 | 7239 | 5126 |
| 6. Financial liabilities (1) | X | X | X |  |  |
| Total | 266596 | 1741485 | 7239 | 2015320 | 1956429 |
| &nbsp;&nbsp;&nbsp;*of which: interest income on impaired assets* | *—* | *22295* | *—* | *22295* | *22606* |
| &nbsp;&nbsp;&nbsp;*of which: interest income from finance leases* | *X* | *36248* | *X* | *36248* | *42028* |

---

<sup>(1)</sup> Heading "6. Financial liabilities" includes interest expenses as the result of negative interest rates.

128 \| Interim Report for the six months ended 31 December 2024

*1.3* *Interest expenses and similar charges: breakdown* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Items/Instrument type** | **Items/Instrument type** |<br>**Payables** |<br>**Securities** | **Other**<br>**transactions** | **First half of the**<br>**year 2024/25** | **First half of the**<br>**year 2023/24** |
| 1. | Financial liabilities measured at amortized cost | (561074) | (419809) |  | (980883) | (839194) |
|  | 1.1 Due to central banks | (7953) | X | X | (7953) | (66965) |
|  | 1.2 Due to banks | (211067) | X | X | (211067) | (198486) |
|  | 1.3 Due to customers | (342054) | X | X | (342054) | (251431) |
|  | 1.4 Securities in issue | X | (419809) | X | (419809) | (322312) |
| 2. | Trading financial liabilities |  |  |  |  |  |
| 3. | Financial liabilities designated at fair value | (3285) | (13766) |  | (17051) | (13999) |
| 4. | Other liabilities and funds | X | X |  |  |  |
| 5. | Hedging derivatives <sup>(1)</sup> | X | X | (95500) | (95500) | (110741) |
| 6. | Financial assets <sup>(2)</sup> | X | X | X |  |  |
| Total | Total | (564359) | (433575) | (95500) | (1093434) | (963934) |
|  | *of which: interest expense relating to lease liabilities* | (3134) | *X* | *X* | (3134) | (2205) |

---

<sup>(1)</sup> Mostly hedges of funding.

<sup>(2)</sup> Heading "6. Financial assets" includes interest expenses as the result of negative interest rates.

Notes to the accounts \| Part C - Information to the Consolidated Profit and Loss Account \| 129

**SECTION 2**

**Heading 40 and 50: Net fee and commission income**

*2.1* *Fee and commission income: breakdown* 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Type of service/Amounts** | **Type of service/Amounts** | **Type of service/Amounts** | **First half of the**<br>**year 2024/25** | **First half of the**<br>**year 2023/24** |
| a) Financial instruments | a) Financial instruments | a) Financial instruments | 153631 | 134965 |
|  | 1. | Placement of securities | 93464 | 79249 |
|  |  | 1.1 Underwriting commitment and/or based on an irrevocable commitment |  |  |
|  |  | 1.2 Without an irrevocable commitment | 93464 | 79249 |
|  | 2. | Receipt and sending of orders and execution of orders on behalf of clients | 19912 | 15376 |
|  |  | 2.1 Receipt and sending of orders for one or more financial instruments | 19912 | 15376 |
|  |  | 2.2 Execution of orders on behalf of customers |  |  |
|  | 3. | Other commissions associated with activities linked to financial instruments | 40255 | 40340 |
|  |  | of which: trading on own account | 11640 | 11607 |
|  |  | of which: management of individual portfolio | 28615 | 28733 |
| b) | Corporate Finance | Corporate Finance | 176572 | 79850 |
|  | 1. | Advice on mergers and acquisitions | 176572 | 79850 |
|  | 2. | Treasury services |  |  |
|  | 3. | Other commissions connected with corporate finance services |  |  |
| c) | Advice on investments | Advice on investments | 5634 | 6100 |
| d) | Netting and settlement | Netting and settlement |  |  |
| e) | Collective portfolio management | Collective portfolio management | 73901 | 55049 |
| f) | Custody and administration | Custody and administration | 16566 | 13817 |
|  | 1. | Depository bank |  |  |
|  | 2. | Other fees associated with custody and administration | 16566 | 13817 |
| g) | Central administrative services for collective portfolio management | Central administrative services for collective portfolio management |  |  |
| h) | Fiduciary activities | Fiduciary activities | 3168 | 3049 |
| i) | Payment services | Payment services | 20964 | 23570 |
|  | 1. | Current accounts | 6020 | 9312 |
|  | 2. | Credit cards | 8542 | 8221 |
|  | 3. | Debit cards and other payment cards | 4564 | 4252 |
|  | 4. | Wire transfers and payment orders | 523 | 299 |
|  | 5. | Other fees linked to payment services | 1315 | 1486 |
| j) | Distribution of third-party services | Distribution of third-party services | 51847 | 47423 |
|  | 1. | Collective portfolio management | 3682 | 3007 |
|  | 2. | Insurance products | 41274 | 39370 |
|  | 3. | Other products | 6891 | 5046 |
|  |  | of which: individual portfolio management | 6891 | 5046 |
| k) | Structured finance | Structured finance |  |  |
| l) | Securitization servicing | Securitization servicing | 193 | 194 |
| m) | Loan commitments | Loan commitments | 35869 | 36454 |
| n) | Financial guarantees issued | Financial guarantees issued | 3094 | 3237 |
|  | of which: credit derivatives | of which: credit derivatives |  |  |
| o) | Lending transactions | Lending transactions | 18562 | 15457 |
|  | of which: factoring services | of which: factoring services | 17445 | 14425 |
| p) | Currency trading | Currency trading | 51 | 55 |
| q) | Commodities | Commodities |  |  |
| r) | Other commission income | Other commission income | 27495 | 21573 |
|  | of which: for the management of multilateral trading facilities | of which: for the management of multilateral trading facilities |  |  |
|  | of which: for the management of organized trading systems | of which: for the management of organized trading systems |  |  |
| Total | Total | Total | 587547 | 440793 |

---

130 \| Interim Report for the six months ended 31 December 2024

*2.2* *Fee and commission expenses: breakdown* 

---

| | | | |
|:---|:---|:---|:---|
| **Services/Amounts** | **Services/Amounts** | **First half of the**<br>**year 2024/25** | **First half of the**<br>**year 2023/24** |
| a) | Financial instruments | (3312) | (4840) |
|  | of which: securities trading | (3294) | (3491) |
|  | of which: financial instruments placement | (18) | (1349) |
|  | of which: management of individual portfolio |  |  |
|  | - Own assets |  |  |
|  | - Under mandate to third parties |  |  |
| b) | Netting and settlement |  |  |
| c) | Collective portfolio management | (11254) | (3352) |
|  | 1. Own assets |  |  |
|  | 2. Under mandate to third parties | (11431) | (3352) |
| d) | Custody and administration | (2629) | (2293) |
| e) | Collection and payment services | (12571) | (10541) |
|  | of which: credit cards, debit cards and other payment cards | (5639) | (5213) |
| f) | Securitization servicing |  |  |
| g) | Borrowing commitments |  |  |
| h) | Financial guarantees received |  | (40) |
|  | of which: credit derivatives |  |  |
| i) | Off-site distribution of financial instruments, products and services | (11721) | (7341) |
| j) | Currency trading |  |  |
| k) | Other commission expense | (58622) | (57441) |
| Total | Total | (100109) | (85848) |

---

Notes to the accounts \| Part C - Information to the Consolidated Profit and Loss Account \| 131

**SECTION 3**

**Heading 70: Dividends and similar income**

*3.1* *Dividends and similar income: breakdown* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | **First half of the year 2024/2025** | **First half of the year 2024/2025** | **First half of the year 2023/2024** | **First half of the year 2023/2024** |
| **Item/Income** | **Item/Income** | **Dividends** | **Similar income** | **Dividends** | **Similar income** |
| A. | Financial assets held for trading | 30889 | 9 | 17010 | 3 |
| B. | Other financial assets mandatorily measured at fair value |  | 13029 |  | 10540 |
| C. | Financial assets measured at fair value through other comprehensive income | 8232 |  | 290 |  |
| D. | Equity investments |  |  | 186 |  |
| Total | Total | 39121 | 13038 | 17486 | 10543 |

---

**SECTION 4**

**Heading 80: Net trading income (expense)**

*4.1* *Net trading income (expense): breakdown* 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Transactions/Income components** | **Transactions/Income components** | **Transactions/Income components** |<br>**Capital gains**<br>**(A)** |<br>**Trading**<br>**income (B)** |<br>**Capital**<br>**losses (C)** |<br>**Trading**<br>**losses (D** | **Net income**<br>**(expense)**<br>**[(A+B) -**<br>**(C+D)]** |
| 1. | Financial assets held for trading | Financial assets held for trading | 308325 | 477188 | (271509) | (235803) | 278201 |
|  | 1.1 | Debt securities | 98941 | 116853 | (62419) | (104126) | 49249 |
|  | 1.2 | Equity securities | 209081 | 359067 | (209076) | (131448) | 227624 |
|  | 1.3 | UCIT units | 303 | 1268 | (14) | (229) | 1328 |
|  | 1.4 | Loans |  |  |  |  |  |
|  | 1.5 | Other |  |  |  |  |  |
| 2. | Trading financial liabilities | Trading financial liabilities |  |  |  |  |  |
|  | 2.1 | Debt securities |  |  |  |  |  |
|  | 2.2 | Liabilities |  |  |  |  |  |
|  | 2.3 | Other |  |  |  |  |  |
| 3. | Financial assets and liabilities: currency exchange gains/losses | Financial assets and liabilities: currency exchange gains/losses | X | X | X | X | (4962) |
| 4. | Derivative instruments | Derivative instruments | 1369109 | 1378820 | (1392074) | (1561540) | (185127) |
|  | 4.1 | Financial derivatives: | 1178555 | 1067497 | (1185739) | (1271502) | (190631) |
|  |  | - On debt securities and interest rates<sup>(1)</sup> | 446266 | 677727 | (490879) | (753018) | (119904) |
|  |  | - On equity securities and stock indexes | 706468 | 373022 | (637839) | (508725) | (67074) |
|  |  | - On currencies and gold | X | X | X | X | 20558 |
|  |  | - Other<sup>(2)</sup> | 25821 | 16748 | (57021) | (9759) | (24211) |
|  | 4.2 | Credit derivatives | 190554 | 311323 | (206335) | (290038) | 5504 |
|  |  | *of which: natural hedges related to the fair value option* | *X* | *X* | *X* | *X* |  |
| Total | Total | Total | 1677434 | 1856008 | (1663583) | (1797343) | 88112 |

---

<sup>(1)</sup> This includes gains of €19,558 on interest rate derivatives (gains of €33,300 at 30 June 2024).

<sup>(2)</sup> This includes derivatives of €39,199 on commodities.

132 \| Interim Report for the six months ended 31 December 2024

**SECTION 5**

**Heading 90: Net hedging income (expense)**

*5.1* *Net hedging income (expense): breakdown* 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Income components/Amounts** | **Income components/Amounts** | **Income components/Amounts** | **First half of the**<br>**year 2024/25** | **First half of the**<br>**year 2023/24** |
| A. | Income from: | Income from: |  |  |
|  | A.1 | Fair value hedging instruments | 790528 | 1000899 |
|  | A.2 | Hedged asset items (fair value) | 1528948 | 547265 |
|  | A.3 | Hedged liability items (fair value) | 18031 | 10871 |
|  | A.4 | Cash flow hedging derivatives |  |  |
|  | A.5 | Assets and liabilities denominated in foreign currency |  |  |
| Total gains on hedging activities (A) | Total gains on hedging activities (A) | Total gains on hedging activities (A) | 2337507 | 1559035 |
| B. | Charges on: | Charges on: |  |  |
|  | B.1 | Fair value hedging instruments | (520368) | (752085) |
|  | B.2 | Hedged asset items (fair value) | (1276480) | (97182) |
|  | B.3 | Hedged liability items (fair value) | (533996) | (712122) |
|  | B.4 | Cash flow hedging derivatives |  |  |
|  | B.5 | Assets and liabilities denominated in foreign currency |  |  |
| Total charges on hedging activities (B) | Total charges on hedging activities (B) | Total charges on hedging activities (B) | (2330844) | (1561389) |
| C. | Net income from hedging activities (A-B) | Net income from hedging activities (A-B) | 6663 | (2354) |
|  | of which: income (expense) from hedges on net positions | of which: income (expense) from hedges on net positions |  |  |

---

**SECTION 6**

**Heading 100: Gain (loss) on disposals/repurchases**

*6.1* *Gains (losses) on disposals/repurchases: breakdown* 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **First half of the year 2024/2025** | **First half of the year 2024/2025** | **First half of the year 2024/2025** | **First half of the year 2023/2024** | **First half of the year 2023/2024** | **First half of the year 2023/2024** |
| **Items/Income components** | **Items/Income components** |<br>**Gains** |<br>**Losses** | **Net gain**<br>**(loss)** |<br>**Gains** |<br>**Losses** | **Net gain**<br>**(loss)** |
| A. | Financial assets |  |  |  |  |  |  |
| 1. | Financial assets measured at amortized cost | 5356 | (4933) | 423 | 12303 | (3651) | 8652 |
|  | 1.1 Due from banks |  |  |  | 93 | (174) | (81) |
|  | 1.2 Due from customers | 5356 | (4933) | 423 | 12210 | (3477) | 8733 |
| 2. | Financial assets measured at fair value through other comprehensive income | 25510 | (938) | 24572 | 9217 | (4815) | 4402 |
|  | 2.1 Debt securities | 25510 | (938) | 24572 | 9217 | (4815) | 4402 |
|  | 2.2 Loans |  |  |  |  |  |  |
| Total assets (A) | Total assets (A) | 30866 | (5871) | 24995 | 21521 | (8466) | 13055 |
| B. | Financial liabilities measured at amortized cost |  |  |  |  |  |  |
| 1. | Due to banks |  |  |  |  |  |  |
| 2. | Due to customers |  |  |  |  |  |  |
| 3. | Securities in issue | 1018 | (1759) | (741) | 1885 | (1185) | 700 |
| Total liabilities (B) | Total liabilities (B) | 1018 | (1759) | (741) | 1885 | (1185) | 700 |

---

Notes to the accounts \| Part C - Information to the Consolidated Profit and Loss Account \| 133

**SECTION 7**

**Heading 110: Net income (expense) from other financial assets and liabilities measured at fair value through profit or loss**

*7.1* *Net change in the value of other financial assets and liabilities measured at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Transactions/Income components** | **Transactions/Income components** |<br>**Capital gains**<br>**(A)** |<br>**Gains on**<br>**disposal (B)** |<br>**Capital**<br>**losses (C)** |<br>**Losses on**<br>**disposal (D)** | **Net income**<br>**(expense)**<br>**[(A+B) - (C+D)]** |
| 1. | Financial assets | 28388 | 3842 | (2898) | (690) | 28642 |
|  | 1.1 Debt securities | 4999 | 3842 | (2898) | (690) | 5253 |
|  | 1.2 Loans | 23389 |  |  |  | 23389 |
| 2. | Financial liabilities | 75471 | 308 | (105880) | (75581) | (105682) |
|  | 2.1 Debt securities in issue<sup>(1)</sup> | 50966 | 308 | (75301) | (75581) | (99608) |
|  | 2.2 Due to banks |  |  |  |  |  |
|  | 2.3 Due to customers<sup>(2)</sup> | 24505 |  | (30579) |  | (6074) |
| 3. | Foreign-currency denominated financial assets and liabilities: currency exchange gains/losses | X | X | X | X | 366 |
| Total | Total | 103859 | 4150 | (108778) | (76271) | (76674) |

---

<sup>(1)</sup> Valuation that includes any certificates issued.

<sup>(2)</sup> Relating to financing linked to securities exchange transactions with insurance counterparties. Both cases are covered by derivatives and other financial instruments whose value is measured under heading 80.

*7.2* *Net change in the value of other financial assets and liabilities measured at fair value through profit or loss: breakdown of other financial assets mandatorily measured at fair value* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Transactions/Income components** | **Transactions/Income components** |<br>**Capital gains**<br>**(A)** |<br>**Gains on**<br>**disposal (B)** |<br>**Capital losses**<br>**(C)** |<br>**Losses on**<br>**disposal (D)** | **Net income**<br>**(expense)**<br>**[(A+B) - (C+D)]** |
| 1. | Financial assets | 17337 | 173 | (8481) |  | 9029 |
|  | 1.1 Debt securities |  |  | (115) |  | (115) |
|  | 1.2 Equity securities | 100 |  | (2) |  | 98 |
|  | 1.3 UCIT units | 16787 | 173 | (8364) |  | 8596 |
|  | 1.4 Loans | 450 |  |  |  | 450 |
| 2. | Financial assets: currency exchange gains/losses | X | X | X | X | 144 |
| Total | Total | 17337 | 173 | (8481) |  | 9173 |

---

134 \| Interim Report for the six months ended 31 December 2024

**SECTION 8**

**Heading 130: Net value adjustments (write-backs) for credit risk**

*8.1* *Net value adjustments for credit risk related to financial assets measured at amortized cost: breakdown* 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | | |
| | | | | | | **Purchased or** | **Purchased or** | | | | | | |
| | | | | | | **originated credit** | **originated credit** | | | | | | |
| | | | | **Stage 3** | **Stage 3** | **impaired assets** | **impaired assets** | | | | | | |
| **Transactions/Income components** | **Transactions/Income components** | <br>**Stage 1** | <br>**Stage 2** | **Write-off** | **Other** | **Write-off** | **Other** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased**<br>**or originated**<br>**credit**<br>**impaired**<br>**assets** | <br>**First half**<br>**of the**<br>**year**<br>**2024/2025** | <br>**First half**<br>**of the**<br>**year**<br>**2023/2024** |
| A. | Due from banks | (181) |  |  |  |  |  | 288 | 122 |  |  | 229 | (369) |
|  | - Loans | (181) |  |  |  |  |  | 251 | 122 |  |  | 192 | (381) |
|  | - Debt securities |  |  |  |  |  |  | 37 |  |  |  | 37 | 12 |
| B. | Due from customers | (108438) | (160625) | (4100) | (164146) | (20) | (18557) | 148442 | 74777 | 83799 | 14811 | (134057) | (137420) |
|  | - Loans | (107195) | (159785) | (4100) | (164146) | (20) | (18557) | 146377 | 74769 | 83799 | 14811 | (134047) | (137099) |
|  | - Debt securities | (1243) | (840) |  |  |  |  | 2065 | 8 |  |  | (10) | (321) |
| Total | Total | (108619) | (160625) | (4100) | (164146) | (20) | (18557) | 148730 | 74899 | 83799 | 14811 | (133828) | (137789) |

---

*8.2* *Net value adjustments for credit risk related to financial assets measured at fair value through other comprehensive income: breakdown* 

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | | |
| | | | | | | **Purchased or** |  | | | | | | |
| | | | | | | **originated credit** |  | | | | | | |
| | | | | <br>**Stage 3** | <br>**Stage 1** | **impaired assets** | **Other** | | | | | | |
| **Transactions/Income components** | **Transactions/Income components** | <br>**Stage 1** | <br>**Stage 2** | **Write-off** | **Other** | **Write-off** | **Other** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased**<br>**or originated**<br>**credit**<br>**impaired**<br>**assets** | <br>**First half**<br>**of the**<br>**year**<br>**2024/2025** | <br>**First half**<br>**of the**<br>**year**<br>**2023/2024** |
| A. | Debt securities | (1771) | (27) |  |  |  |  | 3813 | 282 |  |  | 2297 | (2005) |
| B. | Loans |  |  |  |  |  |  |  |  |  |  |  |  |
|  | - To customers |  |  |  |  |  |  |  |  |  |  |  |  |
|  | - To banks |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | Total | (1771) | (27) |  |  |  |  | 3813 | 282 |  |  | 2297 | (2005) |

---

Notes to the accounts \| Part C - Information to the Consolidated Profit and Loss Account \| 135

**SECTION 12**

**Heading 190: Administrative expenses**

*12.1 Personnel costs: breakdown*

---

| | | | |
|:---|:---|:---|:---|
| **Type of expense/Sectors** | **Type of expense/Sectors** | **First half of the**<br>**year 2024/2025** | **First half of the**<br>**year 2023/2024** |
| 1) | Employees: | (410467) | (368779) |
| a) | wages and salaries | (299737) | (272361) |
| b) | social security contributions | (65146) | (58272) |
| c) | end-of-service payments | (2245) | (2334) |
| d) | social security costs |  |  |
| e) | provision for statutory end-of-service payments | (10865) | (9574) |
| f) | provision for retirement plans and similar provisions: |  | 93 |
|  | - defined-contribution |  |  |
|  | - defined-benefit<sup>(1)</sup> |  | 93 |
| g) | payments to external supplemental pension funds: | (9590) | (8898) |
|  | - defined-contribution | (9590) | (8898) |
|  | - defined-benefit |  |  |
| h) | expenses resulting from share-based payments | (5659) | (6095) |
| i) | other employees' benefits | (17225) | (11338) |
| 2) | Other staff in service | (4073) | (4228) |
| 3) | Directors and Statutory Auditors | (5599) | (8141) |
| 4) | Early retirement costs | (1200) | (542) |
| Total | Total | (421339) | (381690) |

---

<sup>(1)</sup> This figure refers to the benefit deriving from the "curtailment cost" and the "Plan amendments" decided by Caisse Baloise (pension fund of the Swiss subsidiary RAM AI).

*12.5 Other administrative expenses: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Amounts** | **First half of the**<br>**year 2024/2025** | **First half of the**<br>**year 2023/2024** |
| OTHER ADMINISTRATIVE EXPENSES |  |  |
| - legal, tax and professional services | (28163) | (34057) |
| - loan recovery activity | (29041) | (31873) |
| - marketing and communications | (22090) | (23984) |
| - real property expenses | (11990) | (12315) |
| - EDP | (95764) | (83824) |
| - info-providers | (32083) | (29869) |
| - bank charges, collection and payment fees | (16728) | (15626) |
| - operating expenses | (30450) | (33261) |
| - other personnel costs | (11437) | (8064) |
| - other<sup>(1)</sup> | (13206) | (39188) |
| - indirect taxes and duties | (66182) | (61065) |
| Total other administrative expenses | (357134) | (373126) |

---

<sup>(1)</sup> As at 31 December 2023, this item included a contribution of €23.8m to the various resolution funds.

136 \| Interim Report for the six months ended 31 December 2024

**SECTION 13**

**Heading 200: Net transfers to provisions for risks and charges**

*13.1* *Net transfers for credit risk related to commitments to disburse funds and financial guarantees issued: breakdown* 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **First half of the** | **First half of the** | **First half of the** | |
|  | **year 2024/25** | **year 2024/25** | **year 2024/25** | **First half of the**<br>**year 2023/24** |
|  |<br>**Provisions** | **Reallocation of**<br>**surplus** |<br>**Total** |<br>**Total** |
| Loan commitments | (9611) | 7492 | (2119) | 2203 |
| Financial guarantees issued | (480) | 1870 | 1390 | 129 |
| Total | (10091) | 9362 | (729) | 2332 |

---

*13.3* *Net transfers to other provisions for risks and charges: breakdown* 

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **First half of the** | **First half of the** | **First half of the** | |
| | **year 2024/25** | **year 2024/25** | **year 2024/25** | |
| |<br>**Provisions** | **Reallocation of**<br>**surplus** |<br>**Total** |<br>**First half of the**<br>**year 2023/24** |
| 1. Other provisions |  |  |  |  |
| 1.1 Legal disputes |  |  |  |  |
| 1.2 Personnel expenses |  |  |  |  |
| 1.3 Other | (10098) | 1090 | (9008) | (4746) |
| Total | (10098) | 1090 | (9008) | (4746) |

---

**SECTION 16**

**Heading 230: Other operating income (expense)**

*16.1 Other operating expenses: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Amounts** | **First half of the**<br>**year 2024/2025** | **First half of the**<br>**year 2023/2024** |
| a) Amounts recovered from customers | (4664) | (4229) |
| b) Sundry costs and expenses <sup>(1)</sup> | (51243) | (16278) |
| Total other operating expenses | (55907) | (20507) |

---

<sup>(1)</sup> This item includes the provision for the share of ordinary and extraordinary dividends attributable to minority interests, as well as the interests (interest B) attributable to minority partners in the Arma Partnership.

*16.2 Other operating income: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Amounts** | **First half of the**<br>**year 2024/2025** | **First half of the**<br>**year 2023/2024** |
| a) Amounts recovered from customers | 59541 | 52720 |
| b) Leases | 4651 | 4310 |
| c) Other income | 103381<sup>(1)</sup> | 51770 |
| Total other operating income | 167573 | 108800 |

---

<sup>(1)</sup> This includes €42.7m in gains on EUA listed certificates*.*

Notes to the accounts \| Part C - Information to the Consolidated Profit and Loss Account \| 137

**SECTION 17**

**Heading 250: Gains (losses) on equity investments**

*17.1 Gains (losses) on equity investments: breakdown*

---

| | | | |
|:---|:---|:---|:---|
| **Income components/Sectors** | **Income components/Sectors** | **First half of the**<br>**year 2024/2025** | **First half of the**<br>**year 2023/2024** |
| 1) | Joint ventures |  |  |
|  | A. Income |  |  |
|  | &nbsp;&nbsp;&nbsp;1. Write-ups |  |  |
|  | &nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
|  | &nbsp;&nbsp;&nbsp;3. Writebacks |  |  |
|  | &nbsp;&nbsp;&nbsp;4. Other gains |  |  |
|  | B. Expenses | (439) |  |
|  | &nbsp;&nbsp;&nbsp;1. Write-downs | (439) |  |
|  | &nbsp;&nbsp;&nbsp;2. Impairment losses |  |  |
|  | &nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
|  | &nbsp;&nbsp;&nbsp;4. Other expenses |  |  |
| Net gain (loss) | Net gain (loss) | (439) |  |
| 2) | Entities under significant influence |  |  |
|  | A. Income | 232192 | 219127 |
|  | &nbsp;&nbsp;&nbsp;1. Write-ups | 232192 | 219127 |
|  | &nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
|  | &nbsp;&nbsp;&nbsp;3. Writebacks |  |  |
|  | &nbsp;&nbsp;&nbsp;4. Other gains |  |  |
|  | B. Expenses | (1446) | (512) |
|  | &nbsp;&nbsp;&nbsp;1. Write-downs | (1446) | (512) |
|  | &nbsp;&nbsp;&nbsp;2. Impairment losses |  |  |
|  | &nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
|  | &nbsp;&nbsp;&nbsp;4. Other expenses |  |  |
|  | &nbsp;&nbsp;&nbsp;Net gain (loss) | 230746 | 218615 |
| Total | Total | 230307 | 218615 |

---

**SECTION 25**

**Earnings per share**

*25.1 Average number of ordinary shares on a diluted basis*

---

| | | |
|:---|:---|:---|
|  | **First half of the**<br>**year 2024/2025** | **First half of the**<br>**year 2023/2024** |
| Net profit | 659737 | 611179 |
| Average number of shares in issue<sup>(1)</sup> | 822110311 | 836430591 |
| Average number of potentially diluted shares | 6085176 | 4123599 |
| Average number of diluted shares | 828195487 | 840554190 |
| Earnings per share | 0.80 | 0.73 |
| Earnings per share, diluted | 0.80 | 0.73 |

---

<sup>(1)</sup> The number of shares in issue takes into account the shares repurchased under the buyback plan

138 \| Interim Report for the six months ended 31 December 2024

**Part E – Information on risks and related hedging policies**

**INTRODUCTION**

As part of the Group's risks governance process, a key role is played by the Risk Management unit, which identifies, measures and monitors all the risks to which the Banking Group (or, the "Group") is exposed, and manages and mitigates them in co-ordination with the various business areas. The unit's main duties and responsibilities are described below, along with its characteristics in terms of independence, plus an indication of the role of the other company units in risk management.

For the qualitative disclosure, please refer to Section 2 - Consolidated prudential risks.

**SECTION 1**

**Consolidated accounting risks**

The accounting consolidation area includes the line-by-line consolidation of the subsidiary Compass RE (insurance companies), of the subsidiaries excluded from the Banking Group as per the Register of Banking Groups of the Bank of Italy (Compass Rent, MBContact Solutions, and RAM UK), and minor subsidiaries (Quarzo Srl, MBUSA, MB Covered, MB Immobiliere, Spafid Trust, Messier et Associes LLC AND Compass Link), which due to immateriality, as provided for in Article 19 of the CRR, are, instead, consolidated with the equity method within the prudential scope of application.

**QUANTITATIVE INFORMATION**

**A. Credit quality**

**A.1 Non-performing and performing exposures: amounts, value adjustments, trends and segmentation by earnings**

*A.1.1 Financial assets by portfolio and credit quality (book value)*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Portfolio/quality** | **Portfolio/quality** |<br>**Bad loans** |<br>**Unlikely to**<br>**pay** | **Overdue<br> non-**<br>**performing**<br>**exposures** | **Overdue**<br>**performing**<br>**exposures** | **Other**<br>**performing**<br>**exposures** |<br>**Total** |
| 1. | Financial assets measured at amortized cost | 36.109 | 233.877 | 151.468 | 294.485 | 66.094.068 | 66.810.007 |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  | 6.387.578 | 6.387.578 |
| 3. | Financial assets designated at fair value |  |  |  |  | 1.021.306 | 1.021.306 |
| 4. | Other financial assets mandatorily measured at fair value | 450 |  |  |  | 2.924 | 3.374 |
| 5. | Financial assets held for sale |  |  |  |  |  |  |
| Total 31 December 2024 | Total 31 December 2024 | 36.559 | 233.877 | 151.468 | 294.485 | 73.505.876 | 74.222.265 |
| Total 30 June 2024 | Total 30 June 2024 | 29.626 | 231.423 | 152.604 | 207.159 | 70.908.740 | 71.529.552 |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 139

Overdue performing loans mainly refer to factoring (€61.8m, 0.8% of total performing loans of the performing loans segment) and mortgage loans (51.5m, with an impact of 0.7%). The item also includes net exposures being renegotiated under the terms of collective agreements amounting to €70.4m, consisting primarily of mortgage loans totalling €69.9m. Of the overdue performing loans, the instalments actually unpaid stood at 46% (gross value of €157.5m).

*A.1.2 Financial assets by portfolio/credit quality (gross/net values)*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Performing** | **Performing** | **Performing** | |
| **Portafogli/qualità** | **Portafogli/qualità** | <br>**Gross**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**partial**<br>**write-offs** | <br>**Gross**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | <br>**Total**<br>**(Net**<br>**exposure)** |
| 1. | Financial assets measured at amortized cost | 1372337 | (950884) | 421453 | 1028 | 67081104 | (692552) | 66388552 | 66810005 |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  | 6390609 | (3031) | 6387578 | 6387578 |
| 3. | Financial assets designated at fair value |  |  |  |  | X | X | 1021306 | 1021306 |
| 4. | Other financial assets mandatorily measured at fair value | 6636 | (6186) | 450 |  | X | X | 2924 | 3374 |
| 5. | Financial assets held for sale |  |  |  |  |  |  |  |  |
| Total 31 December 2024 | Total 31 December 2024 | 1378973 | (957070) | 421903 | 1028 | 73471713 | (695583) | 73800360 | 74222263 |
| Total 30 June 2024 | Total 30 June 2024 | 1336714 | (923061) | 413653 | 945 | 71103222 | (708476) | 71115899 | 71529552 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | **Assets with obviously poor credit quality** | **Assets with obviously poor credit quality** | **Other assets** |
| **Portfolio/quality** | **Portfolio/quality** | **Accumulated <br> capital losses** | **Net exposure** | **Net exposure** |
| 1. | Financial assets held for trading |  |  | 10790772 |
| 2. | Hedging derivatives |  |  | 232945 |
| Total 31 December 2024 | Total 31 December 2024 |  |  | 11023717 |
| Total 30 June 2024 | Total 30 June 2024 |  |  | 12182842 |

---

140 \| Interim Report for the six months ended 31 December 2024

**Information on sovereign debt exposures**

*A.1.2a Exposures to sovereign debt securities by state and portfolio <sup>(</sup>\*<sup>)</sup>*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Performing** | **Performing** | **Performing** | |
| **Portfolio/quality** | **Portfolio/quality** | **Gross**<br>**exposure** | **Individual**<br>**adjustments** | **Portfolio**<br>**adjustments** | **Net**<br>**exposure** | **Gross**<br>**exposure** | **Portfolio**<br>**adjustments** | **Net**<br>**exposure** | <br>**Total net**<br>**exposure<sup>(1)</sup>** |
| 1. | Financial assets held for trading |  |  |  |  | X | X | 659533 | 659533 |
| Italy | Italy |  |  |  |  | X | X | 695556 | 695556 |
| United States | United States |  |  |  |  | X | X | 33352 | 33352 |
| France | France |  |  |  |  | X | X | 21139 | 21139 |
| Germany | Germany |  |  |  |  | X | X | (18449) | (18449) |
| Other | Other |  |  |  |  | X | X | (72065) | (72065) |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  | 5525853 |  | 5525853 | 5525853 |
| Italy | Italy |  |  |  |  | 3965881 |  | 3965881 | 3965881 |
| United States | United States |  |  |  |  | 191069 |  | 191069 | 191069 |
| France | France |  |  |  |  | 342534 |  | 342534 | 342534 |
| Germany | Germany |  |  |  |  | 760040 |  | 760040 | 760040 |
| Other | Other |  |  |  |  | 266329 |  | 266329 | 266329 |
| 3. | Financial assets measured at amortized cost |  |  |  |  | 3447964 |  | 3447964 | 3447964 |
| Italy | Italy |  |  |  |  | 2109727 |  | 2109727 | 2109727 |
| United States | United States |  |  |  |  | 744190 |  | 744190 | 744190 |
| France | France |  |  |  |  | 508589 |  | 508589 | 508589 |
| Germany | Germany |  |  |  |  | 53394 |  | 53394 | 53394 |
| Other | Other |  |  |  |  | 32064 |  | 32064 | 32064 |
| Total 31 December 2024 | Total 31 December 2024 |  |  |  |  | 8973817 |  | 9633350 | 9633350 |

---

<sup>(\*)</sup> This does not include financial or credit derivatives.

<sup>(1)</sup> The net exposure includes positions in securities (long and short) measured at fair value (including the outstanding accrual) except for assets held to maturity which are measured at amortized cost, whose implied fair value is €8m.

*A.1.2b Exposures to sovereign debt securities by portfolio*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Trading Book<sup>(1)</sup>** | **Trading Book<sup>(1)</sup>** | **Trading Book<sup>(1)</sup>** | **Banking Book<sup>(2)</sup>** | **Banking Book<sup>(2)</sup>** | **Banking Book<sup>(2)</sup>** | **Banking Book<sup>(2)</sup>** |
| <br>**Portfolio/quality** | **Nominal Value** | **Book value** | **Duration** | **Nominal Value** | **Book value** | **Fair Value** | **Duration** |
| Italy | 579646 | 695556 | 1.30 | 5959927 | 6075608 | 6080012 | 4.63 |
| Germany | 36382 | 33352 | 5.13 | 1023317 | 935259 | 929029 | 1.13 |
| France | 23050 | 21139 | 3.70 | 860000 | 851123 | 850150 | 2.37 |
| United States | (21226) | (18449) | 1.61 | 795000 | 813433 | 810161 | 2.83 |
| Other | (47017) | (72065) |  | 282300 | 298393 | 298071 |  |
| Total 31 December 2024 | 570835 | 659533 |  | 8920544 | 8973816 | 8967423 |  |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | This figure does not include forward sales with a notional amount of €605m. |

---

<sup>(1)</sup> This item does not include sales on the Bund/Bobl/Schatz future (Germany) for €200m (with a positive fair value of €2.5m) and sales on the BTP future (Italy) for €438m (with a negative fair value of €8.4m); moreover, net hedging purchases of €493m, €313m of which attributable to France country risk and €300m of which to Germany country risk, were not counted.

<sup>(2)</sup> This item does not include the instrument linked to the appreciation of Greek GDP (referred to as "GDP Linkers Securities").

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 141

**Information on structured entities**

In accordance with the provisions of IFRS 12, the Group treats the entities it sets up in order to achieve a limited and well-defined objective regulated by contractual agreements that often impose narrow restrictions on the decision-making powers of its governing bodies as structured entities (i.e. special purpose vehicles, SPV, or special purpose entities, SPE). Such entities are structured to ensure that the voting rights (or similar) are not the main factor in establishing who controls them (the relevant activities are often governed by contractual agreements agreed when the entity itself is structured and are therefore difficult to change).

*B.1 Consolidated structured entities*

As stated in Part A – Section 3 of the Notes to the Accounts, the securitization SPV established pursuant to Italian law 130/99, namely Quarzo S.r.l., as well as MB Funding Lux S.A., a company incorporated under Luxembourg law and 100%-owned by Mediobanca S.p.A., are included in the Group's area of consolidation.

*B.2 Structured entities not consolidated in accounting terms*

The Group has no other interests in the capital of structured entities to report, apart from the stock units held in UCITs in connection with its activities as sponsor (Mediobanca Premier, CMB Monaco, Polus Capital Management and RAM Active Investments) and as investors in funds promoted by Mediobanca S.p.A. and Mediobanca International, which include Seed Capital activities for funds managed by Group companies. In particular, it should be noted that:

With regard to RAM Active Investments SA funds, the Parent Company subscribed to investments for a NAV of €176.9m (€167.5m at 30 June last), which concerns RAM Global Sustainable Income Equities (€18.4m), RAM Stable Climate Global Equities (€37.2m), RAM Global Multi-Asset (€40.8m), RAM Asia Bond Total Return (€16.8m), RAM Mediobanca Strata UCITS Credit (€63.7m); all of the above investments are UCITS established under Luxembourg law with a NAV calculated daily, to which direct investments of €3.5m should be added.

With regard to Polus Capital Management, the Group has investments in place for €194.9m (€224.4m as at 30 June last); specifically, the Parent Company invested €80.9m in the credit fund Polus European Loan Fund, €41.7m in European CLO vehicles (€5.5m in CLI Holdings I and €36.3m in CLI Holdings II)<sup>(1)</sup>, €15.4m in the new US CLOs (€14.3m in CLO US I and €1.1m in the second transactions in the warehousing phase), €49.2m in the alternative closed-end fund under Luxembourg law Polus Special Situations Fund<sup>(2)</sup> subscribed by Mediobanca International Luxemburg and finally €7.6m in direct investments by Polus for risk retention purposes (including €2.8m in CLO US).

<sup>(1)</sup> For the latter, it should be noted that during the financial year, a hedging transaction was negotiated with a major insurance company via insurance policy. For further details, please refer to Section C-Securitization Transactions.

<sup>(2)</sup> With regard to the PSSF structure, investments are made through three Feeder funds (société en commandite spéciale) denominated in various currencies (USD, EUR, GBP) and flow into a Master fund (also société en commandite spéciale) denominated in Euros which implements the investment strategy. The General Partner of the fund is Polus Special Situations Fund (GP) S.A.R.L, which is responsible for the operation of the fund, but does not make investments and has no economic interest in it. Polus Capital Management Limited is the Portfolio Manager of PSSF.

142 \| Interim Report for the six months ended 31 December 2024

Finally, with regard to the funds managed by Mediobanca SGR and Mediobanca Management Company, the Group subscribed to funds for €24.1m (€21.1m at 30 June last), which included €14.1m subscribed by the Parent Company mainly in the Mediobanca Euro High Yield (€4.8m) and Mediobanca Social Philanthropy (€8.6m) funds, in addition to investments of €10m subscribed by Mediobanca Premier in the new Mediobanca Candriam Global High Yield bond fund, whose management has been entrusted to Candriam.<sup>(3)</sup>

Mediobanca also invests in the Negentropy RAIF fund, an alternative investment fund incorporated under Luxembourg law managed by Negentropy Capital Partners Limited, with a carrying amount of €54.9m (€61.3m as at 30 June last).

*B.2.1 Structured entities consolidated prudentially*

As at 31 December there was no disclosure to be made as no instances of this type of interest apply.

*B.2.2 Other structured entities*

As at 31 December there was no disclosure to be made as no instances of this type of interest apply.

The process of delegating and sub-delegating investment activities, along with the broad powers of discretion afforded to delegates and the temporary nature of the investments mean that the ability to impact on returns stipulated by IFRS 10 as a precondition for establishing control of SICAVs does not apply in these cases; hence Mediobanca does not have direct control.

***Asset-Backed SPEs***

The entities in this case have been set up to acquire, build or manage physical or financial assets, for which the prospect of recovering the credit concerned depends largely on the cash flows to be generated by the assets.

<sup>(3)</sup> The fund's assets are managed taking into account Sustainable Finance criteria, i.e. Environmental, Social and Corporate Governance factors (ESG factors) in addition to traditional financial factors. The fund is configured as a product pursuant to Article 8 of Regulation (EU) 2019/2088, as, among other things, it meets environmental, social and good governance characteristics. This financial product considers the principal adverse impacts (PAI) in line with environmental, social and good governance objectives and as defined at company and Group level.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 143

As part of its ordinary lending operations, the Group finances asset-backed SPEs but without holding any form of direct equity stake or interest in them, hence this does not qualify as acting as sponsor.

Hold to Collect lending transactions, recorded under asset Heading 40, "Financial assets measured at amortized cost – due from customers: composition", in which the Group is the sole lender, involve an amount of €559m.

*B.2 Leveraged finance transactions*

The scope of Leveraged Transactions, according to the ECB definition, concerns exposures to counterparties with a sub-investment grade rating whose ratio between the total gross committed debt and EBITDA is higher than 4 at the time of disbursement (if it higher than 6, the transactions are classified as "Highly-Leveraged Transactions") as well as controlled (control or ownership of more than 50% of the share capital) by a Financial Sponsor.

As at 31 December, the overall exposure of Leveraged Transactions was substantially unchanged at €3,388m<sup>(4)</sup> (€3,410m last June), which includes approximately 36% of "Highly Leveraged Transactions" (HLT) (these were 43% at the beginning of the year); this exposure represents approximately 15% of the overall Corporate Loan portfolio with a share of B-rated exposures under 10%, in line with last June.

<sup>(4)</sup> This consists in performing and impaired exposures (€6m) and includes off-balance sheet exposures (commitments and derivatives) of €1,203m.

144 \| Interim Report for the six months ended 31 December 2024

**SECTION 2**

**Consolidated prudential risks** **<sup>(\*)</sup>**

**1.1 CREDIT RISK**

**QUALITATIVE INFORMATION**

Although risk management is the responsibility of each individual business unit, the Risk Management Unit presides over the functioning of the Group's risk system, defining the appropriate global methodologies for measuring risks, current and future, in conformity with the regulatory requirements and the Group's own operating choices identified in the RAF<sup>(5)</sup>, monitoring risks, and ascertaining that the various limits established for the various business lines are complied with.

Risk Management is organized around local teams based at the various Group companies, in accordance with the principle of proportionality, under the co-ordination of the Risk Management unit at Parent Company Mediobanca S.p.A. (the "Group Risk Management Unit"), which also performs specific activities for the Parent Company scope of risk, in the same way that the local teams do for their own companies. The Group Risk Management unit, reporting directly to the Chief Executive Officer, under the direction of the Group Chief Risk Officer, comprises the following organizational units: i) Risk Integration, responsible for monitoring the Group's capital and liquidity adequacy, coordinating cross-unit ICAAP and ILAAP processes, also implementing a continuous management system within the risk management framework and in particular in the RAF; the unit also monitors IRRBB and CSRBB risks and is responsible for the Resolution Plan; ii) Credit Risk Management, responsible for the general guidance and governance of credit risk, ensures the development and supervision of credit risk measurement methods, defines the management frameworks and processes (granting, monitoring, classification and evaluation) and monitors the performance of the credit portfolio; iii) Credit Analysis, which is responsible for carrying out credit risk analysis, assigning internal ratings to counterparties and the loss parameter in the event of insolvency; iv) Market Risk Management, which monitors market and counterparty risks and validates fair value methods; v) Non-financial Risk Management, responsible for monitoring operational and fraud risks, risks related to the distribution of investment products and services to customers, IT and security risks, as well as outsourcing risks; vi) Internal Validation & Control, which defines the methods, processes, tools and reports to be drafted in internal validation activities, carries out the validation of the Group's risk measurement systems, defines and carries out control activities on the Parent Company's main credit processes; vii) Risk Coordination, supports the Chief Risk Officer and the Risk unit in relations with Management and corporate bodies, as well as with the Group companies' risk management units; plans and monitors risk management projects and issues involving various specialist units and defines the framework for managing ESG impacts on the various vertical risks.

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The following companies are excluded from the prudential consolidation area: Compass RE, Compass Rent, MBContact Solutions, RAM UK, Quarzo Srl, MBUSA, MB Covered, MB Immobiliere, Spafid Trust, MA USA and Compass Link. Please see Section 1 - Consolidated Accounting Risks in this Part E. |

---

<sup>(5)</sup> On 27 June 2024, the Board of Directors approved the Policy update on the definition of Risk Appetite and calibration of the risk appetite statement (RAS). In this Framework, based on the strategic plan and the maximum tolerable risk, the Group defines the level and type of risks which the Bank intends to assume, plus any objectives, tolerance thresholds and operating limits to be complied with under normal operating and stress conditions.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 145

**2. Credit risk management policies**

**2.1 Organizational aspects**

The Group has adopted a risk governance and control system structured across a variety of organizational units involved in the process, ensuring that all relevant risks to which the Group is or might be exposed are managed effectively, and at the same time guaranteeing that all forms of operations are consistent with their own risk appetite.

The Board of Directors, in view in particular of its role of strategic supervision, is responsible for approving strategic guidelines and directions of the Risk Appetite Framework (RAF), the adoption of Internal Rating Systems (IRB) at the Parent Company level and the Roll-Out Plan for gradually extending the IRB approach across the whole Group, business and financial plans, budgets, risk management and internal control policies, and the Recovery Plan drawn up in accordance with the provisions of the Bank Recovery and Resolution Directive (Directive 2014/59/EU).

The Risk Committee assists the Board of Directors in performing monitoring and investigation duties in respect of internal controls, risk management, and accounting infrastructure. The Statutory Audit Committee supervises the risk management and control system as defined by the RAF and the internal controls system, assessing the effectiveness of the structures and units involved in the process and coordinating them.

As part of the Parent Company's risk governance system, the following senior management committees have specific responsibilities in the processes of taking, managing, measuring and controlling risks: Group Risk Management Committee, responsible for issuing guidance at the Group level in respect of all risks (not including the risk of conduct); Credit and Market Committee, with decision-making powers over credit, counterparty and market risks; New Operations Committee, for the preventive evaluation of new activities and approval of the entry into new sectors, new products and related pricing models.

**2.2 Management, measurement and control systems**

In the process of defining its Risk Appetite Framework ("RAF"), Mediobanca has determined the level of risk (overall and by individual type) which it intends to assume in order to pursue its own strategic objectives, and has identified the metrics to monitor and the relevant tolerance thresholds and risk limits. The RAF is the framework which links risks to the company's strategy (translating mission and strategy into qualitative and quantitative risk variables) and risk objectives for the company's operations (translating risk objectives into limits and incentives for each area).

As required by the prudential regulations, the formalization of risk objectives, through definition of the RAF, which are consistent with the maximum risk that can be taken, the business model and strategic guidance is a key factor in establishing a risk governance policy and internal controls system with the objective of enhancing the bank's capability in terms of governing its own company risks, and also ensuring sustainable growth over the medium and long term. In this connection, the Group has developed a Risk Appetite Framework governance model which identifies the roles and responsibilities of the Corporate Bodies and units involved, with co-ordination mechanisms instituted to ensure the risk appetite is suitably incorporated into the management processes.

146 \| Interim Report for the six months ended 31 December 2024

In the process of defining its Risk Appetite, the Parent Company:

– identifies the risks which it is willing to assume;

– defines, for each risk, the objectives and limits in normal and stressed conditions;

– identifies the action necessary to bring the risk back within the set objective.

To define the RAF, based on the strategic positioning and risk profile set by the Group as its objective, the Risk Appetite statement is structured into metrics and risk thresholds, to be identified with reference to the following framework risk pillars, in line with best international practice: capital adequacy, liquidity and funding adequacy, profitability, bank-specific factors and non-financial risks. The Board of Directors has a proactive role in defining the RAF, guaranteeing that the expected risk profile is consistent with the Strategic Plan, budget, ICAAP and Recovery Plan, and structured into adequate and effective metrics and limits. For each pillar analysed, the risk assumed is set against a system of objectives and limits representative of the regulatory restrictions and the Group's general attitude towards risk, as defined in accordance with the strategic planning, the internal capital adequacy assessment process (ICAAP), the internal liquidity adequacy assessment (ILAAP) and risk management processes.

In addition to identifying and setting the risk appetite parameters, the Bank also governs the mechanisms regulating the governance and processes for establishing and implementing the RAF, in terms of updating/reviewing, monitoring, and reporting to the Committees and Corporate Bodies. Based on its operations and the markets in which it operates, the Group has identified the relevant risks to be submitted to specific assessment in the course of the reporting for the ICAAP (Internal Capital Adequacy Assessment Process),<sup>(6)</sup> appraising its own capital adequacy from both a present and future perspective which takes into account the strategies and development of the reference scenario. As required by the provisions of the Capital Requirements Directive IV ("CRD IV"), the Group prepares an Internal Liquidity Adequacy Assessment Process document (ILAAP), describing the set of policies, processes and instruments put in place to govern liquidity and funding risks. The Group's objective is to maintain a level of liquidity that enables it to meet ordinary and extraordinary payment obligations, while minimizing costs at the same time. The Group's liquidity management strategy is based on the desire to maintain an appropriate balance between potential inflows and potential outflows, in the short and the medium/long term, by monitoring both regulatory and management metrics, in accordance with the risk profile defined as part of the RAF.

<sup>(6)</sup> In line with the provisions of the Bank of Italy contained in Circular No. 285 "Supervisory instructions for banks" of 17 December 2013 and subsequent updates.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 147

***2.3 Methods for measuring expected losses***

Under IFRS 9 "Financial Instruments", assets not measured at fair value on a regular basis (i.e. financial assets and liabilities measured at amortized cost and off-balance sheet exposures) must be tested for impairment based on expected losses.

The internal rating models are the baseline instrument for determining the risk parameters to be used in calculating expected losses, subject to the regulatory indicators being adjusted for aspects which are not suitable to be used directly in an accounting environment (e.g. in some cases reconverting the data to reflect a "point-in-time" approach). Under IFRS 9, expected losses are calculated as the product of the PD, LGD and EAD metrics. This calculation is based on the residual life for instruments that have undergone a significant risk deterioration (referred to as "Stage 2") or that show objective signs of deterioration ("Stage 3") and over a 12-month horizon for instruments that do not fall into the previous categories ("Stage 1"). For off-balance sheet exposures, credit conversion factors arising from internal models are used to calculate expected losses; if there are no specific models, the factors associated with the standard EAD calculation are used.

The Group adopts qualitative and quantitative criteria to establish whether there has been a significant increase in credit risk (SICR), using backstop indicators, such as accounts which are thirty or more days overdue or have been classified as forborne, to assess whether or not they should be treated as Stage 2. Cases of low-risk instruments at the recording date are identified, compatible with classification as Stage 1 (low credit risk exemption), where there is a BBB- rating on the Standard & Poor's scale, or a corresponding internal PD estimate.

Consistent with the options granted by IFRS 9, a change in forward-looking PD is used as the benchmark quantitative metric for measuring the Significant Increase in Credit Risk (SICR) for the purpose of identifying positions to be classified as Stage 2. As of this financial year, the Group finally adopted the method that provides for lifetime PD comparison between reference and origination date (replacing the 12-month PD)<sup>(7)</sup> with the lifetime PD variation range being selected for the transfer to Stage 2. The quality items observed are specific for each Group company.

Provisioning reflects the sum of the expected credit losses (over a time horizon of twelve months or based on a lifetime approach<sup>(8)</sup> depending on the relevant Stage), discounted at the effective interest rate. The expected credit loss is the result of a joint assessment of three scenarios, a baseline scenario and two alternative scenarios. The scenarios, drawn up at Group level, are revised at least once every six months.<sup>(9)</sup> In particular, scenarios are defined by the designated Group Economic and Macro Strategy (GEMS) unit, which is also responsible for assigning the relevant weights.

<sup>(7)</sup> With the exception of a residual corporate factoring portfolio for which the lifetime SICR will be adopted during 2025.

<sup>(8)</sup> The lifetime approach considers the contractual expiry of the exposure where possible. For products which do not have a contractual expiry date (e.g. credit cards, bill repayment plans, cancellable credit lines, current accounts or overdrafts on current account), the calculation is made over a 12-month time horizon.

<sup>(9)</sup> In December 2024, the scenarios and weights applied in June 2024 were prudentially maintained for the consumer credit and retail factoring assets in order to prevent short-term volatility not reflected in operating trends.

148 \| Interim Report for the six months ended 31 December 2024

The Mediobanca Group uses additional overlays to hedge against the risk towards business sectors still particularly exposed to inflationary pressure and more generally against the uncertainties of the macroeconomic scenario, confirming the choices made in the previous financial year. The Group has also completed the review of the relevant internal regulations, among others, with the aim of strengthening the governance of overlays in terms of the decision-making process and in terms of possible eventualities, to be implemented during 2025.

***2.4 Credit risk mitigation techniques***

The Group has put in place a system for managing credit risk mitigation techniques, which covers the entire process of obtaining, assessing, supervising and implementing the mitigation instruments in use. The requirements for eligibility of collateral and guarantees are set out in Regulation (EU) 575/2013 of the European Parliament and of the Council as amended (the "CRR"). The Group has also compiled specific criteria by which collateral not recognized for regulatory purposes may in any case be recognized at the operating level as effective to mitigate credit risk.

The use of financial instruments or of moveable and immoveable assets as collateral and of personal guarantees is widespread in lending activity. In particular:

mortgage guarantees: when mortgages are taken out, valuations are required from independent experts; specific procedures are also in place to calculate the fair value of the asset and monitor it at regular intervals, based on market indicators furnished by external information providers; further valuations are also required in cases where significant departures are noted from the most recent valuation available;

pledges: pledges are valued according to the market value for listed financial instruments, or on the basis of their expected realizable value; prudential haircuts are then applied to the values thus calculated which differ according to the financial instruments over which the pledge has been made.

The Group also adopts risk mitigation policies by entering into netting and collateral agreements, verifying whether the agreements are legally valid and meet the regulatory criteria to be recognized for prudential purposes.

Credit Risk Mitigation activities are governed by specific Directives adopted by the Group companies concerned. The specific nature of the products originated by the individual businesses and the forms of collateral securing them, as well as the different organizational models necessarily adopted by the various Group Legal Entities, means that different CRM processes must coexist within the Group as a whole. In particular, the phases of obtaining the collateral, checking, reporting and assessing its eligibility may be performed by different units. However, the role of Risk Management unit in setting eligibility criteria for regulatory and management purposes remains central, and the Group Risk Management unit is responsible for supervising overall consistency in this area. Controls of the mitigation instruments are included in the general risk control and management framework.

In Private Banking in particular, the situations most at risk have been identified, and for "Lombard" credit in particular work has begun quickly on restoring the collateral margins typically associated with this form of credit. The overall exposure reflects both portfolio diversification for the collateral and the haircuts required when the lending value is determined.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 149

**3. Non-performing credit exposures**

The Group is distinguished by its prudent approach to risk, which is reflected in the fact that its overdue exposure levels (Non-performing loan - NPL) are among the lowest seen in the Italian national panorama. The Group's management of non-performing loans also helps to keep their level low on the books, including the use of different options typically available, such as disposals (of both individual assets and portfolios), collateral enforcement, and negotiation of restructuring agreements.

The Group uses a single, like-for-like definition for the concepts of "default" as defined by the regulations on regulatory capital requirements, "non-performing", used for supervisory reporting statistics, and Stage 3 assets, or "credit-impaired" assets, as defined by the accounting standards in force. In this regard, the Group has implemented the EBA Guidelines on the adoption of the definition of default (EBA/GL/2016/07), Delegated Regulation (EU) 2018/171 of the Commission of 19 October 2017, and Regulation (EU) 2018/1845 of the ECB of 21 November 2018. In line with these principles, instances of assets which qualify as "non-performing" include:

exposures identified using the 90 days past due principle, based on which the regulations referred to above have standardized the calculation criteria in use at EU level (in particular with reference to the applicable materiality thresholds, and the irrelevance of which instalment in particular is established as being past due for calculation purposes);

– cases in which the credit obligation has been sold, leading to material losses in relation to the credit risk;

debt restructuring which entails a cost, i.e. restructuring the debt of a borrower who is in or is about to encounter difficulties in meeting their own financial obligations, which may imply a significantly reduced financial obligation;

cases of insolvency or other systems of protection covering all creditors or all unsecured creditors, the terms and conditions of which have been approved by a judge in a court of law or another competent institution;

instances identified through other indicators of a borrower being unlikely to pay, such as the enforcement of guarantees, breach of given financial leverage ratios, negative evidence in information systems such as central credit databases, or the borrower's sources of income suddenly becoming unavailable.

This approach is adopted differently within the individual Group companies, which, depending on the specific monitoring processes they have implemented, may choose to detect non-performing positions before the 90 days past due status by running individual analyses or applying automatic algorithms. Equally, the accounting measurement of non-performing exposures may reflect either the analysis of individual positions, or be based on identifying clusters of similar positions, depending on the specific nature of the Group company's business.

At the monitoring stage, the write-off for credit losses on financial assets is also assessed, i.e. when in part or in whole. Those write-offs are possible even before completion of the legal action to recover the asset, and this does not necessarily entail waiving the legal right to recover the amount.

150 \| Interim Report for the six months ended 31 December 2024

In order to adequately monitor the management of NPL portfolios, in recent years, several measures have been issued by the Regulator for the purpose of directing the financial sector towards minimizing their stocks of non-performing portfolios and speeding up recovery. On 26 April 2019, the European Parliament published an amendment to Regulation (EU) 575/2013 (CRR) in the Official Journal with the inclusion of rules to be applied for the coverage of NPLs (referred to as Calendar Provisioning) deriving from loans granted starting from the date of issue of the amended Regulation. For supervisory reporting purposes, Calendar Provisioning requires the full hedging of non-performing loans once they have been held in the portfolio for a defined period.

&nbsp;&nbsp;&nbsp;&nbsp;**4.** **Financial assets subject to commercial renegotiations and forbearance measures** 

Financial assets may be subject to contractual amendments based primarily on two different needs: maintaining a mutually satisfactory commercial relationship with clients, or re-establishing/improving the credit position of customers who are facing, or about to face, difficulties in complying with the commitments they have entered into.

The former case, defined as commercial renegotiation, recurs when the client might want to end the relationship, as a result of its credit quality and of favourable market conditions. In a situation such as this, changes can be made at the client's initiative or on a preventative basis in order to maintain the relationship with the client by improving the commercial terms offered, without prejudice to a satisfactory return on the risk and in compliance with the general strategic objectives (e.g. in terms of target customers).

The second case, which corresponds to the notion of forbearance measure, is detected in accordance with specific regulations when contractual amendments are made or refinancing arrangements are entered into.

For an exposure to be classified as forborne, the Group assesses whether or not such concessions (typically rescheduling expiry dates, suspending payments, refinancing operations or waivers to covenants) occur as a result of a situation of financial difficulty which can be traced to the accumulation, actual or potential (if concessions are not granted), of more than thirty days past due. Assessment of the borrower's financial difficulties is based primarily on individual analysis carried out as part of corporate banking and leasing business, whereas certain predefined conditions apply in the case of consumer credit activities (for example, observation of deferrals granted) and real estate loans (e.g. whether the borrower has been made unemployed, cases of serious illness and/or divorce and separation).

Both non-performing exposures and exposures whose difficulties are still compatible with their being treated as performing may be classified as forborne. However, as described in the previous sections, a position being assigned the status of "forborne" is considered to be incompatible with its being treated as Stage 1. For this reason, based on the regulations on supervisory statistical reporting, there is a minimum period of time during which an exposure can be classified as "forborne" and this is reflected in the prudential transitions between Stages 1, 2 and 3. For instance, when concessions have been made in respect of Stage 2 exposures, these exposures cannot return to Stage 1 in less than two years, in line with the

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 151

minimum duration requirement of two years provided for the "forborne performing exposure" status (during this period, the status can only be downgraded to reflect the exposure's transition to non-performing, if any). Similarly, exposures in Stage 3 cannot return to Stage 1 in less than three years, in line with the one-year duration requirement for "forborne non-performing exposure" status, followed (unless the non-performing status needs to be prolonged) by the two-year minimum duration requirement for the "forborne performing exposure" status.

To return to Stage 1, exposures must give proof of having fully recovered their credit quality and the conditions requiring them to be classified as "forborne" must have ceased to apply. Accordingly, monitoring activities over transitions to Stages 2 or 3 are the same as monitoring activities over exposures which have not moved from Stage 1. However, "forborne" exposures that have returned from Stage 3 to Stage 2 are subject to enhanced monitoring, providing that if there is a delay of more than thirty days in payment or if a new forbearance measure is applied, the exposure will immediately return to Stage 3 for prudential purposes.

**5. Details by business segment**

**Corporate activity**

The Group's internal system for managing, evaluating and controlling its credit risk exposure reflects its traditional policy based on prudence and a highly selective approach: risk assumption is based on an analytical approach grounded on an extensive knowledge of the entrepreneurial, asset and management operations of each financed company, as well as of the economic framework in which it operates. During the analysis, all the necessary documentation was acquired in order to carry out an adequate assessment of the borrower's credit quality and define the correct remuneration of the risk assumed; the analysis included assessments of the duration and amount of credit lines, monitoring of suitable collateral and use of contractual commitments (covenants) aimed at preventing the deterioration of the counterparty's credit quality.

With reference to the correct adoption of Credit Risk Mitigation techniques, specific activities are implemented to define and meet all the requirements to ensure that the real and personal guarantees have the maximum mitigating effects on the exposures.

To determine credit risk, counterparties are analysed and an internal rating is assigned by the Risk Management unit on the basis of internal models which take into account the specific quantitative and qualitative characteristics of the counterparty. The proposed transactions are also subject to the application of LGD models where appropriate.

Loans originated by the business divisions are appropriately assessed by the Risk Management unit and regulated in accordance with the powers for approval and management of the most significant transactions, through screening at different operating levels.

The Risk Management unit also carries out a review of the ratings assigned to the counterparties at least once a year. Approved loans must also be reviewed and confirmed by the approving body with the same frequency.

152 \| Interim Report for the six months ended 31 December 2024

Expected credit losses is calculated individually for non-performing items and based on PD and LGD indicators of the performing portfolio. For individual provisioning, valuations based on discounted cash flows and ratio analysis balance sheet are applied to businesses under the going-concern assumption, while an asset valuation is used in case of liquidation. With regard to performing loans, the PD parameters are obtained according to the through-the-cycle rating approach used to develop the internal rating model which is then converted to the point-in-time approach. LGDs are calculated according to the modelling used for regulatory calculation, stripped of elements that are more closely attributable to the requirements for internal models, including, in particular, the downturn effect, indirect costs and further prudential items. The parameters used to quantify the expected credit loss (as well as the regulatory parameters) are in any case subject to regular evaluation by corporate units. The forward-looking component of the models is the result of the risk indicators applied to the macroeconomic scenarios defined internally.

In terms of monitoring the performance of individual credit exposures, Mediobanca has adopted an early warning system to identify a list of counterparties (known as the "watch list") requiring in-depth analysis on account of their potential or obvious weaknesses. The exposures identified are then classified by level of alert (Amber or Red for performing accounts, Black for non-performing items) and are reviewed regularly to identify the most appropriate mitigation actions to be taken. A counterparty's inclusion in the watch list is used as qualitative information regarding its allocation to Stage 2, which includes counterparties classified as "Amber" or "Red". All forborne positions are also subject to specific monitoring; it should be noted that these positions are also classified in the watch list.

**Leases**

Risk evaluation is in general based on individual investigations that are conducted using similar methods to those required for Corporate activities. Furthermore, for small-denomination transactions, valuation and approval are required through the use of a credit-scoring model developed according to an historical series, differentiated by product type and by legal nature of the counterparty (type of requesting company).

The activities of analysis, disbursement, monitoring, and credit risk control are significantly supported by the Company's Information System; the asset being leased is also subject to a technical assessment.

With a view to aligning risk management with the current complex financial and market scenario, the approval rights have also been revised and the measurement and control processes enhanced through the institution of regular valuations of performing loans, including from an early warning perspective for the purpose of the counterparty's possible inclusion in the watch list. Disputes are managed in a variety of ways which prioritize either recovery of the amount owed or the asset under lease, according to the specific risk profile of the account concerned.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 153

The quantification of provisions for non-performing accounts requires individual analysis to establish the estimated loss, taking into account the protection value of the assets resulting from regularly updated expert valuations, prudentially revised downwards, and any other form of collateral. Scenarios referred to selling strategies are also factored in. The portfolio of performing assets is valued on the basis of internal PD and LGD parameters. To define the PD parameters, through-the-cycle transition matrices for the management models based on internal data are used, which are then converted to point-in-time versions. The forward-looking component is factored in by applying the macroeconomic scenarios defined internally to the PD estimates. The LGD estimates for the exposures differ according to type of product (vehicle leasing, core goods, yachts and property), and are subjected to the same macroeconomic scenarios defined internally to obtain forward-looking data.

The criteria for the transition of leasing transactions to Stage 2 include the PD increase quantitative criterion, classification as forborne performing positions, positions 30 days past due and, for shared counterparties, evidence from the Parent Company's watch list regarding Corporate customers (counterparties classified as "Amber" or "Red" will be included in Stage 2).

**Consumer credit**

Consumer credit operations are performed primarily by Compass, where applications for finance are approved on the basis of a credit scoring system tailored to individual products. The scoring grids have been developed from internal historical series, enhanced by data provided by central credit *bureaux*. Points of sale are linked electronically to the Company's headquarters, to ensure that applications and credit scoring results are processed and transmitted swiftly. Under the Group's system of powers, approval is required by the relevant headquarters units for increasing combinations of amount and expected loss, in accordance with the authorization levels established by the Board of Directors.

From the first instance of non-payment, the loan management process requires using the entire range of recovery procedures (postal and telephone reminders, external recovery agents, or legal recovery action). In the presence of minimal signals, such as queuing (always considered forbearance) or slight but repeated delays in association with negative evidence found in third party databases, the loan is classified according to the principle of "unlikeliness to pay". After six unpaid instalments (or four unpaid instalments in particular cases, such as credit cards), the client is deemed to have lapsed from the time benefit allowed under Article 1186 of the Italian Civil Code. As from the six months after such lapse has been established, accounts for which legal action has been ruled out on the grounds of being uneconomic are sold via competitive procedures to factoring companies, for a percentage of the value of the principal outstanding, which reflects their estimated realizable value. In this regard, targeted actions will be implemented during 2025 to counteract the increase in NPLs linked to the gradual return to the default rates that were common during the pre-Covid period, which mainly include the use of write-offs and review of the transfer timing.

Provisioning is determined collectively on the basis of PD, LGD and EAD metrics which are estimated using internal models and conditional upon macroeconomic factors using satellite models. To estimate PD and LGD parameters for the purpose of calculating lifetime losses, through-the-cycle transition matrices calculated separately by product type were used

154 \| Interim Report for the six months ended 31 December 2024

in line with internal operating processes (revolving / balance payment credit cards, special-purpose loans, low-risk personal loans, high-risk personal loans, small tickets and salary-backed loans to public servants, private individuals or retirees). Once the parameters not conditioned by recent historical evidence have been obtained, the forward-looking component is factored in by conditioning PDs, the transition matrices related thereto, and LGDs with specific macroeconomic models based on the Group's internal scenarios and on recent trends in internal default and loss rates.

In consumer credit, in addition to the quantitative criterion based on changes in the PD on a lifetime basis, specific quality indicators are used to classify exposures as Stage 2, such as the existence of suspension measures, the existence of other irregular accounts for the same borrower, and evidence of irregularities in payment in the recent past.

Purchased or originated credit impaired assets (i.e. POCI) include loans generated via the "Restructuring" product when generated as forborne non-performing loans. Restructuring is a form of facilitation granted only to "past clients" who, for the most part, had difficulties in continuing to pay their instalments regularly (not yet expired and/or previously unpaid). It consists in the consolidation of the residual debt of one or more files that the client had in place into a single new personal loan (new file) with a new repayment plan and a monthly instalment payment for an amount that is lower than the sum of the instalment payments of the "restructured" files. No additional cash is required. It is not a product provided for commercial purposes, but only for the management of existing exposures. Since the instrument was not born as a modification of an existing loan but as a replacement for one or more previous loans that have been cancelled, the derecognition thereof, combined with the creation of an instrument classified as non-performing, will result in its classification as POCI.

The criteria that may lead a Restructuring to be classified as POCI consider any delays on the positions being terminated, the reasons that led to the restructuring (for example, loss of employment), the "distressed restructured" test and the possibility that the instrument may terminate non-performing loans. The classification as POCI will not preclude the fact that the same loan may later return to being classified as performing according to a curing approach adopted for forborne NPE loans.

"POCI" assets are valued on the basis of an IFRS 9 provisioning model developed internally and derived from appropriate calibrations of AIRB models, and which includes all the static and trend elements necessary to calculate PD and LGD parameters on a forward-looking basis. Since the value adjustments in POCI instruments are calculated on a lifetime basis, they are written down on the basis of the related LGD (including costs and discounting effect) when they are recognized. In the event of a possible transition to performing they will be still written down on a lifetime basis like Stage 2 loans. Collections will proceed according to expectations also given the relative stability of expected loss parameters confirmed after each half-yearly update.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 155

**Factoring**

Factoring, a business in which MBFACTA specializes, includes both traditional factoring (i.e. acquisition of short-term trade receivables, often backed by insurance cover) and instalment factoring (acquiring loans from the selling counterparty, to be repaid via monthly instalments by the borrowers whose accounts have been sold, which in virtually all cases is a retail customer).

For traditional factoring, the internal units appraise the solvency of the sellers and the original borrowers via individual analysis using methodologies similar to those adopted for corporate lending; whereas for instalment factoring the acquisition price is calculated following a due statistical analysis of the accounts being sold, and takes into consideration the projected recoveries, costs and expected margins.

Non-performing exposures to corporate counterparties are quantified analytically, while non-performing exposures to retail counterparties are based on the identification of clusters of exposures with similar characteristics. The portfolio of performing assets is valued on the basis of PD and LGD parameters. PDs estimated internally using the Corporate PD Model are used for the definition of PD parameters for counterparties belonging to the Large Corporate sector. Recalibrated PDs provided by third-party provider or estimated internally on the retail portfolio are used in case of counterparties not belonging to the Large Corporate sector.

For transactions valued by the Parent Company as part of its corporate business, the parameters set in the Parent Company's process apply. The evidence obtained from the Parent Company's watch list for corporate clients is also used as qualitative information for reclassification to Stage 2, which includes counterparties classified as "Amber" or "Red".

**Premier and Private Banking**

Premier and Private Banking operations include granting loans as a complementary activity in serving "Affluent", "High Net Worth" and institutional clients, with the aim of providing them with Wealth Management and Asset Management services. Credit risk exposure takes various forms, such as cash loans (by granting credit on a bank account or through short-, medium- or long-term loans), authorizing overdrafts on a current account, endorsements, mortgages, and credit limits on credit cards.

The grant of such loans is governed through operating powers which require the proposed loan to be assessed at various levels of the organization and approved by the appointed Bodies according to the level of risk resulting from the size of the loan, the guarantees/collateral and the type of finance involved. Such loans are reviewed on a regular basis.

Provisioning for all non-performing contracts is calculated on an individual basis, and takes into account the value of the collateral. The provisions made on the performing portfolio are based on PD and LGD estimates differentiated according to the type of counterparty and presence of guarantees. The evidence obtained from the Parent Company's watch list for corporate clients is also used as qualitative information for reclassification to Stage 2, which includes counterparties classified as "Amber" or "Red".

156 \| Interim Report for the six months ended 31 December 2024

In terms of monitoring the performance of individual credit exposures, Mediobanca has adopted an early warning system to identify a list of counterparties (known as the "watch list") requiring in-depth analysis on account of their potential or obvious weaknesses. The exposures identified are then classified by level of alert (Amber or Red for performing accounts, Black for non-performing items) and are reviewed regularly to identify the most appropriate mitigation actions to be taken. A counterparty's inclusion in the watch list is used as qualitative information regarding its allocation to Stage 2, which includes counterparties classified as "Amber" or "Red". All forborne positions are also subject to specific monitoring; it should be noted that these positions are also classified in the watch list.

**Mortgage lending**

Mortgage lending is provided primarily by Mediobanca Premier, whose loan risk investigation and approval process is entirely performed centrally at the headquarters. The applications are approved, using an internal rating model, based on individual appraisal of the applicant's income and maximum borrowing levels, as well as the value of the property itself. A constant monitoring of the portfolio, carried out on a monthly basis, ensures control over the risks assumed.

Properties established as collateral are subject to a statistical revaluation process, which is carried out once a quarter. If the review shows a significant reduction in the value of the property, a new valuation is carried out by an independent expert. A new valuation is generally requested for properties established as collateral for positions which have become non-performing.

Accounts (both performing and non-performing) are monitored through a reporting system which allows operators to monitor the trend in the asset quality and, with the help of the appropriate indicators, to enter positions at risk, also to ensure that the necessary corrective actions to credit policies can be taken.

Non-performing accounts are managed, for out-of-court credit recovery procedures, by a dedicated organizational structure with the help of external collectors. In cases where a borrower becomes insolvent (or in fundamentally similar situations), the property enforcement procedures are initiated through external lawyers. Internal procedures require the following to be recorded as unlikely to pay: all cases with four or more unpaid instalments (not necessarily consecutive), cases with persistent irregularities, concessions generating a reduction of more than 1% in the financial obligation, and cases which the unit responsible assesses as unlikely to pay, based on internal or external information (e.g. central databases, public and/or private). Exposures are classified as bad loans once the ineffectiveness of the recovery actions has been certified.

Exposures for which concessions have been granted are defined as forborne exposures, i.e. exposures subject to tolerance measures, performing or non-performing mortgages for which Mediobanca Premier grants amendments to the original terms and conditions of the contract in the event of the borrower finding itself in a (proven or assumed) state of financial difficulty, by virtue of which it is considered to be unlikely to be able to meet its borrowing obligations fully or regularly.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 157

ECLs are quantified analytically for bad loans and based on clusters of similar positions for unlikely to pay, other overdue and performing accounts. With regard to the analytical portion for bad loans, account is taken of expert valuations of the assets (prudentially deflated), as well as the timing and costs of the recovery process. To define the PD parameters, through-the-cycle transition matrices for the management models based on internal data are used, which are then converted to point-in-time versions. The forward-looking component is factored in by applying the macroeconomic scenarios defined internally to the PD estimates. The LGD calculation is based on modelling aimed at regulatory calculation, with respect to which the downturn effect is removed; the inclusion of forward-looking elements is based on satellite models applied to macroeconomic scenarios defined internally.

For the purposes of the Stage 2 classification of real estate mortgage loans, a qualitative identification element is used, consisting in assigning the position to the worst internal rating class before default.

**6. Macroeconomic scenarios and impacts**

The macroeconomic scenario for the half-yearly report guiding the IFRS 9 provisions according to the baseline scenario is characterized by stabilized geopolitical frictions between the Western bloc and China and by no escalation in the Russian-Ukrainian and Middle Eastern conflicts.

With regard to energy costs and exchange rates, an evolution in line with what was previously incorporated in the forward rates is assumed. With regard to the PNRR, a low probability that the funds will be spent by the expiry date of August 2026 was assigned. The basic assumption is that the plan will be extended until December 2028. Growth is assumed with regard to the Eurozone in conjunction with growth in real wages and international trade, and a decline in inflation.

The mild positive macroeconomic scenario, on the other hand, states that the savings rate of consumer households will decrease in the major countries; furthermore, the lower risk aversion of individuals and businesses with a consequent increase in the savings share of disposable personal income and business investments may lead to growth in the main economies (in particular the US, UK and the Eurozone).

Finally, in the alternative mild negative scenario, it is expected that consumer households will not use their accumulated savings, which would lead to a growing risk aversion for individuals and businesses, and therefore the savings share of disposable personal income are expected to increase and business investments to decrease. Finally, public spending is likely to remain at current levels.

The weights of the scenarios used in determining ECL were set at 70% for the base scenario; 10% for the mild-positive scenario and 20% for the mild-negative scenario.

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*Table 1 - Baseline macro-economic scenario at 31 December 2024*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2024** | **2025** | **2026** | **2027** |
| Italy | 0.9% | 1.0% | 0.8% | 0.7% |
| EU | 1.2% | 1.5% | 1.8% | 1.6% |
| USA | &nbsp;&nbsp;&nbsp;&nbsp;2.2% | 2.0% | 2.0% | 2.0% |
| **Unemployment rate** | **2024** | **2025** | **2026** | **2027** |
| Italy | 7.0% | 7.6% | 7.8% | 7.8% |
| EU | 6.1% | 6.1% | 5.9% | 5.9% |
| USA | 4.4% | 4.4% | 4.3% | 4.3% |
| **Interest rate of government bonds (10 years)** | **2024** | **2025** | **2026** | **2027** |
| Italy | 3.6% | 4.0% | 4.6% | 4.6% |
| Germany | 2.2% | 2.4% | 3.0% | 3.0% |
| USA | 3.9% | 4.0% | 4.2% | 4.2% |

---

*Table 2 – Mild-positive macroeconomic scenario at 31 December 2024*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2024** | **2025** | **2026** | **2027** |
| Italy | 0.9% | 2.1% | 2.7% | 3.1% |
| EU | 1.2% | 2.3% | 3.3% | 3.9% |
| USA | 2.2% | 2.5% | 2.9% | 3.4% |
| **Unemployment rate** | **2024** | **2025** | **2026** | **2027** |
| Italy | 7.0% | 7.0% | 6.2% | 4.8% |
| EU | 6.1% | 5.8% | 5.0% | 4.0% |
| USA | 4.4% | 4.1% | 3.4% | 2.6% |
| **Interest rate of government bonds (10 years)** | **2024** | **2025** | **2026** | **2027** |
| Italy | 3.6% | 4.1% | 5.0% | 5.4% |
| Germany | 2.2% | 2.7% | 3.7% | 4.4% |
| USA | 3.9% | 4.2% | 4.9% | 5.7% |

---

*Table 3 – Mild-negative macroeconomic scenario at 31 December 2024*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2024** | **2025** | **2026** | **2027** |
| Italy | 0.9% | -0.1% | -1.0% | -1.7% |
| EU | 1.2% | 0.4% | 0.0% | -0.5% |
| USA | 2.1% | 1.4% | 1.0% | 0.8% |
| **Unemployment rate** | **2024** | **2025** | **2026** | **2027** |
| Italy | 7.0% | 8.2% | 9.4% | 10.7% |
| EU | 6.1% | 6.6% | 7.1% | 7.8% |
| USA | 4.4% | 4.8% | 5.4% | 6.1% |
| **Interest rate of government bonds (10 years)** | **2024** | **2025** | **2026** | **2027** |
| Italy | 3.6% | 3.8% | 4.2% | 4.1% |
| Germany | 2.2% | 2.1% | 2.3% | 1.9% |
| USA | 3.9% | 3.6% | 3.4% | 3.0% |

---

With regard to the ECL calculation, sensitivity analyses<sup>(10)</sup> were also carried out in the event that each of the above-mentioned scenarios (mild-negative, baseline and mild-positive) comes about with certainty for performing exposures,<sup>(11)</sup> with the following results:

mild-negative scenario: ECL +2.1% and change of +2.64% in the impact of Stage-2 exposures,

<sup>(10)</sup> The analysis concerned exposures of the Group's main assets: Wholesale assets of Mediobanca S.p.A. and Mediobanca International, Mediobanca Private Banking portfolio, Mediobanca Premier mortgages, Compass consumer credit, MBFACTA factoring, and Selma leases.

<sup>(11)</sup> Considering the gross carrying amount, including both on-balance sheet and off-balance sheet items.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 159

baseline scenario: ECL -0.1% and change of -0.76% in the impact of Stage-2 exposures,

mild-positive scenario: ECL -2.1% and change of -5.11% in the impact of Stage-2 exposures.

The number of possible interrelations between the individual macroeconomic factors, on the other hand, is so high that a sensitivity analysis of expected losses based on one factor alone is practically meaningless.

The Group kept additional provisions (referred to as overlays) with the aim of including the uncertainties of the evolution of the macroeconomic context in hedging levels. In particular, overlays were applied in Corporate (including Factoring and Leasing) for sectors still potentially exposed to inflationary pressure in order to appreciate any risk peaks that the quantitative method captures only on average, while with regard to Consumer and Mortgage positions, overlays were allocated against the uncertainties of the macroeconomic context.

Overall, these overlays amounted to €200.9m (12.2% of total ECLs), divided between Consumer Credit (€154m; 11.4% of the sector's ECL), Corporate (€27.1, which includes €12.3m in Factoring; 34.8% and 46.5% respectively), Leasing (€7.2m; 10.3%) and Mediobanca Premier Mortgage Loans (€12.6m; 9.3%).

The overlays have increased the level of provisioning, which for performing loans now stands at €683.5m, i.e. 1.26%.

*Table 4 – Overlay Stock*

(€m)

---

| | | |
|:---|:---|:---|
|  | **Overlay stock alla data** | **Overlay stock alla data** |
|  | **31 December 2024** | **30 June 2024** |
| Corporate (including Factoring) | 27.1 | 27.5 |
| Consumer credit | 154.0 | 174.9 |
| Mortgage loans | 12.6 | 12.0 |
| Leases | 7.2 | 7.2 |
| Total | 200.9 | 221.6 |

---

Consumer Credit maintained a large provisioning amount with a coverage rate of 3.57% on performing positions (3.67% in June 2024), including an overlay stock that ensured maintaining a level of conservatism consistent with the gradual rise in default rates observed during the year towards structural levels and which in the half-year reduced from €174.9m to €154m, largely absorbed by the ECL as per the model for the aforementioned rise in PD.

For the other portfolios, the overlay amount remained almost unchanged.

160 \| Interim Report for the six months ended 31 December 2024

**QUANTITATIVE INFORMATION**

**Credit quality**

**A.1 Non-performing and performing exposures: amounts, value adjustments, trends and segmentation by earnings**

*A.1.4 Prudential consolidation - On- and off-balance sheet exposures to banks: gross and net values*

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | | |
| <br>**Types of exposure / value** |  | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased**<br>**or<br> originated**<br>**credit**<br>**impaired**<br>**assets** | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased**<br>**or<br> originated**<br>**credit**<br>**impaired**<br>**assets** | <br>**Net**<br>**exposure** | <br>**Overall**<br>**partial**<br>**write-offs** |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 On-demand | 1949624 | 1949624 |  |  |  | 245 |  |  |  | 1949379 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Non-performing |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Performing | 1949624 | 1949624 |  | X |  | 245 |  | X |  | 1949379 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Other | 7601423 | 6284557 | 4 |  |  | 1248 |  |  |  | 7600175 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Bad loans |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Unlikely to pay |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Overdue exposures (NPLs) |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Overdue performing exposures | 2 |  | 3 | X |  |  |  | X |  | 2 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures |  |  |  | X |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;e) Other performing exposures | 7601421 | 6284557 | 1 | X |  | 1248 |  | X |  | 7600173 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures |  |  |  | X |  |  |  | X |  |  |  |
| Total (A) | 9551047 | 8234181 | 4 |  |  | 1493 |  |  |  | 9549554 |  |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Non-performing |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Performing | 12435894 | 40333 |  | X |  |  |  | X |  | 12435894 |  |
| Total (B) | 12435894 | 40333 |  |  |  |  |  |  |  | 12435894 |  |
| Total (A+B) | 21986941 | 8274514 | 4 |  |  | 1493 |  |  |  | 21985448 |  |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 161

*A.1.5 Prudential consolidation - On- and off-balance sheet exposures to customers: gross and net values*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Overall value adjustements and overall provisions** | **Overall value adjustements and overall provisions** | **Overall value adjustements and overall provisions** | **Overall value adjustements and overall provisions** | **Overall value adjustements and overall provisions** | | |
| <br>**Types of exposure / value** |  | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased<br> or**<br>**originated<br> credit**<br>**impaired<br> assets** |  | <br>**Stage 1** | <br>**Stage 2** | <br>**Stage 3** | **Purchased<br> or**<br>**originated<br> credit**<br>**impaired<br> assets** | <br>**Net<br> exposure** | <br>**Overall**<br>**partial<br> write-off** |
| A. ON-BALANCE SHEET CREDIT EXPOSURES |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Bad loans | 367098 | X |  | 341833 | 18629 | 330539 | X | — 305900 |  | 18453 | 36559 | 910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures | 94027 | X |  | 72451 | 14940 | 92516 | X |  | 71553 | 14777 | 1511 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Unlikely to pay | 679384 | X |  | 593991 | 85393 | 445506 | X | — 398891 |  | 46615 | 233878 | 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures | 287232 | X |  | 203126 | 84106 | 176700 | X | — 130996 |  | 45704 | 110532 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Overdue exposures (NPLs) | 332493 | X |  | 311222 | 21271 | 181024 | X | — 164493 |  | 16531 | 151469 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures | 62000 | X |  | 42090 | 19910 | 41712 | X |  | 26009 | 15703 | 20288 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Overdue performing exposures | 345579 | 177494 | 167615 | X | 471 | 51096 | 476 | 50367 | X | 252 | 294483 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures | 13857 |  | 13782 | X | 75 | 4307 |  | 4266 | X | 41 | 9550 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other performing exposures | 74301473 | 64306026 | 2499980 | X | 91324 | 643161 | 301369 | 323289 | X | 18503 | 73658312 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: forborne exposures | 479198 |  | 437615 | X | 41583 | 79019 |  | 69080 | X | 9939 | 400179 | 1 |
| TOTAL (A) | 76026027 | 64483520 | 2667595 | 1247046 | 217088 | 1651326 | 301845 | 373656 | 869284 | 100354 | 74374701 | 1046 |
| B. OFF-BALANCE SHEET CREDIT EXPOSURES |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Non-performing | 1108 | X |  | 1069 |  | 179 | X |  | 179 |  | 929 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Performing | 25319240 | 16325869 | 282338 | X |  | 21944 | 18195 | 3749 | X |  | 25297296 |  |
| TOTAL (B) | 25320348 | 16325869 | 282338 | 1069 |  | 22123 | 18195 | 3749 | 179 |  | 25298225 |  |
| TOTAL (A+B) | 101346375 | 80809389 | 2949933 | 1248115 | 217088 | 1673449 | 320040 | 377405 | 869463 | 100354 | 99672926 | 1046 |

---

As at 31 December 2024, gross impaired assets went from €1,336.7m to €1,378.9m with an impact that stood at 2.5% of cash credit exposures to customers; the coverage ratio stood at 69.4% leading to a stock of net impaired assets of €421.9m (€413.7m as at 30 June).

162 \| Interim Report for the six months ended 31 December 2024

*Finrep Gross NPL Ratio<sup>(12)</sup>*

(€m)

---

| | | |
|:---|:---|:---|
|  | **31 December 2024** | **30 June 2024** |
| Loans | 54131.8 | 52735.6 |
| NPLs | 1379.0 | 1336.7 |
| Loan to customers | 55510.8 | 54072.3 |
| NPLs purchased |  |  |
| Net trasury assets (\*) | 10233.1 | 10963.4 |
| Total Loans and advances | 65743.9 | 65035.7 |
| Finrep Gross NPL ratio in % | 2.1% | 2.1% |

---

<sup>(\*)</sup> In line with the instructions of the EBA Risk Dashboard, this item does not include cash but it includes untied deposits held with Central Banks.

As at 31 December, the Mediobanca Group recorded a Finrep Gross NPL ratio of 2.1%, unchanged in the six-month period.

*B.4a Credit risk indicators*

---

| | | |
|:---|:---|:---|
|  | **31 December 2024** | **30 June 2024** |
| a) Gross bad loans/total loans | 0.55% | 0.56% |
| b) Non-performing accounts receivable / on-balance sheet credit exposures | 1.85% | 1.84% |
| c) Net bad loans / Regulatory capital (1) | 0.44% | 0.35% |

---

*B.4b Large exposures*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31 December 2024** | **31 December 2024** | **30 June 2024** | **30 June 2024** |
| a) Book value |  | 10095376 |  | 12622572 |
| b) Weighted value |  | 5799012 |  | 8431108 |
| c) Number of positions |  | 8 |  | 10 |

---

As at 31 December, exposures (including market risks and equity investments) exceeding 10% of Tier 1 Regulatory Capital regarded eight groups of associated customers (two less than in June 2024) for a gross exposure of €10.1bn (€5.8bn taking into account guarantees and weightings), a decrease compared to June last (€12.6bn and €8.4bn, respectively). In detail, the eight positions concerned two insurance companies and six banking groups.

**C. Securitization**

**QUALITATIVE INFORMATION**

The Group has a portfolio of securities deriving from securitizations by other issuers totalling €1,487.7m, €1,231.9m of which as part of the banking book and €255.8m as part of the trading book.

The trend in the ABS market in Europe was supported by the monetary policies of central banks and by a favourable macroeconomic context with limited volatility in the second half

<sup>(12)</sup> In the EBA Risk Dashboard, gross NPL ratio is defined as the gross book value of NPLs (loans and advances) as a percentage of total loans and advances. Source: EBA Risk Dashboard, Risk Indicators in the Statistical Annex (AQT_3.2).

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 163

of 2024. The performance of ABS securities also confirmed that senior spreads had stabilized and mezzanine spreads further compressed. In this segment, there continues to be considerable interest from investors and widely oversubscribed books. The new supply of ABS securities in 2024 increased significantly compared to 2023, especially in the Consumer, Auto and RMBS sectors, with issuers increasingly focused on cash SRT transactions which involve the placement of the entire capital structure. The performance of the underlying assets remained relatively steady despite the interest rates and inflation levels reached in previous periods.

The market environment for structured credit should remain favourable in 2025 due to expectations of rate cuts by central banks and more stable economic growth that will be favouring the positive performance of the assets.

The banking book rose from €821.2m to €1,231.9m, remaining mainly concentrated on senior securities (€1,229.4m) with an increasing share of CLOs (€773.9m against €298.6m), partially offset by reduced exposures to underlying NPLs (from €288.7m to €225.9m); other Consumer ABS Italia positions (€204.6m), performing loans (€24.8m) and mezzanine tranches (€2.5m) were steady. The difference between fair value (derived from market platforms) and book value (amortized cost) settled at negative €0.8m.

The trading book fell from €287.6m to €255.8m with a senior share of €148.8m, which includes €101.1m in the Transferable Custody Receipt transaction,<sup>(13)</sup> €22.4m in Italian Consumer loans and €25.3m in CLOs; the mezzanine share remained steady at €106.9m, mainly split between the "negative basis" strategy (€73.4m) and CLOs (€30.9m).

Mediobanca also has exposures to:

CLI Holdings I and CLI Holdings II, SPVs under English law, which respectively subscribed to the capital of Cairn Loan Investments and Cairn Loan Investments II, independent managers of CLOs established by Polus, which invested in more junior tranches of managed CLOs in order to comply with prudential retention regulations. As at 31 December, CLI Holdings I and CLI Holdings II were posted in the financial statements in the amounts of €5.5m and €36.3m, respectively; it should be noted that a hedging transaction was in progress under an insurance policy of approximately €12m with a leading insurance company as a counterparty;

Italian Recovery Fund, a closed-end alternative investment fund (AIF) incorporated under Italian law and managed by DeA Capital Alternative Funds SGR S.p.A., which is currently invested in five securitization transactions (Valentine, Berenice, Cube, Este and Sunrise I) with Italian banks' NPLs as the underlying instrument with a carrying amount of €16.1m;

Negentropy RAIF – Debt Select Fund, an alternative investment fund instituted under Luxembourg law and managed by Negentropy Capital Partners Limited, for which Mediobanca acted as advisor; the fund has senior tranches of real estate NPLs and loans as the underlying instrument, with an aggregate NAV of €116.9m (the share of Mediobanca being €54.9m);

Polus Capital Management (US) Inc. to subscribe, in partnership with a leading specialized operator, to up to USD 75m junior tranches (49% of the total) of subordinated debt notes

<sup>(13)</sup> The Bank signed a note issued by the custodian bank in which three CLO positions (with underlying European corporate loans) purchased by Mediobanca and some financial guarantees on the same CLOs with which the Bank purchased hedging had been contributed in the form of a trust; TCR pays out principal and interest of the underlying CLOs after the premium of financial guarantees.

164 \| Interim Report for the six months ended 31 December 2024

under a CLO issuance program on the US market. As at 31 December, the first issuance was in progress (Polus US CLO I Ltd.) for USD 15.9m (which includes €1.6m directly from Polus for the retention portion due to the management company) and a warehousing transactions was started with Polus US CLO II Ltd. for €2.4m (equally split between Mediobanca and Polus).

**QUANTITATIVE INFORMATION**

**Quarzo S.r.l. (Compass Banca)**

This SPV currently has five securitizations in place with performing loans granted by Compass Banca as the underlying instrument (Compass has subscribed for the entire number of junior securities), which are ceded on a revolving basis for a period of between 6 and 66 months, at the end of which the amortization phase of the securitization may begin.

It should be remembered that, on 21 June last, this special purpose vehicle completed the Group's first SRT transaction through the Quarzo 14 securitization with a portfolio of performing loans worth €815m as the underlying. This transaction aims to achieve significant credit risk transfer and optimize capital absorption. As at 31 December, there were approximately €792m assets in place against €815m ABS, with an advantage over the Group's RWA in the order of €519m.

In some of the deals the Parent Company and/or other Group's companies have subscribed to the senior notes. The five deals in place are summarized in the table below:

The five deals in place are summarized in the table below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **senior** | **senior** | **mezzanine** | **mezzanine** | | | |
| <br>**Deal** | <br>**Issue date** | **Mkt** | **Retained** | **Mkt** | **Retained** |<br>**junior** | **Credit**<br>**transferred**<br>**in the year** | <br>**From the**<br>**repayment date** |
| Quarzo 10 | 17 April 2020 |  | 1760 |  |  | 240 |  | 15 December 2021 |
| Quarzo 11 | 6 April 2022 | 528 |  |  |  | 72 |  | 15 May 2023 |
| Quarzo 12 | 11 May 2023 | 450 | 155 |  |  | 95 |  | 17 June 2024 |
| Quarzo 13 | 31 October 2023 |  | 2538 |  |  | 362 | 727 | 15 January 2026 |
| Quarzo 14 | 21 June 2024 | 500 | 201 | 87 | 5 | 22 | 136 | 17 March 2025 |

---

Legend:

Mkt: issued on the market

Retained: subscribed to by the Parent Company and/or Group companies

In September, two transactions (Quarzo 7 and Quarzo 9) were closed through the final purchase of residual loans of approximately €554m; the Quarzo 9 transaction had approximately €600m notes on the market at the issue date and fully repaid prior to the unwinding of the transaction, while the senior notes of Quarzo 7 were entirely held by the Parent Company.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 165

*MB Funding Lux S.A. (Mediobanca)*

This SPV was set up by Mediobanca S.p.A. in order to execute secured transactions with a corporate syndicated loan originated by Mediobanca International (Luxembourg) SA or Mediobanca S.p.A. as the underlying instrument, of which it retains the credit risk. The notes, which form part of the Parent Company's "Medium-Term Note" programme of issuance, have been subscribed for entirely by other Group legal entities and used as collateral for transactions on the interbank market.

The transactions in progress as at 31 December, unchanged during the half-year period under review, are shown in the table below.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Company name** | **ISIN code** | **Notional amount** | **Issue date** | **Reapyment Date** |
| BBVA - MB FINANCE LUX 2020 | XS2270559367 | 100000000.0 | 11/12/2020 | 11/06/2026 |
| BBVA - MB FUNDING LUX SERIES 2019-01 | XS1937712112 | 200000000.0 | 13/10/2021 | 15/10/2026 |
| BNP - MB FINANCE LUX SERIES 2017 - 01 | XS1616696016 | 800000000.0 | 22/05/2017 | 23/12/2030 |
| TOTAL |  | 1100000000.0 |  |  |

---

\* \* \*

Transactions between the originators and the SPVs during the year under review were as follows:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | **Servicing** | **Servicing** | | | **Additional** | **Additional** |
| <br>**Vehicle company** | **Credit disposal** | **Credit disposal** | **Proceeds** | **Proceeds** | **fees** | **fees** | **Junior interest** | **Junior interest** | **return accured** | **return accured** |
| Quarzo S.r.l. |  | 862.7 |  | 1.174.6 |  | 4.7 |  | 71.1 |  | 170.9 |
| MB Funding Lux S.A. |  |  |  | 40117.7 |  |  |  |  |  | 1.7 |

---

**D. Covered bond transactions**

Mediobanca Covered Bond S.r.l., an SPV incorporated under Article 7-*bis* of Italian Law 130/99, is owned as to 90% by Mediobanca Premier and as to 10% by SPV Holding.

The Covered Bond Program is in place until September 2032 for a total amount of €10bn.

The deal entails the involvement of:

– Mediobanca quale emittente dei *covered bond*;

– Mediobanca Premier as the seller (including on a revolving basis) of assets eligible for sale under the regulations in force, up to the limits on Mediobanca's regulatory capital ratios, and servicer for the transaction;

– Mediobanca Covered Bond S.r.l. (SPV) as non-recourse transferee of the assets and guarantor of the covered bonds.

The issues in this programme were attributed an AA rating by Fitch.

The programme includes 7 transactions in place for a value of €5,300m placed with institutional investors and secured by assets sold by Mediobanca Premier to Mediobanca Covered Bond for €7,014m, broken down as follows:

166 \| Interim Report for the six months ended 31 December 2024

---

| | | | |
|:---|:---|:---|:---|
| **Issue Date** | **Nominal Value** | **Rate** | **Expiry** |
| November -15 | 750 | Fix: 1.375% | November -25 |
| November -17 | 750 | Fix: 1.25% | November-29 |
| July-19 | 750 | Fix: 0.5% | October-26 |
| January-21 | 750 | Fix: 0.01% | Febraury-31 |
| June-22(\*) | 750 | Fix: 2.375% | June-27 |
| January-24 (\*\*) | 800 | Fix: 3.25% | November-28 |
| September-24 | 750 | Fix: 3% | September-31 |
| Total | 5300 |  |  |

---

<sup>(\*)</sup> The issue was finalized on 10/8/2022, with an increase of €250m drawn from the €500m issue carried out in June

<sup>(\*\*)</sup> The issue was finalized on 15/1/2024, with an increase of €50m drawn from the €750m issue carried out in June.

The following should be reported during the half year under review:

– maturity of a bond with a nominal value of €750m;

issue of a new bond with a nominal value of €750m, maturity at 7 years (September 2031) and coupon rate of 3%;

– sales of assets for €304.9m with simultaneous repurchase of assets for €7m.

**1.2 MARKET RISKS**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.2.1** **INTEREST RATE RISK AND PRICE RISK – REGULATORY TRADING PORTFOLIO** 

**Qualitative information**

The Group's operating exposure to market risks in the trading portfolio is monitored daily and economic results are measured by using the following indicators:

Sensitivity – mainly Delta and Vega – to the principal risk factors (interest rates, share prices, exchange rates, credit spreads, inflation and volatility, dividends, correlations, etc.); sensitivity analysis shows the increase or decrease in the value of financial assets and derivatives to local changes in the above-mentioned risk factors, providing a static representation of the market risk of the trading portfolio.

Value-at-risk calculated using a weighted historical simulation method with scenarios updated daily, assuming a liquidation horizon of one business day and a confidence level of 99%.

VaR and sensitivity indicators are monitored to ensure compliance with operating limits, managing the risk appetite established by the Bank for its trading book and, in case of VaR, also to evaluate the robustness of the model through back-testing. The expected shortfall is also calculated daily in a historical simulation for all positions subject to VaR calculation. This measurement shows the average potential losses that are beyond the VaR confidence level. Stress tests are also carried out daily (on specific positions) and monthly (on the entire portfolio) concerning the main risk factors in order to show the impact which more substantial movements in the main market variables might have (e.g. share prices and interest or exchange rates) calibrated on the basis of extreme changes in such variables.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 167

Lastly, other more specific complementary risk metrics are used to better evaluate risks not fully measured by the VaR and the sensitivities of some trading positions. The weight of products which require such metrics to be used is in any case extremely limited compared to the overall size of Mediobanca's trading portfolio.

The fluctuations of government and interbank interest rates characterized the half year under review, looking at the specific data at the beginning and end of the period with a general decline led by the ECB's (-110 bps) and - less marked - the FED's (-50 bps) rate cuts. During this period, the ten-year yields of the Euro Area government bonds decreased by about 60 bps, while those of the US area, after an initial decline of 80 bps, underwent a recovery of about +90 bps due to different expectations on inflation in the United States and in Europe. The US stock market outperformed that of the Euro Area at the end of the half year under review, generally conditioned by the outcome of the American elections. In particular, the main American stock indexes (Nasdaq, S&P) reached a return of 8% on a six-month basis, while FTSE MIB and Eurostoxx 50 closed at par with the values of early July, fully recovering the losses of early August.

During the period, Value-at-Risk of the Trading aggregate fluctuated between a minimum of €5m in July and a maximum of €9.7m recorded in mid-November; the average figure (€7.2m) was 15% lower than the average of the previous financial year (€8.4m). After the peak, the VaR figure progressively decreased until it reached €7.4m, in line with the average for the half year.

The risk factors that explain the VaR trend are mainly as follows: (i) yields of Italian government bonds and those of core Euro Area countries; (ii) stock prices and their implied volatility, linked to operations of the certificates business. The contribution of other risk factors, such as exchange rates, was marginal. With respect to these, the Bank's position was conservative or neutral on average.

The Expected shortfall - which measures a further stress scenario on the same VaR historical series - showed an average figure of €7.6m, well below the same figure for the previous period (€12.8m).

168 \| Interim Report for the six months ended 31 December 2024

*Table 1: Value-at-risk and Expected Shortfall in the trading portfolio*

(in thousand €)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **H12025-2024** | **H12025-2024** | **H12025-2024** | **2023-2024** | **2023-2024** |
| <br>**Risk Factors** | **31/12/2024** | **Min** | **Max** | **Average** | **Average** |
| Interest rate | 3049 | 1113 | 6847 | 3746 | 7071 |
| Credit | 1429 | 1157 | 2214 | 1636 | 2548 |
| Equity | 5293 | 3502 | 7736 | 5336 | 3609 |
| Forex | 590 | 452 | 1380 | 677 | 904 |
| Inflation | 167 | 65 | 600 | 258 | 365 |
| Volatility | 2666 | 2329 | 6698 | 4301 | 6254 |
| *Diversification effect<sup>(\*)</sup>* | (5813) | (5184) | (13552) | (8727) | (12369) |
| Total VaR | 7381 | 5014 | 9672 | 7227 | 8382 |
| **Total Expected Shortfall** | **7626** | **7391** | **25039** | **10340** | **12846** |

---

<sup>(\*)</sup> Associated with a less-than-perfect correlation between risk factors.

Apart from the general VaR limit on Trading positions, a system reflecting a greater degree of granularity for the individual trading desks is also in place.

Furthermore, each desk has sensitivity limits to changes in the various risk factors, which are monitored on a daily basis. Compared to the previous financial year, there was an increase in average exposures to interest rates and credit spreads for some tactical positions on listed instruments.

*Tab. 2: Summary of the trend in the main trading portfolio sensitivities*

(in thousand €)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **H12025-2024** | **H12025-2024** | **H12025-2024** | **2023-2024** | **2023-2024** |
| <br>**Risk Factors** | **31/12/2024** | **Min** | **Max** | **Average** | **Average** |
| Equity Delta (+ 1%) | 888769 | -65509 | 1196351 | 498755 | 258943 |
| Equity Vega (+ 1%) | -490713 | -911220 | -100257 | -368621 | -717196 |
| Interest Rate Delta (+ 1bp) | 252460 | -14607 | 491458 | 281014 | 104737 |
| Inflation Delta (+ 1 bp) | -25658 | -38042 | -18692 | -31801 | -17952 |
| Exchange Rate Delta (+ 1%)<sup>(</sup>\*<sup>)</sup> | -203344 | -445580 | 117873 | -86963 | 4224 |
| Credit Delta (+ 1bp) | 382888 | 174145 | 784261 | 454765 | 246220 |

---

<sup>(\*)</sup> EUR as domestic currency

*Trends in VaR of trading portfolio*

![](tm2518026d1_ex99-5sp7img001.jpg)

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 169

*Trends in VaR constituents (Trading)*

![](tm2518026d1_ex99-5sp7img002.jpg)

**1.2.2 INTEREST RATE RISK AND PRICE RISK – BANKING BOOK**

**Qualitative information**

The Mediobanca Group monitors and manages interest rate risk through sensitivity testing of net interest income and economic value. The sensitivity of the net interest income quantifies the impact on current earnings in the worst-case scenario among those outlined in the guidelines of the Basel Committee (BCBS) transposed in the EBA document in 2022 (EBA/GL/2022/14). In this testing, the asset stocks are maintained constant, renewing the items falling due with the same financial characteristics and assuming a time horizon of twelve months.

Conversely, the sensitivity of economic value measures the impact of future flows on the current value in the worst-case scenario of those contemplated in the Basel Committee guidelines (BCBS). In this analysis, the stocks of assets were not renewed.

All the scenarios present a floor set by the EBA guidelines at minus 1.5% on the demand maturity with linear progression up to 0% at the fifty-year maturity. In the current market environment, this floor has a very limited impact on sensitivity metrics.

For both sensitivities, balance sheet items have been treated based on their contractual profile, except for the items related to current account deposits for retail clients (which have been treated on the basis of proprietary behavioural models) and consumer credit items and mortgages (which reflect the possibility of early repayment).

To determine the discounted value of cash flows, various benchmark curves were used to discount and compute future rates based on the value date on which the balance sheet item itself was traded ("multi-curve"). The credit component has been stripped out of the cash flows for the economic value sensitivity only.

170 \| Interim Report for the six months ended 31 December 2024

With reference to the Group's banking book positions at 31 December, in the event of a parallel decrease in the curve ("parallel down", in which the EUR curve drops by 200 basis points), the expected net interest income would undergo a negative change of €129m, i.e. an increase with respect to June 2024 (€-52m). Sensitivity increased following an extension of the average duration of liabilities, caused by the closure of the T-LTRO and by the implementation of the new Private collection model.

With reference to the analysis of the present value of future cash flows in the Group's banking book, the shock that may cause the worst change would occur in the event of a parallel down shift of the interest rate curve.

The change appears to be negative by €254m, mainly due to the impact of Mediobanca (€-262m). In June, the maximum change amounted to €74m in the "Short Up" scenario.

This increased sensitivity was due to the full alignment of operating metrics with regulatory metrics. The main change, known as "scenario dependency",<sup>(14)</sup> generated a decrease of approximately €160m on overall sensitivity. Another change due to the introduction of "currency weighting"<sup>(15)</sup> had a relatively limited impact.

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Banking Book** | **Banking Book** | **Banking Book** | **Banking Book** | **Banking Book** | **Banking Book** |
| <br>**Data as 31 December 2024** | **Maximum <br> level scenario** | **Group** | **Mediobanca<br> S.p.A.** | **MB Premier** | **Compass** | **Other** |
| Net interest income sensitivity | Parallel Down | (129) | (67) | (16) | (21) | (28) |
| Sensitivity of discounted value of expected cash flow | Parallel Down | (254) | (262) | (4) | 1 | 1 |

---

At Group level, the values obtained for the net interest income sensitivity are lower than the Group RAF limit of 4.5% (Group net interest income sensitivity/TIER 1), while the economic value sensitivity was lower than the Group RAF limit by 6% (Economic Value sensitivity/ Group TIER 1).

The regulatory indicator SOT (Supervisory Outlier Test) stood at:

1.8% in case of income sensitivity (net interest income/Tier 1 Capital sensitivity), well below the 5% regulatory threshold.

3.5% in case of present value sensitivity of future cash flows (sensitivity of the present value of future cash flows / Tier 1 Capital), well below the regulatory threshold of 15%.

<sup>(14)</sup> "Scenario dependency" consists in estimating sensitivities considering various mortgage early repayment probabilities in the various rate scenarios.

<sup>(15)</sup> This feature involves breaking up sensitivities into the various currencies. For each scenario, currencies with positive sensitivity were considered for half of their value.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 171

In addition to the scenarios envisaged from a regulatory standpoint, the +50 bps scenario is continuously monitored:

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **30 June 2024** | **Average 2024** | **31 December 2024** |
| Group | 15 | 30 | 31 |
| Mediobanca S.p.A. | (1) | 15 | 15 |

---

**Hedging**

Hedges are intended to neutralize possible losses that may be incurred on a given asset or liability, due to the volatility of certain financial risk factors (interest rate, exchange rate, credit or some other risk parameter) through the gains that may be realized on a hedging instrument that is capable of offsetting changes in fair value or cash flows of the hedged instrument. For fair value hedges in particular, the Group seeks to minimize the financial risk on interest rates by bringing the entire interest-bearing exposure in line with Ester.

**A. Fair value hedging**

Fair value hedges are used to neutralize exposure to interest rate or price risk for specific asset or liability positions, via derivative contracts entered into with leading market counterparties with high credit rating. In particular, with regard to interest rate risk, the Group applies specific hedges to individual items or clusters of like-for-like assets and liabilities in terms of interest rate risk. The objective of these hedges is to reduce the interest rate risk through swaps that convert fixed-rate into floating rate assets and/or liabilities. The items being mainly hedged are fixed-rate or structured liabilities issued by Mediobanca, investments in fixed-rate securities under assets held in the HTC and HTCS portfolio, the portfolio of fixed-rate mortgage loans, the floors implicit in the floating-rate loans of the Lending division and floating-rate mortgage loans granted by Mediobanca Premier and the deposits of Mediobanca Premier for which the new behavioural model is being taken into account with a benefit on the effective maturity.

Some structured bond issues remain in the portfolio without causing any risks correlated to the main risk, broken down into the interest rate component (hedged) and other risks which are represented in the trading book and are usually covered by external positions of the opposite sign; for structured bonds issued during the year, mostly interest rate, the Bank applied the fair value option in the initial recognition phase of the liability and the related risks were hedged with derivatives measured at Fair Value Through Profit or Loss in order to deal with the impacts on the P&L account.

Fair value hedges are also used by the Parent Company to mitigate the price risk of an equity investment recorded within the portfolio of assets measured at fair value through other comprehensive income.

The Mediobanca Premier mortgage loan book is hedged via amortizing swaps, the notional and maturity profile of which follows the mortgage repayment plan and the expected

172 \| Interim Report for the six months ended 31 December 2024

prepayment rate for the loan book based on the model developed by Risk Management and subject to internal approval, considering a prudential margin on prepayments.

**B. Cash flow hedging**

This form of hedging is mainly used in the context of some Group companies' operations (in particular with reference to consumer credit and leasing), where provisions at a floating rate are set aside for a significant amount against a large number of transactions for a negligible amount, generally at a fixed rate. The hedge is made in order to transform these positions into fixed-rate positions, correlating the relevant cash flows with investments. Normally, the Group uses derivatives to fix the expected cost of deposits over the reference period to cover floating-rate loans in place and future transactions linked to systematic renewals of such loans upon expiry.

**C. Foreign investment hedging activities**

This involves hedging an exposure to a controlling interest in a company and the goodwill associated with it (including any intangibles identified as a result of the Purchase Price Allocation process) in currencies other than the Euro. The exposure may be hedged via derivatives or other financial instruments in different currencies, such as bond issues. The exchange rate effect of the hedge is taken through the net equity reserve to cover the effects of the hedged instrument.

**D. Hedging instruments**

**E. Hedged items**

As for hedged items and hedging instruments, they have been exhaustively described in the previous paragraphs and throughout the document.

***Counterparty risk***

Counterparty risk generated by market transactions with institutional customers or counterparties is measured in terms of expected potential future exposure. With regard to derivatives and collateralized short-term loan products (repos and securities lending), the calculation is based on determining the maximum potential exposure (assuming a 95% likelihood) at various points in time up to 30 years. The scope of application regards all groups of counterparties which have relations with the Bank, taking into account the presence of netting (e.g. ISDA, GMSLA or GMRA) and collateralization agreements (e.g. CSA), if any. Exposures deriving from transactions on the interbank market should be added to these. For these three types of transactions, different exposure limits are granted to each counterparty and/or group subject to internal analysis and approval by the Lending and Underwriting Committee.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 173

With regard to derivative transactions, as required by IFRS 13, the fair value incorporates the effects of the counterparty credit risk (referred to as CVA) and Mediobanca credit risk (referred to as DVA) based on the future exposure profile of the set of contracts in place.

**1.2.3 EXCHANGE RATE RISK**

**QUALITATIVE INFORMATION**

&nbsp;&nbsp;&nbsp;&nbsp;**A.** **General aspects, operating processes and measurement techniques of exchange rate risk** 

&nbsp;&nbsp;&nbsp;&nbsp;**B.** **Exchange rate risk hedging** 

The trend in the exchange rate component of VaR shown on page 167 is an effective representation of changes in the risks taken on the forex market, because exposure to exchange rate risk is managed globally.

**QUANTITATIVE INFORMATION**

**2. Internal models and other methodologies used for sensitivity analysis**

Over the course of the half year under review, looking at specific data at the beginning and end of the period, the USDEUR rate underwent a depreciation against the euro, going from 1.08 to 1.04, due to different expectations on inflation and interest rates in the Euro Area and in the US. The overall Forex VaR remained relatively steady at 650,000 with short-lived peaks at 1m during phases of maximum exchange rate fluctuations.

**1.4 LIQUIDITY RISK**

**QUALITATIVE INFORMATION**

&nbsp;&nbsp;&nbsp;&nbsp;**A.** **General aspects, operating processes and measurement techniques of liquidity risk** 

Banks are naturally exposed to the liquidity risk inherent in the maturity transformation process that is typical of banking operations.

174 \| Interim Report for the six months ended 31 December 2024

Liquidity risk is distinguished according to its timing profile:

– the current or potential risk of the bank not being able to manage its own liquidity needs in the short term ("liquidity risk");

– the risk of the bank not having stable funding sources in the medium or long term, resulting in its inability to meet its financial obligations without incurring an excessive increase in the cost of financing ("funding risk").

An adequate liquidity and funding risk management system is fundamental to ensure the stability of the Group and the financial system in general, given that a single bank's difficulties would affect the system as a whole. The liquidity and funding risk management system is developed as part of the Risk Appetite Framework and the risk tolerance levels contained in it. In particular, one of the management objectives contained in the Risk Appetite Framework is to maintain a liquidity position in the short and long term which is adequate to cope with a period of prolonged stress (combining Bank-specific and systemic stress factors).

The Group Liquidity Risk Management Policy (the "Policy") approved by the Parent company's Board of Directors defines the target amount in terms of highly liquid assets in order to hedge the anticipated cash flows to be maintained in the short and medium/long term.

The Policy also sets out the roles and responsibilities of the company units and governing bodies, the risk measurement metrics used, the guidelines for carrying out the stress testing process, the funds transfer pricing system and the Contingency Funding Plan.

To ensure that liquidity risk is managed according to an integrated and consistent approach within the Group as a whole, strategic decisions are taken by the Parent Company's Board of Directors, to which the Policy assigns several important duties, including: definition and approval of the guidelines and strategic direction, responsibility for ensuring that the risk governance system is fully reliable, and monitoring of trends in the Group's liquidity and funding risk and Risk Appetite Framework.

Moreover, the Group's ALM Committee discusses the most significant liquidity risk issues, defining the asset and liability structure and the related acceptance of the risk of mismatches between assets and liabilities and managing them in line with the commercial and financial objectives set out in the budget and in the Group's Risk Appetite Framework.

In application of Article 86 of Directive 2013/36/EU, the Mediobanca Group identifies, measures, manages and monitors liquidity risk as part of its internal liquidity adequacy assessment process (ILAAP). In this process, which constitutes an integral part of the Supervisory Authority's activities (Supervisory Review and Evaluation Process, or SREP), the Mediobanca Group performs a self-assessment of the adequacy of its overall framework for liquidity risk management and measurement from a qualitative and a quantitative perspective. The findings of the risk profile adequacy assessment and overall self-assessment are presented to the Governing Bodies annually.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 175

The Mediobanca Group's liquidity governance process is centralized at the Parent Company level by setting the strategy and guidelines for Group Legal Entities, thereby ensuring that the liquidity position is managed and controlled at the consolidated level.

The Parent Company's units that are responsible for ensuring that the Policy is applied correctly are:

– Group Treasury, responsible at Group level for the management of liquidity, funding, collateral, internal transfer pricing system and for the preparation of the Group Funding Plan in line with budget objectives;

– Risk Management which, in accordance with the principles of separation and independence, is responsible for the Group's integrated, second-level control system for current and future risks, in accordance with the Group's regulations and governance strategies.

The Group Audit Unit is responsible for evaluating the functioning and reliability of the control system for liquidity risk management and for reviewing its adequacy and compliance with the requirements laid down in the regulations. The findings of such reviews are submitted to the Governing Bodies at least once a year.

The Group's objective is to maintain a level of liquidity that will enable it to meet its ordinary and extraordinary payment obligations at the established expiry dates, while at the same time keeping costs to a minimum and hence without incurring losses. The Mediobanca Group's short-term liquidity policy aims to verify whether the mismatch between expected or unexpected cash inflows and outflows remains sustainable in the short term, including within an intra-day time horizon.

The Group, through its Group Treasury Unit, manages its own liquidity position actively, with the objective of being able to meet its own clearing obligations within the time frame required.

Intra-day liquidity risk is the risk of a mismatch in terms of timing within a single day between payments made by Mediobanca and those received from other market counterparties. Management of this risk requires careful and ongoing monitoring of cash flows exchanged, and, more importantly, adequate liquidity reserves. To mitigate this risk, the Group has implemented a system of indicators and monitoring to check the availability of reserves at the start of the day and their capacity to meet possible situations of stress that could involve other market counterparties or the value of the assets used in the risk mitigation.

The monitoring metric adopted over time horizons longer than intra-day is the net liquidity position, obtained from the sum of the counterbalancing capacity (defined as the cash, bonds traded on the market, receivables eligible for refinancing with the ECB available post-haircut) and cumulative net cash flows.

The system of limits is structured on the basis of the normal course of business up to a time horizon of three months, a 1-month systemic stress and a combined stress scenario of 45 days, thus effectively functioning as an early warning system if the limit is approached in normal conditions.

176 \| Interim Report for the six months ended 31 December 2024

The short-term and intra-day liquidity monitoring is supplemented by stress testing which assumes three scenarios:

Systemic Scenario: this scenario represents a pandemic crisis inspired by the events observed during the Covid period, influenced by a deep economic recession over a twelve-month time horizon which leads to effects such as the deterioration of the loan portfolio and related contraction in volumes (mainly for the consumer credit component), increase in perceived risk with impacts on the values of liquidity reserves and increase in netting requests, reduction in the supply of capital on the financial markets for the Group but also for customers who have been granted credit lines, which they will consequently be forced to use.

Idiosyncratic Scenario: this scenario starts with a specific cyber-attack event that affects the Group's internal systems with a resulting limitation in operations on the market. On the one hand, this leads to an operational loss, on the other, to reputation damage. The latter component causes retail and wholesale customers to withdraw their deposits. In this context, the rating agencies initiate a downgrade of the issuer Mediobanca compromising even more its ability to access financial markets thus causing an increase in the cost of funding and impacts on liquidity reserves with regard to self-retained assets, having an impact on initial margins and outflows from triggers linked to downgrade events.

– Combined: a combined scenario between Systemic and Idiosyncratic Scenario..

In addition to the above, the Group prepares a report on its liquidity position on a weekly basis, as required by the Bank of Italy; the Maturity Ladder report, compiled according to the instructions of the Supervisory Authority, in addition to highlighting the main transactions maturing within the three months following the reference date, is supplemented by a summary of the Group's assets that can be allocated to the Central Bank.

Furthermore, on a weekly basis the Group prepares the SSM reporting, a set of metrics whose preparation is required by the European Central Bank, with the aim of monitoring the Group's exposure to liquidity risk and of incorporating additional information that allows it to understand other phenomena which may affect the Group's financial balance; in addition to the Maturity Ladder report, detailed information is provided on the evolution of funding sources, collateral and a qualitative assessment of the bank's liquidity position.

Monitoring structural liquidity, on the other hand, is intended to ensure that the structure has an adequate financial balance for maturities of more than twelve months. Maintaining an appropriate ratio between assets and liabilities in the medium/long term also serves the purpose of avoiding future pressures in the short term. The operating methods adopted involve analysing the maturity profiles for both assets and liabilities over the medium and long term checking that on average the cumulative inflows cover the cumulative outflows for maturities of more than one, three and five years.

Throughout the half year under review, both indicators, short- and long- term, showed that the Group maintained an adequate level of liquidity at all times.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 177

The Group complied with the minimum requirement in terms of Net Stable Funding Ratio (NSFR)<sup>(16)</sup> and short-term Liquidity Coverage Ratio (LCR).<sup>(17)</sup> In line with the Group Risk Appetite Framework, they remained above internal and regulatory limits at all times.

In detail, the LCR figure as at 31 December stood at 155% (compared to 159% last June), including the prudential estimate of the "additional outflows for other products and services" in compliance with Article 23 of Delegated Regulation (EU) 2015/61. The indicator showed a limited variability around its average value of 158% during the half year under review. The latter dropped compared to the average figure recorded in the entire previous financial year (164%). This trend reflected the cancellation of the T-LTRO program (approximately €1.3bn repaid in September).

The NSFR indicator, calculated according to Regulation (EU) 2019/876, stood at 115%, down compared to the end of June (117%) due to the increase in Required Stable Funding (up €2.4bn) linked to the increase in Lending volumes (Leverage Finance Structured) only partially offset by the increase in Available Stable Funding, (up €1.7bn) corresponding to the increase in Wealth Management funding, securities as well as money market operations.

As the above indicators are included in Group Risk Appetite Framework, their sustainability is also analysed in preparing the Group Funding Plan, through future analysis over a time horizon of at least three years, with monitoring and half-yearly updates. A multi-risk stress test is also run as part of the same framework based on the scenario analysis. A stress scenario is defined which may involve the Group, and its simultaneous impacts are assessed, taking into account the inter-relations between risks and the capability to adapt the business strategies defined in the budget to the changed scenario.

In addition to the risk measurement system described above, an event governance model has been devised, known as the Contingency Funding Plan (described in the Policy), to be implemented in the event of a crisis by following a procedure approved by the Board of Directors.

The objective pursued by the Contingency Funding Plan is to ensure prompt implementation of effective action to tackle a liquidity crisis through precise identification of stakeholders, powers, responsibilities, communication procedures and related reporting criteria in order to increase the likelihood of coming through the state of emergency successfully. This objective is achieved primarily by activating an extraordinary operational and liquidity governance model, supported by consistent internal and external disclosures and a number of specific indicators.

In order to identify a "contingency" state in a timely manner, a system of early warning indicators (EWIs) has been prepared to monitor situations that could lead to deterioration in the Group's liquidity position deriving from external factors and/or situations which are specific to the Group itself.

The foregoing sections show how stress testing is a fundamental instrument in managing liquidity risk. Liquidity risk materializes less frequently but it may have a significant impact. Instruments are needed to diagnose the Group's vulnerabilities over different time horizons.

<sup>(16)</sup> Directive (EU) 2019/878 (referred to as CRD V) and Regulation (EU) 2019/876 (referred to as CRR2)

<sup>(17)</sup> Commission Delegated Regulation (EU) 2015/61, as supplemented and amended.

178 \| Interim Report for the six months ended 31 December 2024

The findings of the stress tests are therefore used principally in order to:

– define the funding strategies for the Funding Plan and planning activities more generally (liquidity profile of assets and liabilities);

– assess the adequacy of the system of limits, and establish significant events for the purpose of the regular process of revising the limits themselves;

– provide support in assigning the actions to be taken in managing states of operating crisis or stress.

The liquidity risk mitigation factors adopted by the Mediobanca Group are as follows:

– an adequate level of high-quality, highly liquid assets to address any liquidity imbalances, even prolonged over time;

– accurate short-term and long-term liquidity planning, alongside careful forecasting and monitoring activities;

– a robust and constantly updated stress testing framework;

– an efficient Contingency Funding Plan to identify crisis states and the actions to be taken in such circumstances, through a reliable early warning indicator system.

As at 31 December, counterbalancing capacity was equal to €20.9bn, up by €2.6bn during the half year under review due to the removal of encumbrances on loans used as collateral for the T-LTRO program; the amount of available securities deliverable on spot to the ECB to obtain immediate liquidity stood at €19.2bn (up €4bn), while the balance of collateral allocated to the Central Bank was equal to €13.6bn (€12.1bn as at 30 June) and almost entirely free and immediately available.

**1.5 OPERATIONAL RISK**

**Definition**

Operational risk is the risk of incurring losses as a result of the inadequacy or malfunctioning of procedures and IT systems, human error or external events.

**Capital requirement**

Mediobanca has adopted the Basic Indicator Approach ("BIA") to calculate its capital requirement for operational risk by applying the regulatory coefficient of 15% of the three-year average of the relevant indicator. Based on this calculation method, the capital requirement as at 31 December was €409.3m (unchanged with respect to 30 June last).

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 179

**Risk mitigation**

The Group's Non-Financial Risks Committee, with the task of guiding, monitoring and mitigating non-financial risks (including IT & security risk, fraud risk, third-party/outsourcing risk, reputation risk) and the Conduct Committee, with the task of guiding, supervising and making decisions on the Group's conduct risks, operate within the scope of risk management.

Operational risks are supervised, at the level of Parent Company and main subsidiary companies, by a specific Operational Risk Management team within the Non-Financial Risk Management unit.

Based on the Group's operational risk management policy and in line with the principle of proportionality, the processes for identifying operational risks, including through the collection and analysis of data concerning operational risk loss, assessment and estimation, and the processes for identifying and initiating the related mitigation actions, are defined and implemented within the Parent Company and main subsidiaries. Actions to mitigate the most relevant operational risks were proposed, implemented and monitored according to the evidence obtained.

The operating losses recorded during the half year under review impacted the Bank's total revenues by approximately 0.4% (0.27% in the previous year).

With regard to the different classes of operational risk, the Group's percentage composition of the various Basel II event types is shown below.

---

| | | |
|:---|:---|:---|
| | **% su Total Loss** | **% su Total Loss** |
| <br>**Event Type** | **31/12/2024** | **31/12/2023** |
| Clients, products and business practices | 73% | 39% |
| Execution, delivery and process management | 11% | 26% |
| External Fraud | 11% | 17% |
| Employment practices and workplace safety | 4% | 10% |
| Other | 1% | 7% |

---

Most of the Group's operating losses arose from the Event Type "Clients, products and business practices", which includes costs deriving from disputes or litigation with Consumer Banking and Retail customers concerning financial terms and conditions or interest rates applied to financing products, as well as legal expenses, largely reimbursed under an insurance policy. The second category of losses in terms of amount, "Execution, delivery and process management", includes litigation provisions and expenses with other financial institutions linked to the recruitment of Financial Advisors. The "External Fraud" category includes frauds against customers (identity theft, phishing), in regard of which the competent units constantly implement mitigation and awareness actions with customers.

Losses from operational risks were greater in the Wealth Management e Consumer Finance business lines. In terms of potential risks, despite an adequate system of controls, businesses characterized by non-standard and large-scale transactions, such as Corporate and Investment Banking and partly Wealth Management, were subject to 'low frequency and high severity' events.

180 \| Interim Report for the six months ended 31 December 2024

As part of its Non-Financial Risk Management, activities continued for the purpose of strengthening and developing specific frameworks for each risk class (such as IT & Cyber risk, third-party risk, fraud risk and reputation risk), while providing an overview of such risks.

In particular, ICT and Security risks, characterized by rapidly evolving components, are potentially relevant for the Group's financial position and business model in the medium term.

**ICT and Security Risk**

Security risk (including cyber risk) is understood as the risk of incurring financial, reputation and market share losses due to:

– any unauthorized access or attempted access to the Group's IT system or to the data and digital information contained therein;

– any (malicious or involuntary) event fostered or caused by the use of, or connected to, technology that has or could have an adverse impact on the integrity, availability, confidentiality and/or authenticity of company data and information, or on the continuity of corporate processes;

– improper use and/or dissemination of data and information, including if not directly produced and managed by the Group.

IT or technological risk is understood as the risk of incurring financial loss, reputation damage and market share loss in relation to the incorrect use of ICT processes supporting maintenance and management of the company's information system or in connection with malfunctions in the hardware, software or technical components.

These risks, which did not generate significant phenomena for the Group during the half year under review, were affected, in terms of exposure, by increases in:

– dependence on IT systems;

– number of users of virtual channels and thus interconnected devices;

amount of managed data that must be protected;

– use of IT services offered by third parties.

Additional external events, such as the evolution of the cyber-geopolitical environment (e.g. Russia-Ukraine and Israel-Palestine conflicts), as well as the adoption of new technological systems (e.g. cloud) that extend the attack surface by introducing new specific threats, should be added to the above factors.

In consideration of such context, ICT and Security risk is subject to increasing regulatory attention (e.g. DORA) and to the attention of Supervisors (e.g. Cyber Resilience Stress Testing), which require the continuous development of Internal Control Systems.

Based on Digital Operational Resilience Act - DORA provisions, the Group launched a dedicated compliance program with the dual objective of identifying the level of compliance of the Mediobanca Group and drafting a plan for organizational and technological actions based on it..

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 181

In particular, the Program is divided into five areas:

ICT risk management; objectives: (i) review and update the ICT risk management Framework in order to ensure a high level of digital operational resilience proportional to the complexity of the organization; (ii) map essential and important commercial functions to which the DORA Regulation associates more stringent requirements;

– Security & resilience evolution; objectives: (i) define the digital operational resilience strategy; (ii) develop the concept of business continuity in terms of resilience; (iii) establish and regularly update a digital operational resilience testing plan;

– ICT Presidium Evolution; objectives: (i): update the internal regulations in the ICT Operations area; (ii) develop and update management of the asset inventory, a key element of the IT risk management framework;

– Incident management; objectives: (i) review the process for identifying, recording, classifying and reporting ICT incidents; (ii) provide a method for quantifying potential impacts associated with critical events;

Third party risk management; objectives: (i) strengthen ICT third party risk management as an integral part of ICT risk management (new contractual framework and new due diligence activities for new counterparties); (ii) identify ICT third parties, align with supervisory actions already in place in terms of outsourcing and performance of the related monitoring actions.

The first phase of the Program made it possible to strengthen the Group's digital operational resilience strategy and to adapt the system of policies and rules in the ICT and Operations areas.

A multi-year adaptation plan has been planned for the adaptation phase of ICT infrastructures already started, with actions prioritized according to a risk-based approach.

The current IT and security risk management framework includes:

– definition and maintenance of specific policies, methodologies and procedures (e.g. ICT and security risk management policy, information security policy, IT and security risk management methodological manual);

– analysis of IT and security risk, regularly carried out for the Group's Banks and Companies, as well as for the Banks' payment services;

– analysis of IT and security risk of relevant projects and/or arising from third parties;

– constant monitoring through indicators and related reporting;

– study and analysis of the Cyber environment in the Finance sector;

– training on IT and security risk at all levels of the company organization.

IT and security incidents detected during the half year under review, which concerned some outsourced services in part, were managed effectively by containing any possible operational disruptions and slowdowns.

\* \* \*

182 \| Interim Report for the six months ended 31 December 2024

**Other risks**

As part of the process of assessing the current and future capital required to perform its internal capital adequacy assessment process (ICAAP), the Group has identified the following main types of risk as relevant, in addition to the risks described above (credit and counterparty, market, interest rate, liquidity and operational risk):

concentration risk, understood as the risk arising from concentration of exposures to single counterparties or groups of connected counterparties (referred to as "single name" concentration risk) and to counterparties belonging to the same business sector or that carry out the same activity or operate in the same geographical area (geo-sector concentration risk);

strategic risk, i.e. exposure to current and future changes in profitability compared to the volatility in volumes or changes in customer behaviour (business risk), and current and future risk of reductions in profits or capital deriving from disruption to business as a result of adopting new strategic choices, making wrong management decisions or inadequately executing decisions taken (pure strategic risk);

risk from equity investments held as part of the "Hold to collect and sell" banking book ("HTC&S"), deriving from the potential reduction in value of the equity investments, listed and unlisted, which are held as part of the HTC&S portfolio, due to unfavourable movements in financial markets or to the downgrade of counterparties (where these are not already included in other risk categories);

– sovereign risk, in regard to the potential downgrade of countries or national central banks to which the Group is exposed;

– compliance risk, attributable to the possibility of incurring penalties, significant financial losses or damages to the Bank's reputation as a result of breaches of laws and regulations or internal self-imposed regulations;

– reputation risk, due to reductions in profits or capital deriving from a negative perception of the Bank's image by customers, counterparties, shareholders, investors or supervisory authorities.

Risks are monitored and managed via the respective internal units (risk management, planning and control, compliance and Group audit units) and by specific management committees.

**Climate / environmental risk**

The effective management of ESG risks is a crucial aspect for maintaining a medium/ long-term economic, social, and environmental balance. These risks, which include negative impacts on the environment, people, and communities, are integrated into our overall Risk Management framework. This includes assessing not only the impact of such risks on the Bank's organization, but also the consequences on our stakeholders and on the environment as a result of our operations. The Mediobanca Group considers ESG risks not as separate components, but as factors that interact with traditional risk categories, such as credit, market, operational, liquidity, strategic and reputation risks.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 183

In the current risk framework, Pillar III emphasizes the types of climate risk; in particular, it assesses the financial risk arising from exposure to physical<sup>(18)</sup> and transition<sup>(19)</sup> risks related to climate change and nature degradation.

The risks and opportunities related to climate change are identified and analysed in a coordinated manner by the various company units with the aim of integrating them into the Group's risk identification, assessment and monitoring processes, as well as into its credit strategies and commercial offer.

The integration of ESG risks and, in particular, climate- and nature-related risks, into the Group's risk management framework is divided into:

– materiality assessment, which aims to identify and evaluate the relevance of climate and environmental risk factors with respect to various portfolios and risk categories;

– monitoring of the exposure to climate and environmental risks considered material through specific key risk indicators (KRI) defined in the Risk Appetite Statement (RAS);

– stress test of material climate and environmental risks aimed at assessing the impacts of adverse scenarios for ICAAP purposes in the short, medium and long term;<sup>(20)</sup>

– structuring of ESG risk management in the various risk families, using appropriate tools:

– Credit risk: this integrate ESG qualitative and quantitative assessments into loan due diligence and pricing by monitoring customer credit quality and tracking ESG risks with tools such as the "Heatmap" and the stress test.

– Market risk: this uses the "Heatmap" and volatility analysis. In the latter case, in order to monitor transition and physical risks, carbon-intensive sector indexes and government bond yields are compared with market benchmarks.

– Liquidity risk: this integrates exposure and sensitivity analysis within the liquidity adequacy assessment (ILAAP).

– Operational risk: this includes integrating climate risk into business continuity processes, incident tracking, and stress testing framework.

Strategic risk: this includes actions to mitigate the risk of misalignment of GHG emissions with respect to decarbonization targets. Mitigation actions include regular monitoring of the alignment of assets with the Paris objectives and improving the integration between strategy and risk management, through:

– business environment scan (called BES) to identify and evaluate any external risk factors that could influence strategic objectives;

– inclusion of climate and environmental risk factors in the budget process;

– engagement strategy aimed at effectively involving the main stakeholders in the transition path towards achieving the Group's net-zero targets. This strategy includes collaboration with customers, financial institutions, trade associations and investors.

<sup>(18)</sup> Physical risks consist in an adverse financial impact deriving from climate change, including more frequent extreme weather events and gradual climate change, in addition to environmental degradation, i.e. air, water and soil pollution, water stress, biodiversity loss and deforestation.

<sup>(19)</sup> Transition risks consist in adverse financial impacts that a company may, directly or indirectly, incur as a result of the process of adaptation to a low-carbon and more environmentally sustainable economy.

<sup>(20)</sup> The short term is between 0 and 3 years, the medium term is between 3 and 5 years, the long term starts beyond 5 years and must include at least 10 years.

184 \| Interim Report for the six months ended 31 December 2024

– strengthening of the Risk Appetite Framework with more detailed indicators and thresholds defined in terms of limits, surveillance thresholds and targets;

– integration of a decarbonization target alignment factor into the customer due diligence process.

– Reputation risk: analyses are carried out in this respect to define the relevance of exposure to reputation risk arising from climate or environmental factors and risks through risk materiality assessment and scenario analysis and the related monitoring of such risks through Key Risk Indicators.

**Materiality Assessment**

Special attention was paid to materiality analysis, a structured process to evaluate the impact of climate and environmental risks on the Group.

The materiality assessment in the risk driver identification phase made it possible to find the physical and transition drivers of climate and environmental risks which could have an impact on the Group considering the current and future business context and corporate strategy.

The climate scenarios used were consistent with the NGFS (Net Greening for Financial System) scenarios: delayed transition, net zero 2050 and current policies. The environmental scenarios consisted in the IPCC (Intergovernmental Panel on Climate Change) scenarios from two perspectives: an optimistic scenario (SSP1 RCP2.6, which foresees a socio-economic path oriented towards sustainability, with a temperature increase limited between 1.3°C and 2.4°C by 2100) and a pessimistic scenario (SSP5 RCP8.5, which foresees a socio-economic path based on development linked to fossil fuels, with a temperature increase between 3.3°C and 5.7°C by 2100).

The next phase consisted in identifying exposures. To this end, the transmission channels through which the climate and environmental risk drivers identified in the previous phase may cause impacts on the Group's financial activities and risk profile were identified. In this context, key risk indicators (KRIs) were identified. The definition of materiality thresholds made it possible to establish the materiality of each risk factor and to set up actions aimed at managing the relevant areas identified.

KRIs found through exposure-based and stress scenario methods were used.<sup>(21)</sup> Exposure-based methods provide a short-term view of how ESG risks may be impacting the risk profile and profitability of their counterparties. Scenario-based indicators, on the other hand, ensure assessing sensitivity to ESG risks over different time periods, including in the long term.

<sup>(21)</sup> European Banking Authority. (2025). Guidelines on the management of the environmental, social and governance (ESG) risks. This may be viewed at EBA.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 185

By using exposure-based KRIs, materiality was detected for physical and transition risks related to real estate-backed loans granted by Mediobanca Premier and for transition risk with regard to loans granted by Mediobanca S.p.A. and Mediobanca International to non-financial companies. In the latter case, the indicator was measured taking into account medium and high-risk exposures. The component concerning exposure to high-risk counterparties (including Services and Metals) for the loan portfolio was under 1% (data as at 30 September 2024), as shown by the analysis conducted in the ESG heatmap.

The Group's KRI - adopting a method based on scenario analysis and measuring the materiality of the transition risk in terms of ECL delta for loans granted by Mediobanca S.p.A. and Mediobanca International to non-financial companies - did not exceed the materiality threshold, but was judged to be a significant exposure in order to prudently take into account the growing attention that these risks receive at an international level.

The Group took into account this declaration of materiality of climate risk of the portfolios of loans to non-financial companies and loans guaranteed by real estate by carrying out management stress tests in the ICAAP context with a limited impact of approximately 1.6% of economic capital.<sup>(22)</sup>

The appropriateness of introducing climate risk factor components into provisioning is currently being assessed.

**Risk Appetite Framework and ESG Strategy**

The Risk Appetite Framework integrates and translates the material climate and environmental risk areas into specific controls. During the year, exposures to climate and environmental risks linked to credit risk considered material were monitored. Specific Key Risk Indicators (KRI), included in the Risk Appetite Statement (RAS), were adopted for the physical climate risk components of loans guaranteed by real estate granted by Mediobanca Premier and for the transition climate risk of non-financial companies for loans granted by Mediobanca and Mediobanca International. The developments concluded in December 2024 will, as mentioned above, lead to introducing a more complex threshold system in the next financial year, which will include limits, surveillance thresholds and targets.

Aware of the challenges posed by climate change and, more generally, by ESG risk factors, the Mediobanca Group actively manages the latter by seizing any intrinsic opportunities. As part of the 2023-2026 "One Brand - One Culture" Strategic Plan, the Mediobanca Group asserted its commitment to Climate and Environmental issues, setting itself the objective of supporting customers in their ESG transition strategies with ad-hoc advisory activities and allocating capital with an ESG focus. Moreover, the strategic plan contains specific targets relating to ESG factors. With regard to the "E - Environmental" factor, the intention to achieve carbon neutrality by 2050 has been confirmed, in addition to reducing the carbon intensity of loans by 18% by the end of 2026 and by 35% by the end of 2030.

<sup>(22)</sup> Economic capital, or "internal capital," is the capital that financial institutions consider adequate to the nature and level of risks to which they are or may be exposed. According to Article 73 of Directive (EU) 2013/36, lenders should have effective strategies and processes in place to assess and continuously maintain the capital necessary to cover those risks.

186 \| Interim Report for the six months ended 31 December 2024

These commitments are consistent with the Group's Sustainability and ESG Policies, which transpose detailed business sector guidelines by introducing restrictions on operators with a negative impact on the climate.<sup>(23)</sup> The achievement of the above strategic objectives will also be ensured by the inclusion of ESG metrics in the Group's RAF, aiming to promote responsible business activities, while maintaining a low profile in terms of exposure to climate risk. The path undertaken provides for greater and continuous integration, which, to date, includes the offering of ESG products and the adoption of ESG policies, including exclusion rules.

The number of sectors in which the goals of reducing greenhouse gas emissions were formalized expanded after joining the Net-Zero Banking Alliance, the initiative promoted by the United Nations with the aim of accelerating the sustainable transition of the international banking sector and with the adhesion to the Principles for Responsible Banking (PRB)..

**Internal Capital Adequacy Assessment Process**

Mediobanca has decided to incorporate any consequences related to exposure to climate risk factors arising from specific climate scenarios into its capital planning process and in particular into its adequacy assessment process (Internal Capital Adequacy Assessment Process, ICAAP). In particular, based on the findings of the materiality analysis, the Mediobanca Group has applied an approach to assess the impacts of transition and physical risks on the portfolios of loans granted to non-financial entities and loans secured by real estate. With regard to transition risk, the effects on the non-financial counterparties' accounts and on the energy efficiency of the relevant real properties are analysed. With regard to physical climate risk, the geo-location of the non-financial companies' properties and production sites is considered, assessing the impact of various severe and/or chronic climate events that may be found to be relevant in materiality analyses (droughts, heat waves, floods, landslides, earthquakes, thunderstorms, hurricanes and coastal erosion). These assessments are based on a forward looking approach that involves three time horizons: short, medium and long term. The reference scenarios are aligned with the Network for Greening the Financial System (NGFS) scenarios: "Current Policies", "Delayed Transition" and "Net Zero 2050", as referred to in the previous paragraph. These scenarios were appropriately integrated to adopt a forward-looking approach. For example, with regard to physical risk, the frequency and intensity of severe climate events are projected over time through econometric estimates based on the historical correlation calculated with EM-DAT data and other sources (IMF, BIS, etc.), compared to the temperature level expected by the specific NGFS scenario. After the recent developments, the impacts of the upstream value chain were introduced into the risk assessment process recognizing the relevance of indirect impacts from physical risk factors.

At the end of 2023, the "One-off Fit-for-55" analysis by the European Banking Authority (EBA) started, on a mandate from the European Commission and in collaboration with the European Supervisory Authorities (ESAs), the European Central Bank and the European Systemic Risk Board (ESRB). This analysis applies top-down scenarios on banking data to assess the resilience of the EU financial sector and its ability to support the transition to a low-carbon economy even under stress. Data collection ended in Q1 2024 and the results will be published by the EBA in Q1 2025.

<sup>(23)</sup> For further information, please refer to the Group's ESG Policy published on the corporate website https://www.mediobanca.com/static/upload_new/ pol/politica-esg.pdf.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 187

***Internal Liquidity Adequacy Assessment Process***

Furthermore, as part of the Internal Liquidity Adequacy Assessment Process (ILAAP), the adequacy of the Group's liquidity was assessed. The analyses carried out were aimed at assessing the impact, through sensitivity analyses, on the Liquidity Coverage Ratio (LCR) and Net Liquidity Position (NLP) in the short term and on the Net Stable Funding Ratio (NSFR) in the medium and long term using three NGFS scenarios (Net Zero 2050, Delayed Transition and Current Policies). A stress scenario was applied to current accounts and credit lines relating to high and medium risk customers and was based on a calibrated mismatch in line with credit risk analysis.

These assessments were incorporated into the annual Internal Liquidity Adequacy Assessment Process (ILAAP) report ensuring that the potential impacts of climate and environmental risks on the Group's liquidity position were adequately considered and managed on a forward-looking basis.

With reference to asset management, monitoring of the Principal Adverse Impact (PAI) continued for the Wealth Management business area, in regard of which disclosure was given on the website as per regulatory requirement.

For more information, please refer to the section of the Pillar III Public Disclosure on ESG risk published on www.mediobanca.com.

188 \| Interim Report for the six months ended 31 December 2024

**Part F– Information on Consolidated Capital**

**SECTION 1**

**Consolidated capital**

**QUANTITATIVE INFORMATION**

*B.1 Consolidated net equity: breakdown by type of company <sup>(\*)</sup>*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Net equity items** | **Prudential<br> consolidation** | **Insurance <br> companies** | **Other <br> companies** | **Consolidation<br> adjustments and <br> eliminations** | **Total** | **of which: <br> Third parties** |
| 1. Share capital | 461310 |  |  |  | 461310 | 16629 |
| 2. Share premium | 2082678 |  |  |  | 2082678 | 1848 |
| 3. Reserves | 8414008 |  |  |  | 8414008 | 66092 |
| 4. Equity instruments |  |  |  |  |  |  |
| 5. (Treasury shares) | (145822) |  |  |  | (145822) |  |
| 6. Valuation reserves: | (152409) |  |  |  | (152409) | (90) |
| &nbsp;&nbsp;&nbsp;- Equity securities designated at fair value through other comprehensive income | 115110 |  |  |  | 115110 |  |
| &nbsp;&nbsp;&nbsp;- Hedging of equity securities designated at fair value through other comprehensive income |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Financial assets (other than equity securities) measured at fair value through other comprehensive income | &nbsp;&nbsp;&nbsp;&nbsp;28653 |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;28653 | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;- Tangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Intangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Hedging of foreign investments | (15947) |  |  |  | (15947) |  |
| &nbsp;&nbsp;&nbsp;- Hedging of cash flows | (36583) |  |  |  | (36583) | 60 |
| &nbsp;&nbsp;&nbsp;- Hedging instruments [not designated instruments] |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Currency exchange gains/losses | 22907 |  |  |  | 22907 |  |
| &nbsp;&nbsp;&nbsp;- Non-current assets and asset groups held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Financial liabilities designated at fair value through profit or loss (change in own credit quality) | &nbsp;&nbsp;&nbsp;&nbsp;(26395) |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;(26395) | &nbsp;&nbsp;&nbsp;&nbsp;— |
| &nbsp;&nbsp;&nbsp;- Actuarial gains (losses) on defined-benefit retirement plans | (2778) |  |  |  | (2778) | (150) |
| &nbsp;&nbsp;&nbsp;- Portion of valuation reserves of equity-accounted interests | (247008) |  |  |  | (247008) |  |
| &nbsp;&nbsp;&nbsp;- Extraordinary revaluation laws | 9632 |  |  |  | 9632 |  |
| &nbsp;&nbsp;&nbsp;- Financial costs or revenues relating to insurance contracts issued |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Financial costs or revenues relating to insurance contracts ceded |  |  |  |  |  |  |
| 7. Profit (loss) for the period (+/-) attributable to the Group and to minority interests | 661419 |  |  |  | 661419 | 1682 |
| Total | 11321184 |  |  |  | 11321184 | 86161 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The companies Compass RE (insurance companies), Compass Rent, MBContact Solutions, RAM UK, Quarzo S.r.l., MBUSA, MB Covered, MB Immobiliere, Spafid Trust, MA USA, Compass Link (other companies) are not included in the prudential consolidation scope. Please see Section 1 - Consolidated Accounting Risks in Part E. |

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Notes to the accounts \| Part F - Information on consolidated capital \| 189

**SECTION 2**

**Own funds and banking supervisory ratios**

The Mediobanca Group confirmed its great capital soundness with ratios largely above the regulatory thresholds, as evidenced, among other things, by the Group's results in stress tests conducted by the Supervisor in recent years, by the large margin found by the ICAAP (Internal Capital Adequacy Assessment Process) and by the analysis carried out by the Supervisor as part of the SREP process (the SREP Decision 2024 in fact confirmed the additional Pillar 2 requirement (P2R) at 1.75%).

*2.1 Scope of application for regulations*

Starting on 1 January 2025, the new CRR3 text came into force, which confirmed the possibility of continuing to apply the current prudential treatment to the stake held in Assicurazioni Generali, thus allowing the Group to deduct the portion exceeding the Tier-1 concentration limit of 25% only and weighting the residual non-deducted portion at 370%.

Upon the whole, the new regulation will lead to a reduction of approximately €1.3bn in RWA (without applying the FRTB, postponed by law for one year) mainly connected to the LGD reduction on the Large Corporate AIRB portfolio (from 45% to 40%) and removal of the scaling factor from the RWA calculation according to the AIRB method (Corporate and Consumer divisions).

The other items were only slightly impacted, taking into account that the adoption of new weightings for capital instruments required a 5-year transitional period and that the impacts on operational risk were negligible compared to the Basic Indicator Approach (BIA) currently applied by the Group.

**QUANTITATIVE INFORMATION**

Common Equity Tier 1 (CET1) reflects the Group's and third parties' share of paid-up capital and reserves and does not include the half-year result<sup>(1)</sup> in light of recent instructions on the treatment of buy backs.

Deductions for the half-year amounted to €3,870.7m, which included:

– €2,267m relating to the stake held in Assicurazioni Generali;

– €1,024.5m relating to goodwill and other intangible assets;

– €416m relating to treasury shares (including the portion of buybacks yet to be executed);

– €153.5m relating to other significant investments and adjustments for valuations of financial instruments (referred to as AVA and DVA).

<sup>(1)</sup> In its recent instructions, the ECB stated that banks are not permitted to include any interim profits in Common Equity Tier 1, unless the relevant distribution policy defines the maximum amount of cash dividends and share buybacks, if any, to be distributed.

190 \| Interim Report for the six months ended 31 December 2024

**QUANTITATIVE INFORMATION**

---

| | | |
|:---|:---|:---|
|  | **31 December 2024** | **30 June 2024** |
| A. Common equity tier 1 (CET1) prior to application of prudential filters | 10340042 | 10346257 |
| &nbsp;&nbsp;&nbsp; of which CET1 instruments subject to phase-in regime |  |  |
| B. CET1 prudential filters (+/-) | (56891) | (208686) |
| C. CET1 before items to be deducted and effects of phase-in regime (A +/- B) | 10283151 | 10137572 |
| D. Items to be deducted from CET1<sup>(\*)</sup> | (4571784) | (4191962) |
| E. Phase-in regime - impact on CET1 (+/-), including minority interests subject to phase-in regime<sup>(\*)</sup> | 1270633 | 1276872 |
| F. Total Common Equity Tier 1 (CET1) (C-D+/-E) | 6982000 | 7222482 |
| G. Additional tier 1 (AT1) gross of items to be deducted and effects of phase-in regime |  |  |
| &nbsp;&nbsp;&nbsp;of which AT1 instruments subject to phase-in regime |  |  |
| H. Items to be deducted from AT1 |  |  |
| I. Phase-in regime - impact on AT1 (+/-), including instruments issued by branches and included in AT1 as a result of phase-in provisions |  |  |
| L. Total Additional Tier 1 (AT1) (G-H+/-I) |  |  |
| M. Tier 2 (T2) before items to be deducted and effects of phase-in regime | 1132661 | 1215546 |
| &nbsp;&nbsp;&nbsp;of which T2 instruments subject to phase-in regime |  |  |
| N. Items to be deducted from T2 |  |  |
| O. Phase-in regime - Impact on T2 (+/-), including instruments issued by branches and included in T2 as a result of phase-in provisions |  |  |
| P. Total T2 Capital (M-N+/-O) | 1132661 | 1215546 |
| Q. Total own funds (F+L+P) | 8114661 | 8438028 |

---

<sup>(\*)</sup> Adjustments include increased deductions for the adoption of Calendar Provisioning

*2.3 Capital adequacy*

 

**QUALITATIVE INFORMATION**

The Common Equity Ratio phase-in – ratio of Common Equity Tier 1 Capital to total assets weighted with the adoption of the Danish Compromise<sup>(2)</sup> – stood at 14.8%<sup>(3)</sup> and Total Capital ratio at 17.2%.

The Leverage ratio remained steady at 7.1%.

The MREL ratio (calculated according to the hybrid approach) stood at 42.5% of RWA<sup>(4)</sup> and 20.5% of LRE, well above the minimum requirement defined by the Single Resolution Board (23.57% and 5.91%, respectively); these indicators also exceeded the subordination requirement (which will be applied post 2025).

<sup>(2)</sup> Benefit of ~100 bps, made permanent at the session of 24 April in which the European Parliament approved the new CRR Regulation.

<sup>(3)</sup> CET1 ratio at 15.2% with the inclusion of the half-year result after the 70% payout (+50 bps).

<sup>(4)</sup> Ratio calculated using the hybrid approach introduced by the Regulator, which takes into consideration consolidated own funds and eligible liabilities (other than own funds) issued by the resolution entity to entities outside the resolution group.

Notes to the accounts \| Part F - Information on consolidated capital \| 191

**QUANTITATIVE INFORMATION**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Unweighted amounts** | **Unweighted amounts** | **Weighted amounts/requirements** | **Weighted amounts/requirements** |
| <br>**Categories/Amounts** | **31 December**<br>**2024** | **30 June**<br>**2024** | **31 December**<br>**2024** | **30 June**<br>**2024** |
| A. RISK ASSETS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Credit and counterpart risk | 79271817 | 81893174 | 39547034 | 40498513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Standard methodology | 33441232 | 37559932 | 19418921 | 20510353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Internal rating methodology | 44519619 | 43511131 | 19849664 | 19820465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.1 Basic |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.2 Advanced | 44519619 | 43511131 | 19849664 | 19820465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Securitization | 1310966 | 822111 | 278449 | 167695 |
| B. REGULATORY CAPITAL REQUIREMENTS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Credit and counterpart risk |  |  | 3163763 | 3239881 |
| &nbsp;&nbsp;&nbsp;B.2 Credit valuation adjustment risk |  |  | 29323 | 26034 |
| &nbsp;&nbsp;&nbsp;B.3 Settlement risk |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Market risk |  |  | 182786 | 134510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Standard methodology |  |  | 182786 | 134510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Internal models |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Concentration risk |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Other prudential requirements |  |  | 409333 | 409333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Basic Indicator Approach (BIA) |  |  | 409333 | 409333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Standard method |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Advanced method |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Other calculation items |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Total prudential requirements |  |  | 3785205 | 3809758 |
| C. RISK ASSETS AND REGULATORY RATIOS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.1 Risk-weighted assets |  |  | 47315056 | 47621975 |
| &nbsp;&nbsp;&nbsp;C.2 CET1 capital/risk-weighted assets (CET1 capital ratio) |  |  | 14.76% | 15.17% |
| &nbsp;&nbsp;&nbsp;C.3 Tier 1 capital/risk-weighted assets (Tier 1 capital ratio) |  |  | 14.76% | 15.17% |
| &nbsp;&nbsp;&nbsp;C.4 Regulatory capital/risk-weighted assets (total capital ratio) |  |  | 17.15% | 17.72% |

---

For more details on the disclosure concerning own funds and capital adequacy, please refer to the Basel 3 Third Pillar file at 31 December 2024, published on the Bank's website in the section "Capital adequacy".

192 \| Interim Report for the six months ended 31 December 2024

**Part H – Related-Party Transactions**

*1. Information on remuneration for key management personnel*

With regard to the disclosure on compensation paid to key management personnel, reference should be made to the "Report on remuneration and compensation paid" or the relevant section of the Mediobanca website at www.mediobanca.com, where the following are disclosed (with reference to the Mediobanca Group):

– the analytical detail of compensation paid to members of Governing and Supervisory Bodies and other Key Management Personnel;

– the detail and the evolution of Performance Shares schemes awarded to members of the Board of Directors, other Key Management Personnel and Long-Term Incentive Schemes.

Group compensation includes amounts paid to managers of Group Legal Entities not listed in the Table published in the Review of Operations (for a total of €300,000 in the half-year under review).

*2. Disclosure on related-party transactions*

The Regulation on Related-Party Transactions, implementing CONSOB Regulation No. 17221 of 12 March 2010, as most recently amended by Resolution No. 21264 of 10 December 2020, was introduced in 2011 aiming to ensure the transparency and substantial correctness of transactions with related parties carried out directly or through subsidiary companies. Having received favourable opinions from the Bank's Related Parties and Statutory Audit Committees, the Board of Directors incorporated the Bank of Italy's most recent instructions on this subject, which introduce prudential limits for risk activities with Related Parties; this Regulation came into force during December 2012, and was updated most recently in June 2021. The full document is available on the Bank's website at www.mediobanca.com.

For the definition of related parties adopted, please see Part A Accounting Policies of the Notes to the Accounts.

Transactions with related parties fall within the ordinary operations of the Group companies, are maintained on an arm's length basis, and are entered into in the interests of the individual companies concerned. Details of the compensation paid to Directors and key management personnel are provided in a footnote to the table.

*2.1 Regular financial disclosure: Most significant transactions*

There are no transactions to report during the half-year under review.

Notes to the accounts \| Part H - Related-Party Transactions \| 193

*2.2 Quantitative information*

The overall exposure to related parties remained limited, with no new counterparties within scope

**Statement as at 31 December 2024**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Directors and key**<br>**management personnel** |<br>**Associated**<br>**companies** |<br>**Other**<br> **related**<br>**parties** | (€m)<br><br>**Total** |
| Assets | 3.2 |  | 78.9 | 82.1 |
| &nbsp;&nbsp;of which: other assets |  |  | 72.8 | 72.8 |
| &nbsp;&nbsp;&nbsp;&nbsp;Loans | 3.2 |  | 6.1 | 9.3 |
| Liabilities | 13.9 |  | 277.4<sup>(3)</sup> | 291.3 |
| Guarantees and commitments |  |  | 130.0<sup>(3)</sup> | 130.0 |
| Interest income |  |  | 1.4 | 1.4 |
| Interest expense | (0.1) |  | (0.8) | (0.9) |
| Net fee income |  | 0.3 | 21.3 | 21.6 |
| Sundry income (costs) | (27.0)<sup>(1)</sup> | (0.5) | (2.9)<sup>(2)(3)</sup> | (30.4) |

---

<sup>(1)</sup> Which includes: short-term benefits amounting to (€21.7m) and performance shares worth (€5.2m). This figure includes resources considered Key Management Personnel during the period under review. Please note that a Board member waived the emolument approved.

<sup>(2)</sup> This item also includes the valuation of derivative contracts, including bond forwards with underlying government securities.

<sup>(3)</sup> Starting from the previous financial year, the collateral exchange transaction with the AG Group will no longer be represented by its nominal value (€250m among commitments) but using equity effects (liabilities covering the forward purchase of government securities).

**Statement as at 30 June 2024**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Directors and key**<br>**management personnel** |<br>**Associated**<br>**companies** |<br>**Others related**<br>**parties** | (€m)<br>**Total** |
| Assets | 2.6 | 0.8 | 71.5 | 74.9 |
| &nbsp;&nbsp;of which: other assets |  |  | 65.2 | 65.2 |
| &nbsp;&nbsp;&nbsp;&nbsp;Loans | 2.6 | 0.8 | 6.3 | 9.7 |
| Liabilities | 12.2 |  | 262.0<sup>(3)</sup> | 274.2 |
| Guarantees and commitments |  |  | 130.0<sup>(3)</sup> | 130.0 |
| Interest income | 0.1 |  | 2.2 | 2.3 |
| Interest expense | (0.2) |  | (1.2) | (1.4) |
| Net fee income |  | 5.0 | 41.7 | 46.7 |
| Sundry income (costs) | (51.2)<sup>(1)</sup> | 0.1 | (56.6)<sup>(2)(3)</sup> | (107.7) |

---

<sup>(1)</sup> Of which: short-term benefits amounting to (€42.2m) and performance shares worth (€8.8m). This figure includes resources considered Key Management Personnel during the period under review. Please note that a Board member waived the emolument approved.

<sup>(2)</sup> This item also includes the valuation of derivative contracts, including bond forwards with underlying government securities.

<sup>(3)</sup> Starting from the financial year 2023/24, the collateral exchange transaction with the AG Group will no longer be represented by its nominal value (€250m among commitments) but using equity effects (liabilities covering the forward purchase of government securities).

194 \| Interim Report for the six months ended 31 December 2024

**Part I – Share-Based Payment Schemes**

**A. QUALITATIVE INFORMATION**

*1. Summary of share-based payment schemes approved by the Shareholders' Meeting.*

In the area of equity instruments used for the remuneration of its personnel, Mediobanca decided to adopt a performance shares scheme, with the two-fold aim of:

---

| |
|:---|
| adapting to banking regulations that require a portion of variable remuneration to be paid out in the form of equity instruments over a time horizon of several years, subject to performance conditions and hence consistent with positive results sustainable over time; |
| aligning the interests of Mediobanca's management with those of its shareholders in order to create value over the medium / long term. |

---

The Group therefore offered performance share plans that, under certain conditions, provided for the free award of Mediobanca shares at the end of a vesting and/or holding period and long-term incentive plans (LTI) linked to the achievement of the strategic plan's objectives.

The plans currently in effect are as follows:

---

| |
|:---|
| performance share plan approved by the Shareholders' Meeting of 28 October 2015 (and updated by the Shareholders' Meeting of 28 October 2019), valid for variable remuneration for financial years 2018 - 2020 paid out to Group personnel in a maximum number of 20,000,000 Mediobanca shares to be attributed by capital increase or alternatively with the use of treasury shares in the Bank's portfolio; |
| long-term incentive plan (LTI) for the CEO and General Manager of Mediobanca, as well as for the CEO of Compass and Mediobanca Premier, linked to the achievement of the targets set in the 2019/2023 strategic plan by assigning them Mediobanca shares by capital increase pursuant to the Plan as mentioned in the preceding paragraph; |
| performance share plan approved by the Shareholders' Meeting of 28 October 2020, valid for variable remuneration for financial years 2021 - 2025 paid out to Group personnel in a maximum number of 20,000,000 Mediobanca shares to be attributed by capital increase or alternatively with the use of treasury shares in the Bank's portfolio; |
| performance share plan approved by the Shareholders' Meeting of 28 October 2021 (partially revoking the previous Plan in order to transition to a system of resolutions to be taken annually), valid for variable remuneration for financial year 2021-2022 paid out to Group personnel by attributing a maximum number of 4,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio; |
| performance share plan approved by the Shareholders' Meeting of 28 October 2022, valid for variable remuneration for financial year 2022-2023 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio; |
| performance share plan approved by the Shareholders' Meeting of 28 October 2023, valid for variable remuneration for financial year 2023-2024 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio; |

---

Notes to the accounts \| Part I - Share-based payment schemes \| 195

---

| |
|:---|
| long-term incentive plan 2023-2026 ("LTI Plan 2023 -2026"), approved by the Shareholders' Meeting held on 28 October 2023, linked to the underlying Strategic Plan 2023-2026 approved in May 2023, for the purpose of which the issue of a maximum of 3,000,000 new Mediobanca Shares, with regular dividend rights, has been planned with a capital increase or, alternatively, use of treasury shares; |
| performance share plan, valid for variable remuneration for financial year 2024-2025 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares. |

---

As at 31 December 2024, the number of performance shares awarded in relation to the above plans amounted to 6,085,176 (6,487,718 at 30 June 2024).

The Group companies equipped themselves with incentive plans based on equity instruments:

– Polus Capital Management Group has an investment plan in place for employees (for retention purposes), which allows them to purchase special shares of the company (C shares) which, after a vesting period (maximum 3 years) and the achievement of certain results (hurdle), they can sell to the Parent Company which will liquidate them through Mediobanca shares.<sup>(5)</sup> As at 31 December 2024, 45,529 C shares were awarded, which included 9,896 relating to the new C4 plan and 16,838 which already exercisable.

<sup>(5)</sup> There is also an E plan (with the same hurdle mechanism) for the benefit of an institutional investor, which can be activated for up to 34,319 shares.

196 \| Interim Report for the six months ended 31 December 2024

**QUANTITATIVE INFORMATION**

*Changes in performance share schemes during the year*

As part of the variable remuneration for financial year 2023-2024, 1,197,962 performance shares, drawn from the Plan approved in the October 2023 Shareholders' Meeting, were awarded on 27 September 2024. The shares, the award of which is conditional upon performance targets being met over a five-year period or less, will be made available in tranches in November 2025 (up to 546,583), November 2026 (up to 186,775), November 2027 (up to 277,773), November 2028 (up to 94,293), and November 2029 (up to 92,538).

During the month of October, 13,477 shares were recovered, while 1,587,027 shares were allocated in November 2024, which included 1,256,162 using treasury shares and 330,865 through a capital increase.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **31 december 2024** | **31 december 2024** | **30 june 2024** | **30 june 2024** |
| <br>**Items / Performance shares** | **No of performance**<br>**shares** |<br>**Average price** | **No of performance**<br>**shares** |<br>**Average price** |
| A. Balance at start of period | 6487718 | 6.93 | 4561321 | 6.32 |
| B. Increases | 1197962 |  | 3918137 |  |
| &nbsp;&nbsp;&nbsp;B.1 Newly issued shares | 1197962 | 10.80 | 3918137 | 6.50 |
| &nbsp;&nbsp;&nbsp;B.2 Other changes |  |  |  |  |
| C. Decreases | 1600504 |  | 1991740 |  |
| &nbsp;&nbsp;&nbsp;C.1 Cancelled |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Exercised | 1587027 | 7.86 | 1981127 | 6.83 |
| &nbsp;&nbsp;&nbsp;C.3 Expired |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other changes | 13477 | 7.97 | 10613 | 8.00 |
| D. Balance at end of period | 6085176 | 6.72 | 6487718 | 6.93 |

---

Notes to the accounts \| Part I - Share-based payment schemes \| 197

**Part L – Segment Reporting**

**INTRODUCTION**

Under IFRS 8, an entity must disclose information to enable users of its financial statements to evaluate the nature and financial effects of the different business activities in which it engages and the different economic environments in which it operates (referred to as "operating segments").

The aggregation of the "operating segments" illustrated in this Section is consistent with the means adopted by the Group's management to take business decisions, and is based on the internal reporting used in order to allocate resources to the various segments, and to analyse their respective performances as described in the Review of Operations, to which reference is made for detailed and exhaustive analysis of the individual business lines' earnings and financial performances.

**A. PRIMARY SEGMENT REPORTING**

At Group level the following business lines have been identified:

Wealth Management (WM): this division brings together all portfolio management services offered to the various client segments, plus asset management. This division includes Mediobanca Premier , which targets the Premier client bracket; the MBPB and CMB Monaco private banking networks and the Asset Management companies (Polus Capital, Mediobanca SGR, Mediobanca Management Company and RAM Active Investment), in addition to the fiduciary activities of Spafid.

Corporate and Investment Banking (CIB): this includes services for corporate customers in the Wholesale Banking areas (loans, Capital Market activities, Advisory, Client and proprietary trading carried out by Mediobanca, Mediobanca International, Mediobanca Securities, Messier et Associés and Arma Partners) and Specialty Finance or Factoring carried out by MBFACTA, and Credit Management referring only to the management on behalf of third parties carried out by MBCredit Solutions and MBContact Solutions.

Consumer Finance (CF): this provides retail customers with a complete range of consumer credit products: personal loans, special purpose loans, salary-backed loans, credit cards, in addition to the new and innovative Buy Now Pay Later solution called "Pagolight", which grew during the year also thanks to the newly acquired company HeidiPay Switzerland AG. The division also includes Compass RE (which provides reinsurance against risks linked to insurance policies sold to clients), Compass Rent (which operates in the goods lease market), and Compass Link (which distributes Compass products and services via third-party collaborators).

Insurance - Principal Investing (PI): this includes the Group's portfolio of equity investments and stocks. In particular, the investment in Assicurazioni Generali has been this division's main constituent for many years, and stands apart for its sound management, consistency of results, high profitability and contributions in terms of diversification and stabilization of the Mediobanca Group's revenues. Investments in funds and vehicles promoted and managed by

198 \| Interim Report for the six months ended 31 December 2024

the Group's asset management companies (referred to as seed capital) also contribute to the division, with a view to combining medium-term profitability for the Group and a synergistic approach between the divisions, as well as investment activities in private equity funds managed by third parties.

Holding Functions comprise SelmaBPM Leasing, MIS and other minor companies, Group Treasury and ALM (with the aim of minimizing the cost of funding and optimizing liquidity management on a consolidated basis, including the securities held as part of the banking book), all costs relating to central Group departments, including Operations, support units (such as Chief Financial Officer, Group Corporate Affairs, Investor Relations, Human Resources etc.), senior management and control units (Risk Management, Internal Audit and Compliance Unit) for the part that cannot be allocated to the business lines.

**A.1 Profit-and-loss figures by business segment**

A list of the main points requiring attention with regard to the allocation of earnings results is provided below:

---

| |
|:---|
| Net interest income<sup>(6)</sup> is obtained by applying the internal funds transfer pricing (FTP) rates consistent with the financial characteristics of the products concerned. Notional interest is allocated using a centralized FTP model which assigns volumes, costs and revenues of liquidity based on durations, without distinction between lending and funding (referred to as "bid-ask" difference) with the same maturity; |
| The 873 resources of the Holding Functions (855 last year) are divided as follows: 89 at Selma BPM (93 in the previous year); 48 at Group Treasury and ALM (44); 161 at MIS (147), 216 at Operations (227), 177 at support functions (172), 177 at control functions (166) and 5 in Management (senior management and their assistants, 6 in the previous year); |
| Intercompany items were netted out only if they involved companies belonging to the same segment; items involving different segments were cross-checked and recorded as adjustments, along with the consolidation entries regarding companies belonging to different segments; |
| Valuation actions that had an impact on acquisition operations were included among the reconciliation items to be stated in the "adjustments" column, i.e. in the column that indicates differences between the total business lines and the consolidated figure, both with reference to the economic effect and therefore to the performance of the individual divisions and to the balance sheet data. Although attributable to a company or a CGU, these items were not linked to their performance and the flows they generated and, among the various factors, were conditioned by market performance, which affected discounting and growth rates and therefore were not attributable to the operations of the divisions to which they belong and to the related profitability. This category includes the impairment of goodwill and other intangibles resulting from company valuations carried out on an annual basis and the valuations of/adjustments to the value of liabilities for put & call transactions through profit or loss. |

---

<sup>(6)</sup> The Mediobanca Group only reports net interest income based on the requirements of IFRS 8, which specifies that an institution must record interest income and interest expense separately for each reporting segment, unless the majority of the revenue generated by that segment derives from interest and unless management base their evaluations primarily on net interest income in order to assess the segment's results and take decisions regarding the resources to be allocated to the segment. In this case, an institution may refer to the segment's interest revenue net of interest expense, provided it specifies this [IFRS 8.23].

Notes to the accounts \| Part L - Segment Reporting \| 199

*A.1 Profit-and-loss figures by business segment*

(€m)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Profit-and-loss** | <br>**Wealth**<br>**Management** | **Corporate and**<br>**Investment**<br>**Banking** | <br>**Consumer**<br>**Finance** | <br>**Principal**<br>**Investing** | <br>**Holding**<br>**Functions** | <br>**Adjustments<sup>(1)</sup>** | <br>**Group** |
| Net interest income | 204.2 | 152.6 | 556.9 | (3.5) | 48.1 | 20.6 | 978.9 |
| Net treasury income | 5.5 | 65.1 |  | 16.0 | 5.6 | (0.4) | 91.8 |
| Net fee and commission income | 270.4 | 233.7 | 72.2 | (0.3) | 2.7 | (32.0) | 546.7 |
| Equity-accounted companies |  |  | (0.2) | 230.9 | (0.4) |  | 230.3 |
| **Total income** | **480.1** | **451.4** | **628.9** | **243.1** | **56.0** | **(11.8)** | **1847.7** |
| Labour costs | (167.5) | (117.6) | (62.0) | (2.1) | (70.0) | 0.1 | (419.1) |
| Administrative expenses | (147.6) | (82.7) | (127.2) | (0.7) | (13.5) | 10.7 | (361.0) |
| **Operating costs** | **(315.1)** | **(200.3)** | **(189.2)** | **(2.8)** | **(83.5)** | **10.8** | **(780.1)** |
| Loan loss provisions | (1.0) | 0.5 | (135.6) |  | 2.7 |  | (133.4) |
| Provisions for other financial |  |  |  |  |  |  |  |
| assets | 0.1 | (0.6) |  | 9.4 | 1.8 |  | 10.7 |
| Other income (losses) | (4.0) | (3.5) |  |  | (0.8) | (5.3) | (13.6) |
| **Profit before tax** | **160.1** | **247.5** | **304.1** | **249.7** | **(23.8)** | **(6.3)** | **931.3** |
| Income tax for the period | (48.5) | (68.3) | (100.7) | (9.2) | (4.7) |  | (231.4) |
| Minority interest | (1.0) | (37.7) |  |  | (1.4) | (0.1) | (40.2) |
| **Net profit** | **110.6** | **141.5** | **203.4** | **240.5** | **(29.9)** | **(6.4)** | **659.7** |
| Cost/Income (%) | 65.6 | 44.4 | 30.1 | n.m. | n.m. | n.m. | 42.2 |

---

<sup>(1)</sup> The sum of data by business area differs from the Group total amount due to net consolidation adjustments/differences between business areas (€1.1m) and to effects attributable to acquisitions (in particular put&call and earn-out agreements), which were not attributed to any Business Line (€5.3m).

*A.2 Balance-sheet data by business segment*

The balance-sheet items shown below represent each business area's contribution to the consolidated Balance Sheet, hence no adjustments have been made between the sum of the components and the Group total.

(€m)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Balance-sheet data** | <br>**Wealth**<br>**Management** | **Corporate &**<br>**Investment**<br>**Banking** | <br>**Consumer**<br>**Finance** | <br>**Principal**<br>**Investing** | <br>**Holding**<br>**Functions** | <br>**Adjustments** | <br>**Group** |
| Banking book debt securities | 737.3 | 1840.4 | 284.1 |  | 9201.6 |  | 12063.4 |
| Loan to customers | 17088.9 | 19877.0 | 15563.7 |  | 1328.9 |  | 53858.5 |
| Funding | 28227.6 |  | 2205.6 |  | 33777.5 |  | 64210.7 |

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200 \| Interim Report for the six months ended 31 December 2024

ANNEXES

Annexes \| 201

**Consolidated financial statements**

**Comparison between the restated Balance Sheet and the template contained in Bank of Italy Circular No. 262/2005, eighth update**

Regarding Assets, the balance sheet shown in the consolidated Review of Operations reflects the following restatements:

---

| |
|:---|
| The closing balance of "Trading financial assets" includes "Financial assets held for trading" (item 20a) and, as of this half-year period, the closing balance of commodities transactions (EUA certificates on the ICE Europe market) under "Other assets" (item 130); |
| The closing amount of "Treasury financial assets" includes "Cash and cash equivalents" (heading 10); receivables in respect of current accounts and untied deposits, reverse repos and other deposits in connection with securities lending operations and derivatives recognized as "Financial assets measured at amortized cost: loans to banks and loans to customers" (headings 40a and 40b, respectively), plus certain items booked as "Other assets" (heading 130); |
| The amount of "Banking book debt securities" includes the debt securities of the following items: "Financial assets measured at fair value through other comprehensive income" (heading 30), "Financial assets measured at amortized cost" (heading 40c) and "Financial assets measured at fair value through profit or loss", either designated at fair value or mandatorily classified at fair value (headings 20b and 20c); |
| The closing balance of "Loans to customers" includes loans and receivables recognized as "Financial assets measured at amortized cost: loans to banks and loans to customers" (headings 40a and 40b, respectively), including those recognized mandatorily at fair value through profit or loss booked under headings 20b and 20c) after any "Adjustments of hedging financial assets" (heading 60) relating to loans and receivables; |
| The amount of "Equity investments" includes equities recognized as "Financial assets measured at fair value through other comprehensive income" (heading 30), "Equity investments" (heading 70), and funds mandatorily recognized at fair value in heading 20 "Financial assets measured at fair value through profit or loss"; |
| The amount of "Other assets" includes the headings 130 "Other assets", 110 "Tax assets" and 50 "Hedging derivatives", and sundry debtor items recognized as "Financial assets measured at amortized cost: loans to banks and loans to customers" (headings 40a and 40b) and Non-current assets and asset groups held for sale, if any. |

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202 \| Interim Report for the six months ended 31 December 2024

Regarding Liabilities:

---

| |
|:---|
| The closing amount of "Funding" includes amounts due to banks, amounts due to customers and securities in issue recognized under "Financial liabilities measured at amortized cost" (under headings 10a), 10b) and 10c), respectively), other than amounts recognized under "Treasury funding" and under "Other liabilities", in addition to "Financial liabilities measured at fair value" (heading 30); |
| The amount of "Treasury funding" includes amounts payable in respect of current accounts and untied deposits, repos and other deposits in connection with securities lending operations and derivatives recognized as "Financial liabilities measured at amortized cost — a) Due to banks" and "b) Due to customers" (headings 10a) and 10b), respectively); |
| The amount of "Other liabilities" includes the headings 40 "Hedging derivatives", 60 "Tax liabilities" and 110 "Insurance liabilities", plus sundry creditor items recognized as "Financial liabilities measured at amortized cost". |

---

Annexes \| 203

**Balance Sheet as at 31 December 2024 — Assets**

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

(€m)

RECLASSIFIED STATEMENTS

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Asset items** | <br>**Financial**<br>**assets held**<br>**for trading** | **Treasury**<br>**financial**<br>**assets and**<br>**cash** |<br>**Banking**<br>**book debt**<br>**securities** |<br>**Loan to**<br>**customers** |<br>**Equity**<br>**investments** |<br>**Tangible and**<br>**intangible**<br>**assets** |<br>**Other**<br>**assets** |<br>**Total**<br>**assets** |
| 10. Cash and Cash Equivalents |  | 2086.1 |  |  |  |  |  | **2086.1** |
| 20. Financial assets measured at fair value through profit or loss | 14638.3 |  | 429.4 | 595.2 | 651.2 |  |  | **16314.1** |
| &nbsp;&nbsp;&nbsp;a) financial assets held for trading | 14638.3 |  |  |  |  |  |  | **14638.3** |
| &nbsp;&nbsp;&nbsp;b) assets designated at fair value |  |  | 429.2 | 592.0 |  |  |  | **1021.2** |
| &nbsp;&nbsp;&nbsp;c) other financial assets mandatorily measured at fair value |  |  | 0.2 | 3.2 | 651.2 |  |  | **654.6** |
| 30. Financial assets measured at fair value through other comprehensive income |  |  | 6387.6 |  | 248.3 |  |  | **6635.9** |
| 40. Financial assets measured at amortized cost |  | 8300.3 | 5246.4 | 53263.3 |  |  |  | **66810.0** |
| &nbsp;&nbsp;&nbsp;a) due from banks |  | 4055.7 | 109.6 | 1409.2 |  |  |  | **5574.5** |
| &nbsp;&nbsp;&nbsp;b) due from customers |  | 4244.6 | 5136.8 | 51854.1 |  |  |  | **61235.5** |
| 50. Hedging derivatives |  |  |  |  |  |  | 233.3 | **233.3** |
| 60. Value adjustment of financial assets subject to generic hedging |  |  |  |  |  |  |  | **—** |
| 70. Equity investments |  |  |  |  | 4092.2 |  |  | **4092.2** |
| 80. Insurance business |  |  |  |  |  |  |  | **—** |
| &nbsp;&nbsp;&nbsp;a) issued insurance contracts that constitute assets |  |  |  |  |  |  |  | **—** |
| &nbsp;&nbsp;&nbsp;a) reinsurance contracts ceded that constitute assets |  |  |  |  |  |  |  | **—** |
| 90. Tangible assets |  |  |  |  |  | 578.0 |  | **578.0** |
| 100. Intangible assets |  |  |  |  |  | 1061.2 |  | **1061.2** |
| 110. Tax assets |  |  |  |  |  |  | 452.1 | **452.1** |
| 120. Non-current assets and asset groups held for sale |  |  |  |  |  |  |  | **—** |
| 130. Other assets | 533.5 |  |  |  |  |  | 1115.3 | **1648.8** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total assets** | **15171.8** | **10386.4** | **12063.4** | **53858.5** | **4991.7** | **1639.2** | **1800.7** | **99911.7** |

---

204 \| Interim Report for the six months ended 31 December 2024

**Balance Sheet as at 31 December 2024 - Liabilities**

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

(€m)

RECLASSIFIED STATEMENTS

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Liabilities and net equity** | <br>**Funding** |<br>**Treasury**<br>**funding** | **Trading**<br>**financial**<br>**liabilities** |<br>**Other**<br>**liabilities** |<br>**Provisions** |<br>**Equity** |<br>**Total liabilities**<br>**and net equity** |
| 10. Financial liabilities measured at amortized cost | 59492.1 | 11840.5 |  | 274.3 |  |  | **71606.9** |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) due to banks* | *4114.8* | *7474.6* | *—* | *6.7* | *—* | *—* | ***11596.1*** |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) due to customers* | *28794.7* | *4365.9* | *—* | *267.4* | *—* | *—* | ***33428.0*** |
| &nbsp;&nbsp;&nbsp;&nbsp;*c) securities in issue* | *26582.6* | *—* | *—* | *0.2* | *—* | *—* | **26582.8** |
| 20. Trading financial liabilities |  |  | 9095.4 |  |  |  | **9095.4** |
| 30. Financial liabilities designated at fair value | 4718.6 |  |  |  |  |  | **4718.6** |
| 40. Hedging derivatives |  |  |  | 1111.3 |  |  | **1111.3** |
| 50. Value adjustment to generic hedging of financial liabilities |  |  |  |  |  |  | **—** |
| 60. Tax liabilities |  |  |  | 534.4 |  |  | **534.4** |
| 70. Liabilities associated with assets held for sale |  |  |  |  |  |  | **—** |
| 80. Other liabilities |  |  |  | 1290.4 |  |  | **1290.4** |
| 90. Provision for statutory end-of-service payments |  |  |  |  | 19.9 |  | **19.9** |
| 100. Provisions for risks and charges |  |  |  |  | 128.9 |  | **128.9** |
| 110. Insurance liabilities |  |  |  | 84.7 |  |  | **84.7** |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) issued insurance contracts that constitute liabilities* | *—* | *—* | *—* | *84.7* | *—* | *—* | ***84.7*** |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) reinsurance contracts ceded that constitute liabilities* | *—* | *—* | *—* | *—* | *—* | *—* | **—** |
| 120. Revaluation reserves |  |  |  |  |  | (152.3) | **(152.3)** |
| 130. Redeemable shares |  |  |  |  |  |  | **—** |
| 140. Equity instruments |  |  |  |  |  |  | **—** |
| 145. Interim dividends |  |  |  |  |  |  | **—** |
| 150. Reserves |  |  |  |  |  | 8347.9 | **8347.9** |
| 160. Share premium |  |  |  |  |  | 2080.8 | **2080.8** |
| 170. Capital |  |  |  |  |  | 444.7 | **444.7** |
| 180. Treasury shares (-) |  |  |  |  |  | (145.8) | **(145.8)** |
| 190. Equity attributable to minority interests (+/-) |  |  |  |  |  | 86.2 | **86.2** |
| 200. Profit/(loss) for the period |  |  |  |  |  | 659.7 | **659.7** |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total liabilities and net equity** | **64210.7** | **11840.5** | **9095.4** | **3295.1** | **148.8** | **11321.2** | **99911.7** |

---

Annexes \| 205

**Comparison between the restated Profit and Loss Account and the template contained in Bank of Italy Circular No. 262/2005, eighth update**

The profit and loss account shown in the Review of Operations reflects the following restatements:

---

| |
|:---|
| "Net interest income" includes the items stated under headings 10 "Interest and similar income", 20 "Interest and similar expense", Financial Guarantee Fees, gains/losses on derivatives trading stated under heading 80 "Net trading income", and the net gains or losses on hedges of customer loans and funding stated under heading 90 "Net hedging income". The portion of interest relating to securities lending collateral (loss of €26.3m) was reclassified in "Treasury income", implicit interest pursuant to IFRS16 was included in overhead costs (loss of €3m) and any other non-recurring items were reclassified under the caption "Other gains (losses)" (loss of €0.9m at 31 December 2024); |
| "Net treasury income" contains the amounts stated under heading 70 "Dividends and similar income", heading 80 "Net trading income" (except for amounts recognized as Net interest income and any non-recurring items reclassified under "Other gains/losses"), Banking Book changes under heading 100 "Net gains (losses) on disposals/repurchases", the share of securities lending transactions stated under headings 40 "Fee and commission income", 50 "Fee and commission expense" and respective collaterals (loss of €8.6m), the portion stated under heading 110 "Net result from other financial assets and liabilities measured at fair value through profit or loss" related to securities under the fair value option and, lastly, the net result of commodities operations (EUA certificates on ICE Europe market included under Heading 230 "Other operating expense/income" (€42.7m); |
| The heading "Net fee and commission income and other net income (expense)" contains the amounts stated under heading 60 "Net fee and commission income", the operating income stated under heading 230 "Other operating income (expense)" and the "Net profit from insurance activities" of headings 160 and 170; |
| The heading "Overheads" includes amounts stated under heading 190 "Administrative expenses" (after any non-recurring charges reclassified under Other gains /losses), net transfers to provisions stated under heading 200 (after the amounts stated under the heading Net value adjustments to/write-backs of tangible assets of €-0.7m, and any non-recurring charges reclassified under Other gains/losses), Net adjustments to tangible and intangible assets stated under headings 210 and 220 and Other operating income or charges stated under heading 230 "Other operating income/charges", after recoveries stated under Net fee and commission income, any non-recurring charges reclassified under Other gains/ losses and implicit interest under IFRS 16 reclassified from Net Interest Income and the net result of commodities operations (EUA certificates on ICE Europe market included under Heading 230 "Other operating expenses/income" (€42.7m); |
| The heading "Net (Value adjustments to) write-backs of loans to customers" contains the amounts relating to loans stated under headings 130 "Net value adjustments (write-backs) for credit risk", 100 "Net gains (losses) on disposals/repurchases" (€-0.4m), 110 "Net result from other financial assets and liabilities measured at fair value through profit or loss" (€0.5m) and 140 "Gain (losses) from contractual amendments without derecognition" (€-0.1m), and 200 "Net provisions for risks and charges" relating to commitments and sureties (€0.7m). |

---

206 \| Interim Report for the six months ended 31 December 2024

---

| |
|:---|
| The heading " Net (Value adjustments to) write-backs of other financial assets" includes the valuations of securities and provisions recognized under item 110 "Net result from financial assets and liabilities mandatorily measured at fair value through profit or loss" and adjustments and write-backs for credit risk relating to assets measured at fair value through OCI and other financial assets stated under item 130 (€2.3m); |
| The heading "Other gains/losses" includes non-recurring costs under heading 190 "Administrative expenses", and any non-recurring charges relating to other items (including increases in risk provisions, adjustments to assets, net effects relating to the valuation and discounting of liabilities for put & call options); |
| The item "Profit (loss) attributable to minority interests" also includes the Interest B portion attributable to Arma's minority partners under heading 230 "Other operating expense/ income". |

---

Annexes \| 207

**Comparison between the restated Profit and Loss Account and the template contained in Bank of Italy Circular No. 262/2005, eighth update** 

**Profit and Loss Account as at 31 December 2024**

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

(€m)

RECLASSIFIED STATEMENTS

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Profit and loss account** | <br>**Interest**<br>**margin** | <br>**Treasury**<br>**income** | <br>**Net fee and**<br>**commission**<br>**income** | <br>**Equity-**<br>**accounted**<br>**valuations** | <br>**Overheads** | **Net (Value**<br>**adjustments**<br>**to) write-backs**<br>**of loans to**<br>**customers** | **Net (Value**<br>**adjustments to)**<br>**write-backs of**<br>**other financial**<br>**assets** | <br>**Other gains**<br>**(losses)** | <br>**Income**<br>**taxes** | <br>**Profit (loss)**<br>**attributable**<br>**to minority**<br>**interests** | <br>**Profit (loss)**<br>**for the period** |
| &nbsp;&nbsp;&nbsp;10. Interest and similar income | 2011.5 | 3.7 |  |  | 0.1 |  |  |  |  |  | 2015.3 |
| &nbsp;&nbsp;&nbsp;20. Interest and similar charges | (1059.4) | (30.0) |  |  | (3.1) |  |  | (0.9) |  |  | (1093.4) |
| **30. Interest margin** | **952.1** | **(26.3)** | **—** | **—** | **(3.0)** | **—** | **—** | **(0.9)** | **—** | **—** | **921.9** |
| &nbsp;&nbsp;&nbsp;40. Commission income | 0.5 | 8.8 | 578.2 |  |  |  |  |  |  |  | 587.5 |
| &nbsp;&nbsp;&nbsp;50. Commission expenses |  | (0.2) | (100.0) |  | **—** |  |  |  |  |  | (100.2) |
| **60. Net fee income** | **0.5** | **8.6** | **478.2** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **487.3** |
| &nbsp;&nbsp;&nbsp;70. Dividends and similar income |  | 47.7 | 4.5 |  |  |  |  |  |  |  | 52.2 |
| &nbsp;&nbsp;&nbsp;80. Net trading income | 19.6 | 71.6 |  |  |  |  |  | (3.1) |  |  | 88.1 |
| &nbsp;&nbsp;&nbsp;90. Net hedging income (expense) | 6.7 |  |  |  |  |  |  |  |  |  | 6.7 |
| &nbsp;&nbsp;&nbsp;100. Gains (losses) on disposal or repurchase |  | 23.9 |  |  |  | 0.4 |  |  |  |  | 24.3 |
| &nbsp;&nbsp;&nbsp;110. Net income (expense) from other financial assets and liabilities measured at fair value through profit or loss |  | (76.4) |  |  | **—** | 0.5 | 8.4 |  |  |  | (67.5) |
| **120. Total revenues** | **978.9** | **49.1** | **482.7** | **—** | **(3.0)** | **0.9** | **8.4** | **(4.0)** | **—** | **—** | **1513.0** |
| &nbsp;&nbsp;&nbsp;130. Net value adjustments (write-backs) for credit risk |  |  |  |  |  | (133.5) | 2.3 | (0.3) |  |  | (131.5) |
| &nbsp;&nbsp;&nbsp;140. Gains (losses) from contractual modifications without derecognition |  |  |  |  | **—** | (0.1) |  |  |  |  | (0.1) |
| **150. Net income from financial operations** | **978.9** | **49.1** | **482.7** | **—** | **(3.0)** | **(132.7)** | **10.7** | **(4.3)** | **—** | **—** | **1381.4** |
| &nbsp;&nbsp;&nbsp;160. Income from insurance services |  |  | 10.9 |  |  |  |  |  |  |  | 10.9 |
| &nbsp;&nbsp;&nbsp;170. Balance of financial revenues and costs from insurance operations |  |  |  |  | **—** |  |  |  |  |  |  |
| **180. Net profit from financial and insurance activities** | **978.9** | **49.1** | **493.6** | **—** | **(3.0)** | **(132.7)** | **10.7** | **(4.3)** | **—** | **—** | **1392.3** |
| &nbsp;&nbsp;&nbsp;190. Administrative expenses |  |  |  |  | (775.0) |  |  | (3.5) |  |  | (778.5) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Personnel expenses |  |  |  |  | (419.1) |  |  | (2.2) |  |  | (421.3) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other administrative expenses |  |  |  |  | (355.9) |  |  | (1.3) |  |  | (357.2) |
| &nbsp;&nbsp;&nbsp;200. Net transfers to provisions for risks and charges |  |  |  |  | (5.1) | (0.7) |  | (4.0) |  |  | (9.8) |
| &nbsp;&nbsp;&nbsp;210. Net value adjustments to/write-backs of tangible assets |  |  |  |  | (38.8) |  |  |  |  |  | (38.8) |
| &nbsp;&nbsp;&nbsp;220. Net adjustments to/write-backs of intangible assets |  |  |  |  | (14.0) |  |  |  |  |  | (14.0) |
| &nbsp;&nbsp;&nbsp;230. Other operating expense / income |  | 42.7 | 53.1 |  | 55.8 |  |  | (1.4) |  | (38.5) | 111.7 |
| **240. Operating costs** | **—** | **42.7** | **53.1** | **—** | **(777.1)** | **(0.7)** | **—** | **(8.9)** | **—** | **(38.5)** | **(729.4)** |
| &nbsp;&nbsp;&nbsp;250. Gains (losses) on equity investments |  |  |  | 230.3 |  |  |  |  |  |  | 230.3 |
| &nbsp;&nbsp;&nbsp;260. Net income from fair value measurement of tangible and intangible assets |  |  |  |  |  |  |  | (0.4) |  |  | (0.4) |
| &nbsp;&nbsp;&nbsp;270. Value adjustments to goodwill |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;280. Gains (losses) on disposal of investments |  |  |  |  | **—** |  |  |  |  |  |  |
| **290. Profit (loss) on ordinary operations before tax** | **978.9** | **91.8** | **546.7** | **230.3** | **(780.1)** | **(133.4)** | **10.7** | **(13.6)** | **—** | **(38.5)** | **892.8** |
| &nbsp;&nbsp;&nbsp;300. Income tax for the year on ordinary activities |  |  |  |  | **—** |  |  |  | (231.4) |  | (231.4) |
| **310. Profit (loss) on ordinary operations after tax** | **978.9** | **91.8** | **546.7** | **230.3** | **(780.1)** | **(133.4)** | **10.7** | **(13.6)** | **(231.4)** | **(38.5)** | **661.4** |
| &nbsp;&nbsp;&nbsp;320. Gains (losses) of ceded operating assets, after tax |  |  |  |  | **—** |  |  |  |  |  |  |
| **330. Profit (loss) for the period** | **978.9** | **91.8** | **546.7** | **230.3** | **(780.1)** | **(133.4)** | **10.7** | **(13.6)** | **(231.4)** | **(38.5)** | **661.4** |
| &nbsp;&nbsp;&nbsp;340. Profit (loss) for the period attributable to minority interests |  |  |  |  | **—** |  |  |  |  | (1.7) | (1.7) |
| **350. Profit (loss) for the period attributable to the Parent Company** | **978.9** | **91.8** | **546.7** | **230.3** | **(780.1)** | **(133.4)** | **10.7** | **(13.6)** | **(231.4)** | **(40.2)** | **659.7** |

---

208 \| Interim Report for the six months ended 31 December 2024

Mercurio GP - Milan

## Exhibit 99.6

**Exhibit 99.6**

**M E D I O B A N C A**

![](tm2518026d1ex99-6img001.jpg)

*Annual Accounts and Report*

*as at 30 June 2024*

 

**M E D I O B A N C A**

LIMITED COMPANY

SHARE CAPITAL €444,515,142.5

HEAD OFFICE: PIAZZETTA ENRICO CUCCIA 1, MILAN, ITALY

REGISTERED AS A BANK.

PARENT COMPANY OF THE MEDIOBANCA BANKING GROUP.

REGISTERED AS A BANKING GROUP

![](tm2518026d1ex99-6img001.jpg)

*Financial Statements*

*Mediobanca Group*

*30 June 2024*

 

Mediobanca S.p.A.

Registered Office: Piazzetta Enrico Cuccia, 1 - Milan, Italy

Tel. +39 02 88291 – Fax +39 02 8829.550

Enrolled in the Bank of Italy Register of Banks as No. 4753

Parent Company of Mediobanca Banking Group

Enrolled in the Register of Banking Groups with ABI code No. 10631.0

http://www.mediobanca.com;

Tax identification number and Milan-Monza-Brianza-Lodi Companies'

Register Enrolment No. 00714490158

VAT No. 10536040966

Fully paid-up share capital: €444,515,142.5

Member of the Interbank Deposit Guarantee Fund and the National Guarantee

Fund Ordinary shares listed on MTA Market

This document, in PDF format, does not constitute the fulfilment of the obligations laid down in Directive 2004/109/EC ("Transparency Directive") and in Delegated Regulation (EU) 2019/815 ("ESEF Regulation" – European Single Electronic Format) for which a special XHTML format has been developed.

www.mediobanca.com

*translation from the Italian original which remains the definitive version*

 

**BOARD OF DIRECTORS**

---

| | | |
|:---|:---|:---|
|  |  | Term |
|  |  | of office |
| Renato Pagliaro | &nbsp;&nbsp;&nbsp;&nbsp;Chairman | 2026 |
| Sabrina Pucci | &nbsp;&nbsp;&nbsp;&nbsp;Deputy Chairman | 2026 |
| Vittorio Pignatti Morano | &nbsp;&nbsp;&nbsp;&nbsp;Deputy Chairman | 2026 |
| Alberto Nagel | &nbsp;&nbsp;&nbsp;&nbsp;Chief Executive Officer | 2026 |
| Francesco Saverio Vinci | &nbsp;&nbsp;&nbsp;&nbsp;General Manager | 2026 |
| Mana Abedi | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Virginie Banet | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Laura Cioli | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Angela Gamba | &nbsp;&nbsp;&nbsp;&nbsp;Director And Lead Independent Director | 2026 |
| Marco Giorgino | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Valérie Hortefeux | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Maximo Ibarra | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Sandro Panizza | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Laura Penna | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |
| Angel Vilà Boix | &nbsp;&nbsp;&nbsp;&nbsp;Director | 2026 |

---

**STATUTORY AUDIT COMMITTEE**

---

| | | |
|:---|:---|:---|
| Mario Matteo Busso | &nbsp;&nbsp;&nbsp;&nbsp;Chairman | 2026 |
| Elena Pagnoni | &nbsp;&nbsp;&nbsp;&nbsp;Standing Auditor | 2026 |
| Ambrogio Virgilio | &nbsp;&nbsp;&nbsp;&nbsp;Standing Auditor | 2026 |
| Angelo Rocco Bonissoni | &nbsp;&nbsp;&nbsp;&nbsp;Alternate Auditor | 2026 |
| Anna Rita de Mauro | &nbsp;&nbsp;&nbsp;&nbsp;Alternate Auditor | 2026 |
| Vieri Chimenti | &nbsp;&nbsp;&nbsp;&nbsp;Alternate Auditor | 2026 |

---

\* \* \*

Massimo Bertolini Secretary of the Board of Directors <br> Emanuele Flappini Head of Company Financial Reporting

Company officers \| 3

CONTENTS

---

| | |
|:---|:---|
| **Consolidated accounts** | |
| &nbsp;&nbsp;&nbsp;&nbsp;Review of the Mediobanca Group's operations as at 30 June 2024 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;Declaration by Financial Reporting Officer | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;External auditors' report | 86 |
| **Consolidated financial statements** | **97** |
| &nbsp;&nbsp;&nbsp;&nbsp;Notes to the accounts | 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part A - Accounting policies | 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part B - Notes to the consolidated balance sheet | 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part C - Notes to the consolidated income statement | 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part D - Consolidated comprehensive income | 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part E - Information on risks and related hedging policies | 248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part F - Information on consolidated capital | 351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part G - Combinations involving Group companies or business units | 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part H - Related-party transactions | 360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part I - Share-based payment schemes | 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part L - Segment reporting | 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part M - Disclosure on leasing | 373 |

---

\* \* \*

4 \| Consolidated financial statements as at 30 June 2024

---

| | |
|:---|:---|
| **Accounts of the Bank** | |
| &nbsp;&nbsp;&nbsp;&nbsp;Review of the Bank's operations as at 30 June 2024 | 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;Declaration by Financial Reporting Officer | 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;External auditors' report | 401 |
| &nbsp;&nbsp;&nbsp;&nbsp;Individual financial statements | 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;Notes to the accounts | 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part A - Accounting policies | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part B - Notes to the balance sheet | 474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part C - Notes to the income statement | 515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part D - Comprehensive income | 530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part E - Information on risks and related hedging policies | 531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part F - Information on capital | 612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part G - Combinations involving Group companies or business units | 619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part H - Related-party disclosure | 620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part I - Share-based payment schemes | 623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Part M - Disclosure on leasing | 627 |

---

Contents \| 5

---

| | |
|:---|:---|
| **Annexes** | |
| &nbsp;&nbsp;&nbsp;&nbsp;Consolidated Financial Statements | 632 |
| &nbsp;&nbsp;&nbsp;&nbsp;Parent Company's Individual Financial Statements | 639 |
| &nbsp;&nbsp;&nbsp;&nbsp;A - Breakdown, pursuant to Article 10 of Law No. 72 of 19 March 1983, of assets held by the Group for which revaluations were made | 642 |
| &nbsp;&nbsp;&nbsp;&nbsp;B - Balance sheets and income statements of investments in Group undertakings (including indirect investments) | 643 |
| &nbsp;&nbsp;&nbsp;&nbsp;C - Associated undertakings: balance sheets and income statements (as required under Article 2359 of the Italian Civil Code) | 684 |
| &nbsp;&nbsp;&nbsp;&nbsp;D - Fees paid for auditing and sundry other services | 687 |

---

\* \* \*

**Other documents**

Glossary 698

6 \| Consolidated financial statements as at 30 June 2024

CONSOLIDATED

ACCOUNTS

![](tm2518026d1ex99-6img001.jpg)

MEDIOBANCA GROUP REVIEW

OF OPERATIONS

AS AT 30 JUNE 2024

![](tm2518026d1ex99-6img001.jpg)

REVIEW OF OPERATIONS

The Mediobanca Group delivered a net profit of €1,273.4m in the twelve months ended 30 June 2024, an increase of 24.1%, laying solid foundations for delivering on the objectives contained in the 2023-26 Strategic Plan "One Brand-One Culture" (EPS in particular rose to 1.53, up 27% YoY). The increase in revenues, which were up 9.2%, to €3,606.8m, was driven by growth in fee income (up 11.5%, to €939.4m) and net interest income (up 10.2%, to €1,984.8m). The cost/income ratio was under control at 42.8%, and the cost of risk low, at 48 bps (down 4 bps YoY), both of which helped to consolidate the gross operating profit at a total of €1,812.5m (up 11.9% YoY; up 13% QoQ), with all earnings indicators increasing accordingly (ROTE 13.9%, RORWA 2.7%)<sup>(\*)</sup>.

The widespread improvement was delivered on the back of a strong commercial performance: results in Wealth Management were boosted by strong flows in terms of NNM (€8.4bn), virtually all of which in AUM/AUA, which increased from €59.8bn to €71.5bn,<sup>(1)</sup> helped by the strong inflows in 2H in particular which totalled €4.5bn (€1.5bn of which were AUM); deposits were basically flat, with the conversions to AUM being offset by healthy flows from liquidity events totalling approx. €1bn (from thirty deals), plus a promotional campaign which in 4Q generated over €1.5bn in new deposits. In Investment Banking, a trend towards growing activity levels consolidated in 4Q, with numerous deals in sectors considered to be strategic (such as Digital, Energy Transition and Mid Corporate) being closed, generating strong flows in terms of fee income (approx. €100m). Growth in Consumer Finance was again solid in terms of volumes (new loans totalled €8.4bn, €3bn of which direct personal loans), and the loan book's profitability also improved (the ROA increased to 8.36%). Funding activity also saw record volumes of issuance which totalled €8.2bn (with the cost of funding falling to 129 bps).

In view of the above results, the Board of Directors has approved a resolution to submit the following proposal to shareholders at the next Annual General Meeting:

– Distribution of the balance on the dividend for the year, of €0.56 per share, following the €0.51 per share interim dividend paid in May 2024, taking

---

| | |
|:---|:---|
| <sup>(\*)</sup> | To facilitate understanding of the earnings and asset trends, the same Key Performance Indicators (or KPIs) used to guide the management team in the decision-making process have been used in this document. These are Alternative Performance Measures (APMs), which are in addition to those required as part of the IFRS. Further details are provided in the Annexes (Lists of Restatements) and the Glossary. |

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<sup>(1)</sup> Including market and other effects totalling €3.2bn.

Review of operations Mediobanca Group \| 9

annual DPS to €1.07, and so corresponding to a payout ratio of 70% (and an annual increase of 25.9%);

Launch of a second share buyback and cancellation scheme<sup>(2)</sup> worth a total of approx. €385m (involving some 26 million shares, equal to around 3% of the company's share capital); the scheme approved last year (when 17 million shares were bought back, for a total outlay of €198m), was completed when the shares thus acquired were cancelled in June 2024.

Consolidated revenues climbed from €3,303.4m to €3,606.8m (up 9.2% YoY), with €978.6m added in 4Q alone (up 9% QoQ). The main income items performed as follows:

Net interest income totalled €1,984.8m (up 10.2% YoY) with the trend stable across the four quarters (4Q: €492.4m), bearing out the Group's capability to adapt to market conditions by changing its product, volumes and pricing mixes. The factors driving growth in net interest income were: loans and advances remaining stable at approx. €52bn; a strong increase in profitability (up 162 bps, from 4.26% to 5.88%), in Consumer Finance in particular (8.36%, vs 7.48% last year); the increase in the banking book securities portfolio, in terms of both volumes and yield (up €550m and up 114 bps respectively); and the improved contributions from the trading desks (proprietary trading and Markets Division); meanwhile, the cost of funding, although higher (up 106 bps), remained lower than the ROA (by approx. 56 bps). The trend in yields also drove increases in the margin from Treasury operations (up from €98.1m to €146.9m) and those of the other divisions: Consumer Finance reported NII of €1,043.9m (up 6% YoY), Wealth Management of €425m (up 17.6% YoY), and CIB of €307m (up 6.6% YoY); the fourth-quarter trend was stable;

Net fee and commission income totalled €939.4m, up 11.5% on last year, following a strong recovery in 4Q (up 17.3% QoQ), driven by an impressive performance in CIB in particular (fees of €135.8m). Breaking down the total by area of activity, fees earned from Wealth Management services<sup>(3)</sup> rose to €443m (up 9% YoY; up 6% QoQ); lending fees<sup>(4)</sup> were up 4% to €256m (with a slight, 5% reduction in 4Q); and fees from investment banking and corporate services<sup>(5)</sup> increased from €202m to

<sup>(2)</sup> Share buyback scheme subject to authorization by the European Central Bank.

<sup>(3)</sup> Wealth Management services: includes management and upfront fees.

<sup>(4)</sup> Lending services: includes fees earned from DCM, corporate lending, factoring and leasing operations.

<sup>(5)</sup> Investment banking and corporate services: includes Corporate Finance, ECM, and NPL management.

10 \| Consolidated financial statements as at 30 June 2024

€269m, reflecting the recovery in Italy in 4Q (€60m, more than double the total reported in the first 9M). At the divisional level, Wealth Management continued on its path towards growth, posting fee income of €489.4m, up 8.9% YoY, up 2.6% QoQ), with a stable increase in management fees (€344m, up 4% YoY and up 3% QoQ) and in upfront fees (€97m, up 25% YoY; up 8% QoQ), with banking and performance fees both soaring, the former up 10% YoY to €104.6m and the latter up 75% YoY to €14.8m, in 1H especially; fees earned by the Corporate and Investment Banking Division, as already mentioned, rose by 24.6% YoY to €360.6m, with a growing international component (approx. €140m, €66.9m of which attributable to the consolidation of Arma Partners); while the Consumer Finance Division posted fees of €145.1m (up 5.7% YoY), with a reduction in 4Q due to the higher commercial *rappel* fees;

Net treasury income totalled €172.2m (down 16.3% YoY), with €38.6m contributed in 4Q, slightly lower than in the previous quarters; the gap compared to last year (€205.7m) is concentrated in proprietary trading (down 69%, from €62.1m to €19.4m, €5.3m of which in 4Q), in part offset by the healthy contribution it made to net interest income; banking book management confirmed last year's performance, generating income of €39.1m (€42.7m), on gains of approx. €10m in banking book securities where the HTC&S portfolio instruments recovered. Markets activity with clients improved by 4%, from €72.7m to €75.6m, €12m of which in 4Q, with a good recovery posted by the fixed-income segment (revenues up from €16.1m to €26.2m), despite income from coupons being accounted for as net interest income), the majority of which was offset by the reduction in profits from the equity segment, which declined from €55.5m to €46.7m (but recovered in 4Q: up €20.8m). Dividends and other income from Principal Investing rose from €16m to €26.6m, €14.6m of which in 4Q as a result of certain non-recurring items being collected;

The contribution from Assicurazioni Generali, which is equity-accounted, totalled €503m, much higher than last year (€442.8m) due to the growth reported in all business segments, despite the higher claims for damages due to catastrophic events; the investee company's results were also boosted by non-recurring gains on the disposals of TUA Assicurazioni and Generali Deutschland Pensionskasse, plus financial effects linked to the introduction of the new IFRS 17 and IFRS 9, the application of which reduced the volatility of net equity; while the other investments in associates as defined by IAS 28 contributed €7.4m (vs €11m last year).

Review of operations Mediobanca Group \| 11

Operating costs totalled €1,542.2m (up 9.1% YoY, up 7.6% QoQ), with labour costs accounting for €804.5m (up 10.5% YoY, up 6.3% QoQ) and administrative expenses for €737.7m (up 7.7% YoY, up 9.1% QoQ). The strong growth in headcount, with 216 staff recruited (FTEs up from 5,227 to 5,443), plus the effects of the national collective contract renewal, are reflected in the higher fixed remuneration component (up 12% YoY), compounded by an increase in the variable component (up 8% YoY), reflecting, in Corporate and Investment Banking in particular (up 15% YoY), the recovery in activity levels. The trend in administrative expenses, as in 3Q before, is attributable to IT spending (up 10.8%, from €276m to €306m), including a strong project component (up 25%, to €68m) linked to initiatives both at Group level (technology resilience plan, migration to cloud-based solutions, development of ESG platform) and the individual divisions (WM: mobile collaboration, digitalized reporting, enhancement of core systems; CF: Pagolight platforms, customer experience improvement, multi-channel approach; CIB: BTP specialist platform). There were also increases in travel and entertainment expenses, and in marketing costs (up 8%), in Wealth Management particularly (up 18%) in support of the CheBanca! rebranding. At the individual divisional level: total costs in Wealth Management amounted to €613.5m (up 10.5% YoY; up 1.1% QoQ); in Corporate and Investment Banking to €379.9m (up 16.1% YoY; up 19.4% QoQ), with Arma Partners contributing €25.5m (up 9% YoY like-for-like, i.e. net of Arma Partners); in Consumer Finance to €369.5m (up 6.4% YoY; stable QoQ); the Holding Functions' performance, meanwhile, reflects the disposal of Revalea, with costs totalling €192.3m (up 11% YoY without Revalea).

Loan loss provisions decreased by 6.7% to €252.1m, entailing a cost of risk of 48 bps (down 4 bps YoY). Corporate and Investment Banking posted net writebacks of €10.6m, compared with €32.3m in writedowns last year. The higher provisioning in Consumer Finance (up from €203.9m to €249.7m) reflects both a modest increase in default and non-payment rates (which are now effectively realigned to pre-Covid levels), plus the growth in direct personal loans, which have higher profitability and cost of risk; against this backdrop, the CoR rose from 145 bps to 168 bps. The Holding Functions' contribution (which, since Revalea was sold, consists of leasing operations only) decreased to €5.6m, while provisioning in Wealth Management totalled €7.4m, €6.7m of which in mortgage lending. The stock of overlays totalled €221.6m (30/6/23: €268m), with the uses made during the twelve months reflecting the fine-tuning of the ECL risk parameters in Consumer Finance, plus the reduced impact of inflation in the Corporate model.

12 \| Consolidated financial statements as at 30 June 2024

Net provisions for banking book securities and other financial assets totalled €3.4m, plus upward adjustments to reflect the Fair Value of holdings in investment funds included in the banking book, which totalled €17.3m.

The bottom-line result was also impacted by non-recurring other losses totalling €90.2m (€185.8m) due to:

– €50.7m in payments to the resolution funds, most of which regarded the ordinary contribution (€23.9m), and the early booking of the final payment due under the Deposit Guarantee Scheme (€24.2m, paid on 2 July 2024).

– €31.7m in impairment charges for the RAM AI brand, to reflect its Fair Value which has been measured at €12m, using only the budget figures for FY 2024-25 (in view of the recent years' performances);

– €6.8m in accelerated amortization charges for software, following the revision of its useful life;

€1m as the net effect of adjustment of the Messier & Associés brand to its initial recognition value in the individual accounts (resulting in a charge of €10.2m being taken) mostly offset by the writebacks credited as a result of the PPA process being completed (release of upfront share and payment of the deferred share), the valuation effects for the provision for risks and charges, and the liabilities due in respect of the put-and-call agreements.

\* \* \*

On the balance-sheet side, total assets rose from €91.6bn to €99.2bn, mostly due to the increase in treasury management activity matched by short-term liabilities, with the main items reflecting the following trends:

Customer loans were stable at €52.4bn, with a positive trend in Consumer Finance (up 5.1%, from €14.5bn to €15.2bn), offsetting the reduction in Corporate and Investment Banking, where customer loans decreased from €19.6bn to €19bn despite the resilience of Factoring operations (up 3.1%, to €2.9bn); customer loans in Wealth Management were unchanged at €16.8bn, while the Holding Functions' performance was impacted by the sale of Revalea (and its customer loans of €238.8m) and the downturn in leasing operations (customer loans down 11.1%, from €1.4bn to €1.2bn);

Banking book securities rose from €10.5bn to €11.3bn (€4.6bn of which in the HTC portfolio, and €6.6bn of which in the HTC&S portfolio), and reflect the acquisition of government bonds totalling €4.9bn, only one-third of which Italian; the favourable market trend improved the OCI reserve from

Review of operations Mediobanca Group \| 13

minus €73.2m to minus €9.2m, reducing the unrealized gains on the HTC portfolio from €85.4m to €44.2m;

Net treasury assets increased from €5bn to €6.4bn, following growth in equity and bond investments (to €3.9bn and €3.5bn respectively) in order to leverage market opportunities and improve the result, matched by repo and secured financing transactions (up €6.3bn). Cash and liquid assets deposited with the European Central Bank fell from €3.5bn to €2.6bn;

Funding rose by €3.2bn, to €63.7bn, due to an increase in debt securities (from €22.3bn to €27.6bn) which reflects the record new issuance (€8.2bn), against redemptions totalling €2.9bn, having regard to the planned reduction in the T-LTRO (from €5.6bn to €1.3bn). The effective strategy in terms of tapping the market and broad customer diversification (institutional/own networks/third-party networks) has enabled the cost of the new issues to be reduced to 129 bps (vs 147 bps last year), despite the higher funding (Tier 2 €300m and Senior Non-Preferred €1bn); Wealth Management deposits were basically flat at €27.9bn, even following the promotional activities, which did not impact excessively on the cost of funding. Interbank funding also increased, from €4.5bn to €6.8bn, and at competitive spreads (11 bps lower than last year).

Total Financial Assets (TFAs) reached €99.4bn (up 12.9% YoY; up 1.2% QoQ), on new AUM/AUA of €8.6bn, plus a positive market performance adding €3.2bn (virtually nil in 4Q). The stock of AUM/AUA totalled €71.5bn (up 19.5% YoY and up 1% QoQ), split between Private Banking (€33.8bn, up 22.7% YoY; up 1.4% QoQ) Premier Banking (€24.9bn, up 21.2% YoY; up 4.4% QoQ), and Asset Management (€28.2bn, up 9% YoY, €15.5bn of which placed by the Group's networks). The stock of deposits, as mentioned earlier, remains close to last year's levels (€27.9bn), split between Mediobanca Premier (€16.9bn), Mediobanca Private Banking (€5.9bn), and CMB Monaco (€5.1bn).

The capital ratios (CET1: 15.2%;<sup>(6)</sup> Total Capital: 17.7%) confirm a Maximum Distributable Amount (MDA) buffer<sup>(7)</sup> of approx. 510 bps, against an Overall Capital Requirement<sup>(8)</sup> of 8.25% The approx. 70 bps reduction in the CET1 ratio primarily reflects the acquisition of Arma Partners, which accounted for 55 bps (this will reduce in the future, due to the use of treasury shares to complete the

<sup>(6)</sup> CET1 fully-phased pro forma, with Danish Compromise permanent (benefit approx. 100 bps).

<sup>(7)</sup> Maximum Distributable Amount (MDA): minimum level of CET1 required, which includes the shortfall on AT1 and Tier 2 capital.

<sup>(8)</sup> The Overall Capital Requirement for CET1 includes 56.25% of the P2R requirement updated following the most recent SREP (1.75%), the Conservation Capital Buffer (2.50%), the Counter-Cyclical Buffer at 30 June 2024 (0.15%), and the new O-SII requirement introduced for Mediobanca starting from 2024 equal to 0.125% (as from 2025, fully-loaded, this will rise to 0.25%). The requirements do not include the new system risk buffer recently introduced by the Bank of Italy, of 1% by end-June 2025 (phase-in 0.5% by end-December 2024).

14 \| Consolidated financial statements as at 30 June 2024

acquisition); the organic growth in earnings in the twelve months, which added 350 bps, was helped by the lower RWAs (down approx. 7.4%) due to the reduction in lendings and to the risk mitigation measures implemented (including 15 bps in relation to the Significative Risk Transfer securitization of Consumer Finance receivables), but was offset in full, as expected, by the prudential deductions for the Assicurazioni Generali investment (which accounted for 60 bps) and by the shareholder remuneration (305 bps, including the interim dividend paid in May 2024, the first share buyback completed with the cancellation of 17 million shares, and the two proposals to be submitted to the approval of shareholders at the upcoming Annual General Meeting, for the balance due on the dividend and the new buyback tranche for a total of €385m<sup>(9)</sup>).

RWAs at Group level decreased from €51.4bn to €47.6bn (down 7.4% YoY), with the share attributable to CIB totalling €14.9bn (down 23.5% YoY) and that of Consumer Finance amounting to €14.5bn. The Group's RWA density decreased from 56.1% to 48%, while the ratio for CIB decreased from 60.8% to 38.1%, and that for Consumer Finance fell from 88.1% to 89.8%. The share of RWAs attributable to loans and advances amounted to 85.7% (€40.8bn), while the market share was 3.5% (€1.7bn).

The Total Capital ratio declined to 17.7%: the increase due to the new €300m subordinated issue made in January 2024 was offset by the prudential repayment of the equivalent issues falling due shortly, and to the other deductions described in more detail above.

The leverage ratio reduced to 7.1%, significantly higher than the 3% minimum requirement; the MREL indicator too, i.e. 43.5% of RWAs and 20.3% of LREs, is comfortably above the minimum requirements set for 2024, which were 23.57% of RWAs and 5.91% of LREs.

\* \* \*

The divisional performances for the twelve months were as follows:

*Wealth Management* (WM): net profit totalled €208.5m (up 28.8% YoY), confirming quarter-on-quarter growth (4Q: €55.4m; 3Q: €52.9m; avg. €50m in 1Q-2Q). The main profit indicators reflect improvement in the twelve months: cost/income ratio 66.4% (67.7%); RoRWA 3.6% (3.1%); NNM €8.4bn. The growth in AUM/AUA (up 19.5%, to €71.5bn) reflects the strong

<sup>(9)</sup> New share buyback and cancellation, subject to authorization by shareholders in AGM and by the ECB, the amount of which is equal to the profit for the year net of the proposed dividend.

Review of operations Mediobanca Group \| 15

performances in Private Banking (up 22.7%YoY) and Premier Banking (up 21.2% YoY), with an acceleration in 2H (NNM of €4.7bn, €4.4bn of which in AUM/AUA and €213m in deposits, most of which were re-established in 4Q). Revenues totalled €923.6m (up 12.6% YoY, up 0.5% QoQ), on net interest income up 17.6% (from €361.5m to €425m) and net fee income up 8.9% YoY to €489.4m, with growing contributions from management fees (up 4%, to €344m, approx. €90m of which in 4Q; up 3% QoQ; ROA<sup>(10)</sup> 84 bps) and upfront fees (€96.6m, up 25% YoY and up 8% QoQ). At the same time, operating costs rose by 10.5% YoY, and by 1.1% QoQ, to reach €613.5m, reflecting the planned strengthening of the commercial network, adjustments due to the new national collective bargaining contract, the launch of Mediobanca Premier, and the digitalization initiatives:

*Corporate and Investment Banking* (CIB): this division delivered a net profit of €243.5m in the twelve months (up 8.1% YoY), following an outstanding fourth quarter (€74.5m), and reflecting the consolidation of Arma Partners since 1 October 2023 (which contributed €14.6m); RORWA rose to 1.4%, confirming the validity of the capital-light model (fees: up 23%; RWAs: down 22%). Revenues totalled €762.6m (up 7% YoY, up 17.1% QoQ), with a strong contribution from net interest income (€307m; up 6.6% YoY, down 7.9% QoQ), which offset the reduction in net treasury income (down from €135m to €95m). Net fee and commission income rose to €360.6m (€293.7m excluding Arma Partners), an increase of 24.6% YoY and of 48.6% QoQ, driven by the outstanding performance in advisory business (up 19% YoY), compared with a reduction in fees from ECM operations (down from €26.9m to €5.8m) and a resilient performance by the Debt Division (€83.9m), buoyed by the strong demand for bond placements. Operating costs of €379.9m (up 16.1% YoY and up 19.4% QoQ) pushed the cost/income ratio up to 49.8%, reflecting the addition of Arma Partners (€25.5m), plus also investments in IT (IT costs: up 14% to €64m), and the resumption of commercial expenses (up 31%, to €12m); derisking activity, while impacting on profitability, at the same time also improved credit quality, which translated to some €10.6m in net writebacks being credited;

*Consumer Finance* (CF): this division posted a net profit of €382.9m, thus beating even last year's record result (€373.5m), despite the 4Q result (€91.3m) being lower than those recorded in the other three quarters (approx. €97.5m in each), due to the renewal of the hedge swaps, the finalization of the commercial *rappel* fees, and the completion of the projects for the

<sup>(10)</sup> <sup></sup> Return on AUM.

16 \| Consolidated financial statements as at 30 June 2024

twelve months. RORWA stood at 2.7%, with the cost/income ratio stable at 31.1%. Customer loans at the year-end totalled €15.2bn, with strongly growing profitability (up 88 bps to 8.36%), reflecting the good repricing activity, plus the loan mix being geared towards direct personal loans (these accounted for €3bn of the €8.4bn new loans in 12M). Net interest income rose to €1,043.9m (up 6% YoY, and stable QoQ), in line with the trend in fee income as well (up 5.7% YoY, to €145.1m). The cost trend was also very similar, with operating costs of €369.5m being recorded, up 6.4% YoY, and stable QoQ), reflecting the renewal of the national collective labour contract (administrative expenses: up 6% YoY), the major project activities to support the technological and international expansion, and the increased weight of credit recovery expenses. Loan loss provisions for the twelve months totalled €249.7m, with €65.6m set aside in 4Q; the CoR stood at 168 bps (versus 145 bps last year), with the 4Q level (174 bps) which, having accounted for the overlays effect, reflects increasing realignment to pre-Covid levels.

*Insurance – Principal Investing* (PI): the Insurance & PI division delivered a net profit of €522m for the twelve months, equivalent to a RORWA of 3.8%, with Assicurazioni Generali contributing €503m, including a new record performance in 4Q (€165.3m), with all business segments performing well and including the effects of the disposals of TUA Assicurazioni S.p.A and Generali Deutschland Pensionkasse. The book value of the Assicurazioni Generali investment totalled €3.7bn, compared with a market value of €4.8bn, up more than 25% on an annualized basis (stable in 4Q);

*Holding Functions* (HF): the net loss posted by the Holding Functions division halved from €95.3m to €43.8m, with the €26m net loss recorded in 4Q reflecting substantially the payment of the final instalment due to the Deposit Guarantee Scheme (€24.2m); total revenues were up 1.4% YoY to €223.5m, with net interest income increasing over the twelve months to €178m, up 22.7% YoY), but more or less stable in 2H, in line with the trend in market interest rates and the increase in the cost of funding, which was impacted by the higher beta on Wealth Management deposits. The regulatory ratios remain high (LCR: 159%; NSFR: 116.8%; MREL: 43.5%). Operating costs decreased to €192.3m, factoring in the Revalea disposal (net of which costs were up 10.9% YoY on a like-for-like basis, most of which involved labour costs), with the central costs share (€118m) representing 7.6% of the Group total. Leasing operations contributed a net profit of €4.1m, with asset quality improving (gross NPLs decreased from €107.4m to €79.8m).

\* \* \*

Review of operations Mediobanca Group \| 17

Significant events in the twelve months include the completion of many of the extraordinary operations announced in May 2023 in connection with the launch of the new three-year Strategic Plan, as follows:

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| | |
|:---|:---|
| *–* | Acquisition of a controlling interest in UK-based partnership Arma Partners LLP, an independent financial advisory firm which is a European leader in the Digital Economy sector. The company is part of the Banking Group and has been consolidated on a line-by-line basis since 2023; |

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Acquisition by Compass Banca of 100% of HeidiPay Switzerland AG, a Swiss fintech specializing in the Buy Now Pay Later (BNPL) segment. The deal strengthens the partnership with HeidiPay AG, the holding company specializing in the development of digital platforms to support BNPL in the world of e-commerce and for physical merchants;

*–* Disposal of Revalea S.p.A., in return for a consideration of €100m; the company exited the Banking Group's scope of operations in October 2023;

*–* Launch of MB SpeedUp, a joint venture set up in conjunction with London-based company builder and early-stage investor Founders Factory, which will facilitate the promotion of, and investment in, fintech companies;

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| | |
|:---|:---|
| *–* | Launch of Mediobanca Premier, which has involved repositioning the bank versus a higher client bracket that can leverage on a Group-wide product offering integrated with the asset management factories, and also, for clients who are entrepreneurs, offering them the possibility of using the Group's Corporate and Investment Banking services and the advisory services provided by both bankers and FAs of increasing seniority; the rebranding has led to an acceleration in the process of recruiting commercial staff with higher average portfolios than those already covered; |

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Mediobanca S.p.A. has been recorded in the List of BTP Specialists instituted by the Italian Ministry for the Economy and Finance with effect from 1 June 2024, meaning the Bank is now accredited as a primary dealer; this initiative, in line with the Strategic Plan drivers based on strengthening in low-capital absorption activities and expanding Mediobanca's product offering versus institutional clients in the fixed-income space, confirms the Bank's leading role in Markets activities within both the Italian and international panoramas.

The following events should also be noted:

*–* Admission of Mediobanca to the co-operative compliance programme instituted by the Italian revenue authority under Title III of Italian Legislative

18 \| Consolidated financial statements as at 30 June 2024

Decree no. No. 128 of 5 August 2015, as amended by Italian Legislative Decree no. 221/2023, effective from the tax period ended on 30 June 2023; under the terms of the programme, the Bank is required to put in place an effective system for recording, measuring, managing and controlling tax risk (the "Tax Control Framework"), in line with the Tax Conduct Principles adopted by the Board of Directors;

Completion of the first securitization of Consumer Finance receivables in SRT (Significant Risk Transaction) format, in which the traditional sale of the €500m senior tranche was complemented by three mezzanine tranches worth a total of €87.5m, allowing a substantial portion of the risk associated with the underlying portfolio (approx. €815M) to be transferred; ECB authorization of the deal has enabled a saving in terms of RWAs in the region of €500m.

At the Annual General Meeting held on 28 October 2023, the shareholders of Mediobanca adopted several important resolutions in respect of various initiatives related to the 2023-26 Strategic Plan, in particular as follows:

*–* Long-Term Incentive (LTI) Plan for senior and strategic Group staff, to be allocated upon financial and non-financial objectives being met;

Employee Share Ownership and Coinvestment Plan 2023-26 ("ESOP 2023-26") for Mediobanca Group Staff who have decided to acquire Mediobanca shares on a voluntary basis and on favourable terms; participants in the scheme will receive additional shares free of charge upon the Plan targets being achieved; The subscription phase was completed in December 2023, with approx. 28% of in-scope staff taking part (for a total of 415,600 share);

The first share buyback programme, involving a total of 17,000,000 shares (equal to 2% of the share capital) for an outlay of €197.8m<sup>(11)</sup> which were cancelled on 11 June 2024;

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| | |
|:---|:---|
| *–* | Amendment to the Articles of Association to provide for the possibility of paying interim dividends, the first of which was paid on 22 May 2024 in an amount of €421.2m based on results for the six months ended 2023 (corresponding to a dividend per share of €0.51). |

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\* \* \*

In what has been an uncertain operating scenario due to geopolitical events and the macroeconomic trend which continues to change, with frequent climate

<sup>(11)</sup> In accordance with the regulations on transparency in force, the individual trades were disclosed on a monthly basis starting from the month after the one when the Programme was launched, and are published on the Mediobanca website. The purchases were made exclusively on regulated markets.

Review of operations Mediobanca Group \| 19

and social emergencies, the Mediobanca Group is even more committed to making sustainability the focus of its strategy, by pursuing a balance between economic growth, social well-being and protection of the environment.

This responsible approach to banking is reflected not only in the offering of solutions, products and advisory services offered to support clients in their transition to a sustainable economy, but also in the training and awareness-raising activities implemented to promote increased sensitivity to ESG topics both inside and outside the Group.

As proof of its commitment to achieving its sustainability objectives, the Group has renewed its membership of some of the most important international protocols, such as the UN Global Compact, the Principles for Responsible Banking, and the Net-Zero Banking Alliance.

Participation in these initiatives, coupled with the integration of ESG criteria into all areas of the Group's business, has contributed to the improvement in the Bank's ESG rating, as assessed by: ISS (Institutional Shareholder Services), which has assigned Mediobanca its top score in all three ESG areas – Environmental, Social and Governance, and the CDP (Carbon Disclosure Project), which has improved its score from "C" to "B", in recognition of Mediobanca's commitment to addressing its impact on the environment.

The Group's understanding of this impact has led it to strengthen its risk management in order to address the challenges deriving from climate change that could affect the growth of the business, and to support a balanced transition and adaptation process for both the Group and its clients.

All qualitative and quantitative ESG targets included in the Strategic Plan 2023-26 "One Brand-One Culture" are progressing in line with expectations, in particular as follows.

More than 84% of the Group's staff have received training in ESG issues, with the objective being to reach 100% by end-June 2026, including 100% of Financial Advisors; while 65% of the Wealth Management advisors have received EFPA certification (with an objective of 100% by the end of the Plan time horizon).

More than ten million emails on environmental and financial education issues have already been sent to Compass clients, out of a target of 35 million by end-June 2026.

20 \| Consolidated financial statements as at 30 June 2024

In connection with the Group's priority objective to reach carbon neutrality by 2050, interim targets have been set for 2030 for all high-carbon intensity sectors, as per the commitment with the Net-Zero Banking Alliance (NZBA). The actions taken to ensure climate-related aspects are more closely integrated into the company's strategy have been described for the first time as part of the Group's Transition Plan.

The Group is also committed to limiting the impact on the environment caused by its own footprint, including by improving waste management and prior assessment of the environmental impact of new processes, systems and equipment, and of structural and organizational changes.

On diversity and inclusion issues, there has been an increase in all the target indicators included in the Strategic Plan, including reduction in the gender gap, to be pursued by ensuring more women are in positions of leadership and guaranteeing equal access to promotion and career advancement opportunities. It should be emphasized that delivering on such challenging objectives has been possible because of the Group's people, who are its most important resource: it is because of them that sustainability has been confirmed as one of our Group's founding values.

In order to contribute to the well-being of the Group's people, an organizational approach is promoted based on understanding, respecting and recognizing the value of all kinds of diversity, starting with gender. As recognition of the work we have done in this area, in December 2023 gender parity certification was obtained, in accordance with the UNI/PdR 125:2022 standard required by the NRRP.

In the Group's efforts to achieve such challenging objectives, it does not want anyone to be left behind, or to neglect the needs of the communities of which it forms part. The inclusion of the more socially vulnerable categories and those at the greatest risk of exclusion, especially young people, is a major issue for the Bank, and its focus on the more vulnerable groups of society has also led, among other things, to Financial Health and Inclusion being identified as one of the priority areas of the Group Sustainability Policy. Social inclusion is also a priority in view of the communities in which the Group operates. To this end it has also renewed its partnership with UNHCR, to support the integrated protection programme for female refugees and asylum seekers who at risk of gender-based violence (GBV) in Italy.

In the area of inclusive education, the partnership with Fondazione Mission Bambini has been confirmed, with the objective of guaranteeing free access to services for fifteen children aged 0-3 years, and also the partnership with Junior

Review of operations Mediobanca Group \| 21

Achievement Italy, for a new programme, also run free of charge, known as "CONTA SUL FUTURO!" (Count on the Future), to provide financial education for middle-school students, with some of the Group's staff volunteering in the classroom-based activities.

The Group has also supported the universally recognized values of sport, renewing and promoting the following projects:

– INSIEME/TOGETHER: a long-term project devised in conjunction with CUS Milano Rugby and the Milan city council, to promote opportunities for sport among young people forming part of the weakest sectors of society at risk of exclusion in certain peripheral areas of Milan;

Mediobanca Group Sport Camp: a multi-sport camp developed in conjunction with the Milan City Council and run at the "Cesare Beccaria" Institute in Milan to give young offenders an opportunity to spend a week playing sport. The project has also involved improving the facilities, with the installation of rugby posts and new goal posts for football. The camp, which was run for the eighth year at the end of June 2024, once again with the direct involvement of some of its own staff participating, and in early July it was run outside Milan for the first time too, at the Nisida Institute for Juvenile Offenders in Naples.

\* \* \*

**Developments on capital markets**

During the 2023-24 financial year, the global economy continued to grow at a moderate rate, against a backdrop of generally restrictive monetary policies (with the notable exception of Japan), and still high levels of geopolitical uncertainty due to the tensions in different regions (the Russia/Ukraine war and the conflict between Israel and the Palestinian armed organizations) not usually affected by such wide-ranging armed conflict.

Signs that global growth is consolidating began to emerge in second half-year, helped by the process of friend-shoring Asian production activities (i.e. using production and sourcing centres in countries that can guarantee the safety of the process), the Chinese authorities gaining a firmer grip on the local economy's performance, and a relaxing of the restrictive monetary policies adopted in various jurisdictions. In the second half-year, with the ongoing deflationary process and related trend in terms of prospects for the monetary authorities' stances, the risk orientation on growth changed from negative to

22 \| Consolidated financial statements as at 30 June 2024

balanced, but the growth is not seen as being uniform between the advanced nations: the US economy appears to be especially resilient, while growth in the European Union is weak, there has been a pronounced slowdown in Chines growth, and the Japanese economy is at the contraction phase.

Indeed, in the first half of the financial year, the average changes recorded in GDP were up 1% QoQ in the United States, up 1.5% in China, down 0.1% in the Eurozone, and down 0.5% in Japan.

In the western economies, the action taken by the central banks to dampen economic activity in order to bring inflation back closer to the economic policy target has begun to reveal its effects, cooling US growth and keeping growth in the Eurozone to modest levels.

In 3Q global growth stabilized at levels in line with the pre-Covid period at around 0.9% QoQ, with a reduction in the United States (to 0.3%), China and the Eurozone basically flat (at 1.6% and 0.3% respectively), and Japanese growth, which was already negative on average during the preceding six months, weakening still further (at minus 0.7%).

The production sector confidence indexes confirmed the trajectories outlined above for 4Q. In the second half-year, then, growth averaged 0.5% QoQ for the United States, 1.1% for China, 0.3% for the European Union, and 0.1% for Japan, with prospects for generally modest growth in the coming quarters.

The deflationary process involved all geographies but at different speeds and with different characteristics. Net of the energy and food components, inflation in the Eurozone began to decline roughly three months after the high recorded in the United States and much faster, because in recent years production processes have become less sensitive to tensions in the production chains, and demand is decidedly less strong than it is in the United States (having decreased from 5.5% YoY at the start of the financial year to 2.9% at end-June 2024 for the Eurozone, compared with a reduction from 4.7% to 3.3% for the same period for the United States).

Against this scenario, stock market prices were weak in the first quarter (MSCI World Index down 4.3%), until it became clear that the central banks were succeeding in their efforts to bring inflation back under control in an orderly manner without causing growth to slow excessively as a result (what the economists have been referring to as the "soft landing"). Starting from 2Q, rising global stock market prices led the indexes to record performances that overall were comparable to those of the previous year (MSCI World Index up 18.4% compared

Review of operations Mediobanca Group \| 23

with 15.2% in FY 2023-24). The Far Eastern markets as a whole have followed the trend of the global index, but the growth has been less expansive (MSCI Asia Pacific up 10.6%), and impacted by the Chinese component which has dampened the markets' performances (MSCI China down 4.5%). The European index has reflected a similar trend, largely flat in the fourth quarter due to the economic slowdown caused by the weak international scenario.

The general level of government interest rates fluctuated considerably in the first half-year in both the United States and in Europe, on account of uncertainty regarding the effectiveness of the economic policy action on growth in these jurisdictions. The US 10Y government interest rate rose by 73 bps, from 3.84% to 4.57% in 1Q, before falling by 69 bps in 2Q and then beginning to reflect more stable growth in the second half-year, closing at 4.40%. A similar trend was reflected by the 10Y German yield which rose by 45 bps in 1Q (from 2.84%), before falling by 82 bps in 2Q (to 2.02%), and then ending the twelve months at 2.50% (for an overall increase of 11 bps YoY).

In the Chinese economy, which is struggling with the complex process of stabilization in the real estate sector and building confidence among households and companies, interest rates have generally reflected a declining trend throughout the whole twelve months, with a more pronounced change seen in 2Q. The 10Y benchmark rate fell from 2.64% to 2.20% in the year under review.

\* \* \*

The European economy's performance in the twelve months has been impacted by the strength of domestic demand fuelled by savings accumulated during the pandemic, the emergence of new production chains ("friend-shoring"), and the ongoing deflation process launched midway through the previous year. Towards the end of the twelve months, the results of the French *Assemblée Nationale* elections injected an element of political uncertainty, the first effects of which were projected onto the risk premium on the country's sovereign debt and risk assets. The region's growth has in any case been driven by the Next Generation EU (NGEU) programme, some of main problems in which have been borne out in the transition from project to implementation phases.

Price trends have been affected by adjustments on the production side that have facilitated reductions in the cost base. The most important point to note is the positive trend in wages, which, despite growing and being fuelled by the low unemployment levels, in the second half-year managed to dissipate fears that the purchasing power lost during the period of high inflation would be recovered in

24 \| Consolidated financial statements as at 30 June 2024

full. As mentioned, the Eurozone Harmonized Index of Consumer Prices (HICP) fell in the twelve months, from 5.5% to 2.5%. By contrast, the downward trend in underlying inflation suggests that inflation fell from 5.5% to 2.9%.

The growth in GDP reflected a weak contraction of 0.1% QoQ on average during 1H, and the 0.3% QoQ improvement in 2H referred to earlier The growth prospects for Europe in the immediate future continue to be closely linked to the economic consequences of the Russia/Ukraine conflict, as well as to the political developments in France and the trend in Chinese growth.

In this scenario, the ECB has chosen to stabilize the extent of its tightening policy, with the benchmark interest rate at 4%, and to reduce the stock of sovereign debt instruments acquired during the expansive phase of the process when interest rates were rising rapidly, at a rate of €7.5bn per month. In pursuing its monetary policy, the ECB has chosen to abandon the forward guidance (its commitment to pursue a policy conduct for an established period of time or until certain conditions have been met) in favour an approach based on the information obtained in the time between meetings, which, by its very nature, is reactive and flexible.

The modest level of economic growth, the declining inflation, the low unemployment levels and the positive stance on risk assets have led to the following results during the period:

Market inflation expectations stabilizing during 2H: at 5Y and 10Y these fluctuated, with only minor misalignments between them, at around 2.5% for 1Q to between 2% and 2.2% in 2Q, and then stabilized at these levels in 2H;

Rising stock market prices: the Euro Stoxx 600 has risen by 10.7%, the Italian, Spanish and German indexes by between 17.4% and 12.9%, and the French index, having been impacted by the political uncertainty facing the country, ended the twelve months virtually unchanged (up 1.1%);

The ongoing tightening of European government security spreads, interrupted only by the emergence of political risk in France: the 10Y spread on Italian bonds narrowed by approx. 38 bps to 133 bps at the start of June 2024, before widening by 27 bps in the final month of the year, that on Spanish paper by approx. 30 bps to 73 bps, before widening to 20 bps, and that on French paper by approx. 6 bps to 47 bps, before widening to 32 bps;

– The narrowing on the spread on high-yield credits; the Crossover index narrowed from 404 bps to around 326 bps at end-June 2024, representing a significant increase from approx. 290 bps at the start of the same month, and the equivalent US index from 429 bps to 343 bps;

Review of operations Mediobanca Group \| 25

The stability of the Euro, the fluctuations in which ranged from between 1.05 and 1.12 versus the US dollar and between 100 and 97.7 versus the trade-weighted averages of bilateral exchange rates with foreign currencies. Overall, during the twelve months under review, the Euro lost approx. 1.1% versus the US dollar and 0.5% versus other trade partners.

\* \* \*

It should also be noted that since the end of the financial year under review, more favourable market conditions have brought European credit assets, both government (non-French) and corporate, back to the levels seen prior to the emergence of the French political risk. For example, at end-August the spread on 10Y Italian paper had returned to the 130 bps and the Crossover index to the 290 bps area, i.e. the levels seen at the start of June.

\* \* \*

The Italian economy reported a stabilization in growth during 1H, at unimpressive levels (the average growth rate for 6M was 0.26% QoQ), but still faster than the average QoQ growth reported during the previous financial year (0.11%). In 3Q, growth consolidated at a level higher than the potential growth (0.34% QoQ), and the guidance coming from business research suggests a similar level may be reached in 4Q as well. Growth has certainly been strengthened by the use, albeit still only partial, of the National Recovery and Resilience Plan (NRRP) funds, by the stabilization in the growth of the nation's trade partners (European especially), and a monetary policy that remains accommodative.

The prospects for growth in Italy remain strongly anchored to the trend in the demand for exports, and hence, indirectly, the trend in the economies of the various end-markets. Aspects of concern chiefly involve the Russia/Ukraine conflict, the tensions in the Middle East, and the short-term prospects for the structural reforms that China is undergoing. Key factors for short-term growth and long-term prospects are the implementation of the structural reforms on which the NRRP is conditional, and the realization of the public works that are supposed to flow from them.

On financial markets, the Italian stock indexes have outperformed the rest of the European markets. The trend in favour of risk assets in general, not just Italian and indeed not just European ones, has developed in tandem with the awareness signalled by the leading central banks that the tightening monetary policy phase which started last year is coming to an end, and that the deflationary

26 \| Consolidated financial statements as at 30 June 2024

process is continuing. The FTSE MIB gained 7.5% in 1H (Eurostoxx 600 up 3.5%) and 9.2% in 2H (Eurostoxx 600 up 6.8%), resulting in a 17.4% increase for the twelve months as a whole (Eurostoxx 600 up 10.7%).

\* \* \*

Regarding the Italian consumer credit market, the Assofin data updated for 1H 2024 confirms that the positive trend which began in 4Q 2023 has continued: new loans granted in the six months ended 30 June 2024 were up 4.9% on the same period last year, totalling €28.4bn.

Breaking the aggregate figure down by technical form, virtually all products posted in improvements in 2024 relative to 2023:

Personal loans, which were up 9.3%, recovered ground as households resumed spending on projects, after posting a 1.6% loss last year; there was also an increase in average ticket size, from €12,750 to €13,000;<sup>(12)</sup>

Car and motorbike finance continued to be healthy, reflecting 2.9% growth in volume terms;

Other special purpose loans decreased slightly (down 0.8%) following the good performance posted in 2023;

Salary- and pension-backed finance continued to be weak (down 2.7%), despite increasing slightly in 2Q, in the pensioners and private sector employees segments in particular;

Payments by credit card made up ground, increasing by 1.6%, in the instalment segment especially (15.3%).

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **2020** | **2020** | **2021** | **2021** | **2022** | **2022** | **2023** | **2023** | **2024 (6 months)** | **2024 (6 months)** |
|  | **€m** | **%** | **€m** | **%** | **€m** | **%** | **€m** | **%** | **€m** | **%** |
| Vehicle credit | 6664 | 16.6 | 7896 | 16.6 | 7416 | 14.0 | 7812 | 15.0 | 4240 | 15.0 |
| Specific purpose loans | 4965 | 12.4 | 5686 | 12.0 | 6419 | 12.1 | 6741 | 13.0 | 3172 | 11.2 |
| Personal loans | 17563 | 43.7 | 22370 | 47.0 | 26454 | 49.9 | 25980 | 49.9 | 15116 | 53.2 |
| Credit cards | 5516 | 13.7 | 5347 | 11.2 | 5664 | 10.7 | 5454 | 10.5 | 2676 | 9.4 |
| Salary-backed finance | 5491 | 13.6 | 6262 | 13.2 | 7109 | 13.3 | 6032 | 11.6 | 3188 | 11.2 |
|  | 40199 | 100.0 | 47561 | 100.0 | 53060 | 100.0 | 52019 | 100.0 | 28392 | 100.0 |

---

*Source*: Assofin: for the car/motorbike segment, the figures refer to volumes generated by independent operators; while for credit cards, only volumes generated by pure credit cards and cards with instalment options are considered. For 2023 the Assofin adjusted figures published in May 2024 have been used.

\* \* \*

<sup>(12)</sup> Net of non-special purpose credit lines.

Review of operations Mediobanca Group \| 27

With reference to mortgage loans, there has been a notable slowdown in commercial activity following the property market contraction and in view of the strong competitive pressure; indeed, in the twelve months under review a total of 8,634 mortgages were executed with total finance of €1,100.6m disbursed, compared to 15,372 mortgages worth €2,244.7m the previous year. The share of "green" mortgages (i.e. financed disbursed for the acquisition or renovation of Class A or B properties) remained virtually unchanged, at 13%.

The residential property sector, after several years of uninterrupted growth, posted a 9.6% reduction in 2023, from 785 million transactions the previous year to 710,000. In the same period, the mortgage market for households to acquire properties was affected by both the slowdown in the property market itself and by the rise in interest rates, and so reflected a pronounced reduction of 25.4%, from €55.3bn to €41.2bn.

The downward trend continued into 1Q 2024, during which property sales declined by more than 7% and new mortgage loans by 17%.

\* \* \*

In 2023, approximately €34.8bn in new leases were granted, with almost 763,000 contracts executed; the growth versus 2022 was 8.8% in value terms, and 13% in the number of contracts. In the first six months of 2024, 390,000 new contracts were executed worth €17.2bn; compared to 1H 2023, this represents a reduction of 4.7% in value terms and of 5.4% in number.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **2020** | **2020** | **2021** | **2021** | **2022** | **2022** | **2023** | **2023** | **2024 (6 months)** | **2024 (6 months)** |
| <br>**Leases executed** | **(€/mln)** | **%** | **(€/mln)** | **%** | **(€/mln)** | **%** | **(€/mln)** | **%** | **(€/mln)** | **%** |
| Automotive | 11775 | 51.4 | 13991 | 48.6 | 15967 | 50.6 | 21087 | 60.6 | 11332 | 66 |
| Plant and equipment | 7762 | 33.9 | 11526 | 40.1 | 12297 | 39 | 10372 | 29.8 | 4237 | 24.7 |
| Real estate | 2720 | 11.9 | 2964 | 10.3 | 2835 | 9 | 2875 | 8.2 | 1358 | 7.9 |
| Shipping | 631 | 2.8 | 291 | 1 | 449 | 1.4 | 474 | 1.4 | 234 | 1.4 |
|  | 22888 | 100 | 28772 | 100 | 31548 | 100 | 34808 | 100.- | 17161 | 100 |

---

Source: Dataforce data compiled by Assilea.

28 \| Consolidated financial statements as at 30 June 2024

**Consolidated profit-and-loss/balance-sheet data**

The consolidated profit and loss account and balance sheet have been restated – including by business area – based on the structure that provides the most accurate reflection of the Group's operations.

**CONSOLIDATED BALANCE SHEET**

(€m)

---

| | | |
|:---|:---|:---|
|  | **12 mths ended** | **12 mths ended** |
|  | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| **Assets** |  |  |
| Financial assets held for trading | 15409.5 | 9546.2 |
| Treasury financial assets and cash | 11102.6 | 10378.5 |
| *Banking book securities* | 11340.7 | 10471.3 |
| Customer loans | 52447.4 | 52549.2 |
| Equity Investments | 4702.7 | 4367.7 |
| Tangible and intangible assets | 1595.0 | 1327.6 |
| Other assets | 2628.4 | 2983.3 |
| **Total assets** | **99226.3** | **91623.8** |
| **Liabilities and net equity** |  |  |
| Funding | 63669.9 | 60506.2 |
| Treasury financial liabilities | 10584.1 | 5470.0 |
| Financial liabilities held for trading | 9504.7 | 9436.7 |
| Other liabilities | 4066.3 | 4598.7 |
| Provisions | 158.1 | 182.6 |
| Net equity | 9883.7 | 10299.5 |
| Minority interests | 86.1 | 104.1 |
| Profit for the period | 1273.4 | 1026.0 |
| **Total liabilities and net equity** | **99226.3** | **91623.8** |

---

<sup>(\*)</sup> The figures as at 30 June 2023 have been restated after Bank of Italy Circular no. 262/2005, eighth update came into force, incorporating the introduction of the new IFRS 17 – insurance contracts.

Review of operations Mediobanca Group \| 29

**Key Performance Indicators (KPIs) <sup>(\*)</sup>** 

(€m)

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| **KPI** |  |  |
| Tier 1 capital | 7222.5 | 8177.6 |
| Regulatory capital | 8438.0 | 9217.0 |
| *RWA* <sup>(1)</sup> | 47622.0 | 51431.5 |
| *CET1 ratio (Phase-in)* <sup>(2)</sup> | 15.2% | 15.9% |
| *RWA density* <sup>(3)</sup> | 48.0% | 56.1% |
| Regulatory capital / risk-weightes assets | 17.7% | 17.9% |
| *Leverage ratio* <sup>(4)</sup> | 7.1% | 8.4% |
| Gross NPL/ Gross loans ratio <sup>(5)</sup> | 2.47% | 2.48% |
| *Net NPL / Net loans ratio* <sup>(6)</sup> | 0.79% | 0.72% |
| No. of shares in issue (million) | 832.9 | 849.3 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | To facilitate understanding of the earnings and asset trends, the same Key Performance Indicators (or KPIs) used to guide the management team in the decision-making process have been used in this document. These are Alternative Performance Measures (APMs), which are in addition to those required as part of the IFRS. Further details are provided in the Annexes (Lists of Restatements) and the Glossary. |

---

<sup>(1)</sup> Risk weighted assets.

<sup>(2)</sup> CET1/RWAs.

<sup>(3)</sup> RWAs/total assets.

<sup>(4)</sup> CET1/total leveraged exposures.

<sup>(5)</sup> Gross NPLs/gross loans.

<sup>(6)</sup> Net NPLs/net loans.

30 \| Consolidated financial statements as at 30 June 2024

**CONSOLIDATED PROFIT AND LOSS ACCOUNT**

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | **12 mths ended** | **12 mths ended** | |
|  | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |<br>**Chg (%)** |
| **Profit-and-loss data** |  |  |  |
| Net interest income | 1984.8 | 1801.0 | 10.2% |
| Net treasury income | 172.2 | 205.7 | -16.3% |
| Net fee and commission income | 939.4 | 842.8 | 11.5% |
| Equity-accounted companies | 510.4 | 453.9 | 12.4% |
| **Total income** | **3606.8** | **3303.4** | **9.2%** |
| Labour costs | (804.5) | (728.3) | 10.5% |
| Administrative expenses | (737.7) | (684.8) | 7.7% |
| **Operating costs** | **(1542.2)** | **(1413.1)** | **9.1%** |
| Loan loss provisions | (252.1) | (270.1) | -6.7% |
| Provisions for other financial assets | 13.9 | (7.3) | n.m. |
| Other income (losses) | (90.2) | (185.8) | -51.5% |
| **Profit before tax** | **1736.2** | **1427.1** | **21.7%** |
| Income tax for the period | (436.7) | (394.4) | 10.7% |
| Minority interest | (26.1) | (6.7) | n.m. |
| **Net profit** | **1273.4** | **1026.0** | **24.1%** |

---

<sup>(\*)</sup> The figures as at 30 June 2023 have been restated after Bank of Italy Circular no. 262/2005, eighth update came into force, incorporating the introduction of the new IFRS 17 – insurance contracts.

<sup>(\*\*)</sup> Includes profits credited back to the category B partners of Arma Partners.

**Key Performance Indicators (KPIs) <sup>(\*)</sup>** 

---

| | | | |
|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** | **Chg (%)** |
| **KPI** |  |  |  |
| *ROTE adj.* <sup>(1)</sup> | 13.9% | 12.7% | 9.4% |
| *Cost / Income ratio* <sup>(2)</sup> | 43% | 43% | *n.m.* |
| *CoR (bps)* <sup>(3)</sup> | 48 | 52 | -7.7% |
| EPS <sup>(4)</sup> | 1.53 | 1.21 | 26.6% |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | To facilitate understanding of the earnings and asset trends, the same Key Performance Indicators (or KPIs) used to guide the management team in the decision-making process have been used in this document. These are Alternative Performance Measures (APMs), which are in addition to those required as part of the IFRS. Further details are provided in the Annexes (Lists of Restatements) and the Glossary. |

---

<sup>(1)</sup> Return On Tangible Equity (adjusted).

<sup>(2)</sup> Cost/income ratio.

<sup>(3)</sup> Cost of Risk.

<sup>(4)</sup> Earnings Per Share.

Review of operations Mediobanca Group \| 31

**EARNINGS/BALANCE-SHEET DATA BY DIVISION <sup>(\*)</sup>** 

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**12 mths ended 30 June 2024** |<br>**Wealth**<br>**Management** | **Corporate**<br>**and**<br>**Investment**<br>**Banking** |<br>**Consumer**<br>**Finance** |<br>**Insurance**<br>**- Principal**<br>**Investing** |<br>**Holding**<br>**Functions** |<br><br> **Group <sup>(1)</sup>** |
| **Profit-and-loss** |  |  |  |  |  |  |
| Net interest income | 425.0 | 307.0 | 1043.9 | (7.1) | 178.0 | 1984.8 |
| Net treasury income | 9.2 | 95.0 | 0.2 | 26.6 | 39.2 | 172.2 |
| Net fee and commission income | 489.4 | 360.6 | 145.1 |  | 6.3 | 939.4 |
| Equity-accounted companies |  |  | (0.3) | 510.7 |  | 510.4 |
| **Total income** | **923.6** | **762.6** | **1188.9** | **530.2** | **223.5** | **3606.8** |
| Labour costs | (325.1) | (215.0) | (120.6) | (4.1) | (139.7) | (804.5) |
| Administrative expenses | (288.4) | (164.9) | (248.9) | (1.1) | (52.6) | (737.7) |
| **Operating costs** | **(613.5)** | **(379.9)** | **(369.5)** | **(5.2)** | **(192.3)** | **(1542.2)** |
| Loan loss provisions | (7.4) | 10.6 | (249.7) |  | (5.6) | (252.1) |
| Provisions for other financial assets | 1.4 | (3.4) |  | 20.0 | (4.1) | 13.9 |
| Other income (losses) | (3.7) | (2.5) | 0.1 |  | (49.4) | (90.2) |
| **Profit before tax** | **300.4** | **387.4** | **569.8** | **545.0** | **(27.9)** | **1736.2** |
| Income tax for the period | (91.0) | (121.0) | (186.9) | (23.0) | (13.2) | (436.7) |
| Minority interest | (0.9) | (22.9) |  |  | (2.7) | (26.1) |
| **Net profit** | **208.5** | **243.5** | **382.9** | **522.0** | **(43.8)** | **1273.4** |
| *Cost/Income (%)* | 66.4 | 49.8 | 31.1 | n.m. | n.m. | 42.8 |
| *RORWA* | 3.6% | 1.4% | 2.7% | 3.8% |  | 2.7% |
| **Balance-sheet data** |  |  |  |  |  |  |
| Loans and advances to customers | 16853.2 | 18993.3 | 15197.6 |  | 1403.3 | 52447.4 |
| Risk-weighted assets | 6051.5 | 14857.6 | 14493.2 | 8066.5 | 4153.2 | 47622.0 |
| No. of staff | 2259 | 732 | 1563 | 9 | 880 (443) | 5443 |

---

Notes:

<sup>(\*)</sup> Divisions comprise:

Wealth Management (WM):): this division brings together all portfolio management services offered to the various client segments, plus asset management. It includes MB Premier; the MBPB and CMB Monaco private banking networks, and the asset management companies (Polus Capital, Mediobanca SGR, Mediobanca Management Company, and RAM Active Investments), plus Spafid;

 

Corporate & Investment Banking (CIB): this division brings together all services provided to corporate clients in the following areas: this division brings together all services provided to corporate clients in the following areas: Investment Banking (lending, advisory, capital markets activities) and proprietary trading (businesses performed by Mediobanca and Mediobanca International, Mediobanca Securities, Messier et Associés and Arma Partners), and Speciality Finance, which in turn consists of factoring and credit management activities for third parties performed by MBFACTA and MB Credit Solutions;

 

- Consumer Finance (CF): this division provides retail clients with the full range of consumer credit products, ranging from personal loans to salary-backed finance, to the Pagolight solution (Compass Banca, Compass RE and HeidiPay Switzerland AG);

 

- Insurance – Principal Investing (PI): division that manages the Group's portfolio of equity investments and holdings;

 

- Holding Functions: division which includes SelmaBipiemme Leasing, MIS, and other minor companies, plus the following Group units: Treasury and ALM, operations, support and control, as well as the senior management of Mediobanca S.p.A.; for further details please refer to p. 74.

 

<sup>(1)</sup> The sum of the divisional data differs from the Group total due to adjustments/differences arising on consolidation between business areas (equal to €4.9m), the RAM brand impairment charge (€31.7m), and other effects attributable to acquisitions (in particular in respect of put-and-call arrangements) that have not been allocated to any business line in particular (€3.1m).

32 \| Consolidated financial statements as at 30 June 2024

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**12 mths ended 30 June 2023** |<br>**Wealth**<br>**Management** | **Corporate**<br>**and**<br>**Investment**<br>**Banking** |<br>**Consumer**<br>**Finance <sup>(\*)</sup>** |<br>**Insurance**<br>**- Principal**<br>**Investing** |<br>**Holding**<br>**Functions** |<br><br>**Group <sup>(1) (\*)</sup>** |
| **Profit-and-loss** |  |  |  |  |  |  |
| Net interest income | 361.5 | 288.0 | 9849 | (7.1) | 145.1 | 1801.0 |
| Net treasury income | 9.4 | 135.0 |  | 16.0 | 42.8 | 205.7 |
| Net fee and commission income | 449.6 | 289.4 | 137.3 |  | 32.5 | 842.8 |
| Equity-accounted companies |  |  | (0.8) | 454.7 |  | 453.9 |
| **Total income** | **820.5** | **712.4** | **1121.4** | **463.6** | **220.4** | **3304.4** |
| Labour costs | (294.2) | (183.0) | (113.8) | (4.0) | (133.4) | (728.3) |
| Administrative expenses | (260.9) | (144.3) | (233.6) | (1.0) | (68.6) | (684.8) |
| **Operating costs** | **(555.1)** | **(327.3)** | **(347.4)** | **(5.0)** | **(202.0)** | **(1413.1)** |
| Loan loss provisions | (10.5) | (32.3) | (203.9) |  | (23.4) | (270.1) |
| Provisions for other financial assets | (1.2) | (10.1) |  | 2.4 | 1.8 | (7.3) |
| Other income (losses) | (20.9) |  | (14. –) |  | (83.5) | (185.8) |
| **Profit before tax** | **232.8** | **342.7** | **556.1** | **461.0** | **(86.7)** | **1427.1** |
| Income tax for the period | (70.0) | (113.8) | (182.6) | (21.5) | (6.5) | (394.4) |
| Minority interest | (0.9) | (3.7) |  |  | (2.1) | (6.7) |
| **Net profit** | **161.9** | **225.2** | **373.5** | **439.5** | **(95.3)** | **1026.0** |
| *Cost/Income (%)* | 67.7 | 45.9 | 31. – | n.m. | n.m. | 42.8 |
| *RORWA* | 3.1% | 1.2% | 2.9% | 3.2% |  | 2.4% |
| **Balance-sheet data** |  |  |  |  |  |  |
| Loans and advances to customers | 16827.3 | 19625.9 | 14465. – |  | 1631.0 | 52549.2 |
| Risk-weighted assets | 5959.4 | 19410.2 | 13516.9 | 8713.9 | 3831.2 | 51431.5 |
| No. of staff | 2197 | 648 | 1520 | 9 | 853 (430) | 5227 |

---

<sup>(\*)</sup> The figures as at 30 June 2023 have been restated after Bank of Italy Circular no. 262/2005, eighth update came into force, incorporating the introduction of the new IFRS 17 – insurance contracts.

<sup>(1)</sup> The sum of the divisional data differs from the Group total due to adjustments/differences arising on consolidation between business areas (equal to €11.6m), the net impact through profit and loss of the RAM goodwill impairment charge (€49.5m) plus the effect of the Revalea disposal on earnings under IFRS 5 (€17.7m).

Review of operations Mediobanca Group \| 33

**Balance sheet**

The Group's total assets rose from €91.6bn to €99.2bn, the substantial increase being mostly due to significant growth in trading activity, which involved increases in equity and bond trading, most of which was refinanced by short-term liabilities; the parent company's contribution was 57.1%; the main balance-sheet headings show the following trends for the twelve months (comparative data as at 30 June 2023):

**Funding** – funding totalled €63.7bn, significantly higher than last year (30/6/23: €60.5bn), due to an ambitious and diversified funding strategy which involved intensive primary market activity, with new issuance of €8.2bn, including the first SRT (Significant Risk Transfer) securitization of Compass receivables, plus approx. €2.2bn in securities placed via proprietary and third-party networks. The cost of the new issues was lower than last year, at 129 bps (vs 147 bps), with an interest rate payable of 2.41%. Thus the stock of debt securities rose from €22.3bn to €27.6bn, absorbing the expected reduction in the T-LTRO share (down €4.3bn, from €5.6bn to €1.3bn) and redemptions of €2.9bn. Wealth Management deposits remained stable at €27.9bn, despite the market trend for transforming demand deposits into assets under administration (AUA); strong client promotion activity limited outflows at low cost; and the share of tied deposits in promotion or time deposits was equal to 35% of the total. Interbank funding increased from €4.5bn to €6.8bn, reflecting the inclusion of certain non-recurring transactions.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Debt securities (incl. ABS) | 27619.2 | 43% | 22282.8 | 37% | 23.9% |
| Premier Banking deposits | 16888.0 | 27% | 16983.6 | 28% | -0.6% |
| Private Banking deposits | 11010.6 | 17% | 11194.6 | 19% | -1.6% |
| LTRO | 1313.2 | 2% | 5586.2 | 9% | -76.5% |
| Interbank funding (+CD/CP) | 6838.9 | 11% | 4459.0 | 7% | 53.4% |
| **Total funding** | **63669.9** | **100%** | **60506.2** | **100%** | **5.2%** |

---

Interest rate risk hedging activity, which is used for virtually all the Bank's funding using plain vanilla swaps with qualified market counterparties, serves to transform the funding to floating rate (for bond issues and part of the modelled WM deposits). The reduction in interest rates over the twelve months drove an increase in the Fair Value of fixed-rate funding, the value of which (€1.2bn) is perfectly offset by the valuations for the derivatives (which are booked as other liabilities).

34 \| Consolidated financial statements as at 30 June 2024

**Loans and advances to customers** – these totalled €52.4bn, virtually unchanged from last year, on healthy growth in Consumer Finance (up 5.1%, from €14.5bn to €15.2bn), driven primarily by personal loans (up 5.6%, from €7.1bn to €7.5bn) which offset the anticipated reduction in Corporate and Investment Banking (down 3.2%, from €19.6bn to €19bn) which continues to reflect weak demand in the Large Corporate segment (down 4.3%, from €16.7bn to €16bn) despite the performance of factoring where customer loans totalled €2.9bn (up 3.1% YoY). In Wealth Management customer loans totalled €16.9bn (€12.6bn of which in relation to Premier Banking and €4.3bn of which to Private Banking), basically unchanged from twelve months previously. Holding Functions reported a 14% reduction in lendings, reflecting the sale of Revalea (with its €238.8m loans) and the trimming of the Leasing loan book (down 11.1%, to €1.2bn).

Customer loans in Consumer Finance reflect 6.6% growth in new business for the twelve months (from €7.8bn to €8.4bn), on higher personal loans (up 11.5%, from €3.5bn to €3.9bn) driven by the direct channel (up 10.5%, from €2.7bn to €3bn), which offset the decrease in automotive finance (down 11.7%, from €1.6bn to €1.4bn) and special purpose loans (down 2.2%, from €1.2bn to €1.1bn); whereas new business in BNPL increased by almost 3x (from €189.6m to €496.5m). New loans in Corporate and Investment Banking were down slightly, impacted by the 3% reduction in Wholesale Banking (to €6.9bn), with repayments totalling €2.3bn, while turnover in factoring business remained stable at €12bn. New business in leasing was down 13.1%, from €306.9m to €266.8m, while new mortgage loans more than halved, from €2.2bn to €1.1bn.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | |
|  | **(€m)** | **%** | **(€m)** | **%** | (€m)<br>**Chg.** |
| Corporate and Investment Banking | 18993.3 | 36% | 19625.9 | 37% | -3.2% |
| Consumer Banking | 15197.6 | 29% | 14465.0 | 28% | 5.1% |
| Wealth Management | 16853.2 | 32% | 16827.3 | 32% | 0.2% |
| Holding Functions (leasing and NPL management) | 1403.3 | 3% | 1631.0 | 3% | -14.0% |
| **Total loans and advances to customers** | **52447.4** | **100%** | **52549.2** | **100%** | **(0.2)%** |

---

Review of operations Mediobanca Group \| 35

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | | | (€m) |
|  | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
|  | **Performing** | **Performing** | | | **Performing** | **Performing** | | |
|  | **Stage 1** | **Stage 2** |<br>**NPL** |<br>**Total** | **Stage 1** | **Stage 2** |<br>**NPL<sup>(1)</sup>** |<br>**Total** |
| Corporate and Investment Banking | 18692.8 | 277.1 | 23.4 | 18993.3 | 19279.9 | 323.7 | 22.3 | 19625.9 |
| Consumer Banking | 13722.1 | 1234.0 | 241.4 | 15197.6 | 12901.4 | 1364.2 | 199.4 | 14465.0 |
| Wealth Management | 15978.3 | 744.9 | 130.0 | 16853.2 | 15981.3 | 726.1 | 119.9 | 16827.3 |
| Holding Functions (leasing and NPL management) | 1308.9 | 75.5 | 18.8 | 1403.3 | 1281.8 | 77.6 | 271.6 | 1631.0 |
| **Total loans and advances to customers** | **49702.2** | **2331.5** | **413.7** | **52447.4** | **49444.4** | **2491.6** | **613.2** | **52549.2** |
| **As % of total** | **94.8%** | **4.4%** | **0.8%** | **100%** | **94.1%** | **4.7%** | **1.2%** | **100%** |
| **Total loans and advances to customers excluding POCI** | **49702.2** | **2331.5** | **413.7** | **52447.4** | **49444.4** | **2491.6** | **374.3** | **52310.3** |
| As % of total | 94.8% | 4.4% | 0.8% | 100% | 94.5% | 4.8% | 0.7% | 100% |

---

<sup>(1)</sup> Figures as at 30 June 2023 include Stage 3 and POCI (NPLs purchased by Revalea).

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | (€m) |
|  | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
|  |<br>**Gross** |<br>**Net** | **Coverage**<br>**ratio %** |<br>**Gross** |<br>**Net** | **Coverage**<br>**ratio %** |
| Corporate and Investment Banking | 51.2 | 23.4 | 54.4% | 135.7 | 22.2 | 83.6% |
| Consumer Banking | 978.0 | 241.4 | 75.3% | 878.0 | 199.4 | 77.3% |
| Wealth Management | 227.7 | 130.0 | 42.9% | 218.2 | 119.9 | 45.1% |
| Holding Functions (leasing and NPL management) | 79.8 | 18.8 | 76.4% | 107.8 | 32.8 | 69.6% |
| **Total net non-performing loans** | **1336.7** | **413.7** | **69.1%** | **1339.7** | **374.3** | **72.1%** |
| &nbsp;&nbsp;&nbsp;– of which: bad loans | 359.6 | 29.6 |  | 430.8 | 41.2 |  |
| **As % of total loans and advances** | **2.5%** | **0.8%** |  | **2.5%** | **0.7%** |  |

---

Gross NPLs totalled €1,336.7m, basically stable compared to last year (€1,339.7m), and account for 2.5% of total loans. Corporate and Investment Banking more than halved its gross NPLs, which declined from €135.7m to €51.2m, following disposals of certain single-name Large Corporate Items totalling €113.1m, with the gross stock for this segment amounting to €24.8m due to the arrival of three new exposures, the largest of which is secured by an insurance policy issued by a public entity; meanwhile gross NPLs in factoring business were largely stable, at €26.5m (€25.6m). Leasing operations reported gross NPLs of €79.8m, representing a further reduction from last year (€107.8m). NPLs in Consumer Finance was raised from €878m to €978m, as a result of the expected increase in default rates that have returned to their pre-Covid levels, with gross NPLs representing 5.93% of total loans (5.59%). NPLs in Wealth Management increased by approx. €10.6m due to the inclusion of certain positions in the Private Banking Division (which added €20m) which are adequately counter-guaranteed, in part offset by the reduction in the mortgage lending segment (down €9.5m) which continues to benefit from very low default rates. The slight reduction in the

36 \| Consolidated financial statements as at 30 June 2024

coverage ratio (down from 72% to 69%) is due to the higher quality of the new additions and is reflected in the rise in net NPLs (from €374.3m to €413.7m), but the share of net bad debts is extremely low at just €29.6m (0.1% of the loan stock).

Net Stage 2 positions totalled €2,331.5m (4.4% of net loans), lower than last year (€2,491.6m), and were concentrated in Consumer Finance (where they decreased from €1,364.2m to €1,234m; 8% of net loans) and in mortgage lending (down from €681.7m to €671.8m), where lifetime criteria were introduced during the twelve months in connection with SICR (Significant Increase in Credit Risk); net Stage 2 positions also decreased in Corporate and Investment Banking (from €323.7m to €277.1m), helped by the reduction in the Large Corporate segment (from €269.5m to €174.4m) which was only in part offset by the rise recorded in Factoring business (from €54.2m to €102.7m) due to certain breaches that were soon dealt with; while the increase in net Stage 2 positions in Wealth Management (from €726.1m to €744.9m) regards Private Banking (from €44.4m to €73.1m), which reflects the delays reported in respect of certain appropriately secured exposures.

The selective lending policy adopted, coupled with prudent provisioning, has enabled the Group to keep its coverage ratios stable, both for performing loans (1.31%, versus 1.34% last year) and Consumer Finance (3.67%, versus 3.75%). The stock of overlays remains adequate (at approx. €222m, €175m of which in Consumer Finance), albeit slightly lower than last year (€268m and €209m respectively).

**Investment holdings<sup>(13)</sup>** – these increased from €4.4bn to €4.7bn, €3.8bn of which involve the investments accounted for using the equity method, plus €256.2m in investments in funds, and €657.3m in equities (including equity-like instruments).

The book value of the Assicurazioni Generali investment increased from €3,472.2m to €3,698m in the twelve months, on profits of €503m, reductions in net equity totalling €15.6m, and distribution of the dividend (€261.6m). The book value as at 30 June 2024 (calculated based on the company's net equity as at 31 March 2024 net of the dividend) was boosted by an excellent performance in all business segments, non-life insurance in particular, driven by the effects of market interest rates on reserves, which more than offset the (material) impact of natural catastrophes; the company's result benefited from certain non-recurring

<sup>(13)</sup> This heading brings together investments covered by IAS 28, joint ventures covered by IFRS 11 (MB SpeedUp), investments measured at fair value through other comprehensive income, and holdings in funds (including seed capital) measured at fair value through profit and loss; the equity-accounted investments have been allocated to the Insurance/Private Investing Division with the exception of HeidiPay (Consumer Finance) and MB SpeedUp (Holding Functions).

Review of operations Mediobanca Group \| 37

items such as the gains generated on the disposals of TUA Assicurazioni S.p.A. and Generali Deutschland Pensionkasse.

The value of the investment in IEO (25.37%) was stable at €39m, reflecting only a minor loss of €0.2m; while that in Finanziaria Gruppo Bisazza S.r.l. (22.67%) was worth €6.7m (€7.1m last year), following a profit of €403,00 for the period plus the €839,000 dividend distributed; the investment in CLI Holdings II Limited reduced from €38.6m to €37m, following the collection of dividends totalling €9.1m and profits for the period of €7.5m; the value of the HeidiPay AG investment remains stable at €6.6m reflecting the €315,000 loss offset by a €337,000 increase in net equity; and the MB SpeedUp stake was worth €1.8m.

Holdings in funds increased from €562.9m to €657.3m, following net investments of €81.1m and upward value adjustments of €13.2m; of these holdings, €376m involve funds managed by the Group (seed capital) and €281.3m external funds, for the most part private equity.

Holdings in equities (including equity-like instruments) increased from €241m to €256.2m, following new investments totalling €12.5m, the effects of the adjustments to reflect Fair Value at the year-end adding €15.5m, and partial redemptions of equity-like instruments amounting to approx. €12m.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | (€m) | (€m) |
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
|  | **Book value** | **HTC&S reserve** | **Book value** | **HTC&S reserve** |
| Equity method investments <sup>(1)</sup> | 3789.2 | n.a. | 3563.8 | n.a. |
| Listed shares | 127.5 | 68.5 | 115.1 | 56.8 |
| Other unlisted shares | 128.7 | 82.7 | 125.9 | 90.8 |
| Seed capital | 376.0 |  | 312.4 |  |
| Private equity | 181.7 |  | 142.5 |  |
| Other funds | 99.6 |  | 108.0 |  |
| **Total equity holdings** | **4702.7** | **151.2** | **4367.7** | **147.6** |

---

<sup>(1)</sup> Differs from the figure shown in the following table by just under €0.1m due to minor associate companies (30/6/23: €0.1m).

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**% ownership** |  |<br>**30/6/24** | (€m)<br>**30/6/23** |
| Assicurazioni Generali | 13.17 |  | 3698.0 | 3472.2 |
| CLI Holding II <sup>(\*)</sup> | 24.09 | <sup>(\*)</sup> | 37.0 | 38.6 |
| Finanziaria Gruppo Bisazza | 22.67 |  | 6.7 | 7.1 |
| Istituto Europeo di Oncologia | 25.37 |  | 39.0 | 39.1 |
| HeidiPay | 19.45 |  | 6.6 | 6.6 |
| MB SpeedUp (JV) | 50.0 |  | 1.8 |  |
| **Total equity method investments** |  |  | **3.789.1** | **3.563.6** |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Percentage calculated based on the nominal value of the notes issued. |

---

38 \| Consolidated financial statements as at 30 June 2024

The Group's investment in Assicurazioni Generali at 30 June 2024 had a market value of €4,759.1m (€23.29 per share), which is higher than its book value (€17 per share). As required by IAS 36 the impairment test was carried out on the investment, which it passed; the value in use too, calculated according to the Group policy, was significantly higher than the book value.

For further details please see the Notes to the Accounts, Assets, section 7 – Equity investments.

**Banking book debt securities** – Fixed-income securities held as part of the banking book totalled €11.3bn, split between Hold to Collect & Sell (€6.6bn) and Hold to Collect (€4.6bn). The book's low duration facilitated turnover (approx. €2.1bn), which benefited immediately from the increase in yields.

Conversely, the decline in interest rates recorded during the twelve months is reflected in the stocks' valuations: the OCI reserve has reduced the deficit reported at end-June 2023 (minus €73.2m) to minus €9.2m, due to a recovery in valuations, just over one-third of which is attributable to government securities (Italian and non-Italian) and the remainder to corporate and financial bonds. The positive market performance recorded in the summer months has enabled the OCI reserve to return to positive territory. The unrealized losses on the Hold to Collect portfolio (which are recognized at cost) reduced from €85.4m at the start of the financial year to €44.2m.

Approx. 78% of the banking book is made up of sovereign debt (€8.9bn), €3.2bn of which as HTC and €5.6bn as HTC&S with a very short duration (approx. 2 years); the share accounted for by Italian government securities totals €5.4bn (approx. 47% of the entire portfolio, with a duration of approx. 2 years).

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | (€m) | (€m) |
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
|  | **(€m)** | **%** | **(€m)** | **%** |
| Hold to Collect | 4550.5 | 40% | 4669.3 | 45% |
| Hold to Collect & Sell | 6649.5 | 59% | 5801.1 | 55% |
| Other (Mandatorily measured at FV) | 140.7 | 1% | 0.9 | n.m. |
| **Total banking book securities** | **11340.7** | **100%** | **10471.3** | **100%** |

---

Review of operations Mediobanca Group \| 39

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | (€m) |
|  | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
|  | **Book value** | **Book value** | | **Book value** | **Book value** | |
|  | **HTC** | **HTC&S** | **OCI**<br>**reserve** | **HTC** | **HTC&S** | **OCI**<br>**reserve** |
| Italian government bonds | 1985.7 | 3394.1 | (16.6) | 2111.1 | 3020.0 | (35.0) |
| Foreign government bonds | 1228.8 | 2246.5 | (3.8) | 1278.2 | 1528.3 | (7.7) |
| Bond issued by financial institutions | 353.1 | 706.0 | 11.1 | 446.0 | 829.7 | (16.3) |
| Corporate bonds | 240.3 | 224.3 | 0.4 | 204.2 | 236.5 | (11.8) |
| Asset Backet Securities (ABS) | 742.6 | 78.6 | (0.3) | 629.8 | 186.6 | (2.4) |
| **Total banking book securities** | **4550.5** | **6649.5** | **(9.2)** | **4669.3** | **5801.1** | **(73.2)** |

---

**Net treasury assets** – net treasury assets increased by approx. €1.4bn (from €5bn to €6.4bn), while the change is much more pronounced on a gross basis, where the balance of trading activities and treasury lendings and cash rose by €6.6bn to €26.5bn. Such growth was despite the cash outflows to repay the T-LTRO (which totalled approx. €4.3bn over the twelve months), due to an increase of €5.1bn in treasury funding which totalled €10.6bn, and to the increase in market repos (up €5.7bn, to €9bn).

The pronounced increase in the Group's sources of funding encouraged the increase in investments, with the equity component now standing at €3.9bn (up €2.7bn YoY), while the bond component rose by €2.1bn YoY to €3.5bn. This active funding management strategy, coupled with the reduction in cash and cash assets held on deposit with the European Central Bank (down €900m), has enabled the Group to take advantage of favourable market opportunities to improve its earnings results, by deploying the funding raised at higher interest rates.

---

| | | | |
|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** | |
|  | **(€m)** | **(€m)** |<br>**Chg.** |
| Financial assets held for trading | 15409.5 | 9546.2 | 61.4% |
| Treasury financial assets and cash | 11102.6 | 10378.5 | 7.0% |
| Financial liabilities held for trading | (9504.7) | (9436.7) | 0.7% |
| Treasury financial liabilities | (10584.1) | (5470.0) | 93.5% |
| **Net treasury assets** | **6423.3** | **5018.0** | **28.0%** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** | |
|  | **(€m)** | **(€m)** |<br>**Chg.** |
| Equities | 3880.7 | 1147.5 | n.m. |
| Bond securities | 3507.7 | 1388.1 | n.m. |
| Derivative contract valuations | (10.7) | (139.5) | n.m. |
| Certificates | (1728.7) | (2290.6) | -24.5% |
| Trading loans | 255.9 | 4.1 | n.m. |
| **Financial instruments held for trading** | **5904.9** | **109.6** | **n.m.** |

---

40 \| Consolidated financial statements as at 30 June 2024

---

| | | | |
|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** | |
|  | **(€m)** | **(€m)** |<br>**Chg.** |
| Cash and current accounts | 1232.0 | 1495.3 | -17.6% |
| Cash available at BCE | 2608.4 | 3499.9 | -25.5% |
| Deposits | (3322.0) | (86.8) | n.m. |
| **Net treasury** | **518.4** | **4908.4** | **-89.4%** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Italian government bonds | 5218.2 | (3998.2) | 1999.4 | (1925.2) |
| Foreign government bonds | 1360.4 | (734.2) | 1263.6 | (2120.8) |
| Bond issued by financial institutions | 1400.3 | (167.8) | 1840.8 | (44.0) |
| Corporate bonds | 142.6 | (1.2) | 110.0 |  |
| Asset Backet Securities (ABS) | 287.6 |  | 264.3 |  |
| Equities | 3930.0 | (49.3) | 1187.6 | (40.1) |
| **Total securities** | **12339.1** | **(4950.7)** | **6665.7** | **(4130.1)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Interest rate swaps | 572.3 | (658.4) | 541.9 | (550.8) |
| Foreign exchange | 309.0 | (263.3) | 408.3 | (329.9) |
| Interest rate options/futures | 12.1 | (47.4) | 7.8 | (23.6) |
| Equity swaps e options | 1784.4 | (1787.1) | 1747.0 | (1886.3) |
| Credit derivatives (others) | 287.6 | (220.0) | 158.8 | (212.7) |
| **Derivative contract valuations** | **2965.3** | **(2976.0)** | **2863.8** | **(3003.3)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Securities lending/repos deposits | 5187.0 | (9055.2) | 3006.9 | (3.295.1) |
| Stock lending deposits | 188.0 | (636.8) | 442.5 | (584.7) |
| Other deposits | 2405.2 | (1410.2) | 2063.0 | (1.719.4) |
| **Deposits** | **7.780.2** | **(11.102.2)** | **5.512.4** | **(5.599.2)** |

---

Review of operations Mediobanca Group \| 41

**Tangible and intangible assets** – these totalled €1.6bn (€1.3bn), with intangible assets increasing from €796.9m to €1bn, and tangible assets of €549.6m (€530.7m).

The trend in the twelve months was attributable to the two acquisitions, the Purchase Price Allocation process for both of which has already been concluded. In particular, the acquisition of Arma Partners has resulted in goodwill of €246.9m being recorded, after the brand was valued at €29.1m, and a client list identified worth €6.3m; while for the HeidiPay Switzerland deal, a client list worth €2.6m was matched with €5.1m in goodwill. Conversely, the RAM and Messier & Associés brand values were reduced, by €31.7m and €10.2m respectively.

As for software, acquisitions worth €36.5m were made during the twelve months, and €38.6m in amortization charges recognized, including the work ahead of schedule for the software used by MIS for a total of €6.8m.<sup>(14)</sup>

Tangible assets rose from €530.7m to €549.6m and involve purchases of furniture and equipment totalling €35.6m, spending on capitalized improvements amounting to €18.3m, and as usual operations covered by IFRS 16 (most of which attributable to renting contracts) of €37.2m. Depreciation and amortization charges totalled €71.1m, €49.9m of which pursuant to IFRS 16 and €21.2m on properties and other tangible assets.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Land and properties | 456.0 | 29% | 457.2 | 34% | -0.3% |
| &nbsp;&nbsp;&nbsp;– of which: core | 169.5 | 11% | 171.4 | 13% | -1.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;buildings RoU ex IFRS16 | 229.7 | 14% | 229.9 | 17% | -0.1% |
| Other tangible assets | 93.6 | 6% | 73.5 | 6% | 27.3% |
| &nbsp;&nbsp;&nbsp;– of which: RoU ex IFRS16 | 15.6 | 1% | 11.7 | 1% | 33.3% |
| Goodwill | 827.3 | 52% | 574.6 | 43% | 44.0% |
| Other intangible assets | 218.1 | 14% | 222.3 | 17% | -1.9% |
| **Total tangible and intangible assets** | **1595.0** | **100%** | **1327.6** | **100%** | **20.1%** |

---

<sup>(14)</sup> The amortization charges have been restated in the profit and loss account shown on p. 27 under "Other income (losses)"; see below, "Other income (losses)", for further details.

42 \| Consolidated financial statements as at 30 June 2024

---

| | | |
|:---|:---|:---|
| <br>**Transaction** |<br>**30 June 2024** | (€m)<br>**30 June 2023** |
| Polus Capital | 57.7 | 57.0 |
| MB Private Banking | 52.1 | 52.1 |
| Messier et Associés | 93.2 | 93.2 |
| Arma Partners | 246.9 |  |
| Consumer | 377.4 | 372.3 |
| **Total Goodwill** | **827.3** | **574.6** |

---

An updated list of the core properties owned by the Group is provided below:

---

| | | | |
|:---|:---|:---|:---|
|  | | **Book value** | **Book value per squ. m** |
|  |<br>**Squ. M** | **(€m)** | **(€/000)** |
| Milan: |  |  |  |
| – Piazzetta Enrico Cuccia n. 1 | 9318 | 16.– | 1.7 |
| – Via Filodrammatici n. 1, 3, 5, 7 - |  |  |  |
| &nbsp;&nbsp;Piazzetta Bossi n. 1 - |  |  |  |
| &nbsp;&nbsp;Piazza Paolo Ferrari n. 6 | 13390 | 61.9 | 4.6 |
| – Foro Buonaparte n. 10 | 2926 | 8.9 | 3.– |
| – Via Siusi n. 1-7 | 22608 | 21.6 | 1.– |
| Rome <sup>(\*)</sup> | 1790 | 7.6 | 4.2 |
| Vicenza | 4239 | 4.3 | 1.– |
| Luxembourg | 442 | 3.5 | 7.9 |
| Monaco | 4721 | 44.9 | 9.5 |
| Other minor properties | 2911 | 0.5 | 0.2 |
| **Total** | **62345** | **169.2** |  |

---

<sup>(\*)</sup> The Piazza di Spagna property, carried at a book value of €23.2m, is used only in part by Mediobanca, and has therefore not been included among its core assets.

Reference is made to Notes to the Accounts, Assets, section 10, for further details on the Purchase Price Allocation process and the valuations of the tangible and intangible assets tested for impairment as required and provided for by IAS 36 and by the Group Impairment Policy.

**Provisions for liabilities** – these amounted to €158.1m; the reduction compared to last year (€182.6m) was primarily attributable to the provision for risks and charges (which decreased from €139.6m to €116.3m); while commitments and guarantees and the provision for statutory end-of-service payments were both largely stable, the former at €21.4m (vs €22.2m) and the latter at €20.8m (€20.4m).

The provision for risks and charges primarily covers the legal and tax disputes (€63.3m), plus sundry other charges (€42.8m), in part linked to human resources for guarantees and indemnities (€23m), and the specific risks such as the one entailed by the Lexitor ruling (€10m).

Review of operations Mediobanca Group \| 43

The reduction in the heading overall is attributable mainly to the use of the provisions set aside last year to facilitate staff turnover (€14m) and to provisions being released as a result of the favourable outcome of some litigation (€11m).

For further details, reference is made to section 10 of the Notes to the Accounts.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Commitments and financial guarantees given | 21.4 | 14% | 22.2 | 12% | -3.6% |
| Provisions for risks and charges | 116.3 | 74% | 139.6 | 77% | -16.7% |
| Staff severance indemnity provision | 20.4 | 12% | 20.8 | 11% | -1.9% |
| &nbsp;&nbsp;&nbsp;of which: staff severance provision discount | (0.6) | *n.m.* | (0.5) | *n.m.* | 20% |
| **Total provision** | **158.1** | **100%** | **182.6** | **100%** | **-13.4%** |

---

**Net equity** – net equity totalled €11.2bn, near the same level as last year (€11.3bn), with most of the profit for the twelve months (€1,273.4m) accounted for by payment of the dividend (2023 dividend: €713.4m; 2024 interim dividend: €421.2m); the €158.7m reduction in the cash flow hedge valuation reserve was partly offset by the increase in the FVOCI valuation reserve (up €40m).

It should be noted that the share buyback scheme authorized by shareholders at the Annual General Meeting held on 28 October 2023 was completed during the twelve months under review. A total of 17 million ordinary shares, equal to 2% of the company's s hare capital, were acquired for a total outlay of €197.8m, and the shares were duly cancelled on 11 June 2024.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30 June 2024** |<br>**30 June 2023<sup>(\*)</sup>** | (€m)<br>**Chg.** |
| Share capital | 444.5 | 444.2 | 0.1% |
| Other reserves | 9929.0 | 9793.2 | 1.4% |
| Interim dividend | (421.2) |  | n.m. |
| Valuation reserves | (68.6) | 62.1 | n.m. |
| &nbsp;&nbsp;&nbsp;- of which: financial assets recognized at FVOCI | 116.5 | 71.1 | 63.9% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;cash flow hedge | 113.7 | 272.4 | -58.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;equity investments | (274.4) | (277.8) | *n.m.* |
| Profit for the period | 1273.4 | 1026. | 24.1% |
| **Total Group net equity** | **11157.1** | **11325.5** | **-1.5%** |

---

<sup>(\*)</sup> The figures as at 30 June 2023 have been restated after Bank of Italy Circular no. 262/2005, eighth update came into force, incorporating the introduction of the new IFRS 17 – insurance contracts.

44 \| Consolidated financial statements as at 30 June 2024

Conversely, the FVOCI valuation reserve rose from €71.1m to €116.5m; the reduction in spreads related to the short duration of the debt securities enabled the Fair Value of the securities held in the portfolio to recover gradually (increasing by €72m), €12.5m of which is attributable to Italian government securities; the Fair Value was impacted at the year-end by the uncertain scenario due to the French elections. The compulsory reserve returned to positive territory in July 2024.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30 June 2024** |<br>**30 June 2023** | (€m)<br>**Chg.** |
| Equity shares | 151.2 | 147.5 | 2.5% |
| Bonds | (9.2) | (73.3) | -87.4% |
| &nbsp;&nbsp;&nbsp;of which: Italian government bonds | (16.6) | (35.0) | 52.6% |
| Tax effect | (25.5) | (3.1) | n.m. |
| **Total OCI reserve** | **116.5** | **71.1** | **63.9%** |

---

Review of operations Mediobanca Group \| 45

**Profit and loss account**

**Net interest income** – net interest income totalled €1,984.8m, up 10.2% on last year (€1,801m); the quarterly trend was stable across the twelve months, with NII in 4Q totalling approx. €493m. Total loans were unchanged for the year, at around €52bn, with a marked increase in ROA (up 162 bps, to 5.88%); funding, which grew in terms of volumes due to good diversification of the channels (retail/ institutional/promotions), saw its finite rate increase by 106 bps (CoF: 2.41%). Sovereign debt being cheap again drove a robust increase in both volumes and profit for the banking book, as did the benefit of the ALM position being favourable to rising interest rates. Consumer Finance consolidated its position as the Group's leading contributor to net interest income, with new loans growing (to €8.4bn) which enabled the Division to break through the €1bn NII barrier for the first time (up 6%, from €984.9bn to €1,043.9m), helped by intensive repricing activity for the new business which made up almost entirely for the increase in the cost of hedges (ROA: up 88bps to 8.36%). Wealth Management reported NII of €425m, up 17.6% YoY, helped by the higher lending rate (up 175 bps; ROA: 4.23%), and the cost of funding which, while higher, still rose by less than the lending rate (up 106 bps; CoF: 1.66%). Treasury management generated net interest income of €146.9m (up €48.8m YoY): the improvement reflects a good performance by the banking book, which repriced by approx. 114 bps over the twelve months, helped by the short duration. Net interest income earned by the Corporate and Investment Banking division rose by 6.6% to €307m on the back of a higher contribution from the Markets Division and the proprietary trading desk, which benefited from coupons with higher interest rates, which resulted in the value being represented under this heading rather than as trading profits.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30 June 2024** |<br>**30 June 2023** | (€m)<br>**Chg.** |
| Consumer Banking | 1043.9 | 984.9 | 6.0% |
| Wealth Management | 425.0 | 361.5 | 17.6% |
| Corporate and Investment Banking | 307.0 | 288.0 | 6.6% |
| Holding Functions e altre (incl.IC) | 208.9 | 166.6 | n.m. |
| **Margine d'interesse** | **1984.8** | **1801.0** | **10.2%** |

---

**Net treasury income** – this item totalled €172.2m, up 16.3% on last year (€205.7m). The proprietary trading portfolio delivered a profit of €58.5m, almost half the figure reported twelve months previously (€104.9m), due to a lower contribution from CIB trading of €19.4m (€62.1m), whereas banking book management in the Holding Functions was more or less stable at €39.2m (€42.8m), including €10.2m in gains realized on disposals of securities held in the banking book. Client trading

46 \| Consolidated financial statements as at 30 June 2024

activity generated income of €75.6m (€72.7m), following a good performance in fixed-income trading (which improved from €16.1m to €26.2m), benefiting from operations in arbitrage and certificates (new instruments worth over €450m issued), with much of the profit, however, being accounted for as net interest income; income from equity trading totalled €46.7m, with much of the gap versus last year's performance (€55.5m) being made up in 4Q (€20.8m), helped by the recovery in certificates trading and by managing the portfolio volatility effectively. Dividends and other income from Principal Investing/Insurance business rose from €16m to €26.6m, due to the generalized increase in flows received from assets held in the portfolio, plus a one-off contribution from Italmobiliare.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30 June 2024** |<br>**30 June 2023** | (€m)<br>**Chg.** |
| Corporate Investment Banking | 95.0 | 135.0 | -29.6% |
| &nbsp;&nbsp;&nbsp;of which: client fixed income | 72.8 | 71.6 | 1.7% |
| Principal Investing | 26.6 | 16.0 | 66.3% |
| Holding Functions | 39.2 | 42.8 | -8.4% |
| Other (including Intercompany) | 11.4 | 11.9 | -4.2% |
| **Net treasury income** | **172.2** | **205.7** | **-16.3%** |

---

**Net fee and commission income** – fee income totalled €939.4m, up 11.5% YoY, following an excellent 4Q performance (€279.2m) which confirms the signs of recovery in M&A activity seen during 2024. The increase was concentrated in Investment Banking and corporate services<sup>(15)</sup> (fees of €270m; up 33% YoY), which were boosted by the consolidation of Arma Partners (€68m in fees for 9M), plus organic growth in advisory business (fees up from €144m to €160m), which offset the sharp drop in demand for Equity Capital Market services (the contribution from which slipped from €27m to €6m); while the positive trend in Wealth Management continued<sup>(16)</sup> (fees up 8%, to €441m), and also in lending activity (€257m, up 5%) driven by retail business (€159m, up 6%). Turning to the various business lines, fee income earned from Wealth Management operations continues to grow, up 8.9% (from €449.6m to €489.4m): consistent with demand still strongly geared in favour of AUA, upfront fees (soared by 25%, to €96.6m, €26.5m of which in 4Q), with growth in the recurring component less buoyant (management and banking fees up 5.7% to €449m); performance fees totalled €14.7m (approx. €9m of which in 1H). In CIB (fees up 24.6% to €360.6m), Investment Banking posted fees of €235m (up 38% YoY, €98m of which in 4Q), with approx. €140m from international business<sup>(17)</sup> , while the Debt Division

<sup>(15)</sup> Investment banking and corporate services include corporate finance, ECM, and NPL management.

<sup>(16)</sup> Asset management services include management and upfront fees.

<sup>(17)</sup> Includes Arma Partners (€67m), Messier et Associés (€42m), and deals managed by the Spanish branch office.

Review of operations Mediobanca Group \| 47

reported fees from bond placements and lending activity totalling €86.8m (up 4% YoY). Fees generated from Specialty Finance operations were up 9.5%, to €33.3m, while those from Consumer Finance rose by 5.7%, to €145.1m, with Pagolight's contribution €20m.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30 June 2024** |<br>**30 June 2023 <sup>(\*)</sup>** | (€m)<br>**Chg.** |
| Wealth Management | 489.4 | 449.6 | 8.9% |
| Corporate & Investment Banking | 360.6 | 289.4 | 24.6% |
| Consumer Banking | 145.1 | 137.3 | 5.7% |
| Holding Functions and other (including intercompany) | (55.7) | (33.5) | 66.3% |
| **Net fee and commission income** | **939.4** | **842.8** | **11.5%** |

---

<sup>(\*)</sup> The figures as at 30 June 2023 have been restated after Bank of Italy Circular no. 262/2005, eighth update came into force, incorporating the introduction of the new IFRS 17 – insurance contracts.

**Insurance sector and other equity-accounted investments** – the growth in this item, from €453.9m to €510.4m (up 12.4%), was related to the positive performance by Assicurazioni Generali (contribution up from €442.8m to €503m) reported in all business segments. The company's results were boosted by certain non-recurring items, including the gains on the disposals of TUA Assicurazioni S.p.A. and Generali Deutschland Pensionskasse, plus the financial effects deriving from introduction of the new IFRS 9 and IFRS 17. As for the other IAS 28 investments, the contribution for the twelve months, which totalled €7.4m (€11m) was due to the result posted by CLI Holdings II (€7.5m, €3.2m of which in 4Q).

**Operating costs** – operating costs were up 9.1%, from €1,413.1m to €1,542.2m, reflecting the increase in the headcount (with 216 new staff, for a total of 5,443) plus the higher IT costs; the cost/income ratio was stable at 42.8%; the main components performed as follows:

Labour costs rose by 10.5%, from €728.3m to €804.5m, with three-quarters of the increase regarding the fixed component, and reflecting the increase in headcount referred to above, itself concentrated in the business areas (CIB: 84 more staff, mostly in relation to Arma Partners; WM: 62 more staff; and CF: 43 more staff), plus the effects of the national collective contract renewal (approx. €10M); as for the variable components (up 8% YoY), the increase is linked to the performance and as such is also concentrated in the business areas (CIB and WM), where the retention needs are also highest. As for the individual divisions, WM posted an increase in labour costs of 10.5% (€325.1m), CIB of 17.5% YoY (€215m, €19.3m of which in relation to Arma Partners); CF of 6% (€120.6m); and the Holding Functions Division of 4.7% (€139.7m), due to the strengthening of the central units;

48 \| Consolidated financial statements as at 30 June 2024

Administrative expenses rose by 7.7%, from €684.8m to €737.7m, the increase between split between the technology upgrade and projects (approx. €25m which accounted for 41% of the total), and growth in the business areas (approx. €20m, or 36% of the total), with around €5m attributable to inflation, with respect in particular to IT leasing instalments, operations and rent. The increase in the technology component (up 7.4% YoY, to €240m) reflects the amortization of the investments made in the previous years and the higher data processing costs (€150m; up 3% YoY) and info-provider costs (up 10% YoY, to €47.5m); new projects (up from €54m to €68m) regard certain Group-wide strategic projects (migration to cloud-based solutions and development of an ESG platform) plus activities specific to the individual divisions (Pagolight platform, adaptation of CIB markets); there were also increases in expenses linked to commercial expansion, from €68.7m to €75.5m, such as marketing, which includes the rebranding of CheBanca! as Mediobanca Premier; communications and travel-related expenses; increases in spending on offices,<sup>(18)</sup> rose by 7% YoY (to €89.4m), while costs related to operations services (€115.5m) were higher in the CF and CIB segments but were stable in WM. With regard to the individual divisions: WM accounted for €288.4m of the costs (up 10.5%); CF €248.9m (up 6.5%); and CIB €164.9m (up 14.3%, 9.7% net of Arma Partners). The Holding Functions division's costs decreased from €68.6m to €52.6m, with the share of central costs (net of the amounts charged back to the other divisions) totalling €118m, or 7.6% of the Group total.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended**<br>**30/6/24** |<br>**12 mths ended**<br>**30/6/23** | (€m)<br>**Chg.** |
| Labour costs | 804.5 | 728.3 | 10.5% |
| of which: directors | 9.6 | 11.3 | -15.0% |
| stock option and performance share schemes | 11.6 | 11.2 | 3.6% |
| Sundry operating costs and expenses | 737.7 | 684.8 | 7.7% |
| of which: depreciations and amortizations | 102.9 | 92.3 | 11.5% |
| administrative expenses | 634.8 | 592.5 | 7.1% |
| **Operating costs** | **1542.2** | **1413.1** | **9.1%** |

---

<sup>(18)</sup> Includes depreciation charges for properties, both owned and leased.

Review of operations Mediobanca Group \| 49

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended** |<br>**12 mths ended** | |
|  | **30/6/24** | **30/6/23** | (€m)<br>**Chg.** |
| Legal, tax and professional services | 20.0 | 16.3 | 22.7% |
| Other consultancy expenses | 45.4 | 39.0 | 16.4% |
| Credit recovery activities | 43.7 | 55.0 | -20.5% |
| Marketing and communication | 55.4 | 49.2 | 12.6% |
| Rent and property maintenance | 25.9 | 23.0 | 12.6% |
| EDP | 178.5 | 162.2 | 10.0% |
| Financial information subscriptions | 59.5 | 54.1 | 10.0% |
| Bank services, collection and payment commissions | 31.8 | 32.9 | -3.3% |
| Operating expenses | 66.9 | 66.6 | 0.5% |
| Other labour costs | 18.6 | 18.0 | 3.3% |
| Other costs | 52.2 | 45.3 | 15.2% |
| Direct and indirect taxes | 36.9 | 30.9 | 19.4% |
| **Total administrative expenses** | **634.8** | **592.5** | **7.1%** |

---

**Loan loss provisions** – these decreased by 6.7%, from €270.1m to €252.1m, reflecting a cost of risk (CoR) at 48bps down 4 bps compared to last year. The asset quality indicators remain adequate, despite a slight deterioration recorded in Consumer Finance, but still within pre-Covid levels. Loan loss provisions in Consumer Finance increased from €203.9m to €249.7m, reflect the anticipated increase in default rates, plus the loan mix being geared more towards direct personal loans; recovery rates remain excellent, with a low stock of NPLs gross (NPL ratio: 5.93%) and adequate coverage levels (NPLs: 75.7%; performing loans: 3.67%) underpinned by the stock of overlays which, despite reducing gradually (down from €208.6m to €174.9m, following the update of the ECL models), still represent something like one year of provisions; the CoR rose from 145 bps to 168 bps (174 bps in 4Q). Corporate and Investment Banking posted net writebacks of €10.6m, representing a strong improvement on last year, when charges of €32.3m were taken, and reflecting the improvement in portfolio quality (post-derisking), the reduction in volumes, and the lower client exposure to inflation risk (which enabled an approx. €12.4m reduction in overlays). Provisioning in Wealth Management totalled €7.4m, down 30% on last year (€10.5m), with a CoR of 4 bps (7 bps); this area continues to benefit from positive risk indicators and good credit recovery performances; the stock of overlays stood at €12m.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended**<br>**30/6/24** |<br>**12 mths ended**<br>**30/6/23** | (€m)<br>**Chg.** |
| Corporate and Investment Banking | (10.6) | 32.3 | n.m. |
| Consumer Banking | 249.7 | 203.9 | 22.5% |
| Wealth Management | 7.4 | 10.5 | -29.5% |
| Holding Functions (leasing and NPL management) | 5.6 | 23.4 | -76.1% |
| **Loan loss provisions** | **252.1** | **270.1** | **-6.7%** |
| **Cost of risk (bps)** | **48** | **52** |  |

---

50 \| Consolidated financial statements as at 30 June 2024

**Provisions for other financial assets** **<sup>(19)</sup> –** writebacks in respect of other financial assets of €13.9m were credited. Compared to last year, when charges of €7.3m were taken, holdings in investment funds being aligned to Fair Value reversed their trend on the back of the positive performance by financial markets during the financial year, recorded gains of €17.3m ,virtually all of which were due to the seed capital portfolio (the RAM funds in particular). This heading also comprises the provisioning for banking book securities (€3.4m).

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended**<br>**30/6/24** |<br>**12 mths ended**<br>**30/6/23** | (€m)<br>**Chg.** |
| Hold-to-Collect securities | (1.4) | (2.6) | -46.2% |
| Hold-to-Collect & Sell securities | (2.0) | 0.7 | n.m. |
| Financial assets mandatorily FVTPL | 17.3 | (5.4) | n.m. |
| **Provisions for other financial assets** | **13.9** | **(7.3)** | **n.m.** |

---

**Other gains (losses)** – this heading reflects a net loss of €90.2m (€185.8m last year), of which:

---

| |
|:---|
| €50.7m in payments to the resolution funds, primarily the ordinary payment (€23.9m) and the early booking of the final payment due under the Deposit Guarantee Scheme of €24.2m (paid on 2 July 2024); this amount was charged to the accounts as at 30 June 2024, in view of the fact that the payment is compulsory from the date on which the stock for the financial year concerned is consolidated, and paid early on in July. In addition, a final adjustment of €2.6m was also taken in respect of the Single Resolution Fund, post-restatement by the Single Resolution Board following the eight years of ramp-up; |
| €31.7m by way of adjustment for the RAM brand, established using the Fair Value methodology based on the forward-looking data at 1Y; |
| €6.8m in additional amortization charges pursuant to IAS 8 (Changes in Accounting Estimates) following the recalculation of the useful life of much of the IT software owned by MIS, in accordance with the strategy undertaken by the Group to systematically reduce obsolete technology; |
| €1m in net costs, including the adjustment of the Messier & Associés brand to its initial recognition value in the individual accounts (resulting in a charge of €17m being taken) rather than that stated in the consolidated accounts (€27.2m), most of which has been offset by the writebacks credited as a result of the PPA process being completed (release of upfront share and payment of the deferred share) and the valuation effects for the provision for risks and charges, plus the liabilities due in respect of the put-and-call agreements. |

---

<sup>(19)</sup> Under IFRS 9, the impairment process applies to all financial assets (securities, repos, deposits and current accounts) recognized at cost (the "Hold to Collect" model) and to all bonds recognized at fair value through other comprehensive income (the "Hold to Collect and Sell" model).

Review of operations Mediobanca Group \| 51

**Income tax** – income tax for the period totalled €436.7m (30/6/23: €394.4m), equivalent to a tax rate of 25.2% (27.6%). The Mediobanca Group adheres to the consolidated tax regime provided by Articles 117ff of the Italian Income Tax Act (known also as "national tax consolidation"). Of the various effects deriving from this decision, the main benefit is being able to determine an overall amount of comprehensive income, which is equal to the algebraic sum of the tax income or losses reported by the parties that have opted into this system, which is subject to IRES taxation at 24%. It should also be noted that Mediobanca has been admitted to the co-operative compliance programme instituted by the Italian revenue authority under Title III of Italian Legislative Decree no. No. 128 of 5 August 2015, as amended by Italian Legislative Decree no. 221/2023, effective from the tax period ended on 30 June 2023, after putting in place an effective system for recording, measuring, managing and controlling tax risk (the "Tax Control Framework"), in line with the Tax Conduct Principles adopted by the Board of Directors. The Tax Control Framework was also extended to Compass Banca and to Mediobanca Premier during the twelve months, both of which had applied for admission.

52 \| Consolidated financial statements as at 30 June 2024

**Profit-and-loss figures/balance-sheet data by division**

***WEALTH MANAGEMENT***

This division brings together all asset administration and management services offered to the following client segments:

– Private Banking (Mediobanca Private Banking and CMB Monaco);

– Mediobanca Premier, formerly CheBanca!;

Asset Management division, primarily captive business (Mediobanca SGR, Polus Capital, RAM Active Investments, Mediobanca Management Company).

This division also includes the results of the fiduciary business carried on by Spafid S.p.A. (Spafid Trust).

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended<br> 30/6/24** |<br>**12 mths ended<br> 30/6/23** | (€m)<br>**Chg. %** |
| **Profit-and-loss** |  |  |  |
| Net interest income | 425.0 | 361.5 | 17.6 |
| Net trading income | 9.2 | 9.4 | -2.1 |
| Net fee and commission income | 489.4 | 449.6 | 8.9 |
| **Total income** | **923.6** | **820.5** | **12.6** |
| Labour costs | (325.1) | (294.2) | 10.5 |
| Administrative expenses | (288.4) | (260.9) | 10.5 |
| **Operating costs** | **(613.5)** | **(555.1)** | **10.5** |
| Loan loss provisions | (7.4) | (10.5) | -29.5 |
| Provisions for other financial assets | 1.4 | (1.2) | n.m. |
| Other income (losses) | (3.7) | (20.9) | -82.3 |
| **Profit before tax** | **300.4** | **232.8** | **29.0** |
| Income tax for the period | (91.0) | (70.0) | 30.0 |
| Minority interest | (0.9) | (0.9) | n.m. |
| **Net profit** | **208.5** | **161.9** | **28.8** |
| Cost/Income (%) | 66.4 | 67.7 |  |

---

---

| | | |
|:---|:---|:---|
|  |<br>**12 mths ended<br> 30/6/24** | (€m)<br>**12 mths ended<br> 30/6/23** |
| **Balance-sheet data** |  |  |
| Loans and advances to customers | 16853.2 | 16827.3 |
| &nbsp;&nbsp;&nbsp;&nbsp;of which: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;MB Premier | *12568. –* | 12384.1 |
| &nbsp;&nbsp;&nbsp;&nbsp;Private Banking | 4285.2 | 4443.2 |
| New loans | 1100.6 | 2244.7 |
| Risk-weighted assets | 6051.5 | 5959.4 |
| RORWA | 3.6% | 3.1% |
| No. of staff | 2259 | 2197 |

---

Review of operations Mediobanca Group \| 53

---

| | | | |
|:---|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** | **Chg. %** |
| **Commercial data** |  |  |  |
| Relationship managers | 536 | 522 | 2.7% |
| Financial advisors | 615 | 565 | 8.8% |
| No. of branches/agencies MB Premier | 209 | 208 | 0.5% |
| Private Banker | 155 | 149 | 4.0% |

---

Net profit for totalled €208.5m (up 28.8% YoY, up 4.7% QoQ), on revenues of €923.6m (up 12.6% YoY, up 0.5% QoQ), with the cost/income ratio declining to 66.4% (67.7% last year) and the CoR at 4 bps; RORWA for the division rose to 3.6% (3.1% last year), versus the Strategic Plan target of 4%.

Net New Money for the twelve months totalled €8.4bn (€3.3bn in 4Q), almost all of which was AUM/AUA, given that the direct component was down slightly (by €220m), due to the conversion activity offset by the new deposits recorded in 4Q (€1.5bn), following a strong promotional campaign through the proprietary networks (Mediobanca Premier and Mediobanca Private Banking); the market effect for the twelve months was positive (€3.2bn), concentrated in the six central months of the year.

Assets managed on behalf of clients (TFAs) totalled €99.4bn (30/6/23: €88bn), with €71.5bn in AUM/AUA (€59.8bn) and the ROA for the AUM component stable at 84 bps; deposits were also stable at €28bn (€28.2bn); the Premier segment contributed TFAs of €41.8bn (up 11.4% YoY and up 3% QoQ), €24.9bn of which AUM/AUA (up 21.2% YoY, and up 4% QoQ) and €16.9bn deposits; Private Banking reported TFAs of €44.9bn (up 15.7% YoY and up 4% QoQ), €33.8bn of which were AUM/AUA (up 22.7% YoY and 1% QoQ) and €11.1bn deposits (approx. 35% in time depo), while Asset Management posted TFAs of €28.2bn (up 9% YoY and down 2% QoQ), €15.5bn of which placed internally within the Group.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. %** | **Chg. %** |
| <br>**Net TFA** |<br>**30 June 2024** |<br>**31 December 2023** |<br>**30 June 2023** | **June 24 / June 23** | **June 24 / Dec 23** |
| Private Banking | 44867 | 41980 | 38788 | 15.7% | 6.9% |
| Premier Banking | 41820 | 39289 | 37548 | 11.4% | 6.4% |
| Asset Management | 28239 | 26959 | 25914 | 9.0% | 4.7% |
| Intercompany | (15495) | (14673) | (14217) | 9.0% | 5.6% |
| **Wealth Management** | **99431** | **93555** | **88033** | **12.9%** | **6.3%** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. %** | **Chg. %** |
| <br>**Deposits** |<br>**30 June 2024** |<br>**31 December 2023** |<br>**30 June 2023** | **June 24 / June 23** | **June 24 / Dec 23** |
| Private Banking | 11026 | 10709 | 11205 | -1.6% | 3.0% |
| Premier Banking | 16888 | 16992 | 16984 | -0.6% | -0.6% |
| Asset Management |  |  |  | n.m. | n.m. |
| **Wealth Management** | **27915** | **27702** | **28189** | **-1.0%** | **0.8%** |

---

54 \| Consolidated financial statements as at 30 June 2024

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. %** | **Chg. %** |
| <br>**AUM/AUA** |<br>**30 June 2024** |<br>**31 December 2023** |<br>**30 June 2023** | **June 24 / June 23** | **June 24 / Dec 23** |
| Private Banking | 33841 | 31270 | 27583 | 22.7% | 8.2% |
| Premier Banking | 24932 | 22296 | 20564 | 21.2% | 11.8% |
| Asset Management | 28239 | 26959 | 25914 | 9.0% | 4.7% |
| Intercompany | (15495) | (14673) | (14217) | 9.0% | 5.6% |
| **Wealth Management** | **71517** | **65853** | **59844** | **19.5%** | **8.6%** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **2022-2023** | **2022-2023** | **2022-2023** | **2022-2023** |
| Net New Money | IQ | IIQ | IIIQ | IVQ |
| Private Banking | 1001 | 1061 | 740 | 1.591 |
| Premier Banking | 222 | 1109 | 381 | 1.625 |
| Asset Management | (85) | 82 | (120) | (331) |
| **Wealth Management** | **1138** | **2252** | **1001** | **2885** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **2023-2024** | **2023-2024** | **2023-2024** | **2023-2024** |
| Net New Money | IQ | IIQ | IIIQ | IVQ |
| Private Banking | 624 | 1649 | 299 | 1893 |
| Premier Banking | 163 | 955 | 679 | 1261 |
| Asset Management | 395 | (82) | 371 | 145 |
| **Wealth Management** | **1182** | **2522** | **1349** | **3299** |

---

The results delivered confirm the Group's ambition to establish itself as a leading operator on the domestic market over the course of the Strategic Plan 2023-26 "One Brand-One Culture", by leveraging on multiple factors, including brand strength, offering content, focus on HNWI/UHNWI clients, and developing a global advisory offering for both entrepreneurs and businesses. At Group level, the WM Division is the second contributor to results by revenues and the first in terms of fees, with growth prospects for the 2023-26 period likely to outperform the system at the level of TFAs (€115bn, 3Y CAGR: 11%), revenues (approx. €1bn) and profitability (RORWA 4%).

The ongoing high market interest rates have favoured investments in bond products, including corporate bonds, sovereign debt products and funds with debt securities as the underlying instrument, at the expense of wealth management products; for this reason, commercial efforts in Private Banking have focused on the offer of certificates (generating approx. €1.8bn in 12M, mainly structured instruments with credit as the underlying instrument), and in Premier Banking, on funds with bond content (Target Maturity), some of which managed by Mediobanca SGR to guarantee yields, diversification and portfolio optimization.

Review of operations Mediobanca Group \| 55

Interaction between the Group's distributors and product factories has been strengthened with the objective of presenting a harmonized commercial offering, structured over the various client segments, based on the specific needs and requirements of each of them, and leveraging on synergies with the CIB Division in order to consolidate the Private & Investment Banking model which relies on the liquidity events generated by Investment Banking as one of the most important growth factors for assets under management.

As for the Private Banking segment, in Public Markets the enrichment of the division's core portfolio management products has continued, where, in view of the macroeconomic interest rate scenario, four new strategies have been introduced (three Buy & Hold bond strategies with different maturities and one equity strategy). The twelve months under review also saw the launch of the first two Actively Managed Certificates (AMCs), i.e. products structured through a combination of investment strategies (primarily options-based) being incorporated into a tradable security.

In Private Markets, the Apollo Aligned Alternatives fund has been complemented, among the semi-liquid funds offered, by the KKR fund, a product which combines the advantages of private equity strategies with higher liquidity than other funds typical of this asset class; overall private equity funds have collected some €190m in the course of the twelve months. Both the closed-end fund promoted in conjunction with Investindustrial and the international real estate initiative implemented in partnership with UBS Asset Management are now at the placement stage. The BlackRock programme investment activity has seen four new deals launched, taking the total investment for the programme to over €500m.

As regards club deals with Italian SMEs as the target, the first €500m investment programme (TEC) has now ended, and the funding for the commitment of the second round of the programme (TEC 2) has also been completed, with a total of €900m committed; the first investment has been made in a company operating in the tourism/hospitality sector.

The Private and Investment Banking model has enabled around €1bn in liquidity events to be generated in the twelve months, some €250m of which involved also participation in the CIB Division's advisory process.

As for the Premier Banking segment, the rebranding of CheBanca! as Mediobanca Premier took place at the start of 2024, with the objective of repositioning the bank versus a higher- end client bracket able to benefit from an integrated Group

56 \| Consolidated financial statements as at 30 June 2024

offering, which on the Wealth Management side also contemplates leveraging the capabilities of the Group asset management product factories, and on the CIB side, gives entrepreneurs an opportunity to call on the Group's Corporate and Investment Banking services for both their ordinary and extraordinary financing requirements, not to mention the outstanding capabilities of the Mediobanca Securities equity research teams and the Mediobanca Research Area. During the next three years Mediobanca Premier aims to accelerate this repositioning versus Premier clients (increasing the number of Affluent clients, i.e. clients with AUM of over €500,000, by 16%, and Private clients, i.e. those with AUM of over €1m, by 50%) through the recruitment of new bankers and FAs with larger portfolios, and by expanding the wealth management products and services offered.

Mediobanca Premier took advantage of the high interest rate scenario during the twelve months, offering Affluent and Wealthy clients different types of bond issues diversified by duration and currency, and providing them with access to new promotions on direct funding with a view to conversion. As for investment products, securities worth a total amount of €1.4bn have been placed, almost €250m of which in certificates.

The range of delegated management funds has also been expanded, with the addition of two new strategies, in partnership leading international asset managers (Mediobanca Pictet New Consumer Trend, Mediobanca Schroders Diversified Income Bond), for a total amount of €129m; meanwhile, the placement of the strategies already featured in the portfolio also continues (Mediobanca Morgan Stanley Step In Global Balanced ESG Allocation, Mediobanca Fidelity World Fund, Mediobanca MFS Prudent Capital, Mediobanca Nordea World Climate Engagement), which involve a total of €141m.

In addition, again with a view to taking maximum advantage of the favourable market interest rates and to satisfy client demand for bond products, a total of four new Target Maturity bond funds have been placed: MB Selezione Cedola Italia 2026 and 2029 (for a combined total of €278m), MB ESG Credit Opportunities 2029 (€60m), and MB Credit Opportunities 2030 (€27m), for which the placement window ends after the end of the financial year. Both the MB ESG Credit Opportunities funds qualify as SFRD Article 8 funds.

Overall, the distribution structure consists of 1,306 professionals, 1,151 of whom in Premier Banking, split between bankers (536, an increase of 14) and FAs (615, an increase of 50), working out of 102 branches and 107 offices. In

Review of operations Mediobanca Group \| 57

Private Banking the distribution structure has risen to 155 (six added), primarily as a result of strengthening the Group's footprint in the local branches throughout Italy, such as in Bologna, Florence and Padua, through the recruitment of senior bankers; while the programme for developing young talent has also continued.

In Alternative Asset Management, Polus has consolidated the growth of its AUM which now total €8.7bn. In the CLO segment, the first US platform deal has been launched, which is expected to be priced by the end of 1Q FY 2024-25; while in Europe two deals have been closed (CLO XVI and XVII) raising a total of approx. €800m; and a third has been launched, which was priced in July 2024. Master Fund activity has improved its track record, enabling it to grow (AUM of over €400m), and launching a parallel activity with the closed-end Special Situation fund which has target assets of €750m, with €120m already gathered.

RAM AI has continued with its turnaround process by focusing on its core businesses, in view of the quality of the performances with some stabilization in terms of assets (AUM €1.5bn). The following in particular should be noted: European Market Neutral Equities (AUM: €144.3m; up 14% since the start of 2024), RAM Mediobanca Strata UCITS (AUM: €280.4m; up 5%) and RAM Emerging Markets (AUM: €498.4m; up 7%).

\* \* \*

Customer loans totalled €16.9bn (basically unchanged), with the mortgage lending share stable at €12.6bn, despite new business halving (from €2.2bn to €1.1bn), impacted by the reduced demand and strong competition from the commercial banks; customer loans in Private Banking totalled €4.3bn, €2.9bn of which attributable to CMB Monaco, virtually stable despite the difficulties on the Lombard market due to the high interest rates.

Gross NPLs increased totalled €227.7m (€218.2m last year), and account for 1.3% of total loans, €155.6m of which in respect of Mediobanca Premier mortgage loans, €57.7m of which attributable to CMB Monaco, and the remainder to the Mediobanca Private Banking Division. The coverage ratio was 42.9% (73.5% for bad debts), and involves a net loan stock of €130m (0.8% of net loans), €67.9m of which were Mediobanca Premier mortgage loans (with the net bad debts totalling €24m), and €55.1m of which were attributable to CMB Monaco. Net loans classified as Stage 2 increased from €726.1m to €744.9m, and represent 4.4% of the loan stock; of these, around 90% consist of mortgages,

58 \| Consolidated financial statements as at 30 June 2024

even though the Private Banking component is increasing (up 64.7%, from €44.4m to €73.1m), due to some delays in repayments of instalments for amply-guaranteed loans.

Consolidated revenues climbed from €820.5m to €923.6m (up 12.6% YoY), with €233.5m added in 4Q alone (up 0.5% QoQ). The main income items performed as follows:

Net interest income rose from €361.5m to €425m, an increase of 17.6% YoY, with the contribution for 4Q contribution stable at €105.1m; the increase in the cost of funding (up 106 bps, to 1.66%), due to the temporary pricing policy introduced to attract new clients, keeping AUM unchanged (in the €28bn area), was offset by the performance in lending, where, with volumes stable, profitability increased by around 175 bps (ROA: 4.23%); this heading also includes intercompany accounts versus Group Treasury, where the Group's funding sources are centralized. NII contributed by Private Banking totalled €151.2m (up 29.8% YoY; down 3.9% QoQ); and by Premier Banking €273.8m (up 11.8% YoY; down 0.4% QoQ), growth which remains modest due to the different ALM and interest rate risk structure;

Net fee and commission income grew by 8.9% YoY, from €449.6m to €489.4m, with the 4Q contribution totalling €126.1m (up 2.6% QoQ); the increase compared to last year involved upfront fees (which rose from €77.1m to €96.6m; up 25% YoY) linked to the substantial placement of fixed-income products (sovereign debt securities, bonds and certificates/CLN) and Private Markets instruments (such as the major TEC 2 deal in 4Q); there was also a good performance in banking fees (up from €95.1m to €104.6m; an increase of 10% YoY), while the growth in management fees was more moderate (from €329.6m to €344.4m; up 4% YoY, up 3% QoQ), reflecting the performance in wealth management, the recovery in which only began in 2H; while performance fees doubled, from €8.4m to €14.8m (€8.5m of which were recorded during 1H). Private Banking continues to be the main contributor to the division's fee income, generating fees of approx. €200m (up 15% YoY), while Premier Banking provided fees of €181.7m (up 5.9% YoY), and Asset Management of €98.4m (up 3% YoY).

Operating costs increased from €555.1m to €613.5m (up 10.5% YoY), and in 4Q totalled €156.8m (up 1.1% QoQ); labour costs rose to €325.1m (up 10.5% YoY; down 4.1%), with the growth for the year reflecting the strengthening of the workforce (with 62 new staff added), and the adjustments due to the new national collective bargaining contract, plus the increased cost of indemnities payable

Review of operations Mediobanca Group \| 59

in relation to recruitment (the weight of which is volatile, and indeed reduced in 4Q). The increase in administrative expenses (from €260.9m to €288.4m, up 10.5% YoY; up 7.4% QoQ) was due in particular to the IT component (IT expenses: €99m; up 8% YoY, down 13% QoQ), plus investments to refurbish branch offices and premises (€49m; up 12% YoY; up 12% QoQ); the launch of Mediobanca Premier accounted for approx. €8m of the spending, mostly marketing expenses.

Loan loss provisions totalled €7.4m, lower than last year (€10.5m), despite the stock of overlays remaining virtually unchanged, at €12m; the reduction was enabled by the good asset quality of both the loan stock and new business (highly selective), with a low client exposure to rising interest rates through the constant/protected instalment formula.

60 \| Consolidated financial statements as at 30 June 2024

***CORPORATE AND INVESTMENT BANKING***

This division provides services to Corporate customers in the following areas:

*–* Wholesale Banking: lending, capital market activities, advisory services, and trading (client and proprietary), performed by Mediobanca, Mediobanca International, Mediobanca Securities, Messier et Associés and Arma Partners;

*–* Specialty Finance: factoring, performed by MBFACTA, and credit management, performed by MBCredit Solutions and MBContact Solutions.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended**<br> **30/6/24** |<br>**12 mths ended**<br> **30/6/23** | (€m)<br>**Chg. %** |
| **Profit-and-loss** |  |  |  |
| Net interest income | 307.0 | 288.0 | 6.6 |
| Net treasury income | 95.0 | 135.0 | -29.6 |
| Net fee and commission income | 360.6 | 289.4 | 24.6 |
| **Total income** | **762.6** | **712.4** | **7.0** |
| Labour costs | (215.0) | (183.0) | 17.5 |
| Administrative expenses | (164.9) | (144.3) | 14.3 |
| **Operating costs** | **(379.9)** | **(327.3)** | **16.1** |
| Loan loss provisions | 10.6 | (32.3) | n.m. |
| Provisions for other financial assets | (3.4) | (10.1) | -66.3 |
| Other income (losses) | (2.5) |  | n.m. |
| **Profit before tax** | **387.4** | **342.7** | **13.0** |
| Income tax for the period | (121.0) | (113.8) | 6.3 |
| Minority interest <sup>(\*\*)</sup> | (22.9) | (3.7) | n.m. |
| **Net profit** | **243.5** | **225.2** | **8.1** |
| Cost/Income (%) | 49.8 | 45.9 |  |

---

<sup>(\*\*)</sup> Includes profits credited back to the category B partners of Arma Partners.

---

| | | | |
|:---|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** |  | **12 mths ended<br> 30/6/23** |
| **Balance-sheet data** |  |  |  |
| Loans and advances to customers | 18993.3 |  | 19625.9 |
| of which: Corporate | 16042.9 |  | 16765.2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Factoring | 2950.2 |  | 2860.7 |
| Corporate new loans | 5794.3 |  | 6860.3 |
| Factoring turnover | 12009.5 |  | 12084.1 |
| Risk-weighted assets | 14857.6 |  | 19410.2 |
| RORWA | 1.4 | % | 1.2% |
| No. of staff | 732 | <sup>(\*)</sup> | 648 |
| Front Office Wholesale | 441 | <sup>(\*)</sup> | 344 |

---

<sup>(1)</sup> It involves Arma staff

The CIB Division posted a net profit of €243.5m, reporting a high of €74.5m in 4Q, and was 8.1% higher than last year (€225.2m) following the addition of Arma Partners (consolidated since 1 October 2023; revenues:

Review of operations Mediobanca Group \| 61

€68.5m; the partnership's pro rata share in the net profit: €14.6m), and boosted by the writebacks credited in respect of the loan book which came to €10.6m (compared with the €32.3m in charges taken last year). The RORWA posted by the Division grew to 1.4% (1.2%), on a cost/income ratio of 49.8% (45.9%). Wholesale Banking contributed €219.7m to the bottom line for twelve months (€70.2m in 4Q), Specialty Finance €23.8m (€4.3m).

The European M&A market started 2024 strongly, with a 45% increase in volumes of deals announced compared to the same period the previous year. This increase, which bucks the downward trend observed in 2023, was driven primarily by volumes of large-sized deals (with a value of more than $500m), which were up 73%. At the same time, there was a reduction in the number of deals announced, which was down 24%, driven by a 25% drop in the number of medium-/small-sized transactions; while the number of large deals was up 34%.

Despite an 11% drop in the number of deals announced, in the first six months of 2024 the Italian market saw volumes of deals announced increase by almost 4x compared to 1H 2023. Significant increases in volumes, above the average recorded for the European market, were also observed in the United Kingdom and Spain, up 82% and 73% respectively, whereas the German and French markets grew by 31% and 13% respectively.

In this market scenario, the Bank has confirmed its position as advisor of choice in Italy, taking part in the most important deals announced, and completing a total of thirty-five deals over the course of the six months.

Some of the main deals completed in Italy include the sale of a minority stake in IMA to BDT & MSD in the Industrial sector, the merger of UnipolSai into Unipol in the Financial Institutions sector, the acquisition of Fabbrica Italiana Sintetici by Bain Capital in the Healthcare sector, and the acquisition of SKS365 by Lottomatica in the TMT sector, plus certain deals in the Mid-Cap segment, including the acquisition of Autry International by Style Capital and the sale of Magister Group to W-Group.

On the French market, Messier et Associés confirmed its key position, taking part in some of the leading deals concluded in the Large Corporate segment, including the acquisition of Bolloré Logistics by CMA-CGM in the Infrastructure sector, and the acquisition of Micropole by Talan in the TMT sector.

In the Digital Economy sector, Arma Partners confirmed its position as one of the leading advisors in Europe, with 16 deals completed since the acquisition was

62 \| Consolidated financial statements as at 30 June 2024

finalized. The software sector has been particularly buoyant; the most significant deals on which the company has advised in this segment include the Visma capital increase implemented by Hg, the sale of Civica to Blackstone, and the acquisition of Ellis Group by Apax Partners. The addition of Arma Partners and its integration into the Bank's advisory platform are important steps in the Strategic Plan, serving to expand the range of specialist sectors in which Mediobanca provides advisory services, as well as to promote international diversification.

A gradual increase in advisory business is expected in the coming quarters, driven by the pipeline of deals announced in recent months, in both the Italian and international panoramas, including: in the TMT sector, the acquisition of TIM's fixed line network by KKR, and the business combination between International Game Technology and Every Holdings; and, in the Financial Institutions sector, the public tender offering for Banco Sabadell launched by BBVA, helped also by the generally positive mood and more favourable borrowing conditions available in the Investment Banking market scenario.

Equity Capital Markets reflect investors' extreme selectivity with regards to IPOs in particular; nonetheless, the Bank has taken part in several of the leading deals closed on the domestic market, acting as Joint Global Coordinator and Joint Bookrunner in both the two deals managed for Campari, the placement of an approx. 6% stake of its share capital through an ABB process and the issue of a convertible bond, plus the sale of 25% of Monte dei Paschi di Siena, also by means of an ABB, for the Italian Ministry for the Economy.

Mediobanca's commitment to ESG issues has been a feature of the CIB Division's activities, in line with the Strategic Plan targets, with a view to supporting clients in their energy transition strategies, and to allocating capital with a focus on ESG issues through deals that demonstrate the Bank's commitment to projects that contribute to environmental and social sustainability.

With reference to advisory business, some of the main deals on the domestic market in which the Bank was involved include the joint venture between Italiana Petroli and Macquarie capital, the reserved capital increase for Eni Plenitude by Energy Infrastructure Partners, and the sale of a 49% stake in Enel Libra Flexsys by Enel to Sosteneo (Assicurazioni Generali). The Bank has also advised on some major deals at European level, including the voluntary public tender offer for Greenvolt by KKR, and the sale of Enerfín to Statkraft by Elecnor.

Review of operations Mediobanca Group \| 63

In Debt Capital Markets, the Bank has played a crucial role in the placement of new Green, Social and Sustainability-Linked bonds issued by international issuers, which accounts for around 45% of the total placed, in line with the 2023-26 Strategic Target of 50% (including a €1,250m dual-tranche Green Senior note issued by Assicurazioni Generali, an €850m Green Hybrid Note issued by Terna, a €500m Green Bond issued by Redeia, and a €500m Sustainability Bond issued by Raiffeisen Bank Czech). At the same time, Mediobanca has taken part of some of the largest senior and subordinated bond issues both in Italy (including Ferrari, IMA, UnipolSai, Snam and Stellantis), and in some of its other core markets as well (such as Swisscom, Flutter Entertainment, Santander and Telefonica).

The Bank has also seen the upward trend in new ESG loans continue, with this segment at end-June 2024 accounting for approx. 38% of new business, in line with the Strategic Plan target of 40% by end-June 2026. Some of the main deals here include a €1bn syndicated sustainability-linked Term Loan to Brisa – Autoestradas De Portugal, a €600m syndicated sustainability-linked Term Loan to Pirelli, a €600m syndicated Green Loan to A2A, and a £500m syndicated sustainability-linked Term Loan to Exolum. Furthermore, in a market scenario for Lending activity marked by limited volumes, in the acquisition financing segment in particular, the Bank has consolidated its role as Italian market leader, and at the same time strengthened its pan-European footprint by assisting its clients in raising finance to support both their ordinary activities (including Enel, Eni, INWIT, and CK Hutchison) and extraordinary activities, including underwriting the financing to support the acquisition of the TIM fixed telephony network by KKR, the financing package granted to doValue for its acquisition of Gardant, and the financing to Swisscom in its acquisition of 100% of Vodafone Italy.

Markets activity offset the reduction in business with institutional clients by improving activities with private and professional clients, continually searching out high-yield investment instruments for customers with substantial liquidity positions exposed to inflation. Volumes of securities and equities traded have improved, despite the absence of specific trends.

\* \* \*

Customer loans decreased by from €19.6bn to €19bn in the twelve months (down 3.2%); the reduction in the Wholesale Banking segment (down 4.3%, from €16.8bn to €16bn, €12.7bn of which attributable to Lending and Structured Finance) was to some extent countered by the resilience of factoring business

64 \| Consolidated financial statements as at 30 June 2024

(customer loans up 3.1%, from €2,860.7m to €2,950.2m). New business in Lending and Structured Finance was slightly lower than twelve months previously (down from €6.9bn to €5.8bn, €3.5bn of which in 2H), against repayments totalling €7.6bn. Turnover in factoring business remained more or less stable at €12bn, despite some growth in the client base (up 3%, from 370 to 382), 44% of which are classified in the Large Corporate segment (which accounts for just over 90% of the turnover).

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** | **12 mths ended<br> 30/6/23** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Chg.** |
| Italy | 9250.2 | 48.7% | 10375.9 | 52.9% | -10.8% |
| France | 2485.1 | 13.1% | 2591.7 | 13.2% | -4.1% |
| Spain | 1601.9 | 8.4% | 1579.4 | 8.0% | 1.4% |
| Germany | 1796.9 | 9.5% | 980.0 | 5.0% | 83.4% |
| U.K. | 969.0 | 5.1% | 1124.3 | 5.7% | -13.8% |
| Other non resident | 2890.2 | 15.2% | 2974.6 | 15.2% | -2.8% |
| **Total loans and advances to customers CIB** | **18993.3** | **100.0%** | **19625.9** | **100.0%** | **-3.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: Specialty Finance | 2950.2 | 15.5% | 2860.7 | 14.6% | 3.1% |

---

Gross NPLs decreased from €135.7m to €51.2m, following the sale of three Large Corporate single-name positions, the stock of which fell from €110.1m to €24.8m, following the addition of three small exposures, the largest of which is backed by a state guarantee. The gross NPL ratio stood at 0.3% (30/6/23: 0.7%), while the coverage ratio decreased from 83.6% to 54.4%, with only a modest impact at net level (€23.3m).

Gross Stage 2 positions totalled €288.9m (1.5% of total loans), with the contribution of Wholesale Banking decreasing to €181.5m following repayments (most of which as part of the derisking activity) of €161.9m (resulting in €6.8m in provisions being released), transfers to Stage 3 totalling €17.9m, and new additions of €66.7m. By contrast, factoring business saw some breaches that led to the stock increasing from €58.1m to €107.4m, which, however, are in the process of being resolved. The coverage ratio for performing loans was 0.3% (0.4%), reflecting the release in overlays (the stock of which decreased accordingly, from €40m to €27.5m), in relation to the reduced impact of inflation.

Revenues rose from €712.4m to €762.6m (up 7% YoY; up 17.1% QoQ), confirming the positive trend in progress since year-end 2023, with €226.7m added in 4Q, higher than in 3Q (€193.6m); the contribution from Wholesale Banking totalled €686.8m (up 7% YoY), while Specialty Finance revenues totalled €75.8m (up 7.4% YoY).

Review of operations Mediobanca Group \| 65

The main income items performed as follows:

Net interest income rose to €307m (from €288m, up 6.6% YoY), with €73.8m added during the month, down 7.9% QoQ, due to derisking decisions, but still in line with the QoQ performance throughout the twelve months; the expected reduction from Lending operations (€157m, down 0.6% YoY, but up 1.3% QoQ) was due to the lower lending volumes, and was offset by the good performances posted by Specialty Finance (€42.6m, up to 6% YoY) and Markets and proprietary trading helped by the higher-margin coupons (€106.6m, up 18.6% YoY, down 22.8% QoQ), but eroding net treasury income.

Net fee and commission income totalled €360.6m (up 24.6% YoY; up 48.6% QoQ), reflecting the addition of Arma Partners (which added fees of €66.9m in the three quarters for which it was consolidated, with an average QoQ performance of €22m), and the excellent performance by the Mid Corporate segment (fees up from €26m to €35m); the 4Q figure of €135.8m represented a particularly outstanding performance in the Spanish and French large caps M&A segment (which contributed almost €50m in 3M); overall the fees contributed by Investment Banking operations (€234m) were 40% higher YoY, fully absorbing the weak ECM market (with fees of just €5.8m), while the reduced demand for structured finance was reflected in the Lending segment's performance (fees declining from €67.2m to €63.1m), offset at the Debt Division level by the healthy performance in DCM activity (fees up from €17m to €24m). Specialty Finance contributed €33.3m in twelve months (€8.3m in 4Q), €26.3m of which from the activities of MBCredit Solutions.

Net treasury income totalled €95m, behind the figure reported last year (€135m), with the proprietary trading desk in particular suffering (revenues down from €62.1m to €19.4m), impacted by the effects of secured financing activities being reorganized as part of the Treasury department, reduced opportunities in terms of equity arbitrage and interest rate volatility, and the increasing amount of coupon flows being accounted for as part of net interest income. Client trading by the Markets Division reflected an improvement in the twelve months, from €71.6m to €72.8m, despite the difference in mix: Fixed-income trading recovered (from €16.1m to €26.1m), helped by the widening spreads and the positive flows from certificates operations (new issues of over €450m); while equity trading slowed (from €55.5m to €46.7m), despite the recovery posted in 4Q (revenues of €20.8m) as a result of certain bespoke deals which were entirely absent in the first nine months of the financial year.

66 \| Consolidated financial statements as at 30 June 2024

---

| | | | |
|:---|:---|:---|:---|
| **Revenues** | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** | **Chg. %** |
| Capital Market | 29.5 | 43.5 | -32.2% |
| Lending | 222.8 | 226.1 | -1.4% |
| Advisory M&A | 229.1 | 143.8 | 59.3% |
| Trading Prop | 27.8 | 61.9 | -55.1% |
| Market, sales and other gains | 177.6 | 166.5 | 6.7% |
| Specialty Finance | 75.8 | 70.6 | 7.4% |
| **Total Revenues** | **762.6** | **712.4** | **7.0%** |

---

---

| | | | |
|:---|:---|:---|:---|
| **Commissions** | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** | **Chg. %** |
| Capital Market, Sales and other gains | 36.0 | 48.0 | -25.1% |
| Lending | 63.1 | 67.2 | -6.1% |
| Advisory M&A | 228.2 | 143.8 | 58.7% |
| Specialty Finance | 33.3 | 30.4 | 9.5% |
| **Total Commissions** | **360.6** | **289.4** | **24.6%** |

---

Operating costs grew from €327.3m to €379.9m (up 16.1% YoY), reflecting a 4Q contribution of €113.4m. The consolidation of Arma Partners (costs of €25.5m, €19.3m of which staff-related) accounts for half of the growth, with the remaining accounted for by the upgrade in technology and the project initiatives to develop the Markets Division's products and for management of the AIRB Corporate models (up 14%). Labour costs, net of the Arma Partners effect, rose from €183m to €195.8m, due to the higher fixed costs (up 9% YoY) and an increase in the variable component (up 4%), in view especially of the excellent 4Q performance. The 14.3% YoY rise in administrative expenses (up 8.1% QoQ) involves IT costs, including info-providers (€47m; up 7% YoY), the increased spending on projects (€16m; up 26% YoY; up 35% QoQ), and other costs (€52.7m; up 11% YoY), including the higher costs related to the support and control units (27m; up 17% YoY) plus the growing commercial activity (travel and entertainment expenses: €12m, up 31% YoY).

---

| | | | |
|:---|:---|:---|:---|
| | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** | **Chg. %** |
| CIB loans | 10.4 | (32.1) | n.m. |
| Specialty Finance loans | 0.2 | (0.2) | n.m. |
| Other financial assets | (3.4) | (10.1) | n.m. |
| **Total provisions** | **7.2** | **(42.4)** | n.m. |

---

Valuations of financial assets (loans, banking book securities and holdings in funds) at the period-end resulted in net writebacks of €7.2m being credited: provisions for financial assets totalling approx. €3.4m (vs €10.1m last year) were more than offset by the €10.6m writebacks credited in respect of corporate loans (compared with the €32.3m provisions taken for the Wholesale Banking portfolio last year).

Review of operations Mediobanca Group \| 67

***CONSUMER FINANCE***

This Division provides retail clients with the full range of consumer credit products: personal and special-purpose loans, salary- or pension-backed finance, credit cards, plus the new, innovative Buy Now Pay Later solution called "Pagolight", which this year has expanded with the acquisition of HeidiPay Switzerland AG. Also included in Consumer Finance are Compass RE, which reinsures risks linked to insurance policies sold to clients, Compass Rent, which operates in asset rental, and Compass Link, which distributes Compass products and services via external collaborators.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended<br> 30/6/24** |<br>**12 mths ended<br> 30/6/23 <sup>(\*)</sup>** | (€m)<br>**Chg (%)** |
| **Profit-and-loss** |  |  |  |
| Net interest income | 1043.9 | 984.9 | 6.0 |
| Treasury income | 0.2 |  | n.m. |
| Net fee and commission income | 145.1 | 137.3 | 5.7 |
| Equity-accounted companies | (0.3) | (0.8) | -62.5 |
| **Total income** | **1188.9** | **1121.4** | **6.0** |
| Labour costs | (120.6) | (113.8) | 6.0 |
| Administrative expenses | (248.9) | (233.6) | 6.5 |
| **Operating costs** | **(369.5)** | **(347.4)** | **6.4** |
| Loan loss provisions | (249.7) | (203.9) | 22.5 |
| Provisions for other financial assets |  |  | n.m. |
| Other income (losses) | 0.1 | (14.0) | n.m. |
| **Profit before tax** | **569.8** | **556.1** | **2.5** |
| Income tax for the period | (186.9) | (182.6) | 2.4 |
| **Net profit** | **382.9** | **373.5** | **2.5** |
| Cost/Income (%) | 31.1 | 31.0 |  |

---

<sup>(\*)</sup> The figures as at 30 June 2023 have been restated after Bank of Italy Circular no. 262/2005, eighth update came into force, incorporating the introduction of the new IFRS 17 – insurance contracts.

---

| | | |
|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** |
| **Balance-sheet data** |  |  |
| Loans and advances to customers | 15197.6 | 14465.0 |
| &nbsp;&nbsp;&nbsp;&nbsp;- of which: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Personal loans | 7516.6 | 7117.0 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CQS | 1728.0 | 1736.4 |
| New loans | 8370.1 | 7848.8 |
| Risk-weighted assets | 14493.2 | 13516.9 |
| RORWA | 2.7% | 2.9% |
| No. of staff | 1563 | 1520 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** | **Chg. %** |
| **Commercial data** |  |  |  |
| Branches Consumer | 181 | 181 | n.m. |
| Agencies Consumer | 85 | 72 | 18.1% |

---

68 \| Consolidated financial statements as at 30 June 2024

Compass delivered a net profit of €382.9m in the twelve months, improving on last year's already high result (€373.5m), despite the 4Q result (€91.3m) representing a slight reduction QoQ due to seasonal factors affecting the fees credited back to the third-party networks plus a slight increase in the cost of risk. The RORWA<sup>(20)</sup> reported by the division was stable at 2.7% (2.9% last year). The growing trend in revenues continues, with the top line up 6% YoY, including €300.6m in 4Q, enabling the cost/income ratio to remain at 31.1%, absorbing the growth in costs (which were up 6.4% YoY) due to the major project activity implemented in relation to the expansion of both the digital and international offerings. The cost of risk was around the 174 bps area in 4Q, having been 148 bps in 4Q FY 2022-23 (and 169 bps in 3Q FY 2023-24), confirming the gradual realignment to pre-Covid levels.

The Italian consumer credit market posted flows of some €52bn during the 2023 calendar year, down 0.4% on 2022; the positive trend in special purpose loans (automotive: up 5.5%, other special purpose finance: up 2.5%) only partly offset the reduction in personal loans (down 1.6%) and in salary-backed finance (down 4.5%). In the first five months of 2024 flows of €24bn were recorded, up 5.6% on the same period in 2023.

In line with the objectives of the Strategic Plan 2023-26 "One Brand-One Culture", the expansion and enhancement of the distribution network continued, both digital and international, as did the programme for investing in innovative products; in particular there was a rise in the number of BNPL dealers (merchants up from 20,000 to 26,000) and in the number of new BNPL loans (406,000; representing growth of 131% in the twelve months). The acquisition of HeidiPay Switzerland (€37m in turnover in 9M and 269 merchants) has been consolidated, with increased cross-selling opportunities guaranteed by these clients. In the twelve months a total of thirteen new agencies have been opened, taking the number of active POS in Italy to 327 (85 of which are agencies). The Digital Sales Hubs set up to increase the percentage of full-digital clients managed €55m of loans processed via the internet (up 26% YoY), and the share of the channel's volumes processed in full digital mode is now 35%. The "instant lending" product is also now fully operative, enabling 900,000 Compass clients with solid track records to have a new loan approved in the space of one minute (new loans of €4m were granted in the twelve months).

<sup>(20)</sup> Adjusted Return On RWAs.

Review of operations Mediobanca Group \| 69

New green and/or social/sustainable loans also increased progressively during the year. Such finance includes, with regard to the environmental component, loans to buy cars (CO<sub>2</sub> emissions < 50 gr/km), solar panels, water purification instruments, biomass heating systems, high energy class domestic appliances, and mobility devices (such as electric bikes or scooters).

With regard to the social component, loans have been granted to finance participation in courses and training, to acquire electronic devices to support students, loans to small and medium-size enterprises that operate in disadvantaged areas (regions with GDP below the national average), and pension-backed finance granted to pensioners aged over 70 and with monthly income of up to €1,500.

New loans were up 6.6% in the twelve months, with more than two million transactions completed (an increase of 13.4%), despite the stricter acceptance levels adopted in order to support credit quality. The positive trend involved personal loans (up 11.5%, from €3,508m to €3,910m), helped by the growth of the direct channel (up 10.5%, from €2,774m to €3,033m), and the recovery by the third-party channels: (up 14.9%, from €763.8m to €877.3m), the banking channel in particular (up 15.1%, from €444.7m to €511.9m). New business in BNPL increased by almost three times, up from €190m to €496m, with approx. 406,000 transactions finalized. There were slight decreases in both automotive finance (down 11.7%, from €1,621m to €1,431m) and special purpose loans (down 2.2%, from €1,188m to €1,162m), whereas credit cards remained more or less stable (up 2.4%, from €933.8m to €955.9m), as did salary-backed finance (up 1.4%, from €408.3m to €414.1m), with the direct channel resilient (up 3.6%, from €199m to €206m), against a reduction in the indirect channel (down 24.7%, from €209m to €157.5m).

The asset quality ratios remain robust: the coverage ratio for performing loans stood at 3.67% (lower than at end-June 2023: 3.75%), following the gradual release of overlays; gross NPLs of €978m represent 5.93% of the loan stock, higher than at end-June 2023 (5.59%), due to the higher flow of defaults expected; while net NPLs rose to 1.59% (1.38%) on a slightly declining coverage ratio of 75.7% (77.3%), reflecting, following the stock disposals, the increased scope of the non-performing items to include positions with higher possibilities of recovery.

Revenues increased from €1,121.4m to €1,188.9m (up 6% YoY), driven by the effects of the repricing policy and by higher growth by the more remunerative

70 \| Consolidated financial statements as at 30 June 2024

products (direct personal loans rose from 35% to 36% of the new business for the twelve months) and by Pagolight (from 2% to 5%). The main income items performed as follows:

Net interest income increased from €984.9m to €1,043.9m (up 6% YoY), with a 4Q contribution of €265.5m, due to growth in the final interest rate on lendings (up 88 bps in 12M, to 8.36%), reinforced by the excellent level of new loans (approx. €8.4bn) which enabled lendings to be increased by approx. €700m; at the same time, the increase in the cost of funding, primarily due to the renewal of hedges, was transferred in the offering policy;

Net fee and commission income rose from €137.3m to €145.1m (up 5.7%), with an increasing contribution from the new initiatives related to Pagolight, fees from which increased to over €20.5m (€10.1m), offsetting the reduction in the component deriving from sales of insurance products (down from €40.4m to €29.6m); while fees credited back to the distribution networks rose to €15.9m (€6m of which in 4Q).

Operating costs reflect the major product and channel development activity, up from €347.4m last year to €369.5m (up 6.4%), attributable to both labour costs rose (€120.6m; up 6% YoY, up 3.2% QoQ) and to administrative expenses (€248.9m, up 6.5% YoY); the former were impacted by the growth in the headcount (with 43 new staff added during the period, ten of whom as a result of the HeidiPay acquisition) and the effects of the renewal of the national collective labour contract (which accounts for 50% of the increase); while the latter (up 6.5% YoY; up 0.8% QoQ) reflect the increasing digitalization (IT and project expenses: up 16%, to €50m) and the increases in credit recovery expenses (which were up 6%, to €63m), and operations expenses (up 8%, to €62m); while careful management of the promotional campaigns has enabled marketing expenses to be kept stable.

Loan loss provisions totalled €249.7m, higher than last year (€203.9m), and reflecting a growing QoQ trend (4Q: €65.6m). The increase in the provisioning levels was due not only to the higher lending volumes but also to the higher default levels expected, reflected also in the increase in the CoR from 145 bps to 168 bps (4Q: 174 bps). The stock of overlays reduced from €209m to €175m, as result of their being reabsorbed in the ECL models.

Review of operations Mediobanca Group \| 71

***INSURANCE - PRINCIPAL INVESTING***

The Insurance – Principal Investing (PI) division comprises the Group's portfolio of equity investments and holdings, including the 13.17% stake in Assicurazioni Generali. The latter investment has been this division's main component for many years, and is distinguished for its sound management, consistency of results, high profitability and contribution in terms of diversification and stabilization to the Mediobanca Group's revenues. The new Basel III regulatory framework definition process, which concluded on 24 April 2024 with the definitive approval of the new version of the EU regulation (CRR III), has made permanent the prudential treatment currently applied to the Assicurazioni Generali investment for purposes of calculating the capital ratios (CET1 in particular). The provisional arrangement, known as the "Danish Compromise", would have expired on 1 January 2025. The division includes the Group's investments in funds and SPVs and/or managed by the Group's asset management companies (seed capital) based on an approach that combines mid-term profitability for the Group with synergies between the divisions, as well as investment activity in private equity funds managed by third parties.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended<br> 30/6/24** |<br>**12 mths ended<br> 30/6/23** | (€m)<br>**Chg (%)** |
| **Profit-and-loss** |  |  |  |
| Other incomes | 19.5 | 8.9 | n.m. |
| Equity-accounted companies | 510.7 | 454.7 | 12.3 |
| **Total income** | **530.2** | **463.6** | **14.4** |
| Labour costs | (4.1) | (4.0) | 2.5 |
| Administrative expenses | (1.1) | (1.0) | 10.0 |
| **Operating costs** | **(5.2)** | **(5.0)** | **-4.0** |
| Provisions for other financial assets | 20.0 | 2.4 | n.m. |
| **Profit before tax** | **545.0** | **461.0** | **18.2** |
| Income tax for the period | (23.0) | (21.5) | 7.0 |
| **Net profit** | **522.0** | **439.5** | **18.8** |

---

---

| | | |
|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** |
| **Balance-sheet data** |  |  |
| Banking book equity securities | 802.2 | 675.6 |
| IAS28 investments | 3780.7 | 3557.1 |
| Risk-weighted assets | 8066.5 | 8713.9 |
| RORWA | 3.8% | 3.2% |

---

72 \| Consolidated financial statements as at 30 June 2024

The Insurance & PI division delivered a net profit of €522m in the twelve months, higher than last year (€439.5m), with a RORWA<sup>(21)</sup> of 3.8% (3.2%).

Application of the equity method to the Group's investments returned a profit of €510.7m, made up as follows: Assicurazioni Generali €503m; other IAS 28 investments (IEO, CLI Holdings II, Finanziaria Gruppo Bisazza) €7.7m.

Amounts collected from dividends and other income from holdings in funds (included under Other income) totalled €26.6m; adjustment of the value of holdings in funds to reflect Fair Value, including the Fair Value Adjustment and Independent Price Verification process which led to a €2.8m correction,<sup>(22)</sup> added €20m (€2.4m last year), €16.9m of which involved the Group's holdings in seed capital funds (in credit and/or fixed-income instruments especially), and €3.1m of which its holdings in private equity funds, due to the customary quarterly update of the NAV.

The book value of the Assicurazioni Generali investment increased from €3,472.2m to €3,698m, despite payment of the dividend as usual (€261.6m was collected in May 2024) and the slight adjustment in the percentage holding owned in the company (from 13.25% to 13.17%). The Insurance Division contributed €503m to the Group's earnings for the twelve months, much higher than last year (€442.8m), on the back of a positive performance in all business segments, non-life insurance in particular, which benefited from lower claims, more than offsetting the (material) impact of natural catastrophes. This was compounded by certain non-recurring items such as the gains generated on the disposals of TUA Assicurazioni S.p.A. and Generali Deutschland Pensionkasse.

The other banking book securities increased to €802.2m (30/6/23: €675.5m): holdings in funds rose from €435.5m to €546.7m, following approx. €95.3m in net investments, and upward adjustments to reflect Fair Value of €16m; the equity component rose to €255.5m (€240.1m), on investments totalling approx. €0.3m and upward adjustments to reflect Fair Value (taken through Other Comprehensive Income) totalling €15.7m, most of which in connection with listed instruments.

<sup>(21)</sup> Adjusted Return On Allocated Capital

<sup>(22)</sup> Reference is made to sections A3 and A4 of the Notes to the Accounts for further details.

Review of operations Mediobanca Group \| 73

***HOLDING FUNCTIONS (CENTRAL, TREASURY AND LEASING)***

The Holding Functions comprises SelmaBipiemme Leasing, MIS and other minor companies, Group Treasury and ALM<sup>(23)</sup> (with the aim of optimizing funding and liquidity management on a consolidated basis, including the securities held as part of the banking book), Group central function costs including the operations, support units (Chief Financial Office, Group Corporate Affairs, Investor Relations, Human Resources), senior management and the control units (Risk Management, Group Audit and Compliance), for the shares not attributable to the business lines. The NPL portfolio management business (Revalea S.p.A.) ceased operations at end-October 2024.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths ended<br> 30/6/24** |<br>**12 mths ended<br> 30/6/23** | (€m)<br>**Chg (%)** |
| **Profit-and-loss** |  |  |  |
| Net interest income | 178.0 | 145.1 | 22.7 |
| Net trading income | 39.2 | 42.8 | -8.4 |
| Net fee and commission income | 6.3 | 32.5 | -80.6 |
| **Total income** | **223.5** | **220.4** | **1.4** |
| Labour costs | (139.7) | (133.4) | 4.7 |
| Administrative expenses | (52.6) | (68.6) | -23.3 |
| **Operating costs** | **(192.3)** | **(202.0)** | **-4.8** |
| Loan loss provisions | (5.6) | (23.4) | -76.1 |
| Provisions for other financial assets | (4.1) | 1.8 | n.m. |
| Other income (losses) | (49.4) | (83.5) | -40.8 |
| **Profit before tax** | **(27.9)** | **(86.7)** | **-67.8** |
| Income tax for the period | (13.2) | (6.5) | n.m. |
| Minority interest | (2.7) | (2.1) | 28.6 |
| **Net profit** | **(43.8)** | **(95.3)** | **-54.0** |

---

---

| | | |
|:---|:---|:---|
|  | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/23** |
| **Balance-sheet data** |  |  |
| Loans and advances to customers | 14033 | 16310 |
| Banking book securities | 92584 | 87400 |
| No. of staff <sup>(1)</sup> | 880 (443) | 853 (430) |
| Risk-weighted assets | 41532 | 38312 |

---

<sup>(1)</sup> The 880 resources are made up as follows: 91 in SelmaBipiemme Leasing (94 last year); 47 in Group Treasury and ALM (28); 155 in MIS (151), 230 in operations (219), 174 in support functions (175), 178 in control functions (159) plus 5 in management (senior management and assistants, 6 last year). Of these, the cost of approximately 443 FTEs is reallocated to the business lines (430).

The net loss posted by the Holding Functions division reduced to €43.8m (compared to €95.3m last year), on revenues which increased from €220.4m to

<sup>(23)</sup> Group Treasury finances the individual business areas' operations, applying the funds transfer pricing (FTP) rate based on the relevant curves, with spreads varying depending on the expiries agreed for the respective use of funds.

74 \| Consolidated financial statements as at 30 June 2024

€223.5m; net interest income rises from €145.1m to €178m, with 4Q reflecting an improvement (€39.1m; up 9.2%) but still lower than the €50m posted in 1Q and 2Q. Operating costs, net of the Revalea contribution, increased from €165.6m to €183.6m, including the central cost component (€118m, up 10% YoY) which represents 7.6% of the Group's total costs. The division's results, despite including the final share of the DGS payments made in July 2024 (€24.2m), reflect a reduction in other items from €83.5m to €49.4m (which last year included the final tranche of the SFR plus provisions for the staff leaving incentive scheme). The Revalea disposal also resulted in a reduction in the heading for "Other income and expenses" of €49.4m (€83.5m last year).

The main income items performed as follows:

Treasury: the net contribution from treasury management increased from €62.4m to €84.2m, on a markedly improved performance in net interest income (up from €98.1m to €146.9m), helped by the positive sensitivity to interest rates and the contribution of the securities portfolio, which delivered higher yields and volumes (up 114 bps and €550m respectively). The 4Q performance remains excellent, at €32.7m (€29.2m), driven by the banking book's growing profitability. The MREL ratio (43.5%, compared with a requirement of 23.57%) and the liquidity ratios (LCR: 159%; NSFR: 116.8%) were higher as a result of the new debt security issuance and the resilience of the WM funding, with no impact from the higher T-LTRO repayments; the cost of funding was resilient at 2.41%.

Leasing: a net profit of €4.1m was earned from leasing operations in the twelve months, compared with €3.2m last year, on revenues totalling €32m (€35m; down 8.6% YoY), due to the new volumes, which contributed to the decrease in loan loss provisions of €2.7m (more than halved compared to last year); gross NPLs continued to reduce (from €107.4m to €79.8m), while net NPLs totalled €18.8m.

\* \* \*

Review of operations Mediobanca Group \| 75

The financial highlights for the other Group Legal Entities in the twelve months under review are shown below:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Company** |<br>**Percentage**<br>**shareholding** | <br>**Business**<br>**Line** |<br><br>**Total assets** |<br>**Loan and**<br>**advanced to**<br>**customers** |<br>**Total net**<br>**equity <sup>(1)</sup>** | (€m)<br><br>**No. of Staff** |
| Mediobanca Securities (dati in USDm) | 100% | CIB | 8.2 |  | 6.3 | 6 |
| Messier et Associés S.A.S. <sup>(\*)</sup> | 100% | CIB | 79.8 |  | 18.3 | 43 |
| Messier et Associés L.L.C. (dati in USDm) <sup>(\*)</sup> | 100% | CIB | 0.5 |  | 0.5 | 3 |
| Mediobanca International | 100% | CIB | 6903.5 | 5031.9 | 449.4 | 19 |
| MBFACTA | 100% | CIB | 3156.7 | 2952.1 | 238.1 | 50 |
| MBCredit Solutions | 100% | CIB | 51.1 | 0.2 | 34.4 | 162 |
| MB Contact Solutions | 100% | CIB | 1.6 |  | 0.6 | 6 |
| Arma Partnes LLP (dati in GBPm) | 100% | CIB | 69.3 |  | 58.5 | 85 |
| Arma Partnes CF Ltd UK (dati in GBPm) | 100% | CIB | 7.6 |  | 0.7 |  |
| Arma DE GmbH (dati in GBPm) | 100% | CIB | 1.1 |  | 0.4 |  |
| Compass Banca | 100% | CF | 17225.6 | 15400.9 | 3070.9 | 1542 |
| Quarzo S.r.l. | 90% | CF | 0.7 |  |  |  |
| Compass RE | 100% | CF | 305.7 |  | 172.9 | 1 |
| Compass Rent | 100% | CF | 10 |  | 2.1 | 14 |
| Compass Link | 100% | CF | 2.3 |  | (1.5) | 1 |
| Heidi Pay Switzerland AG (dati in CHFm) | 100% | CF | 27 | 24.8 | 3.1 | 8 |
| MB Premier | 100% | WM | 30661.6 | 12568 | 949.1 | 1582 |
| Mediobanca Covered Bond | 90% | WM | 0.9 |  | 0.1 |  |
| CMB Monaco | 100% | WM | 8235.8 | 2895.7 | 767.4 | 262 |
| Spafid | 100% | WM | 48.5 |  | 40.7 | 39 |
| Spafid Family Office SIM | 100% | WM | 0.7 |  | 0.3 | 1 |
| Polus Capital Management Group Ltd (dati in GBPm) <sup>(\*)</sup> - consolidato | 89.07% | WM | 126.5 |  | 102.9 | 68 |
| – Polus Capital Management Group Ltd | 89.07% | WM | 101.2 |  | 77.5 | 62 |
| – Polus Capital Management Ltd | 89.07% | WM | 24.3 |  | 26.8 | 1 |
| – Polus Capital Management (US) Inc. | 89.07% | WM | 1 |  | (1.4) | 5 |
| – Bybrook Capital Management Limited | 89.07% | WM |  |  |  |  |
| RAM Active Investments (dati in CHFm) <sup>(\*)</sup> | 98.28% | WM | 15.8 |  | 13.4 | 31 |
| CMG Monaco | 100% | WM | 9.5 |  | 0.5 | 14 |
| Spafid Trust S.r.l. | 100% | WM | 1.4 |  | 1.2 | 3 |
| Mediobanca SGR S.p.A. | 100% | WM | 79.3 | 34.8 | 64.1 | 63 |
| Mediobanca Management Company S.A. | 100% | WM | 16.2 |  | 7.8 | 11 |
| CMB RED | 100% | WM | 50.4 |  | 49 | 1 |
| Mediobanca International Immobilière | 100% | HF | 2.1 |  | 2.1 |  |
| Mediobanca Funding Luxembourg | 100% | HF | 1.3 |  | 1 |  |
| SelmaBipiemme Leasing | 60% | HF | 1350.7 | 1238.1 | 182.4 | 91 |
| Mediobanca Innovation Services | 100% | HF | 89.3 |  | 35.5 | 154 |

---

<sup>(1)</sup> Includes profit for the period.

<sup>(\*)</sup> Taking into account the put and call option; see Part A1 – section 3 – Area and methods of consolidation, p. 118.

76 \| Consolidated financial statements as at 30 June 2024

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Company** |<br>**Percentage<br> Shareholding** | <br>**Business<br> Line** |<br>**Income** |<br>**Costs** |<br>**Provisions** | (€m)<br>**Gain/(loss)<br> for the<br> period** |
| Mediobanca Securities (dati in USDm) | 100% | &nbsp;&nbsp;&nbsp;CIB | 3.8 | (3.7) |  |  |
| Messier et Associés S.A.S. <sup>(\*)</sup> | 100% | &nbsp;&nbsp;&nbsp;CIB | 41.3 | (38.4) |  | 2.2 |
| Messier et Associés L.L.C. (dati in USDm) <sup>(\*)</sup> | 100% | &nbsp;&nbsp;&nbsp;CIB |  | 0.2 |  | 0.2 |
| Mediobanca International | 100% | &nbsp;&nbsp;&nbsp;CIB | 31.2 | (11.7) | 4.5 | 19.7 |
| MBFACTA | 100% | &nbsp;&nbsp;&nbsp;CIB | 48.3 | (16.3) | 0.6 | 22.1 |
| MBCredit Solutions | 100% | &nbsp;&nbsp;&nbsp;CIB | 27.9 | (24.9) | (0.4) | 1.6 |
| MB Contact Solutions | 100% | &nbsp;&nbsp;&nbsp;CIB | 2.1 | (1.9) |  | 0.1 |
| Arma Partnes LLP (dati in GBPm) | 100% | &nbsp;&nbsp;&nbsp;CIB | 58.7 | (22.0) |  | 36.7 |
| Arma Partnes CF Ltd UK (dati in GBPm) | 100% | &nbsp;&nbsp;&nbsp;CIB | 17 | (16.9) |  | 0.1 |
| Arma DE GmbH (dati in GBPm) | 100% | &nbsp;&nbsp;&nbsp;CIB | 1.7 | (1.6) |  | 0.1 |
| Compass Banca | 100% | &nbsp;&nbsp;&nbsp;CF | 1171.8 | (360.4) | (247.9) | 473.2 |
| Quarzo S.r.l. | 90% | &nbsp;&nbsp;&nbsp;CF |  |  |  |  |
| Compass RE | 100% | &nbsp;&nbsp;&nbsp;CF | 28.7 | (1.0) |  | 20.4 |
| Compass Rent | 100% | &nbsp;&nbsp;&nbsp;CF | 1.8 | (4.1) |  | (1.7) |
| Compass Link | 100% | &nbsp;&nbsp;&nbsp;CF | 0.8 | (1.2) |  | (0.6) |
| Heidi Pay Switzerland AG (dati in CHFm) | 100% | &nbsp;&nbsp;&nbsp;CF | 1.2 | (2.5) | (1.7) | (3.0) |
| MB Premier | 100% | &nbsp;&nbsp;&nbsp;WM | 457.2 | (316.5) | (6.3) | 58.1 |
| Mediobanca Covered Bond | 90% | &nbsp;&nbsp;&nbsp;WM | 0.1 | (0.1) |  |  |
| CMB Monaco | 100% | &nbsp;&nbsp;&nbsp;WM | 185.8 | (102.0) | (1.7) | 65 |
| Spafid | 100% | &nbsp;&nbsp;&nbsp;WM | 9.2 | (8.9) |  | (0.3) |
| Spafid Family Office SIM | 100% | &nbsp;&nbsp;&nbsp;WM | 0.9 | (1.6) |  | (0.5) |
| Polus Capital Management Group Ltd (dati in GBPm) <sup>(\*)</sup> – consolidato | 89.07% | &nbsp;&nbsp;&nbsp;WM | 47.8 | (36.8) |  | 8 |
| – Polus Capital Management Group Ltd | 89.07% | &nbsp;&nbsp;&nbsp;WM | 7.7 | (7.2) |  | (0.1) |
| – Polus Capital Management Ltd | 89.07% | &nbsp;&nbsp;&nbsp;WM | 39.1 | (26.3) |  | 9.8 |
| – Polus Capital Management (US) Inc. | 89.07% | &nbsp;&nbsp;&nbsp;WM | 1 | (3.2) |  | (1.6) |
| – Bybrook Capital Management Limited | 89.07% | &nbsp;&nbsp;&nbsp;WM |  | (0.1) |  | (0.1) |
| RAM Active Investments (dati in CHFm) <sup>(\*)</sup> | 98.28% | &nbsp;&nbsp;&nbsp;WM | 9.3 | (13.9) |  |  |
| CMG Monaco | 100% | &nbsp;&nbsp;&nbsp;WM | 4.5 | (4.4) |  | 0.1 |
| Spafid Trust S.r.l. | 100% | &nbsp;&nbsp;&nbsp;WM | 0.9 | (0.8) |  |  |
| Mediobanca SGR S.p.A. | 100% | &nbsp;&nbsp;&nbsp;WM | 33.5 | (19.6) |  | 9.6 |
| Mediobanca Management Company S.A. | 100% | &nbsp;&nbsp;&nbsp;WM | 2.2 | (2.8) |  | (0.6) |
| CMB RED | 100% | &nbsp;&nbsp;&nbsp;WM |  | (0.5) |  | (0.5) |
| Mediobanca International Immobilière | 100% | &nbsp;&nbsp;&nbsp;HF | 0.2 | (0.1) |  |  |
| Mediobanca Funding Luxembourg | 100% | &nbsp;&nbsp;&nbsp;HF | 0.5 | (0.5) |  |  |
| SelmaBipiemme Leasing | 60% | &nbsp;&nbsp;&nbsp;HF | 32 | (19.9) | (2.7) | 6.9 |
| Mediobanca Innovation Services | 100% | &nbsp;&nbsp;&nbsp;HF | -0.6 | 0.6 |  |  |

---

<sup>(\*)</sup> Taking into account the put and call option; see Part A1 – section 3 – Area and methods of consolidation, p. 118.

Review of operations Mediobanca Group \| 77

Finally, it should be noted that:

CMB Monaco closed its local financial statements (prepared in accordance with the local reporting standards) for the twelve months ended 31 December 2023 with a net profit of €58.3m, much higher than last year (€18.6m), following transfers to the provisions for banking risks totalling €10m. Net interest income rose by 69%, from €65.3m to €110.5m), driven by the rising interest rate trend which reflects the substantial net equity and offset the slight reduction in lending volumes (customer loans were down from €2,847m to €2,816m); net fee and commission income rose by 2% (from €72.6m to €74.2m); and costs were up 14% (from €84.8m to €97m), mainly due to the increase in labour costs, which reflects the strengthening of the headcount (through staff turnover and new recruits); while other operating costs also increased, due in particular to the investments made to support growth. In the twelve months TFAs rose by 13% (from €13.9bn to €15.8bn), with the reduction in direct funding (from €6.1bn to €5.7bn) offset by the increase in AUA and assets under advisory mandates.

78 \| Consolidated financial statements as at 30 June 2024

**Other information**

**Related party disclosure**

Financial accounts outstanding as at 30 June 2024 between companies forming part of the Mediobanca Group and related parties, and transactions undertaken between such parties during the financial year, are illustrated in Part H of the Notes to the Accounts, along with all the information required in terms of transparency pursuant to Consob resolution no. 17221 issued on 12 March 2010 (amended most recently by resolution no. 21264 of 10 December 2020). All such accounts form part of Group companies' ordinary operations, are maintained on an arm's length basis, and are entered into solely in the interests of the companies concerned. No atypical or irregular transactions have been entered into with such counterparties.

**Article 15 of Consob's market regulations**

With reference to Article 15 (previously Article 36) of Consob resolution 16191/07 (Market Regulations) on the subject of prerequisites for listing in respect of parent companies incorporated or regulated by the laws of EU member states and relevant to the preparation of the consolidated accounts, CMB Monaco is the only Group Legal Entity affected by this provision, and adequate procedures have been adopted to ensure it is fully compliant.

**Principal risks facing the Group**

In addition to the customary information on financial risks (credit, market, liquidity and operational risks), the notes to the accounts contain a description of the other risks to which the Group is exposed in the course of its business, as they emerged from the ICAAP self-assessment process now required by the regulations in force. In particular, this involves concentration risk versus Italian groups in the Group's corporate activities, financial risk on the banking book (primarily interest rate risk), strategic or business risk, risk deriving from exposure to volatility on financial markets for the equities held in the banking portfolio, and exposure to sovereign debt.

Review of operations Mediobanca Group \| 79

**Consolidated Non-Financial Statement**

The Group publishes a Consolidated Non-Financial Statement which is drawn up in accordance with Article 4 of Italian Legislative Decree 254/16, and contains information on environmental and social issues, human resources, protection of human rights and anti-corruption measures, in order to facilitate understanding of the Group's activities, performance, results and impact generated.

The Group's Consolidated Non-Financial Statement is published annually on the Bank's website at www.mediobanca.com (in the section entitled "Responsible Business"), and is drawn up in accordance with the provisions of Italian Legislative Decree 254/16 and based on the GRI-Sustainability Reporting Standards "in accordance" option defined in 2016 and updated in 2021 by the GRI-Global Reporting Initiatives (the "GRI Standards"). The standards developed by the Sustainability Accounting Standards Board ("SASB") have also been taken into consideration, where applicable, and information useful for purposes of EU Taxonomy Eligibility.

The document is accompanied by the third TCFD Report, containing the remainder of the Group's sectoral decarbonization objectives in accordance with the commitment to *Net Zero Banking Alliance* (Oil & Gas, Shipping, Steel and Chemical, in addition to those for the Energy, Automotive, Cement and Aviation sectors), and by the third report on the results achieved based on the Principles for Responsible Banking subject, for the first time, to limited assurance by the external auditors.

**Credit rating**

Ratings agencies Moody's and Fitch in the spring months both confirmed the Group's long-term rating at Baa1 and BBB respectively, and both also with stable outlook; while S&P has maintained its BBB rating unchanged, this too with stable outlook.

80 \| Consolidated financial statements as at 30 June 2024

***Research***

Economic research is carried on by the Mediobanca Research Area. The Research Area's catalogue includes the customary publications which have been produced for many years now ("Leading Italian Companies", "Financial Aggregates of Italian Companies", "Medium-Sized Industrial Companies"), plus a series of industrial economic reports on the sectors in which the Italian market is most involved internationally. Research covers the sectors of most importance to Italian manufacturing industry (e.g. "Made-in-Italy" products), and sectors at the cutting edge in technology terms. Special attention is also devoted to family business issues.

**Other reports**

The following reports are available on the Bank's official website at www. mediobanca.com in the Governance section: the "Statement on corporate governance and ownership structure" and the "Group Remuneration Policy and Report" required by Article 123-bis of the Italian Legislative Decree No. 58 of 24 February 1998 (the Italian Finance Act), and the "Disclosure to the public required under Basel III pillar III" ("Pillar III").

**Outlook**

While the scenario for the next twelve months continues to be affected by the growing geopolitical risks, it also reflects weak growth by the leading European economies which are expected to improve slightly, along with a slowdown in inflationary pressures and more accommodative monetary policies, with the effects to be felt from the first half of 2025 in particular.

The Mediobanca Group confirms its strategic vision and the trajectory outlined in the 2023-26 Strategic Plan "One Brand-One Culture" based on:

*–* High and above-average growth due to the divisions' specialized and distinctive positioning;

*–* High capital generation;

*–* Distribution policy at best sector levels, with low execution risk.

Review of operations Mediobanca Group \| 81

Highlights of FY 2024-25 should include the following:

The ongoing strengthening of the distribution structure and the healthy commercial activity in Wealth Management (WM) will drive growth in TFAs, with NNM expected to reach €9-10bn for the year, while the selective asset growth and optimization activity will enable RWAs to remain stable, even with the introduction of the CRR III system of regulations;

---

| | |
|:---|:---|
| *–* | Revenues are expected to increase, on strong, low double-digit growth in fee income driven by WM and the capital-light services offered by CIB, fuelled by the reduction in interest rates; while net interest income will maintain an improving trajectory with low single-digit growth, helped by CF which is more resilient in a declining interest rate scenario; |

---

The cost/income ratio should stand at 44%, with ambitious plans to invest in digital and in distribution (in WM in particular);

*–* The cost of risk is expected to be around 55 bps, helped by use of the substantial overlays set aside;

Earnings per share (EPS) is expected to increase by 6-8%;<sup>(24)</sup>

With reference to shareholder remuneration, DPS is expected to grow, with the cash payout confirmed at 70% (with an interim dividend to be paid in May 2025 and the balance in November 2025), plus a new share buyback scheme to be implemented in an amount of €385m.<sup>(25)</sup>

<sup>(24)</sup> Including the cancellation of approx. 80% of the shares to be acquired as part of the €385m buyback to be implemented in FY 2024-25.

<sup>(25)</sup> Based on the share buyback scheme included in the Strategic Plan 2023-26, to be implemented in FY 2024-25, subject to authorization from the ECB and from shareholders in Annual General Meeting.

82 \| Consolidated financial statements as at 30 June 2024

**Reconciliation of shareholders' equity and net profit**

---

| | | |
|:---|:---|:---|
|  |<br>**Shareholders' equity** | (€'000)<br>**Net profit (loss)** |
| Balance at 30/06 as per Mediobanca S.p.A. accounts | 3791800 | 1244365 |
| Net surplus over book value for consolidated companies | 14822 | 717565 |
| Differences on exchange rates originating from conversion of accounts made up in currencies other than the Euro | 16707 |  |
| Other adjustments and restatements on consolidation, including the effects of accounting for companies on an equity basis | 6060361 | (688548) |
| Dividends received during the period |  |  |
| Total | 9883690 | 1273382 |

---

Milan, 19 September 2024

The Board of Directors

Review of operations Mediobanca Group \| 83

DECLARATION BY FINANCIAL REPORTING OFFICER

![](tm2518026d1_ex99-6sp4img01.jpg)

***Declaration concerning the consolidated <br> financial statements pursuant to Article 81-ter of CONSOB Regulation No. 11971***

 ***of 14 May 1999, as amended***

 ****

1. The undersigned Alberto Nagel and Emanuele Flappini, in their respective capacities as Chief Executive
Officer and Financial Reporting Officer of Mediobanca, hereby, and in view inter alia of the provisions contained in Article 154-bis,
paragraphs 3 and 4, of Italian Legislative Decree No. 58 of 24 February 1998,

– declare that the administrative and accounting procedures used in the preparation of the consolidated financial statements:

– were adequate in view of the company's characteristics and were effectively adopted during the period 1 July 2023 - 30 June 2024.

2. Assessment of the adequacy of said administrative and accounting procedures for the preparation of the
consolidated financial statements as at 30 June 2024 was based on a model defined by Mediobanca in accordance with benchmark standards
for internal control systems which are widely accepted at international level (CoSO and CobiT frameworks).

3. It is further hereby declared that

3.1 the consolidated financial statements:

– were drawn up in accordance with the International Financial Reporting Standards adopted by the European Union pursuant to Regulation (EC) 1606/02 issued by the European Parliament and Council on 19 July 2002;

– correspond to the data recorded in the company's books and accounting ledgers;

– are adequate for the purpose of providing a true and fair view of the capital, earnings and financial situation of the issuer and of the group of companies included within its area of consolidation.

3.2 the review of operations includes a reliable analysis of the
operating performance, data and situation of Mediobanca and of the set of companies included within the consolidation area, and contains
a description of the main risks and uncertainties to which such companies are exposed.

Milan, 19 September 2024

*Chief Executive Officer* *Financial reporting officer* <br>Alberto Nagel Emanuele Flappini

Declaration by Head of Company Financial Reporting ½ 85

EXTERNAL AUDITORS'

REPORT

![](tm2518026d1_ex99-6sp4img01.jpg)

![](tm2518026d1_ex99-6sp4img02.jpg)

Mediobanca S.p.A.

Consolidated financial statements as at 30 June 2024

Independent auditor's report pursuant to article 14 of Legislative Decree n. 39, dated 27 January 2010, and article 10 of EU Regulation n. 537/ 2014

(Translation from the original Italian text)

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| | | |
|:---|:---|:---|
| ![](tm2518026d1_ex99-6sp4img02.jpg) | <br>EY S.p.A.<br> Via Meravigli, 12<br> 20123 Milano | <br>Tel: +39 02 722121<br> Fax: +39 02 722122037<br> ey.com |

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Independent auditor's report pursuant to article 14 of Legislative Decree no. 39/ 2010 and article 10 of Regulation (EU) no. 537/ 2014

(Translation from the original Italian text)

To the Shareholders of

Mediobanca S.p.A.

Report on the Audit of the Consolidated Financial Statements

Opinion

We have audited the consolidated financial statements of the Mediobanca Group (the " Group"), which comprise the consolidated balance sheet as at 30 June 2024, the consolidated income statement, statement of consolidated comprehensive income, the statement of changes to consolidated net equity and consolidated cash flows statement for the year then ended, and notes to the accounts, including material accounting policy information.

In our opinion, the consolidated financial statements give a true and fair view of the financial position of the Mediobanca Group as at 30 June 2024, of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and with the regulations issued for implementing article 9 of Legislative Decree n.38, dated 28 February 2005 and article 43 of Legislative Decree n. 136, dated 18 August 2015.

Basis for Opinion

We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor's Responsibilities for the Audit of the Consolidated Financial Statements section of our report. We are independent of Mediobanca S.p.A. (the " Bank") in accordance with the regulations and standards on ethics and independence applicable to audits of financial statements under Italian Laws. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Key Audit Matters

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the consolidated financial statements of the current year. These matters were addressed in the context of our audit of the consolidated financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

We identified the following key audit matters:

EY S.p.A.

Sede Legale: Via Meravigli, 12 – 20123 Milano

Sede Secondaria: Via Lombardia, 31 – 00187 Roma

Capitale Sociale Euro 2.975.000 i.v.

Iscritta alla S.O. del Registro delle Imprese presso la CCIAA di Milano Monza Brianza Lodi

Codice fiscale e numero di iscrizione 00434000584 - numero R.E.A. di Milano 606158 - P.IVA 00891231003

Iscritta al Registro Revisori Legali al n. 70945 Pubblicato sulla G.U. Suppl. 13 - IV Serie Speciale del 17/2/1998

A member firm of Ernst & Young Global Limited

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| | |
|:---|:---|
| Key Audit Matters | Audit Response |
| Classification and measurement of loans to customers represented by loans measured at amortised cost |  |
| Loans to customers (loans) recorded amongst financial assets measured at amortised cost, included in line item 40. b) of the consolidated balance sheet, amount to Euro 53.206 million as at 30 June 2024, and represent approximately 55% of total assets. The composition of such loans is included in tables 4.2 and 4.3 in Part B, section 4, of the notes to the accounts.<br>Net impairment losses for credit risk on the loans to customers (loans) measured at amortised cost are included in line item 130. a) of the consolidated income statement; the composition of such net impairment losses is included in table 8.1 in Part C, section 8, of the notes to the accounts.<br>The disclosures regarding the changes in the credit quality of the loans to customers (loans), the classification and measurement criteria adopted and the related income statement effects are provided in Part A – Accounting policies, in Part B – Notes to the consolidated balance sheet, in Part C – Notes to the consolidated income statement and in Part E Information on risks and related hedging policies of the notes to the accounts.<br>The classification in the appropriate risk staging and measurement of the loans to customers (loans) measured at amortised cost are both relevant for the audit because the amount of loans is significant to the financial statements as a whole and because the amount of the related impairment losses is determined by the directors through the use of estimates that have a high degree of complexity and subjectivity.<br>For classification purposes of the loans to customers (loans), the directors carry out analyses, which involve using internally developed models, as well as subjective elements, in order to identify exposures that show evidence of a significant increase in credit risk since the date of initial recognition or <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In relation to this aspect, our audit procedures, which were performed also with the support of our risk management and information technology specialists, included amongst others:<br>· an understanding of the policies, processes and controls applied by the Group in relation to the classification and measurement of loans to customers (loans);<br>· an assessment of the configuration and implementation of key controls, including those relating to the relevant IT applications, and the execution of tests of controls in order to assess their operational effectiveness;<br>· an understanding of the methodology used in relation to the statistical evaluations and the reasonableness of the hypotheses adopted as well as the execution of tests of controls and substantive procedures aimed at verifying the accuracy of the determination of the relevant parameters for the purposes of determining the impairment losses;<br>· an analysis of the changes in the composition of loans to customers (loans) compared to the previous year and a discussion of the results with management;<br>· performing substantive procedures in order to verify, on a sample basis, the correct classification and measurement of credit exposures;<br>· an assessment of the adequacy of the disclosures provided in the notes to the accounts.<br>|

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| | |
|:---|:---|
| specifically identified impairment. The processes for the classification of such loans considers both internal information about the historical performance of exposures and external information about the referenced sector. |  |
| Measuring loans to customers (loans) is a complex activity in respect of which the directors make estimates with a high degree of uncertainty and subjectivity that consider many quantitative and qualitative factors, including historical collections, expected cash flows and related estimates on collection timing, an assessment of any guarantees, the impact of macroeconomic variables and future scenarios and risks of the sectors in which the Group's customers operate. |  |
| Moreover, the classification and measurement processes of the loans to customers (loans) involve considering specific factors aimed at reflecting the current uncertainty on the evolution of the macroeconomic scenario and inflation dynamics. |  |
| Measurement of financial instruments not quoted in active markets and measured at fair value at on a recurring basis |  |
| As at 30 June 2024 financial instruments measured at fair value on a recurring basis, classified in level 2 and level 3 of the fair value hierarchy as established by the relevant international accounting standard, amount to a total asset balance of Euro 5.488 million and a total liability balance of Euro 9.379 million. The composition of financial instruments measured at fair value on a recurring basis, classified in level 2 and level 3 of the fair value hierarchy, is included in table A.4.5.1, Part A of the notes to the accounts.<br>The disclosures on the classification and measurement of financial instruments measured at fair value on a recurring basis, classified in level 2 and level 3 of the fair value hierarchy are provided in Part A - Accounting policies, in Part B – Notes to the consolidated balance sheet, in Part C – Notes to the consolidated income statement and in Part E - Information on risks and related hedging<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In relation to this aspect, our audit procedures, which were performed also with the support of our risk management and information technology specialists, included amongst others:<br>· an understanding of the policies, processes and controls applied by the Group in relation to the classification and measurement of financial instruments measured at fair value on a recurring basis within the level 2 and level 3 fair value hierarchy categories;<br>· an assessment of the configuration and implementation of key controls, including those relating to the relevant IT applications, and the execution of tests of controls in order to assess their operational effectiveness;<br>· an understanding of the valuation models used for the measurement of the financial<br>|

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| | |
|:---|:---|
| policies of the notes to the accounts.<br>The measurement of these financial instruments is performed by the directors through the use of complex models, consistent with the prevailing valuation practices, which make use of directly or indirectly observable inputs or estimated internally or estimated internally based on qualitative and quantitative assumptions, when not observable in the market.<br>The measurement of such financial instruments is relevant to the audit because the amount of such financial instruments is significant to the financial statements as a whole and because of the multiplicity and complexity of the valuation models and parameters used as well as the subjective elements considered for the purposes of the estimates considered by the directors.<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;instruments as well as the methods used for determining the fair value hierarchy classification;<br>· an analysis of the changes in the composition of the financial instruments' portfolio compared to the previous year and the discussion of the results with management;<br>· performing substantive procedures in order to verify, on a sample basis, the fair value of financial instruments through the analysis of the valuation models, the reasonableness of the qualitative and quantitative assumptions formulated, and input parameters used as well as the appropriate fair value level classification;<br>· an assessment of the adequacy of the disclosures provided in the notes to the accounts.<br>|
| Measurement of intangible assets with an indefinite useful life arising from business combinations |  |
| As at 30 June 2024 the carrying amount of intangible assets with an indefinite useful life originating from business combinations amount to Euro 970 million of which Euro 281 million recorded during the year. The composition of intangible assets with an indefinite useful life is included in the tables 10.1 and 10.2 in Part B, section 10, of the notes to the accounts.<br>During the year impairments were charged for Euro 42 million; the composition of such impairments is included in table 15.1 in Part C, section 15, of the notes to the accounts.<br>The disclosures on the methods used for the measurement of intangible assets with an indefinite useful life and the set up the impairment test are provided in Part A – Accounting policies, in Part B – Notes to the consolidated balance sheet and in Part C – Notes to the consolidated income statement of the notes to the accounts.<br>The directors perform an evaluation of the recoverable amount of intangible assets with an | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In relation to this aspect, our audit procedures, which were performed also with the support of our business valuation specialists, included amongst others:<br>· an understanding of the methods for determining the recoverable amount used by the directors in the impairment test process and the related key controls;<br>· verifying the consistency of the valuation methodologies used with the requirements of the international accounting standard IAS 36, taking into account of the market practice and the distinctive characteristics of the single CGU and of the assets tested independently;<br>· verifying the mathematical accuracy and the correctness of the calculations underlying the valuation models used;<br>· an assessment of the differences between the historical results and forecast data and of the underlying reasons in order to <br>|

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| | |
|:---|:---|
| indefinite useful life annually or more frequently, if indicators are found during the year that suggest the existence of a loss in value (impairment test). Such evaluation, in accordance with the international accounting standard IAS 36, is based on the comparison between the carrying amount in the consolidated financial statements and the higher of the fair value less costs to sell and the value in use of each cash generating unit (" CGU") to which these intangible assets are allocated or of the assets tested independently.<br>The estimate of the recoverable amount of each CGU was performed by the directors, also with the support of third-party consultants, through an impairment process based on complex models using information, parameters and assumptions characterised by a high level of subjectivity such as expected cash flows, nominal growth rates and the cost of capital.<br>The elements described above implicate a high level of complexity and subjectivity in the estimation processes also considering the persisting uncertainty of macroeconomic scenario.<br>For the reasons described above, we have considered the recoverability of intangible assets with an indefinite useful life arising from business combinations a key audit matter for the audit of the consolidated financial statements of the Group as at 30 June 2024.<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;verify the reasonableness of the assumptions used by the directors;<br>· an analysis of the reasonableness of the assumptions and parameters used by the directors for the impairment test who were assisted with the support of third-party consultants, and of the forecast used in the same, also considering the uncertainty of macroeconomic scenario as well as the related sensitivity analyses;<br>· an assessment of the adequacy of the disclosures provided in the notes to the accounts.<br>|

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Responsibilities of Directors and Those Charged with Governance for the Consolidated Financial Statements

The Directors are responsible for the preparation of the consolidated financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and with the regulations issued for implementing article 9 of Legislative Decree n. 38/ 2005 and article 43 of Legislative Decree no. 136/ 2015 and, within the terms provided by the law, for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

The Directors are responsible for assessing the Group's ability to continue as a going concern and, when preparing the consolidated financial statements, for the appropriateness of the going concern assumption, and for appropriate disclosure thereof. The Directors prepare the consolidated financial

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statements on a going concern basis unless they either intend to liquidate the Bank or to cease operations or have no realistic alternative but to do so.

The statutory audit committee (" Collegio Sindacale") is responsible, within the terms provided by the law, for overseeing the Group's financial reporting process.

Auditor's Responsibilities for the Audit of the Consolidated Financial Statements

Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these consolidated financial statements.

As part of an audit in accordance with International Standards on Auditing (ISA Italia), we have exercised professional judgment and maintained professional skepticism throughout the audit. In addition:

· we have identified and assessed the risks of material misstatement
of the consolidated financial statements, whether due to fraud or error, designed and performed audit procedures responsive to those
risks, and obtained audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a
material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional
omissions, misrepresentations, or the override of internal control;

· we have obtained an understanding of internal control relevant
to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an
opinion on the effectiveness of the Group's internal control;

· we have evaluated the appropriateness of accounting policies used and the reasonableness of
 accounting estimates and related disclosures made by the Directors;

· we have
concluded on the appropriateness of Directors' use of the going concern basis of accounting and, based on the audit evidence obtained,
whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Group's ability to
continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor's
report to the related disclosures in the financial statements or, if such disclosures are inadequate, to consider this matter in forming
our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor's report. However, future events
or conditions may cause the Group to cease to continue as a going concern;

· we have evaluated the overall presentation, structure and content
of the consolidated financial statements, including the disclosures, and whether the consolidated financial statements represent the
underlying transactions and events in a manner that achieves fair presentation.

· we have obtained sufficient appropriate audit evidence regarding
the financial information of the entities or business activities within the Group to express an opinion on the consolidated financial
statements. We are responsible for the direction, supervision and performance of the group audit. We remain solely responsible for our
audit opinion.

We have communicated with those charged with governance, identified at an appropriate level as required by international standards on auditing (ISA Italia), regarding, among other matters, the

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planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We have provided those charged with governance with a statement that we have complied with the ethical and independence requirements applicable in Italy, and we have communicated with them all matters that may reasonably be thought to bear on our independence, and where applicable, the actions taken to eliminate the relevant risks or the related safeguards applied.

From the matters communicated with those charged with governance, we have determined those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We have described these matters in our auditor's report.

Additional information pursuant to article 10 of EU Regulation n. 537/ 14

The shareholders of Mediobanca S.p.A., in the general meeting held on 28 October 2020, engaged us to perform the audits of the separate and consolidated financial statements for each of the years ending 30 June 2022 to 30 June 2030.

We declare that we have not provided prohibited non-audit services, referred to article 5, paragraph 1, of EU Regulation n. 537/ 2014, and that we have remained independent of the of the Group in conducting the audit.

We confirm that the opinion on the consolidated financial statements included in this report is consistent with the content of the additional report to the audit committee (Collegio Sindacale) in their capacity as audit committee, prepared pursuant to article 11 of the EU Regulation n. 537/ 2014.

Report on compliance with other legal and regulatory requirements

Opinion on t he compliance with Delegated Regulation (EU) 2019/ 815

The Directors of Mediobanca S.p.A. are responsible for applying the provisions of the European Commission Delegated Regulations (EU) 2019/ 815 for the regulatory technical standards on the specification of a single electronic reporting format (ESEF – European Single Electronic Format) (the " Delegated Regulation") to the consolidated financial statements, to be included in the annual financial report.

We have performed the procedures under the auditing standard SA Italian. 700B, in order to express an opinion on the compliance of the consolidated financial statements as at 30 June 2024 with the provisions of the Delegated Regulation.

In our opinion, the consolidated financial statements as at 30 June 2024 have been prepared in the XHTML format and have been marked-up, in all material aspects, in compliance with the provisions of the Delegated Regulation.

Due to certain technical limitations, some information included in the notes to the consolidated financial statements when extracted from the XHTML format to an XBRL instance may not be reproduced in an identical manner with respect to the corresponding information presented in the consolidated financial statements in XHTML format.

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Opinion pursuant to article 14, paragraph 2, subparagraph e), of Legislative Decree n. 39 dated 27 January 2010 and of article 123-bis, paragraph 4, of Legislative Decree n. 58, dated 24 February 1998

The Directors of Mediobanca S.p.A. are responsible for the preparation of the Report on Operations and of the Report on Corporate Governance and Ownership Structure of Mediobanca Group as at 30 June 2024, including their consistency with the related consolidated financial statements and their compliance with the applicable laws and regulations.

We have performed the procedures required under audit standard SA Italian. 720B, in order to express an opinion on the consistency of the Report on Operations and of specific information included in the Report on Corporate Governance and Ownership Structure as provided for by article 123-bis, paragraph 4, of Legislative Decree n. 58, dated 24 February 1998, with the consolidated financial statements of Mediobanca Group as at 30 June 2024 and on their compliance with the applicable laws and regulations, and in order to assess whether they contain material misstatements.

In our opinion, the Report on Operations and the above-mentioned specific information included in the Report on Corporate Governance and Ownership Structure are consistent with the consolidated financial statements of Mediobanca Group as at 30 June 2024 and comply with the applicable laws and regulations.

With reference to the statement required by article 14, paragraph 2, subparagraph e), of Legislative Decree n. 39, dated 27 January 2010, based on our knowledge and understanding of the entity and its environment obtained through our audit, we have no matters to report.

Statement pursuant to article 4 of Consob Regulation implementing Legislative Decree n. 254, dated 30 December 2016

The Directors of Mediobanca S.p.A. are responsible for the preparation of the consolidated non-financial information pursuant to Legislative Decree n. 254, dated 30 December 2016. We have verified that consolidated non-financial information has been approved by Directors.

Pursuant to article 3, paragraph 10, of Legislative Decree n. 254, dated 30 December 2016, such consolidated non-financial information is subject to a separate compliance report signed by us.

Milan, 25 September 2024

EY S.p.A.

Signed by: Davide Lisi, Auditor

This independent auditor's report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative.

CONSOLIDATED FINANCIAL

STATEMENTS

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**Consolidated Balance Sheet**

(€'000)

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| | | | |
|:---|:---|:---|:---|
| **Asset items** | **Asset items** | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| 10. | Cash and Cash Equivalents | 3361150 | 4236982 |
| 20. | Financial assets measured at Fair Value through profit or loss | 16787866 | 10654399 |
|  | a) financial assets held for trading | 15409451 | 9546212 |
|  | b) financial assets designated at Fair Value | 719215 | 538590 |
|  | c) other financial assets mandatorily measured at Fair Value | 659200 | 569597 |
| 30. | Financial assets measured at Fair Value through other comprehensive income | 6905703 | 6042119 |
| 40. | Financial assets measured at amortized cost | 64158936 | 62555709 |
|  | a) due from banks | 5527291 | 4478644 |
|  | b) due from customers | 58631645 | 58077065 |
| 50. | Hedging derivatives | 705549 | 1321883 |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |
| 70. | Equity Investments | 3789216 | 3563831 |
| 80. | Insurance business |  |  |
|  | a) issued insurance contracts that constitute assets |  |  |
|  | a) reinsurance contracts ceded that constitute assets |  |  |
| 90. | Tangible assets | 549617 | 530742 |
| 100. | Intangible assets | 1045432 | 796700 |
|  | of which: |  |  |
|  | goodwill | 827313 | 574550 |
| 110. | Tax assets | 754812 | 769127 |
|  | a) current | 350699 | 244746 |
|  | b) prepaid | 404113 | 524381 |
| 120. | Non-current assets and asset groups held for sale |  | 251987 |
| 130. | Other assets | 1167993 | 900345 |
| **Total assets** | **Total assets** | **99226274** | **91623824** |

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<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

98½ Consolidated financial statements as at 30 June 2024

(€'000)

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| | | | |
|:---|:---|:---|:---|
| **Liabilities and net equity** | **Liabilities and net equity** | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| 10. | Financial liabilities measured at amortized cost | 70321563 | 64903066 |
|  | a) due to banks | 10962115 | 13275089 |
|  | b) due to customers | 34104548 | 30750602 |
|  | c) securities in issue | 25254900 | 20877375 |
| 20. | Trading financial liabilities | 9504710 | 9436672 |
| 30. | Financial liabilities designated at Fair Value | 4239199 | 1580956 |
| 40. | Hedging derivatives | 1431642 | 2069542 |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities | 749647 | 867359 |
|  | a) current | 359882 | 416935 |
|  | b) deferred | 389765 | 450424 |
| 70. | Liabilities associated with assets held for sale |  | 8134 |
| 80. | Other liabilities | 1488427 | 1050513 |
| 90. | Provision for statutory end-of-service payments | 20445 | 20584 |
| 100. | Provisions for risks and charges: | 137691 | 161127 |
|  | a) commitments and guarantees issued | 21396 | 22166 |
|  | b) post-employment and similar benefits |  |  |
|  | c) other provisions for risks and charges | 116295 | 138961 |
| 110. | Insurance liabilities | 89765 | 96294 |
|  | a) issued insurance contracts that constitute liabilities | 89765 | 96294 |
|  | a) reinsurance contracts ceded that constitute liabilities |  |  |
| 120. | Revaluation reserves | (68578) | 62127 |
| 130. | Redeemable shares |  |  |
| 140. | Equity instruments |  |  |
| 150. | Reserves | 7380974 | 7676422 |
| 160. | Share premium | 2195606 | 2195606 |
| 170. | Capital | 444515 | 444169 |
| 180. | Treasury shares (-) | (68828) | (78876) |
| 190. | Equity attributable to minority interests (+/-) | 86114 | 104143 |
| 200. | Profit (loss) for the year (+/-) | 1273382 | 1025986 |
| **Total liabilities and net equity** | **Total liabilities and net equity** | **99226274** | **91623824** |

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<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

Consolidated financial statements ½ 99

**Consolidated Profit and Loss Account**

(€'000)

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| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **30 June 2024** | **30 June 2023<sup>(\*)</sup>** |
| 10. | Interest and similar income | 3973022 | 2834084 |
|  | *of which: interest income calculated according to the effective interest method* | *3237324* | *2394371* |
| 20. | Interest and similar charges | (2025489) | (1026491) |
| **30.** | **Net interest income** | **1947533** | **1807593** |
| 40. | Commission income | 992546 | 835972 |
| 50. | Commission expenses | (181406) | (158005) |
| **60.** | **Net fee income** | **811140** | **677967** |
| 70. | Dividends and similar income | 138027 | 78758 |
| 80. | Net trading income (expense) | 39684 | 99411 |
| 90. | Net hedging income (expense) | 2083 | 1439 |
| 100. | Gains (losses) on disposal/repurchase of: | 8090 | 4827 |
|  | *a) financial assets measured at amortized cost* | *606* | *4427* |
|  | *b) financial assets measured at Fair Value through other comprehensive income* | *6431* | *(6739)* |
|  | *c) financial liabilities* | *1053* | *7139* |
| 110. | Net income (expense) from other financial assets and liabilities measured at |  |  |
|  | Fair Value through profit or loss | 34129 | 9674 |
|  | *a) financial assets and liabilities designated at Fair Value* | *12041* | *15055* |
|  | *b) other financial assets mandatorily measured at Fair Value* | *22088* | *(5381)* |
| **120.** | **Total revenues** | **2980686** | **2679669** |
| 130. | Net write-offs (write-backs) for credit risk: | (248274) | (231373) |
|  | *a) financial assets measured at amortized cost* | *(246276)* | *(232089)* |
|  | *b) financial assets measured at Fair Value through other comprehensive income* | *(1998)* | *716* |
| 140. | Gains (losses) from contractual modifications without derecognition | (159) | (617) |
| **150.** | **Net income (expense) from financial operations** | **2732253** | **2447679** |
| 160. | Income (expense) from insurance services | 21365 | 28978 |
|  | *a) insurance revenues from insurance contracts issued* | *30851* | *35536* |
|  | *b) costs for insurance services arising from insurance contracts issued* | *(9486)* | *(6558)* |
|  | *c) insurance revenues from insurance contracts ceded* | *—* | *—* |
|  | *d) costs for insurance services arising from insurance contracts ceded* | *—* | *—* |
| 170. | Other income / charges from insurance activities | (143) | (220) |
|  | *a) net financial costs / revenues relating to insurance contracts issued* | *(143)* | *(220)* |
|  | *b) net financial costs / revenues relating to insurance contracts ceded* | *—* | *—* |
| **180.** | **Net profit (loss) from financial and insurance activities** | **2753475** | **2476437** |
| 190. | Administrative expenses: | (1592999) | (1487108) |
|  | *a) personnel costs* | *(807070)* | *(731643)* |
|  | *b) other administrative expenses* | *(785929)* | *(755465)* |
| 200. | Net transfers to provisions for risks and charges | (2968) | (35817) |
|  | *a) commitments and guarantees issued* | *765* | *2134* |
|  | *b) other net provisions* | *(3733)* | *(37951)* |
| 210. | Net value adjustments to /write-backs of tangible assets | (71112) | (62144) |
| 220. | Net value adjustments to /write-backs of intangible assets | (80474) | (30192) |
| 230. | Other operating expense / income | 195683 | 173635 |
| **240.** | **Operating costs** | **(1551870)** | **(1441627)** |
| 250. | Gains (losses) on equity investments | 510406 | 453860 |
| 260. | Net income (expense) from Fair Value measurement of tangible and intangible assets | (1610) | (1253) |
| 270. | Value adjustments to goodwill |  | (49536) |
| 280. | Gains (losses) on disposal of investments | 90 | (14385) |
| **290.** | **Profit (loss) on ordinary operations before tax** | **1710491** | **1423496** |
| 300. | Income tax for the year on ordinary operations | (433972) | (394476) |
| **310.** | **Profit (loss) on ordinary operations after tax** | **1276519** | **1029020** |
| 320. | Gains (losses) of ceded operating assets, after tax |  |  |
| **330.** | **Profit (loss) for the year** | **1276519** | **1029020** |
| 340. | Profit (loss) for the period attributable to minority interests | (3137) | (3034) |
| **350.** | **Net profit (loss) for the period attributable to Mediobanca** | **1273382** | **1025986** |

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<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

100½ Consolidated financial statements as at 30 June 2024

**Statement of Consolidated Comprehensive Income**

(€'000)

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| | | | |
|:---|:---|:---|:---|
|  |  | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| 10. | Profit (loss) for the year | 1276519 | 1029020 |
|  | **Other income items after tax without transfers through profit or loss** | **(32081)** | **59373** |
| 20. | Equity securities designated at Fair Value through other comprehensive income | 10438 | 18906 |
| 30. | Financial liabilities designated at Fair Value through profit or loss (changes in own credit quality) | (27509) | (6636) |
| 40. | Hedging of equity securities designated at Fair Value through other comprehensive income |  |  |
| 50. | Tangible assets |  |  |
| 60. | Intangible assets |  |  |
| 70. | Defined benefit plans | 258 | 1012 |
| 80. | Non-current assets held for sale |  |  |
| 90. | Portion of valuation reserves of equity-accounted investments | (15268) | 46091 |
| 100. | Financial costs or revenues relating to insurance contracts issued |  |  |
|  | **Other income items after tax with transfers through profit or loss** | **(90705)** | **(367686)** |
| 110. | Foreign investment hedges |  | 319 |
| 120. | Currency exchange gains/losses | 6515 | 1172 |
| 130. | Cash flow hedges | (158734) | 96448 |
| 140. | Hedging instruments (non-designated items) |  |  |
| 150. | Financial assets (other than equity securities) measured at Fair Value through other comprehensive income | 42847 | (8210) |
| 160. | Non-current assets held for sale |  |  |
| 170. | Portion of valuation reserves of equity-accounted investments | 18667 | (457415) |
| 180. | Financial costs or revenues relating to insurance contracts issued |  |  |
| 190. | Financial costs or revenues relating to insurance contracts ceded |  |  |
| **200.** | **Total other income items after tax** | **(122786)** | **(308313)** |
| **210.** | **ther comprehensive income (Item 10+200)** | **1153733** | **720707** |
| **220.** | **Consolidated comprehensive income attributable to minority interests** | **3118** | **3628** |
| **230.** | **Consolidated other comprehensive income attributable to Mediobanca** | **1150615** | **717079** |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

Consolidated financial statements ½ 101

**Statement of Changes in Consolidated Net Equity**

![](tm2518026d1_ex99-6img01.jpg)

102½ Consolidated financial statements as at 30 June 2024

**Statement of Changes in Consolidated Net Equity**

![](tm2518026d1_ex99-6img02.jpg)

Consolidated financial statements \| 103

**Consolidated Cash Flow Statement Direct Method**

(€'000)

---

| | | |
|:---|:---|:---|
|  | **Amount** | **Amount** |
|  | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| **A. CASH FLOWS FROM OPERATING ACTIVITIES** |  |  |
| **1. Operating activities** | **1915072** | **695630** |
| &nbsp;&nbsp;&nbsp;– interest received (+) | 6130322 | 2977529 |
| &nbsp;&nbsp;&nbsp;– interest paid (–) | (3367714) | (1359051) |
| &nbsp;&nbsp;&nbsp;– dividends and similar income (+) | 131426 | 77658 |
| &nbsp;&nbsp;&nbsp;– net fees and commission income (+/–) | 437141 | 507467 |
| &nbsp;&nbsp;&nbsp;– personnel costs (–) | (620371) | (552436) |
| &nbsp;&nbsp;&nbsp;– net revenues collected and costs paid on insurance contracts issued and ceded (+/–) | (9943) | (150626) |
| &nbsp;&nbsp;&nbsp;– other costs (–) | (395420) | (832059) |
| &nbsp;&nbsp;&nbsp;– other revenues (+) | 108893 | 284545 |
| &nbsp;&nbsp;&nbsp;– taxes and duties (–) | (499262) | (257397) |
| &nbsp;&nbsp;&nbsp;– expenses/income from asset groups held for sale after tax effect (+/–) |  |  |
| **2. Cash inflow/outflow from financial assets** | **(5607851)** | **(1871607)** |
| &nbsp;&nbsp;&nbsp;– financial assets held for trading | (4854086) | 376596 |
| &nbsp;&nbsp;&nbsp;– financial assets designated at Fair Value | (112950) | 16345 |
| &nbsp;&nbsp;&nbsp;– financial assets mandatorily measured at Fair Value | (70780) | 58885 |
| &nbsp;&nbsp;&nbsp;– financial assets measured at Fair Value through other comprehensive income | (734747) | (1883759) |
| &nbsp;&nbsp;&nbsp;– financial assets measured at amortized cost | 1096627 | 282581 |
| &nbsp;&nbsp;&nbsp;– other assets | (931915) | (722255) |
| **3. Cash inflow/outflow from financial liabilities** | **4106320** | **(2019567)** |
| &nbsp;&nbsp;&nbsp;– financial liabilities measured at amortized cost | 3339104 | (1835890) |
| &nbsp;&nbsp;&nbsp;– financial liabilities held for trading | (745520) | 183423 |
| &nbsp;&nbsp;&nbsp;– financial liabilities designated at Fair Value | 1446306 | 850676 |
| &nbsp;&nbsp;&nbsp;– other liabilities | 66430 | (1217776) |
| **4. Cash inflow/outflow arising from insurance contracts issues and ceded** | **25967** | **34584** |
| &nbsp;&nbsp;&nbsp;– insurance contracts issued that constitute assets/liabilities(+/–) | 25967 | 34584 |
| &nbsp;&nbsp;&nbsp;– insurance contracts ceded that constitute assets/liabilities(+/–) |  |  |
| &nbsp;&nbsp;&nbsp;**Net cash inflow/outflow from operating activities** | **439508** | **(3160960)** |
| **B. CASH FLOWS FROM INVESTING ACTIVITIES** |  |  |
| **1. Cash generated from:** | **371626** | **253890** |
| &nbsp;&nbsp;&nbsp;– disposal of shareholdings | 100001 |  |
| &nbsp;&nbsp;&nbsp;– dividends received in respect of equity investments | 271497 | 243847 |
| &nbsp;&nbsp;&nbsp;– disposals of tangible assets | 128 | 9702 |
| &nbsp;&nbsp;&nbsp;– disposals of intangible assets |  | 95 |
| &nbsp;&nbsp;&nbsp;– disposals of subsidiaries or business units |  | 246 |
| **2. Cash outflows arising from:** | **(352578)** | **(83598)** |
| &nbsp;&nbsp;&nbsp;– purchases of shareholdings | (264967) | (7400) |
| &nbsp;&nbsp;&nbsp;– purchases of tangible assets | (51161) | (39751) |
| &nbsp;&nbsp;&nbsp;– purchases of intangible assets | (36505) | (36447) |
| &nbsp;&nbsp;&nbsp;– purchases of subsidiaries or business units | 55 |  |
| &nbsp;&nbsp;&nbsp;**Net cash inflow/outflow from investing activities** | **19048** | **170292** |
| **C. CASH FLOWS FROM FUNDING ACTIVITIES** |  |  |
| &nbsp;&nbsp;&nbsp;– issue/purchase of treasury shares | (187595) |  |
| &nbsp;&nbsp;&nbsp;– issue/ purchase of capital instruments | 6252 |  |
| &nbsp;&nbsp;&nbsp;– distribution of dividends and other purposes | (1153045) | (633951) |
| &nbsp;&nbsp;&nbsp;– sales/acquisition of control by minority interests |  |  |
| &nbsp;&nbsp;&nbsp;**Net cash inflow/outflow from funding activities** | **(1334388)** | **(633951)** |
| &nbsp;&nbsp;&nbsp;**NET CASH INFLOW/OUTFLOW DURING THE PERIOD** | **(875832)** | **(3624619)** |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts. This change had no impact on cash inflows / outflows during the year under review. |

---

104 \| Consolidated financial statements as at 30 June 2024

**Reconciliation**

(€'000)

---

| | | |
|:---|:---|:---|
| | **Amount** | **Amount** |
| <br>**Accounting items** | **30 June 2024** | **30 June 2023** |
| Cash and cash equivalents: balance at start of period | 4236982 | 7861601 |
| Total cash inflow/outflow during the period | (875832) | (3624619) |
| Cash and cash equivalents: exchange rate effect |  |  |
| Cash and cash equivalents: balance at end of period | 3361150 | 4236982 |

---

Consolidated financial statements \| 105

NOTES TO THE ACCOUNTS

![](tm2518026d1_ex99-6sp5img001.jpg)

NOTES TO THE ACCOUNTS

---

| | |
|:---|:---|
| **Part A - Accounting Policies** | **109** |
| **A.1 - General part** | **109** |
| Section 1 - Statement of Compliance with IAS/IFRS | 109 |
| Section 2 - General Principles | 109 |
| Section 3 - Area and methods of consolidation | 116 |
| Section 4 - Events Subsequent to the Reporting Date | 121 |
| Section 5 - Other Aspects | 122 |
| **A.2 - Significant accounting policies** | **122** |
| **A.3 - Information on transfers between financial asset portfolios** | **147** |
| **A.4 - Information on Fair Value** | **147** |
| **A.5 - Disclosure on "day one profit/loss"** | **164** |
| **Part B - Notes to the Consolidated Balance Sheet** | **166** |
| **Assets** | **166** |
| Section 1 - Heading 10: Cash and Cash Equivalents | 166 |
| Section 2 - Heading 20: Financial Assets Measured at Fair Value through Profit or Loss | 167 |
| Section 3 - Heading 30: Financial Assets Measured at Fair Value Through Other Comprehensive income - Item 30 | 170 |
| Section 4 - Heading 40: Financial Assets Measured at Amortized Cost | 172 |
| Section 5 - Heading 50: Hedging Derivatives | 175 |
| Section 7 - Heading 70: Equity Investments | 176 |
| Section 9 - Heading 90: Property, Plant and Equipment | 181 |
| Section 10 - Heading 100: Intangible Assets | 185 |
| Section 11 - Asset Heading 110 and Liability Heading 60: Tax Assets and Liabilities | 197 |
| Section 12 - Non-current assets and asset groups as held for sale and associated liabilities - Assets heading 120 and liabilities heading 70 | 201 |
| Section 13 - Heading 130: Other Assets | 202 |
| **Liabilities** | **203** |
| Section 1 - Heading 10: Financial Liabilities Measured at Amortized Cost | 203 |
| Section 2 - Heading 20: Trading Liabilities | 206 |
| Section 3 - Heading 30: Financial Liabilities Designated at Fair Value | 207 |
| Section 4 - Heading 40: Hedging Derivatives | 208 |
| Section 6 - Heading 60: Tax Liabilities | 209 |
| Section 7 - Heading 70: Liabilities associated to disposal group of assets | 209 |
| Section 8 - Heading 80: Other Liabilities | 209 |
| Section 9 - Heading 90: Provision for Statutory End-of-service Payments | 210 |
| Section 10 - Heading 100: Provisions for Risks and Charges | 211 |
| Section 11 - Heading 110: Insurance Liabilities | 215 |
| Section 13 - Headings 120, 130, 140, 150, 160, 170 and 180: Net equity | 220 |
| Section 14 - Heading 190: Net equity attributable to minority interests | 222 |
| **Other information** | **227** |

---

Consolidated Financial Statements \| Notes to the accounts \| 107

---

| | |
|:---|:---|
| **Part C - Notes to the Consolidated Profit and Loss Account** | **227** |
| Section 1 - Headings 10 and 20: Net interest income | 227 |
| Section 2 - Headings 40 and 50: Net fee and commission income | 229 |
| Section 3 - Heading 70: Dividends and similar income | 230 |
| Section 4 - Heading 80: Net Trading Income (Expense) | 231 |
| Section 5 - Heading 90: Net Hedging Income (Expense) | 232 |
| Section 6 - Heading 100: Net Gains (Losses) on Disposals/Repurchases | 232 |
| Section 7 - Heading 110: Net Gains (Losses) on Other Financial Assets and Liabilities Measured at Fair Value through Profit or Loss | 233 |
| Section 8 - Heading 130: Net value adjustments for credit risk | 234 |
| Section 9 - Heading 140: Net gains (losses) from modifications without derecognition | 234 |
| Section 10 - Heading 160 - Income (expense) from insurance activities | 235 |
| Section 11 - Heading 170: Other Income/Charges from insurance activities | 236 |
| Section 12 - Heading 190: Administrative Expenses | 238 |
| Section 13 - Heading 200: Net Transfers to Provisions for risks and charges | 239 |
| Section 14 - Heading 210: Net Adjustments to Tangible Assets | 240 |
| Section 15 - Heading 220: Net Adjustments to Intangible Assets | 241 |
| Section 16 - Heading 230: Other Operating Income (Expense) | 241 |
| Section 17 - Heading 250: Gains (Losses) on Equity Investments | 242 |
| Section 18 - Heading 260: Net income from Fair Value measurement of tangible and intangible assets | 243 |
| Section 19 - Heading 270: Value adjustments to goodwill | 243 |
| Section 20 - Heading 280: Gains (losses) on disposal of investments | 244 |
| Section 21 - Heading 300: Income Tax on Ordinary Activities | 244 |
| Section 23 - Heading 340: Profit (loss) for the year attributable to minority interests | 245 |
| Section 25 - Earning per share | 246 |
| **Part D - Consolidated Comprehensive Income** | **247** |
| **Part E - Information on Risks and Related Hedging Policies** | **248** |
| Introduction | 248 |
| Section 1 - Consolidated accounting risks | 248 |
| Section 2 - Consolidated prudential risks | 257 |
| **Part F - Information on Consolidated Capital** | **351** |
| Section 1 - Consolidated capital | 351 |
| Section 2 - Own Funds and Banking Supervisory Ratios | 352 |
| **Part G - Combinations Involving Group Companies or Business Units** | **358** |
| **Part H - Related Party Transactions** | **360** |
| **Part I - Share-based payment schemes** | **362** |
| **Part L - Segment reporting** | **366** |
| **Part M - Disclosure on lease**s | **373** |

---

108 \| Consolidated financial statements as at 30 June 2024

**Part A - Accounting Policies**

**A.1 - General Part**

**SECTION 1**

**Statement of Compliance with IAS/IFRS**

The consolidated financial statements as at 30 June 2024, as required by Italian Legislative Decree No. 38 of 28 February 2005, were drawn up in accordance with the International Financial Reporting Standards (IFRS) and International Accounting Standards (IAS) issued by the International Accounting Standards Board (IASB), and the respective interpretations issued by the International Financial Reporting Interpretations Committee (IFRIC), which were adopted by the European Commission in accordance with the procedure laid down in Article 6 of Regulation (EC) No. 1606/2002 issued by the European Parliament and Council on 19 July 2002. In particular, account was taken of the "Instructions on preparing statutory and consolidated financial statements for banks and financial companies which control banking groups" issued by the Bank of Italy under Circular No. 262 of 22 December 2005 - eighth update of 17 November 2022,<sup>(26)</sup> which define the structure to be used in compiling and preparing the financial statements and the contents of the notes to the accounts. This report was drawn up in accordance with the provisions of Article 154-*ter* of Legislative Decree No. 58 of 24 February 1998 (Italian Consolidated Law on Finance).

**SECTION 2**

**General Principles**

These consolidated financial statements comprise:

– consolidated balance sheet;

– consolidated income statement;

– consolidated statement of other comprehensive income;

– statement of changes to consolidated net equity;

– consolidated cash flow statement, drawn up using the direct method;

– notes to the accounts.

<sup>(26)</sup> The eighth update published on 17 November 2022 transposed the regulatory changes of IFRS 17 "Insurance Contracts".

Notes to the accounts \| Part A - Accounting policies \| 109

All the statements have been drawn up in conformity with the general principles provided for under IAS and the accounting policies illustrated in part A.2, and show data for the period under review compared with that for the previous financial year in the case of balance-sheet figures or the corresponding period of the previous financial year for profit-and-loss data.

\* \* \*

During the year under review, the European Commission approved the following regulations, which include certain changes to accounting standards already in force:

Regulation 2023/2468 of 8 November 2023, published in the Official Journal of the European Union on 9 November 2023, adopted amendments to IAS 12 "Income Taxes". These amendments added a temporary exception to account for deferred taxes resulting from the implementation of OECD Pillar II rules, as well as targeted disclosures for the entities involved.

In particular, the following are required:

– temporary exception to the requirement to account for deferred taxes immediately following publication of the amendments by the IASB and retrospectively in accordance with IAS 8 - Accounting Policies, Changes in Accounting Estimates and Errors; and

obligation to disclose the additional information required by the Regulation from the financial statements for years starting on 1 January 2023 or later; it is not necessary to apply additional disclosure provisions to interim financial statements relating to interim periods ending on 31 December 2023 or before.

Regulation 2023/2579 of 20 November 2023, published in the Official Journal of the European Union on 21 November 2023, adopted amendments to IFRS 16 "Leasing". In particular, such amendments specify how the transferor/lessee should subsequently measure the value of sale and leaseback transactions. Companies should apply these amendments at the latest from the start date of their first financial year starting on 1 January 2024 or later.

Regulation 2023/2822 of 19 December 2023, published in the Official Journal of the European Union on 20 December 2023, adopted amendments to IAS 1 "Presentation of Financial Statements". These amendments improve the information a company should provide when its right to defer settlement of a liability for at least 12 months is subject to covenants. The

110 \| Consolidated financial statements as at 30 June 2024

required changes should, at the latest, be applied from the start date of the first financial year after 1 January 2024;

Commission Regulation (EU) 2024/1317 of 15 May 2024, published in the Official Journal Series L of 16 May 2024, adopted "Supply financing arrangements", which amends IAS 7 Cash Flow Statement and IFRS Financial Instruments: Additional Information. The document introduces disclosure requirements regarding a company's supply financing arrangements. Companies will apply the amendments at the latest from the financial statements for financial years beginning on or after 1 January 2024.

Furthermore, it should be remembered that as of 1 July 2023 the Mediobanca Group has been applying Regulation 2022/357 of 2 March 2022, which adopted the amendments to standards IAS 1 and IAS 8. The amendments clarify the differences between accounting principles and accounting estimates in order to ensure a consistent adoption of accounting standards and the comparability of financial statements.

\* \* \*

The measures and statements published by regulatory and supervisory authorities in the past six months regarding the most suitable way to apply accounting standards that supplement the measures contained in the latest financial statements at 30 June 2023 are shown below. Please refer to the above financial statements for more details.

On 25 October 2023, ESMA published the annual statement "European Common Enforcement Priorities for 2023 Annual Financial Reports" outlining the priorities on which listed companies must focus when preparing the annual reports for December 2023. ESMA in particular recommends disclosure to be provided in the financial statements relating to any direct or indirect effects of sudden increases in interest rates on the composition of a company's exposures between variable and fixed rates, accompanied by a sensitivity analysis, if any; the effects of the greater volatility brought by the macroeconomic scenario on Fair Value<sup>(27)</sup> estimates; any material effects on financial disclosure due to climate change<sup>(28)</sup> , while ensuring that such disclosure is provided in line with IFRS standards; and the need for clear and consistent use of alternative performance

<sup>(27)</sup> Reference is made to Part E, Section 2 – Prudential consolidation risk: Market risks, in particular the sections on interest rate risk and price risk.

<sup>(28)</sup> Reference is made to Part E – ESG and Climate Change Risk.

Notes to the accounts \| Part A - Accounting policies \| 111

measures (APMs). Finally, in the same document, ESMA also focused on ESEF tagging<sup>(29)</sup> , in particular on the priority use of mandatory and previously existing elements in the taxonomy; it specified that the company may proceed with the creation of a special element only in the event that a careful analysis has found that there is no suitable tag for a certain numerical "data point".

**Going-concern statement**

With reference to the requirements of the Bank of Italy, CONSOB and ISVAP under Joint Document No. 4 of 3 March 2010, the Group's consolidated financial statements at 30 June 2024 were prepared on a going-concern basis: the Directors believe that no risks and uncertainties have arisen such as to raise doubts on the Group's going-concern assumption. The Directors consider that the Group has a reasonable expectation of continuing to operate in the foreseeable future.

For information on the Group's risks and related safeguards, please refer to the contents of "Part E - Information on risks and related hedging policies" in these Notes to the Accounts and in the Group's Review of Operations.

**Discretionary assessments, risks and uncertainties linked to the use of significant accounting estimates**

In compliance with IFRS, senior management are required to formulate assessments, estimates and assumptions that may influence the adoption of the accounting standards and the amounts of assets, liabilities, costs and revenues recognized in the financial statements, as well as the disclosure relating to contingent assets and liabilities.

The assumptions underlying such estimates take into account all the information available at the date of preparation of the financial statements, as well as assumptions considered reasonable, including in light of past experience.

In this regard, it should be noted that financial estimates may, due to their very nature and insofar as reasonable, need to be revised as a result of changes in the circumstances on which they have been based, of the availability of new information or of greater experience accrued.

<sup>(29)</sup> Reference is made to Part A – Section 5, "Other aspects".

112 \| Consolidated financial statements as at 30 June 2024

The main cases requiring the use of subjective assessments and opinions on the part of senior management are as follows:

a) quantification of losses due to the impairment of receivables and, in general, of other financial assets;

b) assessment of the Fair Value of equity investments and other non-financial assets (goodwill, tangible
assets, including the value in use of assets acquired under lease, and intangible assets);

c) use of valuation models to measure the Fair Value of financial instruments not listed on active markets;

d) estimates of liabilities deriving from company defined benefit retirement plans;

e) quantification of legal and fiscal provisions for risks and charges.

The above list of valuation processes is provided for the sole purpose of allowing the reader to better understand the main areas of uncertainty, but it should not be understood in any way to suggest that alternative assumptions may, at present, be more appropriate. For the most relevant items being estimated, information on the main hypotheses and assumptions used in the estimate is provided in the specific sections of the Notes to the Accounts, including a sensitivity analysis with respect to alternative hypotheses.

**Transition to the new IFRS 17 standard**

Starting from this financial year, the Mediobanca Group will be applying the new standard IFRS 17 "Insurance Contracts", which has replaced the previous standard IFRS 4 for the representation of insurance contracts, providing a single and harmonized method that favours a more immediate comparison between institutions from different countries. IFRS 17 applies to all insurance contracts, including reinsurance contracts and contracts that contain an investment component as part of an insurance contract, including with discretionary profit-sharing features. IFRS 17 defines the principles to be applied for the recognition, measurement, and accounting of all insurance and reinsurance contracts. In particular, this standard has been applied by Compass RE, a company specializing in reinsurance, wholly owned by Compass Banca.

Notes to the accounts \| Part A - Accounting policies \| 113

It should be noted that based on the provisions of accounting standard IFRS 17, adoption should be made retrospectively by recalculating the comparative closing balances. As foreseen during the analysis, the entry into force of this standard did not reveal any material impacts. In particular, as at 30 June 2023 the reclassification generated an impact of €-15,189 on total assets, €-15,518 on total liabilities, and a total impact of €329 on net equity.

***Global Minimum Tax***

Directive (EU) 2022/2523 of 15 December 2022 was transposed in Italy under Legislative Decree No. 209 of 27 December 2023 for the "implementation of the tax reform in the field of international taxation", aiming to ensure a minimum global tax rate of 15% for entities that are part of a multinational group of companies with annual revenues equal to or greater than €750m for at least two of the four financial years preceding the one under review.

Specifically, in order to achieve this objective, the legislation provides for the application of a Top-Up Tax, applicable in the event that the Effective Tax Rate (ETR) calculated within that jurisdiction is lower than 15%, up to reaching this level. Moreover, transitional Country-by-Country Reporting (CbCR) Safe Harbours have been introduced, i.e. a set of simplification rules that, under certain conditions, provide for zeroing the Top-Up Tax for the first three financial years following entry into force of such legislation.

Since the provisions of Legislative Decree No. 209/2023 will be coming into force starting from the financial year following the one in progress as at 31 December 2023, the first year in which such legislation will be adopted for the Mediobanca Group will be the financial year ending as at 30 June 2025. The activities necessary to verify whether the Group can pass the tests required for each relevant jurisdiction were therefore started.

In the financial statements for the year ended 30 June 2024, the Group carried out a simulation on the basis of final data for the year ending at 30 June 2023 concerning the tests required by the transitional CbCR Safe Harbours and applicability of any additional taxation. Specifically, the above-mentioned tests showed that all jurisdictions should benefit from the transitional regime at the date of adoption of such legislation.

114 \| Consolidated financial statements as at 30 June 2024

**BAPA (Bilateral Advance Pricing Agreements)**

In the Transfer Pricing area, Penalty Protection rules ensure exemption from administrative penalties due to misrepresentation and apply in the event that the taxpayer is in possession of documentation that ensures verification of compliance with the transfer pricing arm's length principle applied to cross-border intercompany transactions. In order to ensure that such rules are applied, in addition to preparing and updating their Country-Specific Documentation and Master File according to regulatory provisions, Mediobanca S.p.A. and Mediobanca International S.A. submitted an application in June for a bilateral advance pricing arrangement (BAPA) between the Italian Revenue Agency and the competent Luxembourg Authority. The application submitted to the Italian Revenue Agency was declared admissible last July.

**Corporate Sustainability Reporting Directive (CSRD) Project**

The continuous evolution of European legislation on sustainability reporting, together with requests to adhere to various reporting standards on an optional basis, led the Mediobanca Group to launch a multi-year project focused on Group ESG Reporting standards starting in 2021 with the aim of creating an integrated approach capable of meeting the new regulatory requirements and emerging best practices across the Group.

In the first two years, the project focused on:

– definition of standard solutions for the preparation of the tables required by Article 8 of the Delegated Act of the EU Taxonomy and the quantitative tables and qualitative tables required by Pillar 3 in the ESG field;

– industrialization of the related indicators, including GAR (in view of alignment with the taxonomy), and drafting the first off-balance sheet disclosure;

– preparation of internal regulations for the drafting of the disclosure statement (e.g. Pillar 3, PRB Report, TCFD Report); and finally

– definition of solutions once such activities are fully operational.

During the financial year under review, a gap analysis was carried out to assess the degree of alignment between the new disclosure obligations according to the ESRS and the contents of the Group's current non-financial

Notes to the accounts \| Part A - Accounting policies \| 115

reports (in particular the DCNF) in view of the entry into force of the CSRD, whose reporting requirement should be met by the Group as of 30 June 2025. Preparatory activities for drafting / implementing the future Sustainability Statement should be noted, including: initial analyses for the implementation of double materiality and IT tool assessments for an even more solid management of data collection.

With specific reference to "Double Materiality" (the new analysis provided for by ESRS standards that requires the identification of impacts, risks and opportunities relevant to sustainability reporting), the Group started to refine the criteria to align its "impact materiality" with the requirements of the new standard by examining in depth the principles relating to the "financial relevance of ESG issues" (second area required for the implementation of the aforementioned analysis).

**SECTION 3**

**Area and methods of consolidation**

The consolidated financial statements comprise the financial position and the results of the Group Legal Entities and companies directly or indirectly controlled by them, including those operating in sectors other than the one in which the Parent Company operates.

Based on the combined provisions of IFRS 10 "Consolidated Financial Statements", IFRS 11 "Joint Arrangements" and IFRS 12 "Disclosure of Interests in Other Entities", the Group has proceeded to consolidate its Legal Entities on a line-by-line basis, and its associates and joint arrangements using the net equity method.

The following events in the twelve months should be noted:

the wholly-owned subsidiary MB INVAG S.r.l. merged into Mediobanca S.p.A. in September; such company held 1,628,150 Assicurazioni Generali shares (i.e. 0.106% of its capital) resulting from the demerger of INVAG S.r.l;

on 2 October, Mediobanca completed the acquisition of the controlling stake in the English company Arma Partners LLP, a leading independent financial consultancy firm in the European Digital Economy sector, which in turn holds 100% of Arma Partners Corporate Finance Ltd. (UK) and Arma

116 \| Consolidated financial statements as at 30 June 2024

Deutschland GmbH (Germany). In particular, Mediobanca acquired 100% of Interests A, which give it the right to receive a percentage of Arma's distributable profit, calculated as a fixed percentage of revenues, and ensure sufficient governance rights to enable a full line-by-line consolidation and to maintain control from a legal, regulatory, and accounting standpoint; the current Partners hold Interests B, which entitle them to receive the residual percentage of Arma's distributable profit, as well as certain governance rights having a specific impact on the Partners' economic rights;

on 16 October, Compass Banca completed the 100% acquisition of HeidiPay Switzerland AG, a Swiss fintech specializing in the Buy-Now-Pay-Later (BNPL) market. This operation strengthened the partnership with Heidi Pay AG, a holding company specializing in the development of fintech platforms to support BNPL transactions in e-commerce and for brick-and-mortar stores, of which Compass has held a 19.5% share since August 2022;

on 24 October, the acquisition by Mediobanca Management Company of the entire stake in RAM Active Investment Europe, previously wholly owned by RAM Active Investments S.A., was completed; the operation did not lead to changes in the consolidation area. The relevant streamlining project required the subsidiary's merger, which was completed on 30 June with the delisting from the local register of companies;

– on 31 October, the sale of Revalea to Banca Ifis was completed with Compass receiving the agreed price (€100m). The company, whose loans will remain in place until June 2027, therefore exited the Group;

– the merger of Soisy S.p.A. into Compass Banca S.p.A. was completed with effect from 31 January 2024.

During the year, the following entities were placed into liquidation and cancelled:

– the subsidiaries of Polus Capital Management Bybrook Capital LLP and Bybrook Capital Services (UK) Limited (effective as of 9 January 2024), Bybrook Capital LLC and Bybrook Capital LP (with effect from last August), Bybrook Capital Management Limited (placed into liquidation on 25 June 2024);

– the CMB Monaco subsidiary CMB Asset Management (delisted on 10 January 2024);

– the Compass subsidiary Banca Quarzo CQS, a securitization vehicle pursuant to Law No. 130/99, was delisted from the register of companies on 1 February 2024.

Notes to the accounts \| Part A - Accounting policies \| 117

*1. Equity Investments in Group Legal Entities*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | | | **Ownership** | **Ownership** |  | |
| **Company name** | **Company name** | <br>**Site** | <br>**Type of**<br>**relationship <sup>(1)</sup>** | **Controlling**<br>**entity** | **%**<br>**shareholding** |  | <br>**Voting rights**<br>**in % <sup>(2)</sup>** |
| A. | COMPANIES INCLUDED IN AREA OF CONSOLIDATION | COMPANIES INCLUDED IN AREA OF CONSOLIDATION | COMPANIES INCLUDED IN AREA OF CONSOLIDATION |  |  |  |  |
| A.1 | Line-by-line method |  |  |  |  |  |  |
| 1. | MEDIOBANCA - Banca di Credito Finanziario S.p.A. | Milan | 1 |  |  |  |  |
| 2. | SPAFID S.P.A | Milan | 1 | A.1.1 | 100 |  | 100 |
| 3. | MEDIOBANCA INNOVATION SERVICES - S.C.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 4. | CMB MONACO S.A.M. | Monte Carlo | 1 | A.1.1 | 100 |  | 100 |
| 5. | CMG MONACO S.A.M. | Monte Carlo | 1 | A.1.4 | 99.92 |  | 99.92 |
| 6. | MEDIOBANCA INTERNATIONAL (LUXEMBOURG) S.A. | Luxembourg | 1 | A.1.1 | 99 |  | 99 |
|  |  |  | 1 | A.1.7 | 1 |  | 1 |
| 7. | COMPASS BANCA S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 8. | MEDIOBANCA PREMIER S.P.A. (formerly CHEBANCA! S.P.A.) | Milan | 1 | A.1.1 | 100 |  | 100 |
| 9. | MBCREDIT SOLUTIONS S.P.A. | Milan | 1 | A.1.7 | 100 |  | 100 |
| 10. | SELMABIPIEMME LEASING S.P.A. | Milan | 1 | A.1.1 | 60 |  | 60 |
| 11. | MB FUNDING LUXEMBOURG S.A. | Luxembourg | 1 | A.1.1 | 100 |  | 100 |
| 12. | MEDIOBANCA SECURITIES USA LLC | New York | 1 | A.1.1 | 100 |  | 100 |
| 13. | MB FACTA S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 14. | QUARZO S.R.L. | Milan | 1 | A.1.7 | 90 |  | 90 |
| 15. | MEDIOBANCA COVERED BOND S.R.L. | Milan | 1 | A.1.8 | 90 |  | 90 |
| 16. | COMPASS RE (LUXEMBOURG) S.A. | Luxembourg | 1 | A.1.7 | 100 |  | 100 |
| 17. | MEDIOBANCA INTERNATIONAL IMMOBILIERE S. A R.L. | Luxembourg | 1 | A.1.6 | 100 |  | 100 |
| 18. | POLUS CAPITAL MANAGEMENT GROUP LIMITED | London | 1 | A.1.1 | 89.07 | <sup>(\*)</sup> | 63.75 |
| 19. | POLUS CAPITAL MANAGEMENT LIMITED | London | 1 | A.1.18 | 100 |  | 100 |
| 20. | POLUS CAPITAL MANAGEMENT (US) INC. | Wilmington (USA) | 1 | A.1.18 | 100 |  | 100 |
| 21. | POLUS CAPITAL MANAGEMENT INVESTMENTS LIMITED (non-operating) | London | 1 | A.1.18 | 100 |  | 100 |
| 22. | POLUS INVESTMENT MANAGERS LIMITED (non-operating) | London | 1 | A.1.18 | 100 |  | 100 |
| 23. | Bybrook Capital Management Limited (in liquidation) | Grand Cayman | 1 | A.1.18 | 100 |  | 100 |
| 24. | Bybrook Capital Burton Partnership (GP) Limited | Grand Cayman | 1 | A.1.23 | 100 |  | 100 |
| 25. | SPAFID FAMILY OFFICE SIM | Milan | 1 | A.1.2 | 100 |  | 100 |
| 26. | SPAFID TRUST S.R.L. | Milan | 1 | A.1.2 | 100 |  | 100 |
| 27. | MEDIOBANCA MANAGEMENT COMPANY S.A. | Luxembourg | 1 | A.1.1 | 100 |  | 100 |
| 28. | MEDIOBANCA SGR S.P.A. | Milan | 1 | A.1.1 | 100 |  | 100 |
| 29. | RAM ACTIVE INVESTMENTS S.A. | Geneva | 1 | A.1.1 | 98.3 | <sup>(\*\*)</sup> | 93 |
| 30. | MESSIER ET ASSOCIES S.A.S. | Paris | 1 | A.1.1 | 100 | <sup>(\*\*\*)</sup> | 80.04 |
| 31. | MESSIER ET ASSOCIES L.L.C. | New York | 1 | A.1.31 | 100 | <sup>(\*\*\*)</sup> | 50 |
| 32. | MBCONTACT SOLUTIONS S.R.L. | Milan | 1 | A.1.9 | 100 |  | 100 |
| 33. | COMPASS RENT S.R.L. | Milan | 1 | A.1.7 | 100 |  | 100 |
| 34. | COMPASS LINK S.R.L. | Milan | 1 | A.1.7 | 100 |  | 100 |
| 35. | RAM ACTIVE INVESTMENTS LIMITED (UK) (in liquidation) | London | 1 | A.1.29 | 100 |  | 100 |
| 36. | CMB REAL ESTATE DEVELOPMENT S.A.M. | Monte Carlo | 1 | A.1.4 | 60 |  | 60 |
|  |  |  | 1 | A.1.1 | 40 |  | 40 |
| 37. | ARMA PARTNERS LLP | London | 1 | A.1.1 | 100 |  | 100 |
| 38. | ARMA PARTNERS CORPORATE FINANCE LTD | London | 1 | A.1.37 | 100 |  | 100 |
| 39. | ARMA DEUTSCHLAND GmbH | Munich | 1 | A.1.37 | 100 |  | 100 |
| 40. | HEIDI PAY SWITZERLAND AG | Geneva | 1 | A.1.7 | 100 |  | 100 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Taking into account the recently renegotiated put & call option which can be exercised for the next 3 years. |
| <sup>(\*\*)</sup> | Taking into account the put and call options exercisable from the third to the tenth anniversary of the closing date of the transaction. |
| <sup>(\*\*\*)</sup> | Taking into account the put & call option renegotiated during the year under review, which can be exercised for the next 2 years. |

---

Legend

<sup>(1)</sup> Type of relationship: 1 = Majority of voting rights in ordinary AGMs.

<sup>(2)</sup> Effective and potential voting rights in ordinary AGMs.

118 \| Consolidated financial statements as at 30 June 2024

*2. Considerations and significant assumptions used to determine consolidation area*

The area of consolidation is defined on the basis of IFRS 10, "Consolidated Financial Statements", which provides that control occurs when the following three conditions apply:

– when the investor has power over the investee, defined as having substantive rights over the investee's relevant activities;

– when the investor has exposure, or rights, to variable returns from its involvement with the investee; and

when the investor has the ability to exert power over the investee to affect the amount of the variable returns.

Group Legal Entities are consolidated on a line-by-line basis, which means that the carrying amount of the parent's investment and its share of the Group Legal Entity's equity after minority interests are eliminated against the addition of that company's assets and liabilities, income and expenses to the parent company's totals. Any surplus arising following allocation of asset and liability items to the Group Legal Entity is recorded as goodwill. Any assets and liabilities, income and expenses from transactions between consolidated companies are eliminated upon consolidation.

Investments in associates and joint arrangements are consolidated using the equity method. Associates are companies that are subject to significant influence, a concept defined as the power to participate in activities which are significant for the company without having control of it. Significant influence is assumed to exist in cases where one company holds at least 20% of the voting rights of another. When establishing whether or not significant influence exists, account is also taken of potential rights, rights exercisable under options, warrants or conversion rights embedded in financial instruments; the ownership structure is also considered, as well as voting rights owned by other investors.

The definition of joint arrangement used is that provided in IFRS 11, which involves the twofold requirement of the existence of a contractual arrangement and that such an arrangement must provide joint control to two or more parties. Also in this case, the valuation method chosen is based on Net Equity, which will be applied to the newly-established company MB Speed UP starting from the financial year under review.

Under the equity method of accounting, any changes in the net equity of the investee company (including gains and losses) since the acquisition date should

Notes to the accounts \| Part A - Accounting policies \| 119

be included in the book value of the investment (originally recognised at cost). This value is reduced in the event that the investment distributes dividends. The gain or loss generated by the investment is recorded pro rata in the consolidated income statement, including any value impairment or write-ups; while all other changes are recognized directly in net equity.

The financial statements of the consolidated companies represented in currencies other than the Euro are converted by applying the exchange rate prevailing at the end of the accounting period to the balance sheet items, and the average exchange rates for the same period to the income statement items. All exchange rate differences arising as a result of the translation are recorded in a specific net equity valuation reserve which, as and when the investment is sold, is eliminated and the relevant amount is debited from or credited to the income statement as the case may be. The following Table summarizes the conversion rates into Euros used in the statement as at 30 June 2024:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **ITEM CHANGES** | **ITEM CHANGES** | **ITEM CHANGES IN PROFIT** | **ITEM CHANGES IN PROFIT** |
| <br>**CURRENCY** | **IN BALANCE SHEET** | **IN BALANCE SHEET** | **AND LOSS ACCOUNT** | **AND LOSS ACCOUNT** |
| SWISS FRANC (CHF) |  | 0.9634 |  | 0.9597 |
| US DOLLAR (USD) |  | 1.0705 |  | 1.0816 |
| BRITISH POUND (GBP) |  | 0.8463 |  | 0.8588 |

---

With regard to the determination of the stake used for equity-based consolidation, it should be noted that it was determined as the ratio of the shares owned excluding those held for trading and/or through securities lending transactions (which transfer ownership, but not risks and benefits) and voting capital, represented by share capital after deducting treasury shares.

As required by paragraph 5-A of IFRS 12, the companies included within the area of consolidation, which must be disclosed in this paragraph, also include the equity investments of entities classified as held for sale (or included in a disposal group which is classified as held for sale).

*3. Investments in Group Legal Entities with significant minority interests*

Nothing to report.

120 \| Consolidated financial statements as at 30 June 2024

*4. Significant restrictions*

The Group considers that no restrictions currently in force, under the terms of its Articles of Association, shareholders' agreements or external regulations, would prevent it or otherwise limit its ability to access its assets or settle its liabilities.

The Group also considers that no rights are in force to protect the interest of minority or third parties.

*5. Other Information*

The reporting date for the consolidated financial statements is the date on which the Parent Company's financial year ends. In cases where Group Legal Entities have reporting periods ending on different dates, these companies are consolidated based on financial and earnings situations prepared as at the reporting date for the consolidated financial statements.

The financial statements of all Group Legal Entities have been drawn up based on the same accounting principles used at Group level.

Associates which have reporting periods ending on different dates compared to the Parent Company prepare a pro-forma accounting statement as at the consolidated reporting date, or alternatively send a statement referring to a previous date as long as it is not more than three months previously. This eventuality is expressly provided for by IAS 28 (paras. 33-34) provided that due account is taken of any material transactions or events that occur between said date and the reporting date for the financial statements.

**SECTION 4**

**Events subsequent to the reporting date**

It should be noted that the merger of Spafid Family Office S.p.A. into Spafid S.p.A. was completed with effect from 1 July 2024.

No other events requiring an adjustment to be made to the data shown in the Consolidated Financial Statements at 30 June 2024 occurred after such date.

Notes to the accounts \| Part A - Accounting policies \| 121

**SECTION 5**

**Other Aspects**

In compliance with Directive (EC) 2004/109 (the "Transparency Directive") and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation"), this document was drawn up in XHTML and the consolidated financial statements were "marked up" using the integrated computer language iXBRL, approved by ESMA.<sup>(30)</sup>

The entire document was lodged at the company offices and with the competent institutions as pursuant to the law.

The consolidated financial statements are accompanied by the Declaration by Financial Reporting Officer pursuant to Article 154-*bis* of the Italian Consolidated Law on Finance and are subject to a limited audit by the independent auditing firm EY S.p.A., according to the provisions of Legislative Decree No. 39 of 27 January 2010.

**A.2 - Significant Accounting Policies**

**1 - Financial assets measured at Fair Value through profit or loss**

These include financial assets held for trading and other financial assets mandatorily measured at Fair Value, and assets for which the Fair Value Option was modified.

Financial assets held for trading are assets which have been acquired principally for the purpose of being traded. This category comprises debt securities, equities, loans held for trading purposes, and the positive value of derivatives held for trading, including those embedded in complex instruments (such as structured bonds), which are recorded separately. This category also includes syndicated loan underwriting commitments in the event of a positive value.

<sup>(30)</sup> However, issuers may still continue to publish their Financial Statements in other formats (i.e. PDF).

It should be noted that some information contained in the Notes to the Financial Statements when extracted from the XHTML format in an XBRL instance, due to certain technical limitations, may not be reproduced identically, compared to the corresponding information displayed in the consolidated financial statements in XHTML format.

122 \| Consolidated financial statements as at 30 June 2024

Assets mandatorily measured at Fair Value include financial assets that are not held for trading but are mandatorily measured at Fair Value through profit or loss given the fact that they do not meet the requirements to be measured at amortized cost or at Fair Value through other comprehensive income. In particular, as clarified by the IFRS Interpretation Committee, this category includes units in mutual investment funds.<sup>(31)</sup>

With regard to financial assets mandatorily measured at Fair Value, during the financial year the organizational model, the monitoring process and the methodology that the Bank applies in order to classify, measure and verify the value of OICs as instruments accounted for at Fair Value were defined in compliance with Community Regulations (see section A.4 for further details).

Initial recognition occurs at the settlement date for securities and loans and at the subscription date for derivatives. At initial recognition, such financial assets are booked at Fair Value not including any transaction expenses or income directly attributable to the asset concerned, which are taken through the profit and loss account. Following their initial recognition, they will continue to be measured at Fair Value, and any changes in Fair Value will be recognized in the profit and loss account. Interest on instruments mandatorily measured at Fair Value will be recognized according to the interest rate stipulated contractually. Dividends paid on equity instruments will be measured through profit or loss when the right to collect them becomes effective.

Equities and linked derivatives whose Fair Value may not be reliably measured using the methods described above are stated at cost (these too qualify as Level 3 assets). If the assets suffer impairment, they are written down to their current value.

Gains and losses upon disposal or redemption and the positive and negative effects of changes in Fair Value over time are recognized in the profit and loss account under the respective headings.

Assets held for trading mandatorily measured at Fair Value also include loans which do not guarantee full repayment of principal in the event of the counterparty's financial difficulties and which have therefore failed the SPPI test. The process followed to write down these positions is aligned with that

<sup>(31)</sup> The IFRS Interpretation Committee's clarification rules out any possibility of such instruments being treated as equities.

Notes to the accounts \| Part A - Accounting policies \| 123

used for other loans, on the grounds that the exposure is basically attributable to credit risk, with both the gross exposure and related provisioning stated.

This item also includes financial assets designated at Fair Value upon initial recognition with the aim of eliminating or significantly reducing a valuation inconsistency. This case in particular concerns the related portfolio of assets and liabilities required by applying the business model for managing equity-linked certificates where changes in own credit risk and realizations are recognized through profit or loss to eliminate the accounting mismatch.

**2 - Financial assets measured at Fair Value through other comprehensive income**

These are financial instruments, mostly debt securities, which meet both the following conditions:

– the instruments are held on the basis of a business model whose objective is the collection of contractual cash flows and of proceeds deriving from the sale of such instruments;

– the contractual terms have passed the SPPI test.

Financial assets measured at Fair Value through other comprehensive income (FVOCI) are recognized at Fair Value, including transaction costs and income directly attributable to them. Thereafter, they will continue to be measured at Fair Value. Changes in Fair Value are measured through other comprehensive income, while interest and currency exchange gains/losses are recorded in the profit and loss account (in the same way as financial instruments measured at amortized cost).

Expected losses of financial assets measured at Fair Value through other comprehensive income (debt securities and loans and advances to customers) are calculated (as per the impairment process) in the same way as those of financial assets measured at amortized cost, with the resulting value adjustment recorded in the profit and loss account.

Retained earnings and accumulated losses recorded in other comprehensive income will be measured through profit or loss when the instrument is removed from the balance sheet.

124 \| Consolidated financial statements as at 30 June 2024

The category also includes equities not held for trading which meet the definition provided by IAS 32, and which the Group decided to classify irrevocably in this category at the initial recognition stage. As the instruments in question are equities, they are not subject to impairment and no gains/losses on equities will be measured through profit or loss, including following the sale of the instrument. Conversely, dividends on the instruments will be measured through profit or loss when the right of collection takes effect.

**3 - Financial assets measured at amortized cost**

These include loans and advances to customers and banks, debt securities and repo transactions which meet the following conditions:

– the financial instrument is held and managed according to the hold-to-collect business model, i.e. with the objective of holding it in order to collect the cash flows governed by the contract;

such contractual cash flows consist entirely of payment of principal amount and interest (and therefore meet the requirements set by the SPPI test).

This heading also includes receivables originated from finance leases, the valuation and classification rules for which are governed by IFRS 16 (cf. below), even though the impairment rules introduced by IFRS 9 apply for valuation purposes.

The Group's business model should reflect the ways in which financial assets are managed at a portfolio level and not at the instrument level, on the basis of factors observable at the portfolio level and not at the instrument level, such as the following:

– operating procedure adopted by management in the performance evaluation process;

– risk type and procedure for managing risks taken, including indicators for portfolio rotation;

– means for determining remuneration mechanisms for risk-takers.

The business model is based on expected reasonable scenarios (without considering "worst case" and "stress case" scenarios). In the event of cash flows differing from those estimated at initial recognition, the Group is not bound to

Notes to the accounts \| Part A - Accounting policies \| 125

change the classification of financial instruments forming part of the portfolio, but uses the information for deciding the classification of new financial instruments.<sup>(32)</sup>

At initial recognition, the Group analyses contractual terms for the instruments to check whether the instrument, product or sub-product has passed the SPPI test. In this connection, the Group has developed a standardized testing process which involves analysing loans by using a specific tool, developed internally, which is structured in decision-making trees, at the level of the individual financial instrument or product based on their different degrees of customisation. If the test is not passed, the tool will show that the assets should be measured at Fair Value through profit or loss (FVTPL). The method by which loans are tested differs according to whether or not the asset is a retail or corporate loan: at product level for retail loans, individually for corporate loans. An external info-provider is used to test debt securities; if, however, no test results are available, the instrument is analysed using the SPPI tool. When contractual cash flows for the instrument do not represent solely payments of principal and interest on the outstanding amount, the Group mandatorily classifies the instrument at Fair Value through profit or loss.

At the initial recognition date, financial assets are measured at Fair Value, including any costs or income directly attributable to individual transactions that can be established from the outset even if they are actually settled at later stages. The recognition value does not, however, factor in costs with the above characteristics which are repaid separately by the borrower, or may be classified as ordinary internal administrative expenses.

The instrument is measured at amortized cost, i.e. the initial value less/plus the repayments of principal made, write-downs/write-ups, and amortization – calculated using the effective interest rate method – of the difference between the amount disbursed and the amount repayable at maturity, adjusted to reflect expected losses.

The amortized cost method is not used for short-term receivables, as the discounting effect is negligible; for this reason, such receivables are recognized at historical cost. The original effective interest rate is defined as the rate of interest which renders the discounted value of future cash flows deriving

<sup>(32)</sup> These considerations are stated in the internal management policies, which reiterate the link between business model and accounting treatment and introduce frequency and materiality thresholds for changes in portfolios of assets measured at amortized cost.

126 \| Consolidated financial statements as at 30 June 2024

from the loan or receivable by way of principal and interest equal to the initial recognition value of the loan or receivable.

The original effective interest rate for each loan will remain unchanged in subsequent years, even if new terms are negotiated leading to a reduction to below market rates, including non-interest-bearing loans. The relevant value adjustment is recognized in the profit and loss account.

In accordance with the provisions of IFRS 9, the impairment model involves financial assets being classified at one of three different risk stages (Stage 1, Stage 2 and Stage 3), depending on developments in the borrower's credit quality, to which different criteria for measuring expected losses apply. Accordingly, financial assets are split into the following categories:

---

| | |
|:---|:---|
| *–* | Stage 1: this includes exposures at their initial recognition date for as long as there is no significant impairment to their credit quality; for such instruments, the expected loss should be calculated depending on default events which may occur within twelve months of the reporting date; |

---

Stage 2: this includes exposures which, while not classified as non-performing as such, have nonetheless experienced significant impairment to their credit quality since the initial recognition date; in the transition from Stage 1 to Stage 2, the expected loss will be calculated for the outstanding life of the instrument;

Stage 3: this category consists of non-performing (impaired) exposures according to the definition provided in the regulations. In the transition to Stage 3, exposures are valued individually, that is, the value adjustment is calculated as the difference between the carrying value at the reference date (amortized cost) and the discounted value of the expected cash flows, which are calculated by applying the original effective interest rate. The expected cash flows consider the anticipated collection times, the probable net realizable value of any guarantees, and the costs which are likely to be incurred for the recovery of the credit exposure from a forward-looking perspective which factors in alternative recovery scenarios and developments in the economic cycle.

In the model for calculating expected losses applied by the Group, forward-looking information was taken into consideration by referring to three possible macroeconomic scenarios (baseline, mild-positive and mild-negative) that may have an impact on PD and LGD, including any sales scenarios where the

Notes to the accounts \| Part A - Accounting policies \| 127

Group's NPL strategy considers that such assets should be recovered through sale on the market.

The Group's policy to establish a significant increase in credit risk is based on qualitative and quantitative criteria and uses the 30-day past due loans or their classification as forborne as conditions to be otherwise included in Stage 2 (referred to as backstop indicators). Cases of low-risk instruments at the recording date are identified, compatible with classification as Stage 1 (low credit risk exemption), where there is a BBB- rating on the Standard & Poor's scale, or a corresponding internal PD estimate.

Purchased or originated credit impaired items (POCIs) are receivables that are already non-performing at the point in time when they are acquired or disbursed, which does not preclude their being subsequently classified as performing. Writedowns are in any case calculated on a lifetime horizon.

Following initial recognition, all financial assets measured at amortized cost are subject to the impairment model based on the expected loss, i.e. performing as well as non-performing exposures.

Impairment regards losses which are expected to materialize in the twelve months following the reporting date, or losses which are expected to materialize throughout the rest of the instrument's lifetime in the event of a significant increase in credit risk. Both the twelve-month and lifetime expected losses can be calculated on an individual or collective basis according to the nature of the underlying portfolio.

Expected credit losses are recorded and released only to the extent that changes have occurred. For financial instruments considered to be in default, the Group records an expected loss on the residual lifetime of the instrument (similar to Stage 2 above); value adjustments are determined for all the exposures of the different categories considering forecast information reflecting macro-economic factors (forward-looking approach).

128 \| Consolidated financial statements as at 30 June 2024

**4 - Hedging**

With reference to hedging transactions, the Group has chosen to adopt the provisions of IFRS 9 and not to make use of the exception granted, i.e. to continue to apply the IAS 39 rules to these transactions, with the exception of the specific cases set forth in IFRS 9 (para. 6.1.3)<sup>(33)</sup> and not governed by the same.

The types of hedges used by the Group are the following:

– Fair Value hedges, which aim to offset the exposure to changes in the Fair Value of a financial item or homogeneous group of assets in terms of risk profile;

– cash flow hedges, which are intended to offset the exposure of recognized assets and liabilities to changes in future cash flows attributable to specific risks relating to the items concerned;

– hedges of foreign investments in currencies other than the Euro: these refer to the hedging of risks in an investment in a non-Italian company denominated in a foreign currency.

For the process to be effective, the item must be hedged with a counterparty from outside the Group.

Hedge derivatives are measured at Fair Value as follows:

– for Fair Value hedges, a change in the Fair Value of the hedged item is offset by the change in Fair Value of the hedging instrument, both of which recognized in the profit and loss account, should a difference emerge as a result of the partial ineffectiveness of the hedge;

– for cash flow hedges, a change in Fair Value is recognized in net equity for the effective portion of the hedge and in the profit and loss account only when, with reference to the hedged item, the change in the cash flows to be offset actually occurs.

Hedge accounting is permitted for derivatives where the hedging relationship is formally designated and documented and provided that the hedge is effective at its inception and is expected to be so for its entire life.

<sup>(33)</sup> IFRS 9 par. 6.1.3: "For a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities (and only for such a hedge), an entity may apply the hedge accounting requirements in IAS 39 instead of those in this Standard. In that case, the entity must also apply the specific requirements for the fair value hedge accounting for a portfolio hedge of interest rate risk and designate as the hedged item a portion that is a currency amount (see paragraphs 81 A, 89 A and AG114–AG132 of IAS 39)."

Notes to the accounts \| Part A - Accounting policies \| 129

At inception, the Group formally designates and documents the hedging relationship, with an indication of the risk management objectives and strategy for the hedge. The documentation includes identification of the hedging instrument, the item hedged, the nature of the risk hedged and how the entity intends to assess if the hedging relationship meets the requisites for the hedge to be considered effective (including analysis of the sources of any ineffectiveness and how this affects the hedging relationship). The hedging relationship meets the eligibility criteria for accounting treatment reserved for hedges if, and only if, the following conditions are met:

– the effect of the credit risk does not prevail over the changes in value resulting from the economic relationship;

– the coverage provided by the hedging relationship is the same as the coverage which results from the quantity of the item hedged which the entity effectively hedges, and the quantity of the hedging instrument which the Group actually uses to hedge the same quantity of the item hedged.

*Fair Value hedges*

As long as the Fair Value hedge meets the qualifying criteria, the gain or loss on the hedging instrument must be recognized in the profit and loss account or under one of the other comprehensive income headings if the hedging instrument hedges another equity instrument for which the Group has chosen to measure changes in Fair Value through OCI. The hedge profit or loss on the hedged item is recorded as an adjustment to the book value of the hedge with a matching entry through profit and loss account, even in cases where the item hedged is a financial asset (or one of its components) measured at Fair Value with changes taken through OCI. However, if the hedged item is an equity instrument for which the entity has opted to measure changes in Fair Value through OCI, the amounts remain in the statement of other comprehensive income.

If the hedged item is an unrecognized irrevocable commitment (or a component thereof), the cumulative change in Fair Value of the hedged item resulting from its designation is recognized as an asset or liability with a corresponding gain or loss recorded in the profit (loss) for the period.

130 \| Consolidated financial statements as at 30 June 2024

*Cash flow hedges*

As long as the cash flow hedge meets the qualifying criteria, it is accounted for as follows:

– the gain or loss on the hedging instrument in relation to the effective portion of the hedge is measured through OCI in the cash flow reserve, whereas the ineffective part is measured through profit or loss.

– the cash flow reserve is adjusted to the lower of:

– the cumulative gain or loss on the hedging instrument since the hedge's inception; and

– the cumulative change in Fair Value (at the present value) of the hedged item (i.e. the present value of the cumulative change in the estimated future cash flows hedged) since the hedge's inception.

The cumulative amount in the cash flow hedge reserve will be reclassified from the cash flow hedge reserve to profit (loss) for the period as a reclassification adjustment in the same period or periods in which the estimated future cash flows being hedged have an impact on the profit (loss) for the period (e.g. in periods when interest receivable or payable are recorded, or when the planned sale takes place). However, if the amount constitutes a loss and the entity does not expect to recover the whole loss or part of it in one or more future periods, the entity must classify the amount it does not expect to recover in the profit (loss) for the period (as an adjustment due to reclassification) immediately.

*Foreign currency investment hedges*

As far as it complies with eligibility criteria, a cash flow hedge is accounted for in the following ways:

– the portion of gain or loss on the hedging instrument that results in an effective hedge is booked into Other Comprehensive Income; and

– the ineffective share is booked through profit or loss.

The cumulative gain or loss on the hedging instrument related to the effective part of the hedge which had been accumulated into the foreign currency exchange rate reserve will be reclassified from net equity to profit and loss as a reclassification adjustment (see IAS 1), as required by par. 48 and 49 of IAS 21 regarding the partial or total disposal of the foreign investment.

Notes to the accounts \| Part A - Accounting policies \| 131

**5 - Investments**

This heading consists of interests<sup>(34)</sup> held in jointly-controlled entities and associates. Companies subject to joint control, otherwise known as joint ventures, are defined as entities whose control is contractually stipulated as being shared between the Group and one or more other parties, or when the unanimous consent of all parties which share control of the entity is required for decisions regarding relevant activities.

Companies subject to significant influence, otherwise known as associates, are defined as entities in which the Group holds at least 20% of the voting rights (including "potential" voting rights) or for which – despite holding a lower share of the voting rights – it is entitled to participate in deciding the financial and management policies of the investee company by virtue of its being represented in that company's management bodies, without actually having control over it.

The Group uses the net equity method to account for these investments; hence they are initially recognized at cost and subsequently adjusted to reflect changes in the net assets attributable to the Group since the acquisition date.

Following application of the net equity method, if there is objective evidence that the value of an investment may have reduced, estimates are made of its recoverable value, taking into account the value of the discounted future cash flows which the investment might generate, including the final sale value of the investment itself.

If the recoverable value is lower than the book value, the difference is measured through profit or loss.

If, in a period following the year in which an impairment loss has been recorded, a change occurs in the estimates used to determine the recoverable value, the book value of the investment will be revised to reflect the recoverable value and the adjustment will give rise to a write-back.

<sup>(34)</sup> As specified in IAS 28, the stake in an associated company is the book value of the investment in the affiliated company calculated using the equity method together with any other long-term stake which, in substance, represents the entity's additional net investment in the affiliated company. Any short-term transactions (trading and securities lending) are not relevant for the computation of the stake for equity-based consolidation purposes.

132 \| Consolidated financial statements as at 30 June 2024

In cases where significant influence or joint control are lost, the Group recognizes and values any residual share still held at Fair Value. Any difference between the book value at the date on which the loss of significant influence or joint control occurs, plus the Fair Value of the share still held and the consideration received on disposal, will be recognized in the income statement.

**6 - Tangible assets**

This heading comprises land, core and investment properties, plant, furniture, fittings and equipment of all kinds. It also includes the R-o-U assets acquired under leases and related use of tangible assets (for lessees) and assets used under the terms of finance leases (for lessors), despite the fact that such assets remain the legal property of the lessor rather than the lessee.

Assets held for investment purposes refer to investments in real estate, if any (whether owned or acquired under leases), which are not core to the Group's main activities and/or are chiefly leased out to third parties.

The heading also includes tangible assets classified pursuant to IAS 2 – Inventories, namely assets deriving from guarantees being enforced or acquired at an auction which the firm has the intention of selling in the near future, without carrying out any major refurbishment work and which do not fall into any of the previous categories.

Such assets are recognized at historical cost, which, in addition to the purchase price, includes any ancillary charges directly attributable to the purchase and/or commissioning of the asset. Extraordinary maintenance charges are accounted for by increasing the asset's value, while ordinary maintenance charges are recorded in the profit and loss account.

Fixed assets are depreciated over the length of their useful life on a straight-line basis, with the exception of land, which is not depreciated on the grounds that it has unlimited useful life. Properties built on land owned by the Group are recorded separately on the basis of valuations prepared by independent experts.

At annual and interim reporting dates, where there is objective evidence that the value of an asset may be impaired, its carrying amount is compared to its current value, which is the higher of its Fair Value after any costs to sell and

Notes to the accounts \| Part A - Accounting policies \| 133

its related value in use. Adjustments, if any, are recognized in the profit and loss account. If the reasons for recognizing a loss in value no longer apply, the adjustment will be written back, with the proviso that the amount credited may not exceed the value which the asset would have had after depreciation, which is calculated assuming no impairment took place.

**7 - Intangible assets**

These chiefly comprise goodwill, long-term computer software applications and other intangible assets deriving from business combinations subject to IFRS 3R.

Goodwill may be recognized where this is representative of the investee company's ability to generate future income. At each reporting date, goodwill recorded as an asset is tested for impairment.<sup>(35)</sup> Any reduction in value due to impairment is calculated as the difference between the initial recognition value of goodwill and its realizable value, the latter being equal to the higher of the Fair Value of the related cash-generating unit after any costs to sell and its value in use, if any. Any adjustments will be recognized in the profit and loss account.

Other intangible assets are measured at cost, adjusted to reflect ancillary charges only where it is likely that future earnings will derive from the asset and the cost of the asset itself may be reliably determined. Otherwise, the cost of the intangible asset is booked through the profit and loss account in the year in which the expense was incurred.

The cost of intangible assets is amortized on a straight-line basis over the useful life of the related asset, verified on an annual basis if necessary. If its useful life is indefinite the cost of the asset is not amortized, but the value at which it is initially recognized is tested for impairment on a regular basis.

<sup>(35)</sup> The Group has adopted a policy for the impairment testing process in line with the provisions of Organismo Italiano di Valutazione (OIV), Impairment test dell'avviamento in contesti di crisi finanziaria (Impairment test of goodwill during financial crises) of 14 June 2012, Principi Italiani di Valutazione (PIV, Italian Valuation Standards) published in 2015, Discussion Paper of 22 January 2019, Discussion Paper no. 01/2021 issued on 16 March 2021 by Organismo Italiano di Valutazione (O.I.V.) "L'uso di informazione finanziaria prospettica nella valutazione d'azienda" (Use of forward-looking financial information in company valuation), Discussion Paper no. 02/2021 issued on 16 March 2021 by Organismo Italiano di Valutazione (O.I.V.) "Linee Guida per l'Impairment Test dopo gli effetti della pandemia da Covid-19" (Guidelines for Impairment Tests after the effects of the Covid-19 pandemic), with suggestions published by ESMA, the guidelines of the joint document Bank of Italy, Consob, IVASS (document no. 4 of 3 March 2010 and no.8 of 21 December 2018) and various Consob communications and warning notices, as well as the IOSCO (International Organization Of Securities Commissions) Document containing "Recommendations on Accounting for Goodwill", published in December 2023.

134 \| Consolidated financial statements as at 30 June 2024

At annual and interim reporting dates, the realizable value of the asset is estimated if there is evidence of impairment.<sup>(36)</sup> The impairment is recognized in the profit and loss account as the difference between the carrying amount and the recoverable value of the asset concerned.

**8 - Non-current assets and asset groups as held for sale (IFRS 5)**

Under assets heading "Non-current assets and asset groups as held for sale" and under liability heading "Liabilities associated with assets held for sale" the Group classifies non-current assets or groups of assets/liabilities whose booking value will be presumably recovered by mean of a sale process. To be classified in this heading, assets or liabilities (or disposal groups) should be readily available for sale and selling plans should be identified, which are active and realistic in a way that their completion is considered highly probable. After the classification in the identified heading, these assets are measured at the lower of the booking value and the Fair Value after costs to sell, with the exception of some categories of assets (i.e. assets falling under the scope of standard IFRS 9) for which IFRS 5 requires specifically that the valuation provisions of the applicable standard should be used. In case of held-for-sale assets to be still depreciated, this process ends when assets are classified in the mentioned heading.

In case of discontinued operations, i.e. the sale of operating assets relating to an important business sector or geographical area, the standard requires gains and losses related thereto to be grouped together, after any tax effect, in the profit and loss heading "320. Gains (losses) of discontinued operating assets, after tax".

If the Fair Value of assets and liabilities held for sale, after costs to sell, is lower than their book value, a write-off will be calculated and booked through profit or loss.

Non-current assets held for sale and disposal groups are derecognized from the balance sheet when the sale occurs.

<sup>(36)</sup> Under IAS 36, impairment testing, i.e. tests to ascertain whether or not there has been a loss in the value of individual tangible and intangible assets, must be carried out at least once a year, in conjunction with preparation of the financial statements, or more frequently if events have taken place or materialized that would indicate there has been a reduction in the value of such assets (known as "impairment indicators").

Notes to the accounts \| Part A - Accounting policies \| 135

**9 - Tax assets and liabilities**

Income taxes are recorded through the profit and loss account, with the exception of tax payable on items debited or credited directly to net equity. Provisions for income tax are calculated on the basis of current, advance and deferred obligations. In particular, prepaid and deferred taxes are calculated on the basis of temporary differences – without time limits – between the value attributed to an asset or liability according to (Italian) statutory regulations and the corresponding values used for tax purposes.

Advance tax assets are recognized in the balance sheet based on the likelihood of their being recovered.

Deferred tax liabilities are recognized with the exception of tax-suspended reserves, if the size of available reserves previously subjected to taxation is such that it may be reasonably assumed that no transactions will be carried out on the Group's own initiative that might lead to their being taxed.

Deferred taxes arising upon business combinations are recognized when this is likely to result in an actual charge for one of the consolidated companies.

Tax assets and liabilities are adjusted as and when changes occur in the regulatory framework or in applicable tax rates, inter alia to cover charges that might arise in connection with inspections by or disputes with the tax revenue authorities.

Contributions to Deposits Guarantee Schemes and resolution funds are accounted for according to IFRIC 21.

**10 - Provisions for risks and charges**

These regard risks linked to loan commitments and guarantees issued, and to the Group's operations which could lead to expenses in the future as well as post-retirement plan provisions (cf. below).

In the first case (provisions for risks and charges to cover commitments and guarantees issued), the amounts set aside are quantified in accordance with the rules on impairment of financial assets measured at amortized cost.

136 \| Consolidated financial statements as at 30 June 2024

In the other cases the rules of IAS 37 apply, i.e. the potential charge must be estimated reliably; if the time effect is material, provisions are discounted using current market rates; and the provision is recognized in the profit and loss account.

Provisions are reviewed on a regular basis, and where the charges that gave rise to them are deemed unlikely to crystallize, the amounts involved are written back to the profit and loss account in part or in full.

Withdrawals are only made from provisions to cover the expenses for which the provision was originally set aside.

As permitted by IAS 37, paragraph 92, no precise indication has been given of any contingent liabilities where this could compromise the company in any way.

**11 - Financial liabilities measured at amortized cost**

These include the items Due to banks, Due to customers and Debt securities in issue less any amounts bought back. The heading also includes payables in respect of finance lease transactions, whose valuation and classification rules are governed by IFRS 16 and which are subject to the impairment rules under IFRS 9. For a description of the rules for valuing and classifying lease receivables, see the relevant section.

Initial recognition takes place when funds raised are collected or debt securities are issued, and occurs at Fair Value, which is equal to the amount collected after transaction costs incurred directly in connection with the liability concerned. After initial recognition, liabilities are measured at amortized cost on the basis of the original effective interest rate, with the exception of short-term liabilities which will continue to be stated at the original amount collected.

Derivatives embedded in structured debt instruments are stripped out from the underlying contract and recognized at Fair Value when they are not closely correlated to the host instrument. Subsequent changes in Fair Value are recognized through the profit and loss account.

Notes to the accounts \| Part A - Accounting policies \| 137

Financial liabilities are derecognized upon expiry or repayment, even if buybacks of previously issued bonds are involved. The difference between the liabilities' carrying value and the amount paid to repurchase them is recognized through the profit and loss account.

The sale of treasury shares over the market following a buyback (even in the form of repos and securities lending transactions) is treated as a new issue. The new sale price is recorded as a liability without passing through the profit and loss account.

**12 - Trading liabilities**

This item includes the negative value of trading derivatives and any derivatives embedded in complex instruments. Liabilities for technical overdrafts connected to securities trading activities as well as the negative value of syndicated loan underwriting commitments are also included. All trading liabilities are measured at Fair Value and changes are taken through the profit and loss account.

**13 - Financial liabilities designated at Fair Value**

These include the value of financial liabilities designated at Fair Value through profit or loss, on the basis of the option granted to companies (referred to as "Fair Value option") by IFRS 9 and in compliance with the cases provided for by such legislation.

Such liabilities are measured at Fair Value, accounting for earnings according to the following rules laid down in IFRS 9:

– changes in Fair Value attributable to changes in one's credit quality must be recognized in the Statement of Other Comprehensive Income (Net Equity);

– other changes in Fair Value must be recognized through profit or loss;

amounts stated in other comprehensive income will not flow through profit or loss.

This method cannot be adopted, however, if the recognition of the effects of the issuer's own credit quality in net equity generates or accentuates an

138 \| Consolidated financial statements as at 30 June 2024

accounting mismatch in profit and loss. In such cases, the profits or losses related to the liability, including those caused as the effect of the change in the issuer's credit quality, must be measured through profit or loss.<sup>(37)</sup>

In compliance with the provisions of IFRS 9, the correlation between assets and liabilities is monitored on an ongoing basis.

**14 - Foreign currency transactions**

Transactions in foreign currencies are recorded by applying the exchange rates as at the date of the transaction to the amount in the foreign currency concerned.

Assets and liabilities denominated in currencies other than the Euro are translated into Euros using exchange rates prevailing at the reference dates. Differences on cash items due to translation are recorded through the profit and loss account, whereas those on non-cash items are recorded according to the valuation criteria used in respect of the category they belong to (i.e. at cost, through profit or loss or on an equity basis).

The assets and liabilities of non-Italian entities consolidated on a line-by-line basis have been converted at the exchange rate prevailing at the reporting date, whereas the profit-and-loss items have been converted using the average of the average monthly exchange rate readings for the period; any differences emerging after the conversion are recognized among the Net Equity valuation reserves.

**15 - Insurance assets and liabilities**

Insurance assets and liabilities that fall within the scope of IFRS 17 "Insurance Contracts" are classified in this category.

In particular, the asset item "80. Insurance assets" or the liability item "110. Insurance liabilities" include insurance contracts, reinsurance contracts, and investment contracts with issued discretionary profit-sharing features, as defined and regulated by IFRS 17, belonging to portfolios of insurance contracts, based

<sup>(37)</sup> This case in particular concerns the related portfolio of assets and liabilities concerning the business model for managing the funding of equity-linked certificates aiming to eliminate the accounting mismatch.

Notes to the accounts \| Part A - Accounting policies \| 139

on the net balance of the portfolio to which they belong. Generally, insurance contracts have a negative balance (insurance liabilities), while reinsurance contracts have a positive balance (insurance assets).

At the time of signing the insurance contract<sup>(38)</sup> with the insured party, a liability is recognized whose amount is given by the algebraic sum of the present value of the expected contractual cash flows (Present value of future cash flow – "PVFCF") which include the so-called Contractual Service Margin – "CSM", i.e. the present value of expected future profits and the Risk adjustment ("RA") to cover non-financial risks. All contracts are grouped together to identify "portfolios" that have similar risks and which can be managed in a unified manner.

There are two measurement models: General Model - applicable in principle to all contracts, and Variable Fee Approach ("VFA") - applicable in particular to direct profit-sharing contracts. An optional simplified model (Premium Allocation Approach - "PAA") is also provided for the purpose of measuring the residual coverage liability for contracts with a coverage period lasting one year or longer and for all contracts in the event that the measurement is not materially different from the one resulting from applying the General Model.

The insurance liability should be updated at each reporting period to verify the consistency of the estimates made with respect to market conditions. The effects of any updates detected will be recognized in the profit and loss account if the changes refer to current or previous events or to a reduction in the Contractual Service Margin if the changes are due to future events.

With regard to financial assumptions, the principle provides for the option of representing the effects of changes in the profit and loss account or in shareholders' equity (referred to as Other Comprehensive Income Option - OCI).

Lastly, IFRS 17 provides that the insurance contract should be derecognized when, and only when, the contract is extinguished, i.e. when the obligation specified in the insurance contract expires or is discharged or cancelled.

<sup>(38)</sup> An insurance contract is defined as a contract under which one party (the issuer) underwrites a "significant insurance risk" from another party (the insured), agreeing to indemnify the insured in the event that the same suffers damage resulting from a specific uncertain future event (the insured event).

140 \| Consolidated financial statements as at 30 June 2024

**16 - Other Information**

**Financial liabilities recognized at present value of redemption amount**

These consist of financial liabilities originating from agreements to buy out minorities in connection with acquisitions of controlling interests. These items, accounted for in heading "80. Other liabilities" of balance sheet, must be recognized at the present value of the redemption amount.

**Derecognition of assets**

A financial asset must be derecognized from the balance sheet if, and only if, the contractual rights to the cash flows deriving from it have expired, or if the asset has been transferred in accordance with the circumstances permitted under IFRS 9. In such cases the Group checks if the contractual rights to receive the cash flows in respect of the asset have been transferred, or if they have been maintained while a contractual obligation to pay the cash flows to one or more beneficiaries continues to exist. It is necessary to check that basically all risks and benefits have been transferred, and any right or obligation originated or maintained as a result of the transfer is recorded separately as an asset or liability where appropriate. If the Group retains virtually all risks and benefits, the financial asset must continue to be recorded.

If the Group has neither transferred nor maintained all risks and benefits, but at the same time has retained control of the financial asset, this continues to be recognized up to the residual interest retained in that asset.

The main forms of activity currently carried out by the Group which do not require underlying assets to be derecognized are the securitization of receivables, repo trading and securities lending. Conversely, items received as part of deposit bank activity, the return on which is collected in the form of a commission, are not recorded, as the related risks and benefits continue to accrue entirely to the end-investor.

When a financial asset measured at amortized cost is renegotiated, the Group derecognizes it only if the renegotiation entails a change of such magnitude that the initial instrument effectively becomes a new one. In such cases, the difference between the original instrument's carrying value and the Fair Value of the new instrument is measured through profit or loss, taking due account of any previous write-downs. The new instrument is classified as Stage

Notes to the accounts \| Part A - Accounting policies \| 141

1 for the purpose of calculating the expected loss (save in cases where the new instrument is classified as a POCI).

In cases where the renegotiation does not result in substantially different cash flows, the Group does not derecognize the instrument, but the difference between the original carrying value and the estimated cash flows discounted using the original internal rate of return must be measured through profit or loss (taking due account of any provisions already set aside to cover it).

**Leases (IFRS 16)**

An agreement is classified as a lease*<sup>(39)</sup>* (or contains a lease) based on the substance of the agreement at the execution date. An agreement is, or contains, a lease if its performance depends on the use of a specific good (or goods) and confers the right to use such good (goods) – the "Right of Use" (RoU) – for an agreed period of time and in return for payment of a fee (Lease liabilities). This definition of leasing therefore also includes long-term rentals or hires.

Right-of-use assets are recognized among "Tangible assets", and calculated as the sum of the current value of future payments (which corresponds to the current value of the recognized liability), the initial direct costs, any instalments received in advance or on the effective date of the lease (down payment), any incentives received from the lessor, and estimates of any costs for removing or restoring the asset underlying the lease.

The lease liability, which is booked under "Financial liabilities measured at amortized cost", is equal to the discounted value of payments due in respect of the lease discounted, as required by the Standard, to the marginal financing rate, equal for the Group to the Funds Transfer Pricing rate (FTP) as at the date concerned.

The duration of the lease agreement must not only consider the non-cancellable period established by contract, but also the extension options if their use is considered reasonably certain; in particular, the counterparty's past behaviour, the existence of corporate plans for the disposal of the leased business and any other circumstances indicative of the reasonable certainty of renewal must be considered when providing for automatic renewal.

<sup>(39)</sup> Leases in which the Group is a lessor may be divided into finance leases and operating leases. A lease is defined as a finance lease if all risks and benefits typically associated with ownership are transferred to the lessee. Such leases are accounted for by using the financial method, which involves a receivable being booked as an asset for an amount equal to the amount of the lease, after any expired instalments on principal paid by the lessee, and the interest receivable being taken through the profit and loss account.

142 \| Consolidated financial statements as at 30 June 2024

After initial recognition, right-of-use assets are amortized over the lease duration and written down as appropriate. The liability will be increased by the interest expense accrued and progressively reduced as a result of the payment of fees; in the event of a change in payments, the liability will be recalculated against the right-of-use asset.

For sub-leases, i.e. when an original lease has been replicated with a counterparty, and there are grounds for classifying it as a finance lease, the liability in respect of the original lease is matched by an amount receivable from the sub-lessee rather than the value in use.

**Provisions for statutory end-of-service payments and post-retirement schemes**

Provisions for statutory end-of-service payment qualify as a defined-contribution retirement plan for units accruing from 1 January 2007 (the date on which the reform of supplemental retirement plans came into force under Legislative Decree No. 252 of 5 December 2005), for cases where the employee opts into a supplemental retirement plan, and also for cases where contributions are paid into the treasury fund held with Istituto Nazionale di Previdenza Sociale (INPS, Italian national social security institution). For such payments, the amount accounted for under labour costs is determined on the basis of the contributions due without using actuarial calculation methods.

Provision for statutory end-of-service payment accrued up to 1 January 2007 qualify as defined benefit retirement plans, and as such will be recorded depending on the actuarial value calculated in line with the projected unit method. Therefore, future payments will be estimated based on past statistical analyses (for example turnover and retirements) and on the demographic curve; these flows will then be discounted according to a market interest rate that takes the market yield of bonds of leading companies as a benchmark taking into account the average residual duration of the liability weighted on the basis of the percentage of the amount paid or advanced for each maturity with respect to the total amount to be paid or advanced until the final settlement of the entire obligation.

Post-retirement plan provisions have been set aside under company agreements and also qualify as defined benefit plans. In this case, the current value of the liability is adjusted by the Fair Value of any assets to be used under the terms of such plan.

Notes to the accounts \| Part A - Accounting policies \| 143

Actuarial gains and/or losses are recorded in the Other Comprehensive Income statement, while the interest component is recognized in the profit and loss account.

**Stock Options, Performance Shares and Long-Term Incentives**

Stock option, performance share and long-term incentive (LTI) schemes operated on behalf of Group staff members and collaborators are treated as a component of labour costs.

Schemes which involve payment through the award of shares are measured through profit or loss, with a corresponding increase in net equity, based on the Fair Value of the financial instruments allocated at the award date, thus spreading the cost of the scheme throughout the period of time in which the requirements in terms of service have been met and the performance targets, if any, have been achieved.

The overall cost of the scheme is recorded in each financial year up to the date on which the plan vests, so as to reflect the best possible estimate of the number of shares that will actually vest. Requirements in terms of service and performance targets are not considered in determining the Fair Value of the instruments awarded, but the probability of such targets being reached is estimated by the Group and this is factored into the decision as to the number of instruments that will vest. Conversely, market conditions will be included in establishing the Fair Value, whereas conditions unrelated to the requirements in terms of service are considered "non-vesting conditions" and are reflected in the Fair Value established for the instruments, and result in the full cost of the scheme being recorded in the profit and loss account immediately in the event that no service requirement and/or performance conditions have been met.

In the event of performance or service conditions not being met and the benefit failing to be allocated as a result, the cost of the scheme is written back. However, if any market conditions fail to be reached, the cost must be recorded in full if the other conditions have been met.

In the event of changes to the scheme, the minimum cost to be recorded is the Fair Value at the scheme award date prior to the change, if the original conditions for vesting have been met. An additional cost, established at the date on which the change is made to the scheme, must be recorded if the change has entailed an increase in the overall Fair Value of the scheme for the beneficiary.

144 \| Consolidated financial statements as at 30 June 2024

For schemes which will involve payments in cash upon expiry, the Group records an amount payable equal to the Fair Value of the scheme measured at the award date of the scheme and at every reporting date thereafter, up to and including the settlement date, with any changes recorded as labour costs.

**Treasury shares**

These are deducted from net equity. Any differences between the initial disbursement upon acquisition and the revenues on disposal are also recognized in net equity.

**Fees and commissions receivable in respect of services**

This heading includes all revenues deriving from the provision of services to customers with the exception of those relating to financial instruments, leases and insurance contracts.

Revenues from contracts with customers are measured through profit or loss when control over the service is transferred to the customer, in an amount that reflects the fee to which the Group considers to be entitled in return for the service rendered.

For revenue recognition purposes, the Group analyses the contracts to establish whether they contain more than one obligation to provide services to which the price of the transaction should be allocated. The revenues are then recorded throughout the time horizon over which the service is rendered, using suitable methods to recognize the measurement in which the service is provided. The Group also takes into consideration the effects of any variable commissions, and whether or not a significant financial component is involved.

In the event of additional costs being incurred to perform or execute the contract, where such costs meet the requirements of IFRS 15, the Group will assess whether to capitalize them and then amortize them throughout the life of the contract, or to make use of the exemption provided by IFRS 15 to expense the costs immediately in cases where their amortization period would be complete within twelve months.

Notes to the accounts \| Part A - Accounting policies \| 145

**Dividends**

Dividends are recognized through profit or loss during the financial year in which their distribution is approved; they concern distributions from equity securities that are not part of affiliated investments and/or joint ventures measured according to the provisions of IAS 28.

**Cost recognition**

Costs are measured through profit or loss in accordance with the revenues to which they refer, except in case their capitalization requirements apply and where provided in order to determine amortized cost. Any other costs which cannot be associated with revenues are accounted for immediately in the profit and loss account.

**Related parties**

Related parties are defined, inter alia in accordance with IAS 24, as follows:

a) individuals or entities which, directly or indirectly, exercise significant influence over the Bank;

b) shareholders with stakes of 3% or more in the Bank's share capital;

c) legal entities controlled by the Bank;

d) associated companies, joint ventures and entities controlled by the same;

e) key management personnel, that is, individuals with powers and responsibilities, directly or indirectly,
for the planning, direction and control of the Parent Company's activities, including the members of the Board of Directors and
Statutory Audit Committee;

f) entities controlled or jointly controlled by one or more of the entities listed under the foregoing letters
a), b) and e) and the joint ventures of entities referred to under letter a);

g) close family members of the individuals referred to in letters a) and e) above, that is, individuals who
may be expected to influence them or be influenced by them in their relations with Mediobanca (this category includes children, spouses
and their children, partners and their children, dependants, spouses' dependants and their partners' dependants), as well
as any entities controlled, jointly controlled or otherwise associated with such individuals.

146 \| Consolidated financial statements as at 30 June 2024

**A.3 – Information on transfers between financial asset portfolios**

*A.3.1 Reclassification of financial assets: changes to the business model, book value and interest income*

*A.3.2 Reclassification of financial assets: changes to the business model, Fair Value and effects on other comprehensive income*

*A.3.3 Reclassification of financial assets: changes to the business model and effective interest rate*

At 30 June 2024, there were no data to be reported for any of the three sections above.

**A.4 – Information on Fair Value**

**QUALITATIVE INFORMATION**

**Fair Value**

In line with the international accounting standards, the Fair Value of financial instruments stated in the financial statements is the so-called exit price, i.e. the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions, regardless of whether such price is directly observable or estimated using another valuation technique (IFRS 13, §24).

Fair Value, therefore, is "the price that would be received for the sale of an asset or that would be paid for the transfer of a liability in a regular transaction between market operators at the measurement date".

The Fair Value hierarchy of an instrument is a direct consequence of the Fair Value estimation approach: in principle, a financial instrument is considered to be listed on an active market if its price represents its current exchange value in normal, effective and regular market operations.

If the market is not active, the Fair Value of the instrument being estimated is measured by using market prices for similar instruments on active markets (comparable approach) or, in the absence of similar instruments, using a valuation technique that uses market and non-observable information (observable/ unobservable inputs).

Notes to the accounts \| Part A - Accounting policies \| 147

The Group has laid down precise guidelines regarding three key aspects: independent calculation of Fair Value, conducted by the Group's control units; the adoption of any Fair Value adjustments to consider aspects of uncertainty/ liquidity; and classification of financial instruments according to a Fair Value hierarchy based on the level of uncertainty of the valuation. In addition to the book Fair Value, which affects both the balance sheet and the income statement, the Group is required to make prudent valuation adjustments in order to calculate prudential requirements.

These guidelines, set out in Policies approved by the Board of Directors and related implementation Directives approved by the competent Committees, were defined in compliance with the main international regulations (IFRS 13<sup>(40)</sup> and CRR art 105<sup>(41)</sup>); the main activities for calculating the exit price of the financial instruments in the portfolio are shown below<sup>.(42)</sup> .

It should be noted that a Directive was proposed and approved during the year under review to define the organizational model to be adopted by the Bank in the area of valuation and control of Collective Investment Undertakings for the purposes of Independent Price Verification, Fair Value and prudent value adjustment methodologies, as well as for classification purposes (observability and levelling).

The Directive provides a complete and detailed overview of the procedures and responsibilities involved, ensuring that each phase of the investment process is transparent, accurate and compliant with applicable regulations.

**Independent Price Verification (IPV) Processes**

Independent Price Verification (IPV) is the process through which prices and market data, used to calculate Fair Value and to measure prudent value, are subject to a verification process according to specific accuracy standards defined internally by the Group. The Independent Price Verification Policy and Directive meet the requirements laid down in Article 105, para. 8 of Regulation (EU) 575/2013, which requires institutions to perform independent price verification in addition to daily marking-to-market or marking-to-model

<sup>(40)</sup> IFRS 13 establishes guidelines for identifying the exit price by using available prices, valuation models and any corrections (FVA) to consider elements of illiquidity/risk which, if not applied, would lead to overestimating the financial instrument, and the need to classify financial instruments according to the level of objectivity in the computation of fair value (FVH).

<sup>(41)</sup> The guiding principles of the IPV and PVA processes are defined in the CRR Directive, Article 105.

 

<sup>(42)</sup> It should be emphasized that the accuracy and consistency of these guidelines are subject to rigorous supervision by the Group Audit unit, which verifies the effectiveness and adequacy thereof. Furthermore, a specific internal validation unit has been established, within the Risk Management unit, which focuses on the validation of the quantitative methods used.

148 \| Consolidated financial statements as at 30 June 2024

practices and establish and maintain sufficient procedures for providing valuation estimates.

Independent Price Verification has the following objectives: formalisation of control methodologies, definition of a market parameter validation approach, definition of the methodologies for quantifying control thresholds, methods and types of escalation and reporting to Senior Management.

Verification of the correctness of the valuation will be based on verification of market parameters used for the valuation of instruments that present a risk profile for the Group and individual Desks by analysing the correct import of data from info providers and the fairness of the financial value through comparison with other info providers, indicative quotations provided by brokers and implicit parameters deduced from such quotations. With regard to illiquid financial instruments, verification should also be performed as regards the valuation methodology input data.

IPV performs data analysis in order to ensure consistency with a comparison source to ensure a correct evaluation of the Bank's and of individual Desks' risk positions of the main profit and loss drivers. Any changes to the data will have an impact not only on the balance sheet but also on the Profit and Loss reporting process of the portfolio concerned. Furthermore, the decision to change the source of valuation of any market data during the Independent Price Verification process, as well as the verification method itself, may generate a different classification of the instrument being analysed with respect to the Fair Value Hierarchy.

For the calculation of Independent Price Verification adjustments, the Mediobanca Group uses available and reliable sources. Where possible, these are also used for the prudent valuation adjustment (PVA) process in line with the provisions of Article 3 of Delegated Regulation (EU) 2016/101. These data sources are validated in accordance with the provisions of internal documentation and/or regulations.

The validation process focuses on the asset classes that have a direct impact on the Group's Income Statement, both for proprietary instruments and for guaranteed instruments. In this regard, before proceeding with the analysis of the market parameters, the scope of analysis where to perform the certification is divided into asset classes. However, materiality thresholds (at risk factor level) are established for each exposure above which to apply the calculation described below.

Notes to the accounts \| Part A - Accounting policies \| 149

IPV requires daily checks to be performed on all Group positions (trading and banking book), which include the year-by-year price of financial instruments, market curves and volatility surfaces. Furthermore, monthly checks, at the latest, are carried out for some asset classes, based on consensus services, given the nature and frequency with which valuation data is available in the systems. Finally, starting from the year under review, annual verifications of the funds (Private Equity, Debt and Real Estate) have been introduced using a leading third-party firm for the valuation of the NAVs of UCITS funds. The IPV process is divided into two levels:

– The individual underlying assets are specifically verified and, based on the differences found compared to the valuation communicated by the manager, a valuation flag is assigned;

– The "Documentary completeness" and "Adequacy of valuations" are analysed for each fund.

**Fair Value Adjustment (FVA)**

Fair Value Adjustment (FVA) plays a fundamental role in the valuation of financial instruments, as it ensures that the Fair Value reflects the price actually realizable in a practical market transaction. The guidelines defined in the Fair Value policy fully reflect the requirements defined by accounting standard IFRS 13, according to which the valuation of financial instruments should use the exit price method and allow for corrections to be made to the valuations in specific circumstances.

This Fair Value approach ensures that the valuations made by the Group are based on prices that are realistic and representative of current market conditions, guaranteeing adequate consideration to exit conditions and to the actual possibilities of selling or purchasing the financial instruments being valued. This ensures accurate and reliable financial information to be provided internally and to external stakeholders. In particular:

Inputs based on Bid and Ask Prices - §70: when measuring an asset or liability at Fair Value and having at one's disposal both a bid and an ask price (as in the case of inputs from a market of operators), the price within the bid-ask spread that best represents Fair Value in the specific circumstances should be chosen. The Group uses bid or ask prices in order to align with the closing price.

150 \| Consolidated financial statements as at 30 June 2024

Inputs derived from Bid and Ask Prices - §71: the standard does not prohibit the use of average market prices or other pricing conventions commonly used by market participants to measure Fair Value within the bid-ask spread. However, in the Group's approach preference is given to the adoption of bid and ask prices in order to obtain a more precise Fair Value measurement particularly aligned with a reliable closing price.

Fair Value adjustments have an impact on profit or loss and take into account market liquidity, the uncertainties of parameters, the financing costs, and the complexity of the valuation models used in the absence of shared market practices.

The scope of Fair Value adjustments includes the following categories:

– Market price uncertainty (MPU): this consists in uncertainties in valuations based on market quotations;<sup>(43)</sup>

Closed-Out Cost (COC): this indicates uncertainties regarding the liquidity cost that the Group may incur in the event of a partial or total sale of an asset measured at Fair Value;

– Model Risk (MR): adjustments aimed at mitigating the risk of discrepancy with respect to market practice in the valuation of a product in relation to the choice and implementation of the valuation model;

– Concentrated Positions: this reflects uncertainties in the valuation of the exit price for positions classified as concentrated (i.e. positions whose disposal would significantly affect the market price);

– additional investment and financing costs: investment and financing costs may be incurred for own bond issues with an early redemption clause or in the event of early closure of positions in derivative instruments. These costs may vary depending on fluctuations in financing costs.

Credit Value Adjustments (CVA) and Debt Value Adjustments (DVA) are incorporated into the valuation of derivatives to reflect the impact of the counterparty's credit risk and the Group's credit quality. CVA represents a negative amount that takes into account cases where the counterparty could go bankrupt before the Group / Bank, with a positive market value against the counterparty. DVA represents an amount that takes into account the cases in

<sup>(43)</sup> With regard to new corrections to UCITS funds, the FVA process is structured by applying a "Performance Simulation Model", which uses the Monte-Carlo simulation method: the probability distribution of the discounted NAV of each fund and, consequently, the probability of having to record a discount, is found at maturity. This distribution is used to suggest a range of haircuts to apply to the NAV.

Notes to the accounts \| Part A - Accounting policies \| 151

which the Group / Bank could go bankrupt before the counterparty, with an impact for the counterparty. These adjustments are calculated taking into account any risk mitigating arrangements, such as collateral and netting arrangements for each counterparty.

The method used to calculate CVA/DVA is based on the following inputs:

– Expected Positive (EPE) and Expected Negative (ENE) Exposure, derived from simulations, which reflect the positive and negative valuation exposures of derivatives;

– Probability of Default (PD), which may be derived from historical default probabilities or implied in the market prices of Credit Default Swaps or bonds;

– Loss Given Default (LGD) is based on the estimated value of expected recovery in the event of the counterparty's default, as defined by specific analyses conducted by the Group, or recovery rates conventionally used for Credit Default Swap quotations.

Furthermore, the Fair Value of non-collateralized derivatives may be affected by the Group's funding costs (Funding Value Adjustment). Therefore, adjustments are made for the different funding costs using a discount curve that represents the average funding level of banks operating in the European corporate derivatives market.

**Fair Value Hierarchy (FVH) – Observability and materiality of inputs**

The Observability Levelling and Day-one Profit Directive, as specified in IFRS 13 and referred to in Bank of Italy Circulars No. 285 and No. 262, requires a hierarchy of levels reflecting the significance of inputs used in the valuations. These inputs, called "valuation inputs," are the market data used to estimate the Fair Value of financial instruments. The term "valuation input" refers to the market data used to estimate the Fair Value of instruments. To estimate the Fair Value of instruments, the Group uses valuation techniques that are adequate to the circumstances and for which sufficient data are available. Valuation techniques can be based on various approaches:

– market approach, which uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities;

cost approach (or current replacement method), which reflects the amount that would currently be required to replace an asset's service capacity;

152 \| Consolidated financial statements as at 30 June 2024

income approach, which converts future amounts (e.g. cash flows or revenues and expenses) into a single discounted amount through, for example: present value methods and option pricing models.

These valuation methods may use different types of inputs, which may be observable or unobservable. Prices quoted in active markets are classified as "observable inputs". In other cases, the information is considered observable when the valuation is based on market information obtained from sources independent of the Group or from actual transactions. In accordance with IFRS 13, para. B34, some examples of markets from which observable inputs can be derived include the following:

– exchange markets: in an exchange market, closing prices are both readily available and generally representative of Fair Value. An example of such a market is the London Stock Exchange;

dealer markets: in a dealer market, dealers stand ready to trade (either buy or sell for their own account), thereby providing liquidity by using their capital to hold an inventory of the items for which they make a market. Typically bid and ask prices (representing the price at which a dealer is willing to buy and the price at which a dealer is willing to sell, respectively) are more readily available than closing prices. Over-the-counter markets (for which prices are publicly reported) are dealer markets. Dealer markets also exist for some other assets and liabilities, including some financial instruments, commodities and physical assets;

brokered markets: in a brokered market, brokers attempt to match buyers with sellers but do not stand ready to trade for their own account. Brokers do not use their own capital to hold an inventory of the items for which they make a market, but they know the prices bid and asked by the respective parties. Prices of completed transactions are sometimes available. Brokered markets include electronic communication networks, in which buy and sell orders are matched, and commercial and residential real estate markets;

– principal-to-principal markets: in a principal-to-principal market, transactions, both originations and resales, are negotiated independently with no intermediary. Little information about those transactions may be made available publicly.

Notes to the accounts \| Part A - Accounting policies \| 153

All cases in which it is not possible to demonstrate the observability of inputs are classified as "unobservable inputs" and, in particular, when the information on which the valuation techniques are based reflects the Group's judgement formulated using the best information available in such circumstances.

In accordance with L IFRS 13, para. 67, valuation techniques used to measure Fair Value should maximize the use of relevant observable inputs and minimize the use of unobservable inputs.

In more detail, based on their observability and considering additional criteria, inputs can be classified into three different levels.

Level 1 inputs:

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date. A quoted price in an active market provides the most reliable evidence of Fair Value and it is the price to be used preferentially to measure financial assets and liabilities held in the portfolio. If a quoted price recorded on an active market is available, alternative valuation techniques based on quotes for comparable instruments or quantitative models cannot be used and the instrument is classified as a "Level 1 instrument" in its entirety. The objective is to reach a price at which a financial instrument would be traded at the reporting date (without altering the instrument) on an active market considered to be the main one or the most advantageous one for the Group and to which it has immediate access.

Level 2 inputs:

Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include the following:

– quoted prices for similar assets or liabilities in active markets.

– quoted prices for identical or similar assets or liabilities in markets that are not active.

Inputs other than quoted prices that are observable for the asset or liability, for example:

(i) Interest rates and yield curves observable at commonly quoted intervals.

(ii) Implied volatility.

(iii) Credit spread.

154 \| Consolidated financial statements as at 30 June 2024

Market-corroborated inputs.

Level 2 inputs may require adjustments for example relating to:

– the condition or location of the asset;

– the extent to which inputs relate to items that are comparable to the asset or liability;

– the volume or level of activity in the markets within which the inputs are observed.

If there is no public quotation on an active market for the price of the financial instrument as a whole, but active markets exist for its components, Fair Value will be calculated by reference to the relevant market prices for those components. In this case, valuation will not be based on active market quotations for the financial instrument in question, but on observable market inputs or through the use of inputs that are not observable but are supported and confirmed by market data. The use of this approach does not exclude the use of a calculation method, or rather, of a pricing model, through which it is possible to establish the correct price of the transaction at the reference date, in an ideal and independent trading environment justified by normal market considerations.

Level 3 inputs:

Level 3 inputs are not directly observable inputs that are used to measure the Fair Value in the event that relevant observable inputs are not available, making it possible to estimate a closing price even in situations of low market activity for the asset or liability as at the measurement date. The Group estimates unobservable inputs using the best information available in the circumstances, which could include its own data, considering all information on the assumptions of market participants that is reasonably available. Unlike Level 2 inputs, in this case the inputs must be internally estimated according to quantitative methods, such as the use of historical series and comparable underlying instruments. Both Level 2 and Level 3 inputs may be used for a certain instrument. In this case, the final classification of the instrument is defined by applying the materiality assessment.

There are two stages in the process of setting the levels and observability of inputs. In the first stage, a level is assigned to each input used in the instrument valuation model. Thereafter, in the second stage, the relevance of the various

Notes to the accounts \| Part A - Accounting policies \| 155

inputs used to determine the materiality of unobservable inputs is verified, thus influencing the overall valuation of the instrument. It should be noted that for some categories of instruments, such as private equity or infrastructure alternative investment funds, a more rigorous classification (Fair Value level) is automatically applied, since the relevant underlying is not listed on the market. However, for some types of instruments there is an illiquidity discount in the NAV valuation in order to bring the valuation to the exit price.

Materiality is a crucial step in establishing whether unobservable inputs (Level 2 or 3) are meaningful to the entire measurement of the instrument. This materiality analysis also extends to inputs used to calculate any adjustments, such as the Fair Value Adjustment (FVA) or the Credit Value Adjustment (CVA).

In summary, the observability and materiality process ensures that the Fair Value of financial instruments is classified correctly based on the significance of the inputs used, ensuring an adequate valuation of the Group's financial assets and liabilities.

Starting from the financial year under review, a new Fair Value hierarchy framework has come into force. It provides for automatic classification into levels based on the significance and liquidity of inputs used in the valuations; in particular, the weight that unobservable inputs have compared to observable inputs will determine their classification, potentially increasing re-classifications based on available market data at the reference date.<sup>(44)</sup>

**Prudent Valuation Adjustment (PVA)**

The Prudent Valuation Policy and Directive meet the regulatory requirements of Article 34 and Article 105, para. 2, of Regulation (EU) 575/2013, which, solely for prudential purposes and therefore without accounting impacts, requires prudential valuation<sup>(45)</sup> to be performed by applying adjusted inputs in order to capture stressed events. The difference between Prudent Value and Fair Value (exit price used for recording the instruments in the Group's financial statements) is called Additional Valuation Adjustment (AVA). The aggregation of AVAs, called Prudent Value Adjustment (PVA), is deducted directly from Common Equity Tier 1 - CET1.

<sup>(44)</sup> The adoption of this framework for positions in place at 30 June may have resulted in a reclassification of approximately €40m to level 2.

<sup>(45)</sup> Prudential valuation is understood as an exit price with a 90% level of certainty.

156 \| Consolidated financial statements as at 30 June 2024

The final adjustment is defined by the Regulator by aggregating nine AVAs:

*–* Market Price Uncertainty (MPU): this is the valuation uncertainty based on market prices, calculated at the level of the exposure being measured;<sup>(46)</sup>

*–* Close-out Costs (CoC): these consist in the uncertainty of the exit price, calculated at the level of the exposure being measured;

*–* Model Risk (MR): this refers to the valuation uncertainty arising from the uncertainty of the model used and/or of the calibration thereof used by various market participants;

*–* Unearned Credit Spreads (UCS): this consists in uncertainty in the measurement necessary to include the present value of expected losses in the event of counterparty default on derivative positions;

*–* Investing and Funding Costs (IFC): this is the uncertainty of the valuation of funding costs used in the valuation of the exit price in accordance with the applicable accounting standards;

*–* Concentrated Positions (CP): these refer to the uncertainty of the exit price for positions defined as concentrated;

*–* Future and Administrative Costs (FAC): this considers administrative costs and future hedging costs over the expected lifetime of the exposures being measured to which a direct exit price has not been applied for CoC AVAs;

*–* Early Termination (ET): this considers contingent losses arising from non-contractual early terminations of the clients' trading positions;

*–* Operational Risk (OR): this considers contingent losses that may be incurred as a result of the operational risks associated with the measurement processes.

Positions measured at Fair Value include various categories of financial assets and liabilities, as defined by International Financial Reporting Standards (IFRS); however, some positions are excluded from the AVA calculation if a change in the valuation of their amount does not affect capital resources. These exclusions include positions available for sale (FVOCI) to the extent that valuation changes are subject to prudential filtering, perfectly matching opposite positions (back-to-back) and positions subject to hedging transactions (hedge accounting).

<sup>(46)</sup> In line with the regulations governing Fair Value Adjustments to UCITS funds, where the median of the identified haircut range is used to find the fund correction amount, the maximum value of the identified haircut range is applied on the prudent side.

Notes to the accounts \| Part A - Accounting policies \| 157

*A.4.1 Valuation processes and sensitivity analysis*

As required by IFRS 13, quantitative information on the significant non-observable inputs used for the assessment of Level 3 instruments is provided below.

*Uncertainties of the inputs and impact on the Mark-to-Market method*

---

| | | | |
|:---|:---|:---|:---|
| <br>**Non-observable**<br>**inputs** | <br>**Quantification of parameter uncertainty** | **MtM +/- delta**<br>**(€'000)**<br>**30/6/24** | **MtM +/- delta**<br>**(€'000)**<br>**30/6/23** |
| Implied volatility | For each point on the volatility surface, this is defined as a standard deviation from consensus provided by the independent data provider. For non-contributed underlyings, a proxy is derived from the contributed underlyings. | (49.8) | (4.4) |
| Equity-equity correlation | For each expiry along the correlation curve, this is defined as a standard deviation from the consensus provided by the independent data provider. For non-contributed underlyings, a proxy is derived from the contributed underlyings. | (11.0) | (16.3) |
| Credit Spread | For financial guarantees with specific underlyings, credit spread curves are not observable. Proxy curves obtained from underlying prices are used for these instruments. | (0.5) |  |

---

158 \| Consolidated financial statements as at 30 June 2024

*Measurement techniques - Equity - receivables - interest rate - exchange rate products*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br>**Product** | <br>**Measurement**<br>**technique** | <br>**Non-observable**<br>**inputs** | **Fair Value <sup>(\*)</sup>**<br>**Assets**<br>**30/6/24**<br>**(€m)** | **Fair Value <sup>(\*)</sup>**<br>**Liabilities**<br>**30/6/24**<br>**(€m)** | **Fair Value <sup>(\*)</sup>**<br>**Assets**<br>**30/6/23**<br>**(€m)** | **Fair Value <sup>(\*)</sup>**<br>**Liabilities**<br>**30/6/23**<br>**(€m)** |
| *OTC bond option* | Black-Scholes model | Implied volatility <sup>(1)</sup> | 0.73 | (0.42) |  |  |
| *OTC equity single name options, variance swap* | Black-Scholes/Black model | Implied volatility <sup>(1)</sup> | 8.60 |  | 11.70 | (5.68) |
| *OTC equity basket options, best of/ worst of, equity autocallable multi-asset options* | Black-Scholes model, local volatility model | Implied volatility<br> Equity-equity correlation <sup>(2)</sup> | 19.10 | (19.32) | 7.45 | (11.56) |
| *CDS on Single Names with Recovery Rate 0* | *Arbitrage Free Credit Spread Model* | *Recovery Rate* | 0.05 |  | 0.37 |  |
| *Put option a garanzia del rendimento finanziario di fondi pensione* | *Black-Scholes model* | Projection of future premium flows and death rates of policy holders <sup>(3)</sup> | 0.23 | (23.58) | 0.01 | (29.25) |
| *Forex barrier option* | *Black-Scholes model* | Uncertainty of valuation model <sup>(4)</sup> | 0.02 |  |  |  |
| *Financial Guarantee* | *Arbitrage Free Credit Spread Model* | Credit Spread and Recovery Rate <sup>(5)</sup> | 0.85 | (1.08) |  |  |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The carrying amount shown above is equal to the full Fair Value of structures and includes Fair Value adjustments. |

---

<sup>(1)</sup> Volatility in a financial context is a measurement of how much the price of an underlying instrument may vary over time. The higher the volatility of the underlying instrument, the greater the risk associated with it. In general, long positions in options benefit from increases in volatility, whereas short positions in options lose out from them. For equity derivatives, the implied volatility area may be obtained from the price of the call and put options, as they have regulated markets. The uncertainty of this input is attributable to one of the following scenarios: illiquidity of quoted prices (wide bid/ask spreads, typical of long maturities or moneyness far from the At-The-Money spot), concentration effects and non-observable market data (again when maturities are considered too long or moneyness far from the At-The-Money spot).

<sup>(2)</sup> Equity-equity correlation is a measurement of the correlation between two equity-based underlying instruments. Variations in the correlation levels may impact an instrument's Fair Value positively or negatively, depending on the correlation type.

Equity-equity correlations are less observable than volatility, because correlation products are not quoted on any regulated markets. For this reason, correlations are more subject to data uncertainties.

<sup>(3)</sup> The contractual form has been structured as a put option with an original term of between 10 and 30 years, the valuation of which is subject to uncertainty regarding both the estimate of future premiums and the NAV level of the underlying pension funds.

<sup>(4)</sup> Model uncertainty is a measure of the relationship between two or more different valuation models for a derivative. Variations in valuation models used may impact an instrument's Fair Value positively or negatively.

<sup>(5)</sup> The contractual form is structured as a guarantee on specific underlying assets for which there are no observable input parameters.

The main factors contributing to transitions between Fair Value levels include changes in market conditions and refinements in the measurement models and/or the non-observable inputs.

Fair Value of an instrument may transition from Level 1 to Level 2 or vice versa mainly as a result of the loss (increase) in significance of the price expressed by the active market of the instrument.

Conversely, transfers from Level 2 to Level 3 or vice versa mainly arise as a result of the loss (increase) in significance of inputs, in particular the predominance of non-observable inputs over observable inputs.

Notes to the accounts \| Part A - Accounting policies \| 159

*A.4.4 Other information*

The Group uses the exception provided under IFRS 13, para. 48 from measuring Fair Value of financial assets and liabilities on a net basis by offsetting market and counterparty credit risks.

**QUANTITATIVE INFORMATION**

*A.4.5 Fair Value hierarchy*

*A.4.5.1 Assets and liabilities measured at Fair Value on a recurring basis, breakdown by Fair Value hierarchy*

(€'000)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| **Financial assets/liabilities measured**<br>**at Fair Value** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Financial assets measured at Fair Value through profit or loss | 12496458 | 3084722 | 1206686 | 6871088 | 2883005 | 900305 |
| &nbsp;&nbsp;&nbsp;a) financial assets held for trading | 12181393 | 2421602 | 806456 | 6714688 | 2343281 | 488242 |
| &nbsp;&nbsp;&nbsp;b) financial assets designated at Fair Value | 127231 | 578774 | 13210 |  | 538590 |  |
| &nbsp;&nbsp;&nbsp;c) other financial assets mandatorily measured at Fair Value | 187834 | 84346 | 387020 | 156400 | 1134 | 412063 |
| 2. Financial assets measured at Fair Value through other comprehensive income | 6414948 | 284208 | 206547 | 5680235 | 51050 | 310834 |
| 3. Hedging derivatives |  | 705549 |  |  | 1321884 |  |
| 4. Tangible assets |  |  |  |  |  |  |
| 5. Intangible Assets |  |  |  |  |  |  |
| **Total** | **18911406** | **4074479** | **1413233** | **12551323** | **4255939** | **1211139** |
| 1. Financial liabilities held for trading | 5796689 | 3608630 | 99391 | 4968008 | 4166238 | 302426 |
| 2. Financial liabilities designated at Fair Value |  | 3858906 | 380293 |  | 1540419 | 40537 |
| 3. Hedging derivatives |  | 1431642 |  |  | 2069541 |  |
| **Total** | **5796689** | **8899178** | **479684** | **4968008** | **7776198** | **342963** |

---

The Group's trading book is mainly concentrated on liquid transactions with a low level of uncertainty. A residual, more complex part remains which, however, even in this context of greater volatility and uncertainty, has not undergone significant changes.

Level 3 assets held for trading increased to €806.4m (from €488.2m), including €256m relating to repaid loans, subordinated on the market and entirely sold in early July with no impact on the profit and loss account. The remaining part is mainly represented by exposures in securitized stocks

160 \| Consolidated financial statements as at 30 June 2024

(€345.8m against €167.1m) and by exposure in unlisted convertible preferred shares (€171.4m against €152.3m) offset by the forward sale of the same underlying and classified as Level 2.

As at 30 June 2024, Level 3 liabilities held for trading, which mainly concerned autocallable certificates on basket equity; decreased from €302.4m to €99.4m after repayments (€174.5m) and net reclassifications to level 2 (€26.4m).<sup>(47)</sup> This decrease is linked to the entry into force of the new business model that provides for the Fair Value Option classification of newly issued autocallable equity certificates, which on the other hand determined an increase in Level 3 financial liabilities measured at Fair Value (from €40.5m to €380.3m); new issues of €289.5m and entries from other levels of €55.9m (relating to a delta-one certificate) were recorded during the year under review.

Financial assets mandatorily measured at Fair Value remained essentially steady at €387m (from €412.1m) and consisted of investments in funds (including €89.2m in Polus funds). Transfers of €138.5m to other level, offset by new purchases of €139.8m, should be noted.

Financial assets measured at Fair Value through other comprehensive income (bonds, shares and SFPs) decreased from €310.8m to €206.5m with sales and net redemptions of €114.1m; changes in Fair Value were positive by €9.8m.

<sup>(47)</sup> Due to the new fair value hierarchy framework described in the previous paragraphs.

Notes to the accounts \| Part A - Accounting policies \| 161

*A.4.5.2 Annual changes in financial assets measured at Fair Value on a recurring basis (Level 3)*

(€'000)

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** | **Financial assets measured at Fair Value through profit or loss** |  |  | | | |  |
|  | **Total** | **Total** | **of which:<br> a) financial<br> assets held<br> for trading <sup>(1)</sup>** | **of which:<br> a) financial<br> assets held<br> for trading <sup>(1)</sup>** | **of which:<br> b) financial<br> assets<br> designated at<br> Fair Value** | **of which:<br> b) financial<br> assets<br> designated at<br> Fair Value** | **of which:<br> c) other<br> financial<br> assets<br> mandatorily<br> measured at Fair<br> Value** | **of which:<br> c) other<br> financial<br> assets<br> mandatorily<br> measured at Fair<br> Value** | **Financial<br> assets<br> measured at<br> Fair Value<br> through other<br> comprehensive<br> income** | **Financial<br> assets<br> measured at<br> Fair Value<br> through other<br> comprehensive<br> income** | <br>**Hedging<br> derivatives** | <br>**Tangible<br> assets** | <br>**Intangible<br> assets** |  |
| 1. Opening balance |  | 899507 |  | 487443 |  |  |  | 412064 |  | 310834 |  |  |  |  |
| 2. Increases |  | 611997 |  | 444783 |  | 13210 |  | 154004 |  | 18160 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Purchases |  | 550375 |  | 397342 |  | 13210 |  | 139823 |  | 7158 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 Profits recognized in: |  | 27942 |  | 13761 |  |  |  | 14181 |  | 10721 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Profit and loss account |  | 27942 |  | 13761 |  |  |  | 14181 |  | 3504 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*– of which, capital gains* | | *13652* | | *9448* | | *—* | | *4204* | | *—* | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Net equity |  |  |  |  |  |  |  |  |  | 7217 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 Transfers from other levels |  | 33680 |  | 33680 |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.4 Other increases |  |  |  |  |  |  |  |  |  | 281 |  |  |  |  |
| 3. Decreases |  | (304865) |  | (125811) |  |  |  | (179054) |  | (122446) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1 Disposals |  | (131351) |  | (109919) |  |  |  | (21432) |  | (76012) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2 Redemptions |  | (9507) |  | (9507) |  |  |  |  |  | (45251) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.3 Losses recognized in: |  | (19840) |  | (769) |  |  |  | (19071) |  | (1183) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Profit and loss account |  | (19840) |  | (769) |  |  |  | (19071) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*– of which: capital losses* | | *(768* | | *(768* | | *—* | | *—* | | *—* | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Net equity |  |  |  |  |  |  |  |  |  | (1183) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels |  | (138551) |  |  |  |  |  | (138551) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.5 Other decreases |  | (5616 |  | (5616 |  |  |  |  |  |  |  |  |  |  |
| 4. Closing balance |  | 1206639 |  | 806415 |  | 13210 |  | 387014 |  | 206548 |  |  |  |  |

---

<sup>(1)</sup> After the market value of options traded (€41,000 at 30 June 2024 and €0.8m at 30 June 2023) the values of which are stated in the assets and liabilities for the same amount.

162 \| Consolidated financial statements as at 30 June 2024

*A.4.5.3 Annual changes in liabilities measured at Fair Value on a recurring basis (Level 3)*

(€'000)

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Financial assets<br> **held for trading <sup>(1)</sup>** | **Financial assets**<br>**designated at Fair<br> **Value** |<br>**Hedging<br> derivatives** |
| 1. Opening balance | 301627 | 40537 |  |
| 2. Increases | 56300 | 345445 |  |
| &nbsp;&nbsp;&nbsp;2.1 Issues | 28513 | 289443 |  |
| &nbsp;&nbsp;&nbsp;2.2 Losses recognized in: | 7003 | 47 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Profit and loss account | 7003 | 47 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, capital losses | 7003 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Net equity |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels | 18386 | 55955 |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases | 2398 |  |  |
| 3. Decreases | (258577) | (5689) |  |
| &nbsp;&nbsp;&nbsp;3.1 Redemptions | (199305) |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Buybacks |  |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Profits recognized in: | (11839) | (5689) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Profit and loss account | (11839) | (5689) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: capital gains | (11839) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Net equity |  |  |  |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels | (47433) |  |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases |  |  |  |
| 4. Closing balance | 99350 | 380293 |  |

---

<sup>(1)</sup> After the market value of options traded (€41,000 at 30 June 2024 and €0.8m at 30 June 2023), the values of which are stated in the assets and liabilities for the same amount.

Notes to the accounts \| Part A - Accounting policies \| 163

*A.4.5.4 Assets and liabilities not measured at Fair Value or measured at Fair Value on a non-recurring basis: breakdown by Fair Value hierarchy*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | | | (€'000) |
| **Assets/liabilities not measured** |  |  |  |  |  |  |  |  |
| **at Fair Value or measured at** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| **Fair Value on a non-recurring** | **Carrying** |  |  |  | **Carrying** |  |  |  |
| **basis** | **amount** | **Level 1** | **Level 2** | **Level 3** | **amount** | **Level 1** | **Level 2** | **Level 3** |
| 1. Financial assets measured at amortized cost | 64158936 | 3663863 | 15945116 | 43894197 | 62555709 | 3963714 | 16948503 | 39522590 |
| 2. Tangible assets held for investment purposes | 47998 |  |  | 125045 | 50486 |  |  | 125440 |
| 3. Non-current assets and asset groups held for sale |  |  |  |  | 251987 |  |  |  |
| **Total** | **64206934** | **3663863** | **15945115** | **44019242** | **62858182** | **3963714** | **16948503** | **39648030** |
| 1. Financial liabilities measured at amortized cost | 70321563 | 1403249 | 68911567 | 33072 | 64903066 | 1038611 | 63352460 | 261493 |
| 2. Liabilities associated with assets held for sale |  |  |  |  | 8134 |  |  |  |
| **Total** | **70321563** | **1403249** | **68911567** | **33072** | **64911200** | **1038611** | **63352460** | **261493** |

---

**A.5 - Information on Day One Profit/Loss**

Pursuant to IFRS 7, paragraph 28, the "Day One Profit/Loss" is understood as the difference between the Fair Value of a financial instrument at the initial recognition date (transaction price) and the amount estimated at that date using a valuation technique. This difference may be positive or negative.

In the event that the difference is positive (day one profit) and based on market quotations and models that almost exclusively include the use of observable market inputs, this amount can be included in the positive components of the profit and loss account. However, if the positive difference is based on non-observable market inputs, the Fair Value of the instrument must be adjusted for such difference and charged through profit or loss when the inputs become observable.

In the event, however, that the difference attributable to non-observable inputs is negative (day one loss), it is immediately recorded through profit or loss on a prudential basis.

The Group applies the day one profit suspension rule to financial instruments classified as Level 3 of the Fair Value hierarchy, i.e. instruments for which the impact of one or more non-observable inputs on the Fair Value is considered significant, as defined in paragraph 73 of IFRS 13. The day one

164 \| Consolidated financial statements as at 30 June 2024

profit, calculated after Fair Value adjustments, is amortized over the expected period for which the input data will remain unobservable. The day one profit is not applied if the risks generated by the transaction are hedged with a market counterparty (back-to-back) and therefore there are no impacts on profit or loss due to the non-observable input.

During the year under review, the day one profit method was used for two types of transaction:

CLO financial guarantee: transactions in which the Group purchased specific hedging on CLOs in its portfolio to neutralize the credit risk for which no observable, liquid market parameters were available compared to standard CDS. As at 30 June 2024, there were 8 transactions in progress for a nominal value of approximately €171m, for which profits of €6.9m were suspended and would be released pro rata temporis taking into account a certain stability of the uncertain input;

---

| | |
|:---|:---|
| *–* | certificates: as at 30 June 2024, profits of approximately €3.1m were suspended (almost entirely on autocallable equity) relating to an equivalent value of €263.9m, including former autocallable equity of €242m. They amounted to €4.2m in the previous year for a value of €224.3m. |

---

Notes to the accounts \| Part A - Accounting policies \| 165

**Part B – Notes to the Consolidated Balance Sheet <sup>(\*)</sup>** 

**Assets**

**SECTION 1**

**Heading 10: Cash and cash equivalents**

*1.1 Cash and cash equivalents: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| a) Cash | 118477 | 123417 |
| b) Current accounts and demand deposits with Central Banks | 2603174 | 3499866 |
| c) Current accounts and demand deposits with banks | 639499 | 613699 |
| **Total** | **3361150** | **4236982** |

---

<sup>(\*)</sup> DFigures in €'000.

166 \| Consolidated financial statements as at 30 June 2024

**SECTION 2**

**Heading 20: Financial assets measured at Fair Value <sup>(\*\*)</sup> through profit or loss**

*2.1 Financial assets held for trading: product breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| A. Cash assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 7627757 | 435729 | 345789 | 4993089 | 188834 | 296172 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Structured securities | 11722 | 15892 | 52252 | 1310 | 10625 | 47821 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Other debt securities | 7616035 | 419837 | 293537 | 4991779 | 178209 | 248351 |
| &nbsp;&nbsp;&nbsp;2. Equity securities <sup>(1)</sup> | 3753655 |  | 171736 | 1020812 |  | 163498 |
| &nbsp;&nbsp;&nbsp;3. UCIT units <sup>(3)</sup> | 361 |  | 4198 | 25 |  | 3258 |
| &nbsp;&nbsp;&nbsp;4. Loans |  |  | 255901 | 4085 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.1 Reverse repos |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.2 Other |  |  | 255901 | 4085 |  |  |
| **Total (A)** | **11381773** | **435729** | **777624** | **6018011** | **188834** | **462928** |
| B. Derivative instruments |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Financial derivatives | 799620 | 1754764 | 27981 | 696678 | 2001019 | 19964 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 trading <sup>(2)</sup> | 799620 | 1754764 | 27981 | 696678 | 2001019 | 19964 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 related to the Fair Value option |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 other |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Credit derivatives |  | 231109 | 851 |  | 153428 | 5350 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 trading |  | 231109 | 851 |  | 153428 | 5350 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 related to the Fair Value option |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 other |  |  |  |  |  |  |
| **Total (B)** | **799620** | **1985873** | **28832** | **696678** | **2154447** | **25314** |
| **Total (A+B)** | **12181393** | **2421602** | **806456** | **6714689** | **2343281** | **488242** |

---

<sup>(1)</sup> Equities include shares committed in securities lending transactions totalling €1,015,975 at 30 June 2024 and €399,599 at 30 June 2023.

<sup>(2)</sup> This includes €41,000 (€798,000 in June 2023) relating to options traded, whose contra-item was recorded among trading liabilities.

<sup>(3)</sup> These positions resulting from syndicated loan underwriting commitments were closed in early July 2024.

<sup>(\*\*)</sup> For the criteria used to determine Fair Value and the classification of financial instruments in the three Fair Value ranking levels, see Part A – Accounting Policies.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 167

*2.2 Financial assets held for trading: by borrower/issuer*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| A. Cash assets |  |  |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 8409275 | 5478095 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Public administrations | 6578666 | 3253899 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Banks | 1167423 | 1514688 |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Other financial companies | 526748 | 599285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 2832 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Non-financial companies | 136438 | 110223 |
| &nbsp;&nbsp;&nbsp;2. Equity securities | 3925391 | 1184310 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Banks | 622756 | 217180 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Other financial companies | 786722 | 271147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 132406 | 9977 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Non-financial companies | 2515913 | 695983 |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Other issuers |  |  |
| &nbsp;&nbsp;&nbsp;3. UCIT units | 4559 | 3283 |
| &nbsp;&nbsp;&nbsp;4. Loans | 255901 | 4085 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Other financial companies <sup>(1)</sup> | 255901 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Non-financial companies |  | 4085 |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Households |  |  |
| **Total (A)** | **12595126** | **6669772** |
| B. Derivative instruments |  |  |
| &nbsp;&nbsp;&nbsp;a) Central Counterparties | 448621 | 1487126 |
| &nbsp;&nbsp;&nbsp;b) Other | 2365704 | 1389313 |
| **Total (B)** | **2814325** | **2876439** |
| **Total (A+B)** | **15409451** | **9546211** |

---

<sup>(1)</sup> These are positions purchased as part of the underwriting activity whose syndication ended in early July 2024.

*2.3 Financial assets designated at Fair Value: product breakdown* <sup>(\*)</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Debt securities <sup>(1)</sup> | 127231 |  | 13210 |  |  |  |
| &nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;1.2 Other debt securities | 127231 |  | 13210 |  |  |  |
| 2. Loans |  | 578774 |  |  | 538590 |  |
| &nbsp;&nbsp;2.1 Structured |  |  |  |  |  |  |
| &nbsp;&nbsp;2.2 Other <sup>(1)</sup> |  | 578774 |  |  | 538590 |  |
| **Total** | **127231** | **578774** | **13210** |  | **538590** |  |

---

<sup>(\*)</sup> For the criteria used to determine Fair Value and the classification of financial instruments in the three Fair Value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> These offset Fair Value Option liabilities.

168 \| Consolidated financial statements as at 30 June 2024

*2.4 Financial assets designated at Fair Value: breakdown by borrower/issuer*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Debt securities <sup>(1)</sup> | 140441 |  |
| &nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;b) Public administrations | 13210 |  |
| &nbsp;&nbsp;c) Banks | 115282 |  |
| &nbsp;&nbsp;d) Other financial companies | 2017 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;e) Non-financial companies | 9932 |  |
| 2. Loans | 578774 | 538590 |
| &nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;d) Other financial companies | 578774 | 538590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 578774 | 538590 |
| &nbsp;&nbsp;e) Non-financial companies |  |  |
| &nbsp;&nbsp;f) Households |  |  |
| **Total** | **719215** | **538590** |

---

<sup>(1)</sup> These offset Fair Value Option liabilities.

*2.5 Other financial assets mandatorily measured at Fair Value* <sup>(\*)</sup>*: product breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Debt securities |  | 295 | 4 | 412 |  | 451 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities |  | 295 | 4 | 412 |  | 451 |
| 2. Equity securities |  |  | 8554 |  |  | 7474 |
| 3. UCIT units | 187834 | 82412 | 378462 | 155988 |  | 399449 |
| 4. Loans |  | 1639 |  |  | 1134 | 4689 |
| &nbsp;&nbsp;&nbsp;4.1 Reverse repos |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.2 Other |  | 1639 |  |  | 1134 | 4689 |
| **Total** | **187834** | **84346** | **387020** | **156400** | **1134** | **412063** |

---

<sup>(\*)</sup> For the criteria used to determine Fair Value and the classification of financial instruments in the three Fair Value ranking levels, see Part A – Accounting Policies.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 169

 *2.6 Other financial assets mandatorily measured at Fair Value: breakdown by borrower/ issuer* 

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Equity securities | 8554 | 7474 |
| &nbsp;&nbsp;of which: banks |  |  |
| &nbsp;&nbsp;of which: other financial companies | 8554 | 7474 |
| &nbsp;&nbsp;of which: non-financial companies |  |  |
| 2. Debt securities | 299 | 863 |
| &nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;b) Public administrations | 295 | 412 |
| &nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;d) Other financial companies | 4 | 451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;e) Non-financial companies |  |  |
| 3. UCIT units | 648708 | 555437 |
| 4. Loans | 1639 | 5823 |
| &nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;d) Other financial companies | 1639 | 1134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 1639 | 1134 |
| &nbsp;&nbsp;e) Non-financial companies |  | 4689 |
| &nbsp;&nbsp;f) Households |  |  |
| Total | 659200 | 569597 |

---

**SECTION 3**

**Heading 30: Financial assets measured at Fair Value** **<sup>(</sup> \*<sup>)</sup> through other comprehensive income - item 30**

 *3.1 Financial assets measured at Fair Value through other comprehensive income: product breakdown* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Values** | **Level 1** | **Level 2** | **Level 3** | **Level 1** | **Level 2** | **Level 3** |
| 1. Debt securities | 6286677 | 284208 | 78578 | 5563499 | 51050 | 186571 |
| &nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;1.2 Other debt securities | 6286677 | 284208 | 78578 | 5563499 | 51050 | 186571 |
| 2. Equity securities | 128271 |  | 127969 | 116736 |  | 124263 |
| 3. Loans |  |  |  |  |  |  |
| **Total** | **6414948** | **284208** | **206547** | **5680235** | **51050** | **310834** |

---

<sup>(\*)</sup> For the criteria used to determine Fair Value and the classification of financial instruments in the three Fair Value ranking levels, see Part A – Accounting Policies.

170 \| Consolidated financial statements as at 30 June 2024

 *3.2 Financial assets measured at Fair Value through other comprehensive income: by borrower/issuer* 

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Debt securities | 6649463 | 5801120 |
| &nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;b) Public administrations | 5651809 | 4548278 |
| &nbsp;&nbsp;c) Banks | 617946 | 627515 |
| &nbsp;&nbsp;d) Other financial companies | 171013 | 433068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies | 21972 | 38163 |
| &nbsp;&nbsp;e) Non-financial companies | 208695 | 192259 |
| 2. Equity securities | 256240 | 240999 |
| &nbsp;&nbsp;a) Banks | 122 | 120 |
| &nbsp;&nbsp;b) Other issuers: | 256118 | 240879 |
| &nbsp;&nbsp;&nbsp;- other financial companies | 45289 | 30530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;&nbsp;- non-financial companies | 210829 | 210349 |
| &nbsp;&nbsp;&nbsp;- other |  |  |
| 3. Loans |  |  |
| &nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;d) Other financial companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: insurance companies |  |  |
| &nbsp;&nbsp;e) Non-financial companies |  |  |
| &nbsp;&nbsp;f) Households |  |  |
| **Total** | **6905703** | **6042119** |

---

 *3.3 Financial assets measured at Fair Value through other comprehensive income: gross value and total accumulated impairment* 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Write downs** | **Write downs** | **Write downs** | **Write downs** | |
|  | **Stage 1** | **of which:<br> Low <br> credit risk<br> instruments <br> <sup>(\*)</sup>** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** |<br>**Overall<br> partial<br> write-offs** |
| Debt securities | 6637344 | 845204 | 19772 |  |  | 6996 | 657 |  |  |  |
| Loans |  |  |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | 6637344 | 845204 | 19772 |  |  | 6996 | 657 |  |  |  |
| Total 30 June 2023 | 5771319 | 31064 | 37723 |  |  | 6537 | 1385 |  |  |  |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | As required by Bank of Italy circular no. 262, starting from its fifth amendment, the column headed "of which" must show the gross value of the low credit risk instruments as defined by IFRS 9, paras. B5.5.29. For the Mediobanca Group, the concept of "low credit risk" is equivalent to that of rating, hence low credit risk applies to the case of counterparties rated as investment grade. |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 171

**SECTION 4**

**Heading 40: Financial assets measured at amortized cost**

*4.1 Financial assets measured at amortized cost: product breakdown of amounts due from banks*

![](tm2518026d1_ex99-6sp7img001.jpg)

172 \| Consolidated financial statements as at 30 June 2024

*4.2 Financial assets measured at amortized cost: product of amount due from customers*

![](tm2518026d1_ex99-6sp7img002.jpg)

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 173

 *4.3 Financial assets measured at amortized cost: by borrower / issuer of amounts due from customers* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Transaction Type/Values** |<br><br>**Stages 1 and 2** |<br><br>**Stage 3** | **Purchased**<br>**or originated**<br>**credit impaired**<br>**assets** |<br><br>**Stages 1 and 2** |<br><br>**Stage 3** | **Purchased**<br>**or originated**<br>**credit impaired**<br>**assets** |
| 1. Debt securities | 4425814 |  |  | 4471845 |  |  |
| &nbsp;&nbsp;a) Public administrations | 3213981 |  |  | 3389280 |  |  |
| &nbsp;&nbsp;b) Other financial |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;companies | 1040510 |  |  | 880348 |  |  |
| &nbsp;&nbsp;&nbsp;of which: insurance companies | 184242 |  |  | 177265 |  |  |
| &nbsp;&nbsp;c) Non-financial companies | 171323 |  |  | 202217 |  |  |
| 2. Loans to: | 53714970 | 374084 | 116777 | 53235519 | 369701 |  |
| &nbsp;&nbsp;a) Public administrations | 243635 | 1182 |  | 220453 | 1217 |  |
| &nbsp;&nbsp;b) Other financial |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;companies | 7912073 | 66 |  | 6502771 | 3554 |  |
| &nbsp;&nbsp;&nbsp;of which: insurance companies | 439722 |  |  | 299474 |  |  |
| &nbsp;&nbsp;c) Non-financial companies | 16614572 | 84890 | 94 | 18002204 | 74572 |  |
| &nbsp;&nbsp;d) Households | 28944690 | 287946 | 116683 | 28510091 | 290358 |  |
| **Total** | **58140784** | **374084** | **116777** | **57707364** | **369701** |  |

---

 *4.4 Financial assets measured at amortized cost: gross value and total accumulated impairment* 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Total accumulated impairment** | **Total accumulated impairment** | **Total accumulated impairment** | **Total accumulated impairment** | |
|  | **Stage 1** | **of which: Low<br> credit risk<br> instruments** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** |<br>**Overall<br> partial<br> write-offs** |
| Debt securities | 4542347 | 1574140 | 17414 |  |  | 3611 | 5658 |  |  |  |
| Loans | 57164507 | 360931 | 2624304 | 1208750 | 218858 | 301317 | 369911 | 834666 | 102081 | 961 |
| Total 30 June 2024 | 61706854 | 1935071 | 2641718 | 1208750 | 218858 | 304928 | 375569 | 834666 | 102081 | 961 |
| Total 30 June 2023 | 60007954 | 614918 | 2892045 | 1328389 |  | 329646 | 384344 | 958688 |  | 3667 |

---

174 \| Consolidated financial statements as at 30 June 2024

**SECTION 5**

**Heading 50: Hedging derivatives**

*5.1 Hedging derivatives: by hedge type and level*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** | |
|  | **30 giugno 2024** | **30 giugno 2024** | **30 giugno 2024** | | **30 June 2023** | **30 June 2023** | **30 June 2023** | |
|  | **Level 1** | **Level 2** | **Level 3** |<br>**Notional value**<br>**30 June 2024** | **Level 1** | **Level 2** | **Level 3** |<br>**Notional value**<br> **30 June 2023** |
| A. Financial derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;1. Fair Value |  | 556345 |  | 27121183 |  | 890006 |  | 30.279.394 |
| &nbsp;&nbsp;2. Cash flows |  | 149204 |  | 9926000 |  | 431877 |  | 8.556.000 |
| &nbsp;&nbsp;3. Foreign investments |  |  |  |  |  |  |  |  |
| B. Credit derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;1. Fair Value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;2. Cash flows |  |  |  |  |  |  |  |  |
| **Total** |  | **705549** |  | **37047183** |  | **1321883** |  | **38.835.394** |

---

*5.2 Hedging derivatives: by portfolio hedged and hedge type*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flows** | **Cash flows** | |
| | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Generic** | **Specific** | **Generic** | **Foreign**<br>**investments** |
| <br>**Transaction /<br> Type of hedging** | **debt<br> securities<br> and<br> interest<br> rates** | **equity<br> securities<br> and stock<br> indexes** | **currencies <br> and gold** | **credit** | **commodities** | **Other** | | | | |
| 1. Financial assets measured at Fair Value through other comprehensive income | 24734 |  |  |  | X | X | X | 1603 | X | X |
| 2. Financial assets measured at amortized cost | 453800 | X |  |  | X | X | X | 76 | X | X |
| 3. Portfolio | X | X | X | X | X | X |  | X |  | X |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |
| **Total assets** | **478534** | **—** | **—** | **—** | **—** | **—** | **—** | **1679** | **—** | **—** |
| 1. Financial Liabilities | 77811 | X |  |  |  |  | X | 145093 | X | X |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |
| **Total liabilities** | **77811** | **—** | **—** | **—** | **—** | **—** | **—** | **145093** |  |  |
| 1. Expected transactions | X | X | X | X | X | X | X | 2432 | X | X |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X |  | X |  |  |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 175

**SECTION 7**

**Heading 70: Equity investments**

*7.1 Equity investments: disclosure on relationships*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Ownership** | **Ownership** | |
| <br>**Company Name** | <br>**Registered<br> office** | <br>**Operating<br> office** |<br>**Type of<br> relationship** | **Controlling entity** | **%<br> shareholding** |<br>**Votes<br> available<br> in %** |
| A. Entities under significant influence |  |  |  |  |  |  |
| &nbsp;&nbsp;1. Assicurazioni Generali S.p.A. | Trieste | Trieste | 2 | Mediobanca S.p.A. | 13.02 | 13.17 |
| &nbsp;&nbsp;2. Istituto Europeo di Oncologia S.r.l. | Milan | Milan | 2 | Mediobanca S.p.A. | 25.37 | 25.37 |
| &nbsp;&nbsp;3. CLI Holdings II Ltd | London | London | 2 | Mediobanca S.p.A. | 24.09 | 24.09 |
| &nbsp;&nbsp;4.Finanziaria Gruppo Bisazza S.r.l. | Montecchio<br> Maggiore (VI) | Montecchio<br> Maggiore (VI) | 2 | Mediobanca S.p.A. | 22.67 | 22.67 |
| &nbsp;&nbsp;5. Heidi Pay AG | Geneva | Geneva | 2 | Compass Banca S.p.A. | 19.45 | 19.45 |
| &nbsp;&nbsp;6. MB SpeedUp | London | London | 1 | Mediobanca S.p.A. | 50.0 | 50.0 |

---

Legend:

<sup>(1)</sup> Joint control.

<sup>(2)</sup> Subject to significant influence.

<sup>(3)</sup> Exclusively controlled and not consolidated.

Table 7.1 provides the following information for each affiliated company: business name; registered office; investment; shareholding calculated as a percentage of the share capital issued by the affiliate or joint venture; and availability of votes calculated as a percentage of the actual voting shares, i.e. not including the affiliate's treasury shares in the denominator. The latter is the percentage used for the purposes of consolidation by the Net Equity method.

It should be noted that any temporary transactions (such as securities lending transactions, repurchase agreements, etc.) involving shares in the affiliate are not considered for purposes of determining the consolidation percentage.

The criteria and methods for establishing the area of consolidation are illustrated in "Section 3 – Part A – Accounting Policies", to which reference is made.

All the equity investments have been measured using the Net Equity method, as required by the reference accounting standard (IAS 28 and IFRS 11), which includes treasury shares owned in the calculation, plus the value of any shares in Mediobanca owned by the investee company. Dividends collected are not taken through the profit and loss account but are deducted from the investee company's book value.

176 \| Consolidated financial statements as at 30 June 2024

*7.2 Significant investments: book values, Fair Values and dividends received*

---

| | | | |
|:---|:---|:---|:---|
| <br>**Company Name** |<br>**Carrying amount** |<br>**Fair Value <sup>(\*)</sup>** | **Dividend**<br>**received <sup>(\*\*)</sup>** |
| A. Entities under significant influence/Joint venture |  |  |  |
| 1.Assicurazioni Generali S.p.A. | 3698013 | 4759117 | 261557 |
| 2.Istituto Europeo di Oncologia S.r.l. | 38986 | n.a. | n.a. |
| 3.CLI Holdings II Ltd | 37003 | n.a. | 9101 |
| 4.Finanziaria Gruppo Bisazza S.r.l. | 6679 | n.a. | 839 |
| 5.Heidi Pay AG | 6621 | n.a. | n.a. |
| 6.MB SpeedUp | 1750 | n.a. | n.a. |
| **Total <sup>(1)</sup>** | **3789052** |  |  |

---

<sup>(1)</sup> The amount stated here differs from that represented in the balance sheet for other investments, which are minor in terms of both percentage share owned and amount (€164,000).

<sup>(\*)</sup> Available only for listed Companies.

<sup>(\*\*)</sup> Dividends collected in the course of the financial year have been deducted from the book value of the investment (as described in Part A – Accounting Policies of the Notes to the Accounts).

As at 30 June 2024, the book value carried under the "Equity investments" heading totalled €3,789.2m.

The year under review witnessed a new investment in MB Speedup (50%, with a value of €1.8m), joint venture established together with Founders Factory UK. It will facilitate the creation and investment in fintech companies over the upcoming years.

The share in Assicurazioni Generali dropped from 13.10% to 13.02% taking into account the free capital increase implementing the incentive plans; if calculated on the shares in issue, the economic interest stood at 13.17% (13.25% last year). During the year, the book value increased from €3,472.2m to €3,698m after profits of €503m, changes in assets of €15.6m taking into account the ex-dividend (€-261.6m).

Regarding other equity investments: IEO (25.37%) remained steady at €39m, recording a slight loss (€0.2m); Finanziaria Gruppo Bisazza S.r.l. (22.67%) stood at €6.7m (€7.1m in the previous year) after period profits of €403,000 and a dividend payout of €839,000; CLI Holdings II Limited decreased from €38.6m to €37m after the collection of dividends (€9.1m) and period profits (€7.5m); Heidi Pay AG remained steady at €6.6m and suffered losses of €315,000 offset by positive equity variations of €337,000.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 177

**Impairment test on equity investment**

The value of equity investments has been tested for impairment as required by the accounting standards used (IAS 28, IAS 36, IFRS 10 and IFRS 11), in order to ascertain whether there is objective evidence to suggest that the initial recognition value of the investment might not be recovered in full.

The process involves ascertaining whether there are any indicators of impairment and, eventually, quantifying the amount of the adjustment necessary in order to reflect the value loss. Impairment indicators may be split into two main types of category:

– Quantitative indicators: the investee company's stock market value falling below its net asset value for stocks quoted on active markets;

Qualitative indicators: manifested financial difficulties, reporting negative earnings results or results which are significantly behind budget objectives or targets set in long-term business plans disclosed to the market, announcement and/or launch of composition procedures or restructuring plans, deterioration in ratings (especially if below investment grade).

IAS 28 paragraph 41A stipulates that:

impairment losses are incurred for an asset if the book value is higher than the recoverable amount, defined under IAS 36 as the higher between the asset's Fair Value (less costs of disposal) and its value in use;

– to measure Fair Value (governed by IFRS 13), reference must be made to:

– stock market prices, if the investee company is listed on an active market;

– valuation models generally recognized by the market, including market multiples for transactions, especially if deemed significant;

– to measure value in use (as governed by IAS 28 paragraph 42), the methodologies are either:

– the discounted value of cash flows generated by the investee company, both as cash flows generated from the company's assets and as income deriving from the disposal of the same assets; or

– the discounted value of cash flows that may be assumed to derive from dividends and from the eventual sale of the investment.

178 \| Consolidated financial statements as at 30 June 2024

For more information on the parameters used to calculate the value in use, refer to the considerations made on impairment testing for goodwill contained in the dedicated section of the Notes to the Consolidated Accounts.

\* \* \*

Accounting data for the investee companies is shown below taken from the respective financial statements as at 31 December 2023, the most recent available.

*7.3 Significant investments: accounting data*

---

| | | |
|:---|:---|:---|
| | | (€m) |
| | **Entities under significant influence** | **Entities under significant influence** |
| <br>**Company Name** | **Assicurazioni**<br>**Generali S.p.A.** | **Istituto Europeo di**<br>**Oncologia S.r.l.** |
| Cash and Cash Equivalents | X | X |
| Financial assets | 466046 | 108 |
| Non-financial assets | 35496 | 210 |
| Financial Liabilities | 44086 | 143 |
| Non-financial liabilities | 433241 | 81 |
| Total revenues | 25722 | 417 |
| Profit (loss) on ordinary operations before tax | 5574 | 5 |
| Profit/(Loss) on ordinary operations after tax | 4037 | 4 |
| Profit (loss) on held-for-sale assets after tax |  |  |
| Profit/(Loss) for the period (1) | 4037 | 4 |
| Other profit/(loss) components after tax (2) | 291 |  |
| Other comprehensive income (3) = (1) + (2) | 4328 | 4 |

---

*7.4 Non-significant investments: accounting data*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Entities under significant influence/Joint venture** | **Entities under significant influence/Joint venture** | **Entities under significant influence/Joint venture** | **Entities under significant influence/Joint venture** |
| <br>**Company Name** |<br>**CLI Holdings II Ltd** | **Finanziaria Gruppo**<br>**Bisazza S.r.l.** |<br>**Heidi Pay AG** |<br>**MB SpeedUp** |
| Book value of investments | 37003 | 6679 | 6621 | 1750 |
| Total assets | 148381 | 38032 | 7228 | 2400 |
| Total liabilities | 148377 | 7880 | 589 |  |
| Total revenues |  | 29706 | 638 |  |
| Profit/(Loss) on ordinary operations |  |  |  |  |
| after tax | 1 | 2015 | 1652 |  |
| Profit/(Loss) on operations after tax |  |  |  |  |
| Profit/(Loss) for the year (1) | 1 | 2015 | 1652 |  |
| Other profit/(loss) components after tax (2) |  |  |  |  |
| Other comprehensive income (3)=(1) + (2) | 1 | 2015 | 1652 |  |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 179

The table below shows a reconciliation between the book value of the investments and the data used for valuation purposes.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  |  |  | (€m) |
| **Entities under significant influence** |  |  | **Differences arising** | **Consolidated** |
| **/Joint venture** | **Aggregate net equity** | **Pro rata net equity** | **upon consolidation** | **book value** |
| Assicurazioni Generali S.p.A. | 28123.1<sup>(1)</sup> | 3702.6 | (4.6)<sup>(2)</sup> | 3698 |
| Istituto Europeo di Oncologia S.r.l. | 153.7<sup>(3)</sup> | 39 |  | 39 |
| CLI Holdings II Ltd | 153.6<sup>(4)</sup> | 37 |  | 37 |
| Finanziaria Gruppo Bisazza S.r.l. | 29.5 | 6.7 |  | 6.7 |
| Heidi Pay AG | 6.2 | 1.2 |  | 6.6 |
| MB SpeedUp | 2 | 1 |  | 1.8 |

---

<sup>(1)</sup> Total net equity includes the dividends paid in May 2024 (€1,987m).

<sup>(2)</sup> The differences upon consolidation refer to the Mediobanca shares held by Assicurazioni Generali as part of its securities portfolio (€34.6m, pro rata €4.6m).

<sup>(3)</sup> Net equity as at 31 March 2024 of €141.6m (pro rata: €35.9m) was adjusted to reflect the property asset revaluations after depreciation and amortization charges accruing (pro rata: €4.5m). <sup>(4)</sup> Total net equity includes the dividends paid in April last year (€2.8m).

For the nature of the relationships, please refer to section 7.1 above.

As at 30 June 2024, the market value of the Assicurazioni Generali investment was €4,759.1m (€23.29 per share), higher than its book value (€3,689m). In line with previous financial years, the value in use of the investment was calculated in any case, resulting well above its carrying value, and aligned to the maximum *target price* estimated by analysts (€28.7 per share).

Regarding Istituto Europeo di Oncologia, this investment has a book value in line with the entity's Net Asset Value adjusted to reflect the property values being realigned to their market values at acquisition. As at 30 June 2024, there was no (internal or external) evidence that could lead to a review of such higher value.

The equity investments in CLI Holdings II and Finanziaria Gruppo Bisazza (whose book value is the pro-rata share of their net equity) do not show critical issues such as to require proceeding with an impairment test.

Finally, the value attributed at the time of acquisition was confirmed for the equity investments in Heidi Pay and MB SpeedUp.

180 \| Consolidated financial statements as at 30 June 2024

*7.5 Equity investments: changes during the period*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| A. Opening Balance | 3563831 | 3157866 |
| B. Increases | 513019 | 659655 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases | 1750 | 7472 |
| &nbsp;&nbsp;&nbsp;B.2 Writebacks |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Revaluations |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Other changes | 511269 | 652183 |
| C. Decreases | 287634 | 253690 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Value adjustments |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Write-offs |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other changes <sup>(1)</sup> | 287634 | 253690 |
| D. Closing Balance | 3789216 | 3563831 |
| E. Total revaluations |  |  |
| F. Total adjustments | 733478 | 733478 |

---

<sup>(1)</sup> This includes dividends received.

**SECTION 9**

**Heading 90: Property, plant and equipment**

*9.1 Core tangible assets: breakdown of assets measured at cost*

---

| | | |
|:---|:---|:---|
| <br>**Assets/Values** | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Property assets | 247498 | 232425 |
| &nbsp;&nbsp;&nbsp;a) land | 116829 | 100239 |
| &nbsp;&nbsp;&nbsp;b) buildings | 52667 | 70359 |
| &nbsp;&nbsp;&nbsp;c) furniture | 34588 | 28405 |
| &nbsp;&nbsp;&nbsp;d) electronic systems | 7609 | 6490 |
| &nbsp;&nbsp;&nbsp;e) other | 35805 | 26932 |
| 2. Right-of-use assets acquired through lease | 245266 | 242458 |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings | 229664 | 230702 |
| &nbsp;&nbsp;&nbsp;c) furniture |  |  |
| &nbsp;&nbsp;&nbsp;d) electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) other | 15602 | 11756 |
| Total | 492764 | 474883 |
| of which: obtained by enforcement of collateral | 67 | 69 |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 181

*9.2 Properties held for investment purposes: breakdown of assets measured at cost*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Assets/Values** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** |
| 1. Property assets | 47998 |  |  | 125045 | 50486 |  |  | 125440 |
| &nbsp;&nbsp;&nbsp;a) land | 25253 |  |  | 59272 | 25253 |  |  | 58914 |
| &nbsp;&nbsp;&nbsp;b) buildings | 22745 |  |  | 65773 | 25233 |  |  | 66526 |
| 2. Right-of-use assets acquired through lease |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) land |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  |  |  |  |  |  |  |
| Total | 47998 |  |  | 125045 | 50486 |  |  | 125440 |
| &nbsp;&nbsp;&nbsp;of which: obtained by enforcement of collateral | 24791 |  |  | 36320 | 27078 |  |  | 36940 |

---

*9.3 Core tangible assets: breakdown of written-up assets*

At 30 June 2024, this item was not present within the Group.

 *9.4 Tangible assets held for investment purposes: composition of activities measured at Fair Value* 

At 30 June 2024, this item was not present within the Group.

*9.5 Inventories pursuant to IAS 2: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Items/Values** | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Inventories of tangible assets arising from the enforcement of guarantees received | 8855 | 5373 |
| &nbsp;&nbsp;&nbsp;a) land | 313 | 313 |
| &nbsp;&nbsp;&nbsp;b) buildings | 8542 | 5060 |
| &nbsp;&nbsp;&nbsp;c) furniture |  |  |
| &nbsp;&nbsp;&nbsp;d) electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) other |  |  |
| 2. Other inventories of tangible assets |  |  |
| Total | 8855 | 5373 |
| &nbsp;&nbsp;&nbsp;of which: measured at Fair Value less costs to sell |  |  |

---

The above includes assets received under leasing contracts, which were originally recorded as Investment Property (under IAS 40), and have now been restated as Inventories in accordance with IAS 2 in cases where only minor amounts are involved, and where leasing the properties out is not economically feasible and sale is expected to take place in the next three years.

182 \| Consolidated financial statements as at 30 June 2024

*9.6 Core assets: changes during the year*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Land** | **Buildings** | **Furniture** | **Electronic<br> systems** | **Other** | **Total** |
| A. Gross opening balance | 100239 | 511819 | 82724 | 47235 | 103607 | 845624 |
| &nbsp;&nbsp;&nbsp;A.1 Decreases in total net value |  | (210758) | (54319) | (40745) | (64919) | (370741) |
| &nbsp;&nbsp;&nbsp;A.2 Net opening balance | 100239 | 301061 | 28405 | 6490 | 38688 | 474883 |
| B. Increases: | 16590 | 60581 | 12981 | 3111 | 30091 | 123354 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  | 1673 | 12972 | 3111 | 16121 | 33877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which business combinations |  |  |  |  | 966 | 966 |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized improvement costs |  | 18026 |  |  |  | 18026 |
| &nbsp;&nbsp;&nbsp;B.3 Writebacks | 16589 |  |  |  |  | 16589 |
| &nbsp;&nbsp;&nbsp;B.4 Positive changes in Fair Value allocated to |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit & loss |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Currency exchange gains |  | 13 |  |  | 19 | 32 |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from investment properties |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Other changes | 1 | 40869 | 9 |  | 13951 | 54830 |
| C. Decreases: |  | 79311 | 6798 | 1992 | 17372 | 105473 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  | 5 |  | 123 | 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, business combinations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Depreciation |  | 47122 | 6751 | 1986 | 13641 | 69500 |
| &nbsp;&nbsp;&nbsp;C.3 Impairment losses allocated to |  | 16589 |  |  |  | 16589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit & loss <sup>(1)</sup> |  | 16589 |  |  |  | 16589 |
| &nbsp;&nbsp;&nbsp;C.4 Negative changes in Fair Value allocated to |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit & loss |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Currency exchange losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfers to: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) assets held for investment purposes |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) non-current assets and assets groups held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Other changes |  | 15600 | 42 | 6 | 3608 | 19256 |
| D. Net closing balance | 116829 | 282331 | 34588 | 7609 | 51407 | 492764 |
| &nbsp;&nbsp;&nbsp;D.1 Decreases in total net value |  | (215981) | (60324) | (42696) | (73559) | (392560) |
| &nbsp;&nbsp;&nbsp;D.2 Gross closing balance | 116829 | 498312 | 94912 | 50305 | 124965 | 885324 |
| E. Measured at cost |  |  |  |  |  |  |

---

<sup>(1)</sup> These refer to the property ("La Palmeraie") in Monaco which, as part of a real estate redevelopment project, led to the demolition of the old building, the terminal value of which was attributed to land.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 183

Changes in tangible assets for core purposes also include the right of use acquired from finance leasing operations under IFRS 16. New leases executed during the year amount to €46.7m (shown in row B.7 "Other changes"), while depreciations for rights in use amount to €49.9m (stated in row C.2 "Depreciations").

*9.7 Assets held for investment purposes: changes during the year*

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **Land** | **Buildings** |
| A. Opening Balance | 25253 | 25233 |
| B. Increases |  | 225 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, business combinations |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized improvement costs |  | 225 |
| &nbsp;&nbsp;&nbsp;B.3 Positive changes in Fair Value |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Writebacks |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Currency exchange gains |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from core tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Other changes |  |  |
| C. Decreases |  | 2713 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, business combinations |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Depreciations |  | 1612 |
| &nbsp;&nbsp;&nbsp;C.3 Negative changes in Fair Value |  | 1101 |
| &nbsp;&nbsp;&nbsp;C.4 Write-downs |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Currency exchange losses |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfers to: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) core tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) non-current assets and assets groups held for sale |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Other changes |  |  |
| D. Closing Balance | 25253 | 22745 |
| E. Measured at Fair Value | 59272 | 65773 |

---

These consist of the following properties:

---

| | | | |
|:---|:---|:---|:---|
| | | **Book value Book value per sqm** | |
| <br>**Location of Property** | <br>**Sqm.** | **(€'000)** | <br>**(€'000)** |
| Rome | 10015 | 29319 | 0.3 |
| Lecce | 21024 | 12816 | 1.6 |
| Bologna <sup>(\*)</sup> | 6913 | 4832 | 1.4 |
| Pavia | 2250 | 1031 | 2.2 |
| **Total** | **40202** | **47998** |  |

---

<sup>(\*)</sup> These include warehouses and office facilities.

184 \| Consolidated financial statements as at 30 June 2024

*9.8 Inventory of tangible assets pursuant to IAS 2: changes for the year*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Inventories of tangible assets arising from the** | **Inventories of tangible assets arising from the** | **Inventories of tangible assets arising from the** | **Inventories of tangible assets arising from the** | **Inventories of tangible assets arising from the** | | |
|  | **enforcement of guarantees received** | **enforcement of guarantees received** | **enforcement of guarantees received** | **enforcement of guarantees received** | **enforcement of guarantees received** | | |
|  | **Land** | **Buildings** | **Furniture** | **Electronic<br> systems** | **Other** | **Other**<br>**inventories**<br>**of tangible<br> assets** | <br>**Total** |
| A. Opening Balance | 313 | 5060 |  |  |  |  | 5373 |
| B. Increases |  | 5342 |  |  |  |  | 5342 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Writebacks |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Currency exchange gains |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Other changes |  | 5342 |  |  |  |  | 5342 |
| C. Decreases |  | 1860 |  |  |  |  | 1860 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  | 1350 |  |  |  |  | 1350 |
| &nbsp;&nbsp;&nbsp;C.2 Write-downs |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Currency exchange losses |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Other changes |  | 510 |  |  |  |  | 510 |
| D. Closing Balance | 313 | 8542 |  |  |  |  | 8855 |

---

**SECTION 10**

**Heading 100: Intangible assets**

Intangible assets with indefinite duration consist of Goodwill, Brands and Contracts acquired as part of business combinations, whereas those with definite duration are software programs and client lists similarly acquired in extraordinary transactions. For details on the methods by which Intangible Assets are measured, reference is made to Part A – Accounting Policies.

*10.1 Intangible assets: breakdown by type of asset*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| <br>**Assets/Values** | **Definite life** | **Indefinite life** | **Definite life** | **Indefinite life** |
| A.1 Goodwill | X | 827313 | X | 574550 |
| &nbsp;&nbsp;&nbsp;A.1.1 attributable to the group | X | 827313 | X | 574550 |
| &nbsp;&nbsp;&nbsp;A.1.2 attributable to minority interests | X |  | X |  |
| A.2 Other intangible assets | 75035 | 143084 | 67996 | 154154 |
| &nbsp;&nbsp;&nbsp;of which: software | 52601 |  | 50319 |  |
| &nbsp;&nbsp;&nbsp;A.2.1 Assets measured at cost: | 75035 | 143084 | 67996 | 154154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Intangible assets generated internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Other assets | 75035 | 143084 | 67996 | 154154 |
| &nbsp;&nbsp;&nbsp;A.2.2 Assets measured at Fair Value: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Intangible assets generated internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Other assets |  |  |  |  |
| Total | 75035 | 970397 | 67996 | 728704 |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 185

In line with the strategy of systematic reduction of obsolescence promoted by the Group, a shorter useful life of some IT software emerged when recalculating the useful life of intangible assets with a finite duration, which resulted in additional amortization of €6.8m (under IAS 8 – Revision of Estimates).

*10.2 Intangible assets: changes during the year*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **Other intangible assets** | **Other intangible assets** | **Other intangible** | **Other intangible** | |
|  | | **generated internally** | **generated internally** | **assets: other** | **assets: other** | |
|  | <br>**Goodwill** | **Definite life** | **Indefinite life** | **Definite life** | **Indefinite life** | <br>**Total** |
| A. Gross Opening Balance | 574550 |  |  | 358234 | 154154 | 1086938 |
| &nbsp;&nbsp;&nbsp;A.1 Decreases in total net value |  |  |  | (290238) |  | (290238) |
| &nbsp;&nbsp;&nbsp;A.2 Net opening balance | 574550 |  |  | 67996 | 154154 | 796700 |
| B. Increases | 252763 |  |  | 46379 | 30836 | 329978 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases | 251964 |  |  | 45404 | 29065 | 326433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, business combinations | 251964 |  |  | 8899 | 29065 | 289928 |
| &nbsp;&nbsp;&nbsp;B.2 Increases of internal intangible assets | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Writebacks | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Positive changes in Fair Value |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– to P&L | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Currency exchange gains | 799 |  |  | 100 | 1771 | 2670 |
| &nbsp;&nbsp;&nbsp;B.6 Other changes |  |  |  | 875 |  | 875 |
| C. Decreases |  |  |  | 39340 | 41906 | 81246 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, business combinations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Value adjustments |  |  |  | 38568 | 41906 | 80474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Amortization | X |  |  | 38568 |  | 38568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Write-downs |  |  |  |  | 41906 | 41906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ to P&L |  |  |  |  | 41906 | 41906 |
| &nbsp;&nbsp;&nbsp;C.3 Negative changes in Fair Value: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– to P&L | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Transfer to non-current assets held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Currency exchange losses |  |  |  | 10 |  | 10 |
| &nbsp;&nbsp;&nbsp;C.6 Other changes |  |  |  | 762 |  | 762 |
| D. Net closing balance | 827313 |  |  | 75035 | 143084 | 1045432 |
| &nbsp;&nbsp;&nbsp;D.1 Adjustment of net total values |  |  |  | (317016) |  | (317016) |
| E. Gross closing balance | 827313 |  |  | 392051 | 143084 | 1362448 |
| F. Measurement at cost |  |  |  |  |  |  |

---

186 \| Consolidated financial statements as at 30 June 2024

**Information on intangible assets and goodwill**

It should be noted that the purchase of a controlling stake (100% of Interest A) in the English company Arma Partners LLP was completed on 2 October. The latter, in turn, wholly owns Arma Partners Corporate Finance Ltd (UK) and Arma Deutschland GmbH (Germany).<sup>(48)</sup> The Purchase Price Allocation process led to stating a brand value of £24.6m and a customer relationship worth £5.3m(useful life of 7 years); taking into account UK taxation (25% rate) and an initial net equity of zero (in light of the nature of the partnership), the residual goodwill amounted to £209m (converted to €246.9m).

Last October 16, Compass Banca S.p.A. acquired 100% of the share capital of Heidi Pay Switzerland AG, a fintech platform supporting BNPL in Switzerland, from Heidi Pay AG (of which Compass holds 19.5%). The Purchase Price Allocation process led to stating a customer relationship worth CHF2.5m (useful life of 10 years); taking into account taxation (15% rate) and net equity (€0.1m), the residual goodwill amounted to CHF4.9m (converted to €5m).

With regard to RAM Active Investments, in view of the uncertainties related to the company's prospects, it was deemed appropriate to infer the brand's recoverable value on the basis of the amount resulting from the Fair Value measurement of CHF11.5m (calculated on an annual budget rather than a multi-year plan), with a write-down of intangibles equal to CHF30.4m (€31.7m).

Finally, with regard to Messier & Associés, in view of contingencies arising from the end of the deferred component release period and from the revision of the Put & Call agreements with the Founding Partner, it was deemed prudent to align the brand value (carrying value of €27.2m in the consolidated statements) to the statutory value (€17m) with a write-down of the intangibles equal to €10.2m.

<sup>(48)</sup> Arma was established as a Limited Liability Partnership and the contractual agreements provide for two types of shareholdings: Interest "A" - assigned to Mediobanca - which give the right to receive an initial percentage of 30% (35% from the fourth year) of Arma's distributable profit, calculated as a fixed percentage of revenues in addition to governance rights sufficient to ensure full line-by-line consolidation and holding control from a legal, regulatory and accounting point of view; Interest "B" shares, which are held by the Partners and give them the right to receive the residual percentage of Arma's distributable profit (gross earnings of the company after the share due to partner A), in addition to certain governance rights with a specific impact on the Partners' economic rights.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 187

A table summarizing the effects of the PPA process for all the acquisitions carried out by the Group over years is shown below:

*Table 1: Summary of PPA effects: ITALIAN acquisitions*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Linea** | **IFID** | **Spafid<br> Connect** | **Barclays <sup>(\*)</sup>** | **Esperia** | **Soisy** |
| Acquisition date | 27 June 2008 | 1 August 2014 | 18 June 2015 | 26 August 2016 | 6 April 2017 | 10 October 2022 |
| Price paid | 406938 | 3600 | 5124 | (240000) | 233920 | 5999 |
| &nbsp;&nbsp;&nbsp;of which: ancillary charges | 2000 | 200 |  |  |  |  |
| Liabilities |  |  |  | 80000 |  |  |
| Finite life intangible assets | (44200) | (700) | (3250) | (26000) | (4508) | (1056) |
| &nbsp;&nbsp;&nbsp;no. of years amortization | 8 | 7 | 10 | 5 | 5 | 5 |
| Trademarks | (6300) |  |  |  | (15489) |  |
| Fair Value adjustments |  |  |  | 84200 | 11232 |  |
| Imbalance of other assets (liabilities) | (2659) | 420 | (466) | 98300 | (176585) | 1152 |
| Tax effects | 12155 | 220 | 934 | 3500 | 6613 | 349 |
| **Total goodwill** | **365934** | **3540** | **2342** | **—** | **55183** | **6444** |

---

<sup>(\*)</sup> The deal generated badwill.

*Table 1: Summary of PPA effects: NON-ITALIAN acquisitions*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |<br>**Cairn** |<br>**<sub>RAM</sub> (1)** |<br>**MMA** |<br>**Bybrook**<br>**(Cairn) <sup>(2)</sup>** | **Arma**<br>**Partners**<br> **LLP** |<br>**Heidi Pay**<br>**Switzerland** |
| Acquisition date | 31 December 2015 | 28 February 2018 | 11 April 2019 | 31 August 2021 | 2 October 2023 | 16 October 2023 |
| Currency | GBP | CHF | EURO | GBP | GBP | CHF |
| Price consideration | 24662 | 164732 | 107856 | 66900 | 220000 | 3000 |
| &nbsp;&nbsp;&nbsp;of which: ancillary charges |  |  |  |  |  |  |
| Liabilities | 20813 | 46850 | 54540 |  | 11400 | 4098 |
| Intangible assets, indefinite life |  |  |  | (58903) | (24600) |  |
| Finite life intangible assets |  | (2398) | (11330) | (8455) | (5300) | (2530) |
| &nbsp;&nbsp;&nbsp;no. of years amortization |  | 5 | 8 | 10 | 7 | 10 |
| Trademarks |  | (37395) | (10230) |  |  |  |
| Fair Value adjustments |  |  |  |  |  |  |
| Imbalance of other assets (liabilities) | (8345) | (6853) | (13353) | (3759) |  | (96) |
| Tax effects |  | 7163 | 6684 | 15934 | 7500 | 380 |
| **Total goodwill** | **37130** | **172099** | **134167** | **11718** | **209000** | **4852** |

---

<sup>(1)</sup> All amounts are calculated pro rata (89.25%) acquired at the acquisition date.

 

<sup>(2)</sup> Bybrook's business and shares were acquired by Polus Capital Management (formerly Cairn Capital), in which Mediobanca S.p.A. holds an 89.07% stake.

The situation for the Group's other main acquisitions is as follows:

the Linea transaction (June 2008) generated goodwill of €365.9m, which is now the only amount still recorded in the books following the write-off of the brands with the useful life of the intangible assets having ended;

188 \| Consolidated financial statements as at 30 June 2024

the deal to acquire Barclays' Italian business unit (August 2016) required the seller to pay negative goodwill of €240m, which in the purchase price allocation process was treated as a contingent liability in an amount of €59m (linked to the restructuring process) and loan loss provisions for mortgages totalling €21m, roughly half of which for non-performing exposures. Taking account intangible assets with time-limited life of €26m related to a list of clients with AUM and AUA (fully amortized), the bargain purchase generated a gain of €98.3m, most of which was absorbed by the one-off costs related to integrating the Barclays' geographical and IT networks into CheBanca! <sup>(49)</sup> (approximately €80m);

the acquisition of 50% of Banca Esperia shares held by Banca Mediolanum (April 2017) through payment of €141m resulted in goodwill of €52.1m divided into the Private Banking CGU (€29.4m) and the MidCap CGU (€22.7m); the portion of goodwill for trust services transferred to Spafid (€3.1m) was subsequently written off; a trademark of €15.5m linked to the Private Banking activity should be added to this, while the customer relationship (originally valued at €4.5m) was fully amortized.

the acquisition of 69.4% of RAM AI (February 2018) led to a trademark with an indefinite life worth CHF41.9m and a customer relationship worth CHF2.7m (fully amortized). Residual goodwill worth CHF 172.1m included the liability in respect of the put-and-call option valued at CHF 46.9m. In the following years, goodwill was progressively written down until it was completely eliminated last year. At 30 June 2024, the brand's recoverable value was aligned to its Fair Value using the method based on estimates of comparable brand values, i.e. CHF 11.5m (converted into €11.9m). A write-down of CHF 30.4m was thus carried out. Put&call agreements remained in place on 2% of the capital, whose value was equal to CHF 1.1m.

a stake of 66.4% of the share capital of Messier Maris & Associés – MMA (April 2019), was acquired at a price of €107.9m, settled with 11,600,000 Mediobanca shares in portfolio (1.3% of the share capital). A Put & Call agreement was also executed, exercisable as from the fifth year following the acquisition, that allowed the interest acquired to rise to 100%. In conjunction with the deal closing, the brand was transferred at a value of €17m, which was increased to €27.2m following the PPA process, along with a customer relationship worth €11.3m to be amortized over eight years, which reduced the goodwill to €134.2m. During financial year 21/22, the

<sup>(49)</sup> Now called Mediobanca Premier

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 189

company was affected by the exit of one of the two founding partners, a circumstance that, according to the original agreements, led to activating a clawback clause on escrow and Put & Call shares. Overall extraordinary income of €41m was thus generated and was fully offset by adjusting goodwill in the same amount. Last December, the deferred component Release Period ended with a recovery of approximately €3m compared to the estimated acquisition amount. The Put & Call contract with the founding partner was also renegotiated, providing for the liquidation of €7m per year for the next three years. This negotiation involved a liability adjustment, including the discounting effect of approximately €7.3m (through profit or loss). This contingency was offset by the alignment of the consolidated brand value (€27.2m) to the statutory value (€17m). As at 30 June 2024, goodwill recognized in the financial statements amounted to €93.2m while the liability amounted to €20.5m;

the acquisition of 51% of Cairn Capital (December 2015) at a price of £24.7m together with a Put & Call agreement on the remaining 49% valued at £20.8m, which determined a goodwill of £37.1m; subsequently the Bybrook Capital LLP transactions was finalized (August 2021). This is a manager that specializes in distressed Assets, as part of a transaction that, on the one hand, involved the takeover of the Revenue Sharing Agreement ("RSA") in place with an institutional investor and, on the other, the acquisition from the two founding partners (consideration of £43.3m, of which £18.1m in cash and £25.2m in new Polus shares - D Shares - representing 21.86% of the company on half of which a Put & Call agreement with Mediobanca was provided). Both transactions were incorporated into the current CGU Polus Capital Management Limited, which included new intangible assets relating to asset management contracts of £67.4m (of which £58.9m with an indefinite life and £8.5m with a finite life to be amortized over 10 years, with a terminal value of £6.1m); deferred tax liabilities of £15.9m; total goodwill of £48.8m; Put & Call liabilities (relating to the remaining class B shareholders formerly Cairn and class D, formerly Bybrook) of £34.5m, including the discounting effect, remained in place.

the acquisition by Compass of 100% of Soisy S.p.A at a price of €6m; the Purchase Price Allocation process led to a customer relationship with a finite useful life worth €1.1m (amortization in 5 years), while the residual goodwill amounted to €6.4m.

190 \| Consolidated financial statements as at 30 June 2024

Finally, as mentioned above, the acquisitions of Arma Partners and HeidiPay Switzerland and related Purchase Price Allocation processes were completed during the year under review.

\* \* \*

The tables below show a list of the intangible assets acquired as part of M&A transactions and summarizing the goodwill recognized in the accounts as broken down both by deal and cash-generating unit (CGU).

*Table 2: Other intangible assets acquired as a result of extraordinary transactions*

---

| | | | |
|:---|:---|:---|:---|
| **Type** | **Deal** | **30 June 2024** | **30 June 2023** |
| Customer relationship |  | 91911 | 86304 |
|  | CMB | 2613 | 3263 |
|  | Bybrook/Polus <sup>(1)</sup> | 76753 | 76673 |
|  | Messier et Associés | 3896 | 5312 |
|  | Soisy | 634 | 1056 |
|  | HeidiPay Switzerland | 2429 |  |
|  | Arma Partners LLP | 5586 |  |
| Trademarks |  | 56490 | 68525 |
|  | MB Private Banking | 15489 | 15489 |
|  | RAM Active Investments <sup>(1)</sup> | 11936 | 42806 |
|  | Messier et Associés |  | 10230 |
|  | Arma Partners LLP | 29065 |  |
| **Total PPA intangible assets** |  | **148401** | **154829** |

---

<sup>(1)</sup> Increase entirely attributable to the currency exchange effect.

*Table 3: Goodwill*

---

| | | |
|:---|:---|:---|
| **Deal** | **30 June 2024** | **30 June 2023** |
| Consumer credit | 377415 | 372378 |
| – of which Soisy | 6444 | 6444 |
| – of which: Compass-Linea | 365934 | 365934 |
| – of which: Heidi Pay Switzerland | 5037 |  |
| Polus Capital Management <sup>(1)</sup> | 57715 | 56916 |
| MB Private Banking | 52103 | 52103 |
| Messier et Associés | 93153 | 93153 |
| Arma Partners LLP | 246927 |  |
| **Total goodwill** | **827313** | **574550** |

---

<sup>(1)</sup> Increase entirely attributable to the currency exchange effect.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 191

*Table 4: Summary of Cash Generating Units*

---

| | | |
|:---|:---|:---|
| **CGU** | **30 June 2024** | **30 June 2023** |
| Consumer credit | 377415 | 372378 |
| – of which Soisy | 6444 | 6444 |
| – of which: Compass-Linea | 365934 | 365934 |
| – of which: Heidi Pay Switzerland | 5037 |  |
| Polus Capital Management <sup>(1)</sup> | 57715 | 56916 |
| MB Mid corporate | 22650 | 22650 |
| MB Private Banking | 29453 | 29453 |
| Messier et Associés | 93153 | 93153 |
| Arma Partners LLP | 246927 |  |
| **Total goodwill** | **827313** | **574550** |

---

<sup>(1)</sup> Increase entirely attributable to the currency exchange effect.

**Information on impairment testing**

As stated in the Accounting Policies section, IAS 36 requires any loss of value, or impairment, of individual tangible and intangible assets to be tested at least once a year, in preparing the annual financial statements, or more frequently if events or circumstances occur which suggest that there may have been a reduction in value.

If it is not realistically possible to establish the recoverable value of the individual asset directly, the standard allows the calculation to be made based on the recoverable value of the cash-generating unit, or CGU, to which the asset belongs. A CGU is defined as the smallest identifiable group of assets able to generate cash flows that do not present synergies with the other parts of the company, and may be considered separately and sold individually.

In order to establish the recoverable value relative to the book value at which the asset is recognized in the accounts, reference is made to the higher of the Fair Value of such asset (net of any sales costs) and its value. In particular, value in use was obtained by discounting the expected future cash flows from an asset or from a cash generating unit; cash flow projections must reflect reasonable assumptions and must therefore be based on recent budgets/forecasts approved by the Company's governing bodies; furthermore, assets must be discounted at a rate that includes the current cost of money and the specific risks associated with the business activity.

192 \| Consolidated financial statements as at 30 June 2024

The Group adopted a policy, which was recently updated to refine the valuation methods of recognized intangibles, in particular with reference to the valuation of brands and intangibles with a finite life, which regulates the impairment test process and incorporates the guidelines issued by *Organismo Italiano di Valutazione* (OIV, Italian Valuation Body), the suggestions of the ESMA<sup>(50)</sup> and the Recommendations of national regulators.<sup>(51)</sup>

The recoverable value for goodwill has been estimated using the dividend discount model methodology, with the excess capital version applied which is commonly employed by financial institutions for this purpose for capital-intensive CGUs.

The cash flows have been projected over a time horizon of three years, based on the Group's strategic plans and the annual budgets formulated by the management of the individual CGUs concerned.

To estimate the cost of equity, which is determined via the Capital Asset Model (CAPM) in accordance with IAS 36, certain parameters common to all CGUs have been used, namely:

– the risk-free rate which corresponds to the remuneration of exempt or minimum risk investments over a recent period of time not exceeding one year. In practice, it is generally identified with the yield on government bonds of the country in which the asset being valued resides;

– the market risk premium, i.e. the reward which investors require in order to increase the risk on their investments. Continuing the work done in the previous financial year, management used an unseparated equity risk premium equal to the premium for the US stock market risk estimated

<sup>(50)</sup> European Security and Markets Authority (ESMA): "European common enforcement priorities for 2013 financial statements", emphasizing the specific aspects of the impairment testing for goodwill and intangibles asset; and Public Statement of 28 October 2020, "European common enforcement priorities for 2020 annual financial reports", in which all issuers are invited to pay particular attention to the effects of the Covid-19 pandemic.

<sup>(51)</sup> Joint Bank of Italy, Consob and ISVAP (now IVASS) document no. 3, of 3 March 2010, which requires, among other things, that the financial statements of listed companies (annual and interim reports) should contain more detailed disclosure on how goodwill, other intangibles with indefinite useful life, and equity investments are valued, providing a description of the methodologies and indicators used which must be submitted to formal and deliberate approval by the Board of Directors; Joint Bank of Italy, Consob and ISVAP (now IVASS) document no. 8, containing guidance on the valuation of fund stock units to be applied in measuring holdings in funds at fair value; Consob communication no. DIE/17131 of 3 March 2014, containing guidance on the timescales for carrying out impairment testing, and the duties and responsibilities of the management body in this process; Consob communication no. 3907 of 19 January 2015, laying down guidelines with which listed companies must comply to ensure high quality disclosure on the issue of impairment; Consob "Warning notice" no. 8/20 of 16 July 2020, no. 6/20 of 9 April 2020, and no. 1/21 of 16 February 2021, concerning: "Covid-19 - Warning notice on financial reporting", which draws the attention of the members of governing and control bodies and financial reporting officers to the need to observe the principles that govern the production process of the financial reporting taking into account of the impacts that the effects due to the pandemic may have with reference, among other things, to the valuations of non-financial assets (referred to as Impairment Test), IOSCO (International Organization of Securities Commissions) document containing "Recommendations on Accounting for Goodwill", published in December 2023, which requires issuers: i) to support their assumptions used for impairment testing purposes (also by emphasizing external evidence), ii) maintain consistency between the assumptions used for the impairment testing purposes and the assumptions used for the purpose of drawing up non-financial plans (such as energy transition plans) and iii) enter into a commitment to provide disclosure in the financial statements as to their actions.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 193

according to a historical data series by the New York University - Stern School of Business, based on the difference between the return of the American stock market compared to return of the bond market since 1928 (geometric mean);

the growth rate (g), to calculate the terminal value, using the so-called "perpetuity" methodology, established taking into account the inflation rate expected over the long term in the country where the specific CGU is based; in some cases, however, other factors are also considered, such as the real growth scenario in the sector where the CGU operates;

the *Beta* parameter is different for different types of business estimated according to trends in the data series of returns for sample groups of listed companies comparable to those being valued and the respective data series of returns of market indices of the countries in which the companies are listed.

It should also be emphasized that in calculating the cost of equity (Ke), account must also be taken of risk specific to the CGU, if any, through an additional risk premium (alpha coefficient/factor) to take into account (specific and/or systematic) risk factors not perceived in the flows and/or not fully reflected by the underlying CAPM indicators. Senior management opted to increase the estimates of the opportunity cost of capital for all CGUs, except for the Consumer Banking CGU, by at least 1.50%. With regard to RAM and Polus, management opted to apply a higher additional risk premium of 3.20%, in consideration of the risk inherent in the Plan.

*Table 5: Cost of equity parameters per CGU*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**CGU** |<br>**Risk-free rate**<br>**Rf** | **Equity risk**<br>**premium**<br>**Erp** |<br>**Beta 2y**<br>**b** |<br>**Coefficient**<br>**a** |<br>**Cost of equity**<br>**Ke** | **Expected**<br>**growth rate**<br>**g** |
| Consumer credit | 3.95 | 5.23 | 1.03 |  | 9.35 | 2 |
| MB Private Banking | 3.95 | 5.23 | 1.03 | 1.50 | 10.84 | 2 |
| MB Mid corporate | 3.95 | 5.23 | 1.14 | 1.50 | 11.41 | 2 |
| Polus Capital Management | 4.14 | 5.23 | 1.23 | 3.20 | 13.78 | 2 |
| RAM Active Investments | 0.71 | 5.23 | 1.23 | 3.20 | 10.34 | 1.93 |
| Messier et Associés | 3.16 | 5.23 | 1.14 | 1.50 | 10.63 | 1.71 |
| Arma Partners LLP | 4.14 | 5.23 | 1.14 | 1.50 | 11.61 | 2 |

---

194 \| Consolidated financial statements as at 30 June 2024

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**CCGU** |<br>**Risk-free rate**<br>**Rf** | **Equity risk**<br>**premium**<br>**Erp** |<br>**Beta 2y**<br>***b*** | **** |<br>**Coefficient**<br>***a*** | **** |<br>**Cost of equity**<br>***Ke*** | **** | **Expected**<br>**growth rate**<br>***g*** |
| Consumer credit | 4.08 | 5.06 | 1.13 |  |  |  | 9.79 |  | 2 |
| MB Private Banking | 4.08 | 5.06 | 1.04 |  | 1.50 |  | 10.85 |  | 2 |
| MB Mid corporate | 4.08 | 5.06 | 0.97 |  | 1.50 |  | 10.47 |  | 2 |
| Polus Capital Management | 4.31 | 5.06 | 1.15 |  | 3.20 |  | 13.32 |  | 2 |
| RAM Active Investments | 0.92 | 5.06 | 1.15 |  | 3.20 |  | 9.93 |  | 1.9 |
| Messier et Associés | 2.92 | 5.06 | 0.97 |  | 1.50 |  | 9.32 |  | 1.6 |

---

Compared to the previous year, the Cost of Equity of all CGUs, with the exception of the Consumer and Private Banking CGUs, was higher due to an increase in the Equity Risk Premium (approximately 20 bps) and the beta. Risk-free rates (calculated - in line with the previous year - as an average over 1 month at the impairment test date of the daily yields at maturity of the 10-year government benchmarks where the CGU being valued is located) remained at a high level despite restrictive monetary measures to contain inflation pursued by the main Central Banks, while suffering a slight drop; the risk-free rate in Italy went from 4.08% to 3.95%, while only for France there was an increase from 2.92% to 3.16%. With regard to the Equity Risk Premium, the reference for all the CGUs was the long-term historical average of the risk premiums observed in the US market (i.e. 5.23%) as representative of the premium associated with the global investment in the market stock. The Betas were all up except for the Consumer and Private Banking CGUs of Mediobanca, both of which stood at 1.03. Finally, the growth rate (g), equal to the expected long-term inflation rate in the countries of residence of the CGUs, was set at 2% for Italy and the UK, at 1.93% for Euro Area, and 1.71% for France.

The adoption of the valuation formula requires estimating the present value of the expected flows of each CGU beyond the explicit forecast period (the plan period) which defines the so-called *Terminal Value.* With regard to Terminal Value, it should be noted that it was obtained by capitalizing the average of distributable profits over the last two or three years of the Plan, which, on a prudential basis, was considered the value that best reflected a normalized cash flow that took into account the income prospects of individual CGUs according to an across-the-cycle approach. The only two exceptions were the Consumer CGU, for which the distributable profit in the last year of the Plan was used as it was lower than the average value, and by the CGU Messier & Associés, for which it was deemed appropriate to use the historical average in order to normalize the volatility of its business.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 195

All of the Group's CGUs passed the impairment test as their value in use exceeded the carrying amount taking into account any account undertaken during the year.

This situation is borne out by the sensitivity analysis conducted on the following variables:

Cost of equity +/- 0.25%, with an overall increase and decrease of up to 50 bps;

Long-term growth rate +/- 0.20%, with an overall increase and decrease of up to 60 bps;

Flow distributable at terminal value +/-5%, with an overall increase and decrease of up to 10%;

Regarding the brands, valuations were newly made based on the royalty relief method, whereby the brand's value is obtained from the discounted value of the income deriving from it, which in turn is estimated as the product of the royalty rate implied in the valuations of the respective brands made during the PPA process (Business Combinations under IFRS 3) and the value of the operating income. The terminal value of the Private Banking (€15.5m), RAM (€11.9m) and Messier et Associés (€17m) brands were confirmed.

Moreover, a further impairment test (referred to as Level 2 impairment test) was carried out by verifying whether the value in use of the various operating segments (Consumer Banking, Wealth Management and Corporate and Investment Banking), taking into account the allocation of all the corporate costs of the Holding Functions, was higher than the respective carrying amount, computed as the sum of absorbed regulatory capital integrated with goodwill and other allocated intangibles. The impairment test was passed by all three operating segments.

Lastly, an analysis of the fairness of the Group's value - obtained as the sum of parts - and the stock market prices and target prices stated by financial analysts was conducted. With regard to the performance of stock market prices and the Price to Book value indicator, it should be noted that at the closing date of the financial year (30 June 2024) the stock was listed at €13.7, in line with the Group's net equity per share.

\* \* \*

196 \| Consolidated financial statements as at 30 June 2024

**SECTION 11**

**Assets heading 110 and liabilities heading 60: Tax assets and liabilities**

*11.1 Advance tax assets: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| – Against Profit and Loss | 383359 | 493245 |
| – Against Net Equity | 20754 | 31136 |
| **Total** | **404113** | **524381** |

---

All advance taxes qualifying as "ineligible" were subjected to a "probability test", i.e. an annual assessment as to the probability of recovering them, taking into account whether they fall within the scope of the National Tax Consolidation of the companies to which they refer.

In this regard, it should be noted that:

– the estimate of the forecast taxable income for the periods beyond the time horizon of individual business plans was made on a prudential basis, assuming the opening result to be substantially consistent with that of the previous financial year;

– temporary decreases were examined by using the above period for decreases whose release period is governed by regulatory provisions, while a time horizon of 5 or 10 years was used for other cases depending on the type of item.

Taking into account the Group's and the individual entities' forward-looking plans, the above analyses confirmed the "probability of recovery" of such decreases while applying the prudential corrections described above and taking into account the large income-earning capacity demonstrated by the Group in its long history.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 197

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| A – Gross advance tax assets | 404113 | 524381 |
| &nbsp;&nbsp;&nbsp;Loan loss provisions <sup>(\*)</sup> | 242217 | 341798 |
| &nbsp;&nbsp;&nbsp;Provisions for sundry risks and charges | 15194 | 20531 |
| &nbsp;&nbsp;&nbsp;Goodwill and other intangible assets <sup>(\*\*)</sup> | 99787 | 106198 |
| &nbsp;&nbsp;&nbsp;Financial instruments recognized at FVOCI | 22367 | 30935 |
| &nbsp;&nbsp;&nbsp;Tax losses | 1029 | 582 |
| &nbsp;&nbsp;&nbsp;Other | 23519 | 24337 |
| B – Offset by deferred tax liabilities |  |  |
| C – Net advance tax assets | 404113 | 524381 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Among other figures, this item includes: i) prepaid taxes recognized on write-downs and losses on loans to customers, which will be absorbed by 30 June 2029 according to the plan pursuant to Article 16 of Law-Decree No. 83/2015, as amended; ii) prepaid taxes recognized on the components allocated to the provision for expected credit losses upon IFRS 9 FTA, which will be absorbed in tenths by 30 June 2029. |

---

---

| | |
|:---|:---|
| <sup>(\*\*)</sup> | This figure mainly includes goodwill redemptions on the Compass / Linea merger transaction (€93.3m), of which €15.3m pursuant to Article 176 of Presidential Decree No. 917/1986 and €78m in implementation of the provisions of Article 110 of Law-Decree No. 104/2020 with an amortization period of 18 years. |

---

*11.2 Deferred tax liabilities: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023 <sup>(\*)</sup>** |
| – Against Profit and Loss | 280972 | 286804 |
| – Against Net Equity | 108793 | 163620 |
| **Total** | **389765** | **450424** |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

*11.3 Changes in advance tax during the period (against profit and loss)*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Opening balance | 493245 | 559819 |
| 2. Increases | 23950 | 18432 |
| &nbsp;&nbsp;&nbsp;2.1 Prepaid taxes recorded during the year | 21543 | 18127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) write-backs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other | 21543 | 18127 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 2407 | 305 |
| 3. Decreases | 133836 | 85006 |
| &nbsp;&nbsp;&nbsp;3.1 Prepaid taxes derecognized during the year | 127563 | 72178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 126555 | 70617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) write-downs due to non-recoverable items |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other | 1008 | 1561 |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases: | 6273 | 12828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) conversion into tax receivables pursuant to Italian Law No. 214/2011 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) other | 6273 | 12828 |
| 4. Closing balance | 383359 | 493245 |

---

198 \| Consolidated financial statements as at 30 June 2024

*11.4 Changes in prepaid taxes pursuant to Italian Law No. 214/11* <sup>(\*)</sup>

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Opening balance | 342562 | 400281 |
| 2. Increases |  |  |
| 3. Decreases | 109671 | 57719 |
| &nbsp;&nbsp;&nbsp;3.1 Reversals | 103474 | 49384 |
| &nbsp;&nbsp;&nbsp;3.2 Conversion into tax receivables deriving from: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) losses for the year |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) tax losses |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 6197 | 8335 |
| 4. Closing balance | 232891 | 342562 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Italian Law-Decree No. 59 of 29 April 2016 on deferred tax assets pursuant to Italian Law No. 214/2011, as amended by Italian Law-Decree No. 237 of 23 December 2016, enacted with amendments as Law No. 15/2017, provides that in order to be able to retain the right to take advantage of the possibility of converting DTAs into tax credits, an irrevocable option must be specifically exercised, which involves payment of an annual instalment equal to 1.5% of the difference between the increase in advance tax assets at the reporting date since 30 June 2008 and the tax paid during the same period each year until 2029. Mediobanca has exercised this option in order to retain the possibility of converting DTAs for all companies adhering to the tax consolidation. No payment will be due in this respect, however, given that the payments made to the tax consolidation exceed the increase in DTAs recorded since 30 June 2008. |

---

*11.5 Changes in deferred taxes (against profit and loss)*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023 <sup>(\*)</sup>** |
| 1. Opening balance | 286804 | 302098 |
| 2. Increases | 10110 | 1092 |
| &nbsp;&nbsp;&nbsp;2.1 Deferred taxes for the year | 3126 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 3126 | 102 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 6984 | 990 |
| 3. Decreases | 15942 | 16386 |
| &nbsp;&nbsp;&nbsp;3.1 Deferred taxes derecognized in the year | 9125 | 15842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 4744 | 14780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 4381 | 1062 |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 6817 | 544 |
| 4. Closing balance | 280972 | 286804 |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 199

*11.6 Changes in prepaid taxes during the period (against net equity)* <sup>(\*)</sup>

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Opening balance | 31136 | 37148 |
| 2. Increases | 87373 | 161046 |
| &nbsp;&nbsp;&nbsp;2.1 Prepaid taxes recorded during the year | 87173 | 160947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 87173 | 160947 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 200 | 99 |
| 3. Decreases | 97755 | 167058 |
| &nbsp;&nbsp;&nbsp;3.1 Prepaid taxes derecognized during the year | 97568 | 165537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 97020 | 164409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) write-downs due to non-recoverable items |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other | 548 | 1128 |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 187 | 1521 |
| 4. Closing balance | 20754 | 31136 |

---

<sup>(\*)</sup> Tax deriving from cash flow hedges and valuations of financial instruments recognized at Fair Value through Other Comprehensive Income.

*11.7 Changes in deferred taxes (against net equity)*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023 <sup>(\*)</sup>** |
| 1. Opening balance | 163620 | 100421 |
| 2. Increases | 169921 | 147139 |
| &nbsp;&nbsp;&nbsp;2.1 Deferred taxes for the year | 161078 | 135086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies | 86 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 160992 | 135086 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases | 8843 | 12053 |
| 3. Decreases | 224748 | 83940 |
| &nbsp;&nbsp;&nbsp;3.1 Deferred taxes derecognized in the year | 224407 | 78079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 224407 | 78079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases | 341 | 5861 |
| 4. Closing balance | 108793 | 163620 |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

200 \| Consolidated financial statements as at 30 June 2024

**SECTION 12**

**Assets heading 120 and Liability heading 70: Non-current assets and asset groups held for sale and related liabilities**

&nbsp;&nbsp;&nbsp;&nbsp;*12.1* *Non-current assets and disposal groups classified as held for sale: breakdown by asset type* 

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| A. Assets held for sale |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Financial assets |  | 242164 |
| &nbsp;&nbsp;&nbsp;A.2 Equity investments |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Tangible assets |  | 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: obtained by enforcement of collateral |  |  |
| &nbsp;&nbsp;&nbsp;A.4 Intangible assets |  | 195 |
| &nbsp;&nbsp;&nbsp;A.5 Other non-current assets |  | 9523 |
| Total (A) |  | 251987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which carried at cost |  | 251987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which designated at Fair Value - level 1 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which designated at Fair Value - level 2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which designated at Fair Value - level 3 |  |  |
| C. Liabilities associated with assets held for sale |  |  |
| &nbsp;&nbsp;&nbsp;C.1 Debts |  | 2149 |
| &nbsp;&nbsp;&nbsp;C.2 Securities |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Other liabilities |  | 5985 |
| Total (C) |  | 8134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which carried at cost |  | 8134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which designated at Fair Value - level 1 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which designated at Fair Value - level 2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which designated at Fair Value - level 3 |  |  |

---

The figure at 30 June 2023 regarded the assets and liabilities of the subsidiary Revalea S.p.A., the sale of which was concluded in October 2023 and with which financing positions expiring in 2027 were kept in progress.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 201

**SECTION 13**

**Heading 130: Other assets**

*13.1 Other assets: breakdown*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| 1. Gold, silver and precious metals | 695 | 695 |
| 2. Accrued income other than capitalized income on the related assets | 70009 | 71130 |
| 3. Trade receivables or invoices to be issued | 315625 | 237258 |
| 4. Amounts due from tax revenue authorities (not recorded under Heading 110) | 380295 | 351639 |
| 5. Other items: | 401369 | 254811 |
| &nbsp;&nbsp;&nbsp;– bills for collection | 240727 | 69933 |
| &nbsp;&nbsp;&nbsp;– amounts due in respect of premiums, grants, indemnities, and other items in respect of lending transactions | 7692 | 23986 |
| &nbsp;&nbsp;&nbsp;– advance payments on deposit commissions | 2447 | 2475 |
| &nbsp;&nbsp;&nbsp;– other items in transit | 85149 | 87850 |
| &nbsp;&nbsp;&nbsp;– sundry other items <sup>(1)</sup> | 65354 | 70567 |
| Total other assets | 1167993 | 915533 |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

<sup>(1)</sup> This includes accrued income.

This item, as required by the Bank of Italy/Consob/IVASS Document No. 9,<sup>(52)</sup> includes tax credits (eco-bonuses) recorded in the financial statements in compliance with the so-called Group tax ceiling. The book value was €152m (€185m as at 30 June 2023); in detail, purchases during the calendar year 2023 amounted to €20m, while receivables offset against tax liabilities of the individual entities amounted to €59m. The nominal value as at 30 June 2024 was €165m, of which €121m referable to the 'Superbonus 110' discount pursuant to Article 119 of Law-Decree No. 34/2020, which may be offset in the next 3 years.

<sup>(52)</sup> The Bank of Italy/Consob/Ivass Document No. 9 - Coordination table between the Bank of Italy, Consob and IVASS for the purpose of adopting the IAS/IFRS Accounting treatment of tax credits connected with the "Cura Italia" and "Rilancio" Law-Decrees purchased following the transfer by the direct beneficiaries or previous purchasers indicates the item "Other assets" as the most appropriate to receive the tax credits referred to in the "Cura Italia" and "Rilancio" Law-Decrees.

202 \| Consolidated financial statements as at 30 June 2024

**Liabilities**

**SECTION 1**

**Heading 10: Financial liabilities measured at amortized cost**

&nbsp;&nbsp;&nbsp;&nbsp;*1.1* *Financial liabilities measured at amortized cost: product breakdown of amounts due to banks* 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Total** | **Total** | | | **Total** | **Total** | |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Transaction Type/Values** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** |
| 1. Due to Central Banks | 1313202 | X | X | X | 5634137 | X | X | X |
| 2. Amounts due to banks | 9648913 | X | X | X | 7640952 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Current accounts and demand deposits | 278565 | X | X | X | 268655 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.2 Term deposits | 16493 | X | X | X | 68864 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.3 Loans | 9331957 | X | X | X | 7125681 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3.1 Repos | 5342646 | X | X | X | 3467320 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3.2 Other | 3989311 | X | X | X | 3658361 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.4 Liabilities in respect of equity commitments to repurchase own instruments |  | X | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2.5 Lease liabilities <sup>(1)</sup> | 745 | X | X | X | 228 | X | X | X |
| &nbsp;&nbsp;&nbsp;2.6 Other liabilities | 21153 | X | X | X | 177524 | X | X | X |
| Total | 10962115 |  | 10962115 |  | 13275089 |  | 13275089 |  |

---

<sup>(1)</sup> This item includes obligations in respect of payment of future leasing instalments as required by IFRS 16 and Bank of Italy circular no. 262 – VI Update.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 203

*1.2 Financial liabilities measured at amortized cost: composition of due to customers*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Transaction Type/Values** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** |<br>**Book value** | **Level 1** | **Level 2** | **Level 3** |
| 1. Current accounts and on demand deposits | 18725078 | X | X | X | 17795987 | X | X | X |
| 2. Term deposits | 10290506 | X | X | X | 11712096 | X | X | X |
| 3. Loans | 4792458 | X | X | X | 649255 | X | X | X |
| &nbsp;&nbsp;&nbsp;3.1 Repos | 4754334 | X | X | X | 614310 | X | X | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 38124 | X | X | X | 34945 | X | X | X |
| 4. Liabilities in respect of commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| 5. Lease liabilities <sup>(1)</sup> | 212155 | X | X | X | 216381 | X | X | X |
| 6. Other liabilities <sup>(2)</sup> | 84351 | X | X | X | 376883 | X | X | X |
| Total | 34104548 |  | 34104548 |  | 30750602 |  | 30750602 |  |

---

<sup>(1)</sup> This item includes obligations in respect of payment of future leasing instalments as required by IFRS 16 and Bank of Italy circular no. 262 – VI Update.

<sup>(2)</sup> The item included liabilities related to the purchase of MBFACTA's unfunded loans.

*1.3 Financial liabilities measured at amortized cost: composition of debt securities in issue*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair Value <sup>(\*)</sup>** | **Fair Value <sup>(\*)</sup>** | **Fair Value <sup>(\*)</sup>** | | **Fair Value <sup>(\*)</sup>** | **Fair Value <sup>(\*)</sup>** | **Fair Value <sup>(\*)</sup>** |
| <br>**Type of security/Values** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** | **Carrying**<br>**amount** | **Level 1** | **Level 2** | **Level 3** |
| A. Securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. bonds | 24015355 | 1403249 | 22638329 |  | 19875779 | 1038611 | 18586665 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 structured | 4068358 |  | 4082184 |  | 2999458 |  | 3005730 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 other | 19946997 | 1403249 | 18556146 |  | 16876321 | 1038611 | 15580935 |  |
| &nbsp;&nbsp;&nbsp;2. other securities | 1239545 |  | 1206575 | 33072 | 1001596 |  | 740103 | 261493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 structured |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 other | 1239545 |  | 1206575 | 33072 | 1001596 |  | 740103 | 261493 |
| Total | 25254900 | 1403249 | 23844904 | 33072 | 20877375 | 1038611 | 19326768 | 261493 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Fair Value amounts are shown after deducting issuer risk, which at 30 June 2024 suggested a capital gain of €204.3m (€156.4m as at 30 June 2023). |

---

Bonds increased from €19.9bn to €24bn after new issues of €7.3bn covered by redemptions and repurchases of €3.5bn (realizing gains of €1.1m), to which other increases of €0.4bn (exchange rate adjustment, amortized cost and effect of hedges) should be added.

The bonds in issue include €2.2bn (nearly all of which issued by the subsidiary Mediobanca International and guaranteed by the parent company) related to arbitrage strategies leveraging derivative basis indexes (skew) mainly linked to credit derivatives and commodity derivatives and, to a lesser extent, to interest rate arbitrage, inflation, and equity risk (underlying transaction). All

204 \| Consolidated financial statements as at 30 June 2024

these issues involve payment of interest in the form of a coupon (including a premium – extra yield) and full repayment of capital at maturity. In case of the subscriber opting for early repayment, the issuer has the faculty, at its discretion, to choose a repayment price that takes into account the current Fair Value including that of the underlying transactions. As required by para. 4.3.3 of IFRS 9, the embedded derivative, identified by the right to include the arbitrage value within the repayment price, has been separated by the obligation measured at amortized cost and booked at Fair Value of underlying transactions through profit or loss.

*1.4 Breakdown of subordinated debt securities*

"Debt securities in issue" include the following six subordinated Tier 2 issues, for a total of €1,678,987. During the financial year, a subordinated loan of €300m was issued with a 10-year maturity at a mixed rate (fixed 5.25% until 22/4/2029 and variable EUSA 5Y+2.75 until maturity).

---

| | | | |
|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Issue** | **ISIN code** | **Nominal Value** | **Book Value** |
| MB SUBORDINATO TV with min 3% 2025 | IT0005127508 | 499265 | 502866 |
| MB SUBORDINATO 3.75% 2026 | IT0005188351 | 298478 | 282763 |
| MB SUBORDINATO 1.957% 2029 | XS1579416741 | 50000 | 50850 |
| MB SUBORDINATO 2.3% 2030 | XS2262077675 | 249750 | 237977 |
| MB SUBORDINATO TF 10Y Callable | XS2577528016 | 299500 | 305250 |
| MB SUBORDINATO 5.25 22 APR 2034 | IT0005580573 | 299800 | 299280 |
| Total subordinated securities |  | 1696793 | 1678987 |

---

*1.6 Lease liabilities*

Amounts due under leases are calculated by applying the criteria set forth in IFRS 16.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 205

**SECTION 2**

**Heading 20: Trading financial liabilities**

*2.1 Trading financial liabilities: product breakdown*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | | **Fair Value** | **Fair Value** | **Fair Value** | |
| <br>**Transaction Type/Values** | **Nominal<br> or notional**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**Value <sup>(\*)</sup>** | **Nominal<br> or notional**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**Value <sup>(\*)</sup>** |
| A. Cash liabilities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Amounts due to banks | 1744377 | 1696621 | 3688 |  | 1700309 | 42854 | 34173 | 10552 |  | 44725 |
| &nbsp;&nbsp;&nbsp;2. Due to customers <sup>(1)</sup> | 3337805 | 3216770 | 33759 |  | 3250529 | 4160964 | 4085164 | 205 |  | 4085369 |
| &nbsp;&nbsp;&nbsp;3. Debt securities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1 Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other bonds |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other |  |  |  |  | X |  |  |  |  | X |
| Total (A) | 5082182 | 4913391 | 37447 |  | 4950838 | 4203818 | 4119337 | 10757 |  | 4130094 |
| B. Derivative instruments |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Financial derivatives <sup>(2)</sup> |  | 883298 | 3183440 | 98311 |  |  | 848671 | 3739098 | 302426 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Trading | X | 883298 | 3183382 | 98311 | X | X | 848671 | 3739040 | 302426 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Related to the Fair Value option | X |  |  |  | X | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3 Other | X |  | 58 |  | X | X |  | 58 |  | X |
| 2. Credit derivatives |  |  | 387743 | 1080 |  |  |  | 416383 |  |  |
| &nbsp;&nbsp;&nbsp;2.1 Trading | X |  | 387743 | 1080 | X | X |  | 416383 |  | X |
| &nbsp;&nbsp;&nbsp;2.2 Related to the Fair Value option | X |  |  |  | X | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2.3 Other | X |  |  |  | X | X |  |  |  | X |
| Total (B) | X | 883298 | 3571183 | 99391 | X | X | 848671 | 4155481 | 302426 | X |
| Total (A+B) | X | 5796689 | 3608630 | 99391 | X | X | 4968008 | 4166238 | 302426 | X |

---

<sup>(\*)</sup> Fair Value computed by excluding variations due to changes in the issuer's credit score following the date of emission.

<sup>(1)</sup> This item contained some transactions reclassified in liability item 30.

<sup>(2)</sup> This includes €41k (€798k in June 2023) for options traded, matching the amount recorded among assets held for trading.

206 \| Consolidated financial statements as at 30 June 2024

**SECTION 3**

**Heading 30: Financial liabilities designated at Fair Value**

*3.1 Financial liabilities designated at Fair Value: product breakdown*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total **30 June 2024** | **Total **30 June 2024** | **Total **30 June 2024** | **Total **30 June 2024** | **Total **30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | | **Fair Value** | **Fair Value** | **Fair Value** | |
| <br>**Transaction Type/Values** | **Nominal**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**Value<sup>(\*)</sup>** | **Nominal**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Fair**<br>**Value <sup>(\*)</sup>** |
| 1. Amounts due to banks |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.2 Other |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;of which: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– loan commitments |  | X | X | X | X |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;– financial guarantees issued |  | X | X | X | X |  | X | X | X | X |
| 2. Due to customers | 1269999 |  | 1168714 |  | 1168714 |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.1 Structured | 1269999 |  | 1168714 |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2.2 Other |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;of which: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– loan commitments |  | X | X | X | X |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;– financial guarantees issued |  | X | X | X | X |  | X | X | X | X |
| 3. Debt securities | 3092613 |  | 2690192 | 380293 | 3070485 | 1679786 |  | 1540419 | 40537 | 1580956 |
| &nbsp;&nbsp;&nbsp;3.1 Structured | 3011665 |  | 2608292 | 380293 | X | 1679786 |  | 1540419 | 40537 | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 80948 |  | 81900 |  | X |  |  |  |  | X |
| Total | 4362612 |  | 3858906 | 380293 | 4239199 | 1679786 |  | 1540419 | 40537 | 1580956 |

---

<sup>(\*)</sup> Fair Value computed by excluding variations due to changes in the issuer's credit score following the date of emission.

The item Financial liabilities designated at Fair Value increased from €1,580.9m to €4,239.2m following the reclassification of some transactions previously recorded under liability item 20 (€1,168.7m) in addition to the new operations in certificates (400 new issues for a value of €1,417.4m, including €590.6m credit linked and €798.8m with underlying shares and €28m rate).

At 30 June, the total amount of certificates stood at €2,888.9m (€883m at 30 June 2023), including €1,145.1m credit linked and €1,715.8m equity (€607m and €272m, respectively); this segment is completed by interest rate positions of €28m. Positions classified as level 3 amounted to €380.3m, which includes €39.8m in reference to zero recovery credit-linked products and €275m to autocallable equity.

This operation is in addition to the delta-one products (without Mediobanca risk) in place for €644.6m (€596.3m); finally, paper issues of €181.6m, which includes €70.6m callable, should be added.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 207

**SECTION 4**

**Heading 40: Hedging derivatives**

*4.1 Hedging derivatives: by hedge type and level*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
|  | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** | |
|  | **Level 1** | **Level 2** | **Level 3** | **Nominal**<br>**value** | **Level 1** | **Level 2** | **Level 3** | **Nominal**<br>**value** |
| A. Financial derivatives |  | 1431642 |  | 46968086 |  | 2069542 |  | 49729652 |
| &nbsp;&nbsp;&nbsp;1) Fair Value |  | 1430774 |  | 46938086 |  | 2068723 |  | 49699652 |
| &nbsp;&nbsp;&nbsp;2) Cash flow |  | 868 |  | 30000 |  | 819 |  | 30000 |
| &nbsp;&nbsp;&nbsp;3) Foreign |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;investments |  |  |  |  |  |  |  |  |
| B. Credit derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Fair Value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2) Cash flow |  |  |  |  |  |  |  |  |
| Total |  | 1431642 |  | 46968086 |  | 2069542 |  | 49729652 |

---

*4.2 Hedging derivatives: by portfolio hedged and hedge type*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flows** | **Cash flows** | |
| | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Generic** | **Specific** | **Generic** | **Foreign**<br>**investments** |
| <br>**Transaction/Type of hedge** | **debt<br> securities<br> and<br> interest<br> rates** | **equity<br> securities<br> and stock<br> indexes** | **Currencies<br> and gold** | **credit** | **commodities** | **Other** | | | | |
| 1. Financial assets measured at Fair Value through other comprehensive income |  |  |  |  | X | X | X |  | X | X |
| 2. Financial assets measured at amortized cost | 58642 | X |  |  | X | X | X |  | X | X |
| 3. Portfolio | X | X | X | X | X | X |  | X |  | X |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |
| Total assets | 58642 |  |  |  |  |  |  |  |  |  |
| 1.Financial Liabilities | 1372132 | X |  |  |  |  | X | 868 | X | X |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |
| Total liabilities | 1372132 |  |  |  |  |  |  | 868 |  |  |
| 1.Expected transactions | X | X | X | X | X | X | X |  | X | X |
| 2.Financial assets and liabilities portfolio | X | X | X | X | X | X |  | X |  |  |

---

208 \| Consolidated financial statements as at 30 June 2024

**SECTION 6**

**Heading 60: Tax liabilities**

Please see asset section 11.

**SECTION 7**

**Heading 70: Liabilities associated to assets held for sale**

Please see asset section 12.

**SECTION 8**

**Heading 80: Other liabilities**

*8.1 Other liabilities: breakdown*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| 1. Working capital payables and invoices pending receipt | 345606 | 338827 |
| 2. Amounts due to revenue authorities | 177766 | 78426 |
| 3. Amounts due to staff | 295225 | 300129 |
| 4. Other items | 669830 | 333131 |
| &nbsp;&nbsp;&nbsp;– bills for collection | 35426 | 24838 |
| &nbsp;&nbsp;&nbsp;– coupons and dividends pending collection | 71072 | 3557 |
| &nbsp;&nbsp;&nbsp;– available sums payable to third parties | 435897 | 90300 |
| &nbsp;&nbsp;&nbsp;– premiums, grants, and other items in respect of lending transactions | 18508 | 20552 |
| &nbsp;&nbsp;&nbsp;– sundry items <sup>(1)</sup> | 108927 | 193884 |
| Total other liabilities | 1488427 | 1050513 |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

<sup>(1)</sup> This includes the liability in respect of the put-and-call agreements relating to Polus Capital, RAM AI and MA.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 209

**SECTION 9**

**Heading 90: Provision for statutory end-of-service payments**

*9.1 Provision for statutory end-of-service payments: changes during the period*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| A. Balance at start of period | 20584 | 21969 |
| B. Increases | 12802 | 9826 |
| &nbsp;&nbsp;&nbsp;B.1 Provision for the year | 6063 | 7750 |
| &nbsp;&nbsp;&nbsp;B.2 Other changes | 6739 | 2076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, business combinations* |  |  |
| C. Decreases | 12941 | 11211 |
| &nbsp;&nbsp;&nbsp;C.1 End-of-service payments | 2523 | 2120 |
| &nbsp;&nbsp;&nbsp;C.2 Other changes <sup>(1)</sup> | 10418 | 9091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, business combinations* |  |  |
| D. Balance at end of period | 20445 | 20584 |
| Total | 20445 | 20584 |

---

<sup>(1)</sup> This includes €3,310 in transfers to external, defined contribution pension schemes (€5,255 at 30 June 2023).

The Provision for statutory end-of-service payments concerns Group companies residing in Italy; for a detailed explanation of the accounting standards adopted, please refer to Part A – Accounting policies.

*9.2 Other information*

The provision for statutory end-of-service payments is configured as a defined benefit plan; the actuarial model used is based on various demographic and economic assumptions. For some of the assumptions used, reference has been made directly to the Group's own experience (e.g. estimates of disability incidence, frequency of early retirement, annual increase in rate of remuneration, frequency with which advance withdrawals from the provision are requested, etc.), while for the others, account has been taken of the relevant best practice (e.g. the mortality rate has been determined using the IPS55 life tables, whereas the retirement age has been determined taking into account the most recent legislation in this area); for the discount rate, the iBoxx Eurozone Corporate AA index as at 30 June 2024 has been used for similar companies to those being valued (equal to 3.47%, compared with 3.67% at end-June 2023), while the inflation rate is 2%.

210 \| Consolidated financial statements as at 30 June 2024

**SECTION 10**

**Heading 100: Provisions for risks and charges**

*10.1 Provisions for risks and charges: breakdown*

---

| | | |
|:---|:---|:---|
| **Items/Components** | **30 June 2024** | **30 June 2023** |
| 1. Provisions for credit risk related to commitments and financial guarantees given | 20791 | 21581 |
| 2. Provision to other commitments and other guarantees issued | 605 | 585 |
| 3. Company retirement plans |  |  |
| 4. Other provisions for risks and charges | 116295 | 138961 |
| &nbsp;&nbsp;&nbsp;4.1 legal and tax disputes |  |  |
| &nbsp;&nbsp;&nbsp;4.2 obligations for employees | 16932 | 28235 |
| &nbsp;&nbsp;&nbsp;4.3 other | 99363 | 110726 |
| Total | 137691 | 161127 |

---

IAS37 requires provisions to be set aside in cases where there is an obligation, whether actual, legal or implicit, the amount of which may be reliably determined and the resolution of which is likely to entail a cash outflow for the company. The amount of the provision is determined from the best estimate, based on experience of similar operations or the opinion of independent experts. The provisions are revised on a regular basis in order to reflect the best current estimate.

As at 30 June, the item "Provisions for risks and charges" amounted to €137.7m (down compared to €161.1m in the previous year) with the component of commitments and guarantees issued decreasing from €21.6m to €20.8m. The component "Other provisions for risks and charges" dropped from €139m to €116.3m: the personnel portion, a large part of which had been set aside in the previous year to encourage turnover, was reduced from €28.2m to €16.9m after withdrawals during the year under review (€13.9m, which includes €8.2m Mediobanca and €5.7m Compass); the portion to cover legal/tax disputes and other liabilities went from €110.7m to €99.4m after transfers of €11m to the profit and loss account in light of the trend in ongoing legal/tax disputes.

The stock at the end of the year was divided as follows: Mediobanca €51.8m (€67.3m), Mediobanca Premier €30.9m (€32m), Compass €19.9m (€29m), SelmaBPM €7.3m (€6.1m), CMB Monaco €2.6m (€2.2m), and other companies €3.7m (€2.3m).

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 211

With reference to the main legal proceedings, the following should be noted:

with reference to the dispute regarding the reimbursement of charges following early debt repayment (the Lexitor case), it should be noted that in Official Journal No. 186 of 10 August 2023, two regulatory provisions were published with two slightly different versions of the reformulation of the "*Sostegni-Bis*" Decree rule declared unconstitutional: in particular, Law No. 103/23 excluded the non-restitution of up-front costs in the event of early loan repayment, while Law-Decree No. 104/23, Article 27, does not contain such an express provision. On 9 October 2023, Law No. 136/23 was published, which enacted Legislative Decree Mo. 104 without making any amendments to the aforementioned Article 27. With reference to early terminations prior to the date of publication of Ruling 263/2022 (22 December 2022), the Bank continued to reimburse upfront charges upon written request from the customers, also when managing out-of-court and judicial disputes, using the risk provisions set aside in previous years to cover this contingent liability. This provision, which amounted to €13.2m at 30 June 2023, stood at €10.2m at 30 June 2024;

– with regard to disputes related to the hiring of bankers and financial advisors and to the indemnity policy, the current provision is equal to €15.6m (€14.7m).

With regard to disputes pending with the Italian Tax Authorities, the following should be noted:

with reference to the alleged failure to apply transparency tax rules as required by the legislation on Controlled Foreign Companies (CFC) on income earned by CMB Monaco and CMG Monaco in the three financial years 2013, 2014 and 2015 (for a total of €53.7m in disputed taxes, plus penalties and interest), three disputes were pending against the tax authorities. In detail, in the dispute relating to financial year 2013/2014 (2013 profits, tax of €21.3m, plus penalties and interest) and in the combined disputes relating to financial years 2014/2015 and 2015/2016 (respectively 2014 and 2015 profits for a total tax of €32.5m, plus penalties and interest), the Bank won the first and second instances of judgement. With regard to the first year, a hearing before the Supreme Court is pending; with regard to the combined years, on 18 June last, the Italian Revenue Agency notified an appeal before the Court of Cassation, against which Mediobanca filed a counter-appeal on 12 July;

212 \| Consolidated financial statements as at 30 June 2024

with reference to Mediobanca's alleged failure to withhold taxes from interest paid in the context of a secured financing transaction between the financial years 2014/2015 and 2017/2018 (for a total of €8.1m, plus penalties and interest), the filing of the ruling for 2014 is pending with regard to the first two years after losing the first instance of judgement, while with regard to 2015, following the Bank's victory in the second instance, on 10 April last the second instance Court administration certified that the ruling had become final as the terms for filing the appeal before the Court of Cassation had expired; in the meantime, with regard to the third year, following the Bank's victory in the first instance, the Italian Revenue Agency notified an appeal on 14 May last, against which the Bank filed a counter-appeal; the session to hear the case was set for 8 November next. Finally, with regard to the last disputed year, a hearing was held on 22 April and the ruling is pending.

In addition to the foregoing, the pending disputes at 30 June were as follows:

– two minor disputes relating to failure to reimburse interest accrued on VAT credits in leasing transactions (for a value of just under €3m);

six disputes involving direct and indirect tax of minor amounts and at different stages of the ruling process, involving a total certified amount of €1.1m in tax.

Finally, with regard to the proceedings initiated before the District Court of California, pursuant to the so-called "RICO" law (Racketeer Influenced and Corrupt Organizations Act), in which CMB Monaco was involved, it should be noted that last June 13 the Court acknowledged CMB Monaco's withdrawal from the proceedings without financial loss, with the preclusion of any further action in any jurisdiction.

The provisions for risks and charges set aside in the financial statements adequately cover the amount mentioned above.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 213

*10.2 Provisions for risks and charges: changes during the period*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Provision**<br>**to other**<br>**commitments**<br>**and other**<br>**guarantees**<br>**issued** |<br><br>**Retirement**<br>**plans** | **Other**<br>**provisions**<br>**for risks and**<br>**charges:**<br>**Obligations for**<br>**employees** |<br>**Other**<br> **provisions**<br>**for risks and**<br>**charges:**<br>**Other** |<br><br><br>**Total** |
| A. Balance at start of period | 585 |  | 28235 | 110726 | 139546 |
| B. Increases | 60 | 1009 | 2500 | 23994 | 27563 |
| &nbsp;&nbsp;&nbsp;B.1 Provision for the year | 60 | 1009 | 2500 | 16430 | 19999 |
| &nbsp;&nbsp;&nbsp;B.2 Changes due to the passage of time |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Changes due to discount rate differences |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Other changes |  |  |  | 7564 | 7564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which business combinations |  |  |  |  |  |
| C. Decreases | 40 | 1009 | 13803 | 35357 | 50209 |
| &nbsp;&nbsp;&nbsp;C.1 Use during the year | 40 |  | 8143 | 31677 | 39860 |
| &nbsp;&nbsp;&nbsp;C.2 Changes due to discount rate differences |  | 690 |  |  | 690 |
| &nbsp;&nbsp;&nbsp;C.3 Other changes |  | 319 | 5660 | 3680 | 9659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which business combinations |  |  |  |  |  |
| D. Balance at end of period | 605 |  | 16932 | 99363 | 116900 |

---

*10.3 Provisions for credit risk related to commitments and financial guarantees given*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Provisions for credit risk related to commitments and financial guarantees issued** | **Provisions for credit risk related to commitments and financial guarantees issued** | **Provisions for credit risk related to commitments and financial guarantees issued** | **Provisions for credit risk related to commitments and financial guarantees issued** | **Provisions for credit risk related to commitments and financial guarantees issued** |
|  | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or<br> originated credit<br> impaired assets** | **Total** |
| Loan commitments | 15285 | 2479 | 602 |  | 18366 |
| Financial guarantees given | 2250 | 175 |  |  | 2425 |
| Total | 17535 | 2654 | 602 |  | 20791 |

---

*10.5 Defined benefit company retirement pension schemes*

This refers to the defined benefit company retirement pension scheme operated by Caisse Bâloise on behalf of RAM AI staff as required by Swiss law. The provision is subject to actuarial quantification by an independent actuary using the Projected Unit Credit Method.<sup>(53)</sup> The current value of the liability is adjusted by the Fair Value of any assets to be used under the terms of such plan.

In particular, the "technical" surplus encountered for the first time in June 2022 persisted in the year under review, albeit decreasing, and it led to an

<sup>(53)</sup> This method involves future outflows being projected on the basis of historical statistical analysis and the demographic curve, and then being discounted based on market interest rates.

214 \| Consolidated financial statements as at 30 June 2024

adjustment pursuant to IFRIC 14<sup>(54)</sup> in the same amount and a derecognition of the net liability.

The following Table shows the breakdown of the net defined benefit obligation as at the most recent reporting date (30 June 2024):

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **CHF/1000** | **CHF/1000** | **EUR/1000** | **EUR/1000** |
| <br>**IAS 19 Net obligation** | **30 June 2024** | **30 June 2023** | **30 June 202** | **30 June 2023** |
| Present value of defined benefit obligation | (17692) | (13267) | (18364) | (13554) |
| Present value of assets servicing the fund | 17806 | 14562 | 18483 | 14877 |
| Surplus/(deficit) | 115 | 1295 | 119 | 1323 |
| IFRIC14 adjustment | (115) | (1295) | (119) | (1323) |
| Net accounting (liability)/asset |  |  |  |  |

---

A sensitivity analysis is performed on the DBO to measure its sensitivity to changes in the main assumptions adopted.

**SECTION 11**

**Heading 110: Insurance Liabilities**

Starting on 1 July 2023, insurance assets and liabilities were recognized according to the new accounting standard IFRS 17. The data at 30 June 2024 were compared with the data modified at 30 June 2023.

As required by the eighth update to Circular No. 262/2005 of the Bank of Italy, this section contains the tables required by Resolution No. 121 of 7 June 2022 updating decisions issued by IVASS under ISVAP Regulation No. 7 of 13 July 2007 in order to incorporate the new rules introduced by accounting standard IFRS17 on insurance contracts.

<sup>(54)</sup> Paragraph 64 of IAS 19 limits the measurement of an asset serving a defined benefit plan to the lower of the surplus in the defined benefit plan and the asset ceiling. Paragraph 8 of IAS 19 defines the asset ceiling as 'the present value of any economic benefits available in the form of refunds from the plan or reductions in future contributions to the plan'. Questions arose in regard of the time in which the refunds or reductions in future contributions should be considered available. Under IFRIC 14, the IASB provided the required clarifications by establishing that an entity must determine the availability of a refund or a reduction in future contributions in compliance with the terms and conditions of the plan and the statutory provisions applicable in the jurisdiction in which the plan is in operation. In the case at issue, the independent expert did not find that a right to a refund had arisen for the employees as the amount consisted in a surplus that did not derive from "operational" changes to the fund generating a better economic condition but from changes in valuation rates that had an impact on "Actuarial Gains and Losses" resulting in the reduction and cancellation of the liability without recognizing an asset.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 215

&nbsp;&nbsp;&nbsp;&nbsp;*11.2* *Trend in the book value of insurance contracts issued – Premium Allocation Approach (PAA) – liabilities for residual coverage and for claims incurred – Motor Non-Life Segment* 

**30 June 2024**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Liabilities for residual** | **Liabilities for residual** | **Liabilities for** | **Liabilities for** | |
| | **coverage** | **coverage** | **claims incurred** | **claims incurred** | |
| <br>**Items/Liabilities** | **after Loss** | **Loss** | **Current value <br> of cash flow** | **Adjustment<br> for financial<br> risk** |<br>**Total** |
| A. initial recognition book value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Insurance contracts issued that constitute liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Insurance contracts issued that constitute assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Net book value at 1 July | 86787 |  | 9507 |  | 96294 |
| B. Insurance revenues | (30851) |  |  |  | (30851) |
| C. Costs for insurance services |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Claims incurred and other directly attributable costs |  |  | 4416 | 340 | 4756 |
| &nbsp;&nbsp;&nbsp;2. Changes in liabilities for claims incurred |  |  | 1821 | (316) | 1505 |
| &nbsp;&nbsp;&nbsp;3. Losses and related recoveries on contracts for consideration |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4. Amortization of contract acquisition costs | 3225 |  |  |  | 3225 |
| &nbsp;&nbsp;&nbsp;5. Total | 3225 |  | 6237 | 24 | 9486 |
| D. Income (expense) from insurance services (B+C) | (27626) |  | 6237 | 24 | (21365) |
| E. Net financial costs/revenues |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Relating to insurance contracts issued |  |  | 143 |  | 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Recorded through profit or loss |  |  | 143 |  | 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Recorded through other comprehensive income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Effects associated with changes in exchange rates |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Total |  |  | 143 |  | 143 |
| F. Investment components |  |  |  |  |  |
| G. Total amount of changes recorded through profit or loss and other comprehensive income (D+E+F) | (27626) |  | 6380 | 24 | (21222) |
| H. Other changes |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;I. Cash handling |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Premiums collected | 21877 |  |  |  | 21877 |
| &nbsp;&nbsp;&nbsp;2. Payments in connection with contracts acquisition costs | (1786) |  |  |  | (1786) |
| &nbsp;&nbsp;&nbsp;3. Claims paid and other cash outflows |  |  | (5398) |  | (5398) |
| &nbsp;&nbsp;&nbsp;4. Total | 20091 |  | (5398) |  | 14693 |
| L. Net book value at 30 June (A.3+G+H+I.4) | 79252 |  | 10489 | 24 | 89765 |
| M. Final book value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Insurance contracts issued that constitute liabilities | 79252 |  | 10489 | 24 | 89765 |
| &nbsp;&nbsp;&nbsp;2. Insurance contracts issued that constitute assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.Net book value at 30 June 2024 | 79252 |  | 10489 | 24 | 89765 |

---

216 \| Consolidated financial statements as at 30 June 2024

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Liabilities for residual <br> **coverage** | **Liabilities for residual <br> **coverage** | **Liabilities for <br> claims incurred** | **Liabilities for <br> claims incurred** | |
| <br>**Items/Liabilities** | **after Loss** | **Loss** | **Current value**<br> **of cash flow** | **Adjustment<br> for financial**<br> **risk** |<br>**Total** |
| A. initial recognition book value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Insurance contracts issued that constitute liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Insurance contracts issued that constitute assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Net book value at 1 July | 91766 |  | 10646 |  | 102412 |
| B. Insurance revenues | (35536) |  |  |  | (35536) |
| C. Costs for insurance services |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Claims incurred and other directly attributable costs |  |  | 4188 |  | 4188 |
| &nbsp;&nbsp;&nbsp;2. Changes in liabilities for claims incurred |  |  | (1358) |  | (1358) |
| &nbsp;&nbsp;&nbsp;3. Losses and related recoveries on contracts for consideration |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4. Amortization of contract acquisition costs | 3729 |  |  |  | 3729 |
| &nbsp;&nbsp;&nbsp;5. Total | 3729 |  | 2830 |  | 6559 |
| D. Income (expense) from insurance services (B+C) | (31807) |  | 2830 |  | (28977) |
| E. Net financial costs/revenues |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Relating to insurance contracts issued |  |  | 219 |  | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Recorded through profit or loss |  |  | 219 |  | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Recorded through other comprehensive income |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Effects associated with changes in exchange rates |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Total |  |  | 219 |  | 219 |
| F. Investment components |  |  |  |  |  |
| G. Total amount of changes recorded through profit or loss and other comprehensive income (D+E+F) | (31807) |  | 3049 |  | (28758) |
| H. Other changes |  |  |  |  |  |
| I. Cash handling |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Premiums collected | 30091 |  |  |  | 30091 |
| &nbsp;&nbsp;&nbsp;2. Payments in connection with contracts acquisition costs | (3263) |  |  |  | (3263) |
| &nbsp;&nbsp;&nbsp;3. Claims paid and other cash outflows |  |  | (4188) |  | (4188) |
| &nbsp;&nbsp;&nbsp;4. Total | 26828 |  | (4188) |  | 22640 |
| L. Net book value at 30 June (A.3+G+H+I.4) | 86787 |  | 9507 |  | 96294 |
| M. Final book value |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Insurance contracts issued that constitute liabilities | 86787 |  | 9507 |  | 96294 |
| &nbsp;&nbsp;&nbsp;2. Insurance contracts issued that constitute assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.Net book value at 30 June 2023 | 86787 |  | 9507 |  | 96294 |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 217

&nbsp;&nbsp;&nbsp;&nbsp;*11.7* *Insurance contracts issued - Management of claims before reinsurance - Non-Life segment* 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | |
| <br>**Claims/Time bands** | **30 June**<br>**2016** | **30 June**<br>**2017** | **30 June**<br>**2018** | **30 June**<br>**2019** | **30 June**<br>**2020** | **30 June**<br>**2021** | **30 June**<br>**2022** | **30 June**<br>**2023** | **30 June**<br>**2024** |<br>**Total** |
| A. Cumulative claims paid and other directly attributable costs paid |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. At the end of the year of occurrence |  |  |  |  |  |  |  |  | 1060 | X |
| &nbsp;&nbsp;&nbsp;2. One year later |  |  |  |  |  |  |  | 5246 | X | X |
| &nbsp;&nbsp;&nbsp;3. Two years later |  |  |  |  |  |  | 786 | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Three years later |  |  |  |  |  | 180 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;5. Four years later |  |  |  |  | 89 | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;6. Five years later |  |  |  | 41 | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;7. Six years later |  |  | 32 | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;8. Seven years later |  | 28 | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;9. Eight years later | 3 | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;10. Nine years later | X | X | X | X | X | X | X | X | X | X |
| Total cumulative claims paid and other directly attributable costs paid (Total A) | 3 | 28 | 32 | 41 | 89 | 180 | 786 | 5246 | 1060 | 7465 |
| B. Estimate of final cost of cumulative claims (before reinsurance and not discounted) |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. At the end of the year of occurrence |  |  |  |  |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2. One year later |  |  |  |  |  |  |  |  | X | X |
| &nbsp;&nbsp;&nbsp;3. Two years later |  |  |  |  |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Three years later |  |  |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;5. Four years later |  |  |  |  |  | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;6. Five years later |  |  |  |  | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;7. Six years later |  |  |  | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;8. Seven years later |  |  | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;9. Eight years later |  | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;10. Nine years later | X | X | X | X | X | X | X | X | X | X |
| Estimate of final cost of cumulative claims, not discounted, at the reporting date (Total B) |  |  |  |  |  |  |  |  |  |  |
| C. Gross liabilities for claims incurred, not discounted - year of occurrence from T to T9 (Total B - Total A) | (3) | (28) | (32) | (41) | (89) | (180) | (786) | (5246) | (1060) | (7465) |
| D. Gross liabilities for claims incurred, not discounted - years prior to T-9 | X | X | X | X | X | X | X | X | X |  |
| E. Discounting effect | X | X | X | X | X | X | X | X | X |  |
| E. Effect of adjustment for non-financial risks | X | X | X | X | X | X | X | X | X |  |
| G. Gross liabilities for claims incurred in regard of insurance contracts issued | X | X | X | X | X | X | X | X | X |  |

---

218 \| Consolidated financial statements as at 30 June 2024

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | **Year** | |
| <br>**Claims/Time bands** | **30 June**<br>**2015** | **30 June**<br>**2016** | **30 June**<br>**2017** | **30 June**<br>**2018** | **30 June**<br>**2019** | **30 June**<br>**2020** | **30 June**<br>**2021** | **30 June**<br>**2022** | **30 June**<br>**2023** |<br>**Total** |
| A. Cumulative claims paid and other directly attributable costs paid |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. At the end of the year of occurrence |  |  |  |  |  |  |  |  | 1124 | X |
| &nbsp;&nbsp;&nbsp;2. One year later |  |  |  |  |  |  |  | 5564 | X | X |
| &nbsp;&nbsp;&nbsp;3. Two years later |  |  |  |  |  |  | 834 | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Three years later |  |  |  |  |  | 191 | X | X | X | X |
| &nbsp;&nbsp;&nbsp;5. Four years later |  |  |  |  | 94 | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;6. Five years later |  |  |  | 43 | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;7. Six years later |  |  | 34 | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;8. Seven years later |  | 30 | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;9. Eight years later | 3 | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;10. Nine years later | X | X | X | X | X | X | X | X | X | X |
| Total cumulative claims paid and other directly attributable costs paid (Total A) | 3 | 30 | 34 | 43 | 94 | 191 | 834 | 5564 | 1124 | 7917 |
| B. Estimate of final cost of cumulative claims (before reinsurance and not discounted) |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. At the end of the year of occurrence |  |  |  |  |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;2. One year later |  |  |  |  |  |  |  |  | X | X |
| &nbsp;&nbsp;&nbsp;3. Two years later |  |  |  |  |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Three years later |  |  |  |  |  |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;5. Four years later |  |  |  |  |  | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;6. Five years later |  |  |  |  | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;7. Six years later |  |  |  | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;8. Seven years later |  |  | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;9. Eight years later |  | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp;10. Nine years later | X | X | X | X | X | X | X | X | X | X |
| Estimate of final cost of cumulative claims, not discounted, at the reporting date (Total B) |  |  |  |  |  |  |  |  |  |  |
| C. Gross liabilities for claims incurred, not discounted - year of occurrence from T to T9 (Total B - Total A) | (3) | (30) | (34) | (43) | (94) | (191) | (834) | (5564) | (1124) | (7917) |
| D. Gross liabilities for claims incurred, not discounted - years prior to T-9 | X | X | X | X | X | X | X | X | X |  |
| E. Discounting effect | X | X | X | X | X | X | X | X | X |  |
| E. Effect of adjustment for non-financial risks | X | X | X | X | X | X | X | X | X |  |
| G. Gross liabilities for claims incurred in regard of insurance contracts issued | X | X | X | X | X | X | X | X | X |  |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 219

**SECTION 13**

**Heading 120, 130, 140, 150, 160, 170 and 180: Group net equity**

*13.1 "Capital" and "Treasury Shares": composition*

For the breakdown of the Bank's capital, please see part F of the notes to the accounts.

*13.2 Capital – Number of parent company shares: changes for the year*

---

| | |
|:---|:---|
| **Items/Values** | **Ordinary** |
| A. Shares in issue at the start of the period | 849257474 |
| &nbsp;&nbsp;&nbsp;– fully paid up | 849257474 |
| &nbsp;&nbsp;&nbsp;– partially paid up |  |
| &nbsp;&nbsp;&nbsp;A.1 Treasury shares (-) | (8454929) |
| &nbsp;&nbsp;&nbsp;A.2 Shares in issue: opening balance | 840802545 |
| B. Increases | 2846821 |
| &nbsp;&nbsp;&nbsp;B.1 Newly issued shares | 691350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– for consideration |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– business mergers |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– bond conversions |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– *exercise of warrants* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– free of charge: | 691350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– to employees | 691350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– to directors |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other |  |
| &nbsp;&nbsp;&nbsp;B.2 Disposals of treasury shares | 2155471 |
| &nbsp;&nbsp;&nbsp;B.3 Other changes |  |
| C. Decreases | (17000000) |
| &nbsp;&nbsp;&nbsp;C.1 Cancellation |  |
| &nbsp;&nbsp;&nbsp;C.2 Purchases of treasury shares | (17000000) |
| &nbsp;&nbsp;&nbsp;C.3 Disposals of businesses |  |
| &nbsp;&nbsp;&nbsp;C.4 Other changes |  |
| D. Shares in issue: closing amount | 826649366 |
| &nbsp;&nbsp;&nbsp;D.1 Treasury shares (+) | (6299458) |
| &nbsp;&nbsp;&nbsp;D.2 Shares held at the end of the period | 832948824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– fully paid up | 832948824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– partially paid up |  |

---

220 \| Consolidated financial statements as at 30 June 2024

On 11 June last, an additional 17,000,000 treasury shares were cancelled, keeping in the portfolio the number needed to cover its performance share plans and other commitments. As part of the performance share plans, 1,981,127 shares were allocated during the year, 1,289,777 of which through treasury shares and 691,350 through a capital increase. The item "Disposals of treasury shares" includes shares to cover the deferred portion of the plan to acquire the shareholding in the English partnership Arma Partners LLP, which provides for the possibility of using own shares.

The changes in the Reserve for treasury shares during the year were as follows:

---

| | | |
|:---|:---|:---|
| **Items/Values** | **Number of shares** | **Value (€'000)** |
| Reserve for treasury shares: opening amount at 30 June 2023 | 8454929 | 78876 |
| Increases | 17000000 | 197959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Newly issued shares |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Purchases of treasury shares | 17000000 | 197959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Other changes |  |  |
| Decreases | 19155471 | 208006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Cancellations | 17000000 | 185743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Disposals of treasury shares | 2155471 | 22263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Other changes |  |  |
| Reserve for treasury shares: closing amount at 30 June 2024 | 6299458 | 68828 |

---

*13.4 Profit reserves: other information*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023 <sup>(\*)</sup>** |
| Legal reserve | 88834 | 88728 |
| Reserve under articles of association | 188163 | 720073 |
| Treasury shares | 68828 | 78876 |
| Other | 7035149 | 6788745 |
| Total | 7380974 | 7676422 |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

*13.5 Equity instruments: breakdown and annual changes*

There is no other information to be disclosed other than that already reported on this section.

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 221

**SECTION 14**

**Heading 190: Minority interests**

*14.1 Heading 190: Minority interests: breakdown*

---

| | | |
|:---|:---|:---|
| **Company Name** | **30 June 2024** | **30 June 2023** |
| 1. SelmaBipiemme S.p.A. | 72973 | 91719 |
| 2. RAM Active Investments S.A. | 302 | 906 |
| 3. Polus Capital Group Ltd. | 12830 | 11499 |
| 4.Other minor | 9 | 19 |
| Total | 86114 | 104143 |

---

**Other Information**

*1. Commitments and financial guarantees given*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Nominal value of commitments<br> and financial guarantees given** | **Nominal value of commitments<br> and financial guarantees given** | **Nominal value of commitments<br> and financial guarantees given** | **Nominal value of commitments<br> and financial guarantees given** | | |
|  | **Nominal value of commitments<br> and financial guarantees given** | **Nominal value of commitments<br> and financial guarantees given** | **Nominal value of commitments<br> and financial guarantees given** | **Nominal value of commitments<br> and financial guarantees given** | | |
| | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** | **Total<br> 30 June<br> 2024** | **Total<br> 30 June<br> 2023** |
| | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** | **Total<br> 30 June<br> 2024** | **Total<br> 30 June<br> 2023** |
| | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** | **Total<br> 30 June<br> 2024** | **Total<br> 30 June<br> 2023** |
| | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** | **Total<br> 30 June<br> 2024** | **Total<br> 30 June<br> 2023** |
| | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased<br> or originated<br> credit<br> impaired<br> assets** | **Total<br> 30 June<br> 2024** | **Total<br> 30 June<br> 2023** |
| 1. Loan commitments <sup>(1)</sup> | 21646663 | 153315 | 3538 |  | 21803516 | 15531400 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |  |  |  | 2901 |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 7891710 |  |  |  | 7891710 | 3158946 |
| &nbsp;&nbsp;&nbsp;c) Banks | 69822 |  |  |  | 69822 | 30050 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 2128363 | 33230 |  |  | 2161593 | 1544259 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 8532352 | 45561 | 2190 |  | 8580103 | 7784394 |
| &nbsp;&nbsp;&nbsp;f) Households | 3024416 | 74524 | 1348 |  | 3100288 | 3010850 |
| 2. Financial guarantees given | 1079767 | 6231 |  |  | 1085998 | 507739 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 8099 |  |  |  | 8099 | 500 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 781103 |  |  |  | 781103 | 13288 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 267009 | 5649 |  |  | 272658 | 470560 |
| &nbsp;&nbsp;&nbsp;f) Households | 23556 | 582 |  |  | 24138 | 23391 |

---

<sup>(1)</sup> As of the current financial year, the item includes syndicated underwriting commitments

222 \| Consolidated financial statements as at 30 June 2024

*2. Other commitments and guarantees given*

---

| | | |
|:---|:---|:---|
|  | **Nominal Value**<br>**30 June 2024** | **Nominal Value**<br>**30 June 2023** |
| 1. Other guarantees given | 125989 | 159776 |
| &nbsp;&nbsp;&nbsp;of which: non-performing exposures |  |  |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 478 | 478 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 41376 | 47839 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 21623 | 25782 |
| &nbsp;&nbsp;&nbsp;f) Households | 62512 | 85677 |
| 2. Other commitments | 122106 | 132587 |
| &nbsp;&nbsp;&nbsp;of which: non-performing exposures |  |  |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 33049 | 32016 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 37264 | 60774 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 51793 | 39797 |
| &nbsp;&nbsp;&nbsp;f) Households |  |  |

---

*3. Assets established as collateral to secure own liabilities and commitments*

---

| | | |
|:---|:---|:---|
| <br>**Portfolios** | **Amount**<br>**30 June 2024** | **Amount**<br>**30 June 2023** |
| 1. Financial assets measured at Fair Value through profit or loss | 6815242 | 2957778 |
| 2. Financial assets measured at Fair Value through other comprehensive income | 4431804 | 2166220 |
| 3. Financial assets measured at amortized cost | 15621003 | 22234273 |
| 4. Tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;of which: tangible assets that constitute inventories |  |  |
| 5. Equity Investments | 117386 | 22765 |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 223

*5. Assets managed on behalf of third parties*

---

| | | |
|:---|:---|:---|
| <br>**Type of service** | **Amount**<br>**30 June 2024** | **Amount**<br>**30 June 2023** |
| 1. Orders execution on behalf of customers |  |  |
| &nbsp;&nbsp;&nbsp;a) purchases | 62573919 | 50053053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. settled | 62499517 | 49699700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. unsettled | 74402 | 353353 |
| &nbsp;&nbsp;&nbsp;b) sales | 52948884 | 41972612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. settled | 52874482 | 41619259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. unsettled | 74402 | 353353 |
| 2. Portfolio management |  |  |
| &nbsp;&nbsp;&nbsp;a) Individual | 8325977 | 7856270 |
| &nbsp;&nbsp;&nbsp;b) Collective | 19992365 | 18317545 |
| 3. Custody and administration of securities |  |  |
| &nbsp;&nbsp;&nbsp;a) third-party securities deposited: relating to depositary banks activities (excluding portfolio management) | 10683292 | 9097812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. securities issued by companies included in the area of consolidation | 1425048 | 2524304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. other securities | 9258244 | 6573508 |
| &nbsp;&nbsp;&nbsp;b) third-party securities deposited (excluding portfolio management): other | 32750274 | 26179576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. securities issued by companies included in the area of consolidation | 30000 | 30000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. other securities | 32720274 | 26149576 |
| c) third-party securities deposited with third parties | 21063425 | 16240406 |
| d) own securities deposited with third parties | 9394684 | 11893879 |
| 4. Other transactions | 6323436 | 13563348 |

---

&nbsp;&nbsp;&nbsp;&nbsp;*6.* *Financial assets subject to netting arrangements or master netting or similar agreements* 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not offset** | **Related amounts not offset** | | |
|<br>**Instrument type** |<br>**Gross amount<br> of financial<br> assets (a)** | **Amount of**<br>**financial<br> liabilities <br> offset (b) <sup>(1)</sup>** | **Net amount <br> of financial**<br>**assets stated<br> in the balance<br> sheet (c=a-b)** | **Financial <br> instruments (d)** | **Cash deposits<br> received as<br> guarantee (e)** | **Net amount**<br>**(f=c-d-e)<br> **30 June <br> 2024** |<br>**Net amount<br> 30 June<br> 2023** |
| 1. Derivatives | 768208 |  | 768208 | 279002 | 93539 | 395667 | 57616 |
| 2. Reverse repos | 5375005 |  | 5375005 | 5375005 |  |  |  |
| 3. Securities lending |  |  |  |  |  |  |  |
| 4. Other |  |  |  |  |  |  |  |
| Total 30 June 2024 | 6143213 |  | 6143213 | 5654007 | 93539 | 395667 | X |
| Total 30 June 2023 | 6714763 | 1870581 | 4844182 | 4767739 | 18827 | X | 57616 |

---

<sup>(1)</sup> Relating to transactions in derivative financial instruments with a central counterparty with which a master netting agreement on a daily basis was in place.

224 \| Consolidated financial statements as at 30 June 2024

&nbsp;&nbsp;&nbsp;&nbsp;*7.* *Financial liabilities subject to netting arrangements or master netting or similar agreements* 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not offset** | **Related amounts not offset** | | |
| <br>**Instrument type** |<br>**Gross amount<br> of financial<br> liabilities (a)** |<br>**Amount of<br> financial <br> assets offset<br> (b)** |<br>**Net amount <br> of financial<br> liabilities<br> stated (c=a-b)** | **Financial<br> instruments <br> (d)** | **Cash deposits<br> established as<br> guarantee <br> (e)** |<br>**Net amount<br> (f=c-d-e) <br> 30 June<br> 2024** |<br>**Net amount<br> (f=c-d-e) <br> 30 June <br> 2023** |
| 1. Derivatives | 2627838 | 760539 | 1867299 | 628233 | 1072585 | 166481 | 559112 |
| 2. Repos | 10096131 |  | 10096131 | 10096131 |  |  |  |
| 3. Securities lending |  |  |  |  |  |  |  |
| 4. Other transactions |  |  |  |  |  |  |  |
| Total 30 June 2024 | 12723969 | 760539 | 11963430 | 10724364 | 1072585 | 166481 | X |
| Total 30 June 2023 | 6335723 |  | 6335723 | 5399262 | 377349 | X | 559112 |

---

*8. Securities lending operations*

The tables below illustrate the Group's operations in securities lending (and borrowing), broken down by type of instrument (sovereign debt, bank bonds and others), market counterparty (banks, financial intermediaries and clients) and form (loan secured by cash, other instruments, or unsecured).

Securities lending transactions for which collateral is put up in the form of cash fully available to the borrower are represented in the balance sheet as amounts due to or from banks or customers under the heading "repos". Securities lending transactions for which collateral is put up in the form of other instruments, or which are unsecured, are represented as "off-balance-sheet exposures".

---

| | | | |
|:---|:---|:---|:---|
| | **Type of security** | **Type of security** | **Type of security** |
| <br>**Type of securities lending transaction** | **Government securities** | **Bank securities** | **Other securities** |
| 1. Cash-collateralized securities lending received from: |  | 97823 | 173604 |
| &nbsp;&nbsp;&nbsp;a) Banks |  | 96965 | 173263 |
| &nbsp;&nbsp;&nbsp;b) Financial institutions |  | 858 | 341 |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  |  |
| 2. Cash-collateralized securities lending provided to: |  | (236955) | (605806) |
| &nbsp;&nbsp;&nbsp;a) Banks |  | (236955) | (605806) |
| &nbsp;&nbsp;&nbsp;b) Financial institutions |  |  |  |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  |  |
| Total securities lending (book value) |  | (139132) | (432202) |

---

Notes to the accounts \| Part B - Notes to the consolidated Balance Sheet \| 225

---

| | | | |
|:---|:---|:---|:---|
| | **Type of security** | **Type of security** | **Type of security** |
| <br>**Type of securities lending transaction** | **Government securities** | **Bank securities** | **Other securities** |
| 1. Security-collateralized or non-collateralized securities lending received from: | 86121 | 888825 | 559 |
| &nbsp;&nbsp;&nbsp;a) Banks | 1454 | 598027 | 482 |
| &nbsp;&nbsp;&nbsp;b) Financial institutions | 84667 | 290798 |  |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  | 77 |
| 2. Security-collateralized or non-collateralized securities lending provided to: | (1765391) | (815998) | (1311016) |
| &nbsp;&nbsp;&nbsp;a) Banks | (543903) | (815998) | (711463) |
| &nbsp;&nbsp;&nbsp;b) Financial institutions | (1221488) |  | (599553) |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  |  |
| Total securities lending (Fair Value) | (1679270) | 72827 | (1310457) |

---

226 \| Consolidated financial statements as at 30 June 2024

**Part C – Notes to the Consolidated Profit and Loss Account**

**SECTION 1**

**Headings 10 and 20: Net interest income**

*1.1 Interest and similar income: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Items/Instrument type** |<br>**Debt securities** |<br>**Loans** | **Other**<br>**transactions** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1. Financial assets measured at Fair Value through profit or loss: | 94488 | 23073 |  | 117561 | 94808 |
| &nbsp;&nbsp;&nbsp;1.1 Financial assets held for trading | 89347 | 2664 |  | 92011 | 74272 |
| &nbsp;&nbsp;&nbsp;1.2 Financial assets designated at Fair Value | 5097 | 20409 |  | 25506 | 20460 |
| &nbsp;&nbsp;&nbsp;1.3 Other financial assets mandatorily measured at Fair Value | 44 |  |  | 44 | 76 |
| 2. Financial assets measured at Fair Value through other comprehensive income | 217787 |  | X | 217787 | 129128 |
| 3. Financial assets measured at amortized cost: | 124695 | 3502659 |  | 3627354 | 2601422 |
| &nbsp;&nbsp;&nbsp;3.1 Due from banks | 7095 | 353775 | X | 360870 | 180196 |
| &nbsp;&nbsp;&nbsp;3.2 Due from customers | 117600 | 3148884 | X | 3266484 | 2421226 |
| 4. Hedging derivatives | X | X |  |  |  |
| 5. Other assets | X | X | 10319 | 10319 | 8603 |
| 6. Financial liabilities <sup>(1)</sup> | X | X | X | 1 | 123 |
| Total | 436970 | 3525732 | 10319 | 3973022 | 2834084 |
| &nbsp;&nbsp;&nbsp;of which: interest income on impaired assets |  | 38718 |  | 38718 | 50982 |
| &nbsp;&nbsp;&nbsp;of which: interest income from finance leases | *X* | 82487 | *X* | 82487 | 62023 |

---

<sup>(1)</sup> Heading "6. "Financial liabilities" includes interest expenses as the result of negative interest rates.

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 227

*1.2 Interest and similar income: other information*

As at 30 June 2024, the balance of the account includes €298.1m (€231.8m) in connection with financial assets in foreign currencies.

*1.3 Interest expenses and similar charges: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Items/Instrument type** |<br>**Debts** |<br>**Securities** | **Other**<br>**transactions** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1. Financial liabilities measured at amortized cost | (1061994) | (709269) |  | (1771263) | (925370) |
| &nbsp;&nbsp;&nbsp;1.1 Due to central banks | (96882) | X | X | (96882) | (105542) |
| &nbsp;&nbsp;&nbsp;1.2 Due to banks | (398252) | X | X | (398252) | (156729) |
| &nbsp;&nbsp;&nbsp;1.3 Due to customers | (566860) | X | X | (566860) | (223695) |
| &nbsp;&nbsp;&nbsp;1.4 Securities in issue | X | (709269) | X | (709269) | (439404) |
| 2. Trading financial liabilities |  |  |  |  |  |
| 3. Financial liabilities designated at Fair Value | (3820) | (26416) |  | (30236) | (22043) |
| 4. Other liabilities and funds | X | X | (349) | (349) | (6) |
| 5. Hedging derivatives <sup>(2)</sup> | X | X | (223641) | (223641) | (77121) |
| 6. Financial assets <sup>(1)</sup> | X | X | X |  | (1951) |
| Total | (1065814) | (735685) | (223990) | (2025489) | (1026491) |
| of which: interest expense relating to lease liabilities | (4884) | *X* | *X* | (4884) | (2671) |

---

<sup>(1)</sup> Item 6 "Financial assets" includes interest expense as the result of negative interest rates.

<sup>(2)</sup> Mainly to hedge deposits.

*1.4 Interest expense and similar charges: other information*

As at 30 June 2024, the balance of the account included €182.2m (€131.8m) in connection with financial liabilities in foreign currencies.

*1.5 Margins on hedging transactions*

---

| | | |
|:---|:---|:---|
| <br>**Items** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| A. Positive margins on hedging transactions | 1984042 | 732225 |
| B. Negative margins on hedging transactions | (2207683) | (809346) |
| C. Net balance (A-B) | (223641) | (77121) |

---

228 \| Consolidated financial statements as at 30 June 2024

**SECTION 2**

**Heading 40 and 50: Net fee and commission income**

*2.1 Fee and commission income: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Values** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| a) Financial instruments | 288577 | 260779 |
| &nbsp;&nbsp;&nbsp;1. Placement of securities | 175197 | 163858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Underwriting commitment and/or based on an irrevocable commitment |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Without an irrevocable commitment | 175197 | 163858 |
| &nbsp;&nbsp;&nbsp;2. Receipt and sending of orders and execution of orders on behalf of clients | 33574 | 27332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Receipt and sending of orders for one or more financial instruments | 33574 | 27332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Execution of orders on behalf of customers |  |  |
| &nbsp;&nbsp;&nbsp;3. Other commissions associated with activities linked to financial instruments | 79806 | 69589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: trading on own account | 24767 | 18464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: management of individual portfolio | 55039 | 51125 |
| b) Corporate Finance | 229058 | 146974 |
| &nbsp;&nbsp;&nbsp;1. Advisory on mergers and acquisitions | 229058 | 146974 |
| &nbsp;&nbsp;&nbsp;2. Treasury services |  |  |
| &nbsp;&nbsp;&nbsp;3. Other commissions connected with corporate finance services |  |  |
| c) Advisory on investments | 9730 | 5034 |
| d) Netting and settlement |  |  |
| e) Collective portfolio management | 115054 | 108674 |
| f) Custody and administration | 36495 | 31079 |
| &nbsp;&nbsp;&nbsp;1. Depository bank | 7458 | 7458 |
| &nbsp;&nbsp;&nbsp;2. Other fees associated with custody and administration | 29037 | 23621 |
| g) Central administrative services for collective portfolio management |  |  |
| h) Fiduciary activities | 6141 | 5648 |
| i) Payment services | 44664 | 41488 |
| &nbsp;&nbsp;&nbsp;1. Current accounts | 16385 | 14285 |
| &nbsp;&nbsp;&nbsp;2. Credit cards | 16316 | 15823 |
| &nbsp;&nbsp;&nbsp;3. Debit cards and other payment cards | 8365 | 7958 |
| &nbsp;&nbsp;&nbsp;4. Wire transfers and payment orders | 793 | 523 |
| &nbsp;&nbsp;&nbsp;5. Other fees linked to payment services | 2805 | 2899 |
| j) Distribution of third-party services | 95516 | 95961 |
| &nbsp;&nbsp;&nbsp;1. Collective portfolio management | 5499 | 4344 |
| &nbsp;&nbsp;&nbsp;2. Insurance products | 79565 | 80765 |
| &nbsp;&nbsp;&nbsp;3. Other products | 10452 | 10852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: individual portfolio management | 10359 | 10724 |
| k) Structured finance |  |  |
| l) Securitization servicing | 441 | 526 |
| m) Loan commitments | 82483 | 73383 |
| n) Financial guarantees issued | 5755 | 6400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: credit derivatives |  |  |
| o) Lending transactions | 33988 | 20501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: factoring services* <sup>(1)</sup> | 33620 | 18263 |
| p) Currency trading | 113 | 119 |
| q) Commodities |  |  |
| r) Other commission income | 44531 | 39406 |
| &nbsp;&nbsp;&nbsp;of which: for the management of multilateral trading facilities |  |  |
| &nbsp;&nbsp;&nbsp;of which: for the management of organized trading systems |  |  |
| Total | 992546 | 835972 |

---

<sup>(1)</sup> This item includes commission income relating to Buy Now Pay Later (BNPL) transactions, which increased during the financial year.

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 229

The table includes the contribution of the company Arma Partners in the amount of €65.7m, mainly in the item "b.1. Advisory on mergers and acquisitions".

*2.2 Fee and commission expenses: breakdown*

---

| | | |
|:---|:---|:---|
| **Services/Amounts** | **12 mths ended <br> 30/6/24** | **12 mths ended<br> 30/6/23** |
| a) Financial instruments | (8877) | (9309) |
| &nbsp;&nbsp;&nbsp;of which: securities trading | (8010) | (8098) |
| &nbsp;&nbsp;&nbsp;of which: financial instruments placement | (210) | (1187) |
| &nbsp;&nbsp;&nbsp;of which: management of individual portfolio | (657) | (24) |
| &nbsp;&nbsp;&nbsp;– Own assets | (657) | (24) |
| &nbsp;&nbsp;&nbsp;– Under mandate to third parties |  |  |
| b) Netting and settlement |  |  |
| c) Collective portfolio management | (7682) | (8185) |
| &nbsp;&nbsp;&nbsp;1. Own instruments |  |  |
| &nbsp;&nbsp;&nbsp;2. Delegated to third parties | (7682) | (8185) |
| d) Custody and administration | (5683) | (4861) |
| e) Collection and payment services | (21810) | (18867) |
| &nbsp;&nbsp;&nbsp;of which: credit cards, debit cards and other payment cards | (10207) | (9730) |
| f) Securitization servicing |  |  |
| g) Borrowing commitments |  |  |
| h) Financial guarantees received | (87) | (142) |
| &nbsp;&nbsp;&nbsp;of which: credit derivatives |  |  |
| i) Off-site distribution of financial instruments, products and services | (16935) | (15356) |
| j) Currency trading |  |  |
| k) Other commission expense | (120332) | (101285) |
| Total | (181406) | (158005) |

---

**SECTION 3**

**Heading 70: Dividends and similar income**

*3.1 Dividends and similar income: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **12 mths ended<br> 30/6/24** | **12 mths ended<br> 30/6/24** | **12 mths ended <br> 30/6/23** | **12 mths ended <br> 30/6/23** |
| <br>**Item / Income** | **Dividends** | **Similar income** | **Dividends** | **Similar income** |
| A. Financial assets held for trading | 108278 | 4 | 62524 | 24 |
| B. Other financial assets mandatorily measured at Fair Value |  | 18191 |  | 10654 |
| C. Financial assets measured at Fair Value through other comprehensive income | 11554 |  | 5556 |  |
| D. Equity investments |  |  |  |  |
| Total | 119832 | 18195 | 68080 | 10678 |

---

230 \| Consolidated financial statements as at 30 June 2024

**SECTION 4**

**Heading 80: Net trading income (expense)**

*4.1 Net trading income (expense): breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | **Capital losses** | **Trading losses** | |
| <br>**Transactions/ Income components** |<br>**Capital gains**<br>**(A)** |<br>**Trading**<br>**income (B)** | **(C)** | **(D)** | **Net income**<br>**(expense)**<br>**[(A+B) -**<br>**(C+D)]** |
| 1. Financial assets held for trading | 232281 | 441652 | (224123) | (300027) | 149783 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities | 76318 | 186567 | (57673) | (181852) | 23360 |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities | 155904 | 253382 | (166373) | (116892) | 126021 |
| &nbsp;&nbsp;&nbsp;1.3 UCIT units | 24 | 1703 | (77) | (1283) | 367 |
| &nbsp;&nbsp;&nbsp;1.4 Loans | 16 |  |  |  | 16 |
| &nbsp;&nbsp;&nbsp;1.5 Other | 19 |  |  |  | 19 |
| 2. Trading financial liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other |  |  |  |  |  |
| 3. Financial assets and liabilities: currency exchange gains/losses | X | X | X | X | (1339) |
| 4. Derivative instruments | 1269775 | 2845236 | (1760277) | (2450981) | (108760) |
| &nbsp;&nbsp;&nbsp;4.1 Financial derivatives: | 943880 | 2412539 | (1464014) | (2055408) | (175516) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- on debt securities and interest rates <sup>(1)</sup> | 471353 | 1673988 | (726794) | (1368136) | 50411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- on equity securities and stock indexes | 450692 | 722848 | (720257) | (669129) | (215846) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- on currencies and gold | X | X | X | X | (12513) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other | 21835 | 15703 | (16963) | (18143) | 2432 |
| &nbsp;&nbsp;&nbsp;4.2 Credit derivatives | 325895 | 432697 | (296263) | (395573) | 66756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: natural hedges related to the Fair Value option | X | X | X | X |  |
| Total | 1502056 | 3286888 | (1984400) | (2751008) | 39684 |

---

<sup>(1)</sup> Of which, gains of €33,300 on interest rate derivatives (gains of €20,805 at 30 June 2023).

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 231

**SECTION 5**

**Heading 90: Net hedging income (expense)**

*5.1 Net hedging income (expense): breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Income components/Amounts** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| A. Income from: |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Fair Value hedging instruments | 1013065 | 489724 |
| &nbsp;&nbsp;&nbsp;A.2 Hedged asset items (Fair Value) | 389945 | 145523 |
| &nbsp;&nbsp;&nbsp;A.3 Hedged liability items (Fair Value) | 54550 | 582802 |
| &nbsp;&nbsp;&nbsp;A.4 Cash flow hedging derivatives |  | 3 |
| &nbsp;&nbsp;&nbsp;A.5 Assets and liabilities denominated in foreign currency |  |  |
| Total gains on hedging activities (A) | 1457560 | 1218052 |
| B. Charges on: |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Fair Value hedging instruments | (735312) | (916297) |
| &nbsp;&nbsp;&nbsp;B.2 Hedged asset items (Fair Value) | (57316) | (247748) |
| &nbsp;&nbsp;&nbsp;B.3 Hedged liability items (Fair Value) | (662849) | (52568) |
| &nbsp;&nbsp;&nbsp;B.4 Cash flow hedging derivatives |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Assets and liabilities denominated in foreign currency |  |  |
| Total losses on hedging activities (B) | (1455477) | (1216613) |
| C. Net income (expense) from hedging activities (A-B) | 2083 | 1439 |
| &nbsp;&nbsp;&nbsp;of which: income (expense) from hedges on net positions |  |  |

---

**SECTION 6**

**Heading 100: Gain (loss) on disposals/repurchases**

*6.1 Gains (losses) on disposals/repurchases: breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** |
| <br>**Items/Income components** |<br>**Profits** |<br>**Losses** | **Net profit**<br>**(loss)** |<br>**Profits** |<br>**Losses** | **Net profit**<br>**(loss)** |
| A. Financial assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Financial assets measured at amortized cost | 16192 | (15586) | 606 | 21308 | (16881) | 4427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Due from banks | 95 | (201) | (106) | 1559 | (1668) | (109) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Due from customers | 16097 | (15385) | 712 | 19749 | (15213) | 4536 |
| &nbsp;&nbsp;&nbsp;2. Financial assets measured at Fair Value through other comprehensive income | 11940 | (5509) | 6431 | 7117 | (13856) | (6739) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Debt securities | 11940 | (5509) | 6431 | 7117 | (13856) | (6739) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Loans |  |  |  |  |  |  |
| Total assets (A) | 28132 | (21095) | 7037 | 28425 | (30737) | (2312) |
| B. Financial liabilities measured at amortized cost |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Due to banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Due to customers |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Debt securities in issue | 4515 | (3462) | 1053 | 7831 | (692) | 7139 |
| Total liabilities (B) | 4515 | (3462) | 1053 | 7831 | (692) | 7139 |

---

232 \| Consolidated financial statements as at 30 June 2024

**SECTION 7**

**Heading 110: Net income (expense) from other financial assets and liabilities measured at Fair Value through profit or loss**

*7.1 Net change in the value of other financial assets and liabilities measured at Fair Value through profit or loss: breakdown of financial assets and liabilities designated at Fair Value*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Transactions/ Income components** |<br>**Capital gains**<br>**(A)** |<br>**Gains on**<br>**disposal (B)** |<br>**Capital losses**<br>**(C)** |<br>**Losses on**<br>**disposal (D)** | **Net income**<br>**(expense)**<br>**[(A+B) -**<br>**(C+D)]** |
| 1. Financial assets | 40740 | 6015 | (604) | (19) | 46132 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities | 507 | 6015 | (604) | (19) | 5899 |
| &nbsp;&nbsp;&nbsp;1.2 Loans | 40233 |  |  |  | 40233 |
| 2. Financial Liabilities | 155685 | 27 | (101534) | (87479) | (33301) |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities in issue <sup>(1)</sup> | 44781 | 27 | (97307) | (87479) | (139978) |
| &nbsp;&nbsp;&nbsp;2.2 Due to banks |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Due to customers <sup>(2)</sup> | 110904 |  | (4227) |  | 106677 |
| 3. Foreign-currency denominated financial assets and liabilities: currency exchange gains / losses | X | X | X | X | (790) |
| Total | 196425 | 6042 | (102138) | (87498) | 12041 |

---

<sup>(1)</sup> Valuation that includes any certificates issued.

<sup>(2)</sup> Relating to loans received linked to securities exchange transactions with insurance counterparties. Both cases are covered by derivatives and other financial instruments whose value is measured under heading 80.

*7.2* *Net change in the value of other financial assets and liabilities measured at Fair Value through profit or loss: breakdown of other financial assets mandatorily measured at Fair Value* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Transactions/ Income components** |<br>**Capital gains**<br>**(A)** |<br>**Gains on**<br>**disposal (B)** |<br>**Capital losses**<br>**(C)** |<br>**Losses on**<br>**disposal (D)** | **Net income**<br>**(expense)**<br>**[(A+B) - (C+D)]** |
| 1. Financial assets | 31332 | 5570 | (14463) | (113) | 22326 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities |  | 7 | (97) | (31) | (121) |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities | 1445 |  |  |  | 1445 |
| &nbsp;&nbsp;&nbsp;1.3 UCIT units | 29887 | 1308 | (14366) | (82) | 16747 |
| &nbsp;&nbsp;&nbsp;1.4 Loans |  | 4255 |  |  | 4255 |
| 2. Financial assets: currency exchange gains/ losses | X | X | X | X | (238) |
| Total | 31332 | 5570 | (14463) | (113) | 22088 |

---

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 233

**SECTION 8**

**Heading 130: Net value adjustments (write-backs) for credit risk**

*8.1 Net value adjustments for credit risk related to financial assets measured at amortized cost: breakdown* <sup>(\*)</sup>

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | | |
| | | | | | ***Impaired* acquisite** | ***Impaired* acquisite** | | | | | | |
| | | | **Stage 3** | **Stage 3** | **o originate** | **o originate** | | | | | | |
| <br>**Transactions/**<br>**Income components** |<br>**Stage 1** |<br>**Stage 2** | **Write-off** | **Other** | **Write-off** | **Other** |<br>**Primo**<br>**stadio** |<br>**Stage 2** |<br>**Stage 3** | **Impaired**<br>**acquisite o**<br>**originate** | **Total**<br>**12 mths**<br>**ended**<br>**30/6/24** | **Total**<br>**12 mths**<br>**ended**<br>**30/6/23** |
| A. Due from banks | (522) |  |  |  |  |  | 394 |  |  |  | (128) | 445 |
| &nbsp;&nbsp;– Loans | (500) |  |  |  |  |  | 261 |  |  |  | (239) | 317 |
| &nbsp;&nbsp;– Debt securities | (22) |  |  |  |  |  | 133 |  |  |  | 111 | 128 |
| B. Due from customers | (161551) | (213285) | (5655) | (293111) | (7412) | (29605) | 205538 | 119099 | 108700 | 31134 | (246148) | (232534) |
| &nbsp;&nbsp;– Loans | (158729) | (207630) | (5655) | (293111) | (7412) | (29605) | 202887 | 114278 | 108700 | 31134 | (245143) | (228098) |
| &nbsp;&nbsp;– Debt securities | (2822) | (5655) |  |  |  |  | 2651 | 4821 |  |  | (1005) | (4436) |
| Total | (162073) | (213285) | (5655) | (293111) | (7412) | (29605) | 205932 | 119099 | 108700 | 31134 | (246276) | (232089) |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The amounts in the table contain the contribution of the company Revalea, sold in October for approximately €5m mainly under heading "B. Loans to customers - Financing". |

---

*8.2 Net value adjustments for credit risk related to financial assets measured at Fair Value through other comprehensive income: breakdown*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Value adjustments (1)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | **Write-backs (2)** | **Total** | **Total** |
| | | | | | ***Impaired* acquisite** | ***Impaired* acquisite** | | | | | | |
| | | | **Stage 3** | **Stage 3** | **o originate** | **o originate** | | | | | | |
| <br>**Transactions/**<br>**Income components** |<br>**Stage 1** |<br>**Stage 2** | **Write-off** | **Other** | **Write-off** | **Other** |<br>**Stage 1** |<br>**Stage 2** |<br>**Stage 3** | **Impaired**<br>**acquisite o**<br>**originate** | **12 mths**<br>**ended**<br>**30/6/24** | **12 mths**<br>**ended**<br>**30/6/23** |
| A. Debt securities | (5853) | (379) |  |  |  |  | 3491 | 743 |  |  | (1998) | 716 |
| B. Loans |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;– To customers |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;– To banks |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | (5853) | (379) |  |  |  |  | 3491 | 743 |  |  | (1998) | 716 |

---

**SECTION 9**

**Heading 140: Gains (losses) from contractual modifications without derecognition**

*9.1 Gains (losses) from contractual modifications: breakdown*

This heading, which reflects a loss of €-159,000, includes the impact of modifications to contracts for financial assets which, as they do not constitute substantial modifications, under IFRS 9 and the Group's own accounting policies, do not entail derecognition of the assets but require the modifications to the cash flows provided for contractually to be taken through the profit and loss account.

234 \| Consolidated financial statements as at 30 June 2024

**SECTION 10**

**Heading 160 - Income (expense) from insurance activities**

Section 10 contains the tables required by the eighth update to Circular No. 262/2005, which took into account similar instructions issued by IVASS for the disclosure required by IFRS 17.

In particular, the tables show insurance revenues and costs attributable to insurance companies, broken down by aggregation level.

*10.1 Insurance revenues and costs arising from insurance contracts issued - Breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Items/Aggregation level** | **Total 12 mths ended**<br>**30/6/24** | **Total 12 mths ended**<br>**30/6/23** |
| A. Insurance revenues from insurance contracts issued measured according to GMM and VFA |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Amounts related to changes in residual coverage |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Claims incurred and other expected insurance service costs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Change in the adjustment for non-financial risks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Gains on contractual services recorded through profit or loss for services provided |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other amounts |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Acquisition costs of recovered insurance contracts |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Total insurance revenues from insurance contracts issued measured according to GMM and VFA |  |  |
| &nbsp;&nbsp;&nbsp;A.4 Total insurance revenues from insurance contracts issued measured according to PAA | 30851 | 35536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Life segment |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Non-Life / motor segment |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Non-Life / non-motor segment | 30851 | 35536 |
| &nbsp;&nbsp;&nbsp;A.5. Total insurance revenues from insurance contracts issued | 30851 | 35536 |
| B. Costs for insurance services from insurance contracts issued – GMM or VFA |  |  |
| &nbsp;&nbsp;&nbsp;1. Claims incurred and other directly attributable costs |  |  |
| &nbsp;&nbsp;&nbsp;2. Changes in liabilities for claims incurred |  |  |
| &nbsp;&nbsp;&nbsp;3. Losses on contracts for consideration and recovery of such losses |  |  |
| &nbsp;&nbsp;&nbsp;4. Amortization of insurance contract acquisition costs |  |  |
| &nbsp;&nbsp;&nbsp;5. Other amounts |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Total costs for insurance services from insurance contracts issued – GMM or VFA |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Total costs for insurance services from insurance contracts issued measured according to PAA | (9486) | (6558) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Life segment |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Non-Life / motor segment |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Non-Life / non-motor segment | (9486) | (6558) |
| C. Total net costs/revenues from insurance contracts issued (A.5+B.6+B.7) | 21365 | 28978 |

---

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 235

*10.3 Allocation of costs for insurance services and other services*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | | | | |
| <br>**Costs/Aggregation level** |<br>**Level A1 -**<br>**with DPF** | **Level A2**<br>**- without**<br>**DPF** |<br>**Level A1 +**<br>**Level A2** |<br><br>**Level A3** |<br><br>**Level A4** |<br>**Level A3 +**<br>**Level A4** |<br><br>**Other** |
| Costs attributed to the acquisition of insurance contracts |  |  |  | (3225) |  | (3225) | X |
| Other directly attributable costs |  |  |  |  |  |  | X |
| Investment management expenses | X | X |  | X | X |  |  |
| Other costs | X | X |  | X | X |  |  |
| Total | X | X |  | X | X | (3225) |  |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** | | | | |
| <br>**Costs/Aggregation level** |<br>**Level A1 -**<br>**with DPF** | **Level A2**<br>**- without**<br>**DPF** |<br>**Level A1 +**<br>**Level A2** |<br><br>**Level A3** |<br><br>**Level A4** |<br>**Level A3 +**<br>**Level A4** |<br><br>**Other** |
| Costs attributed to the acquisition of insurance contracts |  |  |  | (3729) |  | (3729) | X |
| Other directly attributable costs |  |  |  |  |  |  | X |
| Investment management expenses | X | X |  | X | X |  |  |
| Other costs | X | X |  | X | X |  |  |
| Total | X | X |  | X | X | (3729) |  |

---

**SECTION 11**

**Heading 170: Other Income/Charges from insurance activities**

Section 11 contains the tables required by the eighth update to Circular No. 262/2005, which took into account similar instructions issued by IVASS for the disclosure required by IFRS 17.

In particular, the tables show financial revenues and costs attributable to insurance companies, broken down by aggregation level.

*11.1 Financial costs and revenues relating to insurance contracts issued*

---

| | | |
|:---|:---|:---|
| <br>**Items/Aggregation level** | **Total 12 mths ended**<br>**30/6/24** | **Total 12 mths ended**<br>**30/6/23** |
| 1. Interest accrued |  |  |
| 2. Effect of changes in interest rates and other financial assumptions |  |  |
| 3. Changes in the Fair Value of the assets underlying contracts measured according to VFA |  |  |
| 4. Effect of changes in currency exchange rates |  |  |
| 5. Other | (143) | (220) |
| 6. Total financial revenues / costs relating to insurance contracts issued, recognized | (143) | (220) |

---

236 \| Consolidated financial statements as at 30 June 2024

&nbsp;&nbsp;&nbsp;&nbsp;*11.3* *Insurance operations - Net financial income (expense) of investments broken down by life and non-life segment* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** |
| | **Life segment** | | | **Life segment** | | |
| | | | | ***of which:*** | | |
| <br>**Items/Operating segments** | **of which:**<br>**DPF** | <br>**Non-Life**<br>**segment** | <br>**Total** | ***DPF*** | <br>**Non-Life**<br>**segment** | <br>**Total** |
| A. NET FINANCIAL INCOME (EXPENSE) FROM INVESTMENTS |  | 7665 | 7665 |  | 5224 | 5224 |
| &nbsp;&nbsp;&nbsp;A.1 Interest income from financial assets measured at amortized cost and at Fair Value through other comprehensive income |  | 7723 | 7723 |  | 5242 | 5242 |
| &nbsp;&nbsp;&nbsp;A.2 Net gains/losses from assets measured at Fair Value through profit or loss |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Net value adjustments /write-backs for credit risk |  | (58) | (58) |  | (18) | (18) |
| &nbsp;&nbsp;&nbsp;A.4 Other net costs / revenues |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.5 Net capital gains / losses from financial assets measured at Fair Value through other comprehensive income |  |  |  |  |  |  |
| B. NET CHANGE IN INVESTMENT CONTRACTS ISSUED IFRS 9 |  |  |  |  |  |  |
| C. TOTAL NET FINANCIAL INCOME (EXPENSE) FROM INVESTMENTS |  | 7665 | 7665 |  | 5224 | 5224 |
| &nbsp;&nbsp;&nbsp;of which: through profit or loss |  | 7665 | 7665 |  | 5224 | 5224 |
| &nbsp;&nbsp;&nbsp;of which: through other comprehensive income |  |  |  |  |  |  |

---

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 237

**SECTION 12**

**Heading 190: Administrative expenses**

*12.1 Personnel cost: breakdown* <sup>(\*)</sup>

---

| | | |
|:---|:---|:---|
| <br>**Type of expense/Sectors** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1) Employees: | (786290) | (710812) |
| &nbsp;&nbsp;&nbsp;a) wages and salaries | (577413) | (526313) |
| &nbsp;&nbsp;&nbsp;b) social security contributions | (121667) | (112958) |
| &nbsp;&nbsp;&nbsp;c) severance pay | (4214) | (3456) |
| &nbsp;&nbsp;&nbsp;d) social security costs |  |  |
| &nbsp;&nbsp;&nbsp;e) provisions for statutory end-of-service payments | (17505) | (16401) |
| &nbsp;&nbsp;&nbsp;f) provisions for retirement plans and similar provisions: | 260 | 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– defined-contribution |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–defined-benefit <sup>(1)</sup> | 260 | 269) |
| &nbsp;&nbsp;&nbsp;g) payments to external pension funds: | (18985) | (17795) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– defined-contribution | (18985) | (17795) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– defined-benefit |  |  |
| &nbsp;&nbsp;&nbsp;h) expenses resulting from share-based payments | (15831) | (11177) |
| &nbsp;&nbsp;&nbsp;i) other employee benefits | (30935) | (22981) |
| 2) Other staff in service | (8275) | (6514) |
| 3) Directors and Statutory Auditors | (9553) | (11309) |
| 4) Early retirement costs | (2952) | (3008) |
| Total | (807070) | (731643) |

---

<sup>(1)</sup> This figure refers to the benefit deriving from the "curtailment cost" and the "Plan amendments" decided by Caisse Bâloise.

---

| | |
|:---|:---|
| <sup>(\*)</sup> | These amounts include the contribution of the company Revalea, sold in October, for €0.6m mainly in the item "a) wages and salaries"; these amounts also contain the contribution of Arma Partners, which contributed €19.3m mainly under the heading "a) wages and salaries". |

---

*12.2 Average number of employees by category*

---

| | | |
|:---|:---|:---|
|  | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| Employees: |  |  |
| &nbsp;&nbsp;a) Senior executives | 519 | 491 |
| &nbsp;&nbsp;b) Middle managers | 2231 | 2211 |
| &nbsp;&nbsp;c) Other employees | 2281 | 2330 |
| Other staff | 336 | 336 |
| Total | 5368 | 5367 |

---

238 \| Consolidated financial statements as at 30 June 2024

*12.5 Other administrative expenses: breakdown <sup>(\*)</sup>* 

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Values** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| OTHER ADMINISTRATIVE EXPENSES |  |  |
| &nbsp;&nbsp;– legal, tax and professional services | (70037) | (60369) |
| &nbsp;&nbsp;– loan recovery activity | (60333) | (75941) |
| &nbsp;&nbsp;– marketing and communications | (55408) | (49157) |
| &nbsp;&nbsp;– real property | (25866) | (23005) |
| &nbsp;&nbsp;– EDP | (178501) | (162180) |
| &nbsp;&nbsp;– info–providers | (59529) | (54104) |
| &nbsp;&nbsp;– bank charges, collection and payment fees | (31777) | (32889) |
| &nbsp;&nbsp;– operating expenses | (66854) | (66635) |
| &nbsp;&nbsp;– other personnel costs | (19718) | (19434) |
| &nbsp;&nbsp;– other (1) | (85491) | (99960) |
| &nbsp;&nbsp;– indirect taxes and duties | (132415) | (111791) |
| Total other administrative expenses | (785929) | (755465) |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The amounts in the table include the contribution of the company Revalea, sold in late October, for €9.6m mainly in the item "loan recovery activities"; these amounts also contain the contribution of Arma Partners, which contributed €6m mainly under the headings "legal, tax and professional services" and "real property expenses". |

---

<sup>(1)</sup> This item includes contributions of €50.7m to resolution funds (€70.4m in the previous year), including €24.2m relating to the last DGS portion accrued on the stock of deposits as at 31 March 2024 and paid out at the beginning of July.

**SECTION 13**

**Heading 200: Net transfers to provisions for risks and charges**

&nbsp;&nbsp;&nbsp;&nbsp;*13.1* *Net transfers for credit risk related to commitments to disburse funds and financial guarantees given: breakdown* 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | |
|  | | | | **12 mths ended**<br>**30/6/23** |
|  |<br>**Provisions** | **Reallocation of**<br>**surplus** |<br>**Total** | **Total** |
| Loan commitments | (8013) | 10115 | 2102 | 1560 |
| Financial guarantees given | (2124) | 807 | (1317) | 622 |
| Total | (10137) | 10922 | 785 | 2182 |

---

*13.2 Net transfers related to other commitments and guarantees given*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** |
|  |<br>**Provisions** | **Reallocation of**<br>**surplus** |<br>**Total** |<br>**Provisions** | **Reallocation of**<br>**surplus** |<br>**Total** |
| Other commitments |  |  |  |  | 825 | 825 |
| Other guarantees given | (60) | 40 | (20) | (873) |  | (873) |
| Total | (60) | 40 | (20) | (873) | 825 | (48) |

---

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 239

*13.3 Net transfers to other provisions for risks and charges: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | |
|  |<br>**Provisions** | **Riattribuzioni**<br>**di eccedenze** |<br>**Total** |<br>**12 mths ended**<br>**30/6/23** |
| 1. Other provisions |  |  |  |  |
| &nbsp;&nbsp;1.1 Legal disputes |  |  |  |  |
| &nbsp;&nbsp;1.2 Personnel expenses |  |  |  | (26000) |
| &nbsp;&nbsp;1.3 Other | (15756) | 12023 | (3733) | (11951) |
| Total | (15756) | 12023 | (3733) | (37951) |

---

**SECTION 14**

**Heading 210: Net value adjustments to /write-backs of tangible assets**

*14.1 Net adjustments to tangible assets: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Asset/Income component** | **Amortization**<br>**(a)** | **Impairment losses**<br>**(b)** | **Writebacks**<br>**(c)** | **Net profit (loss)**<br>**(a + b - c)** |
| A. Property, plant, and equipment | (71112) | (16589) | 16589 | (71112) |
| &nbsp;&nbsp;&nbsp;1 Core | (69500) | (16589) | 16589 | (69500) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Owned | (19568) | (16589) | 16589 | (19568) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Right-of-use assets acquired under lease | (49932) |  |  | (49932) |
| &nbsp;&nbsp;&nbsp;2 Held for investment purpose | (1612) |  |  | (1612) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Owned | (1612) |  |  | (1612) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Right-of-use assets acquired under lease |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3 Inventories | X |  |  |  |
| Total | (71112) | (16, 589) | 16589 | (71112) |

---

240 \| Consolidated financial statements as at 30 June 2024

**SECTION 15**

**Heading 220: Net value adjustments to /write-backs of intangible assets**

*15.1 Net value adjustments to /write-backs of intangible assets: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Asset/Income component** | **Amortization**<br>**(a)** | **Impairment losses**<br>**(b)** | **Writebacks**<br>**(c)** | **Net profit (loss)**<br>**(a + b - c)** |
| A. Intangible assets | (38568) | (41906) |  | (80474) |
| &nbsp;&nbsp;&nbsp;of which: software | (31730) |  |  | (31730) |
| &nbsp;&nbsp;&nbsp;A.1 owned | (38568) | (41906) |  | (80474) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Generated by the company internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other | (38568) | (41906) |  | (80474) |
| &nbsp;&nbsp;&nbsp;A.2 Right-of-use assets acquired under lease |  |  |  |  |
| Total | (38568) | (41906) |  | (80474) |

---

The amortization of the item Software (€31.7m in total) includes an additional amortization component (under IAS 8 – Changes in Accounting Estimates) of €6.8m following the recalculation of the useful life of intangible assets with a finite duration and in line with the strategy of systematic reduction of obsolescence promoted by the Group.

The item Other in the column "Value adjustments due to impairment" shows the impairment of brands with an indefinite useful life, formerly RAM and MA, for a total of €41.9m.

**SECTION 16**

**Heading 230: Other operating income (expense)**

*16.1 Other operating expenses: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Values** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| a) Leases | (8554) | (8797) |
| b) Sundry costs and expenses <sup>(1)</sup> | (46299) | (35335) |
| Total other operating expenses | (54853) | (44132) |

---

<sup>(1)</sup> This item includes the provision for the share of ordinary and extraordinary dividends attributable to minority interests, as well as the interests (interest B) attributable to minority partners in the Partnership.

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 241

*16.2 Other operating income: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Values** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| a) Amounts recovered from customers | 118094 | 104164 |
| b) Leases | 8484 | 8096 |
| c) Other income | 123958 | 105506 |
| Total other operating income | 250536 | 217766 |

---

**SECTION 17**

**Heading 250: Gains (losses) on equity investments**

*17.1 Gains (losses) on equity investments: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Income components/Sectors** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1) Joint ventures |  |  |
| &nbsp;&nbsp;&nbsp;A. Income |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Write-ups |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Writebacks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other gains |  |  |
| &nbsp;&nbsp;&nbsp;B. Expenses |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Write-downs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Impairment losses |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other expenses |  |  |
| Net profit (loss) |  |  |
| 2) Companies subject to significant influence |  |  |
| &nbsp;&nbsp;&nbsp;A. Income | 510884 | 454912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Write-ups | 510884 | 454912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Writebacks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other gains |  |  |
| &nbsp;&nbsp;&nbsp;B. Expenses | (478) | (1052) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Write-downs | (478) | (1052) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Impairment losses |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Other expenses |  |  |
| Net profit (loss) | 510406 | 453860 |
| Total | 510406 | 453860 |

---

242 \| Consolidated financial statements as at 30 June 2024

**SECTION 18**

**Heading 260: Net income from Fair Value measurement of tangible and intangible assets**

*18.1* *Net income from Fair Value measurement or estimated realizable value of tangible and intangible assets: Breakdown* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | **Currency exchange** | **Currency exchange** | |
| <br>**Asset/Income component** |<br>**Write-back<br> (a)** |<br>**Write-downs<br> (b)** | **Gains<br> (c)** | **Losses<br> (d)** |<br>**Net income** |
| A. Tangible assets |  | (1610) |  |  | (1610) |
| &nbsp;&nbsp;&nbsp;A.1 Core: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Owned |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Right of use assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Held for investment: |  | (1100) |  |  | (1100) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Owned |  | (1100) |  |  | (1100) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Right of use assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Inventories |  | (510) |  |  | (510) |
| B. Intangible assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Owned: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Generated by the company internally |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Right of use assets |  |  |  |  |  |
| Total |  | (1610) |  |  | (1610) |

---

**SECTION 19**

**Heading 270: Value adjustments to goodwill**

*19.1 Value adjustments to goodwill: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Income components** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| Value adjustments to goodwill |  | (49536) |

---

The amount for financial year 2022/2023 referred to the derecognition of the goodwill of the subsidiary RAM AI.

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 243

**SECTION 20**

**Heading 280: Gain (loss) on disposal of investments**

*20.1 Gain (loss) on disposal of investments: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Income components/Sectors** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| A. Real property |  | 2911 |
| &nbsp;&nbsp;– Gains on disposal |  | 2911 |
| &nbsp;&nbsp;– Losses on disposal |  |  |
| B. Other assets | 90 | (17296) |
| &nbsp;&nbsp;– Gains on disposal | 98 | 423 |
| &nbsp;&nbsp;– Losses on disposal | (8) | (17719) |
| Net profit (loss) | 90 | (14385) |

---

As at 30 June 2023, this item included the capital loss recorded following the agreement entered into with Banca Ifis for the sale of the subsidiary Revalea S.p.A., which was finalized in October 2023.

**SECTION 21**

**Heading 300: Income tax for the year on ordinary activities**

*21.1 Income tax for the year on ordinary activity: breakdown*

---

| | | | |
|:---|:---|:---|:---|
| **Income components/Sectors** | **Income components/Sectors** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1. | Current taxes (-) | (330476) | (353837) |
| 2. | Changes in current taxes for previous years (+/-) | (440) | 3621 |
| 3. | Reduction in current taxes for the year (+) | 172 | 570 |
| 3. | bis Reduction in current taxes for the year due to tax credits pursuant to Law No. 214/2011 (+) |  | 8 |
| 4. | Changes in prepaid taxes (+/-) | (109858) | (60138) |
| 5. | Changes in deferred taxes (+/-) | 6630 | 15300 |
| 6. | Taxes on income for the year (-) (-1+/-2+3+3bis+/-4+/-5) | (433972) | (394746) |

---

In general, for IRES (corporate income tax) purposes, the tax loss generated by a company not participating in a tax consolidation may be calculated as a decrease in the income earned in subsequent years, in an amount not exceeding 80% of the taxable income for each period. In other words, the loss incurred in a financial year will generate future tax savings which, under certain conditions, may be presented for accounting purposes through the entry of credits for deferred tax assets. Within a tax consolidation, on the other hand, the share of tax losses incurred by a member company which is covered by the income

244 \| Consolidated financial statements as at 30 June 2024

earned by the other participating companies generates an immediate tax saving, which is recognized as income by the company that contributed the loss.

*21.2 Reconciliation between theoretical and effective tax burden*

---

| | | |
|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** |
|  | **Value in %** | **Absolute value** |
| Total profit or loss before tax | 100.0% | 1710491 |
| Theoretical tax rate | 27.50% | 470385 |
| Dividends (-) | -0.38% | (6451) |
| Gains on disposals of equity investments (PEX) (+/-) | 0.03% | 501 |
| Gains on equity-accounted investments (-) | -7.59% | (129796) |
| Other tax rates (non-financial and non-Italian companies) (+/-) | 0.11% | 1941 |
| Non-taxable income 10% IRAP and staff cost (-) | -0.06% | (1104) |
| Impairment (+/–) | 0.67% | 11524 |
| Extraordinary items | -0.07% | (1225) |
| Other changes (+/-) | 0.02% | 424 |
| Total IRES | 20.24% | 346199 |
| IRAP (regional tax on production activities) | 5.13% | 87773 |
| Total HEADING | 25.37% | 433.972 |

---

**SECTION 23**

**Heading 340: Net profit (loss) attributable to minority interests**

*23.1* *Breakdown of Heading 340, "Net profit (loss) for the year attributable to minority interests"* 

---

| | | | |
|:---|:---|:---|:---|
| **Company name** | **Company name** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1. | SelmaBipiemme S.p.A. | (2743) | (2140) |
| 2. | RAM Active Investments S.A. | 620 | 101 |
| 3. | Polus Capital Group Ltd. | (1014) | (995) |
| Total |  | (3137) | (3034) |

---

Notes to the accounts \| Part C – Notes to the Consolidated Profit and Loss Account \| 245

**SECTION 25**

**Earnings per share**

*25.1 Average number of ordinary shares on a diluted basis*

---

| | | |
|:---|:---|:---|
|  | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23 <sup>(\*)</sup>** |
| Net profit | 1273382 | 1025986 |
| Average number of shares in issue <sup>(1)</sup> | 826608063 | 840761242 |
| Average number of potentially diluted shares | 6487718 | 4561321 |
| Average number of diluted shares | 833095781 | 845322563 |
| Earnings per share | 1.54 | 1.22 |
| Earnings per share, diluted | 1.53 | 1.21 |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

<sup>(1)</sup> The number of shares in issue at 30 June 2024 takes into account the shares repurchased under the buyback plan.

246 \| Consolidated financial statements as at 30 June 2024

**Part D – Consolidated comprehensive income**

*Statement of consolidated comprehensive income*

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **30 June 2024**<br>**Net Amount** | **30 June 2023 <sup>(\*)</sup>**<br>**Net Amount** |
| **10.** | **Profit (loss) for the year** | **1276519** | **1029020** |
|  | Other comprehensive income not reclassified through profit or loss |  |  |
| **20.** | **Equity securities designated at Fair Value through other comprehensive income:** | **10438** | **18906** |
|  | a) Fair Value changes | (40564) | (43652) |
|  | b) transfers to other net equity items | 51002 | 62558 |
| **30.** | **Financial liabilities designated at Fair Value through profit or loss (change in own credit quality):** | **(27509)** | **(6636)** |
|  | a) Fair Value changes | (27509) | (6636) |
|  | b) transfers to other net equity items |  |  |
| **40.** | **Hedge accounting of equity securities designated at Fair Value through other comprehensive income:** |  |  |
|  | a) Fair Value change (hedged instrument) |  |  |
|  | b) Fair Value change (hedging instrument) |  |  |
| **50.** | **Tangible assets** | **—** | **—** |
| **60.** | **Intangible Assets** | **—** | **—** |
| **70.** | **Defined benefit plans** | **258** | **1012** |
| **80.** | **Non-current assets and asset groups held for sale** | **—** | **—** |
| **90.** | **Portion of valuation reserves of equity-accounted investments** | **(15268)** | **46091** |
| **100.** | **Financial costs or revenues relating to insurance contracts issued** | **—** | **—** |
| **110.** | **Income taxes relating to other income items not reclassified through profit or loss** | **—** | **—** |
|  | Other income items through profit or loss |  |  |
| **120.** | **Hedging of foreign investments:** |  | 319 |
|  | a) Fair Value changes |  | 319 |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **130.** | **Currency exchange gains / losses:** | **6515** | **1172** |
|  | a) Fair Value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes | 6515 | 1172 |
| **140.** | **Cash flow hedging:** | **(158734)** | **96448** |
|  | a) Fair Value changes | (158734) | 96448 |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
|  | of which: income (expense) of net positions |  |  |
| **150.** | **Hedging instruments (not designated items):** | **—** | **—** |
|  | a) Fair Value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **160.** | **Financial assets (other than equity securities) measured at Fair Value through other comprehensive** |  |  |
|  | **income:** | **42847** | **(8210)** |
|  | a) Fair Value changes | 28381 | (10584) |
|  | b) transfer to profit or loss | 14466 | 2374 |
|  | &nbsp;&nbsp;&nbsp;- credit risk adjustments | 1337 | (480) |
|  | &nbsp;&nbsp;&nbsp;- gains/losses on disposals | 13129 | 2854 |
|  | c) other changes |  |  |
| **170.** | **Non-current assets and asset groups held for sale:** | **—** | **—** |
|  | a) Fair Value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **180.** | **Portion of valuation reserves of equity-accounted investments:** | **18667** | **(457415)** |
|  | a) Fair Value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | &nbsp;&nbsp;&nbsp;- impairment losses |  |  |
|  | &nbsp;&nbsp;&nbsp;- gains/losses on disposals |  |  |
|  | c) other changes | 18667 | (457415) |
| **190.** | **Financial costs or revenues relating to insurance contracts issued** | **—** | **—** |
|  | a) Fair Value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **200.** | **Financial costs or revenues relating to insurance contracts ceded** | **—** | **—** |
|  | a) Fair Value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **210.** | **Income taxes relating to other income items reclassified through profit or loss** | **—** | **—** |
| **220.** | **Total other income items** | **(122786)** | **(308313)** |
| **230.** | **Comprehensive income (Headings 10 +190)** | **1153733** | **720707** |
| **240.** | **Consolidated comprehensive income attributable to minority interests** | **3118** | **3628** |
| **250.** | **Consolidated comprehensive income attributable to the parent company** | **1150615** | **717079** |

---

<sup>(\*)</sup> The data as at 30 June 2023 were restated following the entry into force of the eighth update of Bank of Italy Circular No. 262/2005, which transposed the new standard IFRS 17 – Insurance Contracts.

Notes to the accounts \| Part D – Comprehensive consolidated profit and loss account \| 247

**Part E – Information on risks and related hedging policies**

**INTRODUCTION**

As part of the Group's risks governance process, a key role is played by the Risk Management unit, which identifies, measures and monitors all the risks to which the Banking Group (or, the "Group") is exposed, and manages and mitigates them in co-ordination with the various business areas. The unit's main duties and responsibilities are described below, along with its characteristics in terms of independence, plus an indication of the role of the other company units in risk management<sup>(55)</sup>.

For the qualitative disclosure, please refer to Section 2 - Consolidated prudential risks.

**SECTION 1**

**Consolidated accounting risks**

The accounting consolidation area includes the line-by-line consolidation of the subsidiary Compass RE (insurance companies), of the subsidiaries excluded from the Banking Group as per the Register of Banking Groups of the Bank of Italy (Compass Rent, MBContact Solutions, and RAM UK), and minor subsidiaries (Quarzo S.r.l., MBUSA, MB Covered, MB Immobiliere, MB Funding LUX, Spafid SIM, Spafid Trust, MA USA and Compass Link), which due to immateriality, as provided for in Article 19 of the CRR, are, instead, consolidated with the equity method within the prudential scope of application.

<sup>(55)</sup> For discussion of credit risk, reference is made to section 2, "Prudential consolidation risks", sub-section 1.1, "Credit risk: Qualitative information", § 2, "Credit risk management policies"; for discussion of market risks, reference is made to sub-section 1.2, "Market risks"; on exchange rate risks, see § 1.2.3, "Exchange rate risk"; on liquidity risk, see section 1.4, "Liquidity risk"; and on operational risks, see section 1.5, "Operational risks".

248 \| Consolidated financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

**A. Credit quality**

**A.1 Non-performing and performing exposures: amounts, value adjustments, trends and segmentation by earnings**

*A.1.1 Financial assets by portfolio and credit quality (book value)*

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Portfolio/quality** | **Portfolio/quality** | <br>**Bad loans** |<br>**Unlikely to**<br>**pay** | **Overdue non-**<br>**performing**<br>**exposures** | **Overdue**<br>**performing**<br>**exposures** | **Other**<br>**performing**<br>**exposures** |<br>**Total** |
| 1. | Financial assets measured at amortized cost | 29626 | 231423 | 152604 | 207159 | 63538124 | 64158936 |
| 2. | Financial assets measured at Fair Value through other comprehensive income |  |  |  |  | 6649463 | 6649463 |
| 3. | Financial assets designated at Fair Value |  |  |  |  | 719215 | 719215 |
| 4. | Other financial assets mandatorily measured at Fair Value |  |  |  |  | 1938 | 1938 |
| 5. | Financial assets held for sale <sup>(\*)</sup> |  |  |  |  |  |  |
| Total 30 June 2024 | Total 30 June 2024 | 29626 | 231423 | 152604 | 207159 | 70908740 | 71529552 |
| Total 30 June 2023 | Total 30 June 2023 | 279711 | 216091 | 117421 | 244388 | 68283327 | 69140938 |

---

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| | |
|:---|:---|
| <sup>(\*)</sup> | The amount of non-performing loans as at 30 June 2023 included NPLs acquired by Revalea in an amount of €238.8m. |

---

Overdue performing loans concern overdue performing loans and mainly refer to factoring (€58.1m, 0.8% of total performing loans of the segment) and mortgage loans (€58.8m, i.e. 0.8%). The item also includes net exposures being renegotiated under the terms of collective agreements amounting to €91.2m, consisting primarily of mortgage loans (€90.3m). Of the overdue performing loans, the instalments actually unpaid stood at 28% (gross value of €73.1m).

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 249

*A.1.2 Financial assets by portfolio/credit quality (gross/net values)*

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Performing** | **Performing** | |
| **Portfolio/quality** | **Portfolio/quality** | **Gross**<br> **exposure**  | **Overall**<br> **value**<br> **adjustments** | **Net**<br> **exposure**  | **Overall**<br> **partial**<br> **write-offs** | **Gross**<br> **exposure**  | **Overall<br> value<br> adjustments** | **Net<br> exposure** |<br>**Total (Net<br> exposure)** |
| 1. | Financial assets measured at amortized cost | 1330078 | (916425) | 413653 | 945 | 64446106 | (700823) | 63745283 | 64158936 |
| 2. | Financial assets measured at Fair Value through other comprehensive income |  |  |  |  | 6657116 | (7653) | 6649463 | 6649463 |
| 3. | Financial assets designated at Fair Value |  |  |  |  | X | X | 719215 | 719215 |
| 4. | Other financial assets mandatorily measured at Fair Value | 6636 | (6636) |  |  | X | X | 1938 | 1938 |
| 5. | Financial assets held for sale |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | Total 30 June 2024 | 1336714 | (923061) | 413653 | 945 | 71103222 | (708476) | 71115899 | 71529552 |
| Total 30 June 2023 | Total 30 June 2023 | 1582068 | (968845) | 613223 | 3662 | 68709039 | (721911) | 68527715 | 69140938 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **Assets with obviously poor credit quality** | **Assets with obviously poor credit quality** | **Other assets** |
| **Portfolio/quality** | **Portfolio/quality** | **Minusvalenze<br> cumulate** | **Net exposure** | **Net exposure** |
| 1. | Financial assets held for trading |  |  | 11622385 |
| 2. | Hedging derivatives |  |  | 560457 |
| Total 30 June 2024 | Total 30 June 2024 |  |  | 12182842 |
| Total 30 June 2023 | Total 30 June 2023 |  |  | 9672011 |

---

Net non-performing assets as at 30 June 2023 include €238.8m in the portfolio of Revalea sold in October of the previous year.

250 \| Consolidated financial statements as at 30 June 2024

**Information on sovereign debt exposures**

*A.1.2a Exposures to sovereign debt securities by state and portfolio* <sup>(\*)</sup>

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Performing** | **Performing** | **Performing** | |
| **Portfolio/quality** | **Portfolio/quality** | **Gross<br> exposure** | **Individual<br> adjustments** | **Portfolio<br> adjustments** | **Net<br> exposure** | **Gross<br> exposure** | **Portfolio<br> adjustments** | **Net<br> exposure** | <br>**Total Net<br> exposure <sup>(1)</sup>** |
| 1. | Financial assets held for trading |  |  |  |  | X | X | 1498038 | 1498038 |
|  | France |  |  |  |  | X | X | 1220030 | 1220030 |
|  | Germany |  |  |  |  | X | X | (26761) | (26761) |
|  | Italy |  |  |  |  | X | X | 76928 | 76928 |
|  | Belgium |  |  |  |  | X | X | 135073 | 135073 |
|  | Other |  |  |  |  | X | X | 92768 | 92768 |
| 2. | Financial assets measured at Fair Value through other comprehensive income |  |  |  |  | 5640627 |  | 5640627 | 5640627 |
|  | Italy |  |  |  |  | 3394098 |  | 3394098 | 3394098 |
|  | Germany |  |  |  |  | 1132387 |  | 1132387 | 1132387 |
|  | United States |  |  |  |  | 537473 |  | 537473 | 537473 |
|  | Spain |  |  |  |  | 249787 |  | 249787 | 249787 |
|  | Other |  |  |  |  | 326882 |  | 326882 | 326882 |
| 3. | Financial assets measured at amortized cost |  |  |  |  | 3213979 |  | 3213979 | 3213979 |
|  | Italy |  |  |  |  | 1985197 |  | 1985197 | 1985197 |
|  | Germany |  |  |  |  | 49202 |  | 49202 | 49202 |
|  | United States |  |  |  |  | 506751 |  | 506751 | 506751 |
|  | France |  |  |  |  | 640696 |  | 640696 | 640696 |
|  | Other |  |  |  |  | 32133 |  | 32133 | 32133 |
| Total 30 June 2024 | Total 30 June 2024 |  |  |  |  | 8854606 |  | 10352644 | 10352644 |

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<sup>(\*)</sup> This does not include financial or credit derivatives.

<sup>(1)</sup> The net exposure includes positions in securities (long and short) measured at Fair Value (including the outstanding accrual) except for assets held to maturity which are measured at amortized cost, whose implied Fair Value is €-47m.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 251

*A.1.2b Exposures to sovereign debt securities by portfolio of financial assets* <sup>(\*)</sup>

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Trading Book <sup>(1)</sup>** | **Trading Book <sup>(1)</sup>** | **Trading Book <sup>(1)</sup>** | **Banking Book <sup>(2)</sup>** | **Banking Book <sup>(2)</sup>** | **Banking Book <sup>(2)</sup>** | **Banking Book <sup>(2)</sup>** |
| <br>**Portfolio/quality** | **Nominal Value** | **Book Value** | **Duration** | **Nominal Value** | **Book Value** | **Fair Value** | **Duration** |
| Italy | 1116469 | 1220030 | 0.69 | 5459426 | 5379295 | 5349168 | 4.08 |
| United States | (23731) | (26761) | 0.76 | 1170000 | 1181589 | 1181231 | 2.38 |
| Germany | 83800 | 76928 | 3.11 | 1060000 | 1044224 | 1038474 | 2.11 |
| France |  |  |  | 906119 | 890482 | 880817 | 1.39 |
| Other | 235032 | 227841 |  | 353091 | 359015 | 358147 |  |
| Total 30 June 2024 | 1411570 | 1498038 |  | 8948636 | 8854605 | 8807837 |  |

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| | |
|:---|:---|
| <sup>(\*)</sup> | This figure does not include forward sales with a notional amount of €354m. |

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<sup>(1)</sup> This item does not include sales on the Bund/Bobl/Schatz future (Germany) for €2.5m (with a negative Fair Value of €0.1m) and sales on the BTP future (Italy) for €604m (with a positive Fair Value of €3.5m); moreover, net hedging purchases of €485m, €360m of which attributable to Germany country risk, were not counted.

<sup>(2)</sup> This item does not include the instrument linked to the appreciation of Greek GDP (referred to as "GDP Linkers Securities") with a notional amount of €127m.

**B. Information on structured entities**

In accordance with the provisions of IFRS 12, the Group treats the entities it sets up in order to achieve a limited and well-defined objective regulated by contractual agreements that often impose narrow restrictions on the decision-making powers of its governing bodies as structured entities (i.e. special purpose vehicles, SPV, or special purpose entities, SPE). Such entities are structured to ensure that the voting rights (or similar) are not the main factor in establishing who controls them (the relevant activities are often governed by contractual agreements agreed when the entity itself is structured and are therefore difficult to change).

**B.1 Consolidated structured entities**

As stated in Part A – Section 3 of the Notes to the Accounts, the securitization SPVs instituted pursuant to Italian law 130/99, namely Quarzo S.r.l. and MB Funding Lux S.A., a company incorporated under Luxembourg law and 100%-owned by Mediobanca S.p.A., are included in the Group's area of consolidation.

**B.2 Structured entities not consolidated in accounting terms**

The Group has no other interests in the capital of structured entities to report, apart from the stock units held in UCITs in connection with its activities as sponsor (Premier Mediobanca!, CMB Monaco, Polus Capital Management and RAM

252 \| Consolidated financial statements as at 30 June 2024

Active Investments) and as investor in funds promoted by Mediobanca S.p.A., which include Seed Capital activities for funds managed by Group companies.

**B.2.1 Structured entities consolidated prudentially**

As at 30 June 2024 there was no disclosure to be made as no instances of this type of interest apply.

**B.2.2 Other structured entities**

**QUALITATIVE INFORMATION**

The Group's operations are performed through special purpose vehicles (SPVs), as follows:

**UCITS**

With regard to RAM Active Investments SA funds, the Parent Company subscribed to investments for a NAV of €167.5m, which concerns RAM Global Sustainable Income Equities (€16.4m), RAM Stable Climate Global Equities (€35.1m), RAM Global Multi-Asset (€38.9m), RAM Asia Bond Total Return (€16.5m), RAM Mediobanca Strata UCITS Credit (€60.6m); all of the above investments are UCITS established under Luxembourg law with a NAV calculated daily, to which direct investments of €3m should be added.

With regard to Polus Capital Management, the Group had investments of €224.4m in place (€163.3m as at 30 June); specifically, the Parent Company invested €80.9m in the credit fund Polus European Loan Fund and €44.8m in the CLO vehicles called CLI Holdings I (€7.8m) and CLI Holdings II (€37m),<sup>(56)</sup> to which the following two new investments were added starting from the year under review: €84.7m in the new Luxembourg closed-end alternative fund Polus Special Situations Fund<sup>(57)</sup> subscribed by Mediobanca International

<sup>(56)</sup> For the latter, it should be noted that during the financial year, a hedging transaction was negotiated with a major insurance company via insurance policy for an initial €25m. For further details, please refer to Section C-Securitization Transactions.

<sup>(57)</sup> With regard to the PSSF structure, investments are made through three Feeder funds (société en commandite spéciale) denominated in various currencies (USD, EUR, GBP) and flow into a Master fund (also société en commandite spéciale) denominated in Euros which implements the investment strategy. The General Partner of the fund is Polus Special Situations Fund (GP) S.A.R.L, which is responsible for the operation of the fund, but does not make investments and has no economic interest in it. Polus Capital Management Limited is the Portfolio Manager of PSSF.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 253

Luxemburg; new CLO operations in the United States (whose first transaction in the warehousing phase), which had an outlay of €9.1m.<sup>(58)</sup>

With regard to the funds managed by Mediobanca SGR and Mediobanca Management Company, the Group subscribed to funds for €23.1m (€38.4m at 30 June), which included €13.6m subscribed by the Parent Company mainly in the Mediobanca Euro High Yield (€4.6m) and Mediobanca Social Impact (€8.2m) funds, in addition to investments of €7.5m subscribed by Mediobanca Premier in the Mediobanca Schroder Diversified Income Bond ESG bond fund.

CMB Monaco placed four segments of CMB Global Lux (a company authorized under Luxembourg law) with its clients; the SICAV is managed by CMB Monaco itself, while the management and custody of the funds is the responsibility respectively of its subsidiary CMG Monaco and CACEIS Luxembourg. As at 30 June 2024, the Parent Company held no investment in the segments referred to above.

Mediobanca also invests in the Negentropy RAIF fund, an alternative investment fund incorporated under Luxembourg law managed by Negentropy Capital Partners Limited, with an investment of €61.3m (€64.1m as at 30 June last).

The process of delegating and sub-delegating investment activities, along with the broad powers of discretion afforded to delegates and the temporary nature of the investments mean that the ability to impact on returns stipulated by IFRS 10 as a precondition for establishing control of SICAVs does not apply in these cases; hence Mediobanca does not have direct control.

***Asset-backed SPEs***

The entities in this case have been set up to acquire, build or manage physical or financial assets, for which the prospect of recovering the credit concerned depends largely on the cash flows to be generated by the assets.

As part of its ordinary lending operations, the Group finances asset-backed SPEs but without holding any form of direct equity stake or interest in them, hence this does not qualify as acting as sponsor.

<sup>(58)</sup> €4.5m of which subscribed by the Parent Company and €4.7m directly by Polus.

254 \| Consolidated financial statements as at 30 June 2024

Hold to Collect lending transactions, recorded under asset Heading 40, "Financial assets measured at amortized cost – due from customers: composition", in which the Group is the sole lender, involve an amount of €620.6m.

**QUANTITATIVE INFORMATION**

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Balance-sheet item/SPE type** | **Accounted for under asset heading** | **Total<br> assets<br> (A)** | **Accounted<br> for under<br> liability<br> heading** | **Total<br> liabilities<br> (B)** | **Net<br> asset<br> value<br> (NAV)<br> (C=A-B)** | **Maximum<br> exposure<br> to risk of<br> loss<br> (D)** | **Difference<br> between<br> exposure<br> to risk<br> of loss and<br> NAV<br> (E=D-C)** |
| Polus European Loan Fund | Financial assets mandatorily measured at Fair Value | 80949 |  |  | 80949 | 80949 |  |
| Cairn Loan Investments Holding I | Financial assets mandatorily measured at Fair Value | 7823 |  |  | 7823 | 7823 |  |
| Cairn Loan Investments Holding II | Investments measured using the Equity Method under IAS 28 | 37003 |  |  | 37003 | 37003 |  |
| Polus Special Situations Fund | Financial assets mandatorily measured at Fair Value | 84734 |  |  | 84734 | 84734 |  |
| US CLO | Financial assets mandatorily measured at Fair Value | 9159 |  |  | 9159 | 9159 |  |
| Other Cairn Funds | Financial assets mandatorily measured at Fair Value | 4719 |  |  | 4719 | 4719 |  |
| RAM Mediobanca Strata UCITS Credit Fund | Financial assets mandatorily measured at Fair Value | 60642 |  |  | 60642 | 60642 |  |
| RAM — Asia Bond Total Return | Financial assets mandatorily measured at Fair Value | 16523 |  |  | 16523 | 16523 |  |
| RAM — Global Sustainable Income Equities | Financial assets mandatorily measured at Fair Value | 16338 |  |  | 16338 | 16338 |  |
| RAM — Global Multi—Asset | Financial assets mandatorily measured at Fair Value | 38852 |  |  | 38852 | 38852 |  |
| RAM Stable Climate Global Equities | Financial assets mandatorily measured at Fair Value | 35115 |  |  | 35115 | 35115 |  |
| Mediobanca Schroder Diversified Income Bond ESG | Financial assets mandatorily measured at Fair Value | 7530 |  |  | 7530 | 7530 |  |
| Mediobanca Social Impact | Financial assets mandatorily measured at Fair Value | 8247 |  |  | 8247 | 8247 |  |
| Mediobanca Fondo per le Imprese II | Financial assets mandatorily measured at Fair Value | 776 |  |  | 776 | 776 |  |
| Mediobanca Euro High Yield | Financial assets mandatorily measured at Fair Value | 4586 |  |  | 4586 | 4586 |  |
| Negentropy RAIF Fund | Financial assets mandatorily measured at Fair Value | 61265 |  |  | 61265 | 61265 |  |
| CMG Funds | Financial assets mandatorily measured at Fair Value | 49 |  |  | 49 | 49 |  |
| Asset-backed SPEs | Financial assets at amortized cost | 620610 |  |  | 620610 | 620610 |  |

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Notes to the accounts \| Part E - Information on risks and related hedging policies \| 255

**B.2 Leveraged finance transactions**

The scope of Leveraged Transactions, according to the ECB definition, concerned exposures to counterparties with sub-investment grade ratings and:

whose ratio between the total committed gross debt and EBITDA, at the time of disbursement, was 4 times higher (if it is 6 times higher, the transactions would be classified as "Highly Leveraged Transactions"), or;

Group Legal Entities (with more than 50% of the share capital) owned or possessed by a financial sponsor.

At 30 June 2024, the total exposure of Leveraged Transactions amounted to €2,452m,<sup>(59)</sup> a decrease of 45% on the previous year representing 16% of the total Corporate Loan portfolio, i.e. approximately 5% of the Group's RWA.

The portion of "Highly Leveraged Transactions" (HLT) amounted to €1,119m (with an impact of 15% on CET1), down compared to June 2023 (respectively €1,845m); of these only €87m were "Pure LBOs" compared to an NPL share which was significantly reduced from €112m to €12m.

The leveraged exposure is mainly related to the Corporate (51%), Holding (33%) and Infrastructure (11%) categories.

During the financial year, overall new loans of €152m were recorded, offsetting terminations and net repayments of €1,793m. Exits from the Leveraged scope due to an improvement in the classification parameters amounted to €350m.

Compared to the previous financial year, the incidence on the Leverage Finance portfolio of exposures with a "B" rating decreased from 21% to 5%, mainly due to certain repayments.

<sup>(59)</sup> <sup></sup> This includes off-balance sheet exposures (commitments and derivatives) of €938m.

256 \| Consolidated financial statements as at 30 June 2024

**SECTION 2**

**Prudential consolidation risk <sup>(\*)</sup>** 

**1.1 CREDIT RISK**

**QUALITATIVE INFORMATION**

Although risk management is the responsibility of each individual business unit, the Risk Management Unit presides over the functioning of the Group's risk system, defining the appropriate global methodologies for measuring risks, current and future, in conformity with the regulatory requirements and the Group's own operating choices identified in the RAF,<sup>(60)</sup> monitoring risks, and ascertaining that the various limits established for the various business lines are complied with.

Risk Management is organized around local teams based at the various Group companies, in accordance with the principle of proportionality, under the co-ordination of the Risk Management unit at Parent Company Mediobanca S.p.A. (the "Group Risk Management Unit"), which also performs specific activities for the Parent Company scope of risk, in the same way that the local teams do for their own companies. The Group Risk Management unit, reporting directly to the Chief Executive Officer and under the direction of the Group Chief Risk Officer, is made up of the following organizational units:

&nbsp;&nbsp;&nbsp;&nbsp;i) Risk Integration, which manages relations with the Supervisory Authorities and carries out the Group's integrated processes (ICAAP, RAF, Recovery Plan); ii) Risk Transformation, responsible for developing, coordinating, streamlining and standardizing the evolution of IT within Risk Management; iii) CIB Credit Risk Management, responsible for defining and monitoring credit strategies and quantitative methodologies for measuring and managing credit risks; iv) Credit Risk Management, which is responsible for carrying out credit risk analysis, assigning internal ratings to counterparties and loss parameter in the event of insolvency; v) Retail Credit Risk Management, for the supervision of subsidiaries

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| | |
|:---|:---|
| <sup>(\*)</sup> | The companies Compass RE, Compass Rent, MBContact Solutions, RAM UK, Quarzo S.r.l., MBUSA, MB Covered, MB Immobiliere, MB Funding LUX, Spafid SIM, Spafid Trust, MA USA, Compass Link, and Soisy are not included in the prudential consolidation scope. Please see Section 1 - Consolidated Accounting Risks in this Part E. |

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<sup>(60)</sup> On 27 June 2024, the Board of Directors approved the Policy update on the definition of Risk Appetite and calibration of the risk appetite statement (RAS). In this Framework, based on the strategic plan and the maximum tolerable risk, the Group defines the level and type of risks which the Bank intends to assume, plus any objectives, tolerance thresholds and operating limits to be complied with under normal operating and stress conditions.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 257

operating in retail credit; vi) Financial Risk Management, which is responsible for monitoring market and counterparty risks, asset and liability management, monitoring liquidity risks and validating Fair Value methodologies; vii) Non-Financial Risk Management, responsible for monitoring operational and fraud risks, risks related to the distribution of investment products and services to customers, IT and security risks, as well as outsourcing risks; viii) Internal Validation & Control, which defines the methodologies, processes, tools and reporting used in internal validation activities, carries out the validation of the Group's risk measurement systems, defines and carries out control activities regarding the Parent Company's main credit processes.

With regard to the authorization process for the use of internal models for the calculation of regulatory capital requirements due to credit risk, please refer to paragraph "*E. Prudential consolidation – credit risk measurement models*".

***Impacts arising from the war in Ukraine and the Middle East***

The Group's portfolio does not show significant direct credit exposures to the Russian Federation, Ukraine and Belarus, nor to the Middle East.

The exposures as at 30 June 2024 confirmed those of the previous year and concerned approximately €13m in Corporate and Investment Banking, €366.7m in Private loans (€307m) and €92m in Retail (substantially unchanged).

The CIB direct exposure was provided by Mediobanca International and is classified at Stage 3 but is covered by insurance (Sace).

Private Banking exposures concern 65 households of CMB Monaco customers of Russian or Ukrainian nationality, most of whom reside in Europe or in any case abroad (only 5 households in reference to persons residing in the Russian Federation remain for €6.7m); however, these are largely loans secured by prestigious properties in the Monaco – Côte d'Azur area and/or by financial instruments deposited with the Bank (sureties altogether established on such exposures entail a limited Loan to Value, under 40%).

Retail Banking exposures concerned Compass clients (€61.8m) and Mediobanca Premier clients (€30m), classified according to their Russian and Ukrainian nationality, even though residing in Italy in nearly all cases.

258 \| Consolidated financial statements as at 30 June 2024

**2. Credit risk management policies**

*2.1 Organizational aspects*

The Group has adopted a risk governance and control system structured across a variety of organizational units involved in the process, ensuring that all relevant risks to which the Group is or might be exposed are managed effectively, and at the same time guaranteeing that all forms of operations are consistent with their own risk appetite.

The Board of Directors, in view in particular of its role of strategic supervision, is responsible for approving strategic guidelines and directions of the Risk Appetite Framework (RAF), the adoption of Internal Rating Systems (IRB) at the Parent Company level and the Roll-Out Plan for gradually extending the IRB approach across the whole Group, business and financial plans, budgets, risk management and internal control policies, and the Recovery Plan drawn up in accordance with the provisions of the Bank Recovery and Resolution Directive (Directive 2014/59/EU).

The Risk Committee assists the Board of Directors in performing monitoring and investigation duties in respect of internal controls, risk management, and accounting infrastructure. The Statutory Audit Committee supervises the risk management and control system as defined by the RAF and the internal controls system, assessing the effectiveness of the structures and units involved in the process and coordinating them.

As part of the Parent Company's risk governance system, the following managerial committees have specific responsibilities in the processes of taking, managing, measuring and controlling risks: Group Risk Management Committee, responsible for issuing guidance at the Group level in respect of all risks (not including the risk of conduct); Credit and Market Committee, with decision-making powers over credit, counterparty and market risks; New Operations Committee, for the preventive evaluation of new activities and approval of the entry into new sectors, new products and related pricing models.

*2.2 Management, measurement and control systems*

In the process of defining its Risk Appetite Framework ("RAF"), Mediobanca has determined the level of risk (overall and by individual type) which it intends to assume in order to pursue its own strategic objectives, and has identified the

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 259

metrics to monitor and the relevant tolerance thresholds and risk limits. The RAF is the framework which links risks to the company's strategy (translating mission and strategy into qualitative and quantitative risk variables) and risk objectives for the company's operations (translating risk objectives into limits and incentives for each area).

As required by the prudential regulations, the formalization of risk objectives, through definition of the RAF, which are consistent with the maximum risk that can be taken, the business model and strategic guidance is a key factor in establishing a risk governance policy and internal controls system with the objective of enhancing the bank's capability in terms of governing its own company risks, and also ensuring sustainable growth over the medium and long term. In this connection, the Group has developed a Risk Appetite Framework governance model which identifies the roles and responsibilities of the Corporate Bodies and units involved, with co-ordination mechanisms instituted to ensure the risk appetite is suitably incorporated into the management processes.

In the process of defining its Risk Appetite, the Parent Company:

– identifies the risks which it is willing to assume;

– defines, for each risk, the objectives and limits in normal and stressed conditions;

– identifies the action necessary to bring the risk back within the set objective.

To define the RAF, based on the strategic positioning and risk profile set by the Group as its objective, the Risk Appetite statement is structured into metrics and risk thresholds, to be identified with reference to the following framework risk pillars, in line with best international practice: capital adequacy, liquidity and funding adequacy, profitability, bank-specific factors and non-financial risks. The Board of Directors has a proactive role in defining the RAF, guaranteeing that the expected risk profile is consistent with the Strategic Plan, budget, ICAAP and Recovery Plan, and structured into adequate and effective metrics and limits. For each pillar analysed, the risk assumed is set against a system of objectives and limits representative of the regulatory restrictions and the Group's general attitude towards risk, as defined in accordance with the strategic planning, the internal capital adequacy assessment process (ICAAP), the internal liquidity adequacy assessment (ILAAP) and risk management processes.

260 \| Consolidated financial statements as at 30 June 2024

In addition to identifying and setting the risk appetite parameters, the Bank also governs the mechanisms regulating the governance and processes for establishing and implementing the RAF, in terms of updating/reviewing, monitoring, and reporting to the Committees and Corporate Bodies. Based on its operations and the markets in which it operates, the Group has identified the relevant risks to be submitted to specific assessment in the course of the reporting for the ICAAP (Internal Capital Adequacy Assessment Process),<sup>(61)</sup> appraising its own capital adequacy from both a present and future perspective which takes into account the strategies and development of the reference scenario. As required by the provisions of the Capital Requirements Directive IV ("CRD IV"), the Group prepares an Internal Liquidity Adequacy Assessment Process document (ILAAP), describing the set of policies, processes and instruments put in place to govern liquidity and funding risks. The Group's objective is to maintain a level of liquidity that enables it to meet ordinary and extraordinary payment obligations, while minimizing costs at the same time. The Group's liquidity management strategy is based on the desire to maintain an appropriate balance between potential inflows and potential outflows, in the short and the medium/long term, by monitoring both regulatory and management metrics, in accordance with the risk profile defined as part of the RAF.

*2.3 Methods for measuring expected losses*

Under IFRS 9 "Financial Instruments", assets not measured at Fair Value on a regular basis (i.e. financial assets and liabilities measured at amortized cost and off-balance sheet exposures) must be tested for impairment based on expected losses.

The internal rating models are the baseline instrument for determining the risk parameters to be used in calculating expected losses, subject to the regulatory indicators being adjusted for aspects which are not suitable to be used directly in an accounting environment (e.g. in some cases reconverting the data to reflect a "point-in-time" approach). Under IFRS 9, expected losses are calculated as the product of the PD, LGD and EAD metrics. This calculation is based on the residual life for instruments that have undergone a significant risk deterioration (referred to as "Stage 2") or that show objective signs of deterioration ("Stage 3") and over a 12-month horizon for instruments that do not fall into the previous categories ("Stage 1"). For off-balance sheet exposures,

<sup>(61)</sup> In line with the provisions of the Bank of Italy contained in Circular No. 285 "Supervisory instructions for banks" of 17 December 2013 and subsequent updates.

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credit conversion factors arising from internal models are used to calculate expected losses; if there are no specific models, the factors associated with the standard EAD calculation are used.

The Group adopts qualitative and quantitative criteria to establish whether there has been a significant increase in credit risk (SICR), using backstop indicators, such as accounts which are thirty or more days overdue or have been classified as forborne, to assess whether or not they should be treated as Stage 2. Cases of low-risk instruments at the recording date are identified, compatible with classification as Stage 1 (low credit risk exemption), where there is a BBB-rating on the Standard & Poor's scale, or a corresponding internal PD estimate.

Consistent with the options granted by IFRS 9, a change in forward-looking PD is used as the benchmark quantitative metric for measuring the Significant Increase in Credit Risk (SICR) for the purpose of identifying positions to be classified as Stage 2. The Group is transitioning to a method that involves the comparison of lifetime PDs between reference and origination dates, abandoning the use of twelve-month PDs. Compass and Mediobanca Premier applied this new method as of the year under review; with regard to Mediobanca, the preliminary assessments conducted revealed no material changes. The change in Lifetime PD selected to determine reclassification to Stage 2, and the qualitative elements observed, are specific to each Group company.

Provisioning reflects the sum of the expected credit losses (over a time horizon of twelve months or based on a lifetime approach<sup>(62)</sup> depending on the relevant Stage), discounted at the effective interest rate. The expected credit loss is the result of a joint assessment of three scenarios, a baseline scenario and two alternative scenarios. The scenarios, drawn up at Group level, are revised at least once every six months. In particular, scenarios are defined by the designated Group Economic and Macro Strategy (GEMS) unit, which is also responsible for assigning the relevant weights.

The weights of the scenarios used in determining ECL were set at 55% for the base scenario; 15% for the mild-positive scenario and 30% for the mild-negative scenario; the values represent the subjective probability of occurrence, quantified analytically by the GEMS unit based on the statistical distribution of previous estimate errors.

<sup>(62)</sup> The lifetime approach considers the contractual expiry of the exposure where possible. For products which do not have a contractual expiry date (e.g. credit cards, bill repayment plans, cancellable credit lines, current accounts or overdrafts on current account), the calculation is made over a 12-month time horizon.

262 \| Consolidated financial statements as at 30 June 2024

The Mediobanca Group uses additional provisions (overlays). Overlays were applied in the Corporate division (including Factoring and Leasing) concerning sectors particularly exposed to inflationary pressure in order to measure any risk peaks that the quantitative methodology captures only on an average basis. Overlays were maintained for retail positions (Consumer Banking and mortgage loans) against uncertainties of the macroeconomic framework, in continuity with the previous year; with reference to the Consumer Banking sector, the reduction of the overlay stock is linked to the absorption of ECLs as per the model for the rise of PD towards structural levels. The Group is reviewing the relevant internal regulations, among other things with the aim of strengthening its overlay governance in terms of both the decision-making process and possible scenarios, which will be implemented during the year 2024-2025 while addressing other areas for improvement that emerged after the ECB's regular inspection activities.

With regard to the calculation of ECLs, sensitivity analyses were also carried out with respect to possible alternative macroeconomic scenarios in order to assess how the forward-looking factors could affect expected losses in different scenarios based on consistent forecasts during the evolution of the various macroeconomic factors. The number of possible interrelations between the individual macroeconomic factors is so high that a sensitivity analysis of expected losses based on one factor alone is practically meaningless. In particular, the impact resulting from applying the risk parameters obtained respectively through the adoption of a baseline scenario and two alternative scenarios, mild-positive and mild-negative, was estimated in terms of ECLs.

The analysis covered the exposures of the Group's main portfolios: the Wholesale portfolio of Mediobanca S.p.A. and Mediobanca International, Mediobanca Private Banking portfolio, Mediobanca Premier mortgages, Compass consumer credit, MBFACTA factoring, Selma BPM leases.

The ECL calculated when the baseline scenario occurs resulted in a +0.4% change compared to the pre-overlay ECL. The ECL calculated with the mild-negative (mild-positive) scenario resulted in a +2.3% (-1.6%) change in the post-overlay ECL.

If one of the mild-negative, baseline and mild-positive scenarios occurs with certainty, the relative change in the Stage 2 exposure as a percentage of the

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 263

performing exposure (gross carrying amount), including both on-balance-sheet and off-balance-sheet exposures, is +1%, -0.8% and -2% respectively.

*2.4 Credit risk mitigation techniques*

The Group has put in place a system for managing credit risk mitigation techniques, which covers the entire process of obtaining, assessing, supervising and implementing the mitigation instruments in use. The requirements for eligibility of collateral and guarantees are set out in Regulation (EU) 575/2013 of the European Parliament and of the Council as amended (the "CRR"). The Group has also compiled specific criteria by which collateral not recognized for regulatory purposes may in any case be recognized at the operating level as effective to mitigate credit risk.

The use of financial instruments or of moveable and immoveable assets as collateral and of personal guarantees is widespread in lending activity. In particular:

mortgage guarantees: when mortgages are taken out, valuations are required from independent experts; specific procedures are also in place to calculate the Fair Value of the asset and monitor it at regular intervals, based on market indicators furnished by external information providers; further valuations are also required in cases where significant departures are noted from the most recent valuation available;

– pledges: pledges are valued according to the market value for listed financial instruments, or on the basis of their expected realizable value; prudential haircuts are then applied to the values thus calculated which differ according to the financial instruments over which the pledge has been made.

The Group also adopts risk mitigation policies by entering into netting and collateral agreements, verifying whether the agreements are legally valid and meet the regulatory criteria to be recognized for prudential purposes.

Credit Risk Mitigation activities are governed by specific Directives adopted by the Group companies concerned. The specific nature of the products originated by the individual businesses and the forms of collateral securing them, as well as the different organizational models necessarily adopted by the various Group Legal Entities, means that different CRM processes must coexist within the Group as a whole. In particular, the phases of obtaining the collateral, checking, reporting and assessing its eligibility may be performed by different

264 \| Consolidated financial statements as at 30 June 2024

units. However, the role of Risk Management unit in setting eligibility criteria for regulatory and management purposes remains central, and the Group Risk Management unit is responsible for supervising overall consistency in this area. Controls of the mitigation instruments are included in the general risk control and management framework.

In Private Banking in particular, the situations most at risk have been identified, and for "Lombard" credit in particular work has begun quickly on restoring the collateral margins typically associated with this form of credit. The overall exposure reflects both portfolio diversification for the collateral and the haircuts required when the lending value is determined.

**3. Non-performing credit exposures**

The Group is distinguished by its prudent approach to risk, which is reflected in the fact that its overdue exposure levels (Non-performing loan - NPL) are among the lowest seen in the Italian national panorama. The Group's management of non-performing loans also helps to keep their level low on the books, including the use of different options typically available, such as disposals (of both individual assets and portfolios), collateral enforcement, and negotiation of restructuring agreements.

The Group uses a single, like-for-like definition for the concepts of "default" as defined by the regulations on regulatory capital requirements, "non-performing", used for supervisory reporting statistics, and Stage 3 assets, or "credit-impaired" assets, as defined by the accounting standards in force. In this regard, the Group has implemented the EBA Guidelines on the adoption of the definition of default (EBA/GL/2016/07), Delegated Regulation (EU) 2018/171 of the Commission of 19 October 2017, and Regulation (EU) 2018/1845 of the ECB of 21 November 2018. In line with these principles, instances of assets which qualify as "non-performing" include:

exposures identified using the 90 days past due principle, based on which the regulations referred to above have standardized the calculation criteria in use at EU level (in particular with reference to the applicable materiality thresholds, and the irrelevance of which instalment in particular is established as being past due for calculation purposes);

– cases in which the credit obligation has been sold, leading to material losses in relation to the credit risk;

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 265

– debt restructuring which entails a cost, i.e. restructuring the debt of a borrower who is in or is about to encounter difficulties in meeting their own financial obligations, which may imply a significantly reduced financial obligation;

– cases of insolvency or other systems of protection covering all creditors or all unsecured creditors, the terms and conditions of which have been approved by a judge in a court of law or another competent institution;

instances identified through other indicators of a borrower being unlikely to pay, such as the enforcement of guarantees, breach of given financial leverage ratios, negative evidence in information systems such as central credit databases, or the borrower's sources of income suddenly becoming unavailable.

This approach is adopted differently within the individual Group companies, which, depending on the specific monitoring processes they have implemented, may choose to detect non-performing positions before the 90 days past due status by running individual analyses or applying automatic algorithms. Equally, the accounting measurement of non-performing exposures may reflect either the analysis of individual positions, or be based on identifying clusters of similar positions, depending on the specific nature of the Group company's business.

At the monitoring stage, the write-off for credit losses on financial assets is also assessed, i.e. when in part or in whole. Those write-offs are possible even before completion of the legal action to recover the asset, and this does not necessarily entail waiving the legal right to recover the amount.

In order to adequately monitor the management of NPL portfolios, in recent years, several measures have been issued by the Regulator for the purpose of directing the financial sector towards minimizing their stocks of non-performing portfolios and speeding up recovery. On 26 April 2019, the European Parliament published an amendment to Regulation (EU) 575/2013 (CRR) in the Official Journal with the inclusion of rules to be applied for the coverage of NPLs (referred to as Calendar Provisioning) deriving from loans granted starting from the date of issue of the amended Regulation. For supervisory reporting purposes, Calendar Provisioning requires the full hedging of non-performing loans once they have been held in the portfolio for a defined period.

266 \| Consolidated financial statements as at 30 June 2024

**4 Financial assets subject to commercial renegotiations and forbearance measures**

Financial assets may be subject to contractual amendments based primarily on two different needs: maintaining a mutually satisfactory commercial relationship with clients, or re-establishing/improving the credit position of customers who are facing, or about to face, difficulties in complying with the commitments they have entered into.

The former case, defined as commercial renegotiation, recurs when the client might want to end the relationship, as a result of its credit quality and of favourable market conditions. In a situation such as this, changes can be made at the client's initiative or on a preventative basis in order to maintain the relationship with the client by improving the commercial terms offered, without prejudice to a satisfactory return on the risk and in compliance with the general strategic objectives (e.g. in terms of target customers).

The second case, which corresponds to the notion of forbearance measure, is detected in accordance with specific regulations when contractual amendments are made or refinancing arrangements are entered into.

For an exposure to be classified as forborne, the Group assesses whether or not such concessions (typically rescheduling expiry dates, suspending payments, refinancing operations or waivers to covenants) occur as a result of a situation of financial difficulty which can be traced to the accumulation, actual or potential (if concessions are not granted), of more than thirty days past due. Assessment of the borrower's financial difficulties is based primarily on individual analysis carried out as part of corporate banking and leasing business, whereas certain predefined conditions apply in the case of consumer credit activities (for example, observation of deferrals granted) and real estate loans (e.g. whether the borrower has been made unemployed, cases of serious illness and/or divorce and separation).

Both non-performing exposures and exposures whose difficulties are still compatible with their being treated as performing may be classified as forborne. However, as described in the previous sections, a position being assigned the status of "forborne" is considered to be incompatible with its being treated as Stage 1. For this reason, based on the regulations on supervisory statistical reporting, there is a minimum period of time during which an exposure can

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 267

be classified as "forborne" and this is reflected in the prudential transitions between Stages 1, 2 and 3. For instance, when concessions have been made in respect of Stage 2 exposures, these exposures cannot return to Stage 1 in less than two years, in line with the minimum duration requirement of two years provided for the "forborne performing exposure" status (during this period, the status can only be downgraded to reflect the exposure's transition to non-performing). Similarly, exposures in Stage 3 cannot return to Stage 1 in less than three years, in line with the one-year duration requirement for "forborne non-performing exposure" status, followed (unless the non-performing status needs to be prolonged) by the two-year minimum duration requirement for the "forborne performing exposure" status.

To return to Stage 1, exposures must give proof of having fully recovered their credit quality and the conditions requiring them to be classified as "forborne" must have ceased to apply. Accordingly, monitoring activities over transitions to Stages 2 or 3 are the same as monitoring activities over exposures which have not moved from Stage 1. However, "forborne" exposures that have returned from Stage 3 to Stage 2 are subject to enhanced monitoring, providing that if there is a delay of more than thirty days in payment or if a new forbearance measure is applied, the exposure will immediately return to Stage 3 for prudential purposes.

**5 Details by business segment**

***Corporate activity***

The Bank's internal system for managing, evaluating and controlling its credit risk exposure reflects its traditional policy based on prudence and a highly selective approach: risk assumption is based on an analytical approach grounded on an extensive knowledge of the entrepreneurial, asset and management operations of each financed company, as well as of the economic framework in which it operates. During the analysis, all the necessary documentation was acquired in order to carry out an adequate assessment of the borrower's credit quality and define the correct remuneration of the risk assumed; the analysis included assessments of the duration and amount of credit lines, monitoring of suitable collateral and use of contractual commitments (covenants) aimed at preventing the deterioration of the counterparty's credit quality.

With reference to the correct adoption of Credit Risk Mitigation techniques, specific activities are implemented to define and meet all the requirements

268 \| Consolidated financial statements as at 30 June 2024

to ensure that the real and personal guarantees have the maximum mitigating effects on the exposures. In particular, during the year under review, these activities focused on measuring the value of financial guarantees and on insurance coverage of Factoring exposures.

To determine credit risk, all counterparties are analysed and an internal rating is assigned by the Risk Management unit on the basis of internal models which take into account the specific quantitative and qualitative characteristics of the counterparty. The proposed transactions are also subject to the application of LGD models where appropriate.

Loans originated by the business divisions are appropriately assessed by the Risk Management unit and regulated in accordance with the powers for approval and management of the most significant transactions, through screening at different operating levels.

The Credit Risk Management unit also carries out a review of the ratings assigned to the counterparties at least once a year. Approved loans must also be confirmed by the approving body with the same frequency.

Expected credit losses is calculated individually for non-performing items and based on PD and LGD indicators of the performing portfolio. For individual provisioning, valuations based on discounted cash flows and ratio analysis balance sheet are applied to businesses under the going-concern assumption, while an asset valuation is used in case of liquidation. With regard to performing loans, the PD parameters are obtained starting from the through-the-cycle rating approach used to develop the internal rating model which is then converted to the point-in-time approach. LGDs are calculated according to the modelling used for regulatory calculation, stripped of elements that are more closely attributable to the requirements for internal models, including, in particular, the 45% floor, the downturn effect, and indirect costs. The parameters used to quantify the expected credit loss (as well as the regulatory parameters) are in any case subject to regular evaluation by corporate units. The forward-looking component of the models is the result of the risk indicators applied to the macroeconomic scenarios defined internally.

In terms of monitoring the performance of individual credit exposures, Mediobanca has adopted an early warning system to identify a list of counterparties (known as the "watch list") requiring in-depth analysis on account of their

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 269

potential or obvious weaknesses. The exposures identified are then classified by level of alert (Amber or Red for performing accounts, Black for non-performing items) and are reviewed regularly to identify the most appropriate mitigation actions to be taken. The watch list is used to provide qualitative information regarding allocation to Stage 2, which includes counterparties classified as "Amber" or "Red". All forborne positions are also subject to specific monitoring; it should be noted that forborne positions are also classified in the Watchlist.

***Leases***

Risk assessment is generally based on individual investigations carried out using methodologies similar to those required for Corporate activities. Furthermore, for small-denomination transactions, valuation and approval are required through the use of a credit-scoring model developed according to an historical series, differentiated by product type and by legal nature of the counterparty (type of requesting company).

The activities of analysis, disbursement, monitoring, and credit risk control are significantly supported by the Company's Information System; the asset being leased is also subject to a technical assessment.

With a view to aligning risk management with the current complex financial and market scenario, the approval rights have also been revised and the measurement and control processes enhanced through the institution of regular valuations of performing loans, including from an early warning (i.e. watch list) perspective. Disputes are managed in a variety of ways which prioritize either recovery of the amount owed or the asset under lease, according to the specific risk profile of the account concerned.

The quantification of provisions for non-performing accounts requires individual analysis to establish the estimated loss, taking into account the protection value of the assets resulting from regularly updated expert valuations, prudentially revised downwards, and any other form of collateral. Scenarios referred to selling strategies are also factored in. The portfolio of performing assets is valued on the basis of internal PD and LGD parameters. To define the PD parameters, through-the-cycle transition matrices for the management models based on internal data are used, which are then converted to point-in-time versions. The forward-looking component is factored in by applying the macroeconomic scenarios defined internally to the PD estimates. The LGD estimates for the exposures differ according to type of product (vehicle leasing,

270 \| Consolidated financial statements as at 30 June 2024

core goods, yachts and property), and are subjected to the same macroeconomic scenarios defined internally to obtain forward-looking data.

In terms of criteria for the transition of leasing transactions to Stage 2, in addition to the positions identified using the PD increase quantitative method, with regard to forborne performing positions, i.e. positions 30 days past due, the evidence deriving from the Parent Company's watch list for Corporate customers is used (counterparties classified as "Amber" or "Red" will be included in Stage 2).

***Consumer credit***

Consumer credit operations are performed primarily by Compass, where applications for finance are approved on the basis of a credit scoring system tailored to individual products. The scoring grids have been developed from internal historical series, enhanced by data provided by central credit *bureaux*. Points of sale are linked electronically to the Company's headquarters, to ensure that applications and credit scoring results are processed and transmitted swiftly. Under the system of powers for approval assigned by the Company's Board of Directors, approval is required by the relevant headquarters units for increasing combinations of amount and expected loss, in accordance with the authorization levels established by the Board of Directors.

From the first instance of non-payment, accounts are managed using the entire range of recovery procedures, including postal and telephone reminders, external recovery agents, or legal recovery action. In the presence of minor signs such as queuing (still considered forbearance) or slight but repeated delays in association with negative evidence on external databases, the account is classified as default according to the "unlikely-to-pay" principle. After six unpaid instalments (or four unpaid instalments in particular cases, such as credit cards), the company proceeds to declare that client has lapsed from the time benefit allowed under Article 1186 of the Italian Civil Code. As from the six months after such lapse has been established, accounts for which legal action has been ruled out on the grounds of being uneconomic are sold via competitive procedures to factoring companies, for a percentage of the value of the principal outstanding, which reflects their estimated realizable value.

Provisioning is determined collectively on the basis of PD, LGD and CCF metrics which are estimated using internal models. To estimate PD and LGD parameters for the purpose of calculating lifetime losses, through-the-cycle transition matrices calculated separately by product type were used in line with

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 271

internal operating processes (revolving / balance payment credit cards, special-purpose loans, low-risk personal loans, high-risk personal loans, small tickets and salary-backed loans to public servants, private individuals or retirees). Once the parameters not conditioned by recent historical evidence have been obtained, the forward-looking component is factored in by conditioning PDs, the transition matrices related thereto, and LGDs with specific macroeconomic models based on the Group's internal scenarios and on recent trends in internal default and loss rates.

In consumer credit, in addition to the quantitative criterion based on changes in the PD on a lifetime basis, specific quality indicators are used to classify exposures as Stage 2, such as the existence of suspension measures, the existence of other non-performing accounts for the same borrower, and evidence of irregularities in payment in the recent past.

Purchased or originated credit impaired assets (i.e. POCI) include loans generated via the "Restructuring" product when generated as forborne non-performing loans. Restructuring is a form of facilitation granted only to "past clients" who, for the most part, had difficulties in continuing to pay their instalments regularly (not yet expired and/or previously unpaid). It consists in the consolidation of the residual debt of one or more files that the client had in place into a single new personal loan (new file) with a new repayment plan and a monthly instalment payment for an amount that is lower than the sum of the instalment payments of the "restructured" files. No additional cash is required. It is not a product provided for commercial purposes, but only for the management of existing exposures. Since the instrument was not born as a modification of an existing loan but as a replacement for one or more previous loans that have been cancelled, the derecognition thereof, combined with the creation of an instrument classified as non-performing, will result in its classification as POCI.

The criteria that may lead a Restructuring to be classified as POCI consider any delays on the positions being terminated, the reasons that led to the restructuring (for example, loss of employment), the "distressed restructured" test and the possibility that the instrument may terminate non-performing loans. The classification as POCI will not preclude the fact that the same loan may later return to being classified as performing according to a curing approach adopted for forborne NPE loans.

272 \| Consolidated financial statements as at 30 June 2024

"POCI" assets are valued on the basis of Compass Banca's IFRS 9 provisioning model, derived from appropriate calibrations of AIRB models, and which includes all the static and trend elements necessary to calculate PD and LGD parameters on a forward-looking basis. Since the value adjustments in POCI instruments are calculated on a lifetime basis, they are written down on the basis of the related LGD (including costs and discounting effect) when they are recognized. In the event of a possible transition to performing they will be still written down on a lifetime basis like Stage 2 loans. Collections will proceed according to expectations also given the relative stability of expected loss parameters confirmed after each half-yearly update.

***Factoring***

Factoring, a business in which MBFacta specializes, includes both traditional factoring (i.e. acquisition of short-term trade receivables, often backed by insurance cover) and instalment factoring (acquiring loans from the selling counterparty, to be repaid via monthly instalments by the borrowers whose accounts have been sold, which in virtually all cases is a retail customer).

For traditional factoring, the internal units appraise the solvency of the sellers and the original borrowers via individual analysis using methodologies similar to those adopted for corporate lending; whereas for instalment factoring the acquisition price is calculated following a due statistical analysis of the accounts being sold, and takes into consideration the projected recoveries, costs and expected margins.

Non-performing exposures to corporate counterparties are quantified analytically, while non-performing exposures to retail counterparties are based on the identification of clusters of exposures with similar characteristics. The portfolio of performing assets is valued on the basis of PD and LGD parameters. PDs estimated internally using the Corporate PD Model are used for the definition of PD parameters for counterparties belonging to the Large Corporate sector. Recalibrated PDs provided by third-party provider or estimated internally on the retail portfolio are used in case of counterparties not belonging to the Large Corporate sector.

For transactions valued by the Parent Company as part of its corporate business, the parameters set in the Parent Company's process apply. The evidence obtained from the Parent Company's watch list for corporate clients is also used as qualitative information for reclassification to Stage 2, which includes counterparties classified as "Amber" or "Red".

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***Premier and Private Banking***

Premier and Private Banking operations include granting loans as a complementary activity in serving "Affluent", "High Net Worth" and institutional clients, with the aim of providing them with Wealth Management and Asset Management services. Credit risk exposure takes various forms, such as cash loans (by granting credit on a bank account or through short-, medium-or long-term loans), authorizing overdrafts on a current account, endorsements, mortgages, and credit limits on credit cards.

The grant of such loans is governed through operating powers which require the proposed loan to be assessed at various levels of the organization and approved by the appointed Bodies according to the level of risk resulting from the size of the loan, the guarantees/collateral and the type of finance involved. Such loans are reviewed on a regular basis.

Provisioning for all non-performing contracts is calculated on an individual basis, and takes into account the value of the collateral. Instead, provisioning for the performing contracts is made based on the estimated PD and LGD values, supplied by an external provider, distinguished by counterparty and whether or not there are guarantees. The evidence obtained from the Parent Company's watch list for corporate clients is also used as qualitative information for reclassification to Stage 2, which includes counterparties classified as "Amber" or "Red".

As part of the process to monitor the performance of individual credit exposures, Mediobanca adopts an early-warning approach to identify a list of counterparties ("Watchlist") that are worthy of in-depth analysis for potential or manifest weaknesses; the exposures identified are classified according to different alert levels (Amber, Red, for performing positions, and Black for non-performing positions) and are regularly examined in order to identify the most appropriate mitigation actions. The Watchlist is adopted as a qualitative allocation factor to Stage 2, which includes counterparties classified as "Amber" or "Red". All forborne positions are also subject to specific monitoring; it should be noted that forborne positions are also classified in the Watchlist.

**Mortgage lending**

Mortgage lending is provided primarily by Mediobanca Premier, whose loan risk investigation and approval process is entirely performed centrally at the

274 \| Consolidated financial statements as at 30 June 2024

headquarters. The applications are approved, using an internal rating model, based on individual appraisal of the applicant's income and maximum borrowing levels, as well as the value of the property itself. A constant monitoring of the portfolio, carried out on a monthly basis, ensures control over the risks assumed.

Properties established as collateral are subject to a statistical revaluation process, which is carried out once a quarter. If the review shows a significant reduction in the value of the property, a new valuation is carried out by an independent expert. A new valuation is generally requested for properties established as collateral for positions which have become non-performing.

Accounts (both performing and non-performing) are monitored through a reporting system which allows operators to monitor the trend in the asset quality and, with the help of the appropriate indicators, to enter positions at risk, also to ensure that the necessary corrective actions to credit policies can be taken.

Non-performing accounts are managed, for out-of-court credit recovery procedures, by a dedicated organizational structure with the help of external collectors. In cases where a borrower becomes insolvent (or in fundamentally similar situations), the property enforcement procedures are initiated through external lawyers. Internal procedures require the following to be recorded as unlikely to pay: all cases with four or more unpaid instalments (not necessarily consecutive), cases with persistent irregularities, concessions generating a reduction of more than 1% in the financial obligation, and cases which the unit responsible assesses as unlikely to pay, based on internal or external information (e.g. central databases, public and/or private). Exposures are classified as bad loans once the ineffectiveness of the recovery actions has been certified.

Exposures for which concessions have been granted are defined as forborne exposures, i.e. exposures subject to tolerance measures, performing or non-performing mortgages for which Mediobanca Premier grants amendments to the original terms and conditions of the contract in the event of the borrower finding itself in a (proven or assumed) state of financial difficulty, by virtue of which it is considered to be unlikely to be able to meet its borrowing obligations fully or regularly.

ECLs are quantified analytically for bad loans and based on clusters of similar positions for unlikely to pay, other overdue and performing accounts. With regard to the analytical portion for bad loans, account is taken of expert

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valuations of the assets (prudentially deflated), as well as the timing and costs of the recovery process. Through-the-cycle transition matrices of internal models were used for the definition of PD parameters for the calculation of lifetime losses, later converting the data into point-in-time terms. The forward-looking component is factored in by applying the macroeconomic scenarios defined internally to the PD estimates. The LGD calculation is based on modelling aimed at regulatory calculation, with respect to which the downturn effect is removed; the inclusion of forward-looking elements is based on satellite models applied to macroeconomic scenarios defined internally.

For the purposes of Stage 2 classification of real estate mortgages, in addition to the quantitative method based on lifetime PD changes, specific qualitative indicators were used, such as the assignment to the worst internal rating class before default.

***NPL business***

The Group is no longer active in this business after the subsidiary Revalea was sold in October 2023. The latter operated on the NPL market through the non-recourse acquisition of non-performing loans at a price significantly lower than the nominal value.

**6 Macroeconomic scenarios and impacts**

The macroeconomic scenario for the first half of 2024 that governs the IFRS 9 provision at year-end in the baseline scenario is characterized by the stabilization of geopolitical frictions between the Western bloc and China. Moreover, no further escalation of the Russian-Ukrainian and Israeli-Hamas conflicts is expected.

With regard to energy costs and exchange rates, an evolution in line with what was previously incorporated in the forward rates is assumed. With regard to the PNRR, a low probability that the funds will be spent by the expiry date of August 2026 was assigned. The basic assumption is that the plan will be extended until December 2028 and the funds used pro-rata over the forecast horizon. Eurozone inflation is expected to decline rapidly to reach its annual target of 1.9% by the end of 2024. With regard to the Eurozone's growth, it is expected to stagnate in the first half of 2024 and accelerate from the second half, in conjunction with growing real wages and international trade.

276 \| Consolidated financial statements as at 30 June 2024

The macroeconomic scenario in the mild positive assumption instead foresees a significant decrease in the savings rate of consumer households in the major countries and that households will spend their savings accumulated during the pandemic period. Risk aversion among both individuals and businesses is also expected to decrease and therefore business investment is expected to increase compared to the baseline scenario. Finally, an acceleration of growth is expected for the main economies (US, UK, EZ).

In the alternative mild negative scenario, consumer households are expected to increase their savings rate and not to use the savings accumulated during the pandemic period. A growing aversion to risk is expected for individuals and businesses and therefore lower investments by businesses compared to the baseline scenario. Finally, with regard to public spending, current levels are expected to be maintained.

*Table 1 - Baseline macro-economic scenario at 30 June 2024*

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| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2023** | **2024** | **2025** | **2026** |
| Italy | 0.6% | 0.5% | 1.2% | 0.9% |
| EU | 0.5% | 0.5% | 1.8% | 1.8% |
| USA | 2.4% | 3.1% | 1.8% | 1.8% |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Unemployment rate** | **2023** | **2024** | **2024** | **2026** |
| Italy | 7.7% | 7.5% | 7.8% | 8.0% |
| EU | 6.0% | 6.0% | 5.9% | 5.8% |
| USA | 3.6% | 3.9% | 4.1% | 4.1% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Interest rate of government bonds (10 years)** | **2023** | **2024** | **2024** | **2026** |
| Italy | 4.2% | 3.6% | 3.9% | 4.2% |
| Germany | 2.4% | 2.3% | 2.3% | 2.6% |
| USA | 3.6% | 4.1% | 4.0% | 4.1% |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 277

*Table 2 – Mild-positive macroeconomic scenario at 30 June 2024*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2023** | **2024** | **2025** | **2026** |
| Italy | 0.6% | 0.5% | 2.4% | 1.9% |
| EU | 0.5% | 0.5% | 2.9% | 2.8% |
| USA | 2.4% | 3.1% | 2.6% | 2.5% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Unemployment rate** | **2023** | **2024** | **2024** | **2026** |
| Italy | 7.7% | 7.5% | 7.1% | 6.8% |
| EU | 6.0% | 6.0% | 5.4% | 5.0% |
| USA | 3.6% | 3.9% | 3.5% | 3.1% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Interest rate of government bonds (10 years)** | **2023** | **2024** | **2024** | **2026** |
| Italy | 4.2% | 3.6% | 4.2% | 4.7% |
| Germany | 2.4% | 2.3% | 2.7% | 3.3% |
| USA | 3.6% | 4.1% | 4.4% | 4.9% |

---

Table 3 – Mild-negative macroeconomic scenario at 30/6/2024

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2023** | **2024** | **2025** | **2026** |
| Italy | 0.6% | 0.5% | -0.1% | -0.1% |
| EU | 0.5% | 0.5% | 0.6% | 1.0% |
| USA | 2.4% | 3.1% | 0.9% | 1.2% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Unemployment rate** | **2023** | **2024** | **2024** | **2026** |
| Italy | 7.7% | 7.5% | 8.4% | 9.2% |
| EU | 6.0% | 6.0% | 6.4% | 6.8% |
| USA | 3.6% | 3.9% | 4.6% | 5.2% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Interest rate of government bonds (10 years)** | **2023** | **2024** | **2024** | **2026** |
| Italy | 4.2% | 3.6% | 3.7% | 4.0% |
| Germany | 2.4% | 2.3% | 2.0% | 2.1% |
| USA | 3.6% | 4.1% | 3.6% | 3.5% |

---

The Group kept additional provisions (referred to as Overlays) for the purpose of including the uncertainties of the evolution of the macroeconomic context in hedging levels. Overlays were applied in the Corporate division (including Factoring and Leasing) concerning sectors particularly exposed to inflationary pressure in order to measure any risk peaks that the quantitative methodology captures only on an average basis. Lastly, overlays on Consumer Banking positions and mortgage loans were allocated against the uncertainties of the macroeconomic scenario.

Overall, such overlays amounted to €221.6m (13.7% of total ECLs), split between Consumer Banking (€174.9m, impact of 13.4%), Corporate (€27.5m, which includes €14.9m in Wholesale, €12.6m in Factoring; 33.1% of ECLs), Leasing (€7.2m; 9.6%) and Wealth Management (€12m, entirely attributable to Mediobanca Premier mortgage loans; 8%).

The overlays have increased the level of provisioning, which for performing loans now stands at €691.2m, i.e. 1.31%.

278 \| Consolidated financial statements as at 30 June 2024

*Table 4 – Overlay Stock*

---

| | | |
|:---|:---|:---|
|  | **Overlay stock at** | **Overlay stock at** |
|  | **30 June 2024** | **30 June 2023** |
| Corporate and Investment Banking | 27.5 | 39.9 |
| Consumer Banking | 174.9 | 208.6 |
| Wealth Management | 12.0 | 11.3 |
| Leasing (Holding Functions) | 7.2 | 8.7 |
| Total | 221.6 | 268.5 |

---

Consumer Credit kept a high level of provisioning (with a performing coverage rate of 3.67%, in line with last June's data) and reported a reduction in overlays from €208.6m to €174.9m, linked to the new absorption of ECLs as per the model for the rise of PD towards structural levels. In particular, the continuation of this level of conservatism is consistent with the gradual rise in default rates observed during the year under review towards structural levels and with uncertainties regarding the persistence of inflationary effects over time, which, although in the process of shrinking, could still produce volatility despite the disbursement policies having been restrictive over the last few months.

With reference to Corporate and Investment Banking, overlays of €27.5m were set aside (€14.9m of which in the Large Corporate segment and €12.6m in Factoring) and allocated to sectors especially exposed to inflationary pressures. Large Corporate / Factoring overlays were reduced (down €12m) compared to the previous year due to the classification of some sectors from High / Medium impact to Low impact due to inflation risk as a result of the good quality of the portfolio, normalization of energy prices, and the proven ability to contain inflationary pressure. In general, there was a smaller impact of inflation on the sectors involved. Overlays in Leasing amounted to €7.2m and include a small portion to cover the possible request for a moratorium by customers residing in areas affected by catastrophic events.

With reference to mortgage loans, the overlay amount was €12m (€11.3m). In general, overlays were applied to all performing exposures with a higher level of conservativeness on the portion of portfolio identified as risky following monitoring by the Monitoring and Credit Recovery Unit.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 279

**QUANTITATIVE INFORMATION**

**A. Credit quality**

*A.1 Non-performing and performing exposures: amounts, value adjustments, trends and segmentation by earnings*

*A.1.1 Prudential consolidation – Financial assets by past due brackets (book value)*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Stage 1** | **Stage 1** | **Stage 1** | **Stage 2** | **Stage 2** | **Stage 2** | **Stage 3** | **Stage 3** | **Stage 3** | **Purchased or originated credit <br> impaired assets** | **Purchased or originated credit <br> impaired assets** | **Purchased or originated credit <br> impaired assets** |
| | | **From More than** | **From More than** | | **From More than** | **From More than** | | **From More than** | **From More than** | | **From More than** | **From More than** |
| <br>**Portfolios/risk stages** |<br>**1 to 30**<br>**days** | **30 to 90**<br>**days** |<br>**90 days** |<br>**1 to 30**<br>**days** | **30 to 90**<br>**days** |<br>**90 days** |<br>**From 1 to**<br>**30 days** | **30 to 90**<br>**days** |<br>**90 days** |<br>**From 1 to**<br>**30 days** | **30 to 90**<br>**days** |<br>**90 days** |
| 1. Financial assets measured at amortized cost | 68029 | 39969 | 8053 | 54041 | 46032 | 14253 | 19838 | 37321 | 196374 | 2059 | 3187 | 3584 |
| 2. Financial assets measured at Fair Value through other comprehensive income |  |  |  |  |  |  |  |  |  |  |  |  |
| 3. Financial assets held for sale |  |  |  |  |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | 68029 | 39969 | 8053 | 54041 | 46032 | 14253 | 19838 | 37321 | 196374 | 2059 | 3187 | 3584 |
| Total 30 June 2023 | 212493 | 24483 | 36409 | 40779 | 77399 | 19578 | 115134 | 34951 | 174758 |  |  | 238833 |

---

280 \| Consolidated financial statements as at 30 June 2024

*A.1.2 Prudential consolidation - financial assets, loan commitments and financial guarantees issued: trend in overall value adjustments and overall provisioning*

![](tm2518026d1_ex99-6sp12img001.jpg)

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 281

*A.1.3 Prudential consolidation – Financial assets, commitments to disburse funds and financial guarantees given: transfers between different stages of credit risk (gross and nominal values)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Gross value / nominal value** | **Gross value / nominal value** | **Gross value / nominal value** | **Gross value / nominal value** | **Gross value / nominal value** | **Gross value / nominal value** |
| | **Transfers between Stage 1** | **Transfers between Stage 1** | **Transfers between Stage 2** | **Transfers between Stage 2** | **Transfers between Stage 1** | **Transfers between Stage 1** |
| | **and Stage 2** | **and Stage 2** | **and Stage 3** | **and Stage 3** | **and Stage 3** | **and Stage 3** |
| <br>**Portfolios/risk stages** | **From Stage 1**<br>**to Stage 2** | **From Stage 2**<br>**to Stage 1** | **From Stage 2**<br>**to Stage 3** | **From Stage 3**<br>**to Stage 2** | **From Stage 1**<br>**to Stage 3** | **From Stage 3**<br>**to Stage 1** |
| 1. Financial assets measured at amortized cost | 1385445 | 806004 | 234010 | 51680 | 271439 | 18727 |
| 2. Financial assets measured at Fair Value through other comprehensive income | 3531 |  |  |  |  |  |
| 3. Financial assets held for sale |  |  |  |  |  |  |
| 4. Loan commitments and financial guarantees issued | 75863 | 19376 | 180 | 484 | 1478 | 3195 |
| 30 June 2024 | 1464839 | 825380 | 234190 | 52164 | 272917 | 21922 |
| 30 June 2023 | 1475512 | 1088583 | 261059 | 124324 | 216395 | 8526 |

---

282 \| Consolidated financial statements as at 30 June 2024

*A.1.4 Prudential consolidation - On- and off-balance sheet exposures to banks: gross and net values*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | <br>**Gross exposure** | <br>**Gross exposure** | <br>**Gross exposure** | <br>**Gross exposure** | <br>**Gross exposure** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | | |
| <br>**Types of exposure / value** | |<br><br> **Stage 1** |<br><br> **Stage 2** |<br><br> **Stage 3** | **Purchased**<br>**or originated**<br>**credit**<br>**impaired**<br>**assets** | |<br><br> **Stage 1** |<br><br> **Stage 2** |<br><br> **Stage 3** | **Purchased**<br>**or originated**<br>**credit**<br>**impaired**<br>**assets** |<br><br><br>**Net exposure** |<br><br>**Overall**<br>**partial**<br>**write-offs** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.1 On-demand | 3232098 | 3213840 | 18258 |  |  | 291 | 169 | 122 |  |  | 3231807 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Non-performing |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Performing | 3232098 | 3213840 | 18258 | X |  | 291 | 169 | 122 | X |  | 3231807 |  |
| &nbsp;&nbsp;&nbsp;A.2 Other | 7292964 | 6010251 | 8 |  |  | 3727 | 3727 |  |  |  | 7289237 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Bad loans |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Unlikely to pay |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Overdue exposures (NPLs) |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Overdue performing exposures | 28 | 27 | 1 | X |  |  |  |  | X |  | 28 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures |  |  |  | X |  |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;e) Other performing exposures | 7292936 | 6010224 | 7 | X |  | 3727 | 3727 |  | X |  | 7289209 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures |  |  |  | X |  |  |  |  | X |  |  |  |
| Total (A) | 10525062 | 9224091 | 18266 |  |  | 4018 | 3896 | 122 |  |  | 10521044 |  |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Non-performing |  | X |  |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Performing | 14204800 | 77921 |  | X |  |  |  |  | X |  | 14204800 |  |
| Total (B) | 14204800 | 77921 |  |  |  |  |  |  |  |  | 14204800 |  |
| Total (A+B) | 24729862 | 9302012 | 18266 |  |  | 4018 | 3896 | 122 |  |  | 24725844 |  |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 283

*A.1.5 Prudential consolidation - On- and off-balance sheet exposures to customers: gross and net values*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | | |
| <br>**Types of exposure / value** | | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or<br> originated**<br> **credit**<br> **impaired**<br> **assets** | | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or<br> originated**<br> **credit**<br> **impaired**<br> **assets** |<br>**Net exposure** |<br>**Overall**<br> **partial**<br> **write-<br> offs**<br> **<sup>(\*)</sup>** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Bad loans | 359609 | X |  | 333152 | 19821 | 329983 | X |  | 303708 | 19639 | 29626 | 910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures | 101645 | X |  | 78669 | 16340 | 99987 | X |  | 77179 | 16172 | 1658 |  |
| &nbsp;&nbsp;&nbsp;b) Unlikely to pay | 652215 | X |  | 572511 | 79704 | 420792 | X |  | 375680 | 45112 | 231423 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures | 280651 | X |  | 202147 | 78504 | 173286 | X |  | 129005 | 44281 | 107365 | 35 |
| &nbsp;&nbsp;&nbsp;c) Overdue exposures (NPLs) | 324890 | X |  | 303087 | 21803 | 172286 | X |  | 155277 | 17009 | 152604 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures | 61476 | X |  | 40891 | 20585 | 41773 | X |  | 25526 | 16247 | 19703 |  |
| &nbsp;&nbsp;&nbsp;d) Overdue performing exposures | 259376 | 92919 | 166012 | X | 445 | 52245 | 308 | 51689 | X | 248 | 207131 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures | 13668 |  | 13607 | X | 61 | 3963 |  | 3926 | X | 37 | 9705 |  |
| &nbsp;&nbsp;&nbsp;e) Other performing exposures | 72645347 | 61950811 | 2495468 | X | 97085 | 652377 | 307769 | 324534 | X | 20073 | 71992970 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which: forborne exposures | 556534 |  | 510815 | X | 45719 | 84762 |  | 73761 | X | 11001 | 471772 |  |
| TOTAL (A) | 74241437 | 62043730 | 2661480 | 1208750 | 218858 | 1627683 | 308077 | 376223 | 834665 | 102081 | 72613754 | 961 |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Non-performing | 3538 | X |  | 3538 |  | 602 | X |  | 602 |  | 2936 |  |
| &nbsp;&nbsp;&nbsp;b) Performing | 30746164 | 22664279 | 159546 | X |  | 20792 | 18140 | 2653 | X |  | 30725372 |  |
| Total (B) | 30749702 | 22664279 | 159546 | 3538 |  | 21394 | 18140 | 2653 | 602 |  | 30728308 |  |
| Total (A+B) | 104991139 | 84708009 | 2821026 | 1212288 | 218858 | 1649077 | 326217 | 378876 | 835267 | 102081 | 103342062 | 961 |

---

<sup>(\*)</sup> This includes NPLs acquired by Revalea.

As at 30 June 2024, gross non-performing assets decreased from €1,582.1m to €1,336.7m, mainly due to the sale of NPLs managed by Revalea (€242.3m in June 2023). Therefore, the impact stood at 2.5% of cash credit exposures to customers (2.9% in June 2023). The coverage ratio increased (69.1% against 61.2%), thus leading to a reduction in net non-performing loans (from €613.2m to €413.7m). Please be reminded that as at 30 June 2023, gross non-performing assets stood at €1,339.7m, without including the former Revalea NPLs, with an impact of 2.5% on loans; the coverage ratio was 72.1%.

284 \| Consolidated financial statements as at 30 June 2024

*Finrep Gross NPL Ratio*<sup>(63)</sup>

---

| | | |
|:---|:---|:---|
|  |<br>**30 June 2024** | (€m)<br>**30 June 2023** |
| Loans | 52735.6 | 52642.2 |
| NPLs | 1336.7 | 1339.7 |
| Loan to customers | 54072.3 | 53981.9 |
| NPLs purchased |  | 242.4 |
| Net treasury assets <sup>(1)</sup> | 10963.4 | 10229.0 |
| Total Loans and advances | 65035.7 | 64453.3 |
| Finrep Gross NPL ratio in % | 2.1% | 2.5% |

---

<sup>(1)</sup> In line with the guidelines of the EBA Risk Dashboard, this item excludes cash and includes untied deposits held with Central Banks.

*A.1.7 Prudential consolidation – On-balance sheet exposures to customers: trend in gross NPLs*

---

| | | | |
|:---|:---|:---|:---|
| <br>**Reason/Category** |<br>**Bad loans <sup>(\*)</sup>** |<br>**Unlikely to pay <sup>(\*)</sup>** | **Overdue non-**<br>**performing**<br>**exposures** |
| A. Opening balance (gross amount) | 672799 | 635865 | 273404 |
| &nbsp;&nbsp;&nbsp;– of which: exposures sold but not derecognized | 22148 | 57417 | 30192 |
| B. Increases | 104217 | 434425 | 245706 |
| &nbsp;&nbsp;&nbsp;B.1 inflows from performing exposures | 26378 | 268563 | 162454 |
| &nbsp;&nbsp;&nbsp;B.2 inflows from purchased or originated credit impaired financial assets | 14 | 39479 | 3136 |
| &nbsp;&nbsp;&nbsp;B.3 transfers from other categories of non-performing exposures | 74735 | 76739 | 18828 |
| &nbsp;&nbsp;&nbsp;B.4 contractual changes without derecognition |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 other increases | 3090 | 49644 | 61288 |
| C. Decreases | 417407 | 418075 | 194220 |
| &nbsp;&nbsp;&nbsp;C.1 transfers to performing exposures | 1296 | 79451 | 12176 |
| &nbsp;&nbsp;&nbsp;C.2 write-offs | 31659 | 16369 | 3943 |
| &nbsp;&nbsp;&nbsp;C.3 collection | 41035 | 91865 | 58676 |
| &nbsp;&nbsp;&nbsp;C.4 gains on disposal | 4749 | 33392 | 2665 |
| &nbsp;&nbsp;&nbsp;C.5 losses on disposal |  | 196 | 3 |
| &nbsp;&nbsp;&nbsp;C.6 transfers to other categories of non-performing exposures | 1746 | 77467 | 91089 |
| &nbsp;&nbsp;&nbsp;C.7 contractual changes without derecognition |  |  |  |
| &nbsp;&nbsp;&nbsp;C.8 other decreases | 336922 | 119335 | 25668 |
| D. Closing balance of gross exposure | 359609 | 652215 | 324890 |
| &nbsp;&nbsp;&nbsp;– of which: exposures sold but not derecognized | 20752 | 56361 | 29205 |

---

<sup>(1)</sup> This includes NPLs purchased by Revalea.

The headings "Inflows from purchased or originated credit-impaired financial assets" refer to the restructuring of Consumer files.

The item "Other increases" mainly includes Consumer transactions.

<sup>(63)</sup> In the EBA Risk Dashboard, gross NPL ratio is defined as the gross book value of NPLs (loans and advances) as a percentage of total loans and advances. Source: EBA Risk Dashboard, Risk Indicators in the Statistical Annex (AQT_3.2).

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 285

The heading "Other decreases" refers to the stock of receivables sold to factoring firms in consumer credit operations.

*A.1.7 bis Prudential consolidation – On-balance sheet exposures to customers: trend in gross forborne exposures, by credit quality*

---

| | | |
|:---|:---|:---|
| <br>**Reason/Category** | **Forborne non-**<br>**performing**<br>**exposures** | **Forborne**<br>**performing**<br>**exposures** |
| A. Opening balance (gross amount) | 523045 | 673838 |
| &nbsp;&nbsp;&nbsp;– of which: exposures sold but not derecognized | 41177 | 53875 |
| B. Increases | 193243 | 323430 |
| &nbsp;&nbsp;&nbsp;B.1 inflows from not forborne performing exposures | 33276 | 170381 |
| &nbsp;&nbsp;&nbsp;B.2 inflows from forborne performing exposures | 61145 | X |
| &nbsp;&nbsp;&nbsp;B.3 inflows from forborne non-performing exposures | X | 57827 |
| &nbsp;&nbsp;&nbsp;B.4 inflows from not forborne non-performing exposures | 40442 | 297 |
| &nbsp;&nbsp;&nbsp;B.5 other increases | 58380 | 94925 |
| C. Decreases | 272516 | 427066 |
| &nbsp;&nbsp;&nbsp;C.1 outflows to not forborne performing exposures | X | 125412 |
| &nbsp;&nbsp;&nbsp;C.2 outflows to forborne performing exposures | 57827 | X |
| &nbsp;&nbsp;&nbsp;C.3 outflows to forborne non-performing exposures | X | 61145 |
| &nbsp;&nbsp;&nbsp;C.4 write-offs | 17998 | 225 |
| &nbsp;&nbsp;&nbsp;C.5 collection | 73340 | 180564 |
| &nbsp;&nbsp;&nbsp;C.6 gains on disposal | 13394 | 181 |
| &nbsp;&nbsp;&nbsp;C.7 losses on disposal | 3 |  |
| &nbsp;&nbsp;&nbsp;C.8 other decreases | 109954 | 59539 |
| D. Closing balance of gross exposure | 443772 | 570202 |
| &nbsp;&nbsp;&nbsp;– of which: exposures sold but not derecognized | 37741 | 51761 |

---

As at 30 June 2024, gross impaired positions subject to forbearance<sup>(64)</sup> decreased from €523m to €443.7m. The coverage rate decreased slightly from 75.4% to 71%; the net position balance stood at €128.7m (€128.5m in the previous year).

Forborne performing loans have a gross value of €570.2m, down on the previous year (€673.8m) mainly following the transfer to non-forborne performing exposures (due to the end of the probation period). On a net basis, forborne performing exposures decreased from€578.1m to €481.5m with a coverage ratio of 15.6% (14.2%).

Net forborne non-performing positions had an impact of 0.2% on total loans to customers as in the previous financial year; performing positions, on the other hand, had an impact of 0.7% (1.1%).

<sup>(64)</sup> By definition, "forbearance" is when a specific concession is offered to a client which is undergoing, or risks encountering, temporary financial difficulties in meeting their payment obligations.

286 \| Consolidated financial statements as at 30 June 2024

*A.1.9 Prudential consolidation – Non-performing on-balance sheet exposures to customers: trend in overall adjustments*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Bad loans** | **Bad loans** | **Unlikely to pay** | **Unlikely to pay** | **Overdue non-performing<br> exposures** | **Overdue non-performing<br> exposures** |
| <br>**Reason/Category** | <br>**Total** | **of which:**<br>**forborne**<br>**exposures** | <br>**Total** | **of which:**<br>**forborne**<br>**exposures** | <br>**Total** | **of which:**<br>**forborne**<br>**exposures** |
| A. Opening balance of overall adjustments | 393088 | 163623 | 419774 | 182725 | 155983 | 48224 |
| &nbsp;&nbsp;&nbsp;– of which: exposures sold but not derecognized | 21611 | 7161 | 40959 | 18749 | 20164 | 6224 |
| B. Increases | 109884 | 27164 | 295642 | 93150 | 148930 | 26261 |
| &nbsp;&nbsp;&nbsp;B.1 Value adjustments to purchased or originated credit impaired assets | 13 | X | 17893 | X | 2461 | X |
| &nbsp;&nbsp;&nbsp;B.2 other value adjustments | 43681 | 6265 | 171880 | 48165 | 105853 | 14452 |
| &nbsp;&nbsp;&nbsp;B.3 losses on disposal |  |  | 9 | 3 | 3 |  |
| &nbsp;&nbsp;&nbsp;B.4 transfers from other categories of non-performing exposures | 58302 | 18691 | 59123 | 19852 | 11841 | 6830 |
| &nbsp;&nbsp;&nbsp;B.5 contractual changes without derecognition |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 other increases | 7888 | 2208 | 46737 | 25130 | 28772 | 4979 |
| C. Decreases | 172989 | 90800 | 294623 | 102589 | 132627 | 32712 |
| &nbsp;&nbsp;&nbsp;C.1 write-backs due to valuations | 3480 | 282 | 29045 | 18067 | 7378 | 2283 |
| &nbsp;&nbsp;&nbsp;C.2 write-backs due to collections | 29050 | 7113 | 26162 | 10346 | 18640 | 4714 |
| &nbsp;&nbsp;&nbsp;C.3 gains on disposal | 4703 | 1582 | 6922 | 1990 | 1510 | 263 |
| &nbsp;&nbsp;&nbsp;C.4 write-offs | 31659 | 11115 | 16369 | 5206 | 3943 | 1677 |
| &nbsp;&nbsp;&nbsp;C.5 transfers to other categories of non-performing exposures | 1809 | 480 | 57123 | 25181 | 70334 | 21481 |
| &nbsp;&nbsp;&nbsp;C.6 contractual changes without derecognition |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 other decreases | 102288 | 70228 | 159001 | 41799 | 30822 | 2294 |
| D. Closing amount of overall adjustments | 329983 | 99987 | 420792 | 173286 | 172286 | 41773 |
| &nbsp;&nbsp;&nbsp;– of which: exposures sold but not derecognized | 20346 | 6255 | 39206 | 16498 | 19613 | 5176 |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 287

*A.2 Classification of credit exposures by internal and external ratings*

*A.2.1 Prudential consolidation – Distribution of financial assets, loan commitments and financial guarantees issued by class of external ratings (gross values)*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **External rating classes** | **External rating classes** | **External rating classes** | **External rating classes** | **External rating classes** | **External rating classes** | | |
| <br>**Exposures** | **Class 1** | **Class 2** | **Class 3** | **Class 4** | **Class 5** | **Class 6** | **Without**<br>**rating** | <br>**Total** |
| A. Financial assets measured at amortized cost | 1493944 | 5115255 | 5124334 | 1184973 | 215313 | 31406 | 52319096 | 65484321 |
| &nbsp;&nbsp;&nbsp;– Stage 1 | 1489788 | 5104663 | 5115962 | 1176657 | 178850 | 18438 | 48330637 | 61414995 |
| &nbsp;&nbsp;&nbsp;– Stage 2 | 4156 | 10592 | 8372 | 8316 | 31791 | 12968 | 2565523 | 2641718 |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  | 4672 |  | 1204078 | 1208750 |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  | 218858 | 218858 |
| B. Financial assets measured at Fair Value through other comprehensive income | 2246544 | 41086 | 3953006 | 310028 |  |  | 106452 | 6657116 |
| &nbsp;&nbsp;&nbsp;– Stage 1 | 2246544 | 41086 | 3953006 | 290256 |  |  | 106452 | 6637344 |
| &nbsp;&nbsp;&nbsp;– Stage 2 |  |  |  | 19772 |  |  |  | 19772 |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| C. Financial assets held for sale |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Stage 1 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Stage 2 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| Total (A+B+C) | 3740488 | 5156341 | 9077340 | 1495001 | 215313 | 31406 | 52425548 | 72141437 |
| D. Loan commitments and financial guarantees issued | 534581 | 1812487 | 10834205 | 1079135 | 151273 | 1658 | 8476174 | 22889513 |
| &nbsp;&nbsp;&nbsp;– Stage 1 | 534581 | 1812487 | 10833665 | 1078943 | 108347 | 1658 | 8356749 | 22726430 |
| &nbsp;&nbsp;&nbsp;– Stage 2 |  |  | 540 | 192 | 41591 |  | 117222 | 159545 |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  | 1335 |  | 2203 | 3538 |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| Total (D) | 534581 | 1812487 | 10834205 | 1079135 | 151273 | 1658 | 8476174 | 22889513 |
| Total (A+B+C+D) | 4275069 | 6968828 | 19911545 | 2574136 | 366586 | 33064 | 60901722 | 95030950 |

---

The Mediobanca Group adopts the Standard & Poor's ratings for all portfolios subject to assessment.

The table is compliant with the classification provided by the Bank of Italy Circular No. 262/2005 (eighth update), which requires external ratings to be divided into six different classes of credit quality.

288 \| Consolidated financial statements as at 30 June 2024

The first three risk classes (classes 1, 2 and 3) consist of investment grade exposures, with a Standard & Poor's rating of between AAA and BBB-, and represent 91% of the entire portfolio (the same also considering loan commitments and financial guarantees issued), excluding unrated counterparties and non-performing loans.

The unrated exposures refer chiefly to retail clients and to small and medium-sized enterprises.

*A.2.2 Prudential consolidation – Distribution of financial assets, loan commitments and financial guarantees issued by class of internal ratings (gross values)*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | | | |
| <br>**Exposures** | **Class 1** | **Class 2** | **Class 3** | **Class 4** | **Class 5** | **Class 6** | **Non-**<br>**performing**<br>**assets** | <br>**Without**<br>**Credit rating** | <br>**Total** |
| A. Financial assets measured at amortized cost | 1845492 | 10720977 | 21586193 | 14256674 | 7635569 | 1343469 | 1238056 | 6857891 | 65484321 |
| &nbsp;&nbsp;&nbsp;– Stage 1 | 1841336 | 10708868 | 21541487 | 13723160 | 6791691 | 221488 |  | 6586965 | 61414995 |
| &nbsp;&nbsp;&nbsp;– Stage 2 | 4156 | 12109 | 44703 | 533470 | 804071 | 1064305 |  | 178904 | 2641718 |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  |  |  | 1116728 | 92022 | 1208750 |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  | 3 | 44 | 39807 | 57676 | 121328 |  | 218858 |
| B. Financial assets measured at Fair Value through other comprehensive income | 1931884 | 98270 | 3716031 | 520252 |  |  |  | 390679 | 6657116 |
| &nbsp;&nbsp;&nbsp;– Stage 1 | 1931884 | 98270 | 3716031 | 500480 |  |  |  | 390679 | 6637344 |
| &nbsp;&nbsp;&nbsp;– Stage 2 |  |  |  | 19772 |  |  |  |  | 19772 |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| C. Financial assets held for sale |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Stage 1 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Stage 2 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| Total (A+B+C) | 3777376 | 10819247 | 25302224 | 14776926 | 7635569 | 1343469 | 1238056 | 7248570 | 72141437 |
| D. Loan commitments and financial guarantees issued | 483463 | 2033548 | 14300161 | 1725109 | 972120 | 43052 | 2868 | 3329192 | 22889513 |
| &nbsp;&nbsp;&nbsp;– Stage 1 | 483463 | 2033548 | 14300116 | 1717564 | 908497 | 19354 |  | 3263888 | 22726430 |
| &nbsp;&nbsp;&nbsp;– Stage 2 |  |  | 45 | 7545 | 63623 | 23698 |  | 64634 | 159545 |
| &nbsp;&nbsp;&nbsp;– Stage 3 |  |  |  |  |  |  | 2868 | 670 | 3538 |
| &nbsp;&nbsp;&nbsp;– Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| Total (D) | 483463 | 2033548 | 14300161 | 1725109 | 972120 | 43052 | 2868 | 3329192 | 22889513 |
| Total (A+B+C+D) | 4260839 | 12852795 | 39602385 | 16502035 | 8607689 | 1386521 | 1240924 | 10577762 | 95030950 |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 289

Mediobanca uses models developed internally in the process of managing credit risk to assign ratings to each counterparty.

The models' different rating scales are mapped against a single Group master scale consisting of six different rating classes based on the underlying probability of default (PD) attributable to the S&P master scale.

The companies within the Group which use the internal ratings and contribute to the various rating classes indicated apart from Mediobanca S.p.A. (for corporate customers) are: SelmaBPM, Compass Banca, Mediobanca Premier and MBFacta (for corporate customers).

290 \| Consolidated financial statements as at 30 June 2024

*A.3 Distribution of secured exposures by type of security*

*A.3.1 Prudential consolidation – On- and off-balance sheet secured exposures to banks*

![](tm2518026d1_ex99-6sp13img001.jpg)

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 291

*A.3.2 Prudential consolidation – On- and off-balance sheet secured exposures to customers*

![](tm2518026d1_ex99-6sp13img002.jpg)

292 \| Consolidated financial statements as at 30 June 2024

*A.4 Prudential consolidation – Financial and non-financial assets obtained from collateral enforcement*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | | | | **Carrying amount** | **Carrying amount** |
|  | | | | **Of which:** | **Of which:** |
|  | | | | **obtained during** | **obtained during** |
|  |<br>**Derecognized**<br>**credit**<br>**exposures** |<br><br>**Gross value** |<br>**Overall value**<br>**adjustments** | **the period** | **the period** |
| A. Property, plant, and equipment | 55831 | 53551 | (19838) | 33713 | 5342 |
| &nbsp;&nbsp;&nbsp;A.1. Core assets | 82 | 76 | (9) | 67 |  |
| &nbsp;&nbsp;&nbsp;A.2. Held for investment purpose | 45620 | 44461 | (19670) | 24791 |  |
| &nbsp;&nbsp;&nbsp;A.3. Inventories | 10129 | 9014 | (159) | 8855 | 5342 |
| B. Equity and debt securities |  |  |  |  |  |
| C. Other assets |  |  |  |  |  |
| D. Non-current assets and asset groups being sold |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;D.1. Tangible assets |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;D.2. Other assets |  |  |  |  |  |
| Total 30 June 2024 | 55831 | 53551 | (19838) | 33713 | 5342 |
| Total 30 June 2023 | 52540 | 51169 | (18649) | 32520 | 7686 |

---

The table includes properties originating from the enforcement of leasing contracts by SelmaBPM. Such properties are booked, to the consolidated accounts and the individual financial statements of Selma itself, on the basis of their characteristics and in accordance with the internal procedures, as tangible assets under IAS 40 or IAS 2. In very few instances are they classified as core properties, whereas IFRS 5 is not applied as the conditions provided for in this standard do not apply.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 293

**B. Distribution and concentration of credit exposures**

*B.1 Prudential consolidation – Distribution of on- and off-balance sheet exposures to customers by sector*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Public <br> administrations** | **Public <br> administrations** | **Financial companies** | **Financial companies** | **Financial companies<br> (of which: insurance<br> companies)** | **Financial companies<br> (of which: insurance<br> companies)** | **Non-financial companies** | **Non-financial companies** | **Households** | **Households** |
| <br>**Exposures/**<br>**Counterparties** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Bad loans |  | (145) |  | (6649) |  |  | 1089 | (29541) | 28537 | (293648) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, forborne exposures |  |  |  | (6636) |  |  | 913 | (19907) | 745 | (73444) |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Unlikely to pay | 322 | (595) | 5 | (308) |  |  | 35110 | (39350) | 195986 | (380539) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, forborne exposures |  |  | 2 | (227) |  |  | 12707 | (24293) | 94656 | (148766) |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 Overdue non-performing exposures | 860 | (186) | 61 | (140) |  |  | 48737 | (7140) | 102946 | (164820) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, forborne exposures |  |  |  |  |  |  | 260 | (270) | 19443 | (41503) |
| &nbsp;&nbsp;&nbsp;&nbsp;A.4 Performing exposures | 15701595 | (9402) | 10415549 | (19439) | 1229138 | (2286) | 17052625 | (56007) | 29030332 | (619774) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– of which, forborne exposures |  |  | 14080 | (1145) |  |  | 142604 | (8782) | 324793 | (78798) |
| Total (A) | 15702777 | (10328) | 10415615 | (26536) | 1229138 | (2286) | 17137561 | (132038) | 29357801 | (1458781) |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Non-performing exposures |  |  |  |  |  |  | 1852 | (338) | 1084 | (264) |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Performing exposures | 7894333 | (37) | 8189658 | (3748) | 879592 | (111) | 11464396 | (8378) | 3176985 | (8629) |
| Total (B) | 7894333 | (37) | 8189658 | (3748) | 879592 | (111) | 11466248 | (8716) | 3178069 | (8893) |
| Total (A+B) 30 June 2024 | 23597110 | (10365) | 18605273 | (30284) | 2108730 | (2397) | 28603809 | (140754) | 32535870 | (1467674) |
| Total (A+B) 30 June 2023 | 14577434 | (8324) | 17603969 | (37676) | 1976464 | (1886) | 30242087 | (257985) | 32088177 | (1405339) |

---

294 \| Consolidated financial statements as at 30 June 2024

*B.2 Prudential consolidation – Distribution of on- and off-balance sheet exposures to customers by geography*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| |  |  | **Other European** | **Other European** | | | | | | |
| | **Italy** | **Italy** | **countries** | **countries** | **America** | **America** | **Asia** | **Asia** | **Rest of the world** | **Rest of the world** |
| <br>**Exposures/**<br>**geographical area** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Bad loans | 27451 | (325895) | 708 | (3247) | 90 | (169) | 1313 | (672) | 64 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Unlikely to pay | 212916 | (417114) | 18496 | (3664) | 11 | (14) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 Overdue non-performing exposures | 96885 | (169047) | 48373 | (3110) | 7346 | (129) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.4 Performing exposures | 54600870 | (679908) | 14786036 | (19731) | 2267745 | (3643) | 262141 | (1173) | 283309 | (167) |
| Total (A) | 54938122 | (1591964) | 14853613 | (29752) | 2275192 | (3955) | 263454 | (1845) | 283373 | (167) |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Non-performing exposures | 1859 | (333) | 1068 | (267) | 9 | (2) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Performing exposures | 17057375 | (15532) | 13180885 | (5021) | 372058 | (202) | 19852 |  | 95202 | (37) |
| Total (B) | 17059234 | (15865) | 13181953 | (5288) | 372067 | (204) | 19852 |  | 95202 | (37) |
| Total (A+B) 30 June 2024 | 71977356 | (1607829) | 28035566 | (35040) | 2647259 | (4159) | 283306 | (1845) | 378575 | (204) |
| Total (A+B) 30 June 2023 | 61627059 | (1563173) | 29379798 | (135904) | 2758432 | (7507) | 130073 | (902) | 616306 | (1.840) |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 295

*B.3 Prudential consolidation – Distribution of on- and off-balance sheet exposures to banks by geography*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| |  |  | **Other European** | **Other European** | | | | | | |
| | **Italy** | **Italy** | **countries** | **countries** | **America** | **America** | **Asia** | **Asia** | **Rest of the world** | **Rest of the world** |
| <br>**Exposures/**<br>**geographical area** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** | <br>**Net**<br>**exposure** | **Overall**<br>**value**<br>**adjustments** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Bad loans |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Unlikely to pay |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 Overdue non-performing exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.4 Performing exposures | 8709353 | (3722) | 1683408 | (275) | 120762 | (11) | 7357 | (10) | 163 |  |
| Total (A) | 8709353 | (3722) | 1683408 | (275) | 120762 | (11) | 7357 | (10) | 163 |  |
| B.Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Non-performing exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Performing exposures | 1515053 |  | 12689631 |  | 116 |  |  |  |  |  |
| Total (B) | 1515053 |  | 12689631 |  | 116 |  |  |  |  |  |
| Total (A+B) 30 June 2024 | 10224406 | (3722) | 14373039 | (275) | 120878 | (11) | 7357 | (10) | 163 |  |
| Total (A+B) 30 June 2023 | 7456857 | (3518) | 19281730 | (184) | 61588 | (1) | 851 |  | 2705 |  |

---

*B.4a Credit risk indicators*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| a) Gross bad loans/total loans | 0.56% | 1.08% |
| b) Non-performing accounts receivable / on-balance sheet credit exposures | 1.84% | 2.33% |
| c) Net bad loans / Regulatory capital <sup>(1)</sup> | 0.35% | 3.03% |

---

<sup>(1)</sup> As at 30 June 2023, net bad loans included the NPL portfolios of €238.8m acquired from Revalea, disposed of in October last year.

296 \| Consolidated financial statements as at 30 June 2024

*B.4b Large exposures*

As at 30 June 2024, exposures (including market risks and equity investments) exceeding 10% of Tier 1 Regulatory Capital regarded ten groups of associated customers (two more than in the previous financial year) for a gross exposure of €12.6bn (€8.4bn taking into account guarantees and weightings), an increase compared to June 2023 (€9.4bn and €7.1bn, respectively). In detail, the ten positions concerned two insurance companies and eight banking groups.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| a) Book value |  | 12622572 |  | 9360267 |
| b) Weighted value |  | 8431108 |  | 7115015 |
| c) Number of positions |  | 10 |  | 8 |

---

**C. Securitization**

**QUALITATIVE INFORMATION**

The Group holds a portfolio of securities arising from securitizations by other issuers totalling €1,108.8m (€1,053m as at 30 June last), €821.2m of which as part of the banking book and €287.6m as part of the trading book (respectively, €788.8m and €264.3m).

In the first half of 2024, European ABS continued the positive trend in line with the credit market, in some cases outperforming the adjacent sector of covered bonds. Yields showed a strong compression of spreads across the entire capital structure to the advantage of more junior classes. In particular, Italian ABS benefited from the marked narrowing of BTP and Italian financial instruments that led to new repositionings in the sector.

On the primary market, the new offer went well beyond expectations with placements of transactions with underlying Consumers and Auto Loans, well received by investors reassured by the more favourable macroeconomic context. Most of the books were oversubscribed with very low new issue premiums compared to the secondary curves and with particular demand for mezzanine classes.

The market environment should remain favourable during 2024 on expectations of a rate cut by the Central Banks.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 297

The banking book portfolio, which increased from €788.8m to €821.2m during the year, remained mainly concentrated on senior securities, which increased to €818.7m (€784.8m) after the investment in a tranche of Consumer ABS Italia (€204.7m) and the increase in investments in high-quality CLOs (€298.6m against €259.4m), partially offset by the reduced exposures to underlying NPLs (from €486.3m to €288.7m, mainly due to repayments). Positions on mezzanine tranches decreased (from €3.5m to €2.5m), while exposure on junior tranches was almost completely closed. The difference between Fair Value (derived from market platforms) and book value (amortized cost) settled at negative €8.8m.

The trading book stood at €287.6m (€264.3m at 30 June 2023): the senior portion amounted to €180.4m (€149.3m), €100.9m of which in the Transferable Custody Receipt transaction;<sup>(65)</sup> €44.8m (€23,9m) in performing consumer loans and consumer and €34.7m in CLOs (€24.8m). The mezzanine portion was reduced to €107.2m (€115m) divided into "negative basis" strategy of €72.7m (€66.1m), new CLOs of €10.9m (€27.4m) and performing loans and consumer of €23.6m (€21.5m). There were no junior exposures.

Mediobanca also has exposures to:

---

| |
|:---|
| CLI Holdings I and CLI Holdings II, SPVs under English law, which respectively subscribed to the capital of Cairn Loan Investments and Cairn Loan Investments II, independent managers of European CLOs set up by Polus, which invested in the junior tranches of the CLOs they manage in order to comply with risk retention prudential regulations. As at 30 June, CLI H I and CLI H II were respectively recognized for €7.8m and €37m; it should be noted that, for CLI H I and CLI H II a hedging transaction was finalized during the year under review by taking out insurance policy with a major insurance company as the counterparty for an initial amount of €25m, which was reduced to €20m at 30/6/2024; |
| Italian Recovery Fund, a closed-end alternative investment fund (AIF) incorporated under Italian law and managed by DeA Capital Alternative Funds SGR S.p.A., which is currently invested in five securitization transactions (Valentine, Berenice, Cube, Este and Sunrise I) with Italian banks' NPLs as the underlying instrument; the carrying amount of the €30m commitment was €18.4m at the reporting date, with a remaining commitment of approximately €1m; |

---

<sup>(65)</sup> The Bank signed a note issued by the custodian bank in which three CLO positions (with underlying European corporate loans) purchased by Mediobanca and some financial guarantees on the same CLOs with which the Bank purchased hedging had been contributed in the form of a trust; TCR pays out principal and interest of the underlying CLOs after the premium of financial guarantees.

298 \| Consolidated financial statements as at 30 June 2024

---

| |
|:---|
| *–* |
| – in January, Mediobanca S.p.A. entered into an equity commitment agreement with Polus Capital Management (US) Inc.,<sup>(66)</sup> a wholly-owned subsidiary of Polus, which provides for Mediobanca S.p.A. undertaking a commitment of $75m to be used, to meet regulatory obligations, for investments in the "equity" tranche (most junior unrated securities) of Collateralized Loan Obligations (CLOs) in the US and related warehousing. The CLO Portfolio Manager will be Polus Capital Management (US) Inc, while an institutional counterparty will act as arranger. As at 30 June, the Group's investments in CLOs US I amounted to €9.2m, including €4.5m subscribed by the Parent Company and €4.7m by Polus. |

---

Acting as originator, seven securitization transactions were in progress at 30 June 2024 through the vehicle Quarzo S.r.l. (Compass Banca) with performing loans granted by Compass Banca as the underlying instrument (Compass subscribed for the entire number of junior securities), which were ceded on a revolving basis for a period of between 6 and 66 months, at the end of which the amortization phase of the securitization may begin. In some of the deals the Parent Company and/or other Group's companies have subscribed to the senior notes. The first SRT (Significant Risk Transfer) for the Mediobanca Group was completed in June last year; the disposal without recourse of the initial portfolio of performing consumer loans for €815m was financed through the issuance of seven classes of securities: two senior notes (€700.9m), three mezzanine notes (for a total of €92.1m) and two junior notes (for a total of €22.1m). In this way, the Group obtained a significant transfer of credit risk for prudential purposes, thus optimizing capital absorption, without the derecognition of the underlying loans in the accounts. Senior securities for a total of €500m and mezzanine securities for €87.5m were placed on the market, while Compass Banca subscribed to the residual securities; the benefit in terms of RWA savings at 30 June 2024 amounted to €493m, to which deductions of €13.2m relating to the junior share should be added.

<sup>(66)</sup> US CLO is reported in the disclosure statement on Structured Entities not consolidated for accounting purposes.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 299

**QUANTITATIVE INFORMATION**

*C.2 Prudential consolidation – Exposures from main "third-party" securitizations divided by asset type / exposure type*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Cash exposure** | **Cash exposure** | **Cash exposure** | **Cash exposure** | **Cash exposure** | **Cash exposure** |
| | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| <br>**Type of underlying asset/Exposure** | **Carrying**<br>**amount** | **Writedowns /**<br>**writebacks** | **Carrying**<br>**amount** | **Writedowns /**<br>**writebacks** | **Carrying**<br>**amount** | **Writedowns /**<br>**writebacks** |
| A. Italy NPLs (residential mortgages and real estate properties) | 288703 | 2084 | 1 |  | 3 |  |
| B. Consumer ABS Italy | 239591 | (25) | 19456 | 31 |  |  |
| C. Performing Loans Spain | 2608 | (2) | 3323 | 8 |  |  |
| D. Performing Loans Holland |  |  | 801 | (1) |  |  |
| E. Performing Loans Ireland | 7308 |  |  |  |  |  |
| F. Performing Loans UK | 26585 |  |  |  |  |  |
| G. Other loans <sup>(\*)</sup> | 434257 | 136 | 86150 | 6136 |  |  |
| Total 30 June 2024 | 999052 | 2194 | 109731 | 6173 | 3 |  |
| Total 30 June 2023 | 934073 | (2473) | 118514 | 2390 | 451 | (8) |

---

<sup>(\*)</sup> CLO transactions, €100m of which relating to TCR.

*C.3 Prudential consolidation – Interests in SPVs*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Assets** | **Assets** | **Assets** | **Liabilities** | **Liabilities** | **Liabilities** |
| **Name of securitization /**<br>**name of SPV** | **Registered**<br>**office** |<br>**Consolidation** | **Debt securities** | **Debt securities** | **Other** | **Senior Mezzanine** | **Senior Mezzanine** | **Junior** |
| Quarzo 7 - Quarzo S.r.l. | Milan | Accounting | 503013 |  | 69836 | 156649 |  | 290900 |
| Quarzo 9 - Quarzo S.r.l. | Milan | Accounting | 105431 |  | 29040 | 11211 |  | 121622 |
| Quarzo 10 - Quarzo S.r.l. | Milan | Accounting | 380143 |  | 41703 | 172046 |  | 249528 |
| Quarzo 11 - Quarzo S.r.l. | Milan | Accounting | 284328 |  | 39569 | 241651 |  | 72000 |
| Quarzo 12 - Quarzo S.r.l. | Milan | Accounting | 655020 |  | 32377 | 580827 |  | 94500 |
| Quarzo 13 - Quarzo S.r.l. | Milan | Accounting | 2773115 |  | 227646 | 2537500 |  | 362500 |
| Quarzo 14 - Quarzo S.r.l. | Milan | Accounting | 789648 |  | 48795 | 698598 | 92100 | 22100 |
| Quarzo CQS S.r.l. Quarzo 2018 | Milan | Accounting |  |  |  |  |  |  |
| MB Funding Lux | Luxembourg | Accounting | 755797 | 522351 |  | 1100960 |  |  |

---

300 \| Consolidated financial statements as at 30 June 2024

*C.5 Prudential consolidation – Servicing – Collecting securitized receivables and redeeming securities issued by SPVs*

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | **Percentage share of securities repaid (end-of-period figure)** | **Percentage share of securities repaid (end-of-period figure)** | **Percentage share of securities repaid (end-of-period figure)** | **Percentage share of securities repaid (end-of-period figure)** | **Percentage share of securities repaid (end-of-period figure)** | **Percentage share of securities repaid (end-of-period figure)** |
| | | **Securitized assets<br> (end-of-period figure)** | **Securitized assets<br> (end-of-period figure)** | **Receivables collected<br> during the year** | **Receivables collected<br> during the year** | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| <br>**Servicer** | <br>**Vehicle company** | **Non-<br> performing** | **Performing** | **Non-<br> performing** | **Performing** | **Non-<br> performing** | **Performing<br> assets** | **Non-<br> performing** | **Performing<br> assets** | **Non-<br> performing** | **Performing<br> assets** |
| Compass | Quarzo CQS (2018) | 6511 | 61527 |  | 43598 |  | 95.0 |  |  |  |  |
| Compass | Quarzo Srl (Q7) | 63303 | 906320 |  | 739645 |  | 46 |  |  |  |  |
| Compass | Quarzo Srl (Q8) |  |  |  | 35395 |  | 100.0 |  |  |  |  |
| Compass | Quarzo Srl (Q9) | 20397 | 206102 |  | 170762 |  | 84.0 |  |  |  |  |
| Compass | Quarzo Srl (Q10) | 56863 | 756103 |  | 665616 |  | 68 |  |  |  |  |
| Compass | Quarzo Srl (Q11) | 17609 | 494071 |  | 316696 |  | 9 |  |  |  |  |
| Compass | Quarzo Srl (Q12) | 3127 | 682427 |  | 76057 |  |  |  |  |  |  |
| Compass | Quarzo Srl (Q13) | 61106 | 2734392 |  | 1196748 |  |  |  |  |  |  |
| Compass | Quarzo Srl (Q14) | 1020 | 790396 |  | 47554 |  |  |  |  |  |  |

---

*C.6 Prudential consolidation – Consolidated securitization-related SPVs*

**Quarzo S.r.l. (Compass Banca)**

This SPV currently has seven securitizations in place with performing loans granted by Compass Banca as the underlying instrument (Compass has subscribed for the entire number of junior securities), which are ceded on a revolving basis for a period of between 6 and 66 months, at the end of which the amortization phase of the securitization may begin. In some of the deals the Parent Company and/or other Group's companies have subscribed to the senior notes.

The seven deals in place are summarized in the table below:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | | | |
| <br>**Issue date** | **A1** | **A2** | **A1** | **A2** |<br>**Junior** | **Credit**<br>**transferred**<br>**in the year** | <br>**From**<br>**the repayment date** |
| 15 February 2017 |  | 1215 |  |  | 285 |  | 15 November 2022 |
| 25 November 2019 | 600 | 183 |  |  | 117 |  | 15 July 2020 |
| 17 April 2020 |  | 1760 |  |  | 240 |  | 15 December 2021 |
| 6 April 2022 | 528 |  |  |  | 72 |  | 15 May 2023 |
| 11 May 2023 | 450 | 155 |  |  | 95 | 108 | 17 June 2024 |
| 31 October 2023 |  | 2538 |  |  | 362 | 3082 | 15 January 2026 |
| 21 June 2024 | 500 | 201 | 87 | 5 | 22 | 815 | 17 March 2025 |

---

Legend:

A1: issued on the market.

A2: subscribed to by the Parent Company and/or Group companies.

Notes to the accounts \| Part E - Information on risks and related hedging policies \|301

On 31 October last, this special purpose vehicle completed the Quarzo 13 securitization through the sale of a portfolio of performing loans for €2,900m, subsequently supplemented by revolving loans for a total of €853.7m.

On 21 June last, this special purpose vehicle completed the Quarzo 14 securitization through the sale of a portfolio of performing loans worth €815m.

***Quarzo CQS S.r.l. (Compass Banca, formerly Futuro)***

After the clean-up of the last ongoing transaction in 2018, the company Quarzo CQS S.r.l. was delisted from the register of companies.

***MB Funding Lux S.A. (Mediobanca)***

This SPV was set up by Mediobanca in order to execute secured transactions with a corporate syndicated loan originated by Mediobanca International (Luxembourg) SA or Mediobanca S.p.A. as the underlying instrument, of which it retains the credit risk. The notes, which form part of the Parent Company's "Medium-Term Note" programme of issuance, have been subscribed for entirely by other Group legal entities and used as collateral for transactions on the interbank market.

There were no changes in the issues of MB Funding Lux S.A. subscribed by Mediobanca International Luxembourg S.A. during the financial year.

The transactions in progress as at 30 June 2024 are shown in the table below.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Company name** | **ISIN code** | **Notional amount** | **Issue Date** | **Repayment Date** |
| BBVA – MB FINANCE LUX 2020 | XS2270559367 | 100000000 | 11/12/2020 | 11/06/2026 |
| BBVA – MB FUNDING LUX SERIES 2019 – 01 | XS1937712112 | 200000000 | 13/10/2021 | 15/10/2026 |
| BNP – MB FINANCE LUX SERIES 2017 – 01 | XS1616696016 | 800000000 | 22/05/2017 | 23/12/2030 |
| Total |  | 1100000000 |  |  |

---

Transactions between the originators and the SPVs during the year under review were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Vehicle company** |<br>**Credit**<br>**disposal** |<br>**Proceeds** |<br>**Servicing**<br>**fees** |<br>**Junior**<br>**interest** | **Additional**<br>**return**<br>**accrued** |
| Quarzo CQS S.r.l. Quarzo 2018 |  | 7.2 |  | 0.2 | 3.6 |
| Quarzo S.r.l. | 4778.1 | 2788.7 | 9.1 | 105.3 | 309.4 |
| MB Funding Lux | 323530.7 | 174720.7 |  |  | 1.4 |

---

302\| Consolidated financial statements as at 30 June 2024

**D. Disposals**

**A. Financial assets sold but not entirely derecognized**

**QUALITATIVE INFORMATION**

With regard to the description of transactions represented in Tables D.1 and D.3 below, reference should be made to the descriptions found under the tables themselves. With regard, in particular, to transactions in debt securities against medium and long-term repurchase agreements, please refer to the contents of these Notes to the Accounts - Part B.

**QUANTITATIVE INFORMATION**

*D.1 Prudential consolidation – Financial assets sold entirely recognized and related financial liabilities: book values*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets sold and entirely recognized** | **Financial assets sold and entirely recognized** | **Financial assets sold and entirely recognized** | **Financial assets sold and entirely recognized** | **Related financial liabilities** | **Related financial liabilities** | **Related financial liabilities** |
|  | **Carrying<br> amount** | **of which: subject<br> to securitization**<br> transactions** | **of which: subject to<br> repurchase<br> agreements** | **of which<br> non-<br> performing** | **Carrying<br> amount** | **of which: subject to**<br> securitization<br> transactions** | **of which:** **subject to<br> repurchase<br> agreements** |
| A. Financial assets held for trading | 5080543 |  | 5080543 | X | 5072572 |  | 5072572 |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities | 4629079 |  | 4629079 | X | 4633059 |  | 4633059 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Equity securities | 451464 |  | 451464 | X | 439513 |  | 439513 |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Loans |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4. Derivatives |  |  |  | X |  |  |  |
| B. Other financial assets mandatorily measured at Fair Value |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Equity securities |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |  |  |  |
| C. Financial assets designated at Fair Value | 17037 |  | 17037 |  | 16718 |  | 16718 |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities | 17037 |  | 17037 |  | 16718 |  | 16718 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Loans |  |  |  |  |  |  |  |
| D. Financial assets measured at Fair Value through other comprehensive income | 3379134 |  | 3379134 |  | 3092029 |  | 3092029 |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities | 3379134 |  | 3379134 |  | 3092029 |  | 3092029 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Equity securities |  |  |  | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |  |  |  |
| E. Financial assets measured at amortized cost | 3653146 | 2325131 | 1328015 | 27153 | 3251036 | 2389182 | 861854 |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Debt securities | 1327315 |  | 1327315 |  | 861153 |  | 861153 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Loans | 2325831 | 2325131 | 700 | 27153 | 2389883 | 2389182 | 701 |
| Total 30 June 2024 | 12129860 | 2325131 | 9804729 | 27153 | 11432355 | 2389182 | 9043173 |
| Total 30 June 2023 | 6387436 | 2355717 | 4031719 | 27023 | 5029615 | 1852999 | 3176616 |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 303

*D.3 Prudential consolidation – Disposals related to financial liabilities with repayment exclusively based on assets sold and not fully derecognized: Fair Value*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | **Total** | **Total** |
|  | **Fully**<br>**booked** | **Partially**<br>**booked** | **30 June 2024** | **30 June 2023** |
| A. Financial assets held for trading | 5080543 |  | 5080543 | 1499821 |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 4629079 |  | 4629079 | 1349542 |
| &nbsp;&nbsp;&nbsp;2. Equity securities | 451464 |  | 451464 | 150279 |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4. Derivatives |  |  |  |  |
| B. Other financial assets mandatorily measured at Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Debt securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Equity securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C. Financial assets designated at Fair Value | 17037 |  | 17037 |  |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 17037 |  | 17037 |  |
| &nbsp;&nbsp;&nbsp;2. Loans |  |  |  |  |
| D. Financial assets measured at Fair Value through other comprehensive income | 3379134 |  | 3379134 | 1184230 |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 3379134 |  | 3379134 | 1184230 |
| &nbsp;&nbsp;&nbsp;2. Equity securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |
| E. Financial assets measured at amortized cost (Fair Value) | 3923255 |  | 3923255 | 3914581 |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 1322907 |  | 1322907 | 1383584 |
| &nbsp;&nbsp;&nbsp;2. Loans | 2600348 |  | 2600348 | 2530997 |
| Total financial assets | 12399969 |  | 12399969 | 6598632 |
| Total associated financial liabilities | 11914104 |  | X | X |
| Net value 30 June 2024 | 485865 |  | 12399969 | X |
| Net value 30 June 2023 | 817482 |  | X | 817482 |

---

&nbsp;&nbsp;&nbsp;&nbsp;**B.** **Financial assets sold and fully derecognized with continuing involvement recorded** 

**QUALITATIVE AND QUANTITATIVE INFORMATION**

At the end of the year, there were no fully cancelled transactions in place for the sale of financial assets that led to the recognition of a continuing involvement.

304 \| Consolidated financial statements as at 30 June 2024

**C. Financial assets sold but not entirely derecognized**

**QUALITATIVE AND QUANTITATIVE INFORMATION**

At the end of the year, there were no fully cancelled transactions in place for the sale of financial assets.

**D. Covered bond transactions**

Mediobanca Covered Bond S.r.l., an SPV incorporated under Article 7-bis of Italian Law 130/99, is owned as to 90% by Mediobanca Premier and as to 10% by SPV Holding.

At a Board meeting held in December 2020, the Bank's Directors approved a resolution to renew the programme of covered bond issuance for a further ten years compared to the original expiry date (December 2021) for a total amount of €10bn.

The deal entails the involvement of:

– Mediobanca as the issuer of *covered bonds*;

– Mediobanca Premier S.p.A. as the seller (including on a revolving basis) of assets eligible for sale under the regulations in force, up to the limits on Mediobanca's regulatory capital ratios, and servicer for the transaction;

– Mediobanca Covered Bond S.r.l. (SPV) as non-recourse transferee of the assets and guarantor of the covered bonds.

The issues in this programme were attributed an AA *rating* by Fitch.

The programme includes 7 transactions in place for a value of €5,300m placed with institutional investors and secured by assets sold by Mediobanca Premier to Mediobanca Covered Bond for €7,062m (operating value), broken down as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ISIN Code** | **Issue Date** | **Nominal Value** | **Rate** | **Expiry:** |
| IT0005142952 | Nov-15 | 750 | Fix: 1.375% | Nov-25 |
| IT0005315046 | Nov-17 | 750 | Fix: 1.25% | Nov-29 |
| IT0005339186 | Jul-18 | 750 | Fix: 1.125% | Aug-24 |
| IT0005378036 | Jul-19 | 750 | Fix: 0.5% | Oct-26 |
| IT0005433757 | Jan-21 | 750 | Fix: 0.01% | Feb-31 |
| IT0005499543 | June 22 | 750 | Fix: 2.375% | Jun-27 |
| IT0005579807 | Jan-24 | 800 | Fix: 3.25% | Nov-28 |
|  |  | 5.300 |  |  |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 305

During the year under review, assets were sold by Mediobanca Premier to the special purpose vehicle Mediobanca Covered Bond in the amount of €649.5m, with the simultaneous repurchase of assets for €18.5m.

A Bond with a nominal value of €750m expired in October and was completely replaced by a bond issued on 15 January 2024 for a nominal value of €750m, maturing in 5 years (November 2028), with a coupon rate of 3.25% and subject to tap issuance for €50m.

Finally, it should be noted that on 28 August 2024, Mediobanca concluded a covered bond placement for a total amount of €750m and a 3% coupon.

\* \* \*

&nbsp;&nbsp;&nbsp;&nbsp;**E.** **Prudential consolidation – Credit risk management models** 

The Group was authorized by the Supervisory Authorities to calculate capital requirements using its own rating systems for the Corporate portfolio of Mediobanca and Mediobanca International (Probability of Default and Loss Given Default), for the Italian mortgage portfolio of MB Premier (Probability of Default and Loss Given Default), for consumer credit (Probability of Default and Loss Given Default) and credit card exposures (Probability of Default, Loss Given Default and Credit Conversion Factor) of Compass. In June 2024, a pre-application was also submitted for the model applicable to Corporate exposures relating to MBFACTA's Factoring operations. For exposures for which the standardized methodology is currently used to calculate the regulatory capital requirements, the Group has nonetheless developed internal credit risk models that are used for management purposes.

The Group has also adopted a portfolio model in order to calculate the economic capital for credit risk, which enables geographical and sector concentration and diversification effects to be factored in.

306 \| Consolidated financial statements as at 30 June 2024

**1.2 MARKET RISKS**

**1.2.1 INTEREST RATE RISK AND PRICE RISK – REGULATORY TRADING PORTFOLIO** 

**QUALITATIVE INFORMATION**

The Bank's operating exposure to market risks in the trading portfolio is monitored by calculating operating earnings on a daily basis and through use of the following indicators:

---

| | |
|:---|:---|
| *–* | Sensitivity – mainly Delta and Vega – to the principal risk factors (interest rates, share prices, exchange rates, credit spreads, inflation and volatility, dividends, correlations, etc.); sensitivity analysis shows the increase or decrease in the value of financial assets and derivatives to local changes in these risk factors, providing a static representation of the market risk of the trading portfolio; |

---

Value-at-risk calculated using a weighted historical simulation method with scenarios updated daily, assuming a liquidation horizon of one business day and a confidence level of 99%.

Risks are monitored daily through VaR and sensitivity analyses to ensure compliance with operating limits, managing the risk appetite established by the Bank for its trading book and, in case of VaR, also to evaluate the robustness of the model through back-testing. The expected shortfall on the set of positions subject to VaR measurement is also calculated daily by means of historical simulation; this represents the average potential losses over and beyond the level of confidence for the VaR. Moreover, stress tests are carried out monthly (on the entire portfolio) concerning the main risk factors to show, among other things, the impact which more substantial movements in the main market variables might have (e.g. share prices and interest or exchange rates) calibrated on the basis of extreme changes in market variables.

Other complementary risk metrics are used in order to assess trading position risks not fully measured by VaR and by sensitivity analyses more specifically. The weight of products which require such metrics to be used is in any case extremely limited compared to the overall size of Mediobanca's trading portfolio.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 307

In the past fiscal year, market fluctuations were mainly driven by interest rates and monetary policy expectations.

Volatility on the stock markets remained high in the first four months of the financial year: the main stock indexes showed fluctuations in returns ranging between +6% and -6% quarter-on-quarter between July and September. The driver of this phase of uncertainty was the macroeconomic and geopolitical context: inflation data (4.3% EU, 3.7% US) - although at their lowest since October 2021 - were still above monetary policy targets. Added to this were upside pressures on oil prices, caused by lower supply from producing countries (primarily Saudi Arabia and Russia) and by tensions in the Middle East due to the rekindling of the conflict between Israel and Hamas. This situation was reflected in interbank and government interest rates: the short-term part of the curves did not undergo significant changes in the first quarter, while there was an upward remarking of long-term yields - in particular in the United States (swap and US Treasury 10Y +70 bps q/q), supporting the assumption that discount rates would remain in the 4-to-5% area for a long time. Finally, in the same period, the BTP 10Y witnessed a rise of +70 bps compared to a +30 bps of the Euro Swap 10Y and the Bund, due to a greater idiosyncratic risk for Italy.

In November, there was a clear change of scenario with a general decline in interest rates (e.g. -115 bps on 10y ITA). After the peak in mid-October, inflation data (-200 bps y/y EU HICP in March 2024) and a less hawkish stance by monetary policy authorities reversed market expectations, which had expected cuts in key refinancing rates in the first half of 2024. This led government bond yields to retrace to levels slightly below those recorded at the beginning of the year. At this stage, the stock market followed a general upward trend, with the US market outperforming the EU market, reaching a return of +18% (average of main indexes) compared to the beginning of the year and with volatility at its lowest, especially when compared to the month of October.

Finally, in June there was a partial recovery of volatility generated by tensions on French OATs and on other EU government bonds following the outcome of the European elections of 8 and 9 June and the subsequent elections to the French Parliament.

During the year under review, there were no breaches of the VaR and Stop Loss limits thanks to the low level of volatility, especially in the stock market.

308 \| Consolidated financial statements as at 30 June 2024

The Value-at-Risk of the Trading aggregate fluctuated between a minimum of €3.2m in November and a maximum of €10m, as recorded in late December. The average figure (€5.9m) was 30% lower than the average of the previous year (€8.4m). After the peak, the VaR figure progressively decreased until it reached €4.6m at the end of the year, well below the average for the 12-month period.

The risk factors that explain the VaR trend are mainly as follows: (i) yields of Italian and core Euro Area government bonds and (ii) greater sense of direction in exposures to implied stock market volatilities, driven by particularly low levels of volatility. The contribution of other risk factors, such as share prices or exchange rates, is marginal. With respect to these, the Bank's position is conservative or substantially neutral.

In line with the VaR trend, the Expected shortfall - which measures a further stress scenario on the same VaR historical series - shows a lower average figure than in the previous year (€10.7m against €12.8m).

Daily back-testing results (based on the comparison with the theoretical Profits and Losses) during the twelve-month observation period showed no cases of deviation from the VaR.

*Table 1: Value-at-risk and Expected Shortfall in the trading portfolio*

€'000

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **FY 2023/2024** | **FY 2023/2024** | **FY 2023/2024** | **FY 2023/2024** | **FY 2022/2023** |
| <br>**Risk factors (figures in €'000)** | **30 June** | **Min** | **Max** | **Average** | **Average** |
| Interest rates | 1451 | 1373 | 7124 | 3629 | 7071 |
| Credit | 1583 | 1020 | 2531 | 1706 | 2548 |
| Shares | 5343 | 1078 | 6490 | 3741 | 3609 |
| Exchange rates | 632 | 591 | 1631 | 927 | 904 |
| Inflation | 223 | 32 | 684 | 293 | 365 |
| Volatility | 3156 | 2325 | 6068 | 3842 | 6254 |
| *Diversification effect* <sup>(\*)</sup> | (7759) | (12098) | (4930) | (8277) | (12369) |
| Total | 4630 | 3249 | 10094 | 5860 | 8382 |
| **Expected Shortfall** | **6995** | **5258** | **22817** | **10745** | **12846** |

---

<sup>(\*)</sup> Associated with a less-than-perfect correlation between risk factors.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 309

Apart from the general VaR limit on Trading positions, a system reflecting a greater degree of granularity for the individual trading desks is also in place.

Furthermore, each desk has sensitivity limits to changes in the various risk factors, which are monitored on a daily basis. Compared to the previous financial year, exposure was reduced across all risk classes.

*Tab. 2: Summary of the trend in the main trading portfolio sensitivities*

(€'000)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **FY 2023/2024** | **FY 2023/2024** | **FY 2023/2024** | **FY 2023/2024** | |
| <br>**Risk factors** | **30 June** | **Min** | **Max** | **Average** |<br>**FY 2022/2023** |
| Equity delta (+1%) | (107827) | (1086056) | 3928644 | 258943 | 418680 |
| Equity vega (+1%) | (1660900) | (4317612) | 1817130 | (717196) | 757496 |
| Interest rate delta (+1 bp) | (5745) | (371684) | 473465 | 104737 | 218649 |
| Inflation delta (+1 bp) | (37959) | (70991) | 55080 | (17952) | 13079 |
| Exchange rate delta (+1%) <sup>(\*)</sup> | 12427 | (364685) | 5841508 | 4224 | 142539 |
| Credit delta (+1 bp) | 350476 | (294922) | 617669 | 246220 | 421632 |

---

<sup>(\*)</sup> This refers to the Euro gaining versus other foreign currencies.

*Trends in VaR of trading portfolio*

![](tm2518026d1_ex99-6img001.jpg)

310 \| Consolidated financial statements as at 30 June 2024

*Trends in VaR constituents (Trading)*

![](tm2518026d1_ex99-6img002.jpg)

**QUANTITATIVE INFORMATION**

*1. Regulatory trading portfolio: distribution by residual maturity (repricing date) of financial cash assets and liabilities and financial derivatives* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Type/Residual duration** |<br>**Demand** | **From 6**<br>**months to 1**<br>**year** | <br>**From 1 year**<br>**to 5 years** | <br>**From 5 years**<br>**to 10 years** | <br>**Not**<br>**specified** |
| 1. Cash assets | 14227 | 1613491 | 2912553 | 1016283 |  |
| &nbsp;&nbsp;1.1 Debt securities | 14227 | 1613491 | 2912553 | 1016283 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other | 14227 | 1613491 | 2912553 | 1016283 |  |
| &nbsp;&nbsp;1.2 Other assets |  |  |  |  |  |
| 2. Cash liabilities | 185 | 493976 | 2473543 | 642040 |  |
| &nbsp;&nbsp;2.1 Repos |  |  |  |  |  |
| &nbsp;&nbsp;2.2 Other liabilities | 185 | 493976 | 2473543 | 642040 |  |
| 3. Financial derivatives |  |  |  |  |  |
| &nbsp;&nbsp;3.1 With underlying securities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Options |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Long positions |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Short positions |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Other |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Long positions |  |  | 355494 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Short positions |  |  | 355494 |  |  |
| &nbsp;&nbsp;3.2 Without underlying securities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Options |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Long positions | 6577 | 1540797 | 31165193 | 1187860 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Short positions | 6577 | 1540797 | 31165193 | 1187860 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Other |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Long positions | 1158140 | 31634429 | 26767959 | 10635299 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Short positions | 1192158 | 14156525 | 26750459 | 10635299 |  |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 311

*2. Regulatory trading portfolio: cash exposures in equities and UCITS units*

---

| | | | |
|:---|:---|:---|:---|
| | **Carrying amount** | **Carrying amount** | **Carrying amount** |
| <br>**Type of exposure/Amounts** | **Level 1** | **Level 2** | **Level 3** |
| A. Equity securities <sup>(1)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Shares | 3704683 |  | 172758 |
| &nbsp;&nbsp;A.2 Innovative equity instruments |  |  |  |
| &nbsp;&nbsp;A.3 Other equity instruments |  |  |  |
| B. UCITS |  |  |  |
| &nbsp;&nbsp;B.1 Under Italian law |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– harmonized open |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– non-harmonized open |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– closed |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– reserved |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– speculative |  |  |  |
| &nbsp;&nbsp;B.2 Under other EU states law |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– harmonized |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– non-harmonized open |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– non-harmonized closed |  |  |  |
| &nbsp;&nbsp;B.3 Under non-EU states law |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– open |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– closed |  |  |  |
| Total | 3704683 |  | 172758 |

---

<sup>(1)</sup> Net imbalance between trading activities and technical overdrafts recognized as trading liabilities: over 93% of net exposure concerns EU countries.

**1.2.2 INTEREST RATE RISK AND PRICE RISK – BANKING BOOK**

**QUALITATIVE INFORMATION**

The Mediobanca Group monitors and manages interest rate risk through sensitivity testing of net interest income and economic value. The sensitivity of the net interest income quantifies the impact on current earnings in the worst-case scenario among those outlined in the guidelines of the Basel Committee (BCBS) transposed in the EBA document in 2022 (EBA/GL/2022/14). In this testing, the asset stocks are maintained constant, renewing the items falling due with the same financial characteristics and assuming a time horizon of twelve months.

Conversely, the sensitivity of economic value measures the impact of future flows on the current value in the worst-case scenario of those contemplated in the Basel Committee guidelines (BCBS).

312 \| Consolidated financial statements as at 30 June 2024

All the scenarios present a floor set by the EBA guidelines at minus 1.5% on the demand maturity with linear progression up to 0% at the fifty-year maturity. In the current market environment, this floor has a very limited impact on sensitivity metrics.

For both sensitivities, balance sheet items have been treated based on their contractual profile, except for the items related to current account deposits for retail clients (which have been treated on the basis of proprietary behavioural models) and consumer credit items and mortgages (which reflect the possibility of early repayment).

To determine the discounted value of cash flows, various benchmark curves were used to discount and compute future rates based on the value date on which the balance sheet item itself was traded (multi-curve). The credit component has been stripped out of the cash flows for the economic value sensitivity only.

With reference to the Group's banking book positions at 30 June, in the event of a parallel decrease in the curve ("parallel down"), the expected interest income would undergo a negative change of €52m, representing an improvement with respect to the previous year (€-142m). The sharply declining sensitivity mainly concerned the large capital endowment (referred to as free capital) and moreover the end-of-year figure was partially contained over the 12-month period; in fact, it settled around a value of approximately €-100m (Parallel Down scenario).

With reference to the analysis of the present value of future cash flows in the Group's banking book, the shock that may cause the worst change would occur if the short part of the interest rate curve rose ("Short Up"), which is currently an unlikely scenario.

The change would in fact be negative by €74m, mainly due to the impact of Mediobanca (€-23m) and Compass (€-25m). In the previous year, the maximum change amounted to €76m in the "Flattener" scenario.

Notes to the accounts \| Part E - Information on risks and related hedging policies\| 313

(€m)

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Banking Book** | **Banking Book** | **Banking Book** | **Banking Book** | **Banking Book** | **Banking Book** |
| <br>**Data at 30 June 2024** | **Maximum<br> level<br> scenario** | **Group Mediobanca MB Premier <br> S.p.A.** | **Group Mediobanca MB Premier <br> S.p.A.** | **Group Mediobanca MB Premier <br> S.p.A.** | **Compass** | **Other** |
| Net interest income sensitivity | Parallel Down | (52) | 11 | (20) | (20) | (23) |
| Sensitivity of discounted value of expected cash flows | Flattener | (74) | (23) | (3) | (25) | (23) |

---

At Group level, the values obtained for the net interest income sensitivity are lower than the Group RAF limit of 4.5% (Group net interest income/TIER 1), while the economic value sensitivity was lower than the Group RAF limit by 6% (Economic Value sensitivity/Group TIER 1).

The SOT regulatory indicator is 0.7% (net interest income/Tier 1 Capital sensitivity) and well below the 5% regulatory threshold.

In addition to the scenarios envisaged from a regulatory standpoint, the +50 bps scenario is continuously monitored:

(€m)

---

| | | | |
|:---|:---|:---|:---|
|  | <br>**30 June 2023** | **Average amount for**<br>**the year 2023/2024** | <br>**30 June 2024** |
| Group | 36 | 28 | 15 |
| Mediobanca S.p.A | 17 | 14 | (1) |

---

**Hedging**

Hedges are intended to neutralize possible losses that may be incurred on a given asset or liability, due to the volatility of certain financial risk factors (interest rate, exchange rate, credit or some other risk parameter) through the gains that may be realized on a hedging instrument that is capable of offsetting changes in Fair Value or cash flows of the hedged instrument. For Fair Value hedges in particular, the Group seeks to minimize the financial risk on interest rates by bringing the entire interest-bearing exposure in line with Euribor (generally Euribor 3 months).<sup>(67)</sup>

<sup>(67)</sup> This target is maintained even in the presence of hedging contracts with market counterparties with which netting agreements and CSAs (collateralized standard agreements) have been entered into and whose valuation is carried out at Ester interest rates.

314 \| Consolidated financial statements as at 30 June 2024

**A. Fair Value hedging**

Fair Value hedges are used to neutralize exposure to interest rate or price risk for specific asset or liability positions, via derivative contracts entered into with leading market counterparties with high credit rating. In particular, with regard to interest rate risk, the Group applies specific hedges to individual items or clusters of like-for-like assets and liabilities in terms of interest rate risk. The objective of these hedges is to reduce the interest rate risk through swaps that convert fixed-rate into floating rate assets and/or liabilities. The items being mainly hedged are fixed-rate or structured liabilities issued by Mediobanca, investments in fixed-rate securities under assets held in the HTC and HTCS portfolio, the portfolio of fixed-rate mortgage loans, the floors implicit in the floating-rate loans of the Lending division and floating-rate mortgage loans granted by Mediobanca Premier and the deposits of Mediobanca Premier for which the behavioural model is being taken into account at the effective maturity.

Some structured bond issues remain in the portfolio without causing any risks correlated to the main risk, broken down into the interest rate component (hedged) and other risks which are represented in the trading book and are usually covered by external positions of the opposite sign; for structured bonds issued during the year, mostly interest rate, the Bank applied the Fair Value option in the initial recognition phase of the liability and the related risks were hedged with derivatives measured at Fair Value Through Profit or Loss in order to deal with the impacts on the P&L account.

Fair Value hedges are also used by the Parent Company to mitigate the price risk of an equity investment recorded within the portfolio of assets measured at Fair Value through other comprehensive income.

The Mediobanca Premier mortgage loan book is hedged via amortizing swaps, the notional and maturity profile of which follows the mortgage repayment plan and the expected prepayment rate for the loan book based on the model developed by Risk Management (subject to internal approval, considering a prudential margin).

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 315

**B. Cash flow hedging**

This form of hedging is mainly used in the context of some Group companies' operations (in particular with reference to consumer credit and leasing), where provisions at a floating rate are set aside for a significant amount against a large number of transactions for a negligible amount, generally at a fixed rate. The hedge is made in order to transform these positions into fixed-rate positions, correlating the relevant cash flows with investments. Normally, the Group uses derivatives to fix the expected cost of deposits over the reference period to cover floating-rate loans in place and future transactions linked to systematic renewals of such loans upon expiry.

**C. Foreign investment hedging activities**

This involves hedging an exposure to a controlling interest in a company and the goodwill associated with it (including any intangibles identified as a result of the Purchase Price Allocation process) in currencies other than the Euro. The exposure may be hedged via derivatives or other financial instruments in different currencies, such as bond issues. The exchange rate effect of the hedge is taken through the net equity reserve to cover the effects of the hedged instrument.

&nbsp;&nbsp;&nbsp;&nbsp;**D.** **Hedging instruments** 

&nbsp;&nbsp;&nbsp;&nbsp;**E.** **Hedged items** 

As for hedged items and hedging instruments, they have been exhaustively described in the previous paragraphs and throughout the document.

**Counterparty risk**

Counterparty risk generated by market transactions with institutional customers or counterparties is measured in terms of expected potential future exposure. With regard to derivatives and collateralized short-term loan products (repos and securities lending), the calculation is based on determining the

316 \| Consolidated financial statements as at 30 June 2024

maximum potential exposure (assuming a 95% likelihood) at various points in time up to 30 years. The scope of application regards all groups of counterparties which have relations with the Bank, taking into account the presence of netting (e.g. ISDA, GMSLA or GMRA) and collateralization agreements (e.g. CSA), if any. Exposures deriving from transactions on the interbank market should be added to these. For these three types of transactions, different exposure limits are granted to each counterparty and/or group subject to internal analysis and approval by the Credit and Market Committee.

With regard to derivative transactions, as required by IFRS 13, the Fair Value incorporates the effects of the counterparty credit risk (referred to as CVA) and Mediobanca credit risk (referred to as DVA) based on the future exposure profile of the set of contracts in place.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 317

**QUANTITATIVE INFORMATION**

*1. Banking book by outstanding maturity (repricing date) of financial assets and liabilities*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Type/Residual duration** | **Demand** | **Up to 3<br> months** | **From 3<br> months to<br> 6 months** | **From 6<br> months to<br> 1 year** | **From<br> 1 year to<br> 5 years** | **From<br> 5 years to<br> 10 years** | **Over 10<br> years** | **Indefinite<br> duration** |
| 1. Cash assets | 16339236 | 21438629 | 8336459 | 5170422 | 16250391 | 4757488 | 4404702 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Debt securities |  | 1598261 | 2255486 | 2330580 | 3360338 | 1047788 | 453252 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other |  | 1598261 | 2255486 | 2330580 | 3360338 | 1047788 | 453252 |  |
| &nbsp;&nbsp;&nbsp;1.2 Loans to banks | 4444953 | 4187418 | 938589 | 292741 | 635563 |  | 198966 | 10 |
| &nbsp;&nbsp;&nbsp;1.3 Loans to customers | 11894283 | 15652950 | 5142384 | 2547101 | 12254490 | 3709700 | 3752484 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– current accounts | 1422580 |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other loans | 10471703 | 15652950 | 5142384 | 2547101 | 12254490 | 3709700 | 3752484 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– with early redemption option | 3961469 | 2382769 | 1176419 | 2175869 | 10421065 | 3595747 | 3717446 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other | 6510234 | 13270181 | 3965965 | 371232 | 1833425 | 113953 | 35038 |  |
| 2. Cash liabilities | 24122540 | 22577961 | 4797741 | 9089333 | 12194068 | 1205749 | 3604629 |  |
| &nbsp;&nbsp;&nbsp;2.1 Due to customers | 21648149 | 6447197 | 3202521 | 2849587 | 461443 | 50914 | 124276 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– current accounts | 16725369 | 1432017 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other liabilities | 4922780 | 5015180 | 3202521 | 2849587 | 461443 | 50914 | 124276 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other | 4922780 | 5015180 | 3202521 | 2849587 | 461443 | 50914 | 124276 |  |
| &nbsp;&nbsp;&nbsp;2.2 Due to banks | 2472950 | 7739987 | 400510 | 296034 | 2190167 | 313228 | 591462 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– current accounts | 325221 |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other liabilities | 2147729 | 7739987 | 400510 | 296034 | 2190167 | 313228 | 591462 |  |
| &nbsp;&nbsp;&nbsp;2.3 Debt securities | 1441 | 8390777 | 1194710 | 5943712 | 9542458 | 841607 | 2888891 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other | 1441 | 8390777 | 1194710 | 5943712 | 9542458 | 841607 | 2888891 |  |
| &nbsp;&nbsp;&nbsp;2.4 Other liabilities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– other |  |  |  |  |  |  |  |  |
| 3. Financial derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.1 With underlying securities |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ long positions |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ short positions |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Other derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ long positions |  |  |  | 155000 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ short positions |  |  |  | 155000 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Without underlying securities – Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ long positions |  | 18381 | 25900 | 145989 | 137881 |  | 758798 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ short positions |  | 18381 | 25900 | 145989 | 137881 |  | 758798 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Other derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ long positions | 254717 | 38421822 | 6347004 | 11358742 | 16081766 | 5346068 | 4963200 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ short positions | 254717 | 52180038 | 1964011 | 2073520 | 16091766 | 5346068 | 4863200 |  |
| 4. Other off-balance sheet transactions | 16836715 | 12289081 | 3795681 | 3115491 | 26252284 | 4786922 | 2280491 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;+ long positions | 7820203 | 8194987 | 1598992 | 1680666 | 12532629 | 1964512 | 886344 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;+ short positions | 9016512 | 4094094 | 2196689 | 1434825 | 13719655 | 2822410 | 1394147 |  |

---

318 \| Consolidated financial statements as at 30 June 2024

*2. Banking book: cash exposures in equities and UCITS units*

---

| | | | |
|:---|:---|:---|:---|
| | **Carrying amount** | **Carrying amount** | **Carrying amount** |
| <br>**Type of exposure/Amounts** | **Level 1** | **Level 2** | **Level 3** |
| A. Equity securities <sup>(1)</sup> |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Shares | 127548 |  | 133085 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Innovative equity instruments |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 Other equity instruments |  |  |  |
| B. UCITS |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Under Italian law | 20363 |  | 186860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– harmonized open | 15777 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– non–harmonized open |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– closed |  |  | 186084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– reserved |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– speculative | 4586 |  | 776 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Under other EU states law | 176865 | 80949 | 187825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– harmonized |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– non–harmonized open |  |  | 61265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– non–harmonized closed | 176865 | 80949 | 126560 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.3 Under non–EU states law |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– open |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– closed |  |  |  |
| Total | 324776 | 80949 | 507770 |

---

<sup>(1)</sup> Of which 54% Italian and 46% from other EU member states.

**1.2. 3 EXCHANGE RATE RISK**

**QUALITATIVE INFORMATION**

**A.** **General aspects, operating processes and measurement techniques of exchange rate risk** 

**B.** **Exchange rate risk hedging** 

The trend in the exchange rate component of VaR shown on page 307 is an effective representation of changes in the risks taken on the forex market, because exposure to exchange rate risk is managed globally.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 319

**QUANTITATIVE INFORMATION**

*1. Assets, liabilities and derivatives by currency*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** |
| <br>**Items** |<br>**US Dollar** | **Great Britain**<br>**Pound** | **Japanese**<br>**Yen** | **Swedish**<br>**Krona** | **Swiss**<br>**Franc** | **Other**<br>**currencies** |
| A. Financial assets | 3894692 | 1542123 | 3473 | 44381 | 462137 | 102012 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Debt securities | 1057055 | 296527 |  |  | 19273 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Equity securities | 347399 | 462460 |  |  | 234797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 Due from banks | 827931 | 367870 | 2067 | 10145 | 50180 | 44054 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.4 Due from customers | 1653419 | 398970 | 1242 | 34182 | 157824 | 57757 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.5 Other financial assets | 8888 | 16296 | 164 | 54 | 63 | 201 |
| B. Other assets |  |  |  |  | 234 |  |
| C. Financial liabilities | 3672255 | 1430744 | 112972 | 6981 | 287547 | 63986 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.1 Due to banks | 112021 | 472367 | 1 | 6627 | 4059 | 376 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.2 Due to customers | 2211872 | 825203 | 9955 | 347 | 96507 | 51391 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.3 Debt securities | 1347022 | 14605 | 103016 |  | 186881 | 12219 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.4 Other financial liabilities | 1340 | 118569 |  | 7 | 100 |  |
| D. Other liabilities | 16923 | 2142 |  |  | 11715 |  |
| E. Financial derivatives |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Options |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Long positions | 122154 | 58873 | 90578 | 876 | 94087 | 120266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Short positions | 50367 |  | 73610 | 2612 | 282237 | 85218 |
| &nbsp;&nbsp;&nbsp;&nbsp;– Other derivatives |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Long positions | 5156763 | 1033901 | 550018 | 74555 | 633490 | 649276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ Short positions | 5413553 | 1177904 | 414129 | 108625 | 653077 | 668025 |
| &nbsp;&nbsp;&nbsp;Total assets | 9173609 | 2634897 | 644069 | 119812 | 1189948 | 871554 |
| &nbsp;&nbsp;&nbsp;Total liabilities | 9153098 | 2610790 | 600711 | 118218 | 1234576 | 817229 |
| &nbsp;&nbsp;&nbsp;Difference (+/-) | 20511 | 24107 | 43358 | 1594 | (44628) | 54325 |

---

*2. Internal models and other methodologies used for sensitivity analysis*

During the year under review, the Euro-dollar rate moved around the average value of 1.08, with a minimum of 1.05 and a maximum of 1.13, to close at 1.07, i.e. near the values recorded at the beginning of the year. The overall Forex VaR remained relatively steady at 900,000 with short-lived peaks at 2.4m.

320 \| Consolidated financial statements as at 30 June 2024

**1.3 DERIVATIVE INSTRUMENTS AND HEDGING POLICIES**

**1.3.1 TRADING DERIVATIVES**

**A. Financial derivatives**

*A.1 Trading financial derivatives: reporting-date notional values*

 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | |
| <br>**Underlying assets /**<br>**Type of derivatives** |<br>**Central**<br>**counterparties** | **With**<br>**offsetting**<br>**arrangements** | **Without**<br>**offsetting**<br>**arrangements** |<br><br>**Established**<br>**markets** |<br>**Central**<br>**counterparties** | **With**<br>**offsetting**<br>**arrangements** | **Without**<br>**offsetting**<br>**arrangements** |<br><br>**Established**<br>**markets** |
| 1. Debt securities and interest rate | 102874596 | 48042208 | 1443456 | 1535643 | 94215475 | 22556759 | 1258298 | 2115793 |
| &nbsp;&nbsp;&nbsp;a) Options |  | 31919433 | 277500 | 492747 |  | 4802779 | 613240 | 1269393 |
| &nbsp;&nbsp;&nbsp;b) Swap | 102874596 | 13634787 | 1165956 |  | 94215475 | 13709595 | 645058 |  |
| &nbsp;&nbsp;&nbsp;c) Forwards |  | 355494 |  |  |  | 277076 |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  | 1042896 |  |  |  | 846400 |
| &nbsp;&nbsp;&nbsp;e) Other |  | 2132494 |  |  |  | 3767309 |  |  |
| 2. Equity securities and stock |  | 14776409 | 2045702 | 19872720 |  | 14285141 | 3047327 | 18361567 |
| &nbsp;&nbsp;&nbsp;a) Options |  | 12991255 | 150517 | 19077052 |  | 13792650 | 744742 | 17860244 |
| &nbsp;&nbsp;&nbsp;b) Swap |  | 1785154 | 241620 |  |  | 492491 |  |  |
| &nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  | 795668 |  |  |  | 501323 |
| &nbsp;&nbsp;&nbsp;e) Other <sup>(1)</sup> |  |  | 1653565 |  |  |  | 2302585 |  |
| 3. Currencies and gold |  | 16268177 | 531887 |  |  | 20148517 | 789845 |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 2295736 |  |  |  | 3604697 |  |  |
| &nbsp;&nbsp;&nbsp;b) Swap |  | 6165851 |  |  |  | 6601337 | 504598 |  |
| &nbsp;&nbsp;&nbsp;c) Forward |  | 7806590 | 531887 |  |  | 9942483 | 285247 |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 4. Commodities |  | 453296 | 145665 |  |  | 1750000 | 169947 |  |
| 5. Other |  |  |  |  |  |  |  |  |
| Total | 102874596 | 79540090 | 4166710 | 21408363 | 94215475 | 58740417 | 5265417 | 20477360 |

---

<sup>(1)</sup> This exclusively regards Certificates issued.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 321

*A.2 Trading financial derivatives: gross positive and negative Fair Values by product*

 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | |
| <br>**Types of derivatives** |<br>**Central**<br>**counterparties** | **With**<br>**offsetting**<br>**arrangements** | **Without**<br>**offsetting**<br>**arrangements** |<br><br>**Established**<br>**markets** |<br>**Central**<br>**counterparties** | **With**<br>**offsetting**<br>**arrangements** | **Without**<br>**offsetting**<br>**arrangements** |<br><br>**Established**<br>**markets** |
| 1. Positive Fair Value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 554206 | 310818 | 784767 |  | 616293 | 270054 | 688152 |
| &nbsp;&nbsp;&nbsp;b) Interest rate swaps | 164019 | 169507 | 79057 |  | 242613 | 239367 | 59887 |  |
| &nbsp;&nbsp;&nbsp;c) Cross currency swaps |  | 171438 |  |  |  | 238334 |  |  |
| &nbsp;&nbsp;&nbsp;d) Equity swaps |  | 191886 | 2053 |  |  | 172525 |  |  |
| &nbsp;&nbsp;&nbsp;e) Forward |  | 125415 | 17142 |  |  | 148770 | 21239 |  |
| &nbsp;&nbsp;&nbsp;f) Futures |  |  |  | 12055 |  |  |  | 7826 |
| &nbsp;&nbsp;&nbsp;g) Other <sup>(1)</sup> |  |  |  |  |  |  | 12602 |  |
| Total | 164019 | 1212452 | 409070 | 796822 | 242613 | 1415289 | 363782 | 695978 |
| 2. Negative Fair Value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 648467 | 344601 | 832156 |  | 724524 | 325764 | 833108 |
| &nbsp;&nbsp;&nbsp;b) Interest rate swap | 19242 | 409556 | 15657 |  | 21750 | 510238 | 18861 |  |
| &nbsp;&nbsp;&nbsp;c) Cross currency swaps |  | 165188 |  |  |  | 198055 | 22994 |  |
| &nbsp;&nbsp;&nbsp;d) Equity swaps |  | 4415 | 8 |  |  | 2875 |  |  |
| &nbsp;&nbsp;&nbsp;e) Forward |  | 92744 | 8741 |  |  | 104804 | 4089 |  |
| &nbsp;&nbsp;&nbsp;f) Futures |  |  |  | 47352 |  |  |  | 23631 |
| &nbsp;&nbsp;&nbsp;g) Other <sup>(1)</sup> |  |  | 1576925 |  |  |  | 2099503 |  |
| Total | 19242 | 1320370 | 1945932 | 879508 | 21750 | 1540496 | 2471211 | 856739 |

---

<sup>(1)</sup> This exclusively regards Certificates issued.

322 \| Consolidated financial statements as at 30 June 2024

*A.3 OTC trading financial derivatives: notional values, gross positive and negative Fair Values by counterparty*

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Underlying assets** | **Central**<br>**counterparti** | <br>**Banks** | **Other financial**<br>**companies** | <br>**Other entities** |
| Contracts not included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Debt securities and interest rates <sup>(1)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X | 315921 | 433923 | 693611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X | 28297 | 55066 | 1727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X | 122 | 7641 | 26337 |
| &nbsp;&nbsp;&nbsp;2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X | 1653565 | 392112 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X | 306600 | 2402 | 636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–Negative Fair Value <sup>(1)</sup> | X | 1883483 | 23321 | 115 |
| &nbsp;&nbsp;&nbsp;3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X | 288254 | 238028 | 5605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X | 55 | 11385 | 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X | 4854 | 58 |  |
| &nbsp;&nbsp;&nbsp;4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X | 145665 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X | 2820 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X |  |  |  |
| Contracts included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | 102874596 | 38438159 | 5576736 | 4027311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | 164019 | 214898 | 141643 | 6418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | 19242 | 198494 | 237424 | 138976 |
| &nbsp;&nbsp;&nbsp;2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 7861559 | 4832973 | 2081878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  | 125032 | 247172 | 164544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  | 311380 | 113393 | 30973 |
| &nbsp;&nbsp;&nbsp;3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 11420905 | 1926041 | 2921232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  | 178685 | 29990 | 85042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  | 215876 | 46916 | 26920 |
| &nbsp;&nbsp;&nbsp;4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 400000 | 53297 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  | 19028 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  | 1 | 16 |  |
| &nbsp;&nbsp;&nbsp;5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  |  |  |  |

---

<sup>(1)</sup> Of which certificates with a nominal value of €1,653,565 and Fair Value of € -1,576,925.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 323

*A.4 Outstanding life of OTC financial derivatives: notional amounts*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Underlying / Outstanding life** |<br>**Up to 1 year** | **From 1 year**<br>**to 5 years** |<br>**Over 5 years** |<br>**Total** |
| A.1 Financial derivative contracts on debt securities and interest rates | 43362645 | 78751766 | 30245849 | 152360260 |
| A.2 Financial derivative contracts on equity securities and stock indexes | 8802236 | 7790298 | 229577 | 16822111 |
| A.3 Financial derivatives on currencies and gold | 13313407 | 3019586 | 467071 | 16800064 |
| A.4 Financial derivatives on commodities | 360001 | 238960 |  | 598961 |
| A.5 Other financial derivatives |  |  |  |  |
| Total 30 June 2024 | 65838289 | 89800610 | 30942497 | 186581396 |
| Total 30 June 2023 | 68914364 | 67236795 | 22070151 | 158221310 |

---

**B. Credit derivatives**

*B.1 Trading credit derivatives: reporting-date notional values*

 

---

| | | |
|:---|:---|:---|
| | **Trading derivatives** | **Trading derivatives** |
| <br>**Categorie di operazioni** |<br>**with a single**<br>**counterparty** | **With more than**<br>**one counterparty**<br>**(basket)** |
| 1. Hedge purchases |  |  |
| &nbsp;&nbsp;a) Credit default products | 2089371 | 15942262 |
| &nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;c) Total rate of return swap |  |  |
| &nbsp;&nbsp;d) Other <sup>(1)</sup> | 166675 |  |
| Total 30 June 2024 | 2256046 | 15942262 |
| Total 30 June 2023 | 4464319 | 23081608 |
| 2. Hedging sales |  |  |
| &nbsp;&nbsp;a) Credit default products | 1923844 | 15710906 |
| &nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;c) Total rate of return swap |  |  |
| &nbsp;&nbsp;d) Other <sup>(1)</sup> |  |  |
| Total 30 June 2024 | 1923844 | 15710906 |
| Total 30 June 2023 | 2834997 | 23071967 |

---

<sup>(1)</sup> This exclusively regards Certificates issued.

The column headed "Basket" includes the positions in credit indexes matched by positions on single names which go to make up the same index for the skew issues.<sup>(68)</sup> The arbitrage structures have a notional value of €12.4bn (€18bn in the previous year). The embedded derivative of the issues consists in purchases of hedges of €1.7bn<sup>(69)</sup> (€1.4bn) on individual entities.

<sup>(68)</sup> Please refer to "Part B - Liabilities - Liabilities at amortized cost" herein.

<sup>(69)</sup> Embedded items with underlying commodities (€146m) and related derivatives (€453m) are shown in Table A.3.

324 \| Consolidated financial statements as at 30 June 2024

*B.2 Trading credit derivatives: gross positive and negative Fair Values by product*

 

---

| | | |
|:---|:---|:---|
| **Types of derivatives** | **30 June 2024** | **30 June 2023** |
| 1. Positive Fair Value |  |  |
| &nbsp;&nbsp;a) Credit default products | 214402 | 158778 |
| &nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;c) Total rate of return swap |  |  |
| &nbsp;&nbsp;d) Other <sup>(1)</sup> | 17558 |  |
| Total | 231960 | 158778 |
| 2. Negative Fair Value |  |  |
| &nbsp;&nbsp;a) Credit default products | 219517 | 212650 |
| &nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;c) Total rate of return swap |  |  |
| &nbsp;&nbsp;d) Other <sup>(1)</sup> | 169307 | 203733 |
| Total | 388824 | 416383 |

---

<sup>(1)</sup> This exclusively regards Certificates issued.

*B.3 OTC trading credit derivatives: notional values and gross positive/negative Fair Value, by counterparty*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Central**<br>**counterparties** |<br>**Banks** | **Other financial**<br>**companies** | **Other**<br>**entities** |
| Contracts not included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;1) Hedging purchases |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- notional value <sup>(1)</sup> | X | 1867340 | 90683 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- positive Fair Value | X | 19987 | 851 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Negative Fair Value <sup>(1)</sup> | X | 169307 | 1080 |  |
| &nbsp;&nbsp;2) Hedging sales |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- notional value | X | 12251 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- positive Fair Value | X | 5476 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- negative Fair Value | X |  |  |  |
| Contracts included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;1) Hedging purchases |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- notional value | 4841696 | 1410590 | 9987999 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- positive Fair Value |  | 669 | 7598 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- negative Fair Value |  | 33404 | 145561 |  |
| &nbsp;&nbsp;2) Hedging sales |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- notional value | 4584755 | 2005489 | 11032255 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- positive Fair Value |  | 47459 | 149920 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- negative Fair Value | 11923 | 10772 | 16778 |  |

---

<sup>(1)</sup> Of which certificates with a nominal value of €166,675 and a Fair Value of €-151,749.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 325

*B.4 Outstanding life of OTC trading credit derivatives: notional values*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying / Outstanding life** | **Up to 1 year** | **From 1 year to 5 years** | **Over 5 years** | **Total** |
| 1 Hedging sales | 4563109 | 12588482 | 483159 | 17634750 |
| 2 Hedging purchases | 4957050 | 13072123 | 169135 | 18198308 |
| Total 30 June 2024 | 9520159 | 25660605 | 652294 | 35833058 |
| Total 30 June 2024 | 20036194 | 32270037 | 1146660 | 53452891 |

---

**1.3.2 ACCOUNTING HEDGES**

**QUANTITATIVE INFORMATION**

**A. Financial hedging derivatives**

*A.1 Financial hedging derivatives: reporting-date notional value*

 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | |
| <br>**Underlying assets /<br> Type of derivatives** |<br>**Central<br> counterparties** | **With offsetting<br> arrangements** | **Without<br> offsetting<br> arrangements** |<br>**Established<br> markets** |<br>**Central<br> counterparties** | **With offsetting<br> arrangements** | **Without offsetting<br> arrangements** |<br>**Established<br> markets** |
| 1. Debt securities and interest rate | 58185737 | 25457251 | 10000 |  | 59316375 | 28878165 | 10000 |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 1086949 |  |  |  | 1711945 |  |  |
| &nbsp;&nbsp;&nbsp;b) Swaps | 58185737 | 24215302 | 10000 |  | 59316375 | 27166220 | 10000 |  |
| &nbsp;&nbsp;&nbsp;c) Forwards |  | 155000 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 2. Titoli di capitale e indici azionari |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Swaps |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;c) Forwards |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 3. Valute e oro |  | 362280 |  |  |  | 360506 |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Swaps |  | 362280 |  |  |  | 360506 |  |  |
| &nbsp;&nbsp;&nbsp;c) Forwards |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 4. Commodities |  |  |  |  |  |  |  |  |
| 5. Other |  |  |  |  |  |  |  |  |
| Total | 58185737 | 25819531 | 10000 |  | 59316375 | 29238671 | 10000 |  |

---

326 \| Consolidated financial statements as at 30 June 2024

 

*A.2 Financial hedging derivatives: gross positive and negative Fair Values by product*

 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | | |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **Change in the value used** | **Change in the value used** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | | **to calculate the hedge** | **to calculate the hedge** |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | | **effectiveness** | **effectiveness** |
| <br>**Types of derivatives** |<br>**Central<br> counterparties** | **With offsetting<br> arrangements** | **Without<br> offsetting<br> arrangements** |<br>**Established<br> markets** |<br>**Central<br> counterparties** | **With offsetting<br> arrangements** | **Senza accordi di compensazione** |<br>**Established<br> markets** | **30 June<br> 2024** | **30 giugno<br> 2023** |
| 1. Positive Fair Value |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 25537 |  |  |  | 27932 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) *Interest rate swaps* | 596520 | 79811 |  |  | 1207709 | 84865 |  |  | 1009091 | 299123 |
| &nbsp;&nbsp;&nbsp;c) *) Cross currency swaps* |  | 1251 |  |  |  | 1377 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) *Equity swaps* |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) *Forwards* |  | 2432 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;f) *Futures* |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;g) Other |  |  |  |  |  |  |  |  |  |  |
| Total | 596520 | 109031 |  |  | 1207709 | 114174 |  |  | 1009091 | 299123 |
| 2. *Fair Value* negativo |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 1243 |  |  |  | 6461 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) *Interest rate swaps* | 1259955 | 169739 | 131 |  | 1870620 | 191934 | 61 |  | 731675 | 905674 |
| &nbsp;&nbsp;&nbsp;c) *) Cross currency swaps* |  | 575 |  |  |  | 466 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) *Equity swaps* |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) *Forwards* |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;f) *Futures* |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;g) Other |  |  |  |  |  |  |  |  |  |  |
| Total | 1259955 | 171557 | 131 |  | 1870620 | 198861 | 61 |  | 731675 | 905674 |

---

 

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 327

 

*A.3 OTC financial hedging derivatives: notional values, gross positive and negative Fair Values by counterparty*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Underlying assets** | **Central**<br>**counterparties** |<br>**Banks** | **Other financial**<br>**companies** |<br>**Other entities** |
| Contracts not included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X | 10000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X | 131 |  |  |
| &nbsp;&nbsp;&nbsp;2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | X |  |  |  |
| Contracts included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | 58185737 | 22754171 | 2703080 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value | 596520 | 86172 | 21607 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value | 1259955 | 167414 | 3568 |  |
| &nbsp;&nbsp;&nbsp;2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 321568 | 40712 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  | 1251 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  | 474 | 101 |  |
| &nbsp;&nbsp;&nbsp;4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– positive Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– negative Fair Value |  |  |  |  |

---

 

328 \| Consolidated financial statements as at 30 June 2024

 

*A.4 Outstanding life of OTC financial hedging derivatives: notional values*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying / Outstanding life** | **Up to 1 year** | **From 1 year to<br> 5 years** | **Over 5 years** | **Total** |
| A.1 Financial derivative contracts on debt securities and interest rates | 8734313 | 42555957 | 32362718 | 83652988 |
| A.2 Financial derivative contracts on equity securities and stock indexes |  |  |  |  |
| A.3 Financial derivative contracts on currencies and gold | 21466 | 300102 | 40712 | 362280 |
| A.4 Financial derivatives on commodities |  |  |  |  |
| A.5 Other financial derivatives |  |  |  |  |
| Total 30 June 2024 | 8755779 | 42856059 | 32403430 | 84015268 |
| Total 30 June 2023 | 11267564 | 40985740 | 36311742 | 88565046 |

---

**C. Non-derivative hedging instruments**

*C.1 Hedging instruments other than derivatives: breakdown by accounting portfolio and hedge type*

 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Change in value used to calculate the hedge** | **Change in value used to calculate the hedge** | **Change in value used to calculate the hedge** |
|  | **Carrying amount** | **Carrying amount** | **Carrying amount** | **ineffectiveness** | **ineffectiveness** | **ineffectiveness** |
|  |<br>**Fair Value**<br>**hedges** |<br>**Cash flow**<br>**hedges** | **Foreign**<br>**investment**<br>**hedges** |<br>**Fair Value**<br>**hedges** |<br>**Cash flow**<br>**hedges** | **Foreign**<br>**investment**<br>**hedges** |
| Financial assets other than derivatives |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;of which: trading activities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;of which: other assets mandatorily measured at Fair Value |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;of which: assets designated at Fair Value |  |  |  |  |  |  |
| Total 30 June 2024 |  |  |  |  |  |  |
| Total 30 June 2023 |  |  |  |  |  |  |
| Financial liabilities other than derivatives |  |  |  |  |  |  |
| Trading liabilities |  |  |  |  |  |  |
| Liabilities designated at Fair Value |  |  |  |  |  |  |
| Liabilities measured at amortized cost | X | X |  |  |  |  |
| Total 30 June 2024 |  |  |  |  |  |  |
| Total 30 June 2023 |  |  |  |  |  | 320 |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 329

 

**D. Hedged instruments**

*D.1 Fair Value hedges*

 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Coperture specifiche** | **Coperture specifiche** | **Coperture specifiche** | |
|  |<br><br>**Specific**<br>**hedges:**<br>**book** | **Specific hedges**<br>**- net positions:**<br>**balance sheet**<br>**value of assets or**<br>**liabilities (before**<br>**offsetting)** | **Accumulated**<br>**changes in**<br>**Fair Value of**<br>**the hedged**<br>**instrument** | **Ending of**<br>**hedge: residual**<br>**accumulated**<br>**changes in Fair**<br>**Value** | **Changes in**<br>**value used**<br>**to calculate**<br>**the hedge**<br>**ineffectiveness** |<br>**Generic**<br>**hedges:**<br>**Carrying**<br>**amount** |
| A. Assets |  |  |  |  |  |  |
| &nbsp;&nbsp;1. Financial assets measured at Fair Value through other comprehensive income - hedges of: | 1175058 |  | 3267 |  | 20925 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 1175058 |  | 3267 |  | 20925 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Equity securities and stock indexes |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Currencies and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.4 Receivables |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |  |  | X |
| &nbsp;&nbsp;2. Financial assets measured at amortized cost - hedges of: | 10325353 |  | 189273 |  | 275633 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate 2,693,485 |  | 40135 |  | 60054 | X |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Equity securities and stock indexes |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Currencies and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.4 Receivables 7,631,868 |  | 149138 |  | 215579 | X |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |  |  | X |
| Total 30 June 2024 | 11500411 |  | 192540 |  | 296558 |  |
| Total 30 June 2023 | 11874071 |  | 534954 |  | 219830 |  |
| B. Liabilities |  |  |  |  |  |  |
| &nbsp;&nbsp;1. Financial liabilities measured at amortized cost - hedges of: | 27448491 |  | 1208739 |  | 615790 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 27448491 |  | 1208739 |  | 615790 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Currencies and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Other |  |  |  |  |  | X |
| Total 30 June 2024 | 27448491 |  | 1208739 |  | 615790 |  |
| Total 30 June 2023 | 26574907 |  | 1788619 |  | 526817 |  |

---

330 \| Consolidated financial statements as at 30 June 2024

 

*D.2 Hedging of cash flows and foreign investments*

 

---

| | | | |
|:---|:---|:---|:---|
|  | **Changes in the value <br> used to calculate the <br> hedge ineffectiveness** | **Hedge reserves** | **Ending of hedge: <br> residual value of <br> hedging reserves** |
| A. Cash flow hedging |  |  |  |
| 1. Assets | 2.719 | 1820 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 2719 | 1820 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Equity securities and stock indexes |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Currencies and gold |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.4 Receivables |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |
| 2. Liabilities | 234417 | 111848 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 234417 | 111848 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Currencies and gold |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1.3 Other |  |  |  |
| Total (A) 30 June 2024 | 237136 | 113668 |  |
| Total (A) 30 June 2023 | 143221 | 272383 |  |
| B. Hedging of foreign investments | X |  | (15.947) |
| Total (A+B) 30 June 2024 | 237136 | 113668 | (15.947) |
| Total (A+B) 30 June 2023 | 143221 | 256436 |  |

---

**E. Effects of hedging through net equity**

*E.1 Reconciliation of net equity components*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Cash flow hedging reserve** | **Cash flow hedging reserve** | **Cash flow hedging reserve** | **Cash flow hedging reserve** | **Cash flow hedging reserve** | **Foreign investment hedging reserve** | **Foreign investment hedging reserve** | **Foreign investment hedging reserve** | **Foreign investment hedging reserve** | **Foreign investment hedging reserve** |
|  |<br>**Debt**<br>**securities**<br>**and interest**<br>**rate** | **Equity**<br>**securities**<br>**and stock**<br>**price**<br>**indexes** |<br><br>**Currencies**<br>**and gold** |<br><br>**Receivables** |<br><br>**Other** |<br>**Debt**<br>**securities**<br>**and interest**<br>**rate** | **Equity**<br>**securities**<br>**and stock**<br>**price**<br>**indexes** |<br><br>**Currencies**<br>**and gold** |<br><br>**Receivables** |<br><br>**Other** |
| Opening balance | 272383 |  |  |  |  |  |  |  |  |  |
| Changes in Fair Value (effective portion) | (158715) |  |  |  |  |  |  |  |  |  |
| Transfers to P&L |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Of which: future transactions no longer expected |  |  |  |  |  | *X* | *X* | *X* | *X* | *X* |
| Other changes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Of which: transfers of hedged instruments at book value |  |  |  |  |  | *X* | *X* | *X* | *X* | *X* |
| Closing balance | 113668 |  |  |  |  |  |  |  |  |  |

---

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 331

**1.3.3 OTHER INFORMATION ON DERIVATIVE INSTRUMENTS (TRADING AND HEDGING)** 

**A. Financial and credit derivatives**

*A.1 OTC financial and credit derivatives: net Fair Value by counterparty*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Central<br> counterparties** | **Banks** | **Other financial companies** | **Other entities** |
| A. Financial derivatives |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | 161060333 | 61518251 | 8713739 | 4720922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value | 760539 | 329367 | 216135 | 8145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value | 1279197 | 366161 | 246452 | 165313 |
| &nbsp;&nbsp;&nbsp;2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 9515124 | 5225085 | 2081902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value |  | 431632 | 249574 | 165180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value |  | 2194863 | 136714 | 31088 |
| &nbsp;&nbsp;&nbsp;3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 12030727 | 2204781 | 2926837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value |  | 179991 | 41375 | 85124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value |  | 221204 | 47075 | 26920 |
| &nbsp;&nbsp;&nbsp;4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  | 545665 | 53297 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value |  | 21848 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value |  | 1 | 16 |  |
| &nbsp;&nbsp;&nbsp;5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value |  |  |  |  |
| B. Credit derivatives |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Hedging purchases |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | 4841696 | 3277930 | 10078682 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value |  | 20656 | 8449 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value |  | 202711 | 146641 |  |
| &nbsp;&nbsp;&nbsp;2) Hedging sales |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– notional value | 4584755 | 2017740 | 11032255 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net positive Fair Value |  | 52935 | 149920 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– net negative Fair Value | 11923 | 10772 | 16778 |  |

---

332 \| Consolidated financial statements as at 30 June 2024

**1.4 LIQUIDITY RISK**

**QUALITATIVE INFORMATION**

**A.** **General aspects, operating processes and measurement techniques of liquidity risk** 

Banks are naturally exposed to the liquidity risk inherent in the maturity transformation process that is typical of banking operations.

Liquidity risk is distinguished according to its timing profile:

– the current or potential risk of the bank not being able to manage its own liquidity needs in the short term ("liquidity risk");

the risk of the bank not having stable funding sources in the medium or long term, resulting in its inability to meet its financial obligations without incurring an excessive increase in the cost of financing ("funding risk").

An adequate liquidity and funding risk management system is fundamental to ensure the stability of the Group and the financial system in general, given that a single bank's difficulties would affect the system as a whole. The liquidity and funding risk management system is developed as part of the Risk Appetite Statement and the risk tolerance levels contained in it. In particular, one of the management objectives contained in the Risk Appetite Statement is to maintain a liquidity position in the short and long term which is adequate to cope with a period of prolonged stress (combining Bank-specific and systemic stress factors).

The Group Liquidity Risk Management Policy (the "Policy") approved by the Parent company's Board of Directors defines the target amount in terms of highly liquid assets in order to hedge the anticipated cash flows to be maintained in the short and medium/long term.

The Policy also sets out the roles and responsibilities of the company units and governing bodies, the risk measurement metrics used, the guidelines for carrying out the stress testing process, the funds transfer pricing system and the Contingency Funding Plan.

To ensure that liquidity risk is managed according to an integrated and consistent approach within the Group as a whole, strategic decisions are taken by the Parent Company's Board of Directors, to which the Policy assigns several

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 333

important duties, including: definition and approval of the guidelines and strategic direction, responsibility for ensuring that the risk governance system is fully reliable, and monitoring of trends in the Group's liquidity and funding risk and Risk Appetite Framework.

Moreover, the Group's ALM Committee discusses the most significant liquidity risk issues, defining the asset and liability structure and the related acceptance of the risk of mismatches between assets and liabilities and managing them in line with the commercial and financial objectives set out in the budget and in the Group's Risk Appetite Framework.

In application of Article 86 of Directive 2013/36/EU, the Mediobanca Group identifies, measures, manages and monitors liquidity risk as part of its internal liquidity adequacy assessment process (ILAAP). In this process, which constitutes an integral part of the Supervisory Authority's activities (Supervisory Review and Evaluation Process, or SREP), the Mediobanca Group performs a self-assessment of the adequacy of its overall framework for liquidity risk management and measurement from a qualitative and a quantitative perspective. The findings of the risk profile adequacy assessment and overall self-assessment are presented to the Governing Bodies annually.

The Mediobanca Group's liquidity governance process is centralized at the Parent Company level by setting the strategy and guidelines for Group Legal Entities, thereby ensuring that the liquidity position is managed and controlled at the consolidated level.

The Parent Company's units that are responsible for ensuring that the Policy is applied correctly are:

Group Treasury, responsible at Group level for the management of liquidity, funding, collateral, internal transfer pricing system and for the preparation of the Group Funding Plan in line with budget objectives;

Risk Management which, in accordance with the principles of separation and independence, is responsible for the Group's integrated, second-level control system for current and future risks, in accordance with the Group's regulations and governance strategies.

The Group Audit Unit is responsible for evaluating the functioning and reliability of the control system for liquidity risk management and for reviewing its adequacy and compliance with the requirements laid down in the regulations.

334 \| Consolidated financial statements as at 30 June 2024

The findings of such reviews are submitted to the Governing Bodies at least once a year.

The Group's objective is to maintain a level of liquidity that will enable it to meet its ordinary and extraordinary payment obligations at the established expiry dates, while at the same time keeping costs to a minimum and hence without incurring losses. The Mediobanca Group's short-term liquidity policy aims to verify whether the mismatch between expected or unexpected cash inflows and outflows remains sustainable in the short term, including within an intra-day time horizon.

The Group, through its Group Treasury Unit, manages its own liquidity position actively, with the objective of being able to meet its own clearing obligations within the time frame required.

Intra-day liquidity risk is the risk of a mismatch in terms of timing within a single day between payments made by Mediobanca and those received from other market counterparties. Management of this risk requires careful and ongoing monitoring of cash flows exchanged, and, more importantly, adequate liquidity reserves. To mitigate this risk, the Group has implemented a system of indicators and monitoring to check the availability of reserves at the start of the day and their capacity to meet possible situations of stress that could involve other market counterparties or the value of the assets used in the risk mitigation.

The monitoring metric adopted over time horizons longer than intra-day is the net liquidity position, obtained from the sum of the counterbalancing capacity (defined as the cash, bonds traded on the market, receivables eligible for refinancing with the ECB available post-haircut) and cumulative net cash flows.

The system of limits is structured on the basis of the normal course of business up to a time horizon of three months, a 1-month systemic stress and a combined stress scenario of 45 days, thus effectively functioning as an early warning system if the limit is approached in normal conditions.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 335

The short-term and intra-day liquidity monitoring is supplemented by stress testing which assumes three scenarios:

Systemic Scenario: this scenario represents a pandemic crisis inspired by the events observed during the spread of the SARS-CoV-2 virus, influenced by a deep economic recession over a twelve-month time horizon which leads to effects such as the deterioration of the loan portfolio and related contraction in volumes (mainly for the consumer loan component), increase in perceived risk with impacts on the values of liquidity reserves and increase in netting requests, reduction in the supply of capital on the financial markets for the Group but also for customers who have been granted credit lines, which they will consequently be forced to use.

Idiosyncratic Scenario: this scenario starts with a specific cyber-attack event that affects the Group's internal systems with a resulting limitation in operations on the market. On the one hand, this leads to an operational loss, on the other, to reputation damage. The latter component causes retail and wholesale customers to withdraw their deposits. In this context, the rating agencies initiate a downgrade of the issuer Mediobanca compromising even more its ability to access financial markets thus causing an increase in the cost of funding and impacts on liquidity reserves with regard to self-retained assets, having an impact on initial margins and outflows from triggers linked to downgrade events.

– Combined: a combined scenario between Systemic and Idiosyncratic Scenario.

In addition to the above, the Group prepares a report on its liquidity position on a weekly basis, as required by the Bank of Italy; the Maturity Ladder report, compiled according to the instructions of the Supervisory Authority, in addition to highlighting the main transactions maturing within the three months following the reference date, is supplemented by a summary of the Group's assets that can be allocated to the Central Bank.

Furthermore, on a weekly basis the Group prepares the SSM reporting, a set of metrics whose preparation is required by the European Central Bank, with the aim of monitoring the Group's exposure to liquidity risk and of incorporating additional information that allows it to understand other phenomena which may affect the Group's financial balance; in addition to the Maturity Ladder report and the LCR indicator, detailed information is provided on the evolution of funding sources, collateral and a qualitative assessment of the bank's liquidity position.

336 \| Consolidated financial statements as at 30 June 2024

Monitoring structural liquidity, on the other hand, is intended to ensure that the structure has an adequate financial balance for maturities of more than twelve months. Maintaining an appropriate ratio between assets and liabilities in the medium/long term also serves the purpose of avoiding future pressures in the short term. The operating methods adopted involve analysing the maturity profiles for both assets and liabilities over the medium and long term checking that on average the cumulative inflows cover the cumulative outflows for maturities of more than one, three and five years.

Throughout the financial year under review, both indicators, short- and long- term, have shown that the Group maintained an adequate level of liquidity at all times.

The Group complied with the minimum requirement in terms of Net Stable Funding Ratio (NSFR)<sup>(70)</sup> and short-term Liquidity Coverage Ratio (LCR).<sup>(71)</sup> In line with the Group Risk Appetite Framework, they remained above internal and regulatory limits at all times.

In detail, the LCR figure at 30 June stood at 159% (compared to 179.5% at the beginning of the year), including the prudential estimate of the "additional outflows for other products and services" in compliance with Article 23 of Delegated Regulation (EU) 2015/61. This indicator showed limited variability around its average value of 164%, the latter slightly up compared to the average annual figure recorded in the year (161%). The positioning above management's target value allowed Group Treasury to keep the Group's Funding and liquidity position steady, ensuring the early repayment of approximately €4bn in TLTRO during the year. In a still uncertain context, threatened by geopolitical risk and by rising interest rates, Group Treasury managed highly liquid assets by trying to combine commercial strategies with the need to always have an adequate instrument, in terms of quantity and quality.

<sup>(70)</sup> Directive (EU)/878 (referred to as CRD V) and Regulation (UE) 2019/876 (referred to as CRR2)

<sup>(71)</sup> Commission Delegated Regulation (EU) 2015/61, as supplemented and amended.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 337

The NSFR indicator, calculated according to Regulation (EU) 2019/876, stood at 116.8%, slightly dropping compared to the figure recorded in the previous year (119.3%) but still in line with the Group's targets. This trend was determined by an increase in lending (mainly linked to the secured lending and securities in position), which was greater than the increase in funding which witnessed the increase in debt securities offsetting the reduction in secured funding at the Central Bank.

As the above indicators are included in Group Risk Appetite Framework, their sustainability is also analysed in preparing the Group Funding Plan, through future analysis over a time horizon of at least three years, with monitoring and half-yearly updates. A multi-risk stress test is also run as part of the same framework based on the scenario analysis. A stress scenario is defined which may involve the Group, and its simultaneous impacts are assessed, taking into account the inter-relations between risks and the capability to adapt the business strategies defined in the budget to the changed scenario.

In addition to the risk measurement system described above, an event governance model has been devised, known as the Contingency Funding Plan (described in the Policy), to be implemented in the event of a crisis by following a procedure approved by the Board of Directors.

The objective pursued by the Contingency Funding Plan is to ensure prompt implementation of effective action to tackle a liquidity crisis through precise identification of stakeholders, powers, responsibilities, communication procedures and related reporting criteria in order to increase the likelihood of coming through the state of emergency successfully. This objective is achieved primarily by activating an extraordinary operational and liquidity governance model, supported by consistent internal and external disclosures and a number of specific indicators.

In order to identify a "contingency" state in a timely manner, a system of early warning indicators (EWIs) has been prepared to monitor situations that could lead to deterioration in the Group's liquidity position deriving from external factors and/or situations which are specific to the Group itself.

The foregoing sections show how stress testing is a fundamental instrument in managing liquidity risk. Liquidity risk materializes less frequently but it may have a significant impact. Instruments are needed to diagnose the Group's

338 \| Consolidated financial statements as at 30 June 2024

vulnerabilities over different time horizons. The findings of the stress tests are therefore used principally in order to:

– define the funding strategies for the Funding Plan and planning activities more generally (liquidity profile of assets and liabilities);

– assess the adequacy of the system of limits, and establish significant events for the purpose of the regular process of revising the limits themselves;

– provide support in assigning the actions to be taken in managing states of operating crisis or stress.

The liquidity risk mitigation factors adopted by the Mediobanca Group are as follows:

– an adequate level of high-quality, highly liquid assets to address any liquidity imbalances, even prolonged over time;

– accurate short-term and long-term liquidity planning, alongside careful forecasting and monitoring activities;

– a robust and constantly updated stress testing framework;

– an efficient Contingency Funding Plan to identify crisis states and the actions to be taken in such circumstances, through a reliable early warning indicator system.

The counterbalancing capacity at 30 June amounted to €18.3bn, an increase compared to the previous year (€16.6bn); TLTRO repayments freed up credit assets falling with the counterbalancing capacity. The amount of available securities eligible for spot refinancing with the ECB to immediately obtain liquidity stood at €15.2bn (€12.5bn). The balance of collateral allocated to the Central Bank amounted to €12.1bn (€12bn one year ago). Out of the collateral, the amount of €10.8bn approximately was allocated to the Central Bank free and immediately available (€6.4bn) and was, therefore, included in the Group's counterbalancing capacity.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 339

**QUANTITATIVE INFORMATION**

*1. Financial assets and liabilities by residual contract term*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Items / maturities** | **Demand** | **From 1 day <br> to 7 days** | **From 7 days<br> to 15 days** | **From 15<br> days to 1<br> month** | **From 1<br> month to 3 <br> months** | **From 3<br> months to 6 <br> months** | **From 6 <br> months to 1<br> year** | **From 1 year<br> to 5 years** | **Over<br> 5 years** | **Not specified** |
| Cash assets | 8641864 | 719504 | 906254 | 2286760 | 4781573 | 6058539 | 8134102 | 32636647 | 20361451 | 20266 |
| &nbsp;&nbsp;&nbsp;&nbsp;A.1 Government securities | 28783 | 71800 | 125242 | 202011 | 156465 | 1121279 | 2678034 | 4966109 | 4214280 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.2 Other debt securities | 1256 | 3123 | 1945 | 8181 | 181859 | 50450 | 446310 | 3005781 | 1869534 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.3 UCIT units | 16875 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;A.4 Loans | 8594950 | 644581 | 779067 | 2076568 | 4443249 | 4886810 | 5009758 | 24664757 | 14277637 | 20266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Banks | 4387972 | 420699 | 243672 | 968500 | 901566 | 839642 | 333720 | 963517 | 1169379 | 20266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Customers | 4206978 | 223882 | 535395 | 1108068 | 3541683 | 4047168 | 4676038 | 23701240 | 13108258 |  |
| Cash liabilities | 16319196 | 2390708 | 964874 | 1752650 | 5408916 | 4593076 | 10264216 | 20762185 | 8475813 | 22393 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Deposits and current accounts | 13640383 | 1577793 | 81555 | 615373 | 1575876 | 2719003 | 2608704 | 491510 | 5000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Banks | 325107 |  |  |  |  |  |  | 24242 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– Customers | 13315276 | 1577793 | 81555 | 615373 | 1575876 | 2719003 | 2608704 | 467268 | 5000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Debt securities | 1427 | 39 | 234584 | 12165 | 1630505 | 449925 | 2309331 | 14661757 | 6897997 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.3 Other liabilities | 2677386 | 812876 | 648735 | 1125112 | 2202525 | 1424148 | 5346181 | 5608918 | 1572816 | 22393 |
| Off-balance sheet transactions |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.1 Financial derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– long positions | 743649 | 862955 | 206334 | 722445 | 2850464 | 7446609 | 2551703 | 18426051 | 7280303 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– short positions | 359406 | 789830 | 207599 | 798521 | 2567273 | 692835 | 1918328 | 2863398 | 347406 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.2 Financial derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– long positions | 3853199 | 4856 | 34213 | 180258 | 328263 | 515693 | 859857 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– short positions | 3946681 | 11822 | 27763 | 207737 | 364427 | 539838 | 1095180 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.3 Deposits and loans for collection |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– long positions | 6747425 | 2473003 | 28817 | 208935 | 55862 | 455303 | 62500 | 629978 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– short positions |  |  | 241754 | 409948 | 433105 | 873594 | 1328238 | 4911048 | 2464136 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.4 Irrevocable loan commitments |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– long positions | 3511 |  | 125032 | 396371 | 589107 | 1383179 | 1663062 | 6058914 | 4899977 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– short positions | 8009216 | 3169109 | 503691 | 508585 | 386357 | 402686 | 329091 | 843651 | 966763 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.5 Financial guarantees issued | 71114 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.6 Financial guarantees received |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.7 Credit derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– long positions |  |  |  |  | 60000 | 100600 | 63200 | 1038672 | 977828 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– short positions |  |  |  |  | 60000 | 208444 | 145731 | 1272334 | 553792 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.8 Credit derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– long positions | 808495 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;– short positions | 822150 |  |  |  |  |  |  |  |  |  |

---

340 \| Consolidated financial statements as at 30 June 2024

**1.5 OPERATIONAL RISK**

**Definition**

Operational risk is the risk of incurring losses as a result of the inadequacy or malfunctioning of procedures and IT systems, human error or external events.

**Capital requirement**

Mediobanca has adopted the Basic Indicator Approach ("BIA") to calculate its capital requirement for operational risk by applying the regulatory coefficient of 15% of the three-year average of the relevant indicator. Based on the calculation method mentioned above, the capital requirement at 30 June 2024 amounted to €409.3m (€374.7m at 30 June 2023); the increase reflects the good performance of total revenues over the past 12 months (including extraordinary acquisition and sale transactions), having an impact on the three-year average.

**Risk mitigation**

The Group's Non-Financial Risks Committee, with the task of guiding, monitoring and mitigating non-financial risks (including IT & security risk, fraud risk, third-party/outsourcing risk, reputation risk) and the Conduct Committee, with the task of guiding, supervising and making decisions on the Group's conduct risks, operate within the scope of risk management.

Operational risks are supervised, at the level of Parent Company and main subsidiary companies, by a specific Operational Risk Management team within the Non-Financial Risk Management unit.

Based on the Group's operational risk management policy and in line with the principle of proportionality, the processes for identifying operational risks, including through the collection and analysis of data concerning operational risk loss, assessment and estimation, and the processes for identifying and initiating the related mitigation actions, are defined and implemented within the Parent Company and main subsidiaries. Actions to mitigate the most relevant operational risks were proposed, implemented and monitored according to the evidence obtained.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 341

The operating losses recorded during the year under review impacted the Bank's total revenues by approximately 0.33% (1.2% in the previous year).

With regard to the different classes of operational risk, the Group's percentage composition of the various Basel II event types is shown below.

---

| | | |
|:---|:---|:---|
| | **% su *Total Loss*** | **% su *Total Loss*** |
| <br>***Event Type*** | **30 June 2024** | **30 June 2023** |
| *Clients, products and business practices* | 39% | 55% |
| *Execution, delivery and process management* | 28% | 23% |
| *External fraud* | 19% | 19% |
| *Employment practices and workplace safety* | 6% | 3% |
| *Other* | 6% | 0% |

---

Most of the Group's operating losses arose from the Event Type "Clients, products and business practices", which includes costs deriving from disputes or litigation with Consumer Banking and Retail customers concerning financial terms and conditions or interest rates applied to financing products. The second category of losses in terms of amount, "Execution, delivery and process management", includes litigation provisions and expenses with other banks following the recruitment of Financial Advisors. The category "External Fraud" includes losses resulting from numerous thefts/attempted thefts of safes in Compass branches, a phenomenon that practically disappeared in the last months of the financial year and for which insurance reimbursements are continuing to be collected, thus covering a large part of such losses.

Losses from operational risks were greater in the Consumer Banking and Wealth Management Business Lines. In terms of potential risks, despite an adequate system of controls, businesses characterized by non-standard and large-scale transactions, such as Corporate and Investment Banking and partly Wealth Management, were subject to 'low frequency and high severity' events.

Furthermore, although they did not generate significant losses, there was an increase in some cases (classes) of operational risk, such as IT & Cyber Risk and Outsourcing Risk both at Industry and Group level.

In view of the foregoing, the Group completed a Non-Financial Risk Management project in order to strengthen and evolve specific frameworks for each risk class (such as IT & Cyber risk, third-party risk, fraud risk and reputation risk), while providing an overview of the risks themselves.

342 \| Consolidated financial statements as at 30 June 2024

In particular, ICT and Security risks, characterized by rapidly evolving components, are potentially relevant for the Group's financial position and business model in the medium term.

**ICT and Security Risk**

Starting from the year under review, the Mediobanca Group set up a new second-level control unit called "ICT and Security Risk" within the Non-Financial Risks Unit, which is part of the Group Risk Management unit. The first-level security control remains under the responsibility of a separate Organizational Unit.

This organizational structure complies with the general principles of the Group's Internal Control System, i.e. independence and separation of second-level controls from operating units, and meets the requirements specified with the 40th update of Circular No. 285 of the Bank of Italy.

The ICT & Security Risk Unit is responsible for monitoring and controlling ICT and security risks, as well as verifying compliance of IT operations with the IT and security risk management system.

Security risk (including cyber risk) is understood as the risk of incurring financial, reputation and market share losses due to:

– any unauthorized access or attempted access to the Group's IT system or to the data and digital information contained therein;

any (malicious or involuntary) event fostered or caused by the use of, or connected to, technology that has or could have an adverse impact on the integrity, availability, confidentiality and/or authenticity of company data and information, or on the continuity of corporate processes;

– improper use and/or dissemination of data and information, including if not directly produced and managed by the Group.

IT or technological risk is understood as the risk of incurring financial loss, reputation damage and market share loss in relation to the incorrect use of ICT processes supporting maintenance and management of the company's information system or in connection with malfunctions in the hardware, software or technical components.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 343

These risks, which did not generate significant phenomena for the Group during the financial year under review, are affected, in terms of exposure, by increases in:

– dependence on IT systems;

– number of users of virtual channels and thus interconnected devices;

amount of managed data that must be protected;

– use of IT services offered by third parties.

Additional external events, such as the evolution of the cyber-geopolitical environment (e.g. Russia-Ukraine and Israel-Palestine conflicts), as well as the adoption of new technological systems (e.g. cloud) that extend the attack surface by introducing new specific threats, should be added to the above factors.

In consideration of such context, ICT and Security risk is subject to increasing regulatory attention (e.g. DORA) and to the attention of Supervisors (e.g. Cyber Resilience Stress Testing), which require the continuous development of Internal Control Systems.

Over the last few years, the Group has constantly strengthened its ICT and security strategy, based on which the system of policies and rules identifying and measuring the ICT & security risks, the assessment of safeguards in place, the identification of the appropriate methods to handle such risks and technological skills needed to face new types of threats have been improved.

In particular, the IT and security risk management framework includes:

definition and maintenance of specific policies, methodologies and procedures (e.g. ICT and security risk management policy, information security policy, IT and security risk management methodological manual);

– analysis of IT and security risk, regularly carried out for the Group's Banks and Companies, as well as for the Banks' payment services;

– analysis of IT and security risk of relevant projects and/or arising from third parties;

– constant monitoring through indicators and related reporting;

– study and analysis of the Cyber environment in the Finance sector;

– training on IT and security risk at all levels of the company organization.

344 \| Consolidated financial statements as at 30 June 2024

IT and security incidents detected during the financial year under review, which concerned some outsourced services in part, were managed effectively by containing any possible operational disruptions and slowdowns.

\* \* \*

**Other risks**

As part of the process of assessing the current and future capital required to perform its internal capital adequacy assessment process (ICAAP), the Group has identified the following main types of risk as relevant, in addition to the risks described above (credit and counterparty, market, interest rate, liquidity and operational risk):

concentration risk, understood as the risk arising from concentration of exposures to single counterparties or groups of connected counterparties (referred to as "single name" concentration risk) and to counterparties belonging to the same business sector or that carry out the same activity or operate in the same geographical area (geo-sector concentration risk);

strategic risk, i.e. exposure to current and future changes in profitability compared to the volatility in volumes or changes in customer behaviour (business risk), and current and future risk of reductions in profits or capital deriving from disruption to business as a result of adopting new strategic choices, making wrong management decisions or inadequately executing decisions taken (pure strategic risk);

risk from equity investments held as part of the "Hold to collect and sell" banking book ("HTC&S"), deriving from the potential reduction in value of the equity investments, listed and unlisted, which are held as part of the HTC&S portfolio, due to unfavourable movements in financial markets or to the downgrade of counterparties (where these are not already included in other risk categories);

– sovereign risk, in regard to the potential downgrade of countries or national central banks to which the Group is exposed;

compliance risk, attributable to the possibility of incurring penalties, significant financial losses or damages to the Bank's reputation as a result of breaches of laws and regulations or internal self-imposed regulations;

reputation risk, due to reductions in profits or capital deriving from a negative perception of the Bank's image by customers, counterparties, shareholders, investors or regulatory authorities.

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 345

Risks are monitored and managed via the respective internal units (risk management, planning and control, compliance and Group audit units) and by specific management committees.

**ESG and Climate Change**

The effective management of ESG risks is a crucial aspect for maintaining a medium/long-term economic, social, and environmental balance. These risks, which include negative impacts on the environment, people, and communities, are integrated into our overall Risk Management framework. This includes assessing not only the impact of such risks on the Bank's organization, but also the consequences on our stakeholders and on the environment as a result of our operations. The Mediobanca Group considers ESG risks not as separate components, but as factors that have a dynamic interaction with traditional risk categories, such as credit, market, operational, liquidity, strategic and reputation risks.

Among ESG risks, climate risk, i.e. the financial risk deriving from exposure to physical<sup>(72)</sup> and transition<sup>(73)</sup> risk associated with climate change, is of particular importance. Furthermore, nature-related risks, i.e. the financial impact resulting from the relationship of dependence that the financed entities may have with ecosystem services provided by natural assets, or from impacts that may arise on the same natural assets through the financed entities, should be emphasized.

The integration of ESG risks and, in particular, climate risk, into the Group's risk management framework is divided into:

– materiality assessment, which aims to identify and evaluate the relevance of climate and environmental risk factors with respect to various portfolios and risk categories;

– exposure to climate and environmental risks considered material, which has been monitored through specific key risk indicators (KRI) defined in the Risk Appetite Statement (RAS);

climate and environmental risks in the material components, which are subject to stress tests aiming to assess the impacts of adverse scenarios for ICAAP purposes in the short, medium and long term;

<sup>(72)</sup> Physical risks represent the negative financial impact resulting from climate change, including more frequent extreme weather events and gradual climate changes.

<sup>(73)</sup> Transition risks consist in adverse financial impacts that a company may, directly or indirectly, incur as a result of the process of adaptation to a low-carbon and more environmentally sustainable economy.

346 \| Consolidated financial statements as at 30 June 2024

– structuring of ESG risk management, climate risk in particular, in the various risk families, using appropriate tools:

– Credit risk: this integrate ESG assessments into the loan approval process and in loan pricing by monitoring customer credit quality and tracking ESG risks with tools such as the "Heatmap".

Market risk: this uses the "Heatmap" and volatility analysis. In the latter case, in order to monitor transition and physical risks, carbon-intensive sector indexes and government bond yields are compared with market benchmarks.

– Operational risk: this includes integrating climate risk into business continuity processes, incident tracking, and stress testing framework.

Special attention was paid to materiality analysis, a structured process to evaluate the impact of climate and environmental risks on the Group.

The materiality assessment in the risk driver identification phase made it possible to find the physical and transition drivers of climate and environmental risks which could have an impact on the Group taking into account the business context and corporate strategy. Subsequently, in the exposure identification phase, the transmission channels through which the climate and environmental risk drivers identified in the previous phase may cause financial impacts on the Group and its risk profile were found and, consequently, key risk indicators (KRIs) were identified to measure such impacts. The definition of materiality thresholds made it possible to establish the materiality of each risk factor and to set up actions aimed at managing the relevant areas identified.

During the year under review, an in-depth analysis was incorporated into the Group's materiality assessment to verify the extent of risks associated with nature. Following this analysis using the ENCORE methodology, it was found that the non-financial entities being financed generated no significant dependencies or impacts on natural assets on the part of the Mediobanca Group.

The Risk Appetite Framework integrates and translates the material climate and environmental risk areas into specific controls. During the year, exposures to climate and environmental risks linked to credit risk considered material were monitored. Specific Key Risk Indicators (KRI), included in the Risk Appetite Statement (RAS), were adopted for the physical climate risk components of

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 347

loans guaranteed by real estate granted by Mediobanca Premier and for the transition climate risk of non-financial companies for Large Corporate loans.

Aware of the challenges posed by climate change and, more generally, by ESG risk factors, the Mediobanca Group actively manages the latter by seizing any intrinsic opportunities. As part of the 2023-2026 "One Brand - One Culture" Strategic Plan, the Mediobanca Group asserted its commitment to Climate and Environmental issues, setting itself the objective of supporting customers in their ESG transition strategies with ad-hoc advisory activities and allocating capital with an ESG focus. The new strategic plan contains specific targets relating to ESG factors. With regard to the "E - Environmental" factor, the intention to achieve carbon neutrality by 2050 has been confirmed, in addition to reducing the carbon intensity of loans by 18% by the end of 2026 and by 35% by the end of 2030.

These commitments are consistent with the Group's Sustainability and ESG Policies, which transpose detailed business sector guidelines by introducing restrictions on operators with a negative impact on the climate.<sup>(74)</sup> The achievement of the above strategic objectives will also be ensured by the inclusion of ESG metrics in the Group's RAF, aiming to promote responsible business activities, while maintaining a low profile in terms of exposure to climate risk. The path undertaken provides for greater and continuous integration, which, to date, includes the offering of ESG products and the adoption of ESG policies, including exclusion rules.

The number of sectors in which to formalize the goals of reducing greenhouse gas emissions is expanding after joining the Net-Zero Banking Alliance, the initiative promoted by the United Nations with the aim of accelerating the sustainable transition of the international banking sector and with the adhesion to the Principles for Responsible Banking (PRB), promoted by the United Nations Environment Programme Finance Initiative (UNEP FI).

Mediobanca has decided to incorporate any consequences related to exposure to climate risk factors arising from specific climate scenarios into its capital planning process and in particular into its adequacy assessment process (Internal Capital Adequacy Assessment Process, ICAAP). In particular, based on the findings of the materiality analysis, the Mediobanca Group has

<sup>(74)</sup> For further information, please refer to the Group's ESG Policy published on the corporate website https://www.mediobanca.com/static/upload_ new/pol/politica-esg.pdf.

348 \| Consolidated financial statements as at 30 June 2024

applied an approach to assess the impacts of transition and physical risks on the portfolios of loans granted to non-financial entities and loans secured by real estate. With regard to transition risk, the effects on the non-financial counterparties' accounts and on the energy efficiency of the relevant real properties are analysed. With regard to physical climate risk, the geo-location of the non-financial companies' properties and production sites is considered, assessing the impact of various severe and/or chronic climate events that may be found to be relevant in materiality analyses (droughts, heat waves, floods, landslides, earthquakes and coastal erosion). These assessments are based on a forward looking approach that involves three time horizons: short, medium and long term. The reference scenarios are those of Phase IV of the Network for Greening the Financial System (NGFS), such as "Current Policies", "Delayed Transition" and "Net Zero 2050", which have been appropriately integrated to adopt a forward-looking approach. For example, with regard to physical risk, the frequency and intensity of severe climate events are projected over time through econometric estimates based on the historical correlation calculated with EM-DAT data and other sources (IMF, BIS, etc.), compared to the temperature level expected by the specific NGFS scenario.

This year, in addition to integrating climate and environmental risks into capital adequacy assessments, adequacy analyses of liquidity reserves will also be introduced as part of the Group's Internal Liquidity Adequacy Assessment Process (ILAAP). These forward-looking analyses of climate and environmental risks are aimed at assessing the impact on the Group's liquidity over a 1-3 year time frame.

With reference to asset management, the *Principal Adverse Impact* (PAI) calculation for Mediobanca S.p.A. and Mediobanca SGR was implemented and disclosed on the website as per regulatory request. During the financial year, the review of the product lines continued in order to transpose the RTS provisions for financial products classified as ESG under Articles 8/9 of Regulation (EU) 2019/2018 with the definition of minimum thresholds for sustainable investments. In relation to consultancy activities, the adequacy model and product governance processes were updated to implement the provisions laid down in legislation.

It should be noted that the Group has no significant exposures to counterparties with high climate and environmental risk. The exposure to high-risk counterparties (including Services, Energy, and Metals) for the CIB credit

Notes to the accounts \| Part E - Information on risks and related hedging policies \| 349

and investment portfolio was under 1% (data as at 30 June 2024), as shown by the analysis conducted in the recalibrated ESG heatmap.

For more information, please refer to the Pillar III Disclosure section on ESG Risk, to the Consolidated Non-Financial Disclosure, and to the Task Force on Climate-Related Financial Disclosure (TCFD) Report, all of which published at the same time as this Annual Report and available on the website www.mediobanca.com.

350 \| Consolidated financial statements as at 30 June 2024

**Part F - Information on consolidated capital**

**SECTION 1**

**Consolidated capital**

**QUANTITATIVE INFORMATION**

*B.1 Consolidated net equity: breakdown by type of compan* <sup>(\*)</sup>

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Net equity items** | **Prudential<br> consolidation** | **Insurance<br> companies** | **Other<br> companies** | **Consolidation<br> adjustments and<br> eliminations** | **Total** | **of<br> which:<br> Third<br> parties** |
| 1. Share capital | 461144 |  |  |  | 461144 | 16629 |
| 2. Share premium | 2197454 |  |  |  | 2197454 | 1848 |
| 3. Reserves | 7445490 |  |  |  | 7445490 | 64516 |
| 4. Equity instruments |  |  |  |  |  |  |
| 5. (Treasury shares) | 68828) |  |  |  | (68828) |  |
| 6. Valuation reserves: | (68601) |  | 7 |  | (68594) | (16) |
| &nbsp;&nbsp;&nbsp;&nbsp;- Equity securities designated at Fair Value through other comprehensive income | 122618 |  |  |  | 122618 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Hedging of equity securities designated at Fair Value through other comprehensive income |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Financial assets (other than equity securities) measured at Fair Value through other comprehensive income | (6153) |  |  |  | (6153) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Tangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Intangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Hedging of foreign investments | (15947) |  |  |  | (15947) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Hedging of cash flows | 113782 |  |  |  | 113782 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Hedging instruments [not designated instruments] |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Currency exchange gains/losses | 16701 |  | 7 |  | 16708 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Non-current assets and asset groups held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Financial liabilities designated at Fair Value through profit or loss (change in own credit quality) | (33315) |  |  |  | (33315) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Actuarial gains (losses) on defined-benefit re-tirement plans | (1538) |  |  |  | (1538) | (130) |
| &nbsp;&nbsp;&nbsp;&nbsp;- Portion of valuation reserves of equity-accounted interests | (274381) |  |  |  | (274381) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Extraordinary revaluation laws | 9632 |  |  |  | 9632 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Financial costs or revenues relating to insurance contracts issued |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Financial costs or revenues relating to insurance contracts ceded |  |  |  |  |  |  |
| 7. Profit (loss) for the period (+/-) attributable to the Group and to minority interests | 1276519 |  |  |  | 1276519 | 3137 |
| Total | 11243178 |  | 7 |  | 11243185 | 86114 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The companies Compass RE (insurance companies), Compass Rent, MBContact Solutions, RAM UK, Quarzo S.r.l., MBUSA, MB Covered, MB Immobiliere, MB Funding LUX, Spafid SIM, Spafid Trust, MA USA, Compass Link (other companies) are not included in the prudential consolidation scope. Please see Section 1 - Consolidated Accounting Risks in Part E. |

---

Notes to the accounts \| Part F - Information on consolidated capital \| 351

*B.2 Valuation reserves for financial assets measured at Fair Value through other comprehensive income: breakdown*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Prudential<br> consolidation** | **Prudential<br> consolidation** | **Insurance<br> companies** | **Insurance<br> companies** | **Other<br> companies** | **Other<br> companies** | **Consolidation<br> adjustments and<br> eliminations** | **Consolidation<br> adjustments and<br> eliminations** | **Total** | **Total** |
| <br>**Assets/Values** | **Positive <br> reserve** | **Negative <br> reserve** | **Positive <br> reserve** | **Negative <br> reserve** | **Positive <br> reserve** | **Negative <br> reserve** | **Positive <br> reserve** | **Negative <br> reserve** | **Positive <br> reserve** | **Negative <br> reserve** |
| 1. Debt securities | 21769 | (27922) |  |  |  |  |  |  | 21769 | (27922) |
| 2. Equity securities | 129171 | (6553) |  |  |  |  |  |  | 129171 | (6553) |
| 3. Loans |  |  |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | 150940 | (34475) |  |  |  |  |  |  | 150940 | (34475) |
| Total 30 June 2023 | 128475 | (57357) |  |  |  |  |  |  | 128475 | (57357) |

---

*B.3 Valuation reserves for financial assets measured at Fair Value through other comprehensive income: changes during the period*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Debt securities** | **Equity securities** | **Loans** | **Total** |
| 1. Opening balance | 1. Opening balance | (49000) | 120118 |  | 71118 |
| 2. Increases | 2. Increases | 55565 | 20365 |  | 75930 |
| 2.1 | Increases in Fair Value | 38507 | 20356 |  | 58863 |
| 2.2 | Value adjustments for credit risk | 2263 |  |  | 2263 |
| 2.3 | Profit and loss reversal of negative reserves: from disposals | 14795 | 9 |  | 14804 |
| 2.4 | Transfers to other equity components (equity instruments) |  |  |  |  |
| 2.5 | Other changes |  |  |  |  |
| 3. Decreases | 3. Decreases | (12718) | (17865) |  | (30583) |
| 3.1 | Decreases in Fair Value | (10126) | (6759) |  | (16885) |
| 3.2 | Writebacks for credit risk | (926) |  |  | (926) |
| 3.3 | Profit and loss reversal from positive reserves: from disposals | (1666) | (11106) |  | (12772) |
| 3.4 | Transfers to other equity components (equity instruments) |  |  |  |  |
| 3.5 | Other changes |  |  |  |  |
| 4. Closing balance | 4. Closing balance | (6153) | 122618 |  | 116465 |

---

**SECTION 2**

**Own funds and supervisory capital requirements for banks**

The Mediobanca Group confirmed its great capital soundness with ratios well above the regulatory thresholds, as evidenced, among other things, by the Group's results in stress tests conducted by the Supervisor in recent years, by the large margin found in the Internal Capital Adequacy Assessment Process (ICAAP) and by the SREP assessment process performed by the Supervisor.

352 \| Consolidated financial statements as at 30 June 2024

Starting on 1 January 2024, the new additional 1.75% Pillar 2 requirement (P2R) came into force (2023 SREP Decision); therefore, the Mediobanca Group will be required to have a CET1 ratio of 8.25% (MDA 10.08%)<sup>(75)</sup> on a consolidated basis, including a 2.50% capital conservation buffer, 0.15 counter-cyclical buffer, 0.125% O-SII buffer,<sup>(76)</sup> and 0.98% additional Pillar 2 requirement, i.e. 56.25% of the total. The Overall Capital Requirement (OCR) is equal to 12.52% while the OCR requirement will be equal to 10.08% on Tier 1.<sup>(77)</sup>

*2.1 Scope of application for regulations*

During the financial year, AIRB models were applied to the Consumer portfolio. This resulted in an increase of approximately €900m in RWA (about -30 bps of CET1 ratio), previously largely reabsorbed as a result of the securitization of Significant Risk Transfer (SRT) loans and destined to be completely recovered under CRR3.

The first Significant Risk Transfer transaction for the Mediobanca Group was completed in June 2023: sale without recourse of a portfolio of performing consumer loans for €815m. In this way, the Group achieved the objective of the significant transfer of credit risk for prudential purposes (with RWA savings of approximately €500m and a deduction of €13.2m, with an overall impact of +13 bps on the CET1 ratio), without entailing the accounting derecognition of loans.

During the year under review, the AIRB model applied to the portfolio of Mediobanca Premier mortgages was revised, resulting in an increase of approximately €200m in RWA.

On the other hand, new risk mitigation measures were applied to the CIB portfolio (with an overall effect of approximately 45 bps on the CET1 ratio), including insurance coverage of Factoring, extension of the fourth ECAI Modefinance to the standard scope of the Corporate portfolio and refining of the value of large corporate collateralized positions.

<sup>(75)</sup> CET1 ratio of 15.2% at 30 June 2024. Therefore, compared to the MDA requirement, a threshold that incorporates the absence of AT1 instruments with the use of 1.83% of CET1 instruments, the buffer was approximately 500 bps. This requirement does not take into account the systemic risk buffer recently introduced by the Bank of Italy (50 bps of relevant exposures by 31 December 2024 and 100 bps by 30 June 2025)

<sup>(76)</sup> Following the inclusion of Mediobanca among the systemically important banks, this specific requirement applies as of 2024, which, starting from 2025, will be 0.25% when fully operational.

<sup>(77)</sup> The requirements do not include the countercyclical capital buffer, which as at 30 June 2024 amounted to 0.15%.

Notes to the accounts \| Part F - Information on consolidated capital \| 353

*2.2 Bank equity*

**QUALITATIVE INFORMATION**

Common Equity Tier 1 (CET1) reflects the Group's share of paid-up capital and reserves, and the share attributable to minority interests, and includes net income for the year (€1,273.4,) after dividends (€885.2m, representing a 70% payout, taking into account the advance paid last May and the balance to be paid next November) and the entire deduction of the second treasury share buyback plan to be carried out in financial year 2024/2025 (€385m);<sup>(78)</sup> it also includes the positive reserve relating to securities measured at Fair Value through other comprehensive income of €18m, despite the liability (€-98.5m) found from the equity-accounted consolidation of Assicurazioni Generali.

Deductions (€3,149m) mainly concerned:

Treasury shares of €68.8m, taking into account that the disbursement of €198m relating to the purchase of 17 million, approved by the shareholders' meeting in October 2023 and carried out in the financial year under review, was recorded as a reduction of reserves after the cancellation of shares;

intangible assets of €182.2m and goodwill of €827.3m, increasing due to the acquisitions for the year (in particular Arma Partners); on the other hand, the write-down of the RAM AI and Messier & Associés brands should be emphasized;

– prudential changes relating to valuations of financial instruments (referred to as AVA and DVA) for €56.7m;

and other investments of €95.3m (mainly in the CLO special purpose vehicle taking into account some insurance coverage), deduction of €13.2m relating to the SRT junior share and interests in Assicurazioni Generali for a total of €1,899.9m

No Additional Tier 1 (AT1) instruments were issued. AT1).

Tier 2 capital includes subordinated liabilities, up from €966.6m to €1,096.6m after last January's nominal issue of €300m, which more than absorbed the amortization for the year (€159m).

<sup>(78)</sup> Share buyback plan subject to authorization by the European Central Bank and by the Shareholders' Meeting, with a negative impact of 90 bps on CET1 ratio.

354 \| Consolidated financial statements as at 30 June 2024

---

| | | | |
|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Issue** | **ISIN code** | **Nominal Value** | **Computed value\*** |
| MB SUBORDINATO TV with min 3% 2025 | IT0005127508 | 499265 | 116585 |
| MB SUBORDINATO 3.75% 2026 | IT0005188351 | 298478 | 113664 |
| MB SUBORDINATO 1.957% 2029 | XS1579416741 | 50000 | 45868 |
| MB SUBORDINATO 2.3% 2030 | XS2262077675 | 249750 | 240014 |
| MB SUBORDINATO TF 10Y Callable | XS2577528016 | 299500 | 291480 |
| MB SUBORDINATO 5.25 22 APR 2034 | IT0005580573 | 299800 | 289013 |
| **Total subordinated securities** |  | **1696793** | **1096623** |

---

<sup>(\*)</sup> The computed value differs from the book value because of Fair Value and amortized cost components and buyback commitments.

**QUANTITATIVE INFORMATION**

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| A. Common equity tier 1 (CET1) prior to application of prudential filters | 10346257 | 10653459 |
| &nbsp;&nbsp;*of which CET1 instruments subject to phase-in regime* | *—* | *—* |
| B. CET1 prudential filters (+/-) | (208686) | (290846) |
| C. CET1 before items to be deducted and effects of phase-in regime (A +/- B) | 10137572 | 10362612 |
| D. Items to be deducted from CET1 | (4191962) | (3551325) |
| &nbsp;&nbsp;&nbsp;E. Phase-in regime - impact on CET1 (+/-), including minority interests subject to phase-in regime (\*) | 1276872 | 1366352 |
| F. Total Common Equity Tier 1 (CET1) (C-D+/-E) | 7222482 | 8177639 |
| G. Additional tier 1 (AT1) gross of items to be deducted and effects of phase-in regime |  |  |
| &nbsp;&nbsp;*of which AT1 instruments subject to phase-in regime* | *—* | *—* |
| H. Items to be deducted from AT1 |  |  |
| I. Phase-in regime - impact on AT1 (+/-), including instruments issued by branches and included in AT1 as a result of phase-in provisions |  |  |
| L. Total Additional Tier 1 (AT1) (G-H+/-I) |  |  |
| M. Tier 2 (T2) before items to be deducted and effects of phase-in regime | 1215546 | 1039389 |
| &nbsp;&nbsp;*of which T2 instruments subject to phase-in regime* | *—* | *—* |
| N. Items to be deducted from T2 |  |  |
| O. Phase-in regime - Impact on T2 (+/-), including instruments issued by branches and included in T2 as a result of phase-in provisions |  |  |
| P. Total T2 Capital (M-N+/-O) | 1215546 | 1039389 |
| Q. Total own funds (F+L+P) | 8438028 | 9217028 |

---

<sup>(\*)</sup> Adjustments include increased deductions for the adoption of Calendar Provisioning*-*

Notes to the accounts \| Part F - Information on consolidated capital \| 355

*2.3 Capital adequacy*

**QUALITATIVE INFORMATION**

The Common Equity Ratio phase-in – ratio of Common Equity Tier 1 Capital to total assets weighted with the adoption of the Danish Compromise<sup>(79)</sup> – stood at 15.2%. The decrease compared to the previous year (15.9%) concerned higher Arma Partners deductions (down 55bps, which will decrease to 30 bps in the next few years due to the use of treasury shares in completing the acquisition). The organic growth of the year (+310 bps), on the one hand, was affected by lower investments and, on the other, was absorbed almost entirely by the remuneration paid to shareholders (-305 bps), which, in addition to dividends (interim dividends paid in May and balance to be paid in November), included the buyback plans (i.e. purchases of €198m during the year and new tranche of up to €385m to be submitted to the shareholders' meeting and ECB).<sup>(80)</sup> Finally, prudential deductions linked to the increase in the Assicurazioni Generali stake (-60 bps) and effects of the AIRB Consumer model (-30 bps) largely absorbed by other effects (+70bps), in particular the use of SRT and CRM, should be noted.

Conversely, the Total Capital Ratio was slightly down to 17.7%<sup>(81)</sup> although attenuated by the new subordinated issue of €300m.

The other indicators performed as follows:

the Leverage ratio dropped to 7.1% (8.4% last June), in addition to the reduction in Tier1 capital due to increased exposures (mainly attributable to increased deposits at the Bank of Italy);

the MREL ratio, calculated according to the hybrid approach, remained steady, standing at 43.5% of RWAs<sup>(82)</sup> and 20.3% of LREs, both considerably higher than the minimum requirement set by the Single Resolution Board, i.e. respectively 23.57% and 5.91%. This good position will have no impacts even after 2025, when Mediobanca will be subject to the subordination requirement.

<sup>(79)</sup> Benefit of ~100bps, made permanent at the session of 24 April in which the European Parliament approved the new CRR Regulation.

<sup>(80)</sup> New share purchase plan with cancellation, subject to the authorization of the Shareholders' Meeting and the ECB, and whose maximum value may be the net income for the financial year after the proposed dividend.

<sup>(81)</sup> Total Capital Ratio without adopting the Danish compromise stood at 16.94%

<sup>(82)</sup> Ratio calculated using the hybrid approach introduced by the Regulator, which takes into consideration consolidated own funds and eligible liabilities (other than own funds) issued by the resolution entity to entities outside the resolution group.

356 \| Consolidated financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Unweighted amounts** | **Unweighted amounts** | **Weighted amounts/requirements** | **Weighted amounts/requirements** |
| <br>**Categories/Amounts** | **30 June 2024** | **30 June 2023** | **30 June 2024** | **30 June 2023** |
| A. RISK ASSETS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Credit and counterpart risk | 81893174 | 81616495 | 40498513 | 44254236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Standard methodology | 37559932 | 50437658 | 20510353 | 32028909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Internal rating methodology | 43511131 | 30824323 | 19820465 | 12123625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Basic |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Advanced | 43511131 | 30824323 | 19820465 | 12123625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Securitization | 822111 | 354514 | 167695 | 101702 |
| B. REGULATORY CAPITAL REQUIREMENTS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Credit and counterpart risk |  |  | 3239881 | 3540339 |
| &nbsp;&nbsp;&nbsp;B.2 Credit valuation adjustment risk |  |  | 26034 | 32028 |
| &nbsp;&nbsp;&nbsp;B.3 Settlement risk |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Market risk |  |  | 134510 | 167426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Standard methodology |  |  | 134510 | 167426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Internal models |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Concentration risk |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Other prudential requirements |  |  | 409333 | 374731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Basic Indicator Approach (BIA) |  |  | 409333 | 374731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Standard method |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Advanced method |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Other calculation items |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Total prudential requirements |  |  | 3809758 | 4114524 |
| C. RISK ASSETS AND REGULATORY RATIOS |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.1 Risk-weighted assets |  |  | 47621975 | 51431549 |
| &nbsp;&nbsp;&nbsp;C.2 CET1 capital/risk-weighted assets (CET1 capital ratio) |  |  | 15.17% | 15.90% |
| &nbsp;&nbsp;&nbsp;C.3 Tier 1 capital/risk-weighted assets (Tier 1 capital ratio) |  |  | 15.17% | 15.90% |
| &nbsp;&nbsp;&nbsp;C.4 Regulatory capital/risk-weighted assets (total capital ratio) |  |  | 17.72% | 17.92% |

---

For more details on the disclosure concerning own funds and capital adequacy, please refer to the Basel 3 Third Pillar file at 30 June 2024, published on the Bank's website in the section "Capital adequacy".

Notes to the accounts \| Part F - Information on consolidated capital \| 357

**Part G - Combinations involving Group companies or business units**

**SECTION 1**

**Transactions completed during the period**

Two important extraordinary transactions announced at the end of the previous year were concluded during the financial year under review, namely:

on 2 October, Mediobanca completed the purchase of a controlling stake in the English company Arma Partners LLP, a leading independent financial consultancy firm in Europe in the Digital Economy sector; at the end of the Purchase Price Allocation process, a brand worth of £24.6m, customer relationship worth £5.3m and residual goodwill of £209m, were found.

on 16 October, Compass completed the acquisition of 100% of HeidiPay Switzerland AG, a Swiss fintech specializing in the Buy-Now-Pay-Later (BNPL) market. This transaction strengthened the partnership with the affiliate Heidi Pay AG, in which Compass already held a 19.5% stake as of August 2022. The related Purchase Price Allocation process led to finding a customer relationship worth CHF 2.5m and residual goodwill of CHF 4.9m.

Moreover, the following merger transactions were completed over the 12 months:

– MB INVAG S.r.l. into Mediobanca S.p.A. (27 September 2023);

– Soisy S.p.A. into Compass Banca S.p.A. (31 January 2024);

– RAM Lux into Mediobanca Management Company, previously acquired by RAM Geneva (effective 30 June 2024 and accounting date 31 March 2024).

Finally, the subsidiaries of Polus Capital Management Group were put into liquidation and delisted over the twelve months: Bybrook Capital LLC and Bybrook Capital LP (effective as of 11 August 2023), Bybrook Capital LLP and Bybrook Capital Services (UK) Limited (with effect from 9 January 2024), Bybrook Capital Management Limited (placed into liquidation on 25 June 2024).

358 \| Consolidated financial statements as at 30 June 2024

For more details, please refer to "Section 3 – Area and methods of consolidation" in Part A - Accounting Policies and "Section 10 - Intangible assets" in part B - Assets of the Notes to the Accounts.

**SECTION 2**

**Transactions completed since the reporting date**

With regard to transactions completed after the reporting date, the following should be noted:

merger deed of Spafid SIM into Spafid with the consequent delisting of the company from the register of companies. The merger, which took place on July 18, will have retrospective accounting and tax effects as at 1 July 2024.

**SECTION 3**

**Retrospective adjustments**

No adjustments were made to the accounts in connection with previous business combinations for the year under review.

Notes to the accounts \| Part G - Combinations involving Group companies or business units \| 359

**Part H - Related-Party Transactions**

*1. Information on remuneration for key management personnel*

With regard to the disclosure on compensation paid to key management personnel, reference should be made to the "Report on remuneration and compensation paid" or the relevant section of the Mediobanca website at www. mediobanca.com, where the following are disclosed (with reference to the Mediobanca Group):

– the analytical detail of compensation paid to members of Governing and Supervisory Bodies and other Key Management Personnel;

– the detail and the evolution of Performance Shares schemes awarded to members of the Board of Directors, other Key Management Personnel and Long-Term Incentive Schemes.

Group compensation includes amounts paid to managers of Group Legal Entities not listed in the Table published in the Review of Operations (for a total of €0.9m in the half-year under review).

*2. Disclosure on related-party transactions*

The Regulation on Related-Party Transactions, implementing CONSOB Regulation No. 17221 of 12 March 2010, as most recently amended by Resolution No. 21264 of 10 December 2020, was introduced in 2011 aiming to ensure the transparency and substantial correctness of transactions with related parties carried out directly or through subsidiary companies. Having received favourable opinions from the Bank's Related Parties and Statutory Audit Committees, the Board of Directors incorporated the Bank of Italy's most recent instructions on this subject, which introduce prudential limits for risk activities with Related Parties; this Regulation came into force during December 2012, and was updated most recently in June 2024. The full document is available on the Bank's website at www.mediobanca.com.

For the definition of related parties adopted, please see Part A Accounting Policies of the Notes to the Accounts.

Transactions with related parties fall within the ordinary operations of the Group companies, are maintained on an arm's length basis, and are entered into in the interests of the individual companies concerned. Details of the compensation paid to Directors and key management personnel are provided in a footnote to the table.

360 \| Consolidated financial statements as at 30 June 2024

*2.1 Regular financial disclosure: Most significant transactions*

There are no transactions to report for the period under review.

*2.2 Quantitative information*

During the financial year under review, the Arma Group and the company Heidi Pay Switzerland AG entered the scope of related parties following the respective acquisitions of 100% of their share capital, completed by Mediobanca S.p.A and Compass during the period under review.

The overall credit exposure to related parties remained low and showed a decreasing trend.

**Statement as at 30 June 2024**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Directors and key management personnel** |<br>**Associated <br> companies** |<br>**Others related <br> parties** | (€m)<br>**Total** |
| Assets | 2.6 | 0.8 | 71.5 | 74.9 |
| &nbsp;&nbsp;&nbsp;*of which: other assets* | *—* | *—* | *65.2* | *65.2* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Loans* | *2.6* | *0.8* | *6.3* | *9.7* |
| Liabilities | 12.2 |  | 262.0<sup>(3)</sup> | 274.2 |
| Guarantees and commitments |  |  | 130.0<sup>(3)</sup> | 130.0 |
| Interest income | 0.1 |  | 2.2 | 2.3 |
| Interest expense | (0.2) |  | (1.2) | (1.4) |
| Net fee income |  | 5.0 | 41.7 | 46.7 |
| Sundry income (costs) | (51.2) | 0.1 | (56.6) | (107.7) |

---

<sup>(1)</sup> Of which: short-term benefits amounting to (€42.2m) and performance shares worth (€8.8m). This figure includes resources considered Key Management Personnel during the period under review. Please note that a Board member waived the emolument approved.

<sup>(2)</sup> This item also includes the valuation of derivative contracts, including bond forwards with underlying government securities.

<sup>(3)</sup> Starting from the year under review, the collateral exchange transaction with the AG Group will no longer be represented by its nominal value (€250m among commitments) but using equity effects (liabilities covering the forward purchase of government securities).

**Statement as at 30 June 2023**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |<br>**Directors and key <br> management personnel** |<br>**Associated <br> companies** |<br>**Others related <br> parties** | (€m)<br>**Total** |
| Assets | 3.1 | 12 | 129.4 | 144.5 |
| &nbsp;&nbsp;&nbsp;*of which: other assets* | *—* | *—* | *109.2* | *109.2* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Loans* | *3.1* | *12.0* | *20.2* | *35.3* |
| Liabilities | 20.6 |  | 31.1 | 51.7 |
| Guarantees and commitments |  |  | 390 | 390 |
| Interest income |  | 0.3 | 1.6 | 1.9 |
| Interest expense | (0.1) |  | (0.6) | (0.7) |
| Net fee income |  | 1 | 50.7 | 51.7 |
| Sundry income (costs) | (51.4) | (0.1) | (26.7) | (78.2) |

---

<sup>(1)</sup> Of which: short-term benefits amounting to (€42.4m) and performance shares worth (€8.8m). This figure includes resources considered Key Management Personnel during the period under review.

<sup>(2)</sup> This item also includes the valuation of derivative contracts, including bond forwards with underlying Government securities.

Notes to the accounts \| Part H - Related party disclosure \| 361

**Part I – Share-based payment schemes**

**A. QUALITATIVE INFORMATION**

*1. Summary of share-based payment schemes approved by the Shareholders' Meeting.*

In the area of equity instruments used for the remuneration of its personnel, Mediobanca decided to adopt a performance shares scheme, with the two-fold aim of:

adapting to banking regulations that require a portion of variable remuneration to be paid out in the form of equity instruments over a time horizon of several years, subject to performance conditions and hence consistent with positive results sustainable over time;

– aligning the interests of Mediobanca's management with those of its shareholders in order to create value over the medium / long term.

The Group therefore offered performance share plans that, under certain conditions, provided for the free assignment of Mediobanca shares at the end of a vesting and/or holding period and long-term incentive plans (LTI) linked to the achievement of the strategic plan's objectives.

The plans currently in effect are as follows:

performance share plan approved by the Shareholders' Meeting of 28 October 2015 (and updated by the Shareholders' Meeting of 28 October 2019), valid for variable remuneration for financial years 2018 - 2020 paid out to Group personnel in a maximum number of 20,000,000 Mediobanca shares to be attributed by capital increase or alternatively with the use of treasury shares in the Bank's portfolio;

long-term incentive plan (LTI) for the CEO and General Manager of Mediobanca, as well as for the CEO of Compass and Mediobanca Premier, linked to the achievement of the targets set in the 2019/2023 plan by assigning them Mediobanca shares by capital increase pursuant to the Plan as mentioned in the preceding paragraph;

performance share plan approved by the Shareholders' Meeting of 28 October 2020, valid for variable remuneration for financial years 2021 - 2025 paid out to Group personnel in a maximum number of 20,000,000 Mediobanca shares to be attributed by capital increase or alternatively with the use of treasury shares in the Bank's portfolio;

362 \| Consolidated financial statements as at 30 June 2024

performance share plan approved by the Shareholders' Meeting of 28 October 2021 (partially revoking the previous Plan in order to transition to a system of resolutions to be taken annually), valid for variable remuneration for financial year 2021-2022 paid out to Group personnel by attributing a maximum number of 4,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio;

performance share plan approved by the Shareholders' Meeting of 28 October 2022, valid for variable remuneration for financial year 2022-2023 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio.

performance share plan approved by the Shareholders' Meeting of 28 October 2023, valid for variable remuneration for financial year 2023-2024 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio.

a new long-term incentive plan for the period 2023-2026 ("2023 -2026 LTI Plan") approved by the Shareholders' Meeting held on 28 October 2023, linked to the underlying 2023-2026 Strategic Plan approved in May 2023. For the purpose of the initiative, the Shareholders' Meeting of 28 October 2023 approved the issue of a maximum number of 3,000,000 new Mediobanca shares with dividend rights by capital increase, or through the use of treasury shares in the Bank's portfolio alternatively.

As at 30 June 2024, the number of performance shares assigned in relation to the above plans amounted to 6,487,718 (4,561,321 at 30 June 2023).

It should be noted that the Shareholders' Meeting held on 28 October last also approved:

a widespread share ownership and co-investment plan ("2023-2026 ESOP") for the Group's personnel within the 2023-26 Strategic Plan's period. This provides investment opportunities in Mediobanca shares on a voluntary basis at favourable conditions (10% discount). Achievement of the Plan targets by 2026 will ensure an additional bonus to participants in the ESOP Plan, consisting in an additional package of shares assigned free of charge by the Mediobanca Group to supplement the initial investment made by the employee. The maximum number of shares (referred to as matching) that can be assigned by the plan is 1,000,000 shares to be issued by capital increase. Alternatively, freely available treasury shares in the Bank's portfolio not allocated for other purposes may also be used for the plan's purposes;

Notes to the accounts \| Part I - Share-based payment schemes \| 363

The program took place during the month of December and recorded a participation of 28% of personnel within scope (415,600 shares subscribed with a maximum number of 166,240 matching shares attributable).

In addition, other Group companies have equipped themselves with incentive plans based on equity instruments:

Messier et Associés approved a plan of free-of-charge shares for up to 10% of the share capital to be attributed to employees (at the time of promotions and/or for retention purposes) which, after the vesting period (not exceeding 2 years) and a further holding period of one year, are resold to the Parent Company which settles the price with Mediobanca shares. As at 30 June 2024, 31,925 shares were assigned under 7 plans, which included 13,825 that concluded their holding period (12,995 were repurchased by the Parent Company), 7,050 that were recovered by the company for early exits, 6,000 that were subject to a holding period and the remaining 5,050 shares that were still in a vesting period;

Polus Capital Management Group has an investment plan in place for employees (for retention purposes), which allows them to purchase special shares of the company (C shares) which, after a vesting period (maximum 3 years) and the achievement of certain results (hurdle), they can sell to the Parent Company which will liquidate them through Mediobanca shares. As at 30 June 2024, 35,633 C shares were assigned, which included 16,838 already exercisable.

**QUANTITATIVE INFORMATION**

*Changes in performance share schemes during the year*

As part of the variable remuneration for financial year 2023, 1,403,351 performance shares, drawn from the Plan approved in the October 2022 Shareholders' Meeting, were awarded on 27 September 2023. The shares, the award of which is conditional upon performance targets being met over a five-year period or less, will be made available in tranches in November 2024 (up to 619,191), November 2025 (up to 211,397), November 2026 (up to 329,932), November 2027 (up to 122,465), and November 2028 (up to 120,366).

As part of the performance share plans, 1,841,073 shares were attributed on

364 \| Consolidated financial statements as at 30 June 2024

24 November 2023, 1,160,647 of which through treasury shares and 680,426 by capital increase.

Between January and February 2024, 2,514,786 shares were assigned, including 2,177,135 for the 2023-2026 LTI Plan; 140,054 shares were allocated and 10,613 shares were recovered.

Starting on 30 June 2024, in connection with the variable remuneration for financial year 2024, a total of 1,197,962 performance shares were awarded at a figurative cost of €13m, as part of the variable remuneration component only. These shares, the award of which is conditional upon performance targets being achieved over a five-year period or less, will be made available in tranches as follows: November 2025 (up to 546,583), November 2026 (up to 186,775), November 2027 (up to 277,773), November 2028 (up to 94,293), and November 2029 (up to 92,538).

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Performance shares** | **No. of performance<br> shares** | **Average price** | **No. of performance<br> shares** | **Average price** |
| A. Balance at start of period | 4561321 | 6.32 | 4131090 | 7.03 |
| B. Increases | 3918137 |  | 2238659 |  |
| &nbsp;&nbsp;B.1 Newly issued shares | 3918137 | 6.50 | 2238659 | 6.08 |
| &nbsp;&nbsp;B.2 Other changes |  |  |  |  |
| C. Decreases | 1991740 |  | 1808428 |  |
| &nbsp;&nbsp;C.1 Cancelled |  |  |  |  |
| &nbsp;&nbsp;C.2 Exercised | 1981127 | 6.83 | 1786374 | 7.62 |
| &nbsp;&nbsp;C.3 Expired |  |  |  |  |
| &nbsp;&nbsp;C.4 Other changes | 10613 | 8 | 22054 | 7.76 |
| D. Balance at end of period | 6487718 | 6.93 | 4561321 | 6.32 |

---

Notes to the accounts \| Part I - Share-based payment schemes \| 365

**Part L – Segment Reporting**

**INTRODUCTION**

Under IFRS 8, an entity must disclose information to enable users of its financial statements to evaluate the nature and financial effects of the different business activities in which it engages and the different economic environments in which it operates (referred to as "operating segments").

The aggregation of the "operating segments" illustrated in this section is consistent with the means adopted by the Group's management to take business decisions, and is based on the internal reporting used in order to allocate resources to the various segments, and to analyse their respective performances as described in the Review of Operations, to which reference is made for detailed and exhaustive analysis of the individual business lines' earnings and financial performances.

**A. PRIMARY SEGMENT REPORTING**

At Group level the following business lines have been identified:

*Wealth Management (WM)*: This division brings together all portfolio management services offered to the various client segments, plus asset management. This division includes Mediobanca Premier, which targets the Premier client bracket; the MBPB and CMB Monaco private banking networks and the Asset Management companies (Polus Capital, Mediobanca SGR, Mediobanca Management Company and RAM Active Investment), in addition to the fiduciary activities of Spafid;

*Corporate and Investment Banking (CIB)*: this includes services for corporate customers in the Wholesale Banking areas (loans, Capital Market activities, Advisory, Client and proprietary trading carried out by Mediobanca, Mediobanca International, Mediobanca Securities, Messier et Associés and Arma Partners) and Specialty Finance or Factoring carried out by MBFACTA, and Credit Management referring only to the management on behalf of third parties carried out by MBCredit Solutions and MBContact Solutions.

*Consumer Finance (CF)*: this provides retail customers with a complete range of consumer credit products: personal loans, special purpose loans,

366 \| Consolidated financial statements as at 30 June 2024

salary-backed loans, credit cards, in addition to the new and innovative Buy Now Pay Later solution called "Pagolight", which grew during the year also thanks to the newly acquired company HeidiPay Switzerland AG. The division also includes Compass RE, (which provides reinsurance against risks linked to insurance policies sold to clients), Compass Rent, (which operates in the goods lease market), and Compass Link (which distributes Compass products and services via third-party collaborators).

*Insurance - Principal Investing (PI)*: This includes the Group's portfolio of equity investments and stocks. In particular, the investment in Assicurazioni Generali has been this division's main constituent for many years, and stands apart for its sound management, consistency of results, high profitability and contributions in terms of diversification and stabilization of the Mediobanca Group's revenues. Investments in funds and vehicles promoted and managed by the Group's asset management companies (referred to as seed capital) also contribute to the division, with a view to combining medium-term profitability for the Group and a synergistic approach between the divisions, as well as investment activities in private equity funds managed by third parties.

Holding Functions comprise SelmaBPM Leasing, MIS and other minor companies, Group Treasury and ALM (with the aim of minimizing the cost of funding and optimizing liquidity management on a consolidated basis, including the securities held as part of the banking book), all costs relating to central Group departments, including Operations, support units (such as Chief Financial Officer, Group Corporate Affairs, Investor Relations, Human Resources etc.), senior management and control units (Risk Management, Internal Audit and Compliance Unit) for the part that cannot be allocated to the business lines.

*A.1 Profit-and-loss figures by business segment*

A list of the main points requiring attention with regard to the allocation of earnings results is provided below:

Net interest income<sup>(83)</sup> is obtained by applying the internal funds transfer pricing (FTP) rates consistent with the financial characteristics of the products concerned. Notional interest is allocated using a centralized FTP model which assigns volumes, costs and revenues of liquidity based on

<sup>(83)</sup> The Mediobanca Group only reports net interest income based on the requirements of IFRS 8, which specifies that an institution must record interest income and interest expense separately for each reporting segment, unless the majority of the revenue generated by that segment derives from interest and unless management base their evaluations primarily on net interest income in order to assess the segment's results and take decisions regarding the resources to be allocated to the segment. In this case, an institution may refer to the segment's interest revenue net of interest expense, provided it specifies this [IFRS 8.23].

Notes to the accounts \| Part L - Segmental reporting \| 367

durations, without distinction between lending and funding (referred to as "bid-ask" difference) with the same maturity;

The 880 resources of the Holding Functions (853 last year) are divided as follows: 91 in Selma BPM (94 last year), 47 in the Group treasury and ALM (28, the growth includes 10 resources from the Securities Finance desk relocated from CIB Trading and 4 resources centralized from other Group companies), 155 in MIS (151), 230 in Operations (219), 174 in staff support units (175), 178 in control units (159) in addition to 5 in Management (senior management and assistants, 6 last year);

Intercompany items were netted out only if they involved companies belonging to the same segment; items involving different segments were cross-checked and recorded as adjustments, along with the consolidation entries regarding companies belonging to different segments;

valuation actions that had an impact on acquisition operations were included among the reconciliation items to be stated in the "adjustments" column, i.e. in the column that indicates differences between the total business lines and the consolidated figure, both with reference to the economic effect and therefore to the performance of the individual divisions and to the balance sheet data. Although attributable to a company or a CGU, these items were not linked to their performance and the flows they generated and, among the various factors, were conditioned by market performance, which affected discounting and growth rates and therefore were not attributable to the operations of the divisions to which they belong and to the related profitability. This category includes the impairment of goodwill and other intangibles resulting from company valuations carried out on an annual basis and the valuations of/adjustments to the value of liabilities for put & call transactions through profit or loss.

368 \| Consolidated financial statements as at 30 June 2024

*A.1 Profit-and-loss figures by business segment*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Profit-and-loss** | <br>**Wealth<br> Management** | <br>**Corporate and <br> Investment Banking** | <br>**Consumer <br> Finance** | <br>**Insurance - Principal Investing** | <br>**Holding <br> Functions** | <br>**Adjustments <sup>(1)</sup>** | (€m)<br>**Group** |
| Net interest income | 425 | 307 | 1.043.9 | (7.1) | 178 | 38 | 1.984.8 |
| Net treasury income | 9.2 | 95 | 0.2 | 26.6 | 39.2 | 2 | 172.2 |
| Net fee and commission |  |  |  |  |  |  |  |
| income | 489.4 | 360.6 | 145.1 |  | 6.3 | (62.0) | 939.4 |
| Equity-accounted company |  |  | (0.3) | 510.7 |  |  | 510.4 |
| **Total income** | **923.6** | **762.6** | **1188.9** | **530.2** | **223.5** | **(22.0)** | **3606.8** |
| Labour costs | (325.1) | (215.0) | (120.6) | (4.1) | (139.7) |  | (804.5) |
| Administrative expenses | (288.4) | (164.9) | (248.9) | (1.1) | (52.6) | 18.2 | (737.7) |
| **Operating costs** | **(613.5)** | **(379.9)** | **(369.5)** | **(5.2)** | **(192.3)** | **18.2** | **(1542.2)** |
| Loan loss provisions | (7.4) | 10.6 | (249.7) |  | (5.6) |  | (252.1) |
| Provisions for other |  |  |  |  |  |  |  |
| financial assets | 1.4 | (3.4) |  | 20 | (4.1) |  | 13.9 |
| Other income (losses) | (3.7) | (2.5) | 0.1 |  | (49.4) | (34.7) | (90.2) |
| **Profit (loss) before tax** | **300.4** | **387.4** | **569.8** | **545.0** | **(27.9)** | **(38.5)** | **1736.2** |
| Income taxes for the period | (91.0) | (121.0) | (186.9) | (23.0) | (13.2) | (1.6) | (436.7) |
| Minority interest | (0.9) | (22.9) |  |  | (2.7) | 0.4 | (26.1) |
| **Net profit** | **208.5** | **243.5** | **382.9** | **522.0** | **(43.8)** | **(39.7)** | **1273.4** |
| *Cost/income ratio (%)* | *66.4* | *49.8* | *31.1* | *n.m.* | *n.m.* | *n.m.* | *42.8* |

---

<sup>(1)</sup> The sum of data differs by business area differs from the Group total amount due to net consolidation adjustments/differences between business areas (€4.9m), to the write-down of the RAM brand (€31.7m) and to other effects attributable to acquisitions (in particular put&call agreements) which were not attributed to any Business Line (€3.1m).

*A.1 Balance-sheet data by business segment*

The balance-sheet items shown below represent each business area's contribution to the consolidated balance sheet, hence no adjustments have been made between the sum of the components and the Group total.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Balance-sheet data** | <br>**Wealth<br> Management** | <br>**Corporate &<br> Investment Banking** | <br>**Consumer<br> Finance** | <br>**Principal<br> Investing** | <br>**Holding <br> Functions** | <br>**Adjustments** | (€m)<br>**Group** |
| Banking book securities | 725.3 | 927.1 | 289.2 |  | 9.399.1 |  | 11.340.7 |
| Customer loans | 16.853.3 | 18.993.3 | 15.197.6 |  | 1.403.3 |  | 52.447.4 |
| Funding | 27.896.6 |  | 2.731.6 |  | 33.041.7 |  | 63.669.9 |

---

Notes to the accounts \| Part L - Segmental reporting \| 369

**B. SECONDARY SEGMENT REPORTING**

*B.1 Profit-and-loss figures by geography*

---

| | | | |
|:---|:---|:---|:---|
| <br>**Profit-and-loss data** |<br>**Italy** |<br>**International <sup>(1)</sup>** | (€m)<br>**Group** |
| Net interest income | 1831.5 | 153.3 | 1984.8 |
| Net treasury income | 161.8 | 10.4 | 172.2 |
| Net fee and commission income | 561.2 | 378.2 | 939.4 |
| Equity-accounted companies | 510.4 |  | 510.4 |
| **Total income** | **3064.9** | **541.9** | **3606.8** |
| Labour costs | (597.9) | (206.6) | (804.5) |
| Administrative expenses | (694.4) | (43.3) | (737.7) |
| **Operating costs** | **(1292.3)** | **(249.9)** | **(1542.2)** |
| Net (Value adjustments) write-backs | (239.4) | 1.2 | (238.2) |
| Other income (losses) | (47.5) | (42.7) | (90.2) |
| **Profit (loss) before tax** | **1485.7** | **250.5** | **1736.2** |
| Income taxes | (404.1) | (32.6) | (436.7) |
| Minority interest | (26.1) |  | (26.1) |
| **Net profit** | **1055.5** | **217.9** | **1273.4** |
| *Cost/income ratio (%)* | *42.2 %* | *46.1 %* | *42.8 %* |

---

<sup>(1)</sup> This item includes the P&L data of the companies Mediobanca International, CMB Monaco, Compass RE, MB USA, Polus Capital Management, Mediobanca Management Company, RAM Active Investments and Messier et Associés and Arma Partners, in addition to the foreign branches (Paris, Madrid and London).

*B.2 Balance-sheet data by geography*

---

| | | | |
|:---|:---|:---|:---|
| <br>**Balance-sheet data** |<br>**Italy** |<br>**International** | (€m)<br>**Group** |
| Banking book securities | 10186.5 | 1154.2 | 11340.7 |
| Loan to customers | 44495.1 | 7952.3 | 52447.4 |
| Funding | (50329.5) | (13340.4) | (63669.9) |

---

370 \| Consolidated financial statements as at 30 June 2024

*Information required under letters a), b) and c) of Annex A, First Part, Title III, Section 2 of Bank of Italy Circular No. 285 of 17 December 2013.*

*Statement as at 30 June 2024*

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Heading 120 Total revenues\*** | **Heading 120 Total revenues\*** | **Heading 120 Total revenues\*** | **Heading 290 Profit (loss)<br> before taxes** | **Heading 290 Profit (loss)<br> before taxes** | **Heading 290 Profit (loss)<br> before taxes** | **Heading 300<br> Income taxes** | **Heading 300<br> Income taxes** | **Heading 300<br> Income taxes** | ***Full Time Employees<sup>1</sup>*** | ***Full Time Employees<sup>1</sup>*** | ***Full Time Employees<sup>1</sup>*** |
| **Business**<br>**Line** | <br>**Breakdown** | **Italy** | **International** | **Group** | **Italy** | **International** | **Group** | **Italy** | **International** | **Group** | **Italy** | **International** | **Group** |
| *Wholesale Banking* | This includes: lending, capital market activities, advisory services, and client and proprietary trading performed by Mediobanca, Mediobanca International, Mediobanca Securities and Messier et Associés and Arma Partners | 560 | 125 | 685 | 387 | (35) | 352 | (103) | (7) | (110) | 261 | 250 | 511 |
| *Specialty Finance* | This includes: factoring performed by MBFACTA and credit management on behalf of third parties only performed by MBCredit Solutions and MBContact Solutions | 76 |  | 76 | 35 |  | 35 | (12) |  | (12) | 216 |  | 216 |
| *Consumer Finance* | This includes a complete range of consumer cred-it products: personal loans, special purpose loans, salary-backed loans, credit cards, in addi-tion to the innovative Buy Now Pay Later solu-tion, which grew during the year also thanks to the newly acquired company HeidiPay Switzerland AG. Compass RE, Compass Rent and Compass Link fall within this segment | 1066 | 9 | 1075 | 545 | 25 | 570 | (180) | (7) | (187) | 1468 | 10 | 1478 |
| *Premier* | This includes deposit-taking, mortgage lending and retail banking services addressed by MBPremier | 454 |  | 454 | 133 |  | 133 | (44) |  | (44) | 1510 |  | 1510 |
| *Private Banking & Asset Management* | This includes asset management activities, ad-dressed in Italy by the division Mediobanca Private Banking and Spafid and in Monaco by CMB Monaco; it also includes Polus Capital Management, CMG Monaco and RAM Active Investments (Alternative Asset Management activities) | 201 | 263 | 464 | 72 | 96 | 168 | (26) | (21) | (47) | 280 | 382 | 662 |
| *Insurance - Principal Investing* | This manages the Group's portfolio of equity investments and holdings, as well as investments in funds and special purpose vehicles set up and managed by the Group's asset management companies (referred to as seed capital) | 39 |  | 39 | 538 | 7 | 545 | (23) |  | (23) | 9 |  | 9 |
| *Holding Functions* | This encompasses the Group's Treasury and ALM units; and continues to include leasing operations (headed up by SelmaBPM), services and minor companies. | 140 | 68 | 208 | (92) | 64 | (28) | (13) |  | (13) | 842 | 23 | 865 |
| Adjustments<sup>2</sup> | Adjustments<sup>2</sup> | (20) |  | (20) | (65) |  | (65) | 2 |  | 2 |  |  |  |
| Group total | Group total | 2516 | 465 | 2981 | 1553 | 157 | 1710 | (399) | (35) | (434) | 4586 | 665 | 5251 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | This refers to P&L heading 120 pursuant to Bank of Italy Circular No. 262/2005. The figure here differs from the amount stated as "Total revenues" in the statements found on pages 369 and 370, which provide a more accurate reflection of the Group's operations. Heading 120 "Total revenues" under Circular No. 262/2005 of the bank of Italy does not include income from insurance activities or other operating income. |

---

<sup>(1)</sup> Full-time employees at Group level.

<sup>(2)</sup> The column headed "Adjustments" includes various adjustments in connection with differences arising on consolidation (e.g. inter-company elisions) between the different business segments.

Notes to the accounts \| Part L - Segmental reporting \| 371

*Statement as at 30 June 2023*

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Heading 120 Total revenues\*** | **Heading 120 Total revenues\*** | **Heading 120 Total revenues\*** | **Heading 290 Profit <br> (loss) before taxes** | **Heading 290 Profit <br> (loss) before taxes** | **Heading 290 Profit <br> (loss) before taxes** | **Heading 300<br> Income taxes** | **Heading 300<br> Income taxes** | **Heading 300<br> Income taxes** | ******Full Time*** <br> ***Employees<sup>1</sup>****** | ******Full Time*** <br> ***Employees<sup>1</sup>****** | ******Full Time*** <br> ***Employees<sup>1</sup>****** |
| **Business** <br>**Line** | <br>**Breakdown** | **Italy** | **International** | **Group** | **Italy** | **International** | **Group** | **Italy** | **International** | **Group** | **Italy** | **International** | **Group** |
| Wholesale Banking | This includes: lending, capital market activi-ties, advisory services, and client and proprietary trading performed by Mediobanca, Mediobanca International, Mediobanca Securities and Messier et Associés | 558 | 107 | 665 | 219 | 87 | 306 | (99) | (4) | (103) | 267 | 154 | 421 |
| Specialty Finance | This includes: factoring performed by MBFACTA and credit management on behalf of third parties only performed by MBCredit Solutions and MBContact Solutions | 70 |  | 70 | 37 |  | 37 | (12) |  | (12) | 222 |  | 222 |
| Consumer Finance | This includes a complete range of consumer credit products: personal loans, special purpose loans, salary-backed loans, credit cards, in addition to the innovative Buy Now Pay Later solution, which grew during the year also thanks to the newly acquired company HeidiPay Switzerland AG. Compass RE, Compass Rent and Compass Link fall within this segment | 1005 | 5 | 1010 | 523 | 34 | 557 | (174) | (9) | (183) | 1415 | 1 | 1416 |
| Premier | This includes deposit-taking, mortgage lending and retail banking services addressed by MBPremier | 414 |  | 414 | 100 |  | 100 | (34) |  | (34) | 1482 |  | 1482 |
| Private Banking & Asset Management | This includes asset management activities, addressed in Italy by the division Mediobanca Private Banking and Spafid and in Monaco by CMB Monaco; it also includes Polus Capital Management, CMG Monaco and RAM Active Investments (Alternative Asset Management activities) | 163 | 233 | 396 | 44 | 88 | 132 | (20) | (20) | (40) | 269 | 360 | 629 |
| Insurance - Principal Investing | This manages the Group's portfolio of equi-ty investments and holdings, as well as investments in funds and special purpose vehicles set up and managed by the Group's asset management companies (referred to as seed capital) | 9 |  | 9 | 461 |  | 461 | (22) |  | (22) | 9 |  | 9 |
| Holding Functions | This encompasses the Group's Treasury and ALM units; and continues to include leasing operations (headed up by SelmaBPM), services and minor companies. | 156 |  | 156 | (87) |  | (87) | (6) |  | (6) | 829 | 23 | 852 |
| Adjustments<sup>2</sup> | Adjustments<sup>2</sup> | (40) |  | (40) | (81) |  | (81) | 3 | 2 | 5 |  |  |  |
| Group total | Group total | 2335 | 345 | 2680 | 1216 | 209 | 1425 | (364) | (31) | (395) | 4493 | 538 | 5031 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | This refers to P&L heading 120 pursuant to Bank of Italy Circular No. 262/2005. Heading 120 "Total revenues" under Circular No. 262/2005 of the Bank of Italy does not include income from insurance activities or other operating income. |

---

<sup>(1)</sup> Full-time employees at Group level.

<sup>(2)</sup> The column headed "Adjustments" includes various adjustments in connection with differences arising on consolidation (e.g. inter-company elisions) between the different business segments.

372 \| Consolidated financial statements as at 30 June 2024

**Part M – Disclosure on Leases**

**SECTION 1**

**Lessee**

**QUALITATIVE INFORMATION**

With reference to the transactions governed by IFRS 16 and the contracts which fall within its scope of application, virtually the only leases the Mediobanca Group has in place in this connection are for properties and company cars, plus some hardware leases for only a residual amount. The property leases mostly involve premises used as offices. Such leases normally have durations of more than twelve months, and typically contain renewal or termination clauses which both lessor and lessee can exercise in accordance with the provisions of law and/ or specific contractual arrangements, if any. Generally, such leases do not contain an option to buy at expiry or entail substantial reinstatement costs for the Group. As for the car leases, these are long-term agreements for the fleet of company cars available for use by staff members for work-related purposes in accordance with Group policy in this area.

When the standard was adopted, some simplifications were made and are still applied; in particular, contracts with a duration of less than or equal to 12 months (referred to as "short-term"), those with a value of less than €5,000 (referred to as "low-value") and those relating to intangible assets were excluded. It was also decided not to strip out the service component from the lease proper; hence the full contract was recognized as a lease. The discount rate used has been derived from the Funds Transfer Pricing curve used in treasury management by the Group Treasury unit.

In cases where the original lease has been replicated with another counterparty (i.e., sub-leased), the related lease liability is matched by an amount receivable from the counterparty at the date rather than by its value in use. Sub-leasing arrangements involve only negligible amounts.

Notes to the accounts \| Part M - Disclosure on leasing \| 373

**QUANTITATIVE INFORMATION**

For quantitative information on the impact on the Group's financial and earnings situation, reference is made to the contents of the following sections of the Notes to the Accounts:

– Information on rights of use acquired, in "Part B Notes to the Consolidated Balance Sheet - Assets - Section 9";

Information on amounts due under leases, in "Part B Notes to the Consolidated Balance Sheet - Liabilities - Section 1";

– for the effects on earnings, "Part C Notes to the Profit and Loss Account", in particular the headings for interest income and expense and value adjustments to tangible assets.

The value in use recorded in the balance sheet at 30 June 2024 was €245.3m, broken down as follows:

– value in use of properties: €229.7m

– value in use of vehicles: €15.5m

– value in use of other assets: €0.1m.

**SECTION 2**

**Lessor**

**QUALITATIVE INFORMATION**

The Group has finance lease agreements in place through its subsidiary Selma BPM Leasing. These mostly involve leases of real property, core goods and registered moveable assets. The contracts are represented in the accounts by the amount receivable under the finance lease being recorded under Heading 40, Financial assets measured at amortized cost, the income received under Heading 10, Interest and similar income, the related proceeds determined by accrual and, under Heading 130, Net write-offs (write-backs) for credit risk, provisions for expected loan losses.

374 \| Consolidated financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

In relation to quantitative information regarding the impact on the Group's financial position and earnings, reference should be made to the contents of the relevant sections in the Notes to the Accounts. In particular, the book value of leases is found in Part B - Notes to the Consolidated Balance Sheet - Assets - Section 4 - Heading 40: Financial assets measured at amortized cost. During the year under review, these leases generated interest income as shown in Part C - Notes to the Consolidated income statement - Section 1 - Headings 10 and 20: Net interest income and Section 14 - Heading 210: Net adjustments to tangible assets of the Notes to the Consolidated Accounts.

**1.** **Balance-sheet and earnings data** 

**2.** **Finance leases** 

*2.1* *Maturity analysis of lease payments receivable by time band and reconciliation with lease loans recognized under assets* 

---

| | | |
|:---|:---|:---|
| | **30 June 2024** | **30 June 2023** |
| <br>**Time bands** | **Lease payments to<br> be received** | **Lease payments to<br> be received** |
| Up to 1 year | 357996 | 384424 |
| From 1 year to 2 years | 273999 | 304337 |
| From 2 year to 3 years | 195462 | 228455 |
| From 3 year to 4 years | 140307 | 182838 |
| From 4 year to 5 years | 80385 | 98426 |
| Over 5 years | 154509 | 203522 |
| **Total lease payments to be received** | **1202658** | **1402002** |
| **Reconciliation with loans** | **(8742)** | **(26158)** |
| Not accrued financial gains (-) | (193972) | (221046) |
| Unguaranteed residual value (-) | 185230 | 194888 |
| **Lease loans** | **1193916** | **1375844** |

---

Notes to the accounts \| Part M - Disclosure on leasing \| 375

The table provides a maturity analysis of the lease payments receivable by time band, and a reconciliation of payments to be received and lease payments, as required by IFRS 16, paragraph 94. In particular, it should be noted that the payments receivable under the lease, which consist of the sum of minimum payments due by way of principal and interest, are stated net of any provisions and the discounted unguaranteed residual value due to the lessor. These are reconciled with the lease loan, recognized in the balance sheet under financial assets measured at amortized cost, by subtracting financial gains not accrued and adding the unguaranteed residual value. Non-performing leases acquired are not included.

*2.4 Other Information*

In finance lease transactions, the credit risk associated with the contract is managed in accordance with the principles described in Part E – Information on risks and related hedging policies - Section 2 – Prudential consolidated risk - 1.1. Credit quality in the Notes to the Consolidated Accounts to which reference is made.

Contracts are classified as finance leases based on whether the risks and benefits associated with ownership of the asset in question are transferred to the lessee throughout the duration of the contract, whether the contract itself contains a final option to acquire the asset on terms that would make its failure to exercise such an option uneconomic, and whether the contract has a duration which is basically the same as the economic lifetime of the asset itself. The same may also apply in cases where the contracts do not contain options to buy or have a duration which is significantly shorter than the asset's economic lifetime, but are accompanied by arrangements with third party buyers that guarantee the asset will be bought when the lease expires.

**3. Operating leases**

The Group had no operating leases in place at the reporting date.

376 \| Consolidated financial statements as at 30 June 2024

ACCOUNTS OF THE BANK

![](tm2518026d1_ex99-6img005.jpg)

INDIVIDUAL REVIEW OF OPERATIONS

FOR TWELVE MONTHS

ENDED 30 JUNE 2024

![](tm2518026d1_ex99-6img006.jpg)

INDIVIDUAL REVIEW OF OPERATIONS

FOR TWELVE MONTHS

ENDED 30 JUNE 2024

**Overview**

Mediobanca S.p.A. posted a net profit for the twelve months of €1,244m, representing a sharp increase on last year's performance (30/6/23: €606.5m) following a major contribution from dividends received from the Group Legal Entities (which almost doubled, from €527.3m to €1,041.2m), and strong growth by other revenues (up 8.5% YoY), roughly in line with the rise in costs (up 9.5% YoY); the positive contribution made by writebacks (€5m) and valuations of other financial assets (€12.3m) offset some of the impairment charges taken in respect of equity investments (which accounted for €35.2m).

The twelve months under review saw a recovery in the European M&A market, in 2H in particular, which led to Mediobanca taking part in some of the most important deals, confirming its position as advisor of choice in Italy; commercial activity in private banking was also very positive, with a healthy flow of NNM in the twelve months (30/6/24: €3.5bn, up 44%).

Core revenues net of the dividends from equity investments rose from €860.6m to €934.1m, with the main items performing as follows:

– Net interest income rose from €333.2m to €401.7m, due mainly to the increased profitability of the proprietary trading portfolio which absorbed the increase in the cost of funding, which, however, was limited as a result of the diversified sources and ALM positioning;

Net treasury income declined by 18.8%, from €207.5m to €168.4m, after the result posted by the proprietary trading portfolio reduced by almost half (€58.2m), while client solutions activity was basically stable (€70.6m); and dividends and other income from holdings in funds increased from €28.9m to €39.6m;

Net fee and commission income improved, from €319.9m to €364m (up 13.8%), due to a higher contribution from Private Banking (up 19.6%, from €110.6m to €132.3m), from Advisory/M&A (up 19.3%, from €100.1m to €119.4m), and from the Markets Division (up from €11.5m to €31.2m), which offset the reductions posted by Capital Markets (fees down 32.2%, from €43.5m to €29.5m) and Lending business (down 4.8%, from €54.2m to €51.6m).

Review of Operations \| 379

Dividends from investments amounted to €1,041.2m, higher than the €527.3m reported last year, with a considerable share due to one-off distributions (CMB Monaco €320m, SelmaBipiemme Leasing €30m), plus a general increase by all the Group Legal Entities.

Operating costs totalled €545.6m (up 9.5% YoY), with the cost/income ratio reducing from 36% to 28% (stable considering only core revenues); the labour cost component accounted for €309.9m (up 7.3% YoY), while administrative expenses totalled €235.7m (up 12.5% YoY).

Customer loans, after provisions of €36.3m were taken last year, reflected writebacks totalling €5m linked primarily to repayments made for certain exposures in the Large Corporate segment, and to the reduction in the stock of overlays as a result of the inflationary pressure abating in certain sectors.

Net writebacks for other financial assets totalled €12.3m (€7m of writedowns last year) due to upward adjustments to holdings in funds of €15.5m (compared with downward adjustments of €4.5m last year), with new provisions in respect of the higher banking book positions totalling €3.2m (€2.5m).

Impairment charges were taken in respect of the Bank's investment in RAM AI during the twelve months, for a total of €35.2m; the carrying amount for the investment has been aligned to the company's net equity, net of the new brand value which has been recognized at fair value.

Other income (losses) reflects a positive balance of €0.2m (compared with a €50.4m loss last year), due to the absence of payments to the Single Resolution Fund (versus payments of €35.5m made last year).

Income taxes amounted to €168m and reflect a tax rate of 11.9%, lower than last year (18.2%), due to the higher incidence of dividends subject to a lower tax rate.

On the balance-sheet side, the Bank's total assets increased from €81.3bn to €87.3bn, on higher treasury assets (which rose from €10.5m to €15.4m), offset by the growth in short-term funding (from €6.6bn to €11.6bn).

AUM/AUA in Private Banking were up 19%, from €19.2bn to €22.9bn (AUM up 6% from €10.3bn to €10.8bn, and AUA up 35%, from €8.9bn to €12bn), with a positive market effect of €137m.

380 \| Individual financial statements as at 30 June 2024

The Bank's capital ratios remain at high levels; the Common Equity Ratio phase-in was 13.22%, higher than last year (12.78%), due to the substantial reduction in RWAs during the twelve months (down €2.4bn, as a result of the increasing selectivity in lending, plus the launch of risk mitigation measures) and the higher net profit delivered, as a result of the increased dividend distribution by the Group Legal Entities to cover the outgoings to shareholders.

Similarly, the Total Capital Ratio rose from 15.6% to 17.0%,

\* \* \*

**Earnings and financial data**

The profit and loss account and balance sheet have been restated to provide the most accurate reflection of the Bank's operations. The results are also presented in the format recommended by the Bank of Italy.

**RESTATED PROFIT AND LOSS ACCOUNT**

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths to 30/6/24** |<br>**12 mths to 30/6/23** | (€m)<br>**Change (%)** |
| **Earnings data** |  |  |  |
| Net interest income | 401.7 | 333.2 | 20.6% |
| Net treasury income | 168.4 | 207.5 | -18.8% |
| Net fee and commission income (expense) | 364.– | 319.9 | 13.8% |
| Dividend on investments | 1041.2 | 527.3 | n.m, |
| **Total income** | 1975.3 | 1387.9 | 42.3% |
| Labour costs | (309.9) | (288.8) | 7.3% |
| Administrative expenses | (235.7) | (209.6) | 12.5% |
| **Operating costs** | **(545.6)** | **(498.4)** | **9.5%** |
| Loan loss provisions | 5.– | (36.3) | n.m. |
| Provisions for other financial assets | 12.3 | (7.–) | n.m. |
| Impairment charges in respect of equity investments | (35.2) | (54.3) | -35.2% |
| Other income (losses) | 0.2 | (50.4) | n.m. |
| **Profit before tax** | **1412.–** | **741.5** | **n.m.** |
| Income tax for the period | (168.–) | (135.–) | 24.4% |
| **Profit (loss) for the period** | **1244.–** | **606.5** | **n.m.** |

---

Review of Operations \| 381

**Key Performance Indicators (KPIs)**

---

| | | | |
|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/23** | **Change (%)** |
| *ROTE adj.* <sup>(1)</sup>* | 20.2% | 13.9% | 45.3% |
| *Cost / Income ratio* <sup>(2)</sup>* | 28% | 36% | -23.3% |
| *CoR (bps)* <sup>(3)</sup>* | *(1.–)* | 9.– | n.m. |
| *DPS* <sup>(4)</sup>* | 0.56 | 0.85 | -34.1% |

---

<sup>(1)</sup> Return On Tangible Equity: obtained as (net income adjusted for extraordinary items) / (average tangible net equity). Tangible net equity obtained as equity net of dividends and intangible assets.

<sup>(2)</sup> Cost/income ratio.

<sup>(3)</sup> Cost of Risk.

<sup>(4)</sup> Dividend Per Share.

**RESTATED BALANCE SHEET**

---

| | | |
|:---|:---|:---|
| <br>**Balance-sheet data** |<br>**30/6/24** | (€m)<br>**30/6/23** |
| **Assets** |  |  |
| Financial assets held for trading | 15437.9 | 10509.4 |
| Net treasury assets | 13949.5 | 12790.5 |
| *Banking book securities* | 11231.6 | 11118.7 |
| Customer loans | 40282.– | 41446.9 |
| Equity investments | 4836.2 | 4542.9 |
| Tangible and intangible assets | 170.8 | 169.3 |
| Other assets | 1387.3 | 690.2 |
| **Total assets** | **87295.3** | **81267.9** |
| **Liabilities and net equity** |  |  |
| Funding | 58292.2 | 55893.– |
| Treasury financial liabilities | 11588.1 | 6585.1 |
| Financial liabilities held for trading | 9666.7 | 10592.2 |
| Other liabilities | 2637.1 | 3041.4 |
| Provisions | 79.4 | 102.8 |
| Shareholders' equity | 3787.8 | 4446.9 |
| Profit (loss) for the period | 1244.– | 606.5 |
| **Total liabilities and net equity** | **87295.3** | **81267.9** |

---

382 \| Individual financial statements as at 30 June 2024

**Key Performance Indicators (KPIs)**

---

| | | |
|:---|:---|:---|
|  | **30/6/24** | **30/6/23** |
| *CET1 capital* | 3879.1 | 4056.6 |
| *Regulatory capital* | 4989.2 | 4940.8 |
| *RWA <sup>(1)</sup>* | 29334.8 | 31738.4 |
| *CET1 ratio phase-in <sup>(2)</sup>* | 13.22% | 12.78% |
| *RWA Density <sup>(3)</sup>* | 33.6% | 39.1% |
| *Regulatory capital/RWAs* | 17.01% | 15.57% |
| *Leverage ratio <sup>(4)</sup>* | 5.3% | 6.–% |
| *Gross NPLs / Gross loans ratio <sup>(5)</sup>* | 0.1% | 0.3% |
| *Net NPLs /net loans ratio <sup>(6)</sup>* | 0.04% | 0.05% |
| *No. of shares in issue (millions)* | 832.9 | 849.3 |

---

<sup>(1)</sup> Risk Weighted Assets.

<sup>(2)</sup> CET1/RWAs.

<sup>(3)</sup> RWAs/total assets.

<sup>(4)</sup> CET1/total leveraged exposures.

<sup>(5)</sup> Gross NPLs/gross loans.

<sup>(6)</sup> Net NPLs/net loans.

**Review of key items**

**Funding** – Funding increased from €55.9bn to €58.3bn: the material reduction in the T-LTRO (from €5.6bn to €1.3bn) was offset by the rise in funding from debt securities (from €20bn to €24.1bn). Wealth Management deposits also increased, from €23.8bn to €25.4bn, despite the intensive client conversion activity in favour of AUA, as did funding obtained through the interbank channel (from €6.5bn to €7.5bn).

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | |
|  | **(€ m)** | **%** | **(€ m)** | **%** |<br>**Change (%)** |
| Debt securities | 24076.9 | 41% | 20025.7 | 36% | 20.2% |
| Interbank funding | 7510.6 | 13% | 6458.– | 11% | 16.3% |
| ECB (T-LTRO/LTRO) | 1313.2 | 2% | 5586.2 | 10% | -76.5% |
| Other funding | 25391.5 | 44% | 23823.1 | 43% | 6.6% |
| &nbsp;&nbsp;*- of which: intercompany MB Premier* | *16833.–* | *29 %* | *17407.8* | *31 %* | *-3.3 %* |
| &nbsp;&nbsp;*- of which private banking* | 5989.– | 10% | 5247.– | 9% | 14.1% |
| **Total funding** | **58292.2** | **100%** | **55893.–** | **100%** | **4.3%** |

---

**Loans and advances to customers** – customer loans decreased by €1.1bn, or 2.8% (from €41.4bn to €40.3bn), in all areas: loans to Group Legal Entities (down from €26.3bn to €25.7bn), corporate loans (down from €13.6bn to €13.2bn), and loans in Private Banking (down from €1.5bn to €1.4bn).

Review of Operations \| 383

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Change (%)** |
| Corporate clients | 13192.7 | 33% | 13591.5 | 33% | -2.9% |
| Private Banking clients | 1390.5 | 3% | 1507.9 | 3% | -7.8% |
| Group Legal Entities | 25698.8 | 64% | 26347.5 | 64% | -2.5% |
| **Total loans and advances to customers** | **40282.–** | **100%** | **41446.9** | **100%** | **-2.8%** |
| &nbsp;&nbsp;*– of which: non-performing* | *15.1* |  | *18.9* |  | *-20.– %* |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Change (%)** |
| Italy | 8850.– | 61% | 9489.5 | 63% | -6.7% |
| France | 1904.9 | 13% | 2132.5 | 14% | -10.7% |
| Spain | 1445.7 | 10% | 1351.3 | 9% | 7.–% |
| Germany | 1576.9 | 11% | 751.9 | 5% | n.m. |
| UK | 500.1 | 3% | 500.– | 3% | n.m. |
| Other non-resident | 305.6 | 2% | 874.2 | 6% | -65.–% |
| **Total loans and advances to customers** | **14583.2** | **100%** | **15099.4** | **100%** | **-3.4%** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Change (%)** |
| Compass Banca | 8160.1 | 32% | 8114.6 | 31% | 0.6% |
| MB Premier | 12318.6 | 48% | 12672.6 | 48% | -2.8% |
| CMB | 1882.8 | 7% | 1631.6 | 6% | 15.4% |
| Mediobanca International | 1842.5 | 7% | 2096.7 | 8% | -12.1% |
| Others | 1494.9 | 6% | 1832.1 | 7% | -18.4% |
| **Total loans and advances to Group Legal Entities** | **25698.8** | **100%** | **26347.5** | **100%** | **-2.5%** |

---

Gross non-performing loans fell from €118.3m to €26.2m, following the disposal of a couple of single-name Large Corporate positions (one of which had been classified among bad loans), causing the gross NPL ratio to decrease to 0.1% (0.8%); while net NPLs fell from €18.9m to €15.1m, with the share of total loans decreasing to virtually nil (0.1% last year), despite the reduction in the coverage ratio which stood at 42.3% (84%) following the release of the provisioning for the disposals referred to above. Gross bad loans totalled €6.6m (€62.4m) and refer to a single exposure in the Private Banking area.

The net balance of positions classified as Stage 2 decreased from €173.4m to €159.7m (stable at 0.4% of total net customer loans), principally due to Large Corporate activity (down from €157.3m to €149.4m), reflecting the repayments plus one exposure being reclassified as Stage 3. The lower risk level is reflected in the reduction in the performing loan coverage ratio (which decreased from 0.15% to 0.12%), which in turn drove a reduction in overlays (from €23.1m to €15.1m).

384 \| Individual financial statements as at 30 June 2024

**Investment holdings** – this item includes controlling interests and investments in associates, plus any equity instruments issued by Group Legal Entities, shares held as part of the banking book (FVOCI) and holdings in funds, which, under IFRS 9, must be recognized at fair value through profit and loss.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | | (€m) |
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** |
|  | **Book value** | **HTC&S<br> reserve** | **Book value** | **HTC&S<br> reserve** |
| Controlling interests and investments in associates | 3771.5 | n.m. | 3528.5 | n.m. |
| Listed equities | 127.5 | 68.5 | 115.1 | 56.8 |
| Unlisted equities | 128.– | 82.3 | 125.1 | 90.1 |
| Other equity-like instruments | 258.– | (6.2) | 244.3 | (19.7) |
| Seed capital | 274.3 |  | 283.7 |  |
| Holdings in private equity funds | 177.4 |  | 138.2 |  |
| Holdings in other funds | 99.5 |  | 108.– |  |
| **Total equity investments** | **4836.2** | **144.6** | **4542.9** | **127.2** |

---

Investments in associated companies increased from €1,185.5m to €1,219.9m, to take account of the new Assicurazioni Generali shares (1,628,150, equal to 0.106% of the share capital) deriving from MB INVAG S.r.l. being merged into Mediobanca, plus the investment in MB SpeedUp (€1.8m), the joint venture set up in conjunction with Founders Factory, company builder and early-stage investor based in London; while the other investments were unchanged, as follows:

Istituto Europeo di Oncologia (25.4% of the ordinary share capital), carried at a book value of €39m;

Finanziaria Gruppo Bisazza S.r.l. (22.67%) carried at a book value of €6.9m; and

– CLI Holdings II Limited, carried at a book value of €43.3m.

The book value of the investments in the Group Legal Entities increased from €2,343m to €2,556.9m: reflecting, on the one hand, the exit of MB INVAG S.r.l (€15.4m) and the impairment charges taken in respect of RAM AI (€35.2m) to reflect the brand fair value revision, and, on the other, the acquisition of Arma Partners LLP (€259.7m), the UK-based partnership specializing in independent financial advisory services, and European leader in the Digital Economy sector.

Equities (listed and unlisted) and equity-like instruments increased from €484.6m to €513.5m, with new investments of approx. €12m, further redemption of the Burgo equity-like instrument (€12m), and the portfolio's valuation being adjusted to reflect fair value resulting in a €29m adjustment.

Review of Operations \| 385

Investments in funds increased from €529.9m to €551.2m; approx. €274.3m (€283.7m) of these concerned assets managed by the Group (seed capital), which declined following sales of €30m and adjustments to reflect fair value at the year-end (€18m); the other holdings in funds (chiefly private equity) totalled €276.9m (€246.2m), on new investments of €33.9m and downward adjustments totalling €1.8m.

---

| | | | |
|:---|:---|:---|:---|
|  | **% of share capital** | **30/6/24** | **30/6/23** |
| Associates |  |  |  |
| Assicurazioni Generali | 13.11 | 1123.7 | 1096.3 |
| Istituto Europeo di Oncologia | 25.37 | 39.– | 39.– |
| Bisazza | 22.67 | 6.9 | 6.9 |
| CLI Holdings | 24.09 | 43.3 | 43.3 |
| MB SpeedUp | 50.– | 1.7 |  |
| **Total associates** |  | **1214.6** | **1185.5** |
| Total Group Legal Entities |  | 2556.9 | 2343.– |
| **Total equity investments** |  | **3771.5** | **3528.5** |

---

**Banking book debt securities** – this item includes both securities recognized at cost (Hold to collect – HTC) and securities recognized at FVOCI (Hold to Collect and Sell – HTC&S), as well as debt securities which have not passed the SPPI test required by IFRS 9, and so must be recognized at FVPL.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** |
|  | **(€m)** | **%** | **(€m)** | **%** |
| Hold to Collect | 4441.4 | 39.5% | 5316.7 | 47.8% |
| Hold to Collect & Sell | 6649.5 | 59.2% | 5801.1 | 52.2% |
| Financial assets recognized at fair value | 140.4 | 1.3% |  |  |
| Other (mandatorily recognized at fair value) | 0.3 |  | 0.9 |  |
| **Total banking book debt securities** | **11231.6** | **100%** | **11118.7** | **100%** |

---

This heading totalled €11.2bn, split between Hold to Collect (€4.4bn) and Hold to Collect & Sell (€6.6bn).

The favourable market trend improved the OCI reserve, reducing the deficit from €73.2m to €9.2m (on gains of €21.9m), with the corporate and financial segment passing from a negative balance of €30.6m to a positive balance of €11m; while the unrealized losses on Hold to Collect securities declined to €27.8m (€89.4m).

Approx. 73% of the banking book is made up of sovereign debt (€8.1bn), split between HTC (€2.5bn) and HTC&S (€5.6bn) with a very short duration (approx. 2 years); the share accounted for by Italian government securities totals €5bn (approx. 50% of the entire portfolio, with a duration of approx. 2 years).

386 \| Individual financial statements as at 30 June 2024

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | **30/6/23** |
|  | **Book value** | **Book value** | | **Book value** | **Book value** | |
|  | **HTC** | **HTC&S** | <br>**OCI <br> reserve** | **HTC** | **HTC&S** | <br>**OCI <br> reserve** |
| Italian government securities | 1641.4 | 3405.3 | (16.5) | 1767.3 | 3020.– | (35.–) |
| Other government securities | 847.5 | 2246.5 | (3.7) | 1012.3 | 1528.3 | (7.7) |
| Financial bonds | 1872.4 | 784.– | 10.2 | 2433.3 | 1016.3 | (18.8) |
| &nbsp;&nbsp;*- of which Consumer Finance ABS* | 742.6 | 78.6 | (0.3) | 1282.1 | 186.6 | (2.4) |
| Corporate bonds | 80.– | 213.6 | 0.8 | 103.8 | 236.5 | (11.8) |
| **Total banking book debt securities** | **4441.3** | **6649.4** | **(9.2)** | **5316.7** | **5801.1** | **(73.2)** |

---

**Net treasury assets** – these totalled €8.1bn, higher than last year (€6.1bn) despite the T-LTRO repayment (€4.3bn). The growth in equity and bond investments (from €6.6bn to €12.2bn) in order to take advantage of market opportunities was covered by repo and secured finance transactions totalling €9.7bn (€5.8bn).

---

| | | | |
|:---|:---|:---|:---|
|  | **30/6/24**<br>**(€m)** | **30/6/23**<br>**(€m)** | **Change (%) %** |
| Financial assets held for trading | 15437.9 | 10509.4 | 46.9% |
| Net treasury assets | 13949.5 | 12790.5 | 9.1% |
| Financial liabilities held for trading | (9666.7) | (10592.2) | -8.7% |
| Treasury financial liabilities | (11588.1) | (6585.1) | 76.–% |
| **Total net treasury assets** | **8132.6** | **6122.6** | **32.8%** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **30/6/24**<br>**(€m)** | **30/6/23**<br>**(€m)** | **Change (%) %** |
| Loan trading | 255.9 | 4.1 | n.m. |
| Derivatives valuations | (85.8) | (271.1) | -68% |
| Certificates | (1722.3) | (2285.–) | -25% |
| Equities | 3877.5 | 1144.4 | n.m. |
| Bonds | 3445.9 | 1324.8 | n.m. |
| **Financial instruments held for trading** | **5771.2** | **(82.8)** | **n.m.** |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **30/6/24**<br>**(€m)** | **30/6/23**<br>**(€m)** | **Change (%) %** |
| Cash and current account balances | 512.4 | 488.2 | 5% |
| Liquid assets on deposit with ECB | 2376.4 | 3273.8 | -27% |
| Deposits | (527.4) | 2443.4 | n,m, |
| **Net sources and applications of funds** | **2361.4** | **6205.4** | **-61.9%** |

---

Review of Operations \| 387

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Italian government bonds | 5218.2 | (3998.3) | 1999.4 | (1925.2) |
| Foreign government bonds | 1360.4 | (734.2) | 1263.6 | (2120.8) |
| Bond issued by financial institutions | 1417.5 | (168.1) | 1844.– | (44.–) |
| Corporate bonds | 136.4 | (1.–) | 110.– |  |
| Asset Backet Securities (ABS) | 214.9 |  | 198.1 |  |
| Equities | 3926.8 | (49.2) | 1184.6 | (40.1) |
| **Total securities** | **12274.2** | **(4950.8)** | **6599.7** | **(4130.1)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Interest rate swaps | 572.3 | 658.4 | 1631.2 | (1756.–) |
| Foreign exchange | 309.– | 263.3 | 374.6 | (297.7) |
| Interest rate options/futures | 12.1 | 47.4 | 7.8 | (23.6) |
| Equity swaps and options | 1784.4 | 1787.1 | 1727.2 | (1873.9) |
| Credit derivatives | 212.5 | 220.– | 152.5 | (213.2) |
| **Derivatives valuations** | **2890.2** | **2976.–** | **3893.3** | **(4164.4)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** |
|  | **(€m)** | **(€m)** | **(€m)** | **(€m)** |
|  | **Assets** | **Liabilities** | **Assets** | **Liabilities** |
| Deposits for securities lending(repos | 5197.– | (9227.–) | 3016.9 | (3706.–) |
| Deposits for stock lending | 178.– | (465.–) | 432.4 | (172.9) |
| Other deposits | 5685.7 | (1896.1) | 5579.2 | (2706.2) |
| **Deposits** | **11060.7** | **(11588.1)** | **9028.5** | **(6585.1)** |

---

**Tangible and intangible assets** – this item stood at €170.8m, basically unchanged compared to last year (€169.3m), after depreciation and amortization charges totalling €9.7m, against new investments in other tangible assets (furniture and equipment).

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Change (%)** |
| Land and property | 125.5 | 74% | 128.5 | 75% | -2% |
| &nbsp;&nbsp;&nbsp;*- of which: core* | *86.4* | *51 %* | *85.5* | *51 %* | *1 %* |
| &nbsp;&nbsp;&nbsp;*Value in use of properties under IFRS 16* | *15.8* | *9 %* | *19.6* | *12 %* | *-19 %* |
| Other tangible assets | 16.– | 9% | 11.1 | 7% | 44% |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which value in use under IFRS 16* | *6.–* | *4 %* | *4.1* | *2 %* | *47 %* |
| Other intangible assets | 29.4 | 17% | 29.7 | 18% | -1% |
| &nbsp;&nbsp;&nbsp;*- of which: goodwill* | *12.5* | *7 %* | *12.5* | *7 %* | *n.m.* |
| &nbsp;&nbsp;&nbsp;&nbsp;*- of which: brands* | *15.5* | *9 %* | *15.5* | *9 %* | *n.m.* |
| **Total tangible and intangible assets** | **170.8** | **100%** | **169.3** | **100%** | **1%** |

---

388 \| Individual financial statements as at 30 June 2024

A list of the Bank's core properties is provided below:

---

| | | | |
|:---|:---|:---|:---|
|  | **squ.m** | **Book value<br> (€m)** | **30/6/24 <br> Book value per<br> squ.m (€'000)** |
| Milan: |  |  |  |
| – Piazzetta Enrico Cuccia 1 | 9318 | 16.– | 1.7 |
| – Via Filodrammatici 1, 3, 5, 7 - Piazzetta Bossi 1 - Piazza Paolo Ferrari 6 | 13390 | 61.9 | 4.6 |
| – Foro Buonaparte 10 | 2926 | 8.9 | 3.– |
| **Total core properties** | **25634** | **86.8** |  |

---

**Provisions for liabilities –** these amounted to €79.4m, lower than last year (€102.8m) due to the reduction in provisions for commitments to disburse loans and guarantees issued (down from €30.4m to €22.8m). Other provisions for risks and charges totalled €51.8m, lower than last year (€67.3m), following reversals and withdrawals totalling €18m, in part offset by €2.7m in new provisions. The portion of the statutory end-of-service payment declined from €5.1m to €4.8m

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **30/6/24** | **30/6/24** | **30/6/23** | **30/6/23** | |
|  | **(€m)** | **%** | **(€m)** | **%** |<br>**Change (%)** |
| Commitments and guarantees issued | 22.8 | 29% | 30.4 | 30% | -25.–% |
| Other provisions and charges | 51.8 | 65% | 67.3 | 65% | -23.–% |
| Provision for statutory end-of service payments | 4.8 | 6% | 5.1 | 5% | -6.1% |
| &nbsp;&nbsp;&nbsp;*of which: discounting of end-of-service provision* | *(0.3)* | *—* | *(0.3)* | *—* | *-6.3 %* |
| **Total, provisions for liabilities** | **79.4** | **100%** | **102.8** | **100%** | **-22.7%** |

---

**Net equity** – net equity totalled €5,031.8m (€5,053.4m), with most of the profit for the twelve months accounted for by payment of the dividend (2023 share: €713.4m; 2024 share: €421.2m.

The share capital stands at €444.5m, the slight increase compared to last year (€444.2m), reflecting as usual the issue of new shares for use in connection with the performance share scheme. As at 30 June 2024 the number of treasury shares held by the Bank had fallen to 6,299,458, after the uses made during the period (2,155,471 shares). The shares acquired as part of the share buyback scheme approved by shareholders at the Annual General Meeting held on 28 October 2023 (17,000,000 shares worth €198m) were cancelled in June 2024.

Review of Operations \| 389

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30/6/24** |<br>**30/6/23** | (€m)<br>**Change (%)** |
| Share capital | 444.5 | 444.2 | 0.1% |
| Other reserves | 3675.6 | 3943.5 | -6.8% |
| Interim dividend | (421.2) |  |  |
| Valuation reserves | 89- | 59.2 | 50.3% |
| &nbsp;&nbsp;&nbsp;*- of which: Other Comprehensive Income reserve* | *112*.–* | *57.4* | *n.m.* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: cash flow hedge reserve* | *1.8* | *—* | *n.m.* |
| Profit for the period | 1244.– | 606.5 | n.m. |
| **Total net equity** | **5031.8** | **5053.4** | **-0.4%** |

---

The OCI reserve is in positive territory at €112m, and higher than last year (€57.4m); by component, the equity reserve stood at €144.7m (€127.3m), following positive valuations adding €29m in part offset by the reduction in redemptions (€12m); while the bond reserve closed in negative territory, at €9.2m, but still recovering compared to last year (minus €73.2m): the reduction in spreads related to the short duration of the debt securities led to a gradual recovery in the fair value of the securities held in the portfolio.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30/6/24** |<br>**30/6/23** | (€m)<br>**Change (%)** |
| Equities | 144.7 | 127.3 | 13.7% |
| Bonds | (9.2) | (73.2) | -87.4% |
| &nbsp;&nbsp;&nbsp;*of which: Italian government securities* | *(16.5)* | *(35.–)* | *-53.7 %* |
| Tax effect | (23.5) | 3.4 | n.m. |
| **Total OCI reserve** | **112.–** | **57.4** | **1.–** |

---

**Profit and loss account**

**Net interest income** – net interest income totalled €401.7m, up 20.6% on last year (€333.2m). The increase in sovereign debt securities facilitated the redeployment of the liquidity from the securities portfolio, both the banking book (up 45% YoY, contributing €399m) and the trading book (up 27% YoY, contributing €89m). The ALM position being favourable to the rise in interest rates also impacted positively, by keeping the anticipated increase in the cost of funding below that of the assets, helped also in this respect by the Wealth Management Component and the good diversification of funding sources.

390 \| Individual financial statements as at 30 June 2024

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30/6/24** |<br>**30/6/23** | (€m)<br>**Change (%)** |
| Interest income | 2806.7 | 1734.4 | 61.8% |
| Interest expense | (2405.–) | (1401.2) | 71.6% |
| **Net interest income** | **401.7** | **333.2** | **20.6%** |

---

**Net treasury income** – was down 18.8% (from €207.5m to €168.4m), primarily as a result of the performance in trading, the contribution from which fell from €62.1m to €19.5m) on a resilient performance from the banking book (which declined from €47.1m to €38.7m) including gains of €10m on disposals; client trading was largely stable (at €70.6m) due to a good performance in fixed-income trading (up from €13m to €20.8m), despite the increased contribution to net interest income, and absorbed the slowdown in equity trading (from €55.6m to €46.7m); dividends and other income from holdings in funds increased from €28.9m to €39.6m.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**30/6/24** |<br>**30/6/23** | (€m)<br>**Change (%)** |
| Dividends | 31.6 | 28.9 | 37.–% |
| Profit (loss) from fixed-income trading | 74 | 98.2 | -24.6% |
| Profit (loss) from equities trading | 54.8 | 80.4 | -31.8% |
| **Total net trading income** | **168.4** | **207.5** | **-18.8%** |

---

**Net fee and commission income** – totalled €364m, improving further on last year's excellent result (up 13.8%, from €319.9m). Private Banking fees totalled €132.3m, up 19.6% YoY, on management fees of €71m (up 7.6%), upfront fees of €54m (up 28.6%), and performance fees which recovered to €3.1m. Advisory M&A fees totalled €119.4m, up 19.3% (with an equivalent increase in Mid Corporate fees, which rose from €25m to €35m), and fees from Markets, sales and other income increased from €11.5m to €31.2m, offsetting the reductions in Capital Markets (fees down 32.2%, from €43.5m to €29.5m, due to the weak ECM market) and Lending (down 4.8%, from €54.2m to €51.6m, due to the reduced demand for structured finance).

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths to 30/6/24** |<br>**12 mths to 30/6/23** | (€m)<br>**Change (%)** |
| Lending fees | 51.6 | 54.2 | -4.8% |
| Advisory M&A fees | 119.4 | 100.1 | 19.3% |
| Capital Market fees | 29.5 | 43.5 | -32.2% |
| Private Banking fees | 132.3 | 110.6 | 19.6% |
| &nbsp;&nbsp;*of which: performance fees* | *3.1* | *0.7* | *n.m.* |
| Markets, sales and other fee income | 31.2 | 11.5 | n.m. |
| **Net fee and commission income** | **364.–** | **319.9** | **13.8%** |

---

Review of Operations \| 391

**Dividends and other income** – totalled €1,041.2m, higher than last year (€527.3m), because of the one-off distributions received in the twelve months from CMB Monaco (€320m, due to the tax relief on reserves approved last year) and SelmaBipiemme Leasing (30m). The ordinary share was increased by the good results posted by the Group Legal Entities and associate companies, and driven by the need to make up the dividends distributed by Mediobanca S.p.A. itself. In detail, the contribution for the twelve months (€691m) regards Compass (up from €275m to €330m), Assicurazioni Generali (up from €235m to €262m), plus the first distributions made by MB Premier (€33m), Mediobanca International (€18m), Arma Partners (€13m), MBFACTA (€11m), Mediobanca SGR (€8m), Messier & Associés (€4m), and other minor companies (€12m).

**Operating costs** – operating costs rose by 9.5%, from €498.4m to €545.6m, with the cost/income ratio declining from 36% to 28% (considering only core revenues). Labour costs were up 7.3% (from €288.8m to €309.9m), reflecting the collective contract renewal and the increase in headcount (which drove up fixed costs), plus the increase in the variable remuneration in relation to the Bank's good performance. Administrative costs also rose, by 12.5% (from €209.6m to €235.7m, as a result of the increases due to project activities, IT investments, and higher data processing and info-provider costs.

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths to 30/6/24** |<br>**12 mths to 30/6/23** | (€m)<br>**Change (%)** |
| Labour costs | 309.9 | 288.8 | 7.3% |
| &nbsp;&nbsp;*of which: Directors* | *4.9* | *4.7* | *5.3 %* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Stock option and performance share schemes* | *12.3* | *11.3* | *8.6 %* |
| Operating costs and sundry other expenses | 235.7 | 209.6 | 12.4% |
| &nbsp;&nbsp;*of which: Amortization* | *10.4* | *9.6* | *8.8 %* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Administrative expenses* | *225.2* | *200.3* | *12.4 %* |
| **Operating costs** | **545.6** | **498.4** | **9.5%** |

---

392 \| Individual financial statements as at 30 June 2024

The following table provides a breakdown of other administrative expenses by type:

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths to <br> 30/6/24** |<br>**12 mths to <br> 30/6/23** | (€ milioni)<br>**Change (%)** |
| Legal, tax and other professional expenses | 12.2 | 11.5 | 6.1% |
| Other consultancy costs | 29.– | 24.– | 20.8% |
| *Marketing and communication* | 7.3 | 5.6 | 30.4% |
| Property rental and maintenance | 5.6 | 4.9 | 14.3% |
| Data processing | 93.8 | 87.– | 7.8% |
| Info-providers | 30.9 | 27.8 | 11.2% |
| Bank services and collection and payment commissions | 1.2 | 1.4 | -14.3% |
| Operating expenses | 7.5 | 6.9 | 8.7% |
| Other labour costs | 7.4 | 5.8 | 27.6% |
| Other costs | 21.4 | 19.6 | 9.2% |
| Indirect and direct taxes (net of withholding tax) | 8.9 | 5.8 | 53.4% |
| **Total administrative expenses** | **225.2** | **200.3** | **12.4%** |

---

**Loan loss provisions** – net writebacks of €5m were credited for the twelve months, compared with writedowns of €36.3m last year, due to the lower provisioning as a result of the reduction in volumes and improvement in the credit quality of the performing loan book. The balance was also helped by the reduction in overlays (from €23.1m to €15.1m) as the inflationary pressure in certain sectors had less of an impact.

**Provisions for other financial assets** – net writebacks of €12.3m were credited for the twelve months compared with writedowns of €7m last year, reflecting the positive valuations of financial assets mandatorily recognized at fair value (investments in Group funds and other private equity and real estate funds) totalling €15.5m (compared with writedowns of €4.4m) and the increase in provisioning for banking book activity (€3.2m, vs €2.4m).

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**12 mths to <br> 30/6/24** |<br>**12 mths to <br> 30/6/23** | (€m)<br>**Change (%)** |
| Hold-to-Collect portfolio | (1.2) | (3.3) | -63.6% |
| Hold-to-Collect & Sell portfolio | (2.–) | 0.7 | n.m. |
| *Other* | 15.5 | (4.4) | n.m. |
| **Provisions/writebacks for other financial assets** | **12.3** | **(7.–)** | **n.m.** |

---

**Impairment charges for equity investments** – totalled €35.2m and were attributable to RAM, due to the revision of the carrying amount which reflects a fair value for the RAM brand calculated based on the single-year budget rather than on projections across several years.

Review of Operations \| 393

**Other gains (losses)** – this heading reflects a net gain of €0.2m (versus a €50.4m net loss last year), representing the balance between:

€3.9m in costs attributable to the payments to the resolution funds, which, compared to last year (€36.2m), includes only the adjustment payable in relation to the to the Single Resolution Fund (€2.6m) following the restatement requested for previous years' payments, plus the €1.3m payment to the Deposit Guarantee Scheme, which includes the final instalment (actually paid at the start of July 2024);

Higher IT costs (€6.8m), due to the extra amortization charges for software owned by MIS as a result of the reduction in its estimated useful life;

Extraordinary income (€10.9m) linked to the release of provisions (€7.8m) following the successful conclusion of certain legal/tax disputes, plus the effects of the Messier & Associés acquisition, which after five years entailed an amount of €2.9m being collected.

**Income tax** – this heading totalled €168m (€135m, including €19.2m in tax relief on the CMB Monaco reserves pursuant to the 2023 Budget Law art. 1, paragraphs from 87 to 95, L. 197/2002), with a tax rate of 11.9% (18.2%; 15.6% normalized).

\* \* \*

Significant events in the twelve months include the following:

– Acquisition of a controlling interest in UK-based partnership Arma Partners LLP, an independent financial advisory firm which is a European leader in the Digital Economy sector; the company is part of the Banking Group and is consolidated on a line-by-line basis;

– Launch of MB SpeedUp, a joint venture set up in conjunction with London-based company builder and early-stage investor Founders Factory, which will facilitate the promotion of, and investment in, fintech companies;

Mediobanca has been recorded in the List of BTP Specialists instituted by the Italian Ministry for the Economy and Finance with effect from 1 June 2024, meaning the Bank is now accredited as a primary dealer; this initiative, in line with the Strategic Plan drivers based on strengthening in low-capital absorption activities and expanding Mediobanca's product offering versus institutional clients in the fixed-income space, confirms the Bank's leading role in Markets activities within both the Italian and international panoramas;

394 \| Individual financial statements as at 30 June 2024

Admission of Mediobanca to the co-operative compliance programme instituted by the Italian revenue authority under Title III of Italian Legislative Decree no. No. 128 of 5 August 2015, as amended by Italian Legislative Decree no. 221/2023, effective from the tax period ended on 30 June 2023; under the terms of the programme, the Bank is required to put in place an effective system for recording, measuring, managing and controlling tax risk (the "Tax Control Framework"), in line with the Tax Conduct Principles adopted by the Board of Directors.

At the Annual General Meeting held on 28 October 2023, the shareholders of Mediobanca adopted several important resolutions in respect of various initiatives related to the 2023-26 Strategic Plan, in particular as follows:

– Long-Term Incentive (LTI) Plan for senior and strategic Group staff, to be allocated upon financial and non-financial objectives being met;

Employee Share Ownership and Coinvestment Plan 2023-26 ("ESOP 2023-26") for Mediobanca Group Staff who have decided to acquire Mediobanca shares on a voluntary basis and on favourable terms; participants in the scheme will receive additional shares free of charge upon the Plan targets being achieved; The subscription phase was completed in December 2023, with approx. 28% of in-scope staff taking part (for a total of 415,600 share);

The first share buyback programme, involving a total of 17,000,000 shares (equal to 2% of the share capital) for an outlay of €198m<sup>(1)</sup> which were cancelled on 11 June 2024;

Amendment to the Articles of Association to provide for the possibility of paying interim dividends, the first of which was paid on 22 May 2024 in an amount of €421.2m based on results for the six months ended 2023 (corresponding to a dividend per share of €0.51).

\* \* \*

**Related party disclosure**

Financial accounts outstanding as at 30 June 2024 between companies forming part of the Mediobanca Group and related parties, and transactions undertaken between such parties during the financial year, are illustrated in Part H of the Notes to the Accounts, along with all the information required in terms of transparency pursuant to Consob resolution no. 17221 issued on 12 March 2010 (amended most recently by resolution no. 21264 of 10 December 2020).

<sup>(1)</sup> In accordance with the regulations on transparency in force, the individual trades were disclosed on a monthly basis starting from the month after the one when the Programme was launched, and are published on the Mediobanca website. The purchases were made exclusively on regulated markets.

Review of Operations \| 395

All such accounts form part of Group companies' ordinary operations, are maintained on an arm's length basis, and are entered into solely in the interests of the companies concerned. No atypical or irregular transactions have been entered into with such counterparties.

**Other information**

As part of the Bank's securities transactions on behalf of customers, a total of 30 million Mediobanca shares were bought and sold for a value of €364.1m.

The information on corporate governance and ownership structures pursuant to Article 123-bis of Legislative Decree No. 58/98 is included in the Report on Corporate Governance, attached hereto and available on the Bank's website (Governance section).

The assets for which monetary revaluations were made, as recognized in the financial statements, are detailed in Table A.

Further information on research and analysis can be found on p. 81 of the consolidated report.

Section 10, Liabilities also contains information regarding the most significant pending legal proceedings and tax disputes

**Outlook**

Mediobanca, in line with the objectives contained in its 2023-26 Strategic Plan, confirms its capability to deliver growth in revenues from capital-light businesses, at a cost of risk which is expected to remain low; substantial investments in technology and staff will continue to be made, some of which to support the expansion of Mid Corporate activity. The Bank's capital solidity, and the Group Legal Entities' distribution capabilities, will enable the shareholder remuneration to be absorbed, with the cash payout ratio confirmed at 70% (interim dividend payable in May 2025, balance payable in November 2025), and a new share buyback scheme to be implemented.

Milan, 19 September 2024

The Board of Directors

396 \| Individual financial statements as at 30 June 2024

**Financial year ended 30 June 2024: proposal to approve financial statements and allocation of profit**

Dear shareholders,

The net profit for the year was € 1,243,992,400.81 to be allocated as follows:

---

| | |
|:---|:---|
| € 69,135.00 | To the Legal reserve, which accordingly would amount € 88,903,028.50, or 20% of the Bank's share capital; |
| € 124,330,105.08 | To the Statutory reserve; |
| € 320,000,000.00 | *To the Unavailable reserve (2023 Budget Law – art. 1, paragraphs from 87 to 95, L. 197/2022);* |
| € 16,288,256.97 | *To the Non-distributable reserve (Art. 6 D.Lgs. 28/02/05 n. 38).* |
| € 783,304,903.76 | Profit remaining |

---

We therefore propose to distribute a €1.07 dividend on each of the shares entitling their holders to such rights, composed as such: gross €0.51 as interim dividend referred to the 12 months ended 30 June 2024, to be paid on the 22nd May 2024 (for an amount of €421,150,316.34); gross €0.56, as difference, on the number of shares entitling this right (as of today, no. 828,654,655), for an amount of €464,046,606.80, considering €101,892,019.38 to be taken from the Statutory Reserve, as shown in the table below.

It is to be noted that the unit amount of the dividend will remain unchanged also in case the Bank owning, at the record date, a different amount of treasury shares. In this case, the total amount of the distributed profit would be reduced accordingly, with the difference taken to the Statutory Reserve.

Review of Operations \| 397

Accordingly, you are invited to approve the financial statements for the year ended 30 June 2024, including the balance sheet, profit and loss account and accompanying schedules, plus the following profit allocation:

---

| | | |
|:---|:---|:---|
| Net profit for the year | € | 1243992400.81 |
| To the Legal Reserve | € | 69135.00 |
| To the Statutory Reserve | € | 124330105.08 |
| To the Unavailable reserve (2023 Budget Law – art. 1, paragraphs from 87 to 95, L. 197/2022) | € | 320000000.00 |
| To the Non-distributable reserve (Art. 6 D.Lgs. 28/02/05 n. 38). | € | 16288256.97 |
| Remaining profit | € | 783304903.76 |
| From the Statutory Reserve | € | 101892019.38 |
| **Total dividend** | **€** | **885196923.14** |
| Interim dividend of €0.51 to no. 825,784,934 of shares | € | 421150316.34 |
| **Final dividend of €0.56 to no. 828,654,655 of shares** | **€** | **464046606.80** |

---

The final dividend will be paid on 20 November 2024, with the shares going ex-rights on 18 November 2024

Milan, 19 September 2024

The Board of Directors

398 \| Individual financial statements as at 30 June 2024

DECLARATION BY FINANCIAL REPORTING OFFICER

![](tm2518026d1_ex99-6img007.jpg)

DECLARATION CONCERNING THE FINANCIAL STATEMENTS

pursuant to Article 81-ter of CONSOB Regulation No. 11971 of 14 May 1999, as amended

&nbsp;&nbsp;&nbsp;&nbsp;1. The undersigned Alberto Nagel
 and Emanuele Flappini, in their respective capacities as Chief Executive Officer and
 Head of Company Financial Reporting of Mediobanca, hereby, and in view inter alia of
 the provisions contained in Article 154-bis, paragraphs 3 and
4, of Italian Legislative Decree No. 58 of 24 February 1998, declare that the administrative and accounting procedures used in
the preparation of the financial statements:

– Were adequate in view of the company's characteristics; and

– Were effectively adopted during the period from 1 July 2023 to 30 June 2024.

&nbsp;&nbsp;&nbsp;&nbsp;2. Assessment of the adequacy of said
 administrative and accounting procedures for the preparation of the financial statements
 at 30 June 2024 was based on a model defined by Mediobanca in accordance with benchmark
 standards for internal control systems which are widely accepted at international level
 (CoSO and CobiT frameworks).

&nbsp;&nbsp;&nbsp;&nbsp;3. It is further hereby declared that

&nbsp;&nbsp;&nbsp;&nbsp;3.1 The financial statements:

– Were drawn up in accordance with the International Financial Reporting Standards adopted by the European Union pursuant to Regulation (EC) 1606/2002 issued by the European Parliament and Council on 19 July 2002;

– Correspond to the data recorded in the company's books and accounting ledgers;

– Are adequate for the purpose of providing a true and fair view of the capital, earnings and financial situation of the issuer.

&nbsp;&nbsp;&nbsp;&nbsp;3.2 The review of operations includes
 a reliable analysis of the performance and operating result and position of Mediobanca,
 together with a description of the main risks and uncertainties to which it is exposed

Milan, 19 September 2024

---

| | |
|:---|:---|
| Chief Executive Officer | Head of Company |
|  | Financial Reporting |
| *Alberto Nagel* | *Emanuele Flappini* |

---

400 \| Individual financial statements as at 30 June 2024

EXTERNAL AUDITORS'

REPORT

![](tm2518026d1_ex99-6img008.jpg)

![](tm2518026d1_ex99-6img009.jpg)

Mediobanca S.p.A.

Financial st at ement s as at 30 J une 2024

Independent audit or's report pursuant t o art icle 14 of Legislat ive Decree n. 39, dat ed 27 January 2010, and art icle 10 of EU Regulat ion n. 537/ 2014

(Translat ion from the original It alian text)

---

| | | |
|:---|:---|:---|
| <br> ![](tm2518026d1_ex99-6img009.jpg) <br>| EY S.p.A.<br>Via Meravigli, 12<br>20123 Milano  | Tel: +39 02 722121<br>Fax: +39 02 722122037<br>ey.com  |

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Independent auditor's report pursuant to article 14 of Legislative Decree no. 39/ 2010 and art icle 10 of Regulation (EU) no. 537/2014

(Translation from the original Italian text)

To the Shareholders of

Mediobanca S.p.A.

Report on the Audit of the Financial Statements

Opinion

We have audited the financial statements of the Mediobanca S.p.A. (the "Bank"), which comprise the balance sheet as at 30 June 2024, the income statement, statement of comprehensive income, the statement of changes to net equity and cash flows statement for the year then ended, and notes to the accounts, including material accounting policy information.

In our opinion, the financial statements give a true and fair view of the financial position of the Bank as at 30 June 2024, of its financial performance and its cash flows for the year then ended in accordance with International Financial Reporting Standards as adopted by the European Union and with the regulations issued for implementing article 9 of Legislative Decree n.38, dated 28 February 2005 and article 43 of Legislative Decree n. 136, dated 18 August 2015.

Basis for Opinion

We conducted our audit in accordance with International Standards on Auditing (ISA Italia). Our responsibilities under those standards are further described in the Auditor's Responsibilities for the Audit of the Financial Statements section of our report. We are independent of the Bank in accordance with the regulations and standards on ethics and independence applicable to audits of financial statements under Italian Laws. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Key Audit Matters

Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the financial statements of the current year. These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do not provide a separate opinion on these matters.

We identified the following key audit matters:

EY S.p.A.

Sede Legale: Via Meravigli, 12 – 20123 Milano

Sede Secondaria: Via Lombardia, 31 – 00187 Roma

Capitale Sociale Euro 2.975.000 i.v.

Iscritta alla S.O. del Registro delle Imprese presso la CCIAA di Milano Monza Brianza Lodi

Codice fiscale e numero di iscrizione 00434000584 - numero R.E.A. di Milano 606158 - P.IVA 00891231003

Iscritta al Registro Revisori Legali al n. 70945 Pubblicato sulla G.U. Suppl. 13 - IV Serie Speciale del 17/2/1998

A member firm of Ernst & Young Global Limited

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| | |
|:---|:---|
| Key Audit Matters | Audit Response |
| Classification and measurement of loans to customers represented by loans measured at amortised cost<br>Loans to customers (loans) recorded amongst financial assets measured at amortised cost, included in line item 40. b) of the balance sheet, amount to Euro 20.179 million as at 30 June 2024, and represent approximately 23% of total assets. The composition of such loans is included in tables 4.2 and 4.3 in Part B, section 4, of the notes to the accounts.<br>Net impairment losses for credit risk on the loans to customers (loans) measured at amortised cost are included in line item 130. a) of the income statement; the composition of such net impairment losses is included in table 8.1 in Part C, section 8, of the notes to the accounts.<br>The disclosures regarding the changes in the credit quality of the loans to customers (loans), the classification and measurement criteria adopted and the related income statement effects are provided in Part A – Accounting policies, in Part B – Notes to the balance sheet, in Part C – Notes to the income statement and in Part E Information on risks and related hedging policies of the notes to the accounts.<br>The classification in the appropriate risk staging and measurement of the loans to customers (loans) measured at amortised cost are both relevant for the audit because the amount of loans is significant to the financial statements as a whole and because the amount of the related impairment losses is determined by the directors through the use of estimates that have a high degree of complexity and subjectivity.<br>For classification purposes of the loans to customers (loans), the directors carry out analyses, which involve using internally developed models, as well as subjective elements, in order to identify exposures that show evidence of a significant increase in credit risk since the date of initial recognition or specifically identified impairment. The processes for the classification of such loans considers both<br>| &nbsp;&nbsp;&nbsp;&nbsp; <br>In relation to this aspect, our audit procedures, which were performed also with the support of our risk management and information technology specialists, included amongst others:<br>● an understanding of the policies, processes and controls applied by the Bank in relation to the classification and measurement of loans to customers (loans);<br>● an assessment of the configuration and implementation of key controls, including those relating to the relevant IT applications, and the execution of tests of controls in order to assess their operational effectiveness;<br>● an understanding of the methodology used in relation to the statistical evaluations and the reasonableness of the hypotheses adopted as well as the execution of tests of controls and substantive procedures aimed at verifying the accuracy of the determination of the relevant parameters for the purposes of determining the impairment losses;<br>● an analysis of the changes in the composition of loans to customers (loans) compared to the previous year and a discussion of the results with management;<br>● performing substantive procedures in order to verify, on a sample basis, the correct classification and measurement of credit exposures;<br>● an assessment of the adequacy of the disclosures provided in the notes to the accounts.<br>|

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|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;● internal information about the historical performance of exposures and external information about the referenced sector.<br>Measuring loans to customers (loans) is a complex activity, in respect of which the directors make estimates with a high degree of uncertainty and subjectivity that consider many quantitative and qualitative factors, including historical collections, expected cash flows and related estimates on collection timing, an assessment of any guarantees, the impact of macroeconomic variables and future scenarios and risks of the sectors in which the Bank's customers operate.<br>Moreover, the classification and measurement processes of the loans to customers (loans) involve considering specific factors aimed at reflecting the current uncertainty on the evolution of the macroeconomic scenario and inflation dynamics.<br>|  |
| Measurement of financial instruments not quoted in active markets and measured at fair value at on a recurring basis<br>As at 30 June 2024 financial instruments measured at fair value on a recurring basis, classified in level 2 and level 3 of the fair value hierarchy as established by the relevant international accounting standard, amount to a total asset balance of Euro 5.530 million and a total liability balance of Euro 9.494 million. The composition of financial instruments measured at fair value on a recurring basis, classified in level 2 and level 3 of the fair value hierarchy, is included in table A.4.5.1, Part A of the notes to the accounts.<br>The disclosures on the classification and measurement of financial instruments measured at fair value on a recurring basis, classified in level 2 and level 3 of the fair value hierarchy are provided in Part A - Accounting policies, in Part B – Notes to the balance sheet, in Part C – Notes to the sheet, in Part C – Notes to the income statement and in Part E - Information on risks and related hedging policies of the notes to the accounts.<br>| <br>In relation to this aspect, our audit procedures, which were performed also with the support of our risk management and information technology specialists, included amongst others:<br>● an understanding of the policies, processes and controls applied by the Bank in relation to the classification and measurement of financial instruments measured at fair value on a recurring basis within the level 2 and level 3 fair value hierarchy categories;<br>● an assessment of the configuration and implementation of key controls, including those relating to the relevant IT applications, and the execution of tests of controls in order to assess their operational effectiveness;<br>● an understanding of the valuation models used for the measurement of the financial instruments as well as the methods used for determining the fair value hierarchy <br>|

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|:---|:---|
| The measurement of these financial instruments is performed by the directors through the use of complex models, consistent with the prevailing valuation practices, which make use of directly observable inputs or estimated internally based on qualitative and quantitative assumptions, when not observable in the market.<br>The measurement of such financial instruments is relevant to the audit because the amount of such financial instruments is significant to the financial statements as a whole and because of the multiplicity and complexity of the valuation models and parameters used as well as the subjective elements considered for the purposes of the estimates considered by the directors.<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; classification;<br>● an analysis of the changes in the composition of the financial instruments' portfolio compared to the previous year and the discussion of the results with management;<br>● performing substantive procedures in order to verify, on a sample basis, the fair value of financial instruments through the analysis of the valuation models, the reasonableness of the qualitative and quantitative assumptions formulated, and input parameters used as well as the appropriate fair value level classification;<br>● an assessment of the adequacy of the disclosures provided in the notes to the accounts.  |
| Measurement of equity investments in subsidiary and associated entities |  |
| As at 30 June 2024 the carrying amount of equity investments amount to Euro 3.771 million of which Euro 2.559 million and Euro 1.213 million. The composition of equity investments is included in the table 7.2 in Part B, section 7, of the notes to the accounts.<br>The disclosures on the methods used for the measurement of equity investments are provided in Part A – Accounting policies, in Part B – Notes to the balance sheet and in Part C – Notes to the income statement of the notes to the accounts.<br>The directors perform an evaluation of the recoverable amount of equity investments recognised in the financial statements annually, or more frequently, if indicators are found during the year that suggest the existence of a loss in value (impairment test). Such evaluation, in accordance with the international accounting standard IAS 36, is based on the comparison between the carrying amount in the financial statements and the higher of the fair value less costs to sell and the value in use.<br>The estimate of the recoverable amount of each equity investment was performed by the <br>| &nbsp;&nbsp;&nbsp;&nbsp; In relation to this aspect, our audit procedures, which were performed also with the support of our business valuation specialists, included amongst others:<br>● an understanding of the methods for determining the recoverable amount used by the directors in the impairment test process and the related key controls;<br>● verifying the consistency of the valuation methodologies used with the requirements of the international accounting standard IAS 36, taking into account of the market practice and the distinctive characteristics of the single equity investments;<br>● verifying the mathematical accuracy and the correctness of the calculations underlying the valuation models used;<br>● an assessment of the differences between the historical results and forecast data and of the underlying reasons in order to verify the reasonableness of the assumptions used by the directors;<br>● an analysis of the reasonableness of the assumptions and parameters used by the<br>|

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|:---|:---|
| <br> directors, also with the support of third-party consultants, through an impairment process based on complex models using information, parameters and assumptions characterised by a high level of subjectivity such as expected cash flows, nominal growth rates and the cost of capital.<br>The elements described above implicate a high level of complexity and subjectivity in the estimation processes, also considering the persisting uncertainty of macroeconomic scenario.<br>For the reasons described above, we have considered the measurement of equity investments in subsidiary and associated entities a key audit matter for the audit of the financial statements of the Bank as at 30 June 2024.<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> directors for the impairment test who were assisted with the support of third-party consultants, and of the forecast used in the same, also considering the uncertainty of macroeconomic scenario as well as the related sensitivity analyses;<br>● an assessment of the adequacy of the disclosures provided in the notes to the accounts.<br>|

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Responsibilities of Directors and Those Charged with Governance for the Financial Statements

The Directors are responsible for the preparation of the financial statements that give a true and fair view in accordance with International Financial Reporting Standards as adopted by the European Union and with the regulations issued for implementing article 9 of Legislative Decree n. 38/ 2005 and article 43 of Legislative Decree no. 136/ 2015 and, within the terms provided by the law, for such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

The Directors are responsible for assessing the Bank's ability to continue as a going concern and, when preparing the financial statements, for the appropriateness of the going concern assumption, and for appropriate disclosure thereof. The Directors prepare the financial statements on a going concern basis unless they either intend to liquidate the Bank or to cease operations or have no realistic alternative but to do so.

The statutory audit committee ("Collegio Sindacale") is responsible, within the terms provided by the law, for overseeing the Bank's financial reporting process.

Auditor's Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor's report that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with International Standards on Auditing (ISA Italia) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

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As part of an audit in accordance with International Standards on Auditing (ISA Italia), we have exercised professional judgment and maintained professional skepticism throughout the audit. In addition:

● we have identified and assessed the risks of material misstatement of the financial statements, whether due to fraud or error, designed and performed audit procedures responsive to those risks, and obtained audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control;

● we have obtained an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Bank's internal control;

● we have evaluated the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Directors;

● we have concluded on the appropriateness of Directors' use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Bank's ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor's report to the related disclosures in the financial statements or, if such disclosures are inadequate, to consider this matter in forming our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor's report. However, future events or conditions may cause the Bank to cease to continue as a going concern;

● we have evaluated the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We have communicated with those charged with governance, identified at an appropriate level as required by international standards on auditing (ISA Italia), regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We have provided those charged with governance with a statement that we have complied with the ethical and independence requirements applicable in Italy, and we have communicated with them all matters that may reasonably be thought to bear on our independence, and where applicable, the actions taken to eliminate the relevant risks or the related safeguards applied.

From the matters communicated with those charged with governance, we have determined those matters that were of most significance in the audit of the financial statements of the current period and are therefore the key audit matters. We have described these matters in our auditor's report.

Additional information pursuant to article 10 of EU Regulation n. 537/14

The shareholders of Mediobanca S.p.A., in the general meeting held on 28 October 2020, engaged us to perform the audits of the separate and consolidated financial statements for each of the years ending 30 June 2022 to 30 June 2030.

We declare that we have not provided prohibited non-audit services, referred to article 5, paragraph 1, of EU Regulation n. 537/ 2014, and that we have remained independent of the of the Bank in conducting the audit.

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We confirm that the opinion on the financial statements included in this report is consistent with the content of the additional report to the audit committee (Collegio Sindacale) in their capacity as audit committee, prepared pursuant to article 11 of the EU Regulation n. 537/ 2014.

Report on compliance with other legal and regulatory requirements

Opinion on the compliance with Delegated Regulation (EU) 2019/815

The Directors of Mediobanca S.p.A. are responsible for applying the provisions of the European Commission Delegated Regulations (EU) 2019/ 815 for the regulatory technical standards on the specification of a single electronic reporting format (ESEF – European Single Electronic Format) (the "Delegated Regulation") to the financial statements, to be included in the annual financial report.

We have performed the procedures under the auditing standard SA Italia n. 700B, in order to express an opinion on the compliance of the financial statements as at 30 June 2024 with the provisions of the Delegated Regulation.

In our opinion, the financial statements as at 30 June 2024 have been prepared in the XHTML format in compliance with the provisions of the Delegated Regulation.

Opinion pursuant to article 14, paragraph 2, subparagraph e), of Legislative Decree n. 39 dated 27 January 2010 and of article 123-bis, paragraph 4, of Legislat ive Decree n. 58, dated 24 February 1998

The Directors of Mediobanca S.p.A. are responsible for the preparation of the Report on Operations and of the Report on Corporate Governance and Ownership Structure of the Bank as at 30 June 2024, including their consistency with the related financial statements and their compliance with the applicable laws and regulations.

We have performed the procedures required under audit standard SA Italia n. 720B, in order to express an opinion on the consistency of the Report on Operations and of specific information included in the Report on Corporate Governance and Ownership Structure as provided for by article 123-bis, paragraph 4, of Legislative Decree n. 58, dated 24 February 1998, with the financial statements of Mediobanca S.p.A. as at 30 June 2024 and on their compliance with the applicable laws and regulations, and in order to assess whether they contain material misstatements.

In our opinion, the Report on Operations and the above-mentioned specific information included in the Report on Corporate Governance and Ownership Structure are consistent with the financial statements of Mediobanca S.p.A. as at 30 June 2024 and comply with the applicable laws and regulations.

With reference to the statement required by article 14, paragraph 2, subparagraph e), of Legislative Decree n. 39, dated 27 January 2010, based on our knowledge and understanding of the entity and its environment obtained through our audit, we have no matters to report.

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Statement pursuant to article 4 of Consob Regulation implementing Legislative Decree n. 254, dated 30 December 2016

The Directors of Mediobanca S.p.A. are responsible for the preparation of the consolidated non-financial information pursuant to Legislative Decree n. 254, dated 30 December 2016. We have verified that consolidated non-financial information has been approved by Directors.

Pursuant to article 3, paragraph 10, of Legislative Decree n. 254, dated 30 December 2016, such consolidated non-financial information is subject to a separate compliance report signed by us.

Milan, 25 September 2024

EY S.p.A.

Signed by: Davide Lisi, Auditor

This independent auditor's report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative.

INDIVIDUAL FINANCIAL STATEMENTS <sup>(\*)</sup>

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<sup>(\*)</sup> Figures in Euros.

**Mediobanca Balance Sheet**

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| | | | |
|:---|:---|:---|:---|
| **Asset items** | **Asset items** | **30 June 2024** | **30 June 2023** |
| 10. | Cash and Cash Equivalents | 3280657357 | 4426851422 |
| 20. | Financial assets measured at fair value through profit or loss | 16708653643 | 11578775208 |
|  | *a) financial assets held for trading* | *15437936067* | *10509409892* |
|  | *b) financial assets designated at fair value* | *719214834* | *538590262* |
|  | *c) other financial assets mandatorily measured at fair value* | *551502742* | *530775054* |
| 30. | Financial assets measured at fair value through other comprehensive income | 7163003473 | 6285647040 |
| 40. | Financial assets measured at amortized cost | 54813498424 | 54588649643 |
|  | *a) due from banks* | *31098007300* | *30114592653* |
|  | *b) due from customers* | *23715491124* | *24474056990* |
| 50. | Hedging derivatives | 561851168 | 245954010 |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |
| 70. | Equity Investments | 3771532964 | 3528481749 |
| 80. | Tangible assets | 141448826 | 139642079 |
| 90. | Intangible Assets | 29392331 | 29662462 |
|  | *of which:* |  |  |
|  | &nbsp;&nbsp;*Goodwill* | *12514145* | *12514145* |
| 100. Tax assets | 100. Tax assets | 353453961 | 277484768 |
|  | &nbsp;&nbsp;*a) current* | *287099344* | *182106141* |
|  | &nbsp;&nbsp;*b) prepaid* | *66354617* | *95378627* |
| 110. Non-current assets and asset groups held for sale | 110. Non-current assets and asset groups held for sale |  |  |
| 120. Other assets | 120. Other assets | 471836296 | 166765825 |
| **Total assets** | **Total assets** | **87295328443** | **81267914206** |

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412 \| Individual financial statements as at 30 June 2024

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| | | | |
|:---|:---|:---|:---|
| **Liabilities and net equity** | **Liabilities and net equity** | **30 June 2024** | **30 June 2023** |
| 10. | Financial liabilities measured at amortized cost | 65738171569 | 60979649706 |
|  | *a) due to banks* | *31805460944* | *34324113115* |
|  | *b) due to customers* | *13370228825* | *8770681018* |
|  | *c) securities in issue* | *20562481800* | *17884855573* |
| 20. | Trading financial liabilities | 9666709825 | 10592249162 |
| 30. | Financial liabilities designated at fair value | 4164870677 | 1524041446 |
| 40. | Hedging derivatives | 1458737774 | 2116466694 |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities | 488344615 | 521354135 |
|  | *a) current* | *255772790* | *298185828* |
|  | *b) deferred* | *232571825* | *223168307* |
| 70. | Liabilities associated with assets held for sale |  |  |
| 80. | Other liabilities | 667328161 | 377990584 |
| 90. | Provision for statutory end-of-service payments | 4787338 | 5049967 |
| 100. | Provisions for risks and charges: | 74636549 | 97730658 |
|  | *a) commitments and guarantees issued* | *22813991* | *30405631* |
|  | *b) post-employment and similar benefits* | *—* | *—* |
|  | *c) other provisions for risks and charges* | *51822558* | *67325027* |
| 110. | Revaluation reserves | 88981557 | 59188850 |
| 120. Redeemable shares | 120. Redeemable shares |  |  |
| 130. | Equity instruments |  |  |
| 140. | Reserves | 1127475614 | 1826802801 |
| 150. | Share premium | 2195605653 | 2195605653 |
| 160. | Capital | 444515143 | 444169468 |
| 170. | Treasury shares (-) | (68828433) | (78875697) |
| 180. | Profit (loss) for the year (+/-) | 1243992401 | 606490779 |
| **Total liabilities and net equity** | **Total liabilities and net equity** | **87295328443** | **81267914206** |

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Mediobanca S.p.A. Financial Statements \| 413

**Mediobanca Profit and Loss Account**

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| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **30 June 2024** | **30 June 2023** |
| 10. | Interest and similar income | 2786658035 | 1740230742 |
|  | *of which: interest income calculated according to the effective interest method* | *2102031812* | *1372632946* |
| 20. | Interest and similar charges | (2424740652) | (1407695291) |
| **30.** | **Net interest income** | **361917383** | **332535451** |
| 40. | Commission income | 411029898 | 355647161 |
| 50. | Commission expenses | (66478722) | (59965423) |
| **60.** | **Net fee income** | **344551176** | **295681738** |
| 70. | Dividends and similar income | 1191853933 | 618793528 |
| 80. | Net trading income (expense) | 28668148 | 95331702 |
| 90. | Net hedging income (expense) | 662166 | 3711934 |
| 100. | Gains (losses) on disposal/repurchase of: | 12510931 | 8334693 |
|  | *a) financial assets measured at amortized cost* | *5481037* | *8271179* |
|  | *b) financial assets measured at fair value through other comprehensive income* | *6430579* | *(6738593)* |
|  | *c) financial liabilities* | *599315* | *6802107* |
| 110. | Net income (expense) from other financial assets and liabilities measured at fair value through profit or loss | 28920611 | 9123942 |
|  | *a) financial assets and liabilities designated at fair value* | *12910275* | *13562153* |
|  | *b) other financial assets mandatorily measured at fair value* | *16010336* | *(4438211)* |
| **120.** | **Total revenues** | **1969084348** | **1363512988** |
| 130. | Net write-offs (write-backs) for credit risk: | (4997744) | (53311167) |
|  | *a) financial assets measured at amortized cost* | *(3000036)* | *(54027631)* |
|  | *b) financial assets measured at fair value through other comprehensive income* | *(1997708)* | *716464* |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |
| **150.** | **Net income (expense) from financial operations** | **1964086604** | **1310201821** |
| 160. | Administrative expenses: | (570127519) | (543300136) |
|  | *a) personnel costs* | *(309935447)* | *(288799716)* |
|  | *b) other administrative expenses* | *(260192072)* | *(254500420)* |
| 170. | Net transfers to provisions for risks and charges | 14693273 | 12760571 |
|  | *a) commitments and guarantees issued* | *6870905* | *14683885* |
|  | *b) other net provisions* | *7822368* | *(1923314)* |
| 180. | Net value adjustments to/write-backs of tangible assets | (9740402) | (8908072) |
| 190. | Net value adjustments to/write-backs of intangible assets | (705755) | (665530) |
| 200. | Other operating expense / income | 48964976 | 25665634 |
| **210.** | **Operating costs** | **(516915427)** | **(514447533)** |
| 220. | Gains (losses) on equity investments | (35178776) | (54262649) |
| 230. | Net income (expense) from fair value measurement of tangible and intangible assets |  |  |
| 240. | Value adjustments to goodwill |  |  |
| 250. | Gains (losses) on disposal of investments |  | (860) |
| **260.** | **Profit (loss) on ordinary operations before tax** | **1411992401** | **741490779** |
| 270. | Income tax for the year on ordinary operations | (168000000) | (135000000) |
| **280.** | **Profit (loss) on ordinary operations after tax** | **1243992401** | **606490779** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |
| **300.** | **Profit (loss) for the year** | **1243992401** | **606490779** |

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414 \| Individual financial statements as at 30 June 2024

**Other Comprehensive Income**

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| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **30 June 2024** | **30 June 2023** |
| 10. | Profit (loss) for the year | 1243992401 | 606490779 |
|  | **Other income items after tax without transfers through profit or loss** | **(7302108)** | **12005200** |
| 20. | Equity securities designated at fair value through other comprehensive income | 19640628 | 18101102 |
| 30. | Financial liabilities designated at fair value through profit or loss (change in own credit risk) | (26984253) | (6273934) |
| 40. | Hedging of equity securities designated at fair value through other comprehensive income |  |  |
| 50. | Tangible assets |  |  |
| 60. | Intangible Assets |  |  |
| 70. | Defined benefit plans | 41517 | 178032 |
| 80. | Non-current assets and asset groups held for sale |  |  |
| 90. | Portion of valuation reserves of equity-accounted investments |  |  |
|  | **Other income items after tax with transfers through profit or loss** | **44667558** | **(8672544)** |
| 100. | Foreign investment hedges |  |  |
| 110. | Currency exchange gains/losses |  |  |
| 120. | Cash flow hedges | 1819677 | (462516) |
| 130. | Hedging instruments (non-designated items) |  |  |
| 140. | Financial assets (other than equity securities) measured at fair value through other comprehensive income | 42847881 | (8210028) |
| 150. | Non-current assets and asset groups held for sale |  |  |
| 160. | Portion of valuation reserves of equity-accounted investments |  |  |
| **170.** | **Total other income items after tax** | **37365450** | **3332656** |
| **180.** | **Other comprehensive income (Item 10+170)** | **1281357851** | **609823435** |

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Mediobanca S.p.A. Financial Statements \| 415

**Statement of Changes in Mediobanca Net Equity**

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| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Allocation of profit (loss)** | **Allocation of profit (loss)** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | **Changes for<br> the year** | |
|  | | **for the previous year** | **for the previous year** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | | | |
|  | <br>**Net equity at<br> 30/6/23** | **Reserves** | **Dividends and <br> other<br> allocations** | **Changes in<br> reserves** | **Newly issued<br> shares** | **Treasury shares<br> purchased** | **Advances on<br> dividends** | **Extraordinary<br> dividend<br> payouts** | **Changes <br> to equity<br> instruments** | **Treasury share <br> derivatives** | <br>**Stock options (<sup>1</sup>)** | **Other** <br>**comprehensive<br> income for the<br> year 2023/2024** | <br>**Total net equity at<br> 30/6/24** |
| Capital: | 444169468 |  |  |  | 345675 |  |  |  |  |  |  |  | 444515143 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) ordinary shares | 444169468 |  |  |  | 345675 |  |  |  |  |  |  |  | 444515143 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium | 2195605653 |  |  |  |  |  |  |  |  |  |  |  | 2195605653 |
| Reserves: | 1826802801 | 606490779 | (713360547) | 11884174 | (345675) | (198548198) | (421150316) |  |  |  | 15702596 |  | 1127475614 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) retained earnings | 1981087691 | 606490779 | (713360547) | 16746751 | (345675) |  | (421150316) |  |  |  |  |  | 1469468683 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other | (154284890) |  |  | (4862577) |  | (198548198) |  |  |  |  | 15702596 |  | (341993069) |
| Revaluation reserves | 59188850 |  |  | (7572743) |  |  |  |  |  |  |  | 37365450 | 88981557 |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares | (78875697) |  |  |  |  | 10047264 <sup>(2)</sup> |  |  |  |  |  |  | (68828433) |
| Profit (loss) for the year | 606490779 | (606490779) |  |  |  |  |  |  |  |  |  | 1243992401 | 1243992401 |
| Total net equity | 5053381854 |  | (713360547) | 4311431 |  | (188500934) | (421150316) |  |  |  | 15702596 | 1281357851 | 5031741935 |

---

<sup>(1)</sup> Represents the effects of the performance shares related to the ESOP schemes.

<sup>(2)</sup> Concerns the cancellation (on 11 June 2024, by resolution dated 28 June 2023) of 17,000,000 treasury shares without reduction of the share capital.

416 \| Individual financial statements as at 30 June 2024

**Statement of Changes in Mediobanca Net Equity**

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | **Allocation of profit (loss) for the** | **Allocation of profit (loss) for the** | **Changes for <br> the year** | **Changes for <br> the year** | **Changes for <br> the year** | **Changes for <br> the year** | **Changes for <br> the year** | **Changes for <br> the year** | **Changes for <br> the year** | **Changes for <br> the year** | |
|  | | **previous year** | **previous year** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | **Net equity transactions** | | | |
|  | <br>**Net equity at <br> 30/6/22** | **Reserves** | **Dividends and<br> other<br> allocations** | **Changes in<br> reserves** | **Newly issued<br> shares** | **Treasury shares<br> purchased** | **Extraordinary<br> dividend<br> payouts** | **Changes<br> to equity<br> instruments** | **Treasury<br> share<br> derivatives** | <br>***Stock options* <sup>(1)</sup>** | **Other**<br>**comprehensive<br> income for the<br> year 2022/2023** | <br>**Total net equity at<br> 30/6/23** |
| Capital: | 443640007 |  |  |  | 529461 |  |  |  |  |  |  | 444169468 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) ordinary shares | 443640007 |  |  |  | 529461 |  |  |  |  |  |  | 444169468 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |
| Share premium | 2195605653 |  |  |  |  |  |  |  |  |  |  | 2195605653 |
| Reserves: | 2032800953 | 513087171 | (629164205) | 57738810 | (529461) | (160713601) |  |  |  | 13583134 |  | 1826802801 |
| &nbsp;&nbsp;&nbsp;&nbsp;a) retained earnings | 2102513639 | 513087171 | (629164205) | (4819453) | (529461) |  |  |  |  |  |  | 1981087691 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other | (69712686) |  |  | 62558263 |  | (160713601) |  |  |  | 13583134 |  | (154284890) |
| Revaluation reserves | 118414457 |  |  | (62558263) |  |  |  |  |  |  | 3332656 | 59188850 |
| Equity instruments |  |  |  |  |  |  |  |  |  |  |  |  |
| Treasury shares | (240807324) |  |  |  |  | 161931627<sup>(2)</sup> |  |  |  |  |  | (78875697) |
| Profit (loss) for the year | 513087171 | (513087171) |  |  |  |  |  |  |  |  | 606490779 | 606490779 |
| Total net equity | 5062740917 |  | (629164205) | (4819453) |  | 1218026 |  |  |  | 13583134 | 609823435 | 5053381854 |

---

<sup>(1)</sup> Represents the effects of performance shares related to the ESOP schemes.

<sup>(2)</sup> Concerns the cancellation (on 2 September 2022, by resolution dated 28 October 2021) of 16,500,000 treasury shares without reduction of the share capital.

Mediobanca S.p.A. Financial Statements \| 417

Mediobanca Cash Flow Statement Direct Method

---

| | | |
|:---|:---|:---|
|  | **Amount** | **Amount** |
|  | **30 June 2024** | **30 June 2023** |
| **A.CASH FLOW FROM OPERATING ACTIVITIES** |  |  |
| **1.Operating activities** | **(669861829)** | **(377489913)** |
| &nbsp;&nbsp;&nbsp;- interest received (+) | 3165076766 | 1025321483 |
| &nbsp;&nbsp;&nbsp;- interest paid (-) | (3231223073) | (1117930723) |
| &nbsp;&nbsp;&nbsp;- dividends and similar income (+) | 144393165 | 90610894 |
| &nbsp;&nbsp;&nbsp;- net fees and commission income (+/-) | 180035401 | 270657494 |
| &nbsp;&nbsp;&nbsp;- personnel costs (-) | (241464422) | (207478385) |
| &nbsp;&nbsp;&nbsp;- other costs (-) | (485754630) | (506235968) |
| &nbsp;&nbsp;&nbsp;- other revenues (+) | 21657238 | 15231346 |
| &nbsp;&nbsp;&nbsp;- taxes and duties (-) | (222582274) | 52333946 |
| &nbsp;&nbsp;&nbsp;- expenses/income from asset groups held for sale after tax effect (+/-) |  |  |
| **2.Cash inflow/outflow from financial assets** | **(3917089641)** | **(783995131)** |
| &nbsp;&nbsp;&nbsp;- financial assets held for trading | (4882422738) | 468285607 |
| &nbsp;&nbsp;&nbsp;*- financial assets designated at fair value* | (111839790) | 20460000 |
| &nbsp;&nbsp;&nbsp;*- financial assets mandatorily measured at fair value* | (3657329) | 50334366 |
| &nbsp;&nbsp;&nbsp;- financial assets measured at fair value through other comprehensive income | (734746675) | (1884434791) |
| &nbsp;&nbsp;&nbsp;- financial assets measured at amortized cost | 1314351026 | 332236876 |
| &nbsp;&nbsp;&nbsp;- other assets | 501225865 | 229122811 |
| **3.Cash inflow/outflow from financial liabilities** | **4220258499** | **(1338514866)** |
| &nbsp;&nbsp;&nbsp;- financial liabilities measured at amortized cost | 3214570014 | (887099119) |
| &nbsp;&nbsp;&nbsp;- financial liabilities held for trading | (698783503) | 250415531 |
| &nbsp;&nbsp;&nbsp;*- financial liabilities designated at fair value* | 1670967887 | 866112267 |
| &nbsp;&nbsp;&nbsp;- other liabilities | 33504101 | (1567943545) |
| &nbsp;&nbsp;&nbsp;**Net cash inflow/outflow from operating activities** | **(366692971)** | **(2499999910)** |
| **B.CASH FLOW FROM INVESTING ACTIVITIES** |  |  |
| **1.Cash generated from:** | **808006722** | **527759408** |
| &nbsp;&nbsp;&nbsp;- disposal of shareholdings | 2090 |  |
| &nbsp;&nbsp;&nbsp;- dividends received in respect of equity investments | 808004632 | 527323408 |
| &nbsp;&nbsp;&nbsp;- disposals of tangible assets |  | 427000 |
| &nbsp;&nbsp;&nbsp;- disposals of intangible assets |  | 9000 |
| &nbsp;&nbsp;&nbsp;- disposals of business units |  |  |
| **2.Cash outflows arising from:** | **(269322771)** | **(21600061)** |
| &nbsp;&nbsp;&nbsp;- purchases of shareholdings | (261798771) | (16251061) |
| &nbsp;&nbsp;&nbsp;- purchases of tangible assets | (7086000) | (3714000) |
| &nbsp;&nbsp;&nbsp;- purchases of intangible assets | (438000) | (1635000) |
| &nbsp;&nbsp;&nbsp;- purchases of business units |  |  |
| &nbsp;&nbsp;&nbsp;**Net cash inflow/outflow from investing activities** | **538683951** | **506159347** |
| **C.CASH FLOW FROM FUNDING ACTIVITIES** | **(1318185045)** | **(629088810)** |
| &nbsp;&nbsp;&nbsp;- issue/purchase of treasury shares | (187594810) |  |
| &nbsp;&nbsp;&nbsp;- issue/purchase of equity instruments |  |  |
| &nbsp;&nbsp;&nbsp;- distribution of dividends and other purposes | (1130590235) | (629088810) |
| &nbsp;&nbsp;&nbsp;**Net cash inflow/outflow from funding activities** | **(1318185045)** | **(629088810)** |
| &nbsp;&nbsp;&nbsp;**NET CASH INFLOW/OUTFLOW DURING THE PERIOD** | **(1146194065)** | **(2622929373)** |

---

418 \| Individual financial statements as at 30 June 2024

**Reconciliation**

---

| | | |
|:---|:---|:---|
| | **Amount** | **Amount** |
| <br>**Accounting items** | **30 June 2024** | **30 June 2023** |
| Cash and cash equivalents: balance at start of period | 4426851422 | 7049780795 |
| Total cash inflow/outflow during the period | (1146194065) | (2622929373) |
| Cash and cash equivalents: exchange rate effect |  |  |
| Cash and cash equivalents: balance at end of period | 3280657357 | 4426851422 |

---

Mediobanca S.p.A. Financial Statements \| 419

NOTES TO THE ACCOUNTS

![](tm2518026d1_ex99-6img012.jpg)

**NOTES TO THE ACCOUNTS**

---

| | | |
|:---|:---|:---|
| **Part A - Accounting Policies** | **Part A - Accounting Policies** | **423** |
| **A.1 - General part** | **A.1 - General part** | **423** |
| Section 1 - | Statement of Compliance with IAS/IFRS | 423 |
| Section 2 - | General Principles | 423 |
| Section 3 - | Events Subsequent to the Reporting Date | 429 |
| Section 4 - | Other Aspects | 429 |
| **A.2 - Significant accounting policies** | **A.2 - Significant accounting policies** | **430** |
| **A.3 - Information on transfers between financial asset portfolios** | **A.3 - Information on transfers between financial asset portfolios** | **455** |
| **A.4 - Information on fair value** | **A.4 - Information on fair value** | **456** |
| **A.5 - Information on "Day One Profit/Loss"** | **A.5 - Information on "Day One Profit/Loss"** | **473** |
| **Part B - Notes to the Balance Sheet** | **Part B - Notes to the Balance Sheet** | **474** |
| **Assets** | **Assets** | **474** |
| Section 1 - | Heading 10: Cash and Cash Equivalents | 474 |
| Section 2 - | Heading 20: Financial Assets Measured at Fair Value through Profit or Loss | 475 |
| Section 3 - | Heading 30: Financial Assets Measured at Fair Value through Other Comprehensive Income | 479 |
| Section 4 - | Heading 40: Financial Assets Measured at Amortized Cost | 480 |
| Section 5 - | Heading 50: Hedging Derivatives | 484 |
| Section 7 - | Heading 70: Equity Investments | 485 |
| Section 8 - | Heading 80: Property, Plant and Equipment | 488 |
| Section 9 - | Heading 90: Intangible Assets | 492 |
| Section 10 - | Asset Heading 100 and Liability Heading 60: Tax Assets and Liabilities | 494 |
| Section 12 - | Heading 120: Other Assets | 497 |
| **Liabilities** |  | **498** |
| Section 1 - | Heading 10: Financial Liabilities Measured at Amortized Cost | 498 |
| Section 2 - | Heading 20: Trading Liabilities | 501 |
| Section 3 - | Heading 30: Financial Liabilities Designated at Fair Value | 502 |
| Section 4 - | Heading 40: Hedging Derivatives | 503 |
| Section 6 - | Heading 60: Tax Liabilities | 504 |
| Section 8 - | Heading 80: Other Liabilities | 504 |
| Section 9 - | Heading 90: Provision for Statutory End-of-service Payments | 504 |
| Section 10 - | Heading 100: Provisions for Risks and Charges | 505 |
| Section 12 - | Headings 110, 130, 140, 150, 160, 170 and 180: Net Equity | 508 |
| **Other information** | **Other information** | **511** |

---

Mediobanca S.p.A. Financial Statements \| 421

---

| | | |
|:---|:---|:---|
| **Part C - Notes to the Profit and Loss Account** | **Part C - Notes to the Profit and Loss Account** | **515** |
| Section 1 - | Headings 10 and 20: Net Interest Income | 515 |
| Section 2 - | Headings 40 and 50: Net fee and commission income | 517 |
| Section 3 - | Heading 70: Dividends and Similar Income | 519 |
| Section 4 - | Heading 80: Net Trading Income (Expense) | 519 |
| Section 5 - | Heading 90: Net Hedging Income (Expense) | 520 |
| Section 6 - | Heading 100: Net Gains (Losses) on Disposals/Repurchases | 521 |
| Section 7 - | Heading 110: Net Gains (Losses) on Other Financial Assets and Liabilities Measured at Fair Value through Profit or Loss | 522 |
| Section 8 - | Heading 130: Net value adjustments for credit risk | 523 |
| Section 10 - | Heading 160: Administrative Expenses | 524 |
| Section 11 - | Heading 170: Net Transfers to Provisions for Risks and Charges | 525 |
| Section 12 - | Heading 180: Net value adjustments to/write-backs of tangible assets | 526 |
| Section 13 - | Heading 190: Net value adjustments to/write-backs of intangible assets | 527 |
| Section 14 - | Heading 200: Other Operating Income (Expense) | 527 |
| Section 15 - | Heading 220: Gains (Losses) on Equity Investments | 528 |
| Section 19 - | Heading 270: Income Tax on Ordinary Activities | 528 |
| Section 22 - | Earning per share | 529 |

---

---

| | | |
|:---|:---|:---|
| **Part D - Other Comprehensive Income** | **Part D - Other Comprehensive Income** | **530** |
| **Part E - Information on Risks and Related Hedging Policies** | **Part E - Information on Risks and Related Hedging Policies** | **531** |
| Section 1 - | Credit Risk | 532 |
| Section 2 - | Market Risk | 576 |
| Section 3 - | Derivative Instruments and Hedging Policies | 591 |
| Section 4 - | Liquidity Risk | 604 |
| Section 5 - | Operational Risk | 608 |

---

---

| | | |
|:---|:---|:---|
| **Part F - Information on Capital** | **Part F - Information on Capital** | **612** |
| Section 1 - | Capital of the Company | 612 |
| Section 2 - | Own Funds and Banking Supervisory Ratios | 614 |
| **Part G - Combinations Involving Group Companies or Business Units** | **Part G - Combinations Involving Group Companies or Business Units** | **619** |
| **Part H - Related Party Transactions** | **Part H - Related Party Transactions** | **620** |
| **Part I - Share-Based Payment Schemes** | **Part I - Share-Based Payment Schemes** | **623** |
| **Part M - Disclosure on Leases** | **Part M - Disclosure on Leases** | **627** |

---

422 \| Individual financial statements as at 30 June 2024

**Part A - Accounting Policies**

**A.1 - General Part**

**SECTION 1**

**Statement of Compliance with IAS/IFRS**

The Bank's financial statements as at 30 June 2024, as required by Italian Legislative Decree No. 38 of 28 February 2005, were drawn up in accordance with the International Financial Reporting Standards (IFRS) and International Accounting Standards (IAS) issued by the International Accounting Standards Board (IASB), and the respective interpretations issued by the International Financial Reporting Interpretations Committee (IFRIC), which were adopted by the European Commission in accordance with the procedure laid down in Article 6 of Regulation (EC) No. 1606/2002 issued by the European Parliament and Council on 19 July 2002. In particular, account was taken of the "Instructions on preparing statutory and consolidated financial statements for banks and financial companies which control banking groups" issued by the Bank of Italy under Circular No. 262 of 22 December 2005 - eighth update of 17 November 2022<sup>(2)</sup> - which define the structure to be used in compiling and preparing the financial statements and the contents of the notes to the accounts. This report was drawn up in accordance with the provisions of Article 154-*ter* of Legislative Decree No. 58 of 24 February 1998 (Italian Consolidated Law on Finance).

**SECTION 2**

**General Principles**

These individual financial statements comprise:

– individual balance sheet;

– individual income statement;

– individual statement of other comprehensive income;

<sup>(2)</sup> The eighth update published on 17 November 2022 transposed the regulatory changes of IFRS 17 "Insurance Contracts".

Notes to the accounts \| Part A - Accounting policies \| 423

– statement of changes in individual net equity;

– individual cash flow statement, drawn up using the direct method;

– notes to the accounts.

All the statements have been drawn up in conformity with the general principles provided for under IAS and the accounting policies illustrated in part A.2, and show data for the period under review compared with that for the previous financial year in the case of balance-sheet figures or the corresponding period of the previous financial year for profit-and-loss data.

\* \* \*

During the year under review, the European Commission approved the following regulations, which include certain changes to accounting standards already in force:

Regulation 2023/2468 of 8 November 2023, published in the Official Journal of the European Union on 9 November 2023, adopted amendments to IAS 12 "Income Taxes". These amendments added a temporary exception to account for deferred taxes resulting from the implementation of OECD Pillar II rules, as well as targeted disclosures for the entities involved.

In particular, the following are required:

temporary exception to the requirement to account for deferred taxes immediately following publication of the amendments by the IASB and retrospectively in accordance with IAS 8 - Accounting Policies, Changes in Accounting Estimates and Errors; and

obligation to disclose the additional information required by the Regulation from the financial statements for years starting on 1 January 2023 or later; it is not necessary to apply additional disclosure provisions to interim financial statements relating to interim periods ending on 31 December 2023 or before;

Regulation 2023/2579 of 20 November 2023, published in the Official Journal of the European Union on 21 November 2023, adopted amendments to IFRS 16 "Leasing". In particular, such amendments specify how the transferor/lessee should subsequently measure the value of sale and leaseback transactions. Companies should apply these amendments at the latest from the start date of their first financial year starting on 1 January 2024 or later;

424 \| Individual financial statements as at 30 June 2024

Regulation 2023/2822 of 19 December 2023, published in the Official Journal of the European Union on 20 December 2023, adopted amendments to IAS 1 "Presentation of Financial Statements". These amendments improve the information a company should provide when its right to defer settlement of a liability for at least 12 months is subject to covenants. The required changes should, at the latest, be applied from the start date of the first financial year after 1 January 2024;

Regulation (EU) 2024/1317 of the Commission of 15 May 2024, published in the Official Journal Series L of 16 May 2024, adopts "Supplier finance arrangements" amending IAS 7 *Statement of cash flows* and IFRS Financial *instruments: additional information.* The document introduces disclosure requirements on a company's supplier finance arrangements. Companies will apply the amendments at the latest from the financial statements for years beginning on or after 1 January 2024.

Furthermore, it should be remembered that as of 1 July 2023 the Mediobanca Group has been applying Regulation 2022/357 of 2 March 2022, which adopted the amendments to standards IAS 1 and IAS 8. The amendments clarify the differences between accounting principles and accounting estimates in order to ensure a consistent adoption of accounting standards and the comparability of financial statements.

\* \* \*

Notes to the accounts \| Part A - Accounting policies \| 425

The measures and statements published by regulatory and supervisory authorities in the past twelve months regarding the most suitable way to apply accounting standards that supplement the measures contained in the latest financial statements at 30 June 2023 are shown below. Please refer to the above financial statements for more details.

On 25 October 2023, ESMA published the annual statement "European Common Enforcement Priorities for 2023 Annual Financial Reports" outlining the priorities on which listed companies must focus when preparing the annual reports for December 2023. ESMA in particular recommends disclosure to be provided in the financial statements relating to any direct or indirect effects of sudden increases in interest rates on the composition of a company's exposures between variable and fixed rates, accompanied by a sensitivity analysis, if any; the effects of the greater volatility brought by the macroeconomic scenario on fair value estimates; any material effects on financial disclosure due to climate change, while ensuring that such disclosure is provided in line with IFRS standards; and the need for clear and consistent use of alternative performance measures (APMs). Finally, in the same document, ESMA also focused on ESEF tagging, in particular on the priority use of mandatory and previously existing elements in the taxonomy; it specified that the company may proceed with the creation of a special element only in the event that a careful analysis has found that there is no suitable tag for a certain numerical "data point".

**Going-concern statement**

With reference to the requirements of the Bank of Italy, CONSOB and ISVAP under Joint Document No. 4 of 3 March 2010, the Group's consolidated financial statements at 30 June 2024 were prepared on a going-concern basis: the Directors believe that no risks and uncertainties have arisen such as to raise doubts on the Group's going-concern assumption. The Directors consider that the Bank has a reasonable expectation of continuing to operate in the foreseeable future.

For information on the Bank's risks and related safeguards, please refer to the contents of "Part E - Information on risks and related hedging policies" in these Notes to the Accounts and in the Bank's Review of Operations.

426 \| Individual financial statements as at 30 June 2024

**Discretionary assessments, risks and uncertainties linked to the use of significant accounting estimates**

In compliance with IFRS, senior management are required to formulate assessments, estimates and assumptions that may influence the adoption of the accounting standards and the amounts of assets, liabilities, costs and revenues recognized in the financial statements, as well as the disclosure relating to contingent assets and liabilities.

The assumptions underlying such estimates take into account all the information available at the date of preparation of the financial statements, as well as assumptions considered reasonable, including in light of past experience.

In this regard, it should be noted that financial estimates may, due to their very nature and insofar as reasonable, need to be revised as a result of changes in the circumstances on which they have been based, of the availability of new information or of greater experience accrued.

The main cases requiring the use of subjective assessments and opinions on the part of senior management are as follows:

a) quantification
 of losses due to the impairment of receivables and, in general, of other financial assets;

b) assessment
 of the fair value of equity investments and other non-financial assets (goodwill, tangible
 assets, including the value in use of assets acquired under lease, and intangible assets);

c) use
 of valuation models to measure the fair value of financial instruments not listed on
 active markets;

d) estimates
 of liabilities deriving from company defined benefit retirement plans;

e) quantification
 of legal and fiscal provisions for risks and charges.

The above list of valuation processes is provided for the sole purpose of allowing the reader to better understand the main areas of uncertainty, but it should not be understood in any way to suggest that alternative assumptions may, at present, be more appropriate. For the most relevant items being estimated, information on the main hypotheses and assumptions used in the estimate is provided in the specific sections of the Notes to the Accounts, including a sensitivity analysis with respect to alternative hypotheses.

Notes to the accounts \| Part A - Accounting policies \| 427

**BAPA (Bilateral Advance Pricing Agreements)**

In the Transfer Pricing area, Penalty Protection rules ensure exemption from administrative penalties due to misrepresentation and apply in the event that the taxpayer is in possession of documentation that ensures verification of compliance with the transfer pricing arm's length principle applied to cross-border intercompany transactions. In order to ensure that such rules are applied, in addition to preparing and updating their Country-Specific Documentation and Master File according to regulatory provisions, Mediobanca S.p.A. and Mediobanca International S.A. submitted an application in June for a bilateral advance pricing arrangement (BAPA) between the Italian Revenue Agency and the competent Luxembourg Authority. The application filed with the Italian Revenue Agency was declared admissible last July.

**Corporate Sustainability Reporting Directive (CSRD) Project**

The continuous evolution of European legislation on sustainability reporting, together with requests to adhere to various reporting standards on an optional basis, led the Mediobanca Group to launch a multi-year project focused on Group ESG Reporting standards starting in 2021 with the aim of creating an integrated approach capable of meeting the new regulatory requirements and emerging best practices across the Bank.

In the first two years, the project focused on:

definition of standard solutions for the preparation of the tables required by Article 8 of the Delegated Act of the EU Taxonomy and the quantitative tables and qualitative tables required by Pillar 3 in the ESG field;

– industrialization of the related indicators, including GAR (in view of alignment with the taxonomy), and drafting the first off-balance sheet disclosure;

– preparation of internal regulations for the drafting of the disclosure statement (e.g. Pillar 3, PRB Report, TCFD Report); and finally;

– definition of solutions once such activities are fully operational.

During the financial year under review, a gap analysis was carried out to assess the degree of alignment between the new disclosure obligations according to the ESRS and the contents of the Group's current non-financial reports (in particular the DCNF) in view of the entry into force of the CSRD, whose reporting

428 \| Individual financial statements as at 30 June 2024

requirement should be met by the Group as of 30 June 25. Preparatory activities for drafting / implementing the future Sustainability Statement should be noted, including: initial analyses for the implementation of double materiality and IT tool assessments for an even more solid management of data collection.

With specific reference to "Double Materiality" (the new analysis provided for by ESRS standards that requires the identification of impacts, risks and opportunities relevant to sustainability reporting), the Group started to refine the criteria to align its "impact materiality" with the requirements of the new standard by examining in depth the principles relating to the "financial relevance of ESG issues" (second area required for the implementation of the aforementioned analysis).

**SECTION 3**

**Events subsequent to the reporting date**

No other events requiring an adjustment to be made to the data shown in the individual Financial Statements at 30 June 2024 occurred after such date.

**SECTION 4**

**Other Aspects**

In compliance with Directive (EC) 2004/109 (Transparency Directive) and Delegated Regulation (EU) 2019/815 (the "ESEF Regulation"), this document was drawn up in XHTML and the consolidated financial statements were "marked up" using the integrated computer language iXBRL, approved by ESMA.<sup>(3)</sup> The entire document was lodged at the company offices and with the competent institutions as pursuant to the law.

<sup>(3)</sup> However, issuers may still continue to publish their Financial Statements in other formats (i.e. PDF). Finally, it should be noted that some information contained in the Notes to the Financial Statements when extracted from the XHTML format in an XBRL instance, due to certain technical limitations, may not be reproduced identically, compared to the corresponding information displayed in the consolidated financial statements in XHTML format.

Notes to the accounts \| Part A - Accounting policies \| 429

The Bank's individual financial statements are accompanied by the Declaration of the Financial Reporting Officer pursuant to Article 154-bis of the Italian Law on Finance and are subject to audit by the independent auditing firm EY S.p.A., according to the provisions of Legislative Decree No. 39 of 27 January 2010.

**A.2 – Significant Accounting Policies**

**1 - Financial assets measured at fair value through profit or loss**

These include financial assets held for trading and other financial assets mandatorily measured at fair value, and assets for which the Fair Value Option has been adopted.

Financial assets held for trading are assets which have been acquired principally for the purpose of being traded. This category comprises debt securities, equities, loans held for trading purposes, and the positive value of derivatives held for trading, including those embedded in complex instruments (such as structured bonds), which are recorded separately. This category also includes syndicated loan underwriting commitments in the event of a positive value.

Assets mandatorily measured at fair value include financial assets that are not held for trading but are mandatorily measured at fair value through profit or loss given the fact that they do not meet the requirements to be measured at amortized cost or at fair value through other comprehensive income. In particular, as clarified by the IFRS Interpretation Committee, this category includes units in mutual investment funds.<sup>(4)</sup>

With regard to financial assets mandatorily measured at fair value, the organizational model, the monitoring process and the method that the Bank applies in order to classify, measure and verify the valuation of OICs as instruments accounted for at Fair Value were defined during the financial year under review in compliance with Community Regulations (see section A.4 for further details).

Initial recognition occurs at the settlement date for securities and loans and at the subscription date for derivatives. At initial recognition, such financial assets are booked at fair value not including any transaction expenses or income

<sup>(4)</sup> The IFRS Interpretation Committee's clarification rules out any possibility of such instruments being treated as equities.

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directly attributable to the asset concerned, which are taken through the profit and loss account. Following their initial recognition, they will continue to be measured at fair value, and any changes in fair value will be recognized in the profit and loss account. Interest on instruments mandatorily measured at fair value will be recognized according to the interest rate stipulated contractually. Dividends paid on equity instruments will be measured through profit or loss when the right to collect them becomes effective.

Equities and linked derivatives whose fair value may not be reliably measured using the methods described above are stated at cost (these too qualify as Level 3 assets). If the assets suffer impairment, they are written down to their current value.

Gains and losses upon disposal or redemption and the positive and negative effects of changes in fair value over time are recognized in the profit and loss account under the respective headings.

Assets held for trading mandatorily measured at fair value also include loans which do not guarantee full repayment of principal in the event of the counterparty's financial difficulties and which have therefore failed the SPPI test. The process followed to write down these positions is aligned with that used for other loans, on the grounds that the exposure is basically attributable to credit risk, with both the gross exposure and related provisioning stated.

This item also includes financial assets designated at fair value upon initial recognition with the aim of eliminating or significantly reducing a valuation inconsistency. This case in particular concerns the related portfolio of assets and liabilities required by applying the business model for managing equity-linked certificates where changes in own credit risk and realizations are recognized through profit or loss to eliminate the accounting mismatch.

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**2 - Financial assets measured at fair value through other comprehensive income**

These are financial instruments, mostly debt securities, which meet both the following conditions:

– the instruments are held on the basis of a business model whose objective is the collection of contractual cash flows and of proceeds deriving from the sale of such instruments;

– the contractual terms have passed the SPPI test.

Financial assets measured at fair value through other comprehensive income (FVOCI) are recognized at fair value, including transaction costs and income directly attributable to them. Thereafter, they will continue to be measured at fair value. Changes in fair value are measured through other comprehensive income, while interest and currency exchange gains/losses are recorded in the profit and loss account (in the same way as financial instruments measured at amortized cost).

Expected losses of financial assets measured at fair value through other comprehensive income (debt securities and loans and advances to customers) are calculated (as per the impairment process) in the same way as those of financial assets measured at amortized cost, with the resulting value adjustment recorded in the profit and loss account.

Retained earnings and accumulated losses recorded in other comprehensive income will be measured through profit or loss when the instrument is removed from the balance sheet.

The category also includes equities not held for trading which meet the definition provided by IAS 32, and which the Bank decided to classify irrevocably in this category at the initial recognition stage. As the instruments in question are equities, they are not subject to impairment and no gains/losses on equities will be measured through profit or loss, including following the sale of the instrument. Conversely, dividends on the instruments will be measured through profit or loss when the right of collection takes effect.

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**3 - Financial assets measured at amortized cost**

These include loans and advances to customers and banks, debt securities and repo transactions which meet the following conditions:

the financial instrument is held and managed according to the hold-to-collect business model, i.e. with the objective of holding it in order to collect the cash flows provided for in the contract;

such contractual cash flows consist entirely of payment of principal amount and interest (and therefore meet the requirements set by the SPPI test).

This heading also includes receivables originated from finance leases, the valuation and classification rules for which are governed by IFRS 16 (cf. below), even though the impairment rules introduced by IFRS 9 apply for valuation purposes.

The Bank's business model should reflect the ways in which financial assets are managed at a portfolio level and not at the instrument level, on the basis of factors observable at the portfolio level and not at the instrument level, such as the following:

– operating procedure adopted by management in the performance evaluation process;

– risk type and procedure for managing risks taken, including indicators for portfolio rotation;

– means for determining remuneration mechanisms for risk-takers.

The business model is based on expected reasonable scenarios (without considering "worst case" and "stress case" scenarios). In the event of cash flows differing from those estimated at initial recognition, the Bank is not bound to change the classification of financial instruments forming part of the portfolio, but uses the information for deciding the classification of new financial instruments.<sup>(5)</sup>

At initial recognition, the Bank analyses contractual terms for the instruments to check whether the instrument, product or sub-product has passed the SPPI test. In this connection, the Group has developed a standardized testing process

<sup>(5)</sup> These considerations are stated in the internal management policies, which reiterate the link between business model and accounting treatment and introduce frequency and materiality thresholds for changes in portfolios of assets measured at amortized cost.

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which involves analysing loans by using a specific tool, developed internally, which is structured in decision-making trees, at the level of the individual financial instrument or product based on their different degrees of customisation. If the test is not passed, the tool will show that the assets should be measured at fair value through profit or loss (FVTPL). The method by which loans are tested differs according to whether or not the asset is a retail or corporate loan: at product level for retail loans, individually for corporate loans. An external info-provider is used to test debt securities; if, however, no test results are available, the instrument is analysed using the SPPI tool. When contractual cash flows for the instrument do not represent solely payments of principal and interest on the outstanding amount, the Bank mandatorily classifies the instrument at fair value through profit or loss.

At the initial recognition date, financial assets are measured at fair value, including any costs or income directly attributable to individual transactions that can be established from the outset even if they are actually settled at later stages. The recognition value does not, however, factor in costs with the above characteristics which are repaid separately by the borrower, or may be classified as ordinary internal administrative expenses.

The instrument is measured at amortized cost, i.e. the initial value less/plus the repayments of principal made, write-downs/write-ups, and amortization – calculated using the effective interest rate method – of the difference between the amount disbursed and the amount repayable at maturity, adjusted to reflect expected losses.

The amortized cost method is not used for short-term receivables, as the discounting effect is negligible; for this reason, such receivables are recognized at historical cost. The original effective interest rate is defined as the rate of interest which renders the discounted value of future cash flows deriving from the loan or receivable by way of principal and interest equal to the initial recognition value of the loan or receivable.

The original effective interest rate for each loan will remain unchanged in subsequent years, even if new terms are negotiated leading to a reduction to below market rates, including non-interest-bearing loans. The relevant value adjustment is recognized in the profit and loss account.

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In accordance with the provisions of IFRS 9, the impairment model involves financial assets being classified at one of three different risk stages (Stage 1, Stage 2 and Stage 3), depending on developments in the borrower's credit quality, to which different criteria for measuring expected losses apply. Accordingly, financial assets are split into the following categories:

Stage 1: this includes exposures at their initial recognition date for as long as there is no significant impairment to their credit quality; for such instruments, the expected loss should be calculated depending on default events which may occur within twelve months of the reporting date;

Stage 2: this includes exposures which, while not classified as non-performing as such, have nonetheless experienced significant impairment to their credit quality since the initial recognition date; in the transition from Stage 1 to Stage 2, the expected loss will be calculated for the outstanding life of the instrument;

Stage 3: this category consists of non-performing (impaired) exposures according to the definition provided in the regulations. In the transition to Stage 3, exposures are valued individually, that is, the value adjustment is calculated as the difference between the carrying value at the reference date (amortized cost) and the discounted value of the expected cash flows, which are calculated by applying the original effective interest rate. The expected cash flows consider the anticipated collection times, the probable net realizable value of any guarantees, and the costs which are likely to be incurred for the recovery of the credit exposure from a forward-looking perspective which factors in alternative recovery scenarios and developments in the economic cycle.

In the model for calculating expected losses applied by the Bank, forward-looking information was taken into consideration by referring to three possible macroeconomic scenarios (baseline, mild-positive and mild-negative) that may have an impact on PD and LGD, including any sales scenarios where the Group's NPL strategy considers that such assets should be recovered through sale on the market.

The Group's policy to establish a significant increase in credit risk is based on qualitative and quantitative criteria and uses the 30-day past due loans or their classification as forborne as conditions to be otherwise included in Stage

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2 (referred to as backstop indicators). Cases of low-risk instruments at the recording date are identified, compatible with classification as Stage 1 (low credit risk exemption), where there is a BBB- rating on the Standard & Poor's scale, or a corresponding internal PD estimate.

Purchased or originated credit impaired items (POCIs) are receivables that are already non-performing at the point in time when they are acquired or disbursed. At the initial recognition date they are measured at amortized cost on the basis of an internal rate of return which is calculated using an estimate of the recovery flows expected for the item; recovery flows are periodically updated in light of new evidence and discounted using the above-mentioned internal rate of return.

Following initial recognition, all financial assets measured at amortized cost are subject to the impairment model based on the expected loss, i.e. performing as well as non-performing exposures.

Impairment regards losses which are expected to materialize in the twelve months following the reporting date, or losses which are expected to materialize throughout the rest of the instrument's lifetime in the event of a significant increase in credit risk. Both the twelve-month and lifetime expected losses can be calculated on an individual or collective basis according to the nature of the underlying portfolio.

Expected credit losses are recorded and released only to the extent that changes have occurred. For financial instruments considered to be in default, the Group records an expected loss on the residual lifetime of the instrument (similar to Stage 2 above); value adjustments are determined for all the exposures of the different categories considering forecast information reflecting macro-economic factors (forward-looking approach).

**4 - Hedging**

With reference to hedging transactions, the Bank has chosen to adopt the provisions of IFRS 9 and not to make use of the exception granted, i.e. to continue

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to apply the IAS 39 rules to these transactions, with the exception of the specific cases set forth in IFRS 9 (para. 6.1.3)<sup>(6)</sup> and not governed by the same.

The types of hedges used by the Bank are the following:

– fair value hedges, which aim to offset the exposure to changes in the fair value of a financial item or homogeneous group of assets in terms of risk profile;

cash flow hedges, which are intended to offset the exposure of recognized assets and liabilities to changes in future cash flows attributable to specific risks relating to the items concerned;

– hedges of foreign investments in currencies other than the Euro: these refer to the hedging of risks in an investment in a non-Italian company denominated in a foreign currency.

For the process to be effective, the item must be hedged with a counterparty from outside the Group.

Hedge derivatives are measured at fair value as follows:

for fair value hedges, a change in the fair value of the hedged item is offset by the change in fair value of the hedging instrument, both of which recognized in the profit and loss account, should a difference emerge as a result of the partial ineffectiveness of the hedge;

for cash flow hedges, a change in fair value is recognized in net equity for the effective portion of the hedge and in the profit and loss account only when, with reference to the hedged item, the change in the cash flows to be offset actually occurs.

Hedge accounting is permitted for derivatives where the hedging relationship is formally designated and documented and provided that the hedge is effective at its inception and is expected to be so for its entire life.

At inception, the Bank formally designates and documents the hedging relationship, with an indication of the risk management objectives and strategy for the hedge. The documentation includes identification of the hedging instrument, the item hedged, the nature of the risk hedged and how the entity

<sup>(6)</sup> IFRS 9 par. 6.1.3: "For a fair value hedge of the interest rate exposure of a portfolio of financial assets or financial liabilities (and only for such a hedge), an entity may apply the hedge accounting requirements in IAS 39 instead of those in this Standard. In that case, the entity must also apply the specific requirements for the fair value hedge accounting for a portfolio hedge of interest rate risk and designate as the hedged item a portion that is a currency amount (see paragraphs 81 A, 89 A and AG114–AG132 of IAS 39)."

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intends to assess if the hedging relationship meets the requisites for the hedge to be considered effective (including analysis of the sources of any ineffectiveness and how this affects the hedging relationship). The hedging relationship meets the eligibility criteria for accounting treatment reserved for hedges if, and only if, the following conditions are met:

– the effect of the credit risk does not prevail over the changes in value resulting from the economic relationship;

the coverage provided by the hedging relationship is the same as the coverage which results from the quantity of the item hedged which the entity effectively hedges, and the quantity of the hedge instrument which the Bank actually uses to hedge the same quantity of the item hedged.

*Fair value hedges*

As long as the fair value hedge meets the qualifying criteria, the gain or loss on the hedging instrument must be recognized in the profit and loss account or under one of the other comprehensive income headings if the hedging instrument hedges another equity instrument for which the Bank has chosen to measure changes in fair value through OCI. The hedge profit or loss on the hedged item is recorded as an adjustment to the book value of the hedge with a matching entry through the profit and loss account, even in cases where the item hedged is a financial asset (or one of its components) measured at fair value with changes taken through OCI. However, if the hedged item is an equity instrument for which the entity has opted to measure changes in fair value through OCI, the amounts remain in the statement of other comprehensive income.

If the hedged item is an unrecognized irrevocable commitment (or a component thereof), the cumulative change in fair value of the hedged item resulting from its designation is recognized as an asset or liability with a corresponding gain or loss recorded in the profit (loss) for the period.

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*Cash flow hedges*

As long as the cash flow hedge meets the qualifying criteria, it is accounted for as follows:

the gain or loss on the hedging instrument in relation to the effective portion of the hedge is measured through OCI in the cash flow reserve, whereas the ineffective part is measured through profit or loss.

– the cash flow reserve is adjusted to the lower of:

– the cumulative gain or loss on the hedge instrument since the hedge's inception; and

the cumulative change in fair value (at the present value) of the hedged item (i.e. the present value of the cumulative change in the estimated future cash flows hedged) since the hedge's inception.

The cumulative amount in the cash flow hedge reserve will be reclassified from the cash flow hedge reserve to profit (loss) for the period as a reclassification adjustment in the same period or periods in which the estimated future cash flows being hedged have an impact on the profit (loss) for the period (e.g. in periods when interest receivable or payable are recorded, or when the planned sale takes place). However, if the amount constitutes a loss and the entity does not expect to recover the whole loss or part of it in one or more future periods, the entity must classify the amount it does not expect to recover in the profit (loss) for the period (as an adjustment due to reclassification) immediately.

*Foreign currency investment hedges*

As far as it complies with eligibility criteria, a cash flow hedge is accounted for in the following ways:

– the portion of gain or loss on the hedging instrument that results in an effective hedge is booked into Other Comprehensive Income; and

– the ineffective share is booked through profit or loss.

The cumulative gain or loss on the hedging instrument related to the effective part of the

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hedge which had been accumulated into the foreign currency exchange rate reserve will be reclassified from net equity to profit and loss as a reclassification adjustment (see IAS 1), as required by par. 48 and 49 of IAS 21 regarding the partial or total disposal of the foreign investment.

**5 - Investments**

This heading includes investments in:

– Subsidiaries;

Affiliated companies, i.e. companies in which at least 20% of voting rights are held and companies in which the size of the investment is sufficient to ensure an influence in the investee's governance;

– Jointly-controlled companies;

– Other investments of negligible value.

These are measured at cost. If there is evidence that the value of an equity investment may have decreased, the updated value is estimated, where possible, taking into account market prices and the present value of the future cash flows that the investment may generate, including the closing value. If the value thus determined is lower than the book value, the difference is recognized in the profit and loss account.

**6 - Tangible assets**

This heading comprises land, core and investment properties, plant, furniture, fittings and equipment of all kinds. It also includes the R-o-U assets acquired under leases and related use of tangible assets (for lessees) and assets used under the terms of finance leases, despite the fact that such assets remain the legal property of the lessor rather than the lessee.

Assets held for investment purposes refer to investments in real estate, if

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any (whether owned or acquired under leases), which are not core to the Bank's main activities and/or are chiefly leased out to third parties.

The heading also includes tangible assets classified pursuant to IAS 2 – Inventories, namely assets deriving from guarantees being enforced or acquired at an auction which the firm has the intention of selling in the near future, without carrying out any major refurbishment work and which do not fall into any of the previous categories.

Such assets are recognized at historical cost, which, in addition to the purchase price, includes any ancillary charges directly attributable to the purchase and/or commissioning of the asset. Extraordinary maintenance charges are accounted for by increasing the asset's value, while ordinary maintenance charges are recorded in the profit and loss account.

Fixed assets are depreciated over the length of their useful life on a straight-line basis, with the exception of land, which is not depreciated on the grounds that it has unlimited useful life. Properties built on land owned by the Bank are recorded separately on the basis of valuations prepared by independent experts.

At annual and interim reporting dates, where there is objective evidence that the value of an asset may be impaired, its carrying amount is compared to its current value, which is the higher of its fair value after any costs to sell and its related value in use. Adjustments, if any, are recognized in the profit and loss account. If the reasons for recognizing a loss in value no longer apply, the adjustment will be written back, with the proviso that the amount credited may not exceed the value which the asset would have had after depreciation, which is calculated assuming no impairment took place.

**7 - Intangible assets**

These chiefly comprise goodwill, long-term computer software applications and other intangible assets deriving from business combinations subject to IFRS 3R.

Goodwill may be recognized where this is representative of the investee

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company's ability to generate future income. At each reporting date, goodwill recorded as an asset is tested for impairment.<sup>(7)</sup> Any reduction in value due to impairment is calculated as the difference between the initial recognition value of goodwill and its realizable value, the latter being equal to the higher of the fair value of the related cash-generating unit after any costs to sell and its value in use, if any. Any adjustments will be recognized in the profit and loss account.

Other intangible assets are measured at cost, adjusted to reflect ancillary charges only where it is likely that future earnings will derive from the asset and the cost of the asset itself may be reliably determined. Otherwise, the cost of the intangible asset is booked through the profit and loss account in the year in which the expense was incurred.

The cost of intangible assets is amortized on a straight-line basis over the useful life of the related asset, which is verified annually and reviewed if necessary. If its useful life is indefinite the cost of the asset is not amortized, but the value at which it is initially recognized is tested for impairment on a regular basis.

At annual and interim reporting dates, the realizable value of the asset is estimated if there is evidence of impairment.<sup>(8)</sup> The impairment is recognized in the profit and loss account as the difference between the carrying amount and the recoverable value of the asset concerned.

**8 - Non-current assets and asset groups as held for sale (IFRS 5)**

Under assets heading "Non-current assets and asset groups as held for sale" and under liability heading "Liabilities associated with assets held for sale" the Group classifies non-current assets or groups of assets/liabilities whose booking value will be presumably recovered by mean of a sale process. To be classified in

<sup>(7)</sup> The Bank has adopted a policy for the impairment testing process in line with the provisions of Organismo Italiano di Valutazione (OIV, Italian Valuation Board), *Impairment test dell'avviamento in contesti di crisi finanziaria* (Impairment test of goodwill during financial crises) of 14 June 2012, *Principi Italiani di Valutazione* (PIV, Italian Valuation Standards) published in 2015, Discussion Paper of 22 January 2019, Discussion Paper no. 01/2021 issued by Organismo Italiano di Valutazione (OIV) on 16 March 2021. "*L'uso di informazione finanziaria prospettica nella valutazione d'azienda*" (Use of forward-looking financial information in company valuation), Discussion Paper no. 02/2021 issued by Organismo Italiano di Valutazione (OIV) on 16 March 2021. "*Linee Guida per l'Impairment Test dopo gli effetti della pandemia da Covid-19*" (Guidelines for Impairment Tests after the effects of the Covid-19 pandemic), with suggestions published by ESMA, the guidelines of the joint document Bank of Italy, Consob, IVASS (document no.4 of 3 March 2010 and no.8 of 21 December 2018) and various Consob communications and warning notices, as well as with the IOSCO (International Organization of Securities Commissions) Document relating to "Recommendations on Accounting for Goodwill", published in December 2023.

<sup>(8)</sup> Under IAS 36, impairment testing, i.e. tests to ascertain whether or not there has been a loss in the value of individual tangible and intangible assets, must be carried out at least once a year, in conjunction with preparation of the financial statements, or more frequently if events have taken place or materialized that would indicate there has been a reduction in the value of such assets (known as "impairment indicators").

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this heading, assets or liabilities (or disposal groups) should be readily available for sale and selling plans should be identified, which are active and realistic in a way that their completion is considered highly probable. After the classification in the identified heading, these assets are measured at the lower of the booking value and the fair value after costs to sell, with the exception of some categories of assets (i.e. assets falling under the scope of standard IFRS 9) for which IFRS 5 requires specifically that the valuation provisions of the applicable standard should be used. In case of held-for-sale assets to be still depreciated, this process ends when assets are classified in the mentioned heading.

In case of discontinued operations, i.e. the sale of operating assets relating to an important business sector or geographical area, the standard requires gains and losses related thereto to be grouped together, after any tax effect, in the profit and loss heading "320. Gains (losses) of discontinued operating assets, after tax".

If the fair value of assets and liabilities held for sale, after costs to sell, is lower than their book value, a write-off will be calculated and booked through profit or loss.

Non-current assets held for sale and disposal groups are derecognized from the balance sheet when the sale occurs.

**9 - Tax assets and liabilities**

Income taxes are recorded through the profit and loss account, with the exception of tax payable on items debited or credited directly to net equity. Provisions for income tax are calculated on the basis of current, advance and deferred obligations. In particular, prepaid and deferred taxes are calculated on the basis of temporary differences – without time limits – between the value attributed to an asset or liability according to (Italian) statutory regulations and the corresponding values used for tax purposes.

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Advance tax assets are recognized in the balance sheet based on the likelihood of their being recovered.

Deferred tax liabilities are recognized with the exception of tax-suspended reserves, if the size of available reserves previously subjected to taxation is such that it may be reasonably assumed that no transactions will be carried out on the Bank's own initiative that might lead to their being taxed.

Deferred taxes arising upon business combinations are recognized when this is likely to result in an actual charge for one of the consolidated companies.

Tax assets and liabilities are adjusted as and when changes occur in the regulatory framework or in applicable tax rates, inter alia to cover charges that might arise in connection with inspections by or disputes with the tax revenue authorities.

Contributions to Deposits Guarantee Schemes and resolution funds are accounted for according to IFRIC 21.

**10 - Provisions for risks and charges**

These regard risks linked to loan commitments and guarantees issued, and to the Bank's operations which could lead to expenses in the future as well as post-retirement plan provisions (cf. below).

In the first case (provisions for risks and charges to cover commitments and guarantees issued), the amounts set aside are quantified in accordance with the rules on impairment of financial assets measured at amortized cost.

In the other cases the rules of IAS 37 apply, i.e. the potential charge must be estimated reliably; if the time effect is material, provisions are discounted using current market rates; and the provision is recognized in the profit and loss account.

Provisions are reviewed on a regular basis, and where the charges that gave rise to them are deemed unlikely to crystallize, the amounts involved are written back to the profit and loss account in part or in full.

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Withdrawals are only made from provisions to cover the expenses for which the provision was originally set aside.

As permitted by IAS 37, paragraph 92, no precise indication has been given of any contingent liabilities where this could compromise the company in any way.

**11 - Financial liabilities measured at amortized cost**

These include the items Due to banks, Due to customers and Debt securities in issue less any amounts bought back. The heading also includes payables in respect of finance lease transactions, whose valuation and classification rules are governed by IFRS 16 and which are subject to the impairment rules under IFRS 9. For a description of the rules for valuing and classifying lease receivables, see the relevant section.

Initial recognition takes place when funds raised are collected or debt securities are issued, and occurs at fair value, which is equal to the amount collected after transaction costs incurred directly in connection with the liability concerned. After initial recognition, liabilities are measured at amortized cost on the basis of the original effective interest rate, with the exception of short-term liabilities which will continue to be stated at the original amount collected.

Derivatives embedded in structured debt instruments are stripped out from the underlying contract and recognized at fair value when they are not closely correlated to the host instrument. Subsequent changes in fair value are recognized through the profit and loss account.

Financial liabilities are derecognized upon expiry or repayment, even if buybacks of previously issued bonds are involved. The difference between the liabilities' carrying value and the amount paid to repurchase them is recognized through the profit and loss account.

The sale of treasury shares over the market following a buyback (even in the form of repos and securities lending transactions) is treated as a new issue. The new sale price is recorded as a liability without passing through the profit and loss account.

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**12 - Trading liabilities**

This item includes the negative value of trading derivatives and any derivatives embedded in complex instruments. Liabilities for technical overdrafts connected to securities trading activities as well as the negative value of syndicated loan underwriting commitments are also included. All trading liabilities are measured at fair value and changes are taken through the profit and loss account.

**13 - Financial liabilities designated at fair value**

These include the value of financial liabilities designated at fair value through profit or loss, on the basis of the option granted to companies (referred to as "fair value option") by IFRS 9 and in compliance with the cases provided for by such legislation.

Such liabilities are measured at fair value, accounting for earnings according to the following rules laid down in IFRS 9:

– changes in fair value attributable to changes in one's credit quality must be recognized in the Statement of Other Comprehensive Income (Net Equity);

– other changes in fair value must be recognized through profit or loss;

amounts stated in other comprehensive income will not flow through profit or loss.

This method cannot be adopted, however, if the recognition of the effects of the issuer's own credit quality in net equity generates or accentuates an accounting mismatch in profit and loss. In such cases, the profits or losses related to the liability, including those caused as the effect of the change in the issuer's credit quality, must be measured through profit or loss.<sup>(9)</sup>

In compliance with the provisions of IFRS 9, the correlation between assets and liabilities is monitored on an ongoing basis.

<sup>(9)</sup> This case in particular concerns the related portfolio of assets and liabilities concerning the business model for managing the funding of equity-linked certificates aiming to eliminate the accounting mismatch.

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**14 - Foreign currency transactions**

Transactions in foreign currencies are recorded by applying the exchange rates as at the date of the transaction to the amount in the foreign currency concerned.

Assets and liabilities denominated in currencies other than the Euro are translated into Euros using exchange rates prevailing at the reference dates. Differences on cash items due to translation are recorded through the profit and loss account, whereas those on non-cash items are recorded according to the valuation criteria used in respect of the category they belong to (i.e. at cost, through profit or loss or on an equity basis).

The assets and liabilities of non-Italian entities consolidated on a line-by-line basis have been converted at the exchange rate prevailing at the reporting date, whereas the profit-and-loss items have been converted using the average of the average monthly exchange rate readings for the period; any differences emerging after the conversion are recognized among the Net Equity valuation reserves.

**15 - Insurance assets and liabilities**

Insurance assets and liabilities that fall within the scope of IFRS 17 "Insurance Contracts" are classified in this category.

In particular, the asset item "80. Insurance assets" or the liability item "110. Insurance liabilities" include insurance contracts, reinsurance contracts, and investment contracts with issued discretionary profit-sharing features, as defined and regulated by IFRS 17, belonging to portfolios of insurance contracts, based on the net balance of the portfolio to which they belong. Generally, insurance contracts have a negative balance (insurance liabilities), while reinsurance contracts have a positive balance (insurance assets).

At the time of signing the insurance contract<sup>(10)</sup> with the insured party, a liability is recognized whose amount is given by the algebraic sum of the present value of the expected contractual cash flows (Present value of future cash flow

<sup>(10)</sup> An insurance contract is defined as a contract under which one party (the issuer) underwrites a "significant insurance risk" from another party (the insured), agreeing to indemnify the insured in the event that the same suffers damage resulting from a specific uncertain future event (the insured event).

Notes to the accounts \| Part A - Accounting policies \| 447

– "PVFCF") which include the so-called Contractual Service Margin – "CSM", i.e. the present value of expected future profits and the Risk adjustment ("RA") to cover non-financial risks. All contracts are grouped together to identify "portfolios" that have similar risks and which can be managed in a unified manner.

There are two measurement models: General Model - applicable in principle to all contracts, and Variable Fee Approach ("VFA") - applicable in particular to direct profit-sharing contracts. An optional simplified model (Premium Allocation Approach - "PAA") is also provided for the purpose of measuring the residual coverage liability for contracts with a coverage period lasting one year or longer and for all contracts in the event that the measurement is not materially different from the one resulting from applying the General Model.

The insurance liability should be updated at each reporting period to verify the consistency of the estimates made with respect to market conditions. The effects of any updates detected will be recognized in the profit and loss account if the changes refer to current or previous events or to a reduction in the Contractual Service Margin if the changes are due to future events.

With regard to financial assumptions, the principle provides for the option of representing the effects of changes in the profit and loss account or in shareholders' equity (referred to as Other Comprehensive Income Option - OCI).

Lastly, IFRS 17 provides that the insurance contract should be derecognized when, and only when, the contract is extinguished, i.e. when the obligation specified in the insurance contract expires or is discharged or cancelled.

448 \| Individual financial statements as at 30 June 2024

**16 – Other Information**

**Financial liabilities measured at present value of redemption amount**

These consist of financial liabilities originating from agreements to buy out minorities in connection with acquisitions of controlling interests. These items, accounted for in heading "80. Other liabilities" of balance sheet, must be recognized at the present value of the redemption amount.

**Derecognition of assets**

A financial asset must be derecognized from the balance sheet if, and only if, the contractual rights to the cash flows deriving from it have expired, or if the asset has been transferred in accordance with the circumstances permitted under IFRS 9. In such cases, the Bank checks if the contractual rights to receive the cash flows in respect of the asset have been transferred, or if they have been maintained while a contractual obligation to pay the cash flows to one or more beneficiaries continues to exist. It is necessary to check that basically all risks and benefits have been transferred, and any right or obligation originated or maintained as a result of the transfer is recorded separately as an asset or liability where appropriate. If, on the other hand, the Bank retains virtually all risks and benefits, the financial asset must continue to be recorded.

If the Bank has neither transferred nor maintained all risks and benefits, but at the same time has retained control of the financial asset, this continues to be recognized up to the residual interest retained in that asset.

The main forms of activity currently carried out by the Bank which do not require underlying assets to be derecognized are the securitization of receivables, repo trading and securities lending. Conversely, items received as part of deposit bank activity, the return on which is collected in the form of a commission, are not recorded, as the related risks and benefits continue to accrue entirely to the end-investor.

Notes to the accounts \| Part A - Accounting policies \| 449

When a financial asset measured at amortized cost is renegotiated, the Bank derecognizes it only if the renegotiation entails a change of such magnitude that the initial instrument effectively becomes a new one. In such cases, the difference between the original instrument's carrying value and the fair value of the new instrument is measured through profit or loss, taking due account of any previous write-downs. The new instrument is classified as Stage 1 for the purpose of calculating the expected loss (save in cases where the new instrument is classified as a POCI).

In cases where the renegotiation does not result in substantially different cash flows, the Bank will not derecognize the instrument, but the difference between the original carrying value and the estimated cash flows discounted using the original internal rate of return must be measured through profit or loss (taking due account of any provisions already set aside to cover it).

**Leases (IFRS 16)**

An agreement is classified as a lease<sup>(11)</sup> (or contains a lease) based on the substance of the agreement at the execution date. An agreement is, or contains, a lease if its performance depends on the use of a specific good (or goods) and confers the right to use such good (goods) – the "Right of Use" (RoU) – for an agreed period of time and in return for payment of a fee (Lease liabilities). This definition of leasing therefore also includes long-term rentals or hires.

Right-of-use assets are recognized among "Tangible assets", and calculated as the sum of the current value of future payments (which corresponds to the current value of the recognized liability), the initial direct costs, any instalments received in advance or on the effective date of the lease (down payment), any incentives received from the lessor, and estimates of any costs for removing or restoring the asset underlying the lease.

<sup>(11)</sup> Leases in which the Bank is a lessor may be divided into finance leases and operating leases. A lease is defined as a finance lease if all risks and benefits typically associated with ownership are transferred to the lessee. Such leases are accounted for by using the financial method, which involves a receivable being booked as an asset for an amount equal to the amount of the lease, after any expired instalments on principal paid by the lessee, and the interest receivable being taken through the profit and loss account.

450 \| Individual financial statements as at 30 June 2024

The lease liability, which is booked under "Financial liabilities measured at amortized cost", is equal to the discounted value of payments due in respect of the lease discounted, as required by the Standard, to the marginal financing rate, equal for the Bank to the Funds Transfer Pricing rate (FTP) as at the date concerned.

The duration of the lease agreement must not only consider the non-cancellable period established by contract, but also the extension options if their use is considered reasonably certain; in particular, the counterparty's past behaviour, the existence of corporate plans for the disposal of the leased business and any other circumstances indicative of the reasonable certainty of renewal must be considered when providing for automatic renewal.

After initial recognition, right-of-use assets are amortized over the lease duration and written down as appropriate. The liability will be increased by the interest expense accrued and progressively reduced as a result of the payment of fees; in the event of a change in payments, the liability will be recalculated against the right-of-use asset.

For sub-leases, i.e. when an original lease has been replicated with a counterparty, and there are grounds for classifying it as a finance lease, the liability in respect of the original lease is matched by an amount receivable from the sub-lessee rather than the value in use.

**Provisions for statutory end-of-service payments and post-retirement schemes**

Provisions for statutory end-of-service payment qualify as a defined-contribution retirement plan for units accruing from 1 January 2007 (the date on which the reform of supplemental retirement plans came into force under Legislative Decree No. 252 of 5 December 2005), for cases where the employee opts into a supplemental retirement plan, and also for cases where contributions are paid into the treasury fund held with Istituto Nazionale di Previdenza Sociale (INPS, Italian national social security institution). For such payments, the amount accounted for under labour costs is determined on the basis of the contributions due without using actuarial calculation methods.

Notes to the accounts \| Part A - Accounting policies \| 451

Provision for statutory end-of-service payment accrued up to 1 January 2007 qualify as defined benefit retirement plans, and as such will be recorded depending on the actuarial value calculated in line with the projected unit method. Therefore, future payments will be estimated based on past statistical analyses (for example turnover and retirements) and on the demographic curve; these flows will then be discounted according to a market interest rate that takes the market yield of bonds of leading companies as a benchmark taking into account the average residual duration of the liability weighted on the basis of the percentage of the amount paid or advanced for each maturity with respect to the total amount to be paid or advanced until the final settlement of the entire obligation.

Post-retirement plan provisions have been set aside under company agreements and also qualify as defined benefit plans. In this case, the current value of the liability is adjusted by the fair value of any assets to be used under the terms of such plan.

Actuarial gains and/or losses are recorded in the Other Comprehensive Income statement, while the interest component is recognized in the profit and loss account.

**Stock Options, Performance Shares and Long-Term Incentives**

Stock option, performance share and long-term incentive (LTI) schemes operated on behalf of Group staff members and collaborators are treated as a component of labour costs.

Schemes which involve payment through the award of shares are measured through profit or loss, with a corresponding increase in net equity, based on the fair value of the financial instruments allocated at the award date, thus spreading the cost of the scheme throughout the period of time in which the requirements in terms of service have been met and the performance targets, if any, have been achieved.

The overall cost of the scheme is recorded in each financial year up to the date on which the plan vests, so as to reflect the best possible estimate of the number of shares that will actually vest. Requirements in terms of service and performance targets are not considered in determining the fair

452 \| Individual financial statements as at 30 June 2024

value of the instruments awarded, but the probability of such targets being reached is estimated by the Group and this is factored into the decision as to the number of instruments that will vest. Conversely, market conditions will be included in establishing the fair value, whereas conditions unrelated to the requirements in terms of service are considered "non-vesting conditions" and are reflected in the fair value established for the instruments, and result in the full cost of the scheme being recorded in the profit and loss account immediately in the event that no service requirement and/or performance conditions have been met.

In the event of performance or service conditions not being met and the benefit failing to be allocated as a result, the cost of the scheme is written back. However, if any market conditions fail to be reached, the cost must be recorded in full if the other conditions have been met.

In the event of changes to the scheme, the minimum cost to be recorded is the fair value at the scheme award date prior to the change, if the original conditions for vesting have been met. An additional cost, established at the date on which the change is made to the scheme, must be recorded if the change has entailed an increase in the overall fair value of the scheme for the beneficiary.

For schemes which will involve payments in cash upon expiry, the Group records an amount payable equal to the fair value of the scheme measured at the award date of the scheme and at every reporting date thereafter, up to and including the settlement date, with any changes recorded as labour costs.

**Treasury shares**

These are deducted from net equity. Any differences between the initial disbursement upon acquisition and the revenues on disposal are also recognized in net equity.

**Fees and commissions receivable in respect of services**

This heading includes all revenues deriving from the provision of services to customers with the exception of those relating to financial instruments, leases and insurance contracts.

Notes to the accounts \| Part A - Accounting policies \| 453

Revenues from contracts with customers are measured through profit or loss when control over the service is transferred to the customer, in an amount that reflects the fee to which the Bank considers to be entitled in return for the service rendered.

For revenue recognition purposes, the Bank analyses the contracts to establish whether they contain more than one obligation to provide services to which the price of the transaction should be allocated. The revenues are then recorded throughout the time horizon over which the service is rendered, using suitable methods to recognize the measurement in which the service is provided. The Bank also takes into consideration the effects of any variable commissions, and whether or not a significant financial component is involved.

In the event of additional costs being incurred to perform or execute the contract, where such costs meet the requirements of IFRS 15, the Bank will assess whether to capitalize them and then amortize them throughout the life of the contract, or to make use of the exemption provided by IFRS 15 to expense the costs immediately in cases where their amortization period would be complete within twelve months.

**Dividends**

Dividends were recognized through profit or loss in the year in which their distribution was approved.

**Recognition of costs**

Costs are measured through profit or loss in accordance with the revenues to which they refer, except in case their capitalization requirements apply and where provided in order to determine amortized cost. Any other costs which cannot be associated with revenues are accounted for immediately in the profit and loss account.

454 \| Individual financial statements as at 30 June 2024

**Related parties**

Related parties are defined, inter alia in accordance with IAS 24, as follows:

a) individuals
 or entities which, directly or indirectly, exercise significant influence over the Bank;

b) shareholders
 with stakes of 3% or more in the Bank's share capital;

c) legal
 entities controlled by the Bank;

d) associated
 companies, joint ventures and entities controlled by them;

e) key
 management personnel, that is, individuals with powers and responsibilities, directly
 or indirectly, for the planning, direction and control of the Parent Company's
 activities, including the members of the Board of Directors and Statutory Audit Committee;

f) entities
 controlled or jointly controlled by one or more of the entities listed under the foregoing
 letters a), b) and e) and the joint ventures of entities referred to under letter a);

g) close
 family members of the individuals referred to in letters a) and e) above, that is, individuals
 who may be expected to influence them or be influenced by them in their relations with
 Mediobanca (this category includes children, spouses and their children, partners and
 their children, dependants, spouses' dependants and their partners' dependants),
 as well as any entities controlled, jointly controlled or otherwise associated with such
 individuals.

**A.3 – Information on transfers between financial asset portfolios**

*A.3.1* *Reclassification of financial assets: changes to the business model, book value and interest income*

*A.3.2* *Reclassification of financial assets: changes to the business model, Fair Value and effects on other comprehensive income*

*A.3.3* *Reclassification of financial assets: changes to the business model and effective interest rate*

At 30 June 2024, there were no data to be reported for any of the three sections above.

Notes to the accounts \| Part A - Accounting policies \| 455

**A.4 – Information on fair value**

**QUALITATIVE INFORMATION**

**Fair Value**

In line with the international accounting standards, the Fair Value of financial instruments stated in the financial statements is the so-called exit price, i.e. the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions, regardless of whether such price is directly observable or estimated using another valuation technique (IFRS 13, §24).

Fair value, therefore, is "the price that would be received for the sale of an asset or that would be paid for the transfer of a liability in a regular transaction between market operators at the measurement date".

The Fair Value hierarchy of an instrument is a direct consequence of the Fair Value estimation approach: in principle, a financial instrument is considered to be listed on an active market if its price represents its current exchange value in normal, effective and regular market operations.

If the market is not active, the Fair Value of the instrument being estimated is measured by using market prices for similar instruments on active markets (comparable approach) or, in the absence of similar instruments, using a valuation technique that uses market and non-observable information (observable/ unobservable inputs).

The Bank has laid down precise guidelines regarding three key aspects: independent calculation of Fair Value, conducted by the control units; the adoption of any Fair Value adjustments to consider aspects of uncertainty/ liquidity; and classification of financial instruments according to a Fair Value hierarchy based on the level of uncertainty of the valuation. In addition to the book fair value, which affects both the balance sheet and the profit and loss account, the Bank is required to make prudent valuation adjustments in order to calculate prudential requirements.

456 \| Individual financial statements as at 30 June 2024

These guidelines, set out in Policies approved by the Board of Directors and related implementation Directives approved by the competent Committees, were defined in compliance with the main international regulations (IFRS 13<sup>(12)</sup> and CRR art 105<sup>(13)</sup>); the main activities for calculating the exit price of the financial instruments in the portfolio are shown below.<sup>(14)</sup>

It should be noted that a Directive was proposed and approved during the year under review to define the organizational model to be adopted by the Bank in the area of valuation and control of Collective Investment Undertakings for the purposes of Independent Price Verification, fair value and prudent value adjustment methodologies, as well as for classification purposes (observability and levelling). The Directive provides a complete and detailed overview of the procedures and responsibilities involved, ensuring that each phase of the investment process is transparent, accurate and compliant with applicable regulations.

**Independent Price Verification (IPV)**

Independent Price Verification (IPV) is the process through which prices and market data, used to calculate Fair Value and to measure prudent value, are subject to a verification process according to specific accuracy standards defined internally by the Bank. The Independent Price Verification Policy and Directive meet the requirements laid down in Article 105, para. 8 of Regulation (EU) 575/2013, which requires institutions to perform independent price verification in addition to daily marking-to-market or marking-to-model practices and establish and maintain sufficient procedures for providing valuation estimates.

IPV, Independent Price Verification, has the following objectives: formalisation of control methodologies, definition of a market parameter validation approach, definition of the methodologies for quantifying control thresholds, methods and types of escalation and reporting to Senior Management.

<sup>(12)</sup> IFRS 13 establishes guidelines for identifying the exit price by using available prices, valuation models and any corrections (FVA) to consider elements of illiquidity/risk which, if not applied, would lead to overestimating the financial instrument, and the need to classify financial instruments according to the level of objectivity in the computation of fair value (FVH).

<sup>(13)</sup> The guiding principles of the IPV and PVA processes are defined in the CRR Directive, Article 105.

<sup>(14)</sup> It should be emphasized that the accuracy and consistency of these guidelines are subject to rigorous supervision by the Group Audit unit, which verifies the effectiveness and adequacy thereof. Furthermore, a specific internal validation unit has been established, i.e. the Quantitative Risk Methodologies (QRM), which focuses on the validation of the quantitative methods used.

Notes to the accounts \| Part A - Accounting policies \| 457

Verification of the correctness of the valuation will be based on verification of market parameters used for the valuation of instruments that present a risk profile for the Bank and individual Desks by analysing the correct import of data from info providers and the fairness of the financial value through comparison with other info providers, indicative quotations provided by brokers and implicit parameters deduced from such quotations. With regard to illiquid financial instruments, verification should also be performed as regards the valuation methodology input data.

IPV performs data analysis in order to ensure consistency with a comparison source to ensure a correct evaluation of the Bank's and of individual Desks' risk positions of the main profit and loss drivers. Any changes to the data will have an impact not only on the balance sheet but also on the Profit and Loss reporting process of the portfolio concerned. Furthermore, the decision to change the source of valuation of any market data during the IPV process, as well as the verification method itself, may generate a different classification of the instrument being analysed with respect to the Fair Value Hierarchy.

For the calculation of IPV adjustments, the Bank uses available and reliable sources. Where possible, these are also used for the Prudent Valuation Adjustment (PVA) process in line with the provisions of Article 3 of Delegated Regulation (EU) 2016/101. These data sources are validated in accordance with the provisions of internal documentation and/or regulations.

The validation process focuses on the asset classes that have a direct impact on the Bank's Profit and Loss Account, both for proprietary instruments and for guaranteed instruments. In this regard, before proceeding with the analysis of the market parameters, the scope of analysis where to perform the certification is divided into asset classes. However, materiality thresholds (at risk factor level) are established for each exposure above which to apply the calculation described below.

IPV requires daily checks to be performed on all Bank positions (trading book and banking book), which include the year-by-year price of financial instruments, market curves and volatility surfaces. Furthermore, monthly checks, at the latest, are carried out for some asset classes, based on consensus services, given the nature and frequency with which valuation data is available in the systems. Finally, starting from the year under review, annual verifications of the funds (Private Equity, Debt and Real Estate) have been introduced using

458 \| Individual financial statements as at 30 June 2024

a leading third-party firm for the valuation of the NAVs of UCITS funds. The IPV process is divided into two levels:

– the individual underlying assets are specifically verified and, based on the differences found compared to the valuation communicated by the manager, a valuation flag is assigned;

– the "Documentary completeness" and "Adequacy of valuations" are analysed for each fund.

**Fair Value Adjustment (FVA)**

Fair Value Adjustment (FVA) plays a fundamental role in the valuation of financial instruments, as it ensures that the fair value reflects the price actually realizable in a practical market transaction. The guidelines defined in the Fair Value policy fully reflect the requirements defined by accounting standard IFRS 13, according to which the valuation of financial instruments should use the exit price method and allow for corrections to be made to the valuations in specific circumstances.

This fair value approach ensures that the valuations made by the Group are based on prices that are realistic and representative of current market conditions, guaranteeing adequate consideration to exit conditions and to the actual possibilities of selling or purchasing the financial instruments being valued. This ensures accurate and reliable financial information to be provided internally and to external stakeholders. In particular:

Inputs based on Bid and Ask Prices: when measuring an asset or liability at fair value and having at one's disposal both a bid and an ask price (as in the case of inputs from a market of operators), the price within the bid-ask spread that best represents fair value in the specific circumstances should be chosen. The Group uses bid or ask prices in order to align with the closing price.

Inputs derived from Bid and Ask Prices: the standard does not prohibit the use of average market prices or other pricing conventions commonly used by market participants to measure fair value within the bid-ask spread. However, in the Group's approach preference is given to the adoption of bid and ask prices in order to obtain a more precise fair value measurement particularly aligned with a reliable closing price.

Notes to the accounts \| Part A - Accounting policies \| 459

Fair value adjustments have an impact on profit or loss and take into account market liquidity, the uncertainties of parameters, the financing costs, and the complexity of the valuation models used in the absence of shared market practices.

The scope of fair value adjustments includes the following categories:

– Market Price Uncertainty (MPU): this consists in uncertainties in valuations based on market quotations;<sup>(15)</sup>

Closed-Out Cost (COC): this indicates uncertainties regarding the liquidity cost that the Group may incur in the event of a partial or total sale of an asset measured at fair value;

Model Risk (MR): adjustments aimed at mitigating the risk of discrepancy with respect to market practice in the valuation of a product in relation to the choice and implementation of the valuation model;

Concentrated Positions: this reflects uncertainties in the valuation of the exit price for positions classified as concentrated (i.e. positions whose disposal would significantly affect the market price);

additional investment and financing costs: investment and financing costs may be incurred for own bond issues with an early redemption clause or in the event of early closure of positions in derivative instruments. These costs may vary depending on fluctuations in financing costs.

Credit Value Adjustments (CVA) and Debt Value Adjustments (DVA) are incorporated into the valuation of derivatives to reflect the impact of the counterparty's credit risk and the Group's credit quality. CVA represents a negative amount that takes into account cases where the counterparty could go bankrupt before the Group / Bank, with a positive market value against the counterparty. DVA represents an amount that takes into account the cases in which the Group / Bank could go bankrupt before the counterparty, with an impact for the counterparty. These adjustments are calculated taking into account any risk mitigating arrangements, such as collateral and netting arrangements for each counterparty.

<sup>(15)</sup> with regard to new corrections to UCITS funds, the FVA process is structured by applying a "Performance Simulation Model", which uses the Monte-Carlo simulation method: the probability distribution of the discounted NAV of each fund and, consequently, the probability of having to record a discount, is found at maturity. This distribution is used to suggest a range of haircuts to apply to the NAV.

460 \| Individual financial statements as at 30 June 2024

The method used to calculate CVA/DVA is based on the following inputs:

– Expected Positive (EPE) and Expected Negative (ENE) Exposure, derived from simulations, which reflect the positive and negative valuation exposures of derivatives;

– Probability of Default (PD), which may be derived from historical default probabilities or implied in the market prices of Credit Default Swaps or bonds;

Loss Given Default (LGD) is based on the estimated value of expected recovery in the event of the counterparty's default, as defined by specific analyses conducted by the Group, or recovery rates conventionally used for Credit Default Swap quotations.

Furthermore, the fair value of non-collateralized derivatives may be affected by the Group's funding costs (Funding Value Adjustment). Therefore, adjustments are made for the different funding costs using a discount curve that represents the average funding level of banks operating in the European corporate derivatives market.

**Fair Value Hierarchy (FVH) – Observability and materiality of inputs**

The Observability Levelling and Day one Profit Directive, as specified in IFRS 13 and referred to in Bank of Italy Circulars No. 285 and No. 262, requires a hierarchy of levels reflecting the significance of inputs used in the valuations. These inputs, called "valuation inputs," are the market data used to estimate the fair value of financial instruments. To estimate the fair value of instruments, the Bank uses valuation techniques that are adequate to the circumstances and for which sufficient data are available. Valuation techniques can be based on various approaches:

– market approach, which uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities;

Notes to the accounts \| Part A - Accounting policies \| 461

cost approach (or current replacement method), which reflects the amount that would currently be required to replace an asset's service capacity;

income approach, which converts future amounts (e.g. cash flows or revenues and expenses) into a single discounted amount through, for example: present value methods and option pricing models.

These valuation methods may use different types of inputs, which may be observable or unobservable. Prices quoted in active markets are classified as "observable inputs". In other cases, the information is considered observable when the valuation is based on market information obtained from sources independent of the Bank or from actual transactions. Under IFRS 13, paragraph B34, some examples of markets from which observable inputs can be derived include the following:

– exchange markets: in an exchange market, closing prices are both readily available and generally representative of fair value. An example of such a market is the London Stock Exchange;

dealer markets: in a dealer market, dealers stand ready to trade (either buy or sell for their own account), thereby providing liquidity by using their capital to hold an inventory of the items for which they make a market. Typically bid and ask prices (representing the price at which a dealer is willing to buy and the price at which a dealer is willing to sell, respectively) are more readily available than closing prices. Over-the-counter markets (for which prices are publicly reported) are dealer markets. Dealer markets also exist for some other assets and liabilities, including some financial instruments, commodities and physical assets;

brokered markets: in a brokered market, brokers attempt to match buyers with sellers but do not stand ready to trade for their own account. Brokers do not use their own capital to hold an inventory of the items for which they make a market, but they know the prices bid and asked by the respective parties. Prices of completed transactions are sometimes available. Brokered markets include electronic communication networks, in which buy and sell orders are matched, and commercial and residential real estate markets;

principal-to-principal markets: in a principal-to-principal market, transactions, both originations and resales, are negotiated independently with no intermediary. Little information about those transactions may be made available publicly.

462 \| Individual financial statements as at 30 June 2024

All cases in which it is not possible to demonstrate the observability of inputs are classified as "unobservable inputs" and, in particular, when the information on which the valuation techniques are based reflects the Bank's judgement formulated using the best information available in such circumstances.

Under IFRS 13, para. 67, valuation techniques used to measure fair value should maximize the use of relevant observable inputs and minimize the use of unobservable inputs.

In more detail, based on their observability and considering additional criteria, inputs can be classified into three different levels.

Level 1 inputs:

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at the measurement date. A quoted price in an active market provides the most reliable evidence of Fair Value and it is the price to be used preferentially to measure financial assets and liabilities held in the portfolio. If a quoted price recorded on an active market is available, alternative valuation techniques based on quotes for comparable instruments or quantitative models cannot be used and the instrument is classified as a "Level 1 instrument" in its entirety. The objective is to reach a price at which a financial instrument would be traded at the reporting date (without altering the instrument) on an active market considered to be the main one or the most advantageous one for the Bank and to which it has immediate access.

Level 2 inputs:

Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include the following:

– quoted prices for similar assets or liabilities in active markets.

– quoted prices for identical or similar assets or liabilities in markets that are not active.

Notes to the accounts \| Part A - Accounting policies \| 463

Inputs other than quoted prices that are observable for the asset or liability, for example:

(i) Interest
 rates and yield curves observable at commonly quoted intervals;

(ii) Implied
 volatility;

(iii) Credit
 spread;

(iv) Market-corroborated
 inputs.

Level 2 inputs may require adjustments for example relating to:

– the condition or location of the asset;

– the extent to which inputs relate to items that are comparable to the asset or liability;

– the volume or level of activity in the markets within which the inputs are observed.

If there is no public quotation on an active market for the price of the financial instrument as a whole, but active markets exist for its components, Fair Value will be calculated by reference to the relevant market prices for those components. In this case, valuation will not be based on active market quotations for the financial instrument in question, but on observable market inputs or through the use of inputs that are not observable but are supported and confirmed by market data. The use of this approach does not exclude the use of a calculation method, or rather, of a pricing model, through which it is possible to establish the correct price of the transaction at the reference date, in an ideal and independent trading environment justified by normal market considerations.

Level 3 inputs:

Level 3 inputs are not directly observable inputs that are used to measure the Fair Value in the event that relevant observable inputs are not available, making it possible to estimate a closing price even in situations of low market activity for the asset or liability as at the measurement date. The Group estimates unobservable inputs using the best information available in the circumstances,

464 \| Individual financial statements as at 30 June 2024

which could include its own data, considering all information on the assumptions of market participants that is reasonably available. Unlike Level 2 inputs, in this case the inputs must be internally estimated according to quantitative methods, such as the use of historical series and comparable underlying instruments. Both Level 2 and Level 3 inputs may be used for a certain instrument. In this case, the final classification of the instrument is defined by applying the materiality assessment.

There are two stages in the process of setting the levels and observability of inputs. In the first stage, a level is assigned to each input used in the instrument valuation model. Thereafter, in the second stage, the relevance of the various inputs used to determine the materiality of unobservable inputs is verified, thus influencing the overall valuation of the instrument. It should be noted that for some categories of instruments, such as private equity or infrastructure alternative investment funds, a more rigorous classification (fair value level) is automatically applied, since the relevant underlying is not listed on the market. However, for some types of instruments there is an illiquidity discount in the NAV valuation in order to bring the valuation to the exit price.

Materiality is a crucial step in establishing whether unobservable inputs (Level 2 or 3) are meaningful to the entire measurement of the instrument. This materiality analysis also extends to inputs used to calculate any adjustments, such as the Fair Value Adjustment (FVA) or the Credit Value Adjustment (CVA).

In summary, the observability and materiality process ensures that the Fair Value of financial instruments is classified correctly based on the significance of the inputs used, ensuring an adequate valuation of the Bank's financial assets and liabilities.

Starting from the financial year under review, a new fair value hierarchy framework has come into force. It provides for automatic classification into levels based on the significance and liquidity of inputs used in the valuations; in particular, the weight that unobservable inputs have compared to observable inputs will determine their classification, potentially increasing re-classifications based on available market data at the reference date.<sup>(16)</sup>

<sup>(16)</sup> <sup></sup> The adoption of this framework for positions in place at 30 June 2023 may have resulted in a reclassification of approximately €40m to level 2.

Notes to the accounts \| Part A - Accounting policies \| 465

**Prudent Valuation Adjustment (PVA)**

The Prudent Valuation Policy and Directive meet the regulatory requirements of Article 34 and Article 105, para. 2, of Regulation (EU) 575/2013, which, solely for prudential purposes and therefore without accounting impacts, requires prudential valuation<sup>(17)</sup> to be performed by applying adjusted inputs in order to capture stressed events. The difference between Prudent Value and Fair Value (exit price used for recording the instruments in the Group's financial statements) is called Additional Valuation Adjustment (AVA). The aggregation of AVAs, called Prudent Value Adjustment (PVA), is deducted directly from Common Equity Tier 1 - CET1.

The final adjustment is defined by the Regulator by aggregating nine AVAs:

– Market Price Uncertainty (MPU): this is the valuation uncertainty based on market prices, calculated at the level of the exposure being measured;<sup>(18)</sup>

– Close-out Costs (CoC): these consist in the uncertainty of the exit price, calculated at the level of the exposure being measured;

– Model Risk (MR): this refers to the valuation uncertainty arising from the uncertainty of the model used and/or of the calibration thereof used by various market participants;

Unearned Credit Spreads (UCS): this consists in uncertainty in the measurement necessary to include the present value of expected losses in the event of counterparty default on derivative positions;

– Investing and Funding Costs (IFC): this is the uncertainty of the valuation of funding costs used in the valuation of the exit price in accordance with the applicable accounting standards;

– Concentrated Positions (CP): these refer to the uncertainty of the exit price for positions defined as concentrated;

Future and Administrative Costs (FAC): this considers administrative costs and future hedging costs over the expected lifetime of the exposures being measured to which a direct exit price has not been applied for CoC AVAs;

– Early Termination (ET): this considers contingent losses arising from non-contractual early terminations of the clients' trading positions;

<sup>(17)</sup> Prudential valuation is understood as an exit price with a 90% level of certainty.

<sup>(18)</sup> In line with the regulations governing Fair Value Adjustments to UCITS funds, where the median of the identified haircut range is used to find the fund correction amount, the maximum value of the identified haircut range is applied on the prudent side.

466 \| Individual financial statements as at 30 June 2024

– Operational Risk (OR): this considers contingent losses that may be incurred as a result of the operational risks associated with the measurement processes.

Positions measured at Fair Value include various categories of financial assets and liabilities, as defined by International Financial Reporting Standards (IFRS); however, some positions are excluded from the AVA calculation if a change in the valuation of their amount does not affect capital resources. These exclusions include positions available for sale (FVOCI) to the extent that valuation changes are subject to prudential filtering, perfectly matching opposite positions (back-to-back) and positions subject to hedging transactions (hedge accounting).

*A.4.1 Valuation processes and sensitivity analysis*

As required by IFRS 13, quantitative information on the significant non-observable inputs used for the assessment of Level 3 instruments is provided below.

**Uncertainties of the inputs and impact on the Mark-to-Market**

---

| | | | |
|:---|:---|:---|:---|
| **Non-observable inputs** | **Quantification of parameter uncertainty** | **MtM +/- delta<br> (€'000)<br> 30/6/24** | **MtM +/- delta<br> (€'000)<br> 30/6/23** |
| Implied volatility | For each point on the volatility surface, this is defined as a standard deviation from consensus provided by the independent data provider. For non-contributed underlyings, a proxy is derived from the contributed underlyings. | (49.8) | (4.4) |
| Equity-equity correlation | For each expiry along the correlation curve, this is defined as a standard deviation from the consensus provided by the independent data provider. For non-contributed underlyings, a proxy is derived from the contributed underlyings. | (11.0) | (16.3) |
| Credit Spread | For financial guarantees with specific underlyings, credit spread curves are not observable. Proxy curves obtained from underlying prices are used for these instruments | (0.5) |  |

---

Notes to the accounts \| Part A - Accounting policies \| 467

**Measurement techniques - Equity - receivables - interest rate - exchange rate products**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Product** | **Measurement technique** | **Non-observable inputs** | **Fair value (\*) <br> Assets 30/6/24 (€m)** | **Fair value (\*) Liabilities 30/6/24 (€m)** | **Fair value (\*) <br> Assets 30/6/23 (€m)** | **Fair value (\*) <br> Liabilities 30/6/23 (€m)** |
| OTC bond option | Black-Scholes model | Implied volatility<sup>1</sup> | 0.73 | (0.42) |  |  |
| OTC equity single name options, Variance swap | Black-Scholes model | Implied volatility<sup>1</sup> | 8.60 |  | 11.70 | (5.68) |
| OTC equity basket options, best of / worst of, equity autocallable multi-asset options | Black-Scholes model, local volatility model | Implied volatility Equity-equity correlation<sup>2</sup> | 19.10 | (19.32) | 7.45 | (11.56) |
| CDS on Single Names with Recovery Rate 0 | Arbitrage Free Credit Spread Model | Recovery Rate | 0.05 |  | 0.37 |  |
| Put options securing the financial yield of pension funds | Black-Scholes model | Projection of future premium flows and death rates of policy holders<sup>3</sup> | 0.23 | (23.58) | 0.01 | (29.25) |
| Forex barrier option | Black-Scholes model | Uncertainty of Valuation Model<sup>4</sup> | 0.02 |  |  |  |
| Financial Guarantee | Arbitrage Free Credit Spread Model | Credit Spread and Recovery Rate<sup>5</sup> | 0.85 | (1.08) |  |  |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | The carrying amount shown above is equal to the full fair value of structures and includes fair value adjustments. |

---

<sup>1</sup> Volatility in a financial context is a measurement of how much the price of an underlying instrument may vary over time. The higher the volatility of the underlying instrument, the greater the risk associated with it. In general, long positions in options benefit from increases in volatility, whereas short positions in options lose out from them. For equity derivatives, the implied volatility area may be obtained from the price of the call and put options, as they have regulated markets. The uncertainty of this input is attributable to one of the following scenarios: illiquidity of quoted prices (wide bid/ask spreads, typical of long maturities or moneyness far from the At-The-Money spot), concentration effects and non-observable market data (again when maturities are considered too long or moneyness far from the At-The-Money spot).

<sup>2</sup> Equity-equity correlation is a measurement of the correlation between two equity-based underlying instruments. Variations in the correlation levels may impact an instrument's fair value positively or negatively, depending on the correlation type.

Equity-equity correlations are less observable than volatility, because no correlation products are quoted on any regulated markets. For this reason, correlations are more subject to data uncertainties.

<sup>3</sup> The contractual form has been structured as a put option with an original term of between 10 and 30 years, the valuation of which is subject to uncertainty regarding both the estimate of future premiums and the NAV level of the underlying pension funds.

<sup>4</sup> Model uncertainty is a measure of the relationship between two or more different valuation models for a derivative. Variations in the valuation models used may impact an instrument's fair value positively or negatively.

<sup>5</sup> The contractual form is structured as a guarantee on specific underlying assets for which there are no observable input parameters.

The main factors contributing to transitions between fair value levels include changes in market conditions and refinements in the measurement models and/ or the non-observable inputs.

Fair value of an instrument may transition from Level 1 to Level 2 or vice versa mainly as a result of the loss (increase) in significance of the price expressed by the active market of the instrument.

Conversely, transfers from Level 2 to Level 3 or vice versa mainly arise as a result of the loss (increase) in significance of inputs, in particular the predominance of non-observable inputs over observable inputs.

468 \| Individual financial statements as at 30 June 2024

**A.4.4 Other information**

The Bank uses the exception provided under IFRS 13, paragraph 48 from measuring fair value of financial assets and liabilities on a net basis by offsetting market and counterparty credit risks.

**QUANTITATIVE INFORMATION**

*A.4.5 Fair value hierarchy*

*A.4.5.1 Assets and liabilities measured at fair value on a recurring basis, breakdown by fair value hierarchy*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | (€'000) |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>***Financial assets/liabilities measured at fair value*** | **Level1** | **Level2** | **Level3** | **Level1** | **Level2** | **Level3** |
| 1. Financial assets measured at fair value through profit or loss | 12488927 | 3182164 | 1037563 | 6846149 | 3916806 | 815820 |
| &nbsp;&nbsp;&nbsp;*a) financial assets held for trading* | 12181392 | 2522146 | 734398 | 6714688 | 3378216 | 416506 |
| &nbsp;&nbsp;&nbsp;*b) financial assets designated at fair value* | 127231 | 578774 | 13210 |  | 538590 |  |
| &nbsp;&nbsp;&nbsp;*c) other financial assets mandatorily measured at fair value* | 180304 | 81244 | 289955 | 131461 |  | 399314 |
| 2. Financial assets measured at fair value through other comprehensive income | 6414224 | 284208 | 464571 | 5679367 | 51050 | 555230 |
| 3. Hedging derivatives |  | 561851 |  |  | 245954 |  |
| 4. Tangible assets |  |  |  |  |  |  |
| 5. Intangible assets |  |  |  |  |  |  |
| Total | 18903151 | 4028223 | 1502134 | 12525516 | 4213810 | 1371050 |
| 1. Financial liabilities held for trading | 5796689 | 3760855 | 109166 | 4968008 | 5319418 | 304823 |
| 2. Financial liabilities designated at fair value |  | 3812823 | 352048 |  | 1497845 | 26196 |
| 3. Hedging derivatives |  | 1458738 |  |  | 2116467 |  |
| Total | 5796689 | 9032419 | 461214 | 4968008 | 8933730 | 331019 |

---

The Bank's trading book is mainly concentrated on liquid transactions with a low level of uncertainty. A residual, more complex part remains which, however, even in this context of greater volatility and uncertainty, has not undergone significant changes.

Level 3 assets held for trading increased from €416.5m to €734.4m, including €256m relating to underwriting loans entirely sold in early July with no impact on the profit and loss account. The remaining part is mainly represented by exposures in securitized stocks (€276.9m versus €101m) and by exposure in unlisted convertible preferred shares (€171.4m versus €152.3m) offset by the forward sale of the same underlying and classified as Level 2.

Notes to the accounts \| Part A - Accounting policies \| 469

As at 30 June 2024, Level 3 liabilities held for trading, which mainly concerned autocallable certificates on basket equity, decreased from €304.8m to €109.2m after repayments (€174.5m) and net reclassifications to level 2 (€26.4m). This decrease is linked to the entry into force of the new business model that provides for the Fair Value Option classification of newly issued autocallable equity certificates, which on the other hand determined an increase in Level 3 financial liabilities measured at Fair Value (from €26.2m to €352m); new issues of €270.2m and entries from other levels of €55.9m, relating to a delta-one certificate, were recorded during the year under review.

Financial assets mandatorily measured at Fair Value decreased to approximately €290 (from €399.3m) and consisted of investments in funds (including €4.5m in Polus funds). The reduction is mainly due to transfers of €138.5m to other levels (including €108.5m relating to a Polus fund) partially offset by widespread net purchases of €33.7m.

Financial assets measured at Fair Value through other comprehensive income (bonds, shares and SFPs) decreased from €555.2m to €464.6m with sales and redemptions of €114.1m; changes in Fair Value were positive by €23.5m.

470 \| Individual financial statements as at 30 June 2024

*A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level3 assets)*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets measured at fair value through**<br> **profit or loss**  | **Financial assets measured at fair value through**<br> **profit or loss**  | **Financial assets measured at fair value through**<br> **profit or loss**  | **Financial assets measured at fair value through**<br> **profit or loss**  | | | | |
|  | **Total** | **of which:**<br> **a) financial**<br> **assets held**<br> **for trading <sup>(1)</sup>**  | **of which:**<br> **b) financial**<br> **assets**<br> **designated at**<br> **fair value** | **of which:**<br> **c) other**<br> **financial assets**<br> **mandatorily**<br> **measured at**<br> **fair value** |<br>**Financial assets**<br> **measured**<br> **at fair value**<br> **through other**<br> **comprehensive**<br> **income** |<br>**Hedging**<br> **derivatives** |<br>**Tangible**<br> **assets** | (€'000)<br>**Intangible**<br> **assets** |
| 1. Opening balance | 815022 | 415708 |  | 399314 | 555230 |  |  |  |
| 2. Increases | 524199 | 445923 | 13210 | 65066 | 31787 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Purchases | 465468 | 397169 | 13210 | 55089 | 7158 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 Profits recognized in: | 23738 | 13761 |  | 9977 | 24292 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.2.1 Profit and loss | 23738 | 13761 |  | 9977 | 3504 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which: capital gains* | *9448* | *9448* | *—* | *—* | *—* |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.2.2 Net equity |  | X | X | X | 20788 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 Transfers from other levels | 34993 | 34993 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.4 Other increases |  |  |  |  | 337 |  |  |  |
| 3. Decreases | 301699 | 127274 |  | 174425 | 122446 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1 Disposals | 131352 | 109920 |  | 21432 | 76012 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2 Redemptions | 9507 | 9507 |  |  | 45251 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.3 Losses recognized in: | 15211 | 769 |  | 14442 | 1183 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.3.1 Profit and loss | 15211 | 769 |  | 14442 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which: capital losses* | *768* | *768* | *—* | *—* | *—* |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.3.2 Net equity |  | X | X | X | 1183 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.4 Transfers to other levels | 139864 | 1313 |  | 138551 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3.5 Other decreases | 5765 | 5765 |  |  |  |  |  |  |
| 4. Closing balance | 1037522 | 734357 | 13210 | 289955 | 464571 |  |  |  |

---

<sup>(1)</sup> After the market value of options traded (€41,000 at 30 June 2024 and €798,000 at 30 June 2023) the values of which are stated in the assets and liabilities for the same amount.

Notes to the accounts \| Part A - Accounting policies \| 471

*A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level3)*

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Financial liabilities **held for trading <sup>(1)</sup>** |<br>**Financial liabilities designated at fair value** | (€'000)<br>**Hedging derivatives** |
| 1. Opening balance | 304025 | 26196 |  |
| 2. Increases | 53902 | 326121 |  |
| &nbsp;&nbsp;&nbsp;2.1 Issues | 28513 | 270166 |  |
| &nbsp;&nbsp;&nbsp;2.2 Losses recognized in: | 7003 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.2.1 Profit and loss | 7003 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which: capital losses* | *7003* | *—* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.2.2 Net equity | X |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels | 18386 | 55955 |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases |  |  |  |
| 3. Decreases | 248803 | 269 |  |
| &nbsp;&nbsp;&nbsp;3.1 Redemptions | 189531 |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Buybacks |  |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Profits recognized in: | 11839 | 269 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.3.1 Profit and loss account | 11839 | 269 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which: capital gains* | *11839* | *—* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.3.2 Net equity | X |  |  |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels | 47433 |  |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases |  |  |  |
| 4. Closing balance | 109124 | 352048 |  |

---

<sup>(1)</sup> After the market value of options traded (€41,000 at 30 June 2024 and €798,000 at 30 June 2023) the values of which are stated in the assets and liabilities for the same amount.

*A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value hierarchy*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | | | | (€'000) |
| **Assets/liabilities not measured** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| **at fair value or measured at fair value on a non-recurring basis** | **Carrying amount** | **Level1** | **Level2** | **Level3** | **Carrying amount** | **Level1** | **Level2** | **Level3** |
| 1. Financial assets measured at amortized cost | 54813498 | 2656078 | 43069484 | 8532024 | 54588650 | 3073365 | 41655476 | 9623462 |
| 2. Tangible assets held for investment purposes | 23207 |  |  | 88854 | 23408 |  |  | 88500 |
| 3. Non-current assets and asset groups held for sale |  |  |  |  |  |  |  |  |
| Total | 54836705 | 2656078 | 43069484 | 8620878 | 54612058 | 3073365 | 41655476 | 9711962 |
| 1. Financial liabilities measured at amortized cost | 65738172 |  | 65570835 | 33071 | 60979650 |  | 60507403 | 261493 |
| 2. Liabilities associated with assets held for sale |  |  |  |  |  |  |  |  |
| Total | 65738172 |  | 65570835 | 33071 | 60979650 |  | 60507403 | 261493 |

---

472 \| Individual financial statements as at 30 June 2024

**A.5 - Information on Day One Profit/Loss**

Pursuant to IFRS 7, paragraph 28, the "Day One Profit/Loss" is understood as the difference between the fair value of a financial instrument at the initial recognition date (transaction price) and the amount estimated at that date using a valuation technique. This difference may be positive or negative.

In the event that the difference is positive (day one profit) and based on market quotations and models that almost exclusively include the use of observable market inputs, this amount can be included in the positive components of the profit and loss account. However, if the positive difference is based on non-observable market inputs, the fair value of the instrument must be adjusted for such difference and charged through profit or loss when the inputs become observable.

In the event, however, that the difference attributable to non-observable inputs is negative (day one loss), it is immediately recorded through profit or loss on a prudential basis.

The Group applies the day one profit suspension rule to financial instruments classified as Level 3 of the Fair Value hierarchy, i.e. instruments for which the impact of one or more non-observable inputs on the fair value is considered significant, as defined in paragraph 73 of IFRS 13. The day one profit, calculated after fair value adjustments, is amortized over the expected period for which the input data will remain unobservable. The day one profit is not applied if the risks generated by the transaction are hedged with a market counterparty (back-to-back) and therefore there are no impacts on profit or loss due to the non-observable input.

During the financial year, the day one profit was only applied to certificates for an amount of €2.7m in profits on autocallable equity relating to a value of €234.6m (last year they amounted to €4.1m for a value of €215.8m).

Notes to the accounts \| Part A - Accounting policies \| 473

**Part B - Notes to the Individual Balance Sheet<sup>(\*)</sup>** 

**Assets**

**SECTION 1**

**Heading 10: Cash and cash equivalents**

*1.1 Cash and cash equivalents: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| a) Cash | 258 | 566 |
| b) Current accounts and demand deposits with Central Banks | 2376436 | 3273797 |
| c) Current accounts and demand deposits with banks (1) | 903963 | 1152488 |
| Total | 3280657 | 4426851 |

---

<sup>(\*)</sup> Figures in €'000.

474 \| Individual financial statements as at 30 June 2024

**SECTION 2**

**Heading 20: Financial assets measured at fair value through profit or loss**

*2.1 Financial assets held for trading: product breakdown<sup>(\*)</sup>* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Values** | **Level1** | **Level2** | **Level3** | **Level1** | **Level2** | **Level3** |
| A. Cash assets |  |  |  |  |  |  |
| 1. Debt securities | 7627756 | 442742 | 276977 | 4993088 | 189264 | 232440 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities | 11722 | 19100 |  | 1310 | 10625 |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 7616034 | 423642 | 276977 | 4991778 | 178639 | 232440 |
| 2. Equity securities<sup>(1)</sup> | 3753655 |  | 171736 | 1020812 |  | 163498 |
| 3. UCIT units | 361 |  | 1021 | 25 |  | 230 |
| 4. Loans |  |  | 255901<sup>(3)</sup> | 4085 |  |  |
| &nbsp;&nbsp;&nbsp;4.1 Reverse repos |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.2 Other |  |  | 255901 | 4085 |  |  |
| Total (A) | 11381772 | 442742 | 705635 | 6018010 | 189264 | 396168 |
| B. Derivative instruments |  |  |  |  |  |  |
| 1. Financial derivatives | 799620 | 1849376 | 28708 | 696678 | 3036813 | 19964 |
| &nbsp;&nbsp;&nbsp;1.1 trading | 799620 | 1849376 | 28708<sup>(2)</sup> | 696678 | 3036813 | 19964<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;1.2 related to the fair value option |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 other |  |  |  |  |  |  |
| 2. Credit derivatives |  | 230028 | 55 |  | 152139 | 374 |
| &nbsp;&nbsp;&nbsp;2.1 trading |  | 230028 | 55 |  | 152139 | 374 |
| &nbsp;&nbsp;&nbsp;2.2 related to the fair value option |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 other |  |  |  |  |  |  |
| Total (B) | 799620 | 2079404 | 28763 | 696678 | 3188952 | 20338 |
| Total (A+B) | 12181392 | 2522146 | 734398 | 6714688 | 3378216 | 416506 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> Equity securities include shares committed in securities lending transactions totalling €1,015,975 (€399,599 in the previous year).

<sup>(2)</sup> This includes €41,000 (€798,000 in June 2023) relating to options traded, whose contra-item was recorded among trading liabilities.

<sup>(3)</sup> These positions were acquired as part of loan underwriting commitments whose syndication concluded in early July 2024.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 475

*2.2 Financial assets held for trading: breakdown by borrower/issuer/counterparty*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| A. CASH ASSETS |  |  |
| 1. Debt securities | 8347475 | 5414792 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 6578665 | 3253899 |
| &nbsp;&nbsp;&nbsp;c) Banks | 1178323 | 1517530 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 454049 | 533140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *2832* | *—* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 136438 | 110223 |
| 2. Equity securities | 3925391 | 1184310 |
| &nbsp;&nbsp;&nbsp;a) Banks | 622756 | 217180 |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 786722 | 271147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *132406* | *9977* |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 2515913 | 695983 |
| &nbsp;&nbsp;&nbsp;d) Other issuers |  |  |
| 3. UCIT units | 1382 | 255 |
| 4. Loans | 255901 | 4085 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies <sup>(1)</sup> | 255901 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies |  | 4085 |
| &nbsp;&nbsp;&nbsp;f) Households |  |  |
| Total (A) | 12530149 | 6603442 |
| B. DERIVATIVE INSTRUMENTS |  |  |
| &nbsp;&nbsp;&nbsp;a) Central Counterparties | 448621 | 1487126 |
| &nbsp;&nbsp;&nbsp;b) Other | 2459166 | 2418842 |
| Total (B) | 2907787 | 3905968 |
| Total (A+B) | 15437936 | 10509410 |

---

<sup>(1)</sup> These positions were acquired as part of loan underwriting commitments whose syndication concluded in early July 2024..

476 \| Individual financial statements as at 30 June 2024

*2.3 Financial assets designated at fair value: product breakdown(\*)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Voci/Valori** | **Level1** | **Level2** | **Level3** | **Level1** | **Level2** | **Level3** |
| 1. Debt securities <sup>(1)</sup> | 127231 |  | 13210 |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 127231 |  | 13210 |  |  |  |
| 2. Loans |  | 578774 |  |  | 538590 |  |
| &nbsp;&nbsp;&nbsp;2.1 Structured |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Other <sup>(1)</sup> |  | 578774 |  |  | 538590 |  |
| Total | 127231 | 578774 | 13210 |  | 538590 |  |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> In relation to FVO liabilities.

*2.4 Financial assets designated at fair value: breakdown by borrower/issuer*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Debt securities <sup>(1)</sup> | 140441 |  |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 13210 |  |
| &nbsp;&nbsp;&nbsp;c) Banks | 115282 |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 2017 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 9932 |  |
| 2. Loans | 578774 | 538590 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 578774 | 538590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *578774* | *538590* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies |  |  |
| &nbsp;&nbsp;&nbsp;f) Households |  |  |
| Total | 719215 | 538590 |

---

<sup>(1)</sup> In relation to FVO liabilities.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 477

*2.5 Other financial assets mandatorily measured at fair value: product breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Values** | **Level1** | **Level2** | **Level3** | **Level1** | **Level2** | **Level3** |
| 1. Debt securities |  | 295 | 4 | 412 |  | 451 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities |  | 295 | 4 | 412 |  | 451 |
| 2. Equity securities |  |  | 4206 |  |  | 3187 |
| 3. UCIT units | 180304 | 80949 | 285745 | 131049 |  | 395676 |
| 4. Loans |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.1 Reverse repos |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4.2 Other |  |  |  |  |  |  |
| Total | 180304 | 81244 | 289955 | 131461 |  | 399314 |

---

*2.6 Other financial assets mandatorily measured at fair value: breakdown by borrower/issuer*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Equity securities | 4206 | 3187 |
| &nbsp;&nbsp;&nbsp;*of which: banks* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;*of which: other financial companies* | *4206* | *3187* |
| &nbsp;&nbsp;&nbsp;*of which: non-financial companies* | *—* | *—* |
| 2. Debt securities | 299 | 863 |
| &nbsp;&nbsp;&nbsp;a) Central Banks | *—* |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 295 | 412 |
| &nbsp;&nbsp;&nbsp;c) Banks | *—* |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 4 | 451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | *—* |  |
| 3. UCIT units | 546998 | 526725 |
| 4. Loans | *—* |  |
| &nbsp;&nbsp;&nbsp;a) Central Banks | *—* |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | *—* |  |
| &nbsp;&nbsp;&nbsp;c) Banks | *—* |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | *—* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | *—* |  |
| &nbsp;&nbsp;&nbsp;f) Households | *—* |  |
| Total | 551503 | 530775 |

---

478 \| Individual financial statements as at 30 June 2024

**SECTION 3**

**Heading 30: Financial assets measured at fair value through other comprehensive income**

*3.1* *Financial assets measured at fair value through other comprehensive income: product breakdown<sup>(\*)</sup>* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| <br>**Items/Values** | **Level1** | **Level2** | **Level3 <sup>(1)</sup>** | **Level1** | **Level2** | **Level3<sup>(1)</sup>** |
| 1. Debt securities | 6286677 | 284208 | 78578 | 5563499 | 51050 | 186571 |
| &nbsp;&nbsp;&nbsp;1.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Other debt securities | 6286677 | 284208 | 78578 | 5563499 | 51050 | 186571 |
| 2. Equity securities | 127547 |  | 385993 | 115868 |  | 368659 |
| 3. Loans |  |  |  |  |  |  |
| Total | 6414224 | 284208 | 464571 | 5679367 | 51050 | 555230 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> These include AT1 instruments of Mediobanca Premier (€159.2m), MB International (€94.7m) and Polus Capital Management Group (€4.1m), as well as equity-like financial instruments.

*3.2* *Financial assets measured at fair value through other comprehensive income: breakdown by borrower/issuer* 

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Debt securities | 6649463 | 5801120 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 5651809 | 4548278 |
| &nbsp;&nbsp;&nbsp;c) Banks | 617946 | 627515 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 171013 | 433068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *21972* | *38163* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 208695 | 192259 |
| 2. Equity securities | 513540 | 484527 |
| &nbsp;&nbsp;&nbsp;a) Banks | 254072 | 240520 |
| &nbsp;&nbsp;&nbsp;b) Other issuers: | 259468 | 244007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other financial companies | 48639 | 33658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- non-financial companies | 210829 | 210349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |  |
| 3. Loans |  |  |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;d) Other financial companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies |  |  |
| &nbsp;&nbsp;&nbsp;f) Households |  |  |
| Total | 7163003 | 6285647 |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 479

*3.3* *Financial assets measured at fair value through other comprehensive income: gross value and overall value adjustments* 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | |
|  | **First stage** | **of which:<br> Low<br> credit risk<br> instruments (\*)** | **Second<br> stage** | **Third<br> stage** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** | **First<br> stage** | **Second<br> stage** | **Third<br> stage** | **Purchased<br> or<br> originated<br> credit<br> impaired<br> assets** |<br>**Overall<br> partial <br> write-offs** |
| Debt securities | 6637344 | *845204* | 19772 |  |  | 6996 | 657 |  |  |  |
| Loans |  |  |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | 6637344 | *845204* | 19772 |  |  | 6996 | 657 |  |  |  |
| Total 30 June 2023 | 5771319 | *31064* | 37723 |  |  | 6537 | 1385 |  |  |  |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | As required by Bank of Italy circular no. 262, fifth amendment, the column headed "of which" must show the gross value of the low credit risk instruments as defined by IFRS 9, paras. B5.5.29. For the Mediobanca Group, the concept of "low credit risk" is equivalent to that of rating, hence low credit risk applies to the case of counterparties rated as investment grade. |

---

**SECTION 4**

**Heading 40: Financial assets measured at amortized cost**

*4.1* *Financial assets measured at amortized cost: product breakdown of amounts due from banks (30/6/24) (\*)* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value *<sup>(\*)</sup>*** | **Fair value *<sup>(\*)</sup>*** | **Fair value *<sup>(\*)</sup>*** |
| <br>**Transaction Type/Values** | **Stages 1<br> and 2** | **Stage 3** | **Purchased<br> or originated<br> credit <br> impaired** <br> assets** | **Level1** | **Level2** | **Level3** |
| A. Due from Central Banks | 257949 |  |  |  | 257949 |  |
| &nbsp;&nbsp;&nbsp;1. Term deposits |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2. Compulsory reserves | 257949 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;3. Reverse repos |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Other |  |  |  | X | X | X |
| B. Due from banks | 30840058 |  |  |  | 30044758 | 88568 |
| &nbsp;&nbsp;&nbsp;1. Loans | 29934697 |  |  |  | 29127801 | 88568<sup>(1)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Current accounts |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2. Term deposits | 1250116 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3. Other loans: | 28684581 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - Reverse repos | 2165150 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *- Finance leases* |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - Other | 26519431 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2. Debt securities | 905361 |  |  |  | 916957 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Other debt securities | 905361 |  |  |  | 916957 |  |
| Total | 31098007 |  |  |  | 30302707 | 88568 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> Items in transit.

480 \| Individual financial statements as at 30 June 2024

*4.1* *Financial assets measured at amortized cost: product breakdown of amounts due from banks (30/6/23) (\*)* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value*\**** | **Fair value*\**** | **Fair value*\**** |
| <br>**Transaction Type/Values** | **Stages 1 <br> **and 2** | **Stage 3** | **Purchased <br> or originated <br> credit <br> impaired <br> assets** | **Level1** | **Level2** | **Level3** |
| A. Due from Central Banks | 255059 |  |  |  | 255059 |  |
| &nbsp;&nbsp;&nbsp;1. Term deposits |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2. Compulsory reserves | 255059 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;3. Reverse repos |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;4. Other |  |  |  | X | X | X |
| B. Due from banks | 29859534 |  |  | 58649 | 29520376 | 35792 |
| &nbsp;&nbsp;&nbsp;1. Loans | 28900888 |  |  |  | 28631075 | 35792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Current accounts |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2. Term deposits | 333879 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3. Other loans: | 28567009 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - Reverse repos | 1796987 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *- Finance leases* |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; - Other | 26770022 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;2. Debt securities | 958646 |  |  | 58649 | 889301 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Other debt securities | 958646 |  |  | 58649 | 889301 |  |
| Total | 30114593 |  |  | 58649 | 29775435 | 35792 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 481

*4.2* *Financial assets measured at amortized cost: product breakdown of amounts due from customers (30/6/24) (\*)* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value *<sup>(\*)</sup>*** | **Fair value *<sup>(\*)</sup>*** | **Fair value *<sup>(\*)</sup>*** |
| <br>**Transaction Type/Values** | **Stages 1 **<br> and 2** | **Stage 3** | **Purchased<br> or originated <br> credit<br> impaired <br> assets** | **Level1** | **Level2** | **Level3** |
| 1. Loans | 20164346 | 15096 |  |  | 12491319 | 7877118 |
| &nbsp;&nbsp;&nbsp;1.1 Current accounts | 1242502 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.2 Reverse repos | 3209855 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.3 Mortgages | 12622695 | 14730 |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.4 Credit cards, personal loans and salary-backed finance |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.5 Finance leases | 1391 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.6 Factoring |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.7 Other loans | 3087903 | 366 |  | X | X | X |
| 2. Debt securities | 3536049 |  |  | 2656078 | 275459 | 566338 |
| &nbsp;&nbsp;&nbsp;2.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Other debt securities | 3536049 |  |  | 2656078 | 275459 | 566338 |
| Total | 23700395 | 15096 |  | 2656078 | 12766778 | 8443456 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

*4.2* *Financial assets measured at amortized cost: product breakdown of amounts due from customers (30/6/23) (\*)* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Fair value*\**** | **Fair value*\**** | **Fair value*\**** |
| <br>**Transaction Type/Values** | **Stages 1 **<br> and 2** | **Stage 3** | **Purchased<br> or originated <br> credit <br> impaired <br> assets** | **Level1** | **Level2** | **Level3** |
| 1. Loans | 20097040 | 18928 |  |  | 11861011 | 8334466 |
| &nbsp;&nbsp;&nbsp;1.1 Current accounts | 1353073 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.2 Reverse repos | 1652332 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.3 Mortgages | 14141038 | 18562 |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.4 Credit cards, personal loans and salary-backed finance |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.5 Finance leases | 2580 |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;*1.6 Factoring* |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp;1.7 Other loans | 2948017 | 366 |  | X | X | X |
| 2. Debt securities | 4358089 |  |  | 3014716 | 19030 | 1253204 |
| &nbsp;&nbsp;&nbsp;2.1 Structured securities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Other debt securities<sup>1</sup> | 4358089 |  |  | 3014716 | 19030 | 1253204 |
| Total | 24455129 | 18928 |  | 3014716 | 11880041 | 9587670 |

---

<sup>(\*)</sup> For the criteria used to determine fair value and classification of financial instruments within the three fair value ranking levels, see Part A – Accounting Policies.

<sup>(1)</sup> Of which, 652,314 relating to the Group's securitizations (Compass Banca).

482 \| Individual financial statements as at 30 June 2024

*4.3* *Financial assets measured at amortized cost: breakdown by borrower/issuer of amounts due from customers* 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| <br>**Transaction Type/Values** | **Stages 1** **<br> and 2** | **Stage 3** | **Purchased or originated credit impaired assets** | **Stages 1** **<br> and 2** | **Stage 3** | **Purchased or originated credit impaired assets** |
| 1. Debt securities | 3536049 |  |  | 4358089 |  |  |
| &nbsp;&nbsp;&nbsp;a) Public administrations | 2488926 |  |  | 2779579 |  |  |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 967083 |  |  | 1440016 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *184242* | *—* |  | *177265* | *—* |  |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 80040 |  |  | 138494 |  |  |
| 2. Loans to: | 20164346 | 15096 |  | 20097040 | 18928 |  |
| &nbsp;&nbsp;&nbsp;a) Public administrations | 102619 |  |  | 104776 |  |  |
| &nbsp;&nbsp;&nbsp;b) Other financial companies | 10683557 | 29 |  | 9192574 | 2142 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: insurance companies* | *336622* | *—* |  | *185673* | *—* |  |
| &nbsp;&nbsp;&nbsp;c) Non-financial companies | 8637385 | 8085 |  | 9938174 | 15692 |  |
| &nbsp;&nbsp;&nbsp;d) Households | 740785 | 6982 |  | 861516 | 1094 |  |
| Total | 23700395 | 15096 |  | 24455129 | 18928 |  |

---

*4.4* *Financial assets measured at amortized cost: gross value and overall value adjustments* 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Gross value** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | |
|  | **Stage 1** | **of which: Low credit risk instruments** | **Stage 2** | **Stage 3** | **Purchased or originated credit impaired assets** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or originated credit impaired assets** | <br>**Overall partial write-offs** |
| Debt securities | 4434328 | *1574140* | 17206 |  |  | 4469 | 5655 |  |  |  |
| Loans | 50239711 | *100573* | 166428 | 19530 |  | 42412 | 6735 | 4434 |  |  |
| Total 30 June 2024 | 54674039 | *1674713* | 183634 | 19530 |  | 46881 | 12390 | 4434 |  |  |
| Total 30 June 2023 | 54450570 | *216333* | 190525 | 111714 |  | 60445 | 10928 | 92786 |  |  |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 483

**SECTION 5**

**Heading 50: Hedging derivatives**

*5.1 Hedging derivatives: by hedge type and level*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** | |
|  | **30 June 2024** | **30 June 2024** | **30 June 2024** | | **30 June 2023** | **30 June 2023** | **30 June 2023** | |
|  | **Level1** | **Level2** | **Level3** | **Notional**<br>**value**<br>**30 June 2024** | **Level1** | **Level2** | **Level3** | **Notional**<br>**value**<br>**30 June 2023** |
| A. Financial derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Fair value |  | 557740 |  | 27970253 |  | 245954 |  | 16569403 |
| &nbsp;&nbsp;&nbsp;2. Cash flows |  | 4111 |  | 305000 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Foreign investments |  |  |  |  |  |  |  |  |
| B. Credit derivatives |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Fair value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Cash flows |  |  |  |  |  |  |  |  |
| Total |  | 561851 |  | 28275253 |  | 245954 |  | 16569403 |

---

*5.2 Hedging derivatives: breakdown by portfolio hedged and hedge type*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Cash flows** | **Cash flows** | |
| | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | | | | |
| <br>**Transaction / Type of**<br>**hedging** | **debt<br> securities<br> and interest**<br>**rates** | **equity<br> securities<br> and stock**<br> **indexes** | **currencies**<br> **and gold** |<br>**credit** |<br>**commodities** |<br>**other** |<br>**Generic** | **Specific** | **Generic** |<br>**Foreign**<br>**investments** |
| 1. Financial assets measured at fair value through other comprehensive income | 24734 |  |  |  | X | X | X | 1603 | X | X |
| 2. Financial assets measured at amortized cost | 454276 | X |  |  | X | X | X | 76 | X | X |
| 3. Portfolio | X | X | X | X | X | X |  | X |  | X |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |
| Total assets | 479010 |  |  |  |  |  |  | 1679 |  |  |
| 1. Financial liabilities | 78730 | X |  |  |  |  | X |  | X | X |
| 2. Portfolio | X | X | X | X | X | X |  | X |  | X |
| Total liabilities | 78730 |  |  |  |  |  |  |  |  |  |
| 1. Expected transactions | X | X | X | X | X | X | X | 2432 | X | X |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X |  | X |  |  |

---

484 \| Individual financial statements as at 30 June 2024

**SECTION 7**

**Heading 70: Equity investments**

At 30 June 2024, the book value of the item "Equity investments" amounted to €3,771.5m.

*7.1 Equity investments: disclosure on relationships*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Company Name** | **Company Name** | **Registered <br> office** | **Operating** <br> office** | **Shareholding** <br> in %** |  | **Available Voting**<br> rights in %** |
| A. | Wholly controlled entities |  |  |  |  |  |
|  | Polus Capital Management Group Limited |  |  |  |  |  |
|  | Capital GBP 527 in shares worth GBP 0.005 each | London | London | 63.75 | (\*) | 63.75 |
|  | Mediobanca Premier S.p.A. |  |  |  |  |  |
|  | Capital €506.3m in shares worth €0.50 each | Milan | Milan | 100.0 |  | 100.0 |
|  | CMB MONACO S.A.M. |  |  |  |  |  |
|  | Capital €111.1m in shares worth €200 each | Monte Carlo | Monte Carlo | 100.0 |  | 100.0 |
|  | Compass Banca S.p.A. |  |  |  |  |  |
|  | Capital €587.5m in shares worth €5 each | Milan | Milan | 100.0 |  | 100.0 |
|  | Mediobanca Innovation Services - MIS S.c.p.A. |  |  |  |  |  |
|  | Capital €35m in shares worth €5 each | Milan | Milan | 100.0 |  | 100.0 |
|  | Mediobanca Management Company |  |  |  |  |  |
|  | Capital €500,000 in shares worth €10 each | Luxembourg | Luxembourg | 100.0 |  | 100.0 |
|  | Mediobanca SGR |  |  |  |  |  |
|  | Capital €10.3m in shares worth €51.65 each | Milan | Milan | 100.0 |  | 100.0 |
|  | Messier et Associés Sas |  |  |  |  |  |
|  | Capital €50,000 in shares worth €0.1 each | Paris | Paris | 80.04 | (\*\*) | 80.04 |
|  | MB Facta S.p.A. |  |  |  |  |  |
|  | Capital €120m in shares worth €1 each | Milan | Milan | 100.0 |  | 100.0 |
|  | MB Funding Lux S.A. |  |  |  |  |  |
|  | Capital €831,000 in shares worth €1 each | Luxembourg | Luxembourg | 100.0 |  | 100.0 |
|  | MB International (Luxembourg) S.A. |  |  |  |  |  |
|  | Capital €10m in shares worth €10 each | Luxembourg | Luxembourg | 100.0 |  | 100.0 |
|  | MB Securities USA LLC |  |  |  |  |  |
|  | Capital $2.25m | New York | New York | 100.0 |  | 100.0 |
|  | RAM Active Investments S.A. Capital CHF1m in |  |  |  |  |  |
|  | shares worth CHF10 each | Geneva | Geneva | 93.0 | (\*\*\*) | 93.0 |
|  | SelmaBipiemme Leasing S.p.A. |  |  |  |  |  |
|  | Capital €41.3m in shares worth €0.50 each | Milan | Milan | 60.0 |  | 60.0 |
|  | CMB Real Estate Development |  |  |  |  |  |
|  | Capital €75.2m in shares worth €75,200 each | Monte Carlo | Monte Carlo | 40.0 |  | 40.0 |
|  | Spafid S.p.A. |  |  |  |  |  |
|  | Capital €6.1m in shares worth €10 each | Milan | Milan | 100.0 |  | 100.0 |
|  | Arma Partners LLP (\*\*\*\*) | Milan | Milan | 100.0 |  | 100.0 |
| B. | Entities under common control |  |  |  |  |  |
|  | MBSpeedUP Limited |  |  |  |  |  |
|  | Capital €100 in shares worth €1 each | London | London | 50.0 |  | 50.0 |
| C. | Entities under significant influence |  |  |  |  |  |
|  | Assicurazioni Generali S.p.A. |  |  |  |  |  |
|  | Capital €1,592.4m in shares worth €1 each | Trieste | Trieste | 13.11 |  | 13.11 |
|  | Istituto Europeo di Oncologia S.r.l. |  |  |  |  |  |
|  | Capital €80.6m | Milan | Milan | 25.37 |  | 25.37 |
|  | Finanziaria Gruppo Bisazza |  |  |  |  |  |
|  | Capital €100,000 | Vicenza | Vicenza | 22.67 |  | 22.67 |
|  | CLI Holdings II (fund units) | London | London | 24.09 |  | 24.09 |

---

---

| | |
|:---|:---|
| (\*) | The percentage rises to 89.07% if account is taken of the put & call option agreements concluded at the time of acquisition. |

---

---

| | |
|:---|:---|
| (\*\*) | The percentage rises to 100% if account is taken of the put & call option agreements concluded at the time of acquisition. |

---

---

| | |
|:---|:---|
| (\*\*\*) | The percentage rises to 98.28% if account is taken of the put & call option agreements concluded at the time of acquisition. |

---

<sup>(\*\*\*\*)</sup> Arma Partners was established as a Limited Liability Partnership. This corporate form does not require share capital but rather contributions from participating partners.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 485

*7.2 Significant investments: carrying amount, fair values and dividends received*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Company Name** | **Company Name** | **Book Value** | **Fair Value** | **Dividends received** |
| A. | Wholly controlled entities |  |  |  |
|  | Polus Capital Management Group Limited | 89908 | n.a. |  |
|  | Mediobanca Premier S.p.A. | 666503 | n.a. | 33000 |
|  | CMB MONACO S.A.M. | 374901 | n.a. | 320000 |
|  | Compass Banca S.p.A. | 769516 | n.a. | 330000 |
|  | Mediobanca Innovation Services - MIS S.c.p.A. | 35076 | n.a. |  |
|  | Mediobanca Management Company | 3993 | n.a. | 8106 |
|  | Mediobanca SGR | 38145 | n.a. |  |
|  | Messier et Associés Sas | 94095 | n.a. | 3703 |
|  | MBFACTA S.p.A. | 120502 | n.a. | 11050 |
|  | MB Funding Lux | 831 | n.a. |  |
|  | MB International (Luxembourg) S.A. | 6172 | n.a. | 18403 |
|  | MB Securities USA LLC | 211 | n.a. |  |
|  | RAM Active Investments S.A. | 25352 | n.a. |  |
|  | SelmaBipiemme Leasing S.p.A. | 33013 | n.a. | 32246 |
|  | CMB Real Estate Development | 30060 | n.a. |  |
|  | Spafid S.p.A. | 8890 | n.a. |  |
|  | Arma Partners LLP | 259731 | n.a. | 13174 |
| B. | Entities under joint control |  |  |  |
|  | MBSpeedUP Limited | 1750 | n.a. |  |
| C. | Entities under significant influence |  |  |  |
|  | Assicurazioni Generali S.p.A. | 1123715 | 4759117 | 261556 |
|  | Istituto Europeo di Oncologia S.r.l. | 38995 | n.a. |  |
|  | Finanziaria Gruppo Bisazza | 6879 | n.a. | 839 |
|  | CLI Holding II | 43295 | n.a. | 9101 |
| Total | Total | 3771533 |  | 1041178 |

---

The description of the reasons why an investee is subject to joint control or significant influence is contained in "Section 3 - Part A - Accounting Policies", to which reference should be made.

486 \| Individual financial statements as at 30 June 2024

*7.3 Significant investments: accounting data<sup>(\*)</sup>* 

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Company name** | **Cash and<br> Cash<br> Equivalents** | **Financial<br> assets** | **Non-financial<br> assets** | **Financial<br> Liabilities** | **Non-financial<br> liabilities** | **Total<br> revenues<br> (\*\*)** | **Net interest<br> income** | **Adjustments<br> and<br> write-backs<br> of tangible<br> and intangible<br> assets** | **Profit (loss) <br> on ordinary<br> operations<br> before tax** | **Profit (loss)<br> on ordinary<br> operations<br> after tax** | **Profit (loss) on<br> held-for-sale<br> assets after tax** | **Profit (loss) <br> for the<br> period (1)** | **Other<br> profit (loss)<br> components<br> after tax (2)** | **Other<br> comprehensive<br> income (3) =<br> (1) + (2)** |
| A. Wholly controlled entities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Polus Capital Management Group Limited | 32247 | 9422 | 107848 | 58 | 27941 | 55772 | 658 | (1179) | 12952 | 9275 |  | 9275 |  | 9275 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mediobanca Premier S.p.A. | 903832 | 29238783 | 519028 | 29340236 | 372311 | 454014 | 273795 | (33116) | 86804 | 58124 |  | 58124 | 227 | 58351 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMB MONACO S.A.M. | 1498008 | 6627319 | 110456 | 7191515 | 276848 | 183817 | 115085 | (16808) | 82428 | 65024 |  | 65024 |  | 65024 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compass Banca S.p.A. | 618401 | 15555125 | 1052110 | 13769107 | 391592 | 1081272 | 1034160 | (15273) | 654448 | 473166 |  | 473166 | (184511) | 288655 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mediobanca Innovation Services - MIS S.c.p.A. | 233 |  | 89099 | 28418 | 25370 | (704) | (704) | (24706) | (23) | 2 |  | 2 | 8 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mediobanca Management Company | 8054 |  | 8121 | 17 | 8363 | 2227 | 250 | (155) | (559) | (560) |  | (560) |  | (560) |
| &nbsp;&nbsp;&nbsp;&nbsp;Mediobanca SGR | 8609 | 48996 | 21660 | 1214 | 13961 | 33546 | 1857 | (374) | 13604 | 9571 |  | 9571 | 1 | 9572 |
| &nbsp;&nbsp;&nbsp;&nbsp;Messier et Associés Sas | 4648 | 801 | 74327 | 24242 | 37236 | 41233 | (921) | (1107) | 2925 | 2193 |  | 2193 |  | 2193 |
| &nbsp;&nbsp;&nbsp;&nbsp;MBFACTA S.p.A. | 29608 | 2952090 | 175044 | 2891132 | 27517 | 48174 | 41430 | (240) | 32638 | 22111 |  | 22111 | 14 | 22125 |
| &nbsp;&nbsp;&nbsp;&nbsp;MB Funding Lux | 966 |  | 287 |  | 243 |  |  |  | 36 | 24 |  | 24 |  | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;MB International (Luxembourg) S.A. | 596508 | 6292934 | 14010 | 6432330 | 21691 | 33952 | 31893 | (215) | 23728 | 19701 |  | 19701 | (1630) | 18071 |
| &nbsp;&nbsp;&nbsp;&nbsp;MB Securities USA LLC | 6324 |  | 1352 |  | 1799 | 3484 |  | (24) | 22 | 22 |  | 22 |  | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;RAM Active Investments S.A. | 5789 | 3177 | 7484 | 18 | 2493 | 9670 | 14 | (336) | (2489) | (2618) |  | (2618) |  | (2618) |
| &nbsp;&nbsp;&nbsp;&nbsp;SelmaBipiemme Leasing S.p.A. | 19054 | 1238075 | 93606 | 1136258 | 32033 | 29934 | 27897 | (1968) | 12952 | 9275 |  | 9275 | (45) | 9230 |
| &nbsp;&nbsp;&nbsp;&nbsp;CMB Real Estate Development |  |  | 50392 | 916 | 439 | (19) | (1) | (1046) | (486) | (486) |  | (486) |  | (486) |
| &nbsp;&nbsp;&nbsp;&nbsp;Spafid S.p.A. | 14663 | 1653 | 32172 | 1063 | 6677 | 9068 | 746 | (565) | (264) | (339) |  | (339) | (5) | (344) |
| &nbsp;&nbsp;&nbsp;&nbsp;Arma Partners LLP | 62181 | 26 | 19657 |  | 12699 | 67295 | 1716 | (236) | 42772 | 42772 |  | 42772 |  | 42772 |
| B. Companies under common control |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;MBSpeed UP | X | 1750 | 650 |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C. Entities under significant influence |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Assicurazioni Generali S.p.A. | X | 477256000 | 24286000 | 465241000 | 12086000 | 52873000 | 5862000 | -342000 | 5574000 | 4037000 | 84000 | 4037000 | 163000 | 4200000 |
| &nbsp;&nbsp;&nbsp;&nbsp;Istituto Europeo di Oncologia S.r.l. | X | 108177 | 179472 | 148865 | 75242 | 417265 | X | X | 5457 | 3685 |  | 3685 |  | 3685 |
| &nbsp;&nbsp;&nbsp;&nbsp;Finanziaria Gruppo Bisazza | X | 6384 | 19074 | 5168 | 2932 | 29707 | X | X | 2637 | 1813 |  | 1813 |  | 1813 |
| &nbsp;&nbsp;&nbsp;&nbsp;CLI Holding II | X | 145400 | 2729 | 148329 | 48 | X | 102 | X | 2 | 1 |  | 1 |  | 1 |

---

<sup>(\*)</sup> All data are in Euros, including for foreign subsidiaries.

<sup>(\*\*)</sup> This is understood as interim earnings: Total revenues stated in the accounting statements.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 487

*7.5 Equity investments: changes during the period*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| A. Balance at start of period | 3528482 | 3563039 |
| B. Increases | 293659 | 20025 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases | 263353 | 20025 |
| &nbsp;&nbsp;&nbsp;B.2 Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Write-ups |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Other changes | 30306 |  |
| C. Decreases | 50608 | 54582 |
| &nbsp;&nbsp;&nbsp;C.1 Sales | 2 |  |
| &nbsp;&nbsp;&nbsp;C.2 Value adjustments | 35179 | 54263 |
| &nbsp;&nbsp;&nbsp;C.3 Other changes | 15427 | 319 |
| D. Balance at end of period | 3771533 | 3528482 |
| E. Total revaluations |  |  |
| F. Total adjustments | 981371 | 946192 |

---

**SECTION 8**

**Heading 80: Property, plant and equipment**

*8.1 Core tangible assets: breakdown of assets measured at cost*

---

| | | |
|:---|:---|:---|
| <br>**Assets/Values** | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Property assets | 96372 | 92498 |
| &nbsp;&nbsp;&nbsp;a) land | 67896 | 67896 |
| &nbsp;&nbsp;&nbsp;b) buildings | 18875 | 17611 |
| &nbsp;&nbsp;&nbsp;c) furniture | 2371 | 1551 |
| &nbsp;&nbsp;&nbsp;d) electronic systems | 3272 | 2448 |
| &nbsp;&nbsp;&nbsp;e) other | 3958 | 2992 |
| 2. Leased assets | 21870 | 23736 |
| &nbsp;&nbsp;&nbsp;a) land |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings | 15829 | 19617 |
| &nbsp;&nbsp;&nbsp;c) furniture |  |  |
| &nbsp;&nbsp;&nbsp;d) electronic systems |  |  |
| &nbsp;&nbsp;&nbsp;e) other | 6041 | 4119 |
| Total | 118242 | 116234 |
| &nbsp;&nbsp;&nbsp;*of which: obtained by enforcement of collateral* | *—* | *—* |

---

488 \| Individual financial statements as at 30 June 2024

*8.2 Properties held for investment purposes: breakdown of assets measured at cost*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | | **Fair value** | **Fair value** | **Fair value** |
| <br>**Assets/Values** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** |
| 1. Property assets | 23207 |  |  | 88854 | 23408 |  |  | 88500 |
| &nbsp;&nbsp;&nbsp;a) land | 20350 |  |  | 52148 | 20350 |  |  | 52148 |
| &nbsp;&nbsp;&nbsp;b) buildings | 2857 |  |  | 36706 | 3058 |  |  | 36352 |
| *2. Rights-of-use assets* |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) land |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) buildings |  |  |  |  |  |  |  |  |
| Total | 23207 |  |  | 88854 | 23408 |  |  | 88500 |
| &nbsp;&nbsp;&nbsp;*of which: obtained by enforcement of collateral* | *—* |  |  | *—* | *—* |  |  | *—* |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 489

*8.6 Core assets: changes during the year*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Land** | **Buildings** | **Furniture** | **Electronic<br> systems** | **Other** | **Total** |
| A. Gross opening balance 30 June 2023 | 67896 | 76759 | 9751 | 12070 | 35754 | 202230 |
| &nbsp;&nbsp;&nbsp;A.1 Decreases in total net value | *—* | (39531) | (8200) | (9622) | (28643) | (85996) |
| &nbsp;&nbsp;&nbsp;A.2 Net opening balance 30 June 2023 | 67896 | 37228 | 1551 | 2448 | 7111 | 116234 |
| B. Increases: | *—* | 2606 | 1202 | 1474 | 6087 | 11369 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  | *—* | 1202 | 1474 | 1775 | 4451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, business combinations* | *—* | *—* | *—* | *—* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized improvement costs | *—* | 2411 | *—* | *—* | *—* | 2411 |
| &nbsp;&nbsp;&nbsp;B.3 Write-backs |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Positive changes in fair value allocated to |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit & loss |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Currency exchange gains |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from investment properties | *—* | *—* | X | X | X |  |
| &nbsp;&nbsp;&nbsp;B.7 Other changes | *—* | 195 | *—* | *—* | 4312 | 4507 |
| C. Decreases: | *—* | 5130 | 382 | 650 | 3199 | 9361 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, business combinations* | *—* | *—* | *—* | *—* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;C.2 Depreciation | *—* | 5128 | 340 | 647 | 3199 | 9314 |
| &nbsp;&nbsp;&nbsp;C.3 Impairment losses allocated to |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit & loss |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Negative changes in fair value allocated to |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) profit & loss |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Currency exchange losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfers to: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) assets held for investment purposes | *—* | *—* | X | X | X | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) non-current assets and assets groups held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Other changes | *—* | 2 | 42 | 3 | *—* | 47 |
| D. Net closing balance | 67896 | 34704 | 2371 | 3272 | 9999 | 118242 |
| &nbsp;&nbsp;&nbsp;D.1 Decreases in total net value | *—* | (44623) | (7930) | (10273) | (30024) | (92850) |
| &nbsp;&nbsp;&nbsp;D.2 Gross closing balance | 67896 | 79327 | 10301 | 13545 | 40023 | 211092 |
| E. Measured at cost |  |  |  |  |  |  |

---

490 \| Individual financial statements as at 30 June 2024

Changes in tangible assets for core purposes also include the right of use acquired from finance leasing operations under IFRS 16. New leases executed during the year amount to €4.5m (shown in row B.7 "Other changes"), while depreciation for rights in use amount to €6.4m (stated in row C.2 "Depreciation").

*8.7 Assets held for investment purposes: changes during the year*

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **Land** | **Buildings** |
| A. Gross opening balance | 20.350 | 3.058 |
| B. Increases | *—* | 225 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, business combinations* |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Capitalized improvement costs | *—* | 224 |
| &nbsp;&nbsp;&nbsp;B.3 Positive changes in fair value |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Currency exchange gains |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Transfers from core tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;B.7 Other changes | *—* | 1 |
| C. Decreases | *—* | 426 |
| &nbsp;&nbsp;&nbsp;C.1 Sales | *—* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, business combinations* | *—* |  |
| &nbsp;&nbsp;&nbsp;C.2 Depreciation | *—* | 426 |
| &nbsp;&nbsp;&nbsp;C.3 Negative changes in fair value |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Write-downs |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Currency exchange losses |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Transfers to: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) core tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) non-current assets and assets groups held for sale |  |  |
| &nbsp;&nbsp;&nbsp;C.7 Other changes |  |  |
| D. Balance at end of period | 20350 | 2857 |
| &nbsp;&nbsp;&nbsp;D.1 Decreases in total net value |  |  |
| &nbsp;&nbsp;&nbsp;D.2 Gross closing balance | 20350 | 2857 |
| E. Measured at fair value | 52148 | 36706 |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 491

**SECTION 9**

**Heading 90: Intangible assets**

*9.1 Intangible assets: breakdown by type of asset*

 

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| <br>**Assets/Values** | **Definite life** | **Indefinite life** | **Definite life** | **Indefinite life** |
| A.1 Goodwill | X | 12.514 | X | 12.514 |
| A.2 Other intangible assets | 1389 | 15489 | 1659 | 15489 |
| &nbsp;&nbsp;&nbsp;*of which: software* | *1389* | *—* | *1659* | *—* |
| &nbsp;&nbsp;&nbsp;A.2.1 Assets measured at cost: | 1389 | 15489 | 1659 | 15489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a) Intangible assets generated internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b) Other assets | 1389 | 15489 | 1659 | 15489 |
| &nbsp;&nbsp;&nbsp;A.2.2 Assets measured at fair value: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a) Intangible assets generated internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b) Other assets |  |  |  |  |
| Total | 1389 | 28003 | 1659 | 28003 |

---

The values of the brand and of goodwill were tested for impairment. No write-downs were found to be needed.

492 \| Individual financial statements as at 30 June 2024

*9.2 Intangible assets: changes during the year*

 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | **Other intangible assets** | **Other intangible assets** | **Other intangible** | **Other intangible** | |
|  | | **generated internally** | **generated internally** | **assets: other** | **assets: other** | |
|  |<br>**Goodwill** | **Definite** | **Indefinite** | **Definite** | **Indefinite** |<br>**Total** |
| A. Balance at start of period | 12514 |  |  | 98738 | 15489 | 126741 |
| &nbsp;&nbsp;&nbsp;A.1 Decreases in total net value |  |  |  | (97079) |  | (97079) |
| &nbsp;&nbsp;&nbsp;A.2 Net opening balance | 12514 |  |  | 1659 | 15489 | 29662 |
| B. Increases |  |  |  | 438 |  | 438 |
| &nbsp;&nbsp;&nbsp;B.1 Purchases |  |  |  | 438 |  | 438 |
| &nbsp;&nbsp;&nbsp;B.2 Increases of internal intangible assets |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 Write-backs | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 Positive changes in fair value | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- net equity |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to P&L | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Currency exchange gains | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.6 Other changes |  |  |  |  |  |  |
| C. Decreases |  |  |  | 708 |  | 708 |
| &nbsp;&nbsp;&nbsp;C.1 Sales |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.2 Value adjustments |  |  |  | 706 |  | 706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Amortization | X |  |  | 706 |  | 706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Write-downs |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;+ to P&L |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 Negative changes in fair value |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- net equity | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to P&L | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.4 Transfer to non-current assets held for sale |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.5 Currency exchange losses |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;C.6 Other changes |  |  |  | 2 |  | 2 |
| D. Net closing balance | 12514 |  |  | 1389 | 15489 | 29392 |
| &nbsp;&nbsp;&nbsp;D.1 Adjustment of net total values |  |  |  | (97793) |  | (97793) |
| E. Gross closing balance | 12514 |  |  | 99182 | 15489 | 127185 |
| F. Measurement at cost |  |  |  |  |  |  |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 493

**SECTION 10**

**Assets heading 100 and liabilities heading 60: Tax assets and liabilities**

*10.1 Advance tax assets: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **30 June 2024** | **30 June 2023** |
| - Against Profit and Loss | 49918 | 62050 |
| - Against Net Equity | 16437 | 33329 |
| Total | 66355 | 95379 |

---

The above amounts were subjected to a sustainability test as required by IAS 12, taking into account the economic projections foreseeable for future financial years in order to verify whether any future taxable income against which to offset these tax assets had emerged.

*10.2 Deferred tax liabilities: breakdown*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| - Against Profit and Loss | 189930 | 191400 |
| - Against Net Equity | 42642 | 31768 |
| Total | 232572 | 223168 |

---

494 \| Individual financial statements as at 30 June 2024

*10.3 Changes in advance tax during the period (against profit and loss)*

---

| | | |
|:---|:---|:---|
|  | **Total** | **Total** |
|  | **30 June 2024** | **30 June 2023** |
| 1. Opening balance | 62050 | 70964 |
| 2. Increases | 6446 | 4190 |
| &nbsp;&nbsp;&nbsp;2.1 Prepaid taxes recorded during the year | 6446 | 4190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) write-backs |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other | 6446 | 4190 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases |  |  |
| 3. Decreases | 18578 | 13104 |
| &nbsp;&nbsp;&nbsp;3.1 Prepaid taxes derecognized during the year | 18578 | 13104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 18578 | 13104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) write-downs due to non-recoverable items |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) conversion into tax receivables pursuant to Italian Law No. 214/2011 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) other |  |  |
| 4. Closing balance | 49918 | 62050 |

---

*10.3 bis Changes in prepaid taxes pursuant to Italian Law No. 214/2011<sup>(\*)</sup>* 

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Opening balance | 31947 | 36814 |
| 2. Increases |  |  |
| *- of which, business combinations* |  |  |
| 3. Decreases | 10538 | 4867 |
| &nbsp;&nbsp;&nbsp;3.1 Reversals | 10538 | 4867 |
| &nbsp;&nbsp;&nbsp;3.2 Conversion into tax receivables deriving from: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) losses for the year |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) tax losses |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases |  |  |
| 4. Closing balance | 21409 | 31947 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Italian Law-Decree No. 59 of 29 April 2016 on deferred tax assets pursuant to Italian Law No. 214/2011, as amended by Italian Law-Decree No. 237 of 23 December 2016, enacted with amendments as Law No. 15/2017, provides that in order to be able to retain the right to take advantage of the possibility of converting DTAs into tax credits, an irrevocable option must be specifically exercised, which involves payment of an annual instalment equal to 1.5% of the difference between the increase in advance tax assets at the reporting date since 30 June 2008 and the tax paid during the same period each year until 2029. Mediobanca has exercised this option in order to retain the possibility of converting DTAs for all companies adhering to the tax consolidation. No payment will be due in this respect, however, given that the payments made to the tax consolidation exceed the increase in DTAs recorded since 30 June 2008. |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 495

*10.4 Changes in deferred taxes (against profit and loss)*

 

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Opening balance | 191400 | 206070 |
| 2. Increases | 3126 | 102 |
| &nbsp;&nbsp;&nbsp;2.1 Deferred taxes for the year | 3126 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 3126 | 102 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases |  |  |
| 3. Decreases | 4596 | 14772 |
| &nbsp;&nbsp;&nbsp;3.1 Deferred taxes derecognized in the year | 4596 | 14772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 4596 | 14772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases |  |  |
| 4. Closing balance | 189930 | 191400 |

---

*10.5 Changes in prepaid taxes (against net equity)*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Opening balance | 33329 | 34529 |
| 2. Increases | 83018 | 161445 |
| &nbsp;&nbsp;&nbsp;2.1 Prepaid taxes recorded during the year | 83018 | 161445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 83018 | 161445 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which, business combinations | *—* | *—* |
| 3. Decreases | 99910 | 162645 |
| &nbsp;&nbsp;&nbsp;3.1 Prepaid taxes derecognized during the year | 99910 | 162645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 99910 | 162645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) write-downs due to non-recoverable items |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases |  |  |
| 4. Closing balance | 16437 | 33329 |

---

496 \| Individual financial statements as at 30 June 2024

---

| | | |
|:---|:---|:---|
| *10.6 Changes in deferred taxes (against net equity)* |  |  |
|  | **Total** | **Total** |
|  | **30 June 2024** | **30 June 2023** |
| 1. Opening balance | 31768 | 21281 |
| 2. Increases | 157999 | 81819 |
| &nbsp;&nbsp;&nbsp;2.1 Deferred taxes for the year | 157999 | 81819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) relating to prior years |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other | 157999 | 81819 |
| &nbsp;&nbsp;&nbsp;2.2 New taxes or increases in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other increases |  |  |
| 3. Decreases | 147125 | 71332 |
| &nbsp;&nbsp;&nbsp;3.1 Deferred taxes derecognized in the year | 147125 | 71332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) reversals | 147125 | 71332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) due to changes in accounting policies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other |  |  |
| &nbsp;&nbsp;&nbsp;3.2 Reductions in tax rates |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Other decreases |  |  |
| 4. Closing balance | 42642 | 31768 |

---

**SECTION 12**

**Heading 120: Other assets**

*Heading 120: Other assets*

 

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| 1. Accrued income other than capitalized income on the related assets | 3033 | 3707 |
| 2. Trade receivables or invoices to be issued | 120913 | 71364 |
| 3. Amounts due from tax revenue authorities (not recorded under Heading 100) | 59957 | 31478 |
| 4. Other items: | 287934 | 60217 |
| &nbsp;&nbsp;&nbsp;- transactions in futures and other security transactions | 166 | 1352 |
| &nbsp;&nbsp;&nbsp;- other items in transit | 273511 | 42928 |
| &nbsp;&nbsp;&nbsp;- amounts due from staff | 324 | 142 |
| &nbsp;&nbsp;&nbsp;- leasehold improvements |  | 262 |
| &nbsp;&nbsp;&nbsp;- tax consolidation |  |  |
| &nbsp;&nbsp;&nbsp;- group VAT | 5444 | 7060 |
| &nbsp;&nbsp;&nbsp;- sundry other items <sup>(1)</sup> | 8489 | 8473 |
| Total other assets | 471837 | 166766 |

---

<sup>(1)</sup> These include deferred liabilities of €7,775 (€8,039 at 30 June 2023).

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 497

**Liabilities**

**SECTION 1**

**Heading 10: Financial liabilities measured at amortized cost**

*1.1 Financial liabilities measured at amortized cost: product breakdown of amounts due to banks* 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Transaction Type/Values** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** |
| 1. Due to Central Banks | 1313202 | X | X | X | 5634137 | X | X | X |
| 2. Amounts due to banks | 30492259 | X | X | X | 28689976 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Current accounts and demand deposits | 18301240 | X | X | X | 19208919 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 Term deposits | 3576837 | X | X | X | 3870089 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.3 Loans | 8601449 | X | X | X | 5433196 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.3.1 Repos | 5342646 | X | X | X | 3467320 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.3.2 Other | 3258803 | X | X | X | 1965876 | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.4 Liabilities in respect of commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.5 Lease liabilities <sup>(1)</sup> |  | X | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.6 Other liabilities | 12733 | X | X | X | 177772 | X | X | X |
| Total | 31805461 |  | 31805461 |  | 34324113 |  | 34324113 |  |

---

<sup>(1)</sup> This item includes obligations in respect of payment of future leasing instalments as required by IFRS 16 and Bank of Italy circular no. 262 – VI Update.

498 \| Individual financial statements as at 30 June 2024

*1.2 Financial liabilities measured at amortized cost: product breakdown of amounts due to customers*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** | **Total** |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | **Fair Value** | **Fair Value** | **Fair Value** |
| <br>**Transaction Type/Values** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** |
| 1. Current accounts and on demand deposits | 6.431.575 | X | X | X | 4.221.625 | X | X | X |
| 2. Term deposits | 2.089.511 | X | X | X | 3.840.437 | X | X | X |
| 3. Loans | 4.826.594 | X | X | X | 681.703 | X | X | X |
| &nbsp;&nbsp;&nbsp;3.1 Repos | 4.753.485 | X | X | X | 613.522 | X | X | X |
| &nbsp;&nbsp;&nbsp;3.2 Other | 73.109 | X | X | X | 68.181 | X | X | X |
| 4. Liabilities in respect of commitments to repurchase own equity instruments |  | X | X | X |  | X | X | X |
| 5. Lease liabilities <sup>(1)</sup> | 22.549 | X | X | X | 25.245 | X | X | X |
| 6. Other payables |  | X | X | X | 1.671 | X | X | X |
| Total | 13.370.229 |  | 13.370.229 |  | 8.770.681 |  | 8.770.681 |  |

---

<sup>(1)</sup> This item includes obligations in respect of payment of future leasing instalments as required by IFRS 16 and Bank of Italy circular no. 262 – VI Update.

*1.3 Financial liabilities measured at amortized cost: product breakdown of debt securities in issue*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair value\*** | **Fair value\*** | **Fair value\*** | | **Fair value\*** | **Fair value\*** | **Fair value\*** |
| <br>**Transaction Type/Values** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** | **Carrying**<br>**amount** | **Level1** | **Level2** | **Level3** |
| A. Securities |  |  |  |  |  |  |  |  |
| 1. bonds | 20529411 |  | 20395145 |  | 17623363 |  | 17412609 |  |
| &nbsp;&nbsp;&nbsp;1.1 structured | 4019942 |  | 4033632 |  | 2982862 |  | 3004731 |  |
| &nbsp;&nbsp;&nbsp;1.2 other | 16509468 |  | 16361513 |  | 14640501 |  | 14407878 |  |
| 2. other securities | 33072 |  |  | 33072 | 261493 |  |  | 261493 |
| &nbsp;&nbsp;&nbsp;2.1 structured |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 other <sup>(1)</sup> | 33072 |  |  | 33072 | 261493 |  |  | 261493 |
| Total | 20562482 |  | 20395145 | 33072 | 17884856 |  | 17412609 | 261493 |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Fair value amounts are shown after deducting issuer risk, which at 30 June 2024 suggested a capital gain of €59.3m (up €136.5m as at 30 June 2023). |

---

Debt securities in issue increased from €17.6bn to €20.5bn, on new issuance of €4.8bn, which offset redemptions and buybacks of €2.3bn (generating gains of €0.6m) and other increases (exchange rates, amortized cost and hedging effects) amounting to €0.4bn.

The bonds in issue include €61m (€94m in the previous year) related to arbitrage leveraging strategies on derivative basis indexes (skew) mainly linked to credit derivatives, and a minority to interest rate arbitrage, inflation and equity

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 499

risk (underlying transactions). All these issues involve payment of interest in the form of a coupon (including a premium – extra yield) and full repayment of capital at maturity. In case of the subscriber opting for early repayment, the issuer has the faculty, at its discretion, to choose a repayment price that takes into account the current fair value including that of the underlying transactions. As required by para. 4.3.3 of IFRS 9, the embedded derivative, identified by the right to include the arbitrage value within the repayment price, has been separated by the obligation measured at amortized cost and booked at fair value of underlying transactions through profit or loss.

*1.4 Breakdown of subordinated debt securities*

"Outstanding securities" include the following six subordinated Tier 2 issues, for a total of €1,678,987. During the financial year, a subordinated loan of €300m was issued with a 10-year maturity at a mixed rate (fixed 5.25% until 22/4/2029 and variable EUSA 5Y+2.75 until maturity).

---

| | | | |
|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Issue** | <br>**ISIN code** | **Nominal**<br>**Value** | **Carrying**<br>**amount** |
| MB SUBORDINATO TV with min 3% 2025 | IT0005127508 | 499265 | 502867 |
| MB SUBORDINATO 3.75% 2026 | IT0005188351 | 298478 | 282763 |
| MB SUBORDINATO 1.957% 2029 | XS1579416741 | 50000 | 50850 |
| MB SUBORDINATO 2.3% 2030 | XS2262077675 | 249750 | 237977 |
| MB SUBORDINATO TF 10Y Callable | XS2577528016 | 299500 | 305250 |
| MB SUBORDINATO 5.25 22 APR 2034 | IT0005580573 | 299800 | 299280 |
| Total subordinated securities |  | 1696793 | 1678987 |

---

500 \| Individual financial statements as at 30 June 2024

**SECTION 2**

**Heading 20: Trading financial liabilities**

*2.1 Trading financial liabilities: product breakdown* 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | | **Fair Value** | **Fair Value** | **Fair Value** | | | **Fair Value** | **Fair Value** | **Fair Value** | |
| <br>**Transaction Type/Values** | **Nominal or**<br>**notional value** | **Level1** | **Level2** | **Level3** | **Fair**<br>**value\*** | **Nominal or**<br>**notional value** | **Level1** | **Level2** | **Level3** | **Fair**<br>**Value\*** |
| A. Cash liabilities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Amounts due to banks | 1744377 | 1696621 | 3688 |  | 1700309 | 42854 | 34173 | 10552 |  | 44725 |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Due to customers<sup>1</sup> | 3337805 | 3216770 | 33759 |  | 3250529 | 4160964 | 4085164 | 205 |  | 4085369 |
| &nbsp;&nbsp;&nbsp;&nbsp;3. Debt securities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1 Bonds |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.1.2 Other bonds |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2 Other securities |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.1 Structured |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.2.2 Other |  |  |  |  | X |  |  |  |  | X |
| Total (A) | 5082182 | 4913391 | 37447 |  | 4950838 | 4203818 | 4119337 | 10757 |  | 4130094 |
| B. Derivative instruments |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1. Financial derivatives |  | 883298 | 3334236 | 109046 |  |  | 848671 | 4891728 | 304823 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Trading | X | 883298 | 3334236 | 109046<sup>(2)</sup> | X | X | 848671 | 4891670 | 304823<sup>(2)</sup> | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Related to the fair value option | X |  |  |  | X | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.3 Other | X |  |  |  | X | X |  | 58 |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2. Credit derivatives |  |  | 389172 | 120 |  |  |  | 416933 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Trading | X |  | 389172 | 120 | X | X |  | 416933 |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Related to the fair value option | X |  |  |  | X | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.3 Other | X |  |  |  | X | X |  |  |  | X |
| Total (B) | X | 883298 | 3723408 | 109166 | X | X | 848671 | 5308661 | 304823 | X |
| Total (A+B) | X | 5796689 | 3760855 | 109166 | X | X | 4968008 | 5319418 | 304823 | X |

---

\* Fair value calculated excluding changes in value due the issuer's different credit quality.

<sup>1</sup> This item contained some transactions reclassified in liability item 30.

<sup>2</sup> This includes €41,000 (€798,000 in June 2023) relating to options traded whose contra-entry was recorded among financial assets held for trading.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 501

**SECTION 3**

**Heading 30: Financial liabilities designated at fair value**

*3.1 Financial liabilities designated at fair value: product breakdown*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2024** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** | **Total 30 June 2023** |
| | | **Fair value** | **Fair value** | **Fair value** | | | **Fair value** | **Fair value** | **Fair value** | |
| <br>**Tipologia operazioni/Valori** | **Nominal**<br>**Value** | **Level1** | **Level2** | **Level3** | **Fair**<br>**value\*** | **Nominal**<br>**Value** | **Level1** | **Level2** | **Level3** | **Fair**<br>**value\*** |
| 1. Amounts due to banks | 8751 |  |  | 9532 | 9532 | 7857 |  |  | 7857 | 7857 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1 Structured | 8751 |  |  | 9532 | X | 7857 |  |  | 7857 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2 Other |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- loan commitments |  | X | X | X | X |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- financial guarantees issued |  | X | X | X | X |  | X | X | X | X |
| 2. Due to customers | 1269999 |  | 1168714 |  | 1168714 |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 Structured | 1269999 |  | 1168714 |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2 Other |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- loan commitments |  | X | X | X | X |  | X | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- financial guarantees issued |  | X | X | X | X |  | X | X | X | X |
| 3. Debt securities | 3013913 |  | 2644109 | 342516 | 2986625 | 1615014 |  | 1497845 | 18339 | 1516184 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.1 Structured | 2932965 |  | 2562209 | 342516 | X | 1615014 |  | 1497845 | 18339 | X |
| &nbsp;&nbsp;&nbsp;&nbsp;3.2 Other | 80948 |  | 81900 |  | X |  |  |  |  | X |
| Total | 4292663 |  | 3812823 | 352048 | 4164871 | 1622871 |  | 1497845 | 26196 | 1524041 |

---

\* Fair value calculated excluding changes in value due the issuer's different credit quality.

The item Financial liabilities designated at fair value increased from €1,524m to €4,164.9m following the reclassification of some transactions previously recorded under liability item 20 (€1,168.7m) in addition to the new operations in certificates (390 new issues for a value of €1,398.4m, including €581.8m credit linked and €788.5m with underlying shares).

At 30 June, the total amount of certificates stood at €2,848.9m (€867.6m at 30 June 2023), including €1,122.9m credit linked and €1,698m equity (€591.9m and €266.6m, respectively). The positions classified at level 3 amounted to €380.3m, which include €268.2m in autocallable equity.

This operation is in addition to the delta-one products (without Mediobanca risk) in place for €635m (€588.4m); finally, paper issues of €137.7m, which includes €67.9m callable, should be added.

502 \| Individual financial statements as at 30 June 2024

**SECTION 4**

**Heading 40: Hedging derivatives**

*4.1 Hedging derivatives: breakdown by hedge type and hierarchy level*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Fair value** | **30 June 2024** | **30 June 2024** | | **30 June 2023** | **30 June 2023** | |
|  | **Level1** | **Level2** | **Level3** | **Nominal <br> Value 30**<br> **June 2024** | **Level2** | **Level3** | **Nominal <br> Value 30 June**<br>**2023** |
| A. Financial derivatives |  | 1458738 |  | 48087224 | 2116467 |  | 45417637 |
| &nbsp;&nbsp;&nbsp;&nbsp;1) Fair value |  | 1458738 |  | 48087224 | 2116467 |  | 45417637 |
| &nbsp;&nbsp;&nbsp;&nbsp;2) Cash flow |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;3) Foreign investments |  |  |  |  |  |  |  |
| B. Credit derivatives |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1) Fair value |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2) Cash flow |  |  |  |  |  |  |  |
| Total |  | 1458738 |  | 48087224 | 2116467 |  | 45417637 |

---

*4.2 Hedging derivatives: breakdown by portfolio hedged and hedge type*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | **Fair Value** | | | |
| | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | **Specific** | | | | |
| | | | | | | | | **Cash flows** | **Cash flows** | |
| <br>**Transaction / Type of**<br>**hedging** | **debt securities and interest**<br>**rates** | **equity securities and stock**<br> **indexes** | **currencies**<br> **and gold** |<br>**credit** |<br>**commodities** |<br>**other** |<br>**Generic** | **Specific** | **Generic** |<br>**Foreign**<br>**investments** |
| 1. Financial assets measured at fair value through other comprehensive income |  |  |  |  |  |  | X |  | X | X |
| 2. Financial assets measured at amortized cost | 59.757 | X |  |  | X | X | X |  | X | X |
| 3. Portfolio | X | X | X | X | X | X |  | X |  | X |
| 4. Other transactions |  |  |  |  |  |  | X |  | X |  |
| Total assets | 59.757 |  |  |  |  |  |  |  |  |  |
| 1. Financial liabilities | 1.398.981 | X |  |  |  |  | X |  | X | X |
| 2. Portfolio | X | X | X | X | X | X |  |  |  | X |
| Total liabilities | 1.398.981 |  |  |  |  |  |  |  |  | - |
| 1. Expected transactions | X | X | X | X | X | X | X |  | X | X |
| 2. Financial assets and liabilities portfolio | X | X | X | X | X | X |  | X |  |  |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 503

**SECTION 6**

**Heading 60: Tax liabilities**

Please see asset section 10.

**SECTION 8**

**Heading 80: Other liabilities**

*8.1 Other liabilities: breakdown*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| 1. Payment agreements classified as liabilities under IFRS 2 |  |  |
| 2. Core liabilities or invoices to be received | 59265 | 44851 |
| 3. Accrued income other than capitalized income on the related financial assets | 4810 | 3026 |
| 4. Amounts due to revenue authorities | 72949 | 35216 |
| 5. Amounts due to staff | 171229 | 182508 |
| 6. Other items | 359072 | 112390 |
| &nbsp;&nbsp;&nbsp;- coupons and dividends pending collection | 26414 | 3557 |
| &nbsp;&nbsp;&nbsp;- available sums payable to third parties | 273028 | 36070 |
| &nbsp;&nbsp;&nbsp;- tax consolidation | 59560 | 27301 |
| &nbsp;&nbsp;&nbsp;- miscellaneous items | 70 | 45462 |
| Total | 667325 | 377991 |

---

**SECTION 9**

**Heading 90: Provision for statutory end-of-service payments**

*9.1 Provision for statutory end-of-service payments: changes during the period*

---

| | | |
|:---|:---|:---|
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| A. Balance at start of period | 5.050 | 5.400 |
| B. Increases | 775 | 853 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Provision for the year | 304 | 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Other changes | 471 | 644 |
| C. Decreases | 1.038 | 1.203 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.1 End-of-service payments | 672 | 489 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.2 Other changes<sup>1</sup> | 366 | 714 |
| D. Balance at end of period | 4.787 | 5.050 |
| Total | 4.787 | 5.050 |

---

<sup>1</sup> This consists in the transfer to Provision for statutory end-of-service payments held at the INPS treasury.

504 \| Individual financial statements as at 30 June 2024

*9.2 Other information*

The Provision for statutory end-of-service payments calculated according to the rules laid down in the Italian Civil Code amounted to €5,068,000 (€5,332,000). No new accruals were recorded during the year under review (service cost).

The Provision for statutory end-of-service payments is a defined benefit scheme, and the actuarial model used to account for it relies on a series of assumptions, both demographic and economic in nature.

For some of the assumptions used, reference has been made directly to the Group's own experience (e.g. estimates of disability incidence, frequency of early retirement, annual increase in rate of remuneration, frequency with which advance withdrawals from the provision are requested, etc.), while for the others, account has been taken of the relevant best practice (e.g. the mortality rate has been determined using the IPS55 life tables, whereas the retirement age has been determined taking into account the most recent legislation in this area); for the discount rate, the iBoxx Eurozone Corporate AA index of 3.47% as at 30 June 2024 has been used for similar companies to those being valued (3.67% as at 30 June 2023), while the long-term inflation rate went from 2.5% to 2%.

**SECTION 10**

**Heading 100: Provisions for risks and charges**

*10.1 Provisions for risks and charges: breakdown*

---

| | | |
|:---|:---|:---|
| **Items/Values** | **30 June 2024** | **30 June 2023** |
| 1. Provisions for credit risk related to commitments and financial guarantees issued | 22814 | 30406 |
| 2. Provision to other commitments and other guarantees issued |  |  |
| 3. Company retirement plans |  |  |
| 4. Other provisions for risks and charges | 51823 | 67325 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.1 legal and tax disputes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;4.2 personnel expenses | 4338 | 10981 |
| &nbsp;&nbsp;&nbsp;&nbsp;4.3 Other | 47485 | 56344 |
| Total | 74637 | 97731 |

---

IAS37 requires provisions to be set aside in cases where there is an obligation, whether actual, legal or implicit, the amount of which may be reliably determined and the resolution of which is likely to entail a cash outflow for the

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 505

company. The amount of the provision is determined from the best estimate, based on experience of similar operations or the opinion of independent experts. The provisions are revised on a regular basis in order to reflect the best current estimate.

As at 30 June, the item "Provisions for risks and charges" amounted to €74.6m (down compared to €97.7m in the previous year) with the component of commitments and guarantees issued decreasing from €30.4m to €22.8m. The component "Other provisions for risks and charges" dropped from €67.3m to €51.8m: in the personnel portion (from €11m to €4.3m) after withdrawals to encourage turnover (€8.2m); the portion to cover legal/tax disputes and other liabilities went from €56.3m to €47.5m after transfers of €9m to the profit and loss account in light of the trend in ongoing legal/tax disputes.

With regard to disputes pending with the Italian Tax Authorities, the following should be noted:

with reference to the alleged failure to apply transparency tax rules as required by the legislation on Controlled Foreign Companies (CFC) on income earned by CMB Monaco and CMG Monaco in the three financial years 2013, 2014 and 2015 (for a total of €53.8m in disputed taxes, plus penalties and interest), three disputes were pending against the tax authorities. In detail, in the dispute relating to financial year 2013/2014 (2013 profits, tax of €21.3m, plus penalties and interest) and in the combined disputes relating to financial years 2014/2015 and 2015/2016 (respectively 2014 and 2015 profits for a total tax of €32.5m, plus penalties and interest), the Bank won the first and second instances of judgement. With regard to the first year, a hearing before the Court of Cassation is pending; with regard to the combined years, on 18 June last, the Italian Revenue Agency notified an appeal before the Court of Cassation, against which Mediobanca filed a counter-appeal on 12 July;

with reference to Mediobanca's alleged failure to withhold taxes from interest paid in the context of a secured financing transaction between the financial years 2014/2015 and 2017/2018 (for a total of €8.1m, plus penalties and interest), the filing of the ruling for 2014 is pending with regard to the first two years after losing the first instance of judgement, while with regard to 2015, following the Bank's victory in the second instance, on 10 April last the second instance Court administration certified that the ruling had become final as the terms for filing the appeal before the Court of Cassation

506 \| Individual financial statements as at 30 June 2024

had expired; in the meantime, with regard to the third year, following the Bank's victory in the first instance, the Italian Revenue Agency notified an appeal on 14 May last, against which the Bank filed a counter-appeal; the session to hear the case was set for 8 November next. Finally, with regard to the last disputed year, a hearing was held on 22 April and the ruling is pending.

The provisions for risks and charges set aside in the financial statements adequately cover the amount mentioned above.

*10.2 Provisions for risks and charges: changes during the period*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Provision <br> to other<br> commitments and<br> other guarantees<br> issued** | **Retirement plans** | **Other provisions<br> for risks and<br> charges** | **Total** |
| A. Balance at start of period |  |  | 67325 | 67325 |
| B. Increases |  |  | 2585 | 2585 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.1 Provision for the year |  |  | 2585 | 2585 |
| &nbsp;&nbsp;&nbsp;&nbsp;B.2 Changes due to the passage of time |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.3 Changes due to discount rate differences |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;B.4 Other changes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *- of which, business combinations* |  |  | *—* | *—* |
| C. Decreases |  |  | 18087 | 18087 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.1 Use during the year |  |  | 18087 | 18087 |
| &nbsp;&nbsp;&nbsp;&nbsp;C.2 Changes due to discount rate differences |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;C.3 Other changes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *- of which, business combinations* |  |  | *—* | *—* |
| D. Balance at end of period |  |  | 51823 | 51823 |

---

*10.3 Provisions for credit risk related to commitments and financial guarantees issued*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Provisions for credit risk related to commitments and financial<br> **guarantees issued** | **Provisions for credit risk related to commitments and financial<br> **guarantees issued** | **Provisions for credit risk related to commitments and financial<br> **guarantees issued** | **Provisions for credit risk related to commitments and financial<br> **guarantees issued** | **Provisions for credit risk related to commitments and financial<br> **guarantees issued** |
|  | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased <br> or originated<br> credit impaired** | **Total** |
| 1. Loan commitments | 6612 | 2072 | 334 |  | 9018 |
| 2. Financial guarantees issued | 12732 | 1064 |  |  | 13796 |
| Total | 19344 | 3136 | 334 |  | 22814 |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 507

**SECTION 12**

**Headings 110, 130, 140, 150, 160, 170 and 180: Net equity**

*12.1 "Capital" and "treasury shares": breakdown*

For the breakdown of the Bank's capital, please see part F of the notes to the accounts.

*12.2 Capital – Number of shares: annual changes*

---

| | |
|:---|:---|
| **Item/Type** | **Ordinary** |
| A. Shares in issue at the start of the period | 849257474 |
| &nbsp;&nbsp;&nbsp;- fully paid up | 849257474 |
| &nbsp;&nbsp;&nbsp;- partially paid up |  |
| &nbsp;&nbsp;&nbsp;A.1 Treasury shares (-) | (8454929) |
| &nbsp;&nbsp;&nbsp;A.2 Shares in issue: opening balance | 840802545 |
| B. Increases | 2846821 |
| &nbsp;&nbsp;&nbsp;B.1 Newly issued shares | 691350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- for consideration |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- business mergers |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- bond conversions |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- exercise of warrants* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- free of charge: | 691350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to employees | 691350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- to directors |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other |  |
| &nbsp;&nbsp;&nbsp;B.2 Disposals of treasury shares | 2155471 |
| &nbsp;&nbsp;&nbsp;B.3 Other changes |  |
| C. Decreases | (17000000) |
| &nbsp;&nbsp;&nbsp;C.1 Cancellation |  |
| &nbsp;&nbsp;&nbsp;C.2 Purchases of treasury shares | (17000000) |
| &nbsp;&nbsp;&nbsp;C.3 Disposals of businesses |  |
| &nbsp;&nbsp;&nbsp;C.4 Other changes |  |
| D. Shares in issue: closing amount | 826649366 |
| &nbsp;&nbsp;&nbsp;D.1 Treasury shares (+) | (6299458) |
| &nbsp;&nbsp;&nbsp;D.2 Shares held at the end of the period | 832948824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- fully paid up | 832948824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- partially paid up |  |

---

On 11 June last, an additional 17,000,000 treasury shares were cancelled, keeping in the portfolio the number needed to cover its performance share plans and other commitments. As part of the performance share plans, 1,981,127 shares were allocated during the year, 1,289,777 of which through treasury

508 \| Individual financial statements as at 30 June 2024

shares and 691,350 through a capital increase. The item "Disposals of treasury shares" includes shares to cover the deferred portion of the plan to acquire the shareholding in the English partnership Arma Partners LLP.

The changes in the Reserve for treasury shares during the year were as follows:

---

| | | |
|:---|:---|:---|
| **Items/Values** | **Number of shares** | **Value (€'000)** |
| Reserve for treasury shares: opening amount at 30 June 2023 | 8454929 | 78876 |
| Increases | 17000000 | 197959 |
| &nbsp;&nbsp;&nbsp;- Newly issued shares |  |  |
| &nbsp;&nbsp;&nbsp;- Purchases of treasury shares | 17000000 | 197959 |
| &nbsp;&nbsp;&nbsp;- Other changes |  |  |
| Decreases | 19155471 | 208006 |
| &nbsp;&nbsp;&nbsp;- Cancellations | 17000000 | 185743 |
| &nbsp;&nbsp;&nbsp;- Disposals of treasury shares | 2155471 | 22263 |
| &nbsp;&nbsp;&nbsp;- Other changes |  |  |
| Reserve for treasury shares: closing amount at 30 June 2024 | 6299458 | 68828 |

---

*12.4* *Net equity: availability and permitted distribution of reserves (Article 2427 of the Italian Civil Code, paragraph 7-bis)* 

When allocating the 2022/23 profits, €210m were set aside to a specific equity reserve pursuant to Law No. 136/2023 "Extra-profits"; the amount was calculated as a multiple (x 2.5) of the calculated tax.

Last May 7, the Shareholders' Meeting of CMB approved an extraordinary payout of €320m, included in the item Dividends; this operation fell within the option under Article 1 of Law No. 197/2022, which in the previous year had led to the allocation of a substitute tax of €19.2m (paid in January) calculated at the reduced rate of 6%. Such tax relief provides for the creation, when allocating the 2023/24 profits, of a specific equity reserve that will be unavailable for at least two financial years.

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 509

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | | | | **Summary of uses in the three** | **Summary of uses in the three** |
|  | | | | **previous financial years** | **previous financial years** |
|  | <br>**Amount** | <br>**Permitted use** | <br>**Available**<br>**portion** | **to cover losses** | **Other** |
| Share capital | 444515 |  |  |  |  |
| Share premium | 2195606 | A – B – C | 2195606 |  |  |
| Reserves |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Legal reserve | 88834 | B | 88834 |  |  |
| &nbsp;&nbsp;&nbsp;- Reserve under the articles of association | 188163 | A – B – C | 188163 |  | 1062031 |
| &nbsp;&nbsp;&nbsp;- Treasury shares reserve | 68828 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Other reserves | 966713 | A – B – C | 966713 |  |  |
| &nbsp;&nbsp;&nbsp;- Reserve under Article 26 of Law-Decree No. 104 of 10/8/23 | 210000 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Unavailable reserves under Article 6 of Legislative Decree No. 38 of 28/2/05 | 26088 |  |  |  |  |
| Revaluation reserves |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- FVOCI revaluation reserve | 111985 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Financial liabilities measured at FV through profit or loss | (32142) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Hedging of cash flows | 1820 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Extraordinary revaluation laws | 9632 | A – B – C | 9632 |  |  |
| &nbsp;&nbsp;&nbsp;- Provision for statutory end-of-service payments | (2313) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Treasury shares | (68828) |  |  |  |  |
| Interim dividend | (421150) |  |  |  |  |
| Total | 3787751 |  | 3448948 |  | 1062031 |
| Non-distributable portion |  |  | 88834 |  |  |
| Residual distributable portion |  |  | 3360114 |  |  |

---

Legend:

A: to increase capital

B: to cover losses

C: to be distributed to shareholders

510 \| Individual financial statements as at 30 June 2024

**Other Information**

*1. Commitments and financial guarantees issued (other than those designated at fair value)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Nominal value of commitments and financial** | **Nominal value of commitments and financial** | **Nominal value of commitments and financial** | **Nominal value of commitments and financial** | | |
|  | **guarantees issued** | **guarantees issued** | **guarantees issued** | **guarantees issued** | | |
|  | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased**<br> **or originated**<br> **credit**<br> **impaired** | <br>**Total** <br> **30 June 2024** | <br>**Total** <br> **30 June 2023** |
| 1. Loan commitments<sup>1</sup> | 18375214 | 54779 | 1515 |  | 18431508 | 12664536 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |  |  |  | 2901 |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 7891708 |  |  |  | 7891708 | 3158938 |
| &nbsp;&nbsp;&nbsp;c) Banks | 289898 |  |  |  | 289898 | 537139 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 1911242 | 33230 |  |  | 1944472 | 1392761 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 7766095 | 21549 | 1515 |  | 7789159 | 7055803 |
| &nbsp;&nbsp;&nbsp;f) Households | 516271 |  |  |  | 516271 | 516994 |
| 2. Financial guarantees issued | 8046664 | 57416 |  |  | 8104080 | 6376637 |
| &nbsp;&nbsp;&nbsp;a) Central Banks |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;b) Public administrations | 40000 |  |  |  | 40000 | 120000 |
| &nbsp;&nbsp;&nbsp;c) Banks | 3385544 |  |  |  | 3385544 | 2209846 |
| &nbsp;&nbsp;&nbsp;d) Other financial companies | 2603635 | 52418 |  |  | 2656053 | 1404880 |
| &nbsp;&nbsp;&nbsp;e) Non-financial companies | 2001814 | 4998 |  |  | 2006812 | 2626997 |
| &nbsp;&nbsp;&nbsp;f) Households | 15671 |  |  |  | 15671 | 14914 |

---

<sup>1</sup> As of the current financial year, the item includes syndicated underwriting commitments.

*2. Other commitments and guarantees issued*

---

| | | |
|:---|:---|:---|
|  | **Nominal Value** | **Nominal Value** |
|  | **Total**<br>**30 June 2024** | **Total**<br>**30 June 2023** |
| 1. Other guarantees issued | 103278 | 140692 |
| &nbsp;&nbsp;&nbsp;*of which: non-performing* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Public administrations |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Banks | 864 | 2690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Other financial companies | 41245 | 47708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;e) Non-financial companies | 19071 | 24803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;f) Households | 42098 | 65491 |
| 2. Other commitments | *—* |  |
| &nbsp;&nbsp;&nbsp;*of which: non-performing* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Central Banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Public administrations | *—* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Banks |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Other financial companies |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;e) Non-financial companies | *—* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;f) Households |  |  |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 511

*3. Assets established as collateral to secure own liabilities and commitments*

---

| | | |
|:---|:---|:---|
| <br>**Portfolios** | **Amount**<br>**30 June 2024** | **Amount**<br>**30 June 2023** |
| 1. Financial assets measured at fair value through profit or loss | 6815242 | 2957778 |
| 2. Financial assets measured at fair value through other comprehensive income | 4495654 | 2278435 |
| 3. Financial assets measured at amortized cost | 5980491 | 9978489 |
| 4. Tangible assets |  |  |
| &nbsp;&nbsp;&nbsp;*of which: tangible assets that constitute inventories* | *—* | *—* |
| 5. Equity Investments | 117386 | 22765 |

---

*4. Assets managed on behalf of third parties*

---

| | | |
|:---|:---|:---|
| <br>**Type of service** | **Amount**<br>**30 June 2024** | **Amount**<br>**30 June 2023** |
| 1. Orders execution on behalf of customers |  |  |
| &nbsp;&nbsp;&nbsp;a) purchases | 62573919 | 50053053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. settled | 62499517 | 49699700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. unsettled | 74402 | 353353 |
| &nbsp;&nbsp;&nbsp;b) sales | 52948884 | 41972612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. settled | 52874482 | 41619259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. unsettled | 74402 | 353353 |
| 2. Individual asset management<sup>1</sup> | 10846156 | 10259551 |
| 3. Custody and administration of securities |  |  |
| &nbsp;&nbsp;&nbsp;a) third-party securities deposited: relating to depositary banks activities (excluding portfolio management) | 10683292 | 9097812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. securities issued by the bank that prepares the financial statements | 1425048 | 2524304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. other securities | 9258244 | 6573508 |
| &nbsp;&nbsp;&nbsp;b) third-party securities deposited (excluding portfolio management): other | 13132130 | 11098885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. securities issued by the bank that prepares the financial statements |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. other securities | 13132130 | 11098885 |
| &nbsp;&nbsp;&nbsp;c) third-party securities deposited with third parties | 1475281 | 1189715 |
| &nbsp;&nbsp;&nbsp;d) own securities deposited with third parties | 14055972 | 15476042 |
| 4. Other transactions |  |  |

---

<sup>(1)</sup> Entirely attributable to the Private Banking division.

512 \| Individual financial statements as at 30 June 2024

*5. Financial assets subject to netting arrangements or master netting or similar agreements*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not offset** | **Related amounts not offset** | | |
| <br>**Instrument type** |<br>**Gross amount**<br>**of financial**<br>**assets (a)** | **Amount of**<br>**financial**<br>**liabilities**<br>**offset (b) (1)** | **Net amount of**<br>**financial**<br>**assets**<br>**stated (c=a-b)** |<br>**Financial**<br>**instruments (d)** | **Cash deposits**<br>**received as**<br>**guarantee (e)** |<br>**Net amount**<br>**(f=c-d-e)**<br>**30 June 2024** |<br>**Net amount**<br>**30 June**<br>**2023** |
| 1. Derivatives | 869567 |  | 869567 | 316588 | 138729 | 414250 |  |
| 2. Reverse repos | 5375005 |  | 5375005 | 5375005 |  |  |  |
| 3. Securities lending |  |  |  |  |  |  |  |
| 4. Other |  |  |  |  |  |  |  |
| Total 30 June 2024 | 6244572 |  | 6244572 | 5691593 | 138729 | 414250 | X |
| Total 30 June 2023 | 6888957 | 1870581 | 5018376 | 4839117 | 76675 | X | 102584 |

---

<sup>(1)</sup> Relating to transactions in derivative financial instruments with a central counterparty with which there is a master netting agreement in place with daily income computation.

*6. Financial liabilities subject to netting arrangements or master netting or similar agreements*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Related amounts not offset** | **Related amounts not offset** | | |
| <br>**Instrument type** |<br>**Gross amount**<br>**of financial<br> liabilities (a)** | **Amount of**<br>**financial**<br>**assets <br> offset (b)** | **Net amount of**<br>**financial**<br>**liabilities <br> stated (c=a-b)** | <br>**Financial <br> instruments (d)** | **Cash deposits**<br>**established as guarantee (e)** |<br>**Net amount**<br>**(f=c-d-e) <br> 30 June 2024** | **Net amount** <br>**(f=c-d-e)** <br>**30 June <br> 2023** |
| 1. Derivatives | 2869832 | 760539 | 2109293 | 647224 | 1292215 | 169854 | 568163 |
| 2. Reverse repos | 10096131 |  | 10096131 | 10096131 |  |  |  |
| 3. Securities lending |  |  |  |  |  |  |  |
| 4. Other |  |  |  |  |  |  |  |
| Total 30 June 2024 | 12965963 | 760539 | 12205424 | 10743355 | 1292215 | 169854 | X |
| Total 30 June 2023 | 7630701 |  | 7630701 | 5470640 | 1591898 | X | 568163 |

---

Notes to the accounts \| Part B - Notes to the Individual Balance Sheet \| 513

*7. Securities lending transactions<sup>1</sup>* 

---

| | | | |
|:---|:---|:---|:---|
| | **Type of security** | **Type of security** | **Type of security** |
| <br>**Type of securities lending transaction** | **Government**<br>**securities** | **Bank**<br>**securities** | **Other**<br>**securities** |
| 1. Cash-collateralized securities lending received from: |  | 97823 | 173604 |
| &nbsp;&nbsp;&nbsp;a) Banks |  | 96965 | 173263 |
| &nbsp;&nbsp;&nbsp;b) Financial institutions |  | 858 | 341 |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  |  |
| 2. Cash-collateralized securities lending provided to: |  | (236955) | (605806) |
| &nbsp;&nbsp;&nbsp;a) Banks |  | (236955) | (605806) |
| &nbsp;&nbsp;&nbsp;b) Financial institutions |  |  |  |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  |  |
| Total securities lending (book value) |  | (139132) | (432202) |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Type of security** | **Type of security** | **Type of security** |
| <br>**Type of securities lending transaction** | **Government**<br>**securities** | **Bank**<br>**securities** | **Other**<br>**securities** |
| 1. Security-collateralized or non-collateralized securities lending received from: | 86121 | 888825 | 3847512 |
| &nbsp;&nbsp;&nbsp;a) Banks | 1454 | 598027 | 3847435 |
| &nbsp;&nbsp;&nbsp;b) Financial institutions | 84667 | 290798 |  |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  | 77 |
| 2. Security-collateralized or non-collateralized securities lending provided to: | (1928711) | (965917) | (1640134) |
| &nbsp;&nbsp;&nbsp;a) Banks | (707223) | (965917) | (1040581) |
| &nbsp;&nbsp;&nbsp;b) Financial institutions | (1221488) |  | (599553) |
| &nbsp;&nbsp;&nbsp;c) Customers |  |  | —- |
| Total securities lending (fair value) | (1842590) | (77092) | 2207378 |

---

<sup>(1)</sup> The tables below illustrate the Bank's operations in securities lending (and borrowing), broken down by type of instrument (government securities, bank securities and others), market counterparty (banks, financial intermediaries and clients) and form (loan secured by cash, other instruments, or unsecured).

Securities lending transactions for which collateral is put up in the form of cash fully available to the borrower are represented in the balance sheet as amounts due to or from banks or customers under the heading "repos". Securities lending transactions for which collateral is put up in the form of other instruments, or which are unsecured, are represented as "off-balance-sheet exposures".

514 \| Individual financial statements as at 30 June 2024

**Part C - Notes to the Profit and Loss Account**

**SECTION 1**

**Headings 10 and 20: Net interest income**

*1.1 Interest and similar income: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Items/Instrument type** |<br>**Debt**<br>**securities** |<br>**Loans** |<br>**Other**<br>**transactions** | **12 mths**<br>**ended**<br>**30/6/24** | **12 mths**<br>**ended**<br>**30/6/23** |
| 1. Financial assets measured at fair value through profit or loss: | 88700 | 23073 |  | 111773 | 90829 |
| &nbsp;&nbsp;&nbsp;1.1 Financial assets held for trading | 83559 | 2664 |  | 86223 | 70188 |
| &nbsp;&nbsp;&nbsp;1.2 Financial assets designated at fair value | 5097 | 20409 |  | 25506 | 20460 |
| &nbsp;&nbsp;&nbsp;1.3 Other financial assets mandatorily measured at fair value | 44 |  |  | 44 | 181 |
| 2. Financial assets measured at fair value through other com-prehensive income | 217787 |  | X | 217787 | 129128 |
| 3. Financial assets measured at amortized cost: | 146282 | 2310670 |  | 2456952 | 1519122 |
| &nbsp;&nbsp;&nbsp;3.1 Due from banks | 48548 | 1409471 | X | 1458019 | 896094 |
| &nbsp;&nbsp;&nbsp;3.2 Due from customers | 97734 | 901199 | X | 998933 | 623028 |
| 4. Hedging derivatives | X | X |  |  |  |
| 5. Other assets | X | X | 145 | 145 | 396 |
| 6. Financial liabilities <sup>(1)</sup> | X | X | X | 1 | 756 |
| Total | 452769 | 2333743 | 145 | 2786658 | 1740231 |
| &nbsp;&nbsp;&nbsp;*of which: interest income on impaired assets* | *—* | *875* | *—* | *875* | *2443* |
| &nbsp;&nbsp;&nbsp;*of which: interest income from finance leases* | *X* | *7* | *X* | *7* | *1* |

---

<sup>(1)</sup> Heading 6 "Financial liabilities" includes interest expense accrued as a result of negative rates.

*1.2 Interest and similar income: other information*

*1.2.1. Interest income on financial assets in foreign currencies*

As at 30 June 2024, the balance of the account included €145.7m in connection with financial assets in foreign currencies.

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 515

*1.3 Interest expenses and similar charges: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Items/Instrument type** |<br>**Payables** |<br>**Account** |<br>**Other**<br>**transactions** | **12 mths**<br>**ended**<br>**30/6/24** | **12 mths**<br>**ended**<br>**30/6/23** |
| 1. Financial liabilities measured at amortized cost | (1342227) | (559610) |  | (1901837) | (1092909) |
| &nbsp;&nbsp;&nbsp;1.1 Due to central banks | (96882) | X | X | (96882) | (105542) |
| &nbsp;&nbsp;&nbsp;1.2 Due to banks | (982133) | X | X | (982133) | (494729) |
| &nbsp;&nbsp;&nbsp;1.3 Due to customers | (263212) | X | X | (263212) | (96332) |
| &nbsp;&nbsp;&nbsp;1.4 Securities in issue | X | (559610) | X | (559610) | (396306) |
| 2. Trading financial liabilities |  |  |  |  |  |
| 3. Financial liabilities designated at Fair Value | (3820) | (24637) |  | (28457) | (21418) |
| 4. Other liabilities and funds | X | X | (350) | (350) |  |
| 5. Hedging derivatives <sup>(1)</sup> | X | X | (494097) | (494097) | (290974) |
| 6. Financial assets <sup>(2)</sup> | X | X | X |  | (2394) |
| Total | (1346047) | (584247) | (494447) | (2424741) | (1407695) |
| *of which: interest expense relating to lease liabilities* | *(350)* | *X* | *X* | *(350)* | *(253)* |

---

<sup>(1)</sup> Mostly hedges of funding.

<sup>(2)</sup> The heading "6 Financial assets" includes interest expense accrued as a result of negative rates.

*1.4 Interest expense and similar charges: other information*

As at 30 June 2024, the balance of the account included €121m in connection with financial liabilities in foreign currencies.

*1.5 Margins on hedging transactions*

---

| | | |
|:---|:---|:---|
| <br>**Items** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| A. Positive margins on hedging transactions | 2032509 | 744426 |
| B. Negative margins on hedging transactions | (2526606) | (1035400) |
| C. Net balance (A-B) | (494097) | (290974) |

---

516 \| Individual financial statements as at 30 June 2024

**SECTION 2**

**Heading 40 and 50: Net fee and commission income**

*2.1 Fee and commission income: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Values** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| a) Financial instruments | 141.470 | 134.289 |
| &nbsp;&nbsp;&nbsp;1. Placement of securities | 75.015 | 78.675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.1 Underwriting commitment and/or based on an irrevocable commitment |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.2 Without an irrevocable commitment | 75.015 | 78.675 |
| &nbsp;&nbsp;&nbsp;2. Receipt and sending of orders and execution of orders on behalf of clients | 85 | 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Receipt and sending of orders for one or more financial instruments | 85 | 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Execution of orders on behalf of customers |  |  |
| &nbsp;&nbsp;&nbsp;3. Other commissions associated with activities linked to financial instruments | 66.370 | 55.541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: trading on own account* | *27.148* | *20.167* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: management of individual portfolio* | *39.222* | *35.374* |
| b) Corporate Finance | 121.444 | 103.760 |
| &nbsp;&nbsp;&nbsp;1. Advice on mergers and acquisitions | 121.444 | 103.760 |
| &nbsp;&nbsp;&nbsp;2. Treasury services |  |  |
| &nbsp;&nbsp;&nbsp;3. Other fees associated with corporate finance services |  |  |
| c) Advice on investments | 8.508 | 4.343 |
| d) Netting and settlement |  |  |
| e) Custody and administration | 19.883 | 16.497 |
| &nbsp;&nbsp;&nbsp;1. Depository bank | 7.458 | 7.458 |
| &nbsp;&nbsp;&nbsp;2. Other fees associated with custody and administration | 12.425 | 9.039 |
| f) Central administrative services for collective portfolio management |  |  |
| g) Fiduciary activities |  |  |
| h) Payment services | 437 | 469 |
| &nbsp;&nbsp;&nbsp;1. Current accounts | 421 | 457 |
| &nbsp;&nbsp;&nbsp;2. Credit cards |  |  |
| &nbsp;&nbsp;&nbsp;3. Debit cards and other payment cards |  |  |
| &nbsp;&nbsp;&nbsp;4. Wire transfers and payment orders | 16 | 12 |
| &nbsp;&nbsp;&nbsp;5. Other fees linked to payment services |  |  |
| i) Distribution of third-party services | 13.088 | 14.119 |
| &nbsp;&nbsp;&nbsp;1. Collective portfolio management | 5.927 | 5.056 |
| &nbsp;&nbsp;&nbsp;2. Insurance products | 5.192 | 6.520 |
| &nbsp;&nbsp;&nbsp;3. Other products | 1.969 | 2.543 |
| &nbsp;&nbsp;&nbsp;*of which: individual portfolio management* | *1.969* | *2.543* |
| j) Structured finance |  |  |
| k) Securitization servicing |  |  |
| l) Loan commitments | 76.819 | 65.630 |
| m) Financial guarantees issued | 10.034 | 8.272 |
| &nbsp;&nbsp;&nbsp;*of which: credit derivatives* | *—* | *—* |
| n) Financing transactions |  |  |
| &nbsp;&nbsp;&nbsp;*of which: factoring services* | *—* | *—* |
| o) Currency negotiation |  |  |
| p) Commodities |  |  |
| q) Other fee and commission income | 19.347 | 8.268 |
| &nbsp;&nbsp;&nbsp;*of which: for the management of multilateral trading facilities* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;*of which: for the management of organized trading systems* | *—* | *—* |
| Total | 411.030 | 355.647 |

---

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 517

*2.2 Fee and commission income: product and service distribution channels*

---

| | | |
|:---|:---|:---|
| <br>**Channel/Amounts** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| a) at own branches: | 127325 | 128168 |
| &nbsp;&nbsp;&nbsp;1. portfolio management | 39222 | 35374 |
| &nbsp;&nbsp;&nbsp;2. placement of securities | 75015 | 78675 |
| &nbsp;&nbsp;&nbsp;3. services and products of third parties | 13088 | 14119 |
| b) off-site supply: |  |  |
| &nbsp;&nbsp;&nbsp;1. portfolio management |  |  |
| &nbsp;&nbsp;&nbsp;2. placement of securities |  |  |
| &nbsp;&nbsp;&nbsp;3. services and products of third parties |  |  |
| c) other distribution channels: |  |  |
| &nbsp;&nbsp;&nbsp;1. portfolio management |  |  |
| &nbsp;&nbsp;&nbsp;2. placement of securities |  |  |
| &nbsp;&nbsp;&nbsp;3. services and products of third parties |  |  |

---

*2.3 Fee and commission expenses: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Services/Amounts** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| a) Financial instruments | (29300) | (21875) |
| &nbsp;&nbsp;&nbsp;*of which: securities trading* | *(6998)* | *(5810)* |
| &nbsp;&nbsp;&nbsp;*of which: financial instruments placement* | *(8039)* | *(4265)* |
| &nbsp;&nbsp;&nbsp;*of which: management of individual portfolio* | *(14263)* | *(11800)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Own assets | (14263) | (11800) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Under mandate to third parties |  |  |
| b) Netting and settlement |  |  |
| c) Custody and administration | (2980) | (2690) |
| d) Collection and payment services | (9320) | (7292) |
| &nbsp;&nbsp;&nbsp;*of which: credit cards, debit cards and other payment cards* | *—* | *—* |
| e) Securitization servicing |  |  |
| f) Borrowing commitments |  |  |
| g) Financial guarantees received |  |  |
| *of which: credit derivatives* | *—* | *—* |
| h) Off-site distribution of financial instruments, products and services |  |  |
| i) Currency negotiation |  |  |
| j) Other fee and commission expense | (24879) | (28108) |
| Total | (66479) | (59965) |

---

518 \| Individual financial statements as at 30 June 2024

**SECTION 3**

**Heading 70: Dividends and similar income**

*3.1 Dividends and similar income: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** |
| <br>**Items/Income** | **Dividends** | **Similar income** | **Dividends** | **Similar income** |
| A. Financial assets held for trading | 108278 | 4 | 62524 | 24 |
| B. Other financial assets mandatorily measured at fair value |  | 17914 |  | 10451 |
| C. Financial assets measured at fair value through other comprehensive income | 24480 |  | 18472 |  |
| D. Equity investments | 1041178 |  | 527323 |  |
| Total | 1173936 | 17918 | 608319 | 10475 |

---

**SECTION 4**

**Heading 80: Net trading income**

*4.1 Net trading income: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Transactions/Income components** | **Capital**<br>**gains (A)** | **Trading**<br>**income (B)** | **Capital**<br>**losses (C)** | **Trading**<br>**losses (D)** | **Net income**<br>**[(A+B) - (C+D)]** |
| 1. Financial assets held for trading | 226103 | 438357 | (224123) | (300027) | 140310 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities | 70183 | 186567 | (57673) | (181852) | 17225 |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities | 155904 | 250087 | (166373) | (116892) | 122726 |
| &nbsp;&nbsp;&nbsp;1.3 UCIT units |  | 1703 | (77) | (1283) | 343 |
| &nbsp;&nbsp;&nbsp;1.4 Loans | 16 |  |  |  | 16 |
| &nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |  |  |
| 2. Trading financial liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Liabilities |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Other |  |  |  |  |  |
| 3. Financial assets and liabilities: currency exchange gains/losses | X | X | X | X | 7482 |
| 4. Derivative instruments | 2290369 | 2918346 | (1790686) | (3532962) | (119124) |
| &nbsp;&nbsp;&nbsp;4.1 Financial derivatives: | 1963172 | 2485649 | (1498980) | (3138902) | (193252) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- On debt securities and interest rates<sup>1</sup> | 1481728 | 1690151 | (757807) | (2365715) | 48357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- On equity securities and stock indexes | 459609 | 779795 | (724210) | (755044) | (239850) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- On currencies and gold | X | X | X | X | (4191) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other | 21835 | 15703 | (16963) | (18143) | 2432 |
| &nbsp;&nbsp;&nbsp;4.2 Credit derivatives | 327197 | 432697 | (291706) | (394060) | 74128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*of which: natural hedges related to the fair value option* | *X* | *X* | *X* | *X* |  |
| Total | 2516472 | 3356703 | (2014809) | (3832989) | 28668 |

---

<sup>(1)</sup> Of which €35,069 in positive margins on interest rate derivatives (a negative €4,776 at 30 June 2023).

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 519

**SECTION 5**

**Heading 90: Net hedging income (expense)**

*5.1 Net hedging income (expense): breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Income components/Amounts** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| A. Gains from: |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Fair value hedging instruments | 1049562 | 305565 |
| &nbsp;&nbsp;&nbsp;A.2 Hedged asset items (fair value) | 389945 | 145523 |
| &nbsp;&nbsp;&nbsp;A.3 Hedged liability items (fair value) | 56581 | 615009 |
| &nbsp;&nbsp;&nbsp;A.4 Cash flow hedging derivatives |  |  |
| &nbsp;&nbsp;&nbsp;A.5 Assets and liabilities denominated in foreign currency |  |  |
| Total gains on hedging activities (A) | 1496088 | 1066417 |
| B. Losses on: |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Fair value hedging instruments | (738386) | (947924) |
| &nbsp;&nbsp;&nbsp;B.2 Hedged asset items (fair value) | (57316) | (64485) |
| &nbsp;&nbsp;&nbsp;B.3 Hedged liability items (fair value) | (699724) | (50296) |
| &nbsp;&nbsp;&nbsp;B.4 Cash flow hedging derivatives |  |  |
| &nbsp;&nbsp;&nbsp;B.5 Assets and liabilities denominated in foreign currency |  |  |
| Total losses on hedging activities (B) | (1495426) | (1062705) |
| C. Net income (expense) from hedging activities (A-B) | 662 | 3712 |
| &nbsp;&nbsp;&nbsp;*of which: income (expense) from hedges on net positions* | *—* | *—* |

---

520 \| Individual financial statements as at 30 June 2024

**SECTION 6**

**Heading 100: Gains (losses) on disposals/repurchases**

*6.1 Gains (losses) on disposals/repurchases: breakdown*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** | **12 mths ended 30/6/23** |
| <br>**Items/Income components** | **Gains** | **Losses** | **Net gain** **(loss)** | **Gains** | **Losses** | **Net gain** **(loss)** |
| A. Financial assets |  |  |  |  |  |  |
| 1. Financial assets measured at amortized cost | 6992 | (1511) | 5481 | 8309 | (37) | 8272 |
| &nbsp;&nbsp;&nbsp;1.1 Due from banks | 5 |  | 5 |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Due from customers | 6987 | (1511) | 5476 | 8309 | (37) | 8272 |
| 2. Financial assets measured at fair value through other comprehensive income | 11940 | (5509) | 6431 | 7117 | (13856) | (6739) |
| &nbsp;&nbsp;&nbsp;2.1 Debt securities | 11940 | (5509) | 6431 | 7117 | (13856) | (6739) |
| &nbsp;&nbsp;&nbsp;2.2 Loans |  |  |  |  |  |  |
| Total assets (A) | 18932 | (7020) | 11912 | 15426 | (13893) | 1533 |
| B. Financial liabilities measured at amortized cost |  |  |  |  |  |  |
| 1. Due to banks |  |  |  |  |  |  |
| 2. Due to customers |  |  |  |  |  |  |
| 3. Securities in issue | 3889 | (3290) | 599 | 7489 | (687) | 6802 |
| Total liabilities (B) | 3889 | (3290) | 599 | 7489 | (687) | 6802 |

---

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 521

**SECTION 7**

**Heading 110: Net income (expense) from other financial assets and liabilities measured at fair value through profit or loss**

*7.1* *Net change in the value of other financial assets and liabilities measured at fair value through profit or loss: breakdown of financial assets and liabilities designated at fair value* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Transactions/ Income components** | **Capital gains<br> (A)** | **Gains on disposal<br> (B)** | **Capital losses<br> (C)** | **Losses on disposal <br> (D)** | **Net income <br> (expense)<br> [(A+B) - (C+D)]** |
| 1. Financial assets | 40740 | 6015 | (604) | (19) | 46132 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities | 507 | 6015 | (604) | (19) | 5899 |
| &nbsp;&nbsp;&nbsp;1.2 Loans | 40233 |  |  |  | 40233 |
| 2. Financial liabilities | 153185 | 23 | (100195) | (85971) | (32958) |
| &nbsp;&nbsp;&nbsp;2.1 Securities in issue <sup>(1)</sup> | 42218 | 23 | (95341) | (85971) | (139071) |
| &nbsp;&nbsp;&nbsp;2.2 Due to banks | 62 |  | (627) |  | (565) |
| &nbsp;&nbsp;&nbsp;2.3 Due to customers <sup>(2)</sup> | 110905 |  | (4227) |  | 106678 |
| 3. Foreign-currency denominated financial assets and liabilities: currency exchange gains/losses | X | X | X | X | (263) |
| Total | 193925 | 6038 | (100799) | (85990) | 12911 |

---

<sup>(1)</sup> Valuation that includes any certificates issued.

<sup>(2)</sup> Relating to financing linked to securities exchange transactions with insurance counterparties.

Both cases are covered by derivatives and other financial instruments whose value is measured under heading 80.

*7.2* *Net change in the value of other financial assets and liabilities measured at fair value through profit or loss: breakdown of other financial assets mandatorily measured at fair value* 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Transactions/Income components** | **Capital gains<br> (A)** | **Gains on disposal<br> (B)** | **Capital losses <br> (C)** | **Losses on disposal<br> (D)** | **Net income <br> (expense) <br> [(A+B) - (C+D)]** |
| 1. Financial assets | 30876 | 67 | (14463) | (96) | 16384 |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities |  | 7 | (97) | (31) | (121) |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities | 1020 |  |  |  | 1020 |
| &nbsp;&nbsp;&nbsp;1.3 UCIT units | 29856 | 60 | (14366) | (65) | 15485 |
| &nbsp;&nbsp;&nbsp;1.4 Loans |  |  |  |  |  |
| 2. Foreign-currency denominated financial assets: currency exchange gains/losses | X | X | X | X | (374) |
| Total | 30876 | 67 | (14463) | (96) | 16010 |

---

522 \| Individual financial statements as at 30 June 2024

**SECTION 8**

**Heading 130: Net value adjustments (write-backs) for credit risk**

*8.1* *Net value adjustments for credit risk related to financial assets measured at amortized cost: breakdown* 

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Write-backs<sup>2</sup>** | **Write-backs<sup>2</sup>** | **Write-backs<sup>2</sup>** | **Write-backs<sup>2</sup>** | | |
| | | | **Stage 3** | **Stage 3** | ***Purchased or originated credit impaired assets*** | ***Purchased or originated credit impaired assets*** | | | | ***Purchased or originated credit impaired*** | | |
| <br>**Transactions/Income**<br>**Components** |<br>**Stage 1** |<br>**Stage 2** | ***Write-offs*** | **Other** | ***Write-offs*** | **Other** |<br>**Stage 1** |<br>**Stage 2** |<br>**Stage 3** | ***assets*** |<br>**12 mths ended**<br>**30/6/24** |<br>**12 mths ended**<br>**30/6/23** |
| A. Due from banks | (10441) |  |  |  |  |  | 10318 |  |  |  | (123) | (583) |
| &nbsp;&nbsp;- Loans | (9632) |  |  |  |  |  | 9383 |  |  |  | (249) | (719) |
| &nbsp;&nbsp;- Debt securities | (809) |  |  |  |  |  | 935 |  |  |  | 126 | 136 |
| B. Due from customers | (9386) | (16532) |  | (3351) |  |  | 16232 | 8735 | 1425 |  | (2877) | (53444) |
| &nbsp;&nbsp;- Loans | (6690) | (10877) |  | (3351) |  |  | 13535 | 3914 | 1425 |  | (2044) | (50257) |
| &nbsp;&nbsp;- Debt securities | (2696) | (5655) |  |  |  |  | 2697 | 4821 |  |  | (833) | (3187) |
| Total | (19827) | (16532) |  | (3351) |  |  | 26550 | 8735 | 1425 |  | (3000) | (54027) |

---

*8.2* *Net value adjustments for credit risk related to financial assets measured at fair value through other comprehensive income: breakdown* 

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Value adjustments<sup>1</sup>** | **Write-backs<sup>2</sup>** | **Write-backs<sup>2</sup>** | **Write-backs<sup>2</sup>** | **Write-backs<sup>2</sup>** | | |
| | | | **Stage 3** | **Stage 3** | ***Purchased or originated credit impaired assets*** | ***Purchased or originated credit impaired assets*** | | | | ***Purchased or originated credit impaired*** | | |
| <br>**Transactions/Income**<br>**Components** |<br>**Stage 1** |<br>**Stage 2** | ***Write-offs*** | **Other** | ***Write-offs*** | **Other** |<br>**Stage 1** |<br>**Stage 2** |<br>**Stage 3** | ***assets*** |<br>**12 mths ended**<br>**30/6/24** |<br>**12 mths ended**<br>**30/6/23** |
| A. Debt securities | (5853) | (379) |  |  |  |  | 3491 | 743 |  |  | (1998) | 716 |
| B. Loans |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;- To customers |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;- To banks |  |  |  |  |  |  |  |  |  |  |  |  |
| Total | (5853) | (379) |  |  |  |  | 3491 | 743 |  |  | (1998) | 716 |

---

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 523

**SECTION 10**

**Heading 160: Administrative expenses**

*10.1 Personnel costs: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of expense/Amounts** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1) Employees: | (298000) | (278433) |
| &nbsp;&nbsp;&nbsp;a) wages and salaries | (220789) | (204054) |
| &nbsp;&nbsp;&nbsp;b) social security contributions | (45481) | (47184) |
| &nbsp;&nbsp;&nbsp;c) end-of-service payments | (304) | (209) |
| &nbsp;&nbsp;&nbsp;d) social security costs |  |  |
| &nbsp;&nbsp;&nbsp;e) provision for statutory end-of-service payments | (8294) | (8765) |
| &nbsp;&nbsp;&nbsp;f) provision for retirement plans and similar provisions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined-contribution |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined-benefit |  |  |
| &nbsp;&nbsp;&nbsp;g) payments to external supplemental pension funds: | (7431) | (7445) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined-contribution | (7431) | (7445) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- defined-benefit |  |  |
| &nbsp;&nbsp;&nbsp;h) expenses resulting from share-based payments | (12271) | (7264) |
| &nbsp;&nbsp;&nbsp;i) other employees' benefits | (3430) | (3512) |
| 2) Other staff in service | (5053) | (4088) |
| 3) Directors and Statutory Auditors | (4948) | (4666) |
| 4) Early retirement costs | (2952) | (3042) |
| 5) Recoveries of expenses for employees seconded to other companies | 1018 | 1429 |
| 6) Reimbursements of expenses for third-party employees seconded to the company |  |  |
| Total | (309935) | (288800) |

---

*10.2 Average number of employees by category*

---

| | | |
|:---|:---|:---|
|  | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| Employees: |  |  |
| &nbsp;&nbsp;&nbsp;a) Senior executives | 327 | 299 |
| &nbsp;&nbsp;&nbsp;b) Middle managers | 683 | 650 |
| &nbsp;&nbsp;&nbsp;c) Other employees | 145 | 139 |
| Other staff | 115 | 111 |
| Total | 1270 | 1199 |

---

524 \| Individual financial statements as at 30 June 2024

*10.5 Other administrative expenses: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Type of service/Values** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| OTHER ADMINISTRATIVE EXPENSES |  |  |
| &nbsp;&nbsp;&nbsp;- legal, tax and professional services | (41791) | (35800) |
| &nbsp;&nbsp;&nbsp;- loan recovery activity |  |  |
| &nbsp;&nbsp;&nbsp;- marketing and communications | (7309) | (5629) |
| &nbsp;&nbsp;&nbsp;- real property expenses | (5628) | (4893) |
| &nbsp;&nbsp;&nbsp;- EDP | (100663) | (87046) |
| &nbsp;&nbsp;&nbsp;- info-providers | (30898) | (27785) |
| &nbsp;&nbsp;&nbsp;- bank charges, collection and payment fees | (1169) | (1372) |
| &nbsp;&nbsp;&nbsp;- operating expenses | (7512) | (6851) |
| &nbsp;&nbsp;&nbsp;- other personnel costs | (7365) | (5754) |
| &nbsp;&nbsp;&nbsp;- other <sup>(1)</sup> | (22184) | (53575) |
| &nbsp;&nbsp;&nbsp;- indirect taxes and duties | (35674) | (25795) |
| Total other administrative expenses | (260193) | (254500) |

---

<sup>(1)</sup> This item includes contributions to the various resolution funds: €3.9m (€36.2m as at 30 June 2023), which includes €0.7m relating to the last DGS instalment accrued on the account stock as at 31 March 2024 and deposited in early July.

**SECTION 11**

**Heading 170: Net transfers to provisions for risks and charges**

*11.1* *Net transfers for credit risk related to commitments to disburse funds and financial guarantees given: breakdown* 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | |
|  | **Provisions** | **Reallocation of surplus** | **Total** |<br>**12 mths ended** **<br> 30/6/23 <br> Total** |
| Loan commitments | (3294) | 4595 | 1301 | 1833 |
| Financial guarantees issued | (9388) | 14958 | 5570 | 12851 |
| Total | (12682) | 19553 | 6871 | 14684 |

---

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 525

*11.3 Net transfers to other provisions for risks and charges: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** | |
|  | **Provisions** | **Reallocation of surplus** | **Total** |<br>**12 mths ended <br> 30/6/23**<br> **Total** |
| 1. Other provisions |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Legal disputes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Personnel expenses |  |  |  | (10000) |
| &nbsp;&nbsp;&nbsp;1.3 Other | (1085) | 8907 | 7822 | 8077 |
| Total | (1085) | 8907 | 7822 | (1923) |

---

**SECTION 12**

**Heading 180: Net value adjustments to/write-backs of tangible assets**

*12.1 Net value adjustments to/write-backs of tangible assets: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Asset/Income component** | **Depreciation**<br>**(a)** | **Impairment losses**<br>**(b)** | **Write-backs**<br>**(c)** | **Net profit (loss)**<br>**(a + b - c)** |
| A. Property, plant, and equipment |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1 Core | (9314) |  |  | (9314) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Owned | (2944) |  |  | (2944) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Right-of-use assets | (6370) |  |  | (6370) |
| &nbsp;&nbsp;&nbsp;2 Held for investment purpose | (426) |  |  | (426) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Owned | (426) |  |  | (426) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Right-of-use assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3 Inventories | X |  |  |  |
| Total | (9740) |  |  | (9740) |

---

526 \| Individual financial statements as at 30 June 2024

**SECTION 13**

**Heading 190: Net value adjustments to/write-backs of intangible assets**

*13.1 Net value adjustments to/write-backs of intangible assets: breakdown*

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>**Asset/Income component** | **Amortization**<br>**(a)** | **Impairment losses**<br>**(b)** | **Write-backs**<br>**(c)** | **Net profit (loss)**<br>**(a + b - c)** |
| A. Intangible assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;*of which: software* | *(706)* |  |  | *(706)* |
| &nbsp;&nbsp;&nbsp;A.1 owned | (706) |  |  | (706) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Generated by the company internally |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other | (706) |  |  | (706) |
| &nbsp;&nbsp;&nbsp;A.2 Right-of-use assets |  |  |  |  |
| Total | (706) |  |  | (706) |

---

**SECTION 14**

**Heading 200: Other operating income (expense)**

*14.1 Other operating expenses: breakdown*

---

| | | |
|:---|:---|:---|
| **Type of service/Values** | **12 mths ended** 30/6/24** | **12 mths ended** 30/6/23** |
| a) Leases |  |  |
| b) Sundry costs and expenses | (4026) | (16193) |
| Total other operating expenses | (4026) | (16193) |

---

*14.2 Other operating income: breakdown*

---

| | | |
|:---|:---|:---|
| **Type of service/Values** | **12 mths ended** 30/6/24** | **12 mths ended** 30/6/23** |
| a) Amounts recovered from customers | 27439 | 20229 |
| b) Other income | 25553 | 21628 |
| Total other operating income | 52992 | 41857 |

---

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 527

**SECTION 15**

**Heading 220: Gains (losses) on equity investments**

*15.1 Gains (losses) on equity investments: breakdown*

---

| | | |
|:---|:---|:---|
| **Income components/Amounts** | **12 mths ended** 30/6/24** | **12 mths ended** 30/6/23** |
| A. Income |  |  |
| &nbsp;&nbsp;&nbsp;1. Write-ups |  |  |
| &nbsp;&nbsp;&nbsp;2. Gains on disposal |  |  |
| &nbsp;&nbsp;&nbsp;3. Write-backs |  |  |
| &nbsp;&nbsp;&nbsp;4. Other gains |  |  |
| B. Expenses | (35179) | (54263) |
| &nbsp;&nbsp;&nbsp;1. Write-downs |  |  |
| &nbsp;&nbsp;&nbsp;2. Impairment losses | (35179) | (54263) |
| &nbsp;&nbsp;&nbsp;3. Losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;4. Other expenses |  |  |
| Net profit (loss) | (35179) | (54263) |

---

**SECTION 19**

**Heading 270: Income tax for the year on ordinary activities**

*19.1 Income tax for the year on ordinary activity: breakdown*

---

| | | |
|:---|:---|:---|
| <br>**Income components/Amounts** | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| 1. Current taxes (-) | (157.338) | (140.758) |
| 2. Changes in current taxes for previous years (+/-) |  |  |
| 3. Reduction in current taxes for the year (+) |  |  |
| 3. bis Reduction in current taxes for the year due to tax credits pursuant to Law No. 214/2011 (+) |  |  |
| 4. Changes in prepaid taxes (+/-) | (12.132) | (8.912) |
| 5. Changes in deferred taxes (+/-) | 1.470 | 14.670 |
| 6. Taxes on income for the year (-) (-1+/-2+3+3bis+/-4+/-5) | (168.000) | (135.000) |

---

528 \| Individual financial statements as at 30 June 2024

*19.2 Reconciliation between theoretical and effective tax burden*

---

| | | |
|:---|:---|:---|
|  | **12 mths ended 30/6/24** | **12 mths ended 30/6/24** |
|  | **Value in %** | **Absolute value** |
| Total profit before taxes |  | 1411992 |
| IRES (corporate income tax) |  |  |
| Theoretical rate and theoretical tax | 27.5% | 388298 |
| Dividends (-) | -19.8% | (279465) |
| Gains (losses) on disposals of equity investments (PEX) (+/-) | -0.1% | (805) |
| Other tax rates (non-financial and non-Italian companies) (+/-) | 0.2% | 3293 |
| Non-taxable income 10% IRAP and staff cost (-) | -0.1% | (977) |
| Impairment (+/–) | 0.7% | 9674 |
| Extraordinary items (tax assessments, request for IRES refunds, rate adjustments, …) | 0.1% | 1470 |
| Other changes (+/-) | 0.1% | 1512 |
| TOTAL IRES | 8.7% | 123000 |
| TOTAL IRAP | 3.2% | 45000 |
| TOTAL TAXES | 11.9% | 168000 |

---

**SECTION 22**

**Earnings per share**

*22.1 Average number of ordinary shares on a diluted basis*

---

| | | |
|:---|:---|:---|
|  | **12 mths ended**<br>**30/6/24** | **12 mths ended**<br>**30/6/23** |
| Profit (loss) for the year | 1243992 | 606491 |
| Average number of shares in issue | 826608063 | 840761242 |
| Average number of potentially diluted shares | 6487718 | 4561321 |
| Average number of diluted shares | 833095781 | 845322563 |
| Earnings per share | 1.50 | 0.72 |
| Earnings per share, diluted | 1.49 | 0.72 |

---

Notes to the accounts \| Part C – Notes to the Profit and Loss Account \| 529

**Part D – Other Comprehensive Income**

*Breakdown of Other Comprehensive Income*

---

| | | | |
|:---|:---|:---|:---|
| | **Items** | **30 June 2024**<br>**Net amount** | **30 June 2023**<br>**Net amount** |
| **10.** | **Profit (loss) for the year** | **1243992** | **606491** |
|  | **Other comprehensive income not reclassified through profit or loss** |  |  |
| **20.** | **Equity securities designated at fair value through other comprehen-sive income:** | **19640** | **18101** |
|  | a) fair value changes | 11702 | (44457) |
|  | b) transfers to other net equity items | 7938 | 62558 |
| **30.** | **Financial liabilities designated at fair value through profit or loss (own credit quality changes):** | **(26985)** | **(6274)** |
|  | a) fair value changes | (26619) | (6274) |
|  | b) transfers to other net equity items | (366) |  |
| **40.** | **Hedge accounting of equity securities designated at fair value through other comprehensive income:** | **—** | **—** |
|  | a) fair value change (hedged instrument) |  |  |
|  | b) fair value change (hedging instrument) |  |  |
| **50.** | **Tangible assets** |  |  |
| **60.** | **Intangible assets** | **—** | **—** |
| **70.** | **Defined benefit plans** | **41** | **178** |
| **80.** | **Non-current assets and asset groups held for sale** | **—** | **—** |
| **90.** | **Portion of valuation reserves of equity-accounted investments** | **—** | **—** |
| **100.** | **Income taxes relating to other income items not reclassified through profit or loss** |  |  |
|  | **Other income items through profit or loss** |  |  |
| **110.** | **Hedging of foreign investments:** | **—** | **—** |
|  | a) fair value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **120.** | **Currency exchange gains/losses:** | **—** | **—** |
|  | a) fair value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **130.** | **Cash flow hedging:** | **1820** | **(462)** |
|  | a) fair value changes | 1820 | (462) |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
|  | of which: income (expense) of net positions |  |  |
| **140.** | **Hedging instruments (not designated items):** | **—** | **—** |
|  | a) fair value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **150.** | **Financial assets (other than equity securities) measured at fair value through other comprehensive income:** | **42847** | **(8210)** |
|  | a) fair value changes | 28382 | (10585) |
|  | b) transfer to profit or loss | 14465 | 2375 |
|  | - credit risk adjustments | 1337 | (479) |
|  | - gains/losses on disposals | 13128 | 2854 |
|  | c) other changes |  |  |
| **160.** | **Non-current assets and asset groups held for sale:** | **—** | **—** |
|  | a) fair value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | c) other changes |  |  |
| **170.** | **Portion of valuation reserves of equity-accounted investments:** | **—** | **—** |
|  | a) fair value changes |  |  |
|  | b) transfer to profit or loss |  |  |
|  | - impairment losses |  |  |
|  | - gains/losses on disposals |  |  |
|  | c) other changes |  |  |
| **180.** | **Income taxes relating to other income items reclassified through profit or loss** | **—** | **—** |
| **190.** | **Total other income items** | **37363** | **3333** |
| **200.** | **Other comprehensive income (Headings 10 +190)** | **1281355** | **609824** |

---

530 \| Individual financial statements as at 30 June 2024

**Part E – Information on risks and related hedging policies**

INTRODUCTION

As part of the Bank's risk governance process, a key role is played by the Risk Management unit, which identifies, measures and monitors all the risks to which the Bank is exposed, and manages and mitigates them in co-ordination with the various business areas. The unit's main duties and responsibilities are described below, along with its characteristics in terms of independence, plus an indication of the role of the other company units in risk management<sup>(19)</sup>.

<sup>(19)</sup> For discussion of credit risk, reference is made to section 1, sub-section 1.1, "Credit risk: Qualitative information", § 2, "Credit risk management policies"; for discussion of market risks, reference is made to sub-section 2, "Market risks"; on exchange rate risks, see § 2.3, "Exchange rate risk"; on liquidity risk, see section 4, "Liquidity risk"; and on operational risks, see section 5, "Operational risks".

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 531

**SECTION 1**

&nbsp;&nbsp;&nbsp;&nbsp;**1.1** **CREDIT RISK** 

**QUALITATIVE INFORMATION**

&nbsp;&nbsp;&nbsp;&nbsp;**1.** **General aspects** 

Although risk management is the responsibility of each individual business unit, the Risk Management unit presides over the functioning of the Bank's risk system, defining the appropriate global methodologies for measuring risks, current or future, in conformity with regulatory requirements and the Group's own operating choices identified in the RAF,<sup>(20)</sup> monitoring risks and ascertaining that the various limits established for the various business lines are complied with.

The Group Risk Management unit, reporting directly to the Chief Executive Officer and under the direction of the Group Chief Risk Officer, is made up of the following organizational units:

&nbsp;&nbsp;&nbsp;&nbsp;i) Risk Integration, which manages relations with the Supervisory Authorities and carries out the Group's integrated processes (ICAAP, RAF, Recovery Plan); ii) Risk Transformation, responsible for developing, coordinating, streamlining and standardizing the evolution of IT within Risk Management; iii) CIB Credit Risk Management, responsible for defining and monitoring credit strategies and quantitative methodologies for measuring and managing credit risks; iv) Credit Risk Management, which is responsible for carrying out credit risk analysis, assigning internal ratings to counterparties and loss parameter in the event of insolvency; v) Retail Credit Risk Management, for the supervision of subsidiaries operating in retail credit; vi) Financial Risk Management, which is responsible for monitoring market and counterparty risks, asset and liability management, monitoring liquidity risks and validating fair value methodologies; vii) Non-financial Risk Management, responsible for monitoring operational and fraud risks, risks related to the distribution of investment products and services to customers, IT and security risks, as well as outsourcing risks; viii) Internal Validation & Control, which defines the methodologies, processes, tools and reporting used in internal validation activities, carries out the validation of

<sup>(20)</sup> On 27 June 2024, the Board of Directors approved the Policy update on the definition of Risk Appetite and calibration of the risk appetite statement (RAS). In this Framework, based on the Strategic Plan and the maximum tolerable risk, the Group defines the level and type of risks that the Institute intends to assume, plus objectives, any tolerance thresholds and operating limits to be complied with under normal operating and/or stress conditions.

532 \| Individual financial statements as at 30 June 2024

the Group's risk measurement systems, defines and carries out control activities regarding the Parent Company's main credit processes.

The Bank has been authorized by the supervisory authorities to calculate its capital requirements using its own internal rating system (based on the Probability of Default and Loss Given Default indicators) for its Corporate portfolio, currently being revised.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 533

**2. Credit risk management policies**

**2.1 Organizational aspects**

The Bank has adopted a risk governance and a control system structured across a variety of organizational units involved in the process, ensuring that all relevant risks to which the Bank is or might be exposed are managed effectively, and at the same time guaranteeing that all forms of operations are consistent with their own risk appetite.

The Board of Directors, in view in particular of its role of strategic supervision, is responsible for approving strategic guidelines and directions of the risk appetite framework (RAF), the Internal Rating Systems (IRB) at the Parent Company level and the Roll-Out Plan for gradually extending the IRB approach across the whole Group, business and financial plans, budgets, risk management and internal control policies, and the Recovery Plan drawn up in accordance with the provisions of the Bank Recovery and Resolution Directive (Directive 2014/59/EU).

The Risk Committee assists the Board of Directors in performing monitoring and investigation duties in respect of internal controls, risk management, and accounting infrastructure. The Statutory Audit Committee supervises the risk management and control system as defined by the RAF and the internal controls system, assessing the effectiveness of the structures and units involved in the process and coordinating them.

Within the Parent Company's risk governance system, the following Management Committees have specific responsibilities within the processes of taking, managing, measuring and controlling risks: Group Risk Management Committee, responsible for issuing guidance at the Group level in respect of all risks (not including the risk of conduct); Credit and Market Committee, with decision-making powers over credit, counterparty and market risks; New Operations Committee, for the preventive evaluation of new activities and approval of the entry into new sectors, new products and related pricing models.

534 \| Individual financial statements as at 30 June 2024

**2.2 Management, measurement and control systems**

In the process of defining its Risk Appetite Framework ("RAF"), the Bank has determined the level of risk (overall and by individual type) which it intends to assume in order to pursue its own strategic objectives, and has identified the metrics to monitor and the relevant tolerance thresholds and risk limits. The RAF is the framework which links risks to the company's strategy (translating mission and strategy into qualitative and quantitative risk variables) and risk objectives for the company's operations (translating risk objectives into limits and incentives for each area).

As required by the prudential regulations, the formalization of risk objectives, through definition of the RAF, which are consistent with the maximum risk that can be taken, the business model and strategic guidance is a key factor in establishing a risk governance policy and internal controls system with the objective of enhancing the Bank's capability in terms of governing its own company risks, and also ensuring sustainable growth over the medium and long term. In this connection, the Bank has developed a Risk Appetite Framework governance model which identifies the roles and responsibilities of the corporate bodies and units involved, with co-ordination mechanisms instituted to ensure the risk appetite is suitably incorporated into the management processes.

In the process of defining its Risk Appetite, the Bank:

– identifies the risks which it is willing to assume;

– defines, for each risk, the objectives and limits in normal and stressed conditions;

– identifies the action necessary to bring the risk back within the set objective.

To define the RAF, based on the strategic positioning and risk profile set, the Risk Appetite statement is structured into metrics and risk thresholds, to be identified with reference to the following framework risk pillars, in line with the best international practices: capital adequacy; liquidity and funding; profitability; bank-specific factors; and non-financial risks. The Board of Directors has a proactive role in defining the RAF, guaranteeing that the expected risk profile is consistent with the Strategic plan, budget, ICAAP and Recovery Plan, and structured into adequate and effective metrics and limits. For each pillar analysed, the risk assumed is set against a system of objectives and limits

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 535

representative of the regulatory restrictions and the general attitude towards risk, as defined in accordance with the strategic planning, the internal capital adequacy assessment process (ICAAP) and the risk management processes.

In addition to identifying and setting the Risk Appetite parameters, the Bank also governs the mechanisms regulating the governance and processes for establishing and implementing the RAF, in terms of updating/reviewing, monitoring, and reporting to the Committees and corporate bodies. Based on its operations and the markets in which it operates, the Bank has identified the relevant risks to be submitted to specific assessment in the course of the reporting for the ICAAP (Internal Capital Adequacy Assessment Process), in accordance with the Bank of Italy instructions contained in circular no. 285 issued on 17 December 2013, "Supervisory instructions for banks" as amended, appraising its own capital adequacy from both a present and future perspective which takes into account the strategies and development of the reference scenario. As required by the provisions of the Capital Requirements Directive IV ("CRD IV"), the Bank prepares an Internal Liquidity Adequacy Assessment Process document (ILAAP), describing the set of policies, processes and instruments put in place to govern liquidity and funding risks. The Bank's objective is to maintain a level of liquidity that enables it to meet ordinary and extraordinary payment obligations, while minimizing costs at the same time. The Bank's liquidity management strategy is based on the desire to maintain an appropriate balance between potential inflows and potential outflows, in the short and the medium/long term, by monitoring both regulatory and management metrics, in accordance with the risk profile defined as part of the RAF.

536 \| Individual financial statements as at 30 June 2024

**2.3** Methods for measuring expected losses

Under IFRS 9, financial assets not measured at fair value, such as debt securities and loans as well as off-balance sheet exposures (i.e. loan commitments and financial guarantees) must be tested for impairment based on expected losses.

The internal rating models are the baseline instrument for determining the risk parameters to be used in calculating expected losses, subject to the regulatory indicators being adjusted for aspects which are not suitable to be used directly in an accounting environment (e.g. in some cases reconverting the data to reflect a "point-in-time" approach). Under IFRS 9, expected losses are calculated as the product of the PD, LGD and EAD metrics. This calculation is based on the residual life for instruments that have undergone a significant risk deterioration (referred to as "Stage 2") or that show objective signs of deterioration ("Stage 3") and over a 12-month horizon for instruments that do not fall into the previous categories ("Stage 1").

The Bank adopts qualitative and quantitative criteria to establish whether there has been a significant increase in credit risk, using backstop indicators, such as accounts which are thirty or more days overdue or have been classified as forborne, to assess whether or not they should be treated as Stage 2. Cases of low-risk instruments at the recording date are identified, compatible with classification as Stage 1 (low credit risk exemption), where there is a BBB-rating on the Standard & Poor's scale, or a corresponding internal PD estimate. Consistent with the options granted by IFRS 9, a change in forward-looking PD is used as the benchmark quantitative metric for the purpose of identifying positions to be classified as Stage 2. During 2022, the Supervisory Authority conducted a specific assessment of the Parent Company's Corporate portfolio by analysing, among other things, the SICR valuation. The Group is therefore transitioning to a method that involves the comparison of lifetime PDs between reference and origination dates, abandoning the use of twelve-month PDs. The preliminary evaluations made revealed no material changes.

The provisioning reflects the sum of the expected credit losses (over a time horizon of twelve months or, based on the contractual expiry of the exposure, depending on the Stage classification), discounted at the effective interest rate. The expected credit loss is the result of a joint assessment of three scenarios, a baseline scenario and two alternative scenarios. The scenarios, drawn up at Group level, are revised at least once every six months.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 537

In particular, scenarios are defined by the designated Group Economic and Macro Strategy (GEMS) unit, which is also responsible for assigning the relevant weights.

The weights of the scenarios used in determining ECL were set at 55% for the base scenario; 15% for the mild-positive scenario and 30% for the mild-negative scenario; values represent the probabilities of each scenarios taking place, analytically determined by the GEMS area on the basis of past forecasting errors statistical distribution.

Continuing the work done in the previous year, the Bank decided to adopt additional provisions ("overlays") with respect to the impairment estimates resulting from the adoption of models on the basis of specific aspects that cannot be incorporated and assessed through modelling.<sup>(21)</sup> Overlays were applied to sectors particularly exposed to inflationary pressure in order to measure any peaks in risk that the quantitative methodology detects only on average. The Bank is reviewing the relevant internal regulations, among other things with the aim of providing itself with a more structured overlay governance, in terms of both the decision-making process and possible scenarios; the process, already at an advanced stage, will be completed within the expected time frame for addressing other related areas of improvement that emerged after the ECB's regular inspection activities.

<sup>(21)</sup> The approach adopted is consistent with the ECB recommendations made to banks in recent months, such as in the letters of 1 April 2020 ("IFRS 9 in the context of the coronavirus (COVID-19) pandemic") and 4 December 2020 ("Identification and measurement of credit risk in the context of the coronavirus (COVID-19) pandemic").

538 \| Individual financial statements as at 30 June 2024

**2.4 Credit risk mitigation techniques**

The Bank has put in place a system for managing credit risk mitigation techniques, which covers the entire process of obtaining, assessing, supervising and implementing the mitigation instruments in use. The requirements for eligibility of collateral and guarantees are set out in Regulation (EU) 575/2013 of the European Parliament and of the Council as amended (the "CRR"). The Bank has also compiled specific criteria by which collateral not recognized for regulatory purposes may in any case be recognized at the operating level as effective to mitigate credit risk.

The Bank also adopts risk mitigation policies by entering into netting and collateral agreements, verifying whether the agreements are legally valid and meet the regulatory criteria to be recognized for prudential purposes.

Credit risk mitigation activities are governed by specific Directives. In particular, the phases of obtaining the collateral, checking, reporting and assessing its eligibility may be performed by different units. However, the role of the Risk Management unit in setting eligibility criteria for regulatory and management purposes remains central. Controls of the mitigation instruments are included in the general risk control and management framework.

With reference to the Private Banking portfolio, the high diversification of guarantees, a conservative approach in the origination phase and in determining the lending value of financial instruments allowed the Bank to keep sufficient guarantees with limited margin call situations.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 539

**3. Non-performing credit exposures**

The Bank is known for its prudent approach to risk, which is reflected in the fact that its overdue exposure levels are among the lowest in the Italian national panorama. The Bank's management of non-performing loans also helps to keep their level low on the books, including the use of different options typically available, such as disposals, collateral enforcement and negotiation of restructuring agreements.

The Bank uses a single, like-for-like definition for the concepts of "default" as defined in the regulations on regulatory capital requirements, "non-performing", used for supervisory reporting statistics, and Stage 3 assets ("credit-impaired" assets), as defined by the accounting standards in force. In this regard, the Group has implemented the EBA Guidelines on the adoption of the definition of default (EBA/GL/2016/07), Delegated Regulation (EU) 2018/171 of the Commission of 19 October 2017, and Regulation (EU) 2018/1845 of the ECB of 21 November 2018.

The quantification of provisions must be analytical through the valuation of discounted cash flows and specific ratio analysis under the going-concern assumption or a valuation of assets in case of company liquidation.

At the monitoring stage, the write-off for credit losses on financial assets is also assessed, i.e. when in part or in whole. Those write-offs are possible even before completion of the legal action to recover the asset, and this does not necessarily entail waiving the legal right to recover the amount.

In order to adequately monitor the management of NPL portfolios, in recent years, several measures have been issued by the Regulator for the purpose of directing the financial sector towards minimizing their stocks of non-performing portfolios and speeding up recovery. On 26 April 2019, the European Parliament published an amendment to Regulation (EU) 575/2013 (CRR) in the Official Journal with the inclusion of rules to be applied for the coverage of NPLs (referred to as Calendar Provisioning) deriving from loans granted starting from the date of issue of the amended Regulation. Calendar Provisioning requires the full write-down of non-performing loans according to pre-established maturities.

540 \| Individual financial statements as at 30 June 2024

**4. Financial assets subject to commercial renegotiations and forbearance measures**

Financial assets may be subject to contractual amendments based primarily on two different needs: maintaining a mutually satisfactory commercial relationship with clients, or re-establishing/improving the credit position of customers who are facing, or about to face, difficulties in complying with the commitments they have entered into.

The former case, defined as commercial renegotiation, recurs when the client might want to end the relationship, as a result of its credit quality and of favourable market conditions. In a situation such as this, changes can be made at the client's initiative or on a preventative basis in order to maintain the relationship with the client by improving the commercial terms offered, without prejudice to a satisfactory return on the risk and in compliance with the general strategic objectives (e.g. in terms of target customers).

The second case, which corresponds to the notion of forbearance measure, is detected in accordance with the specific regulations when contractual amendments are made, refinancing arrangements entered into, or when clauses provided for in the contract are exercised by the client.

For an exposure to be classified as forborne, the Bank assesses whether or not such concessions (typically rescheduling expiry dates, suspending payments, refinancing or waivers of covenants) occur as a result of a situation of financial difficulty, actual or potential (if concessions are not granted), of more than thirty days past due. Assessment of the borrower's financial difficulties is based primarily on individual analysis.

Both non-performing exposures and exposures whose difficulties are still compatible with their being treated as performing may be classified as forborne. However, as described in the previous sections, a position being assigned the status of "forborne" is considered to be incompatible with its being treated as Stage 1. For this reason, based on the regulations on supervisory statistical reporting, there is a minimum period of time during which an exposure can be classified as "forborne" and this is reflected in the prudential transitions between Stages 1, 2 and 3. For instance, when concessions have been made in respect of Stage 2 exposures, these exposures cannot return to Stage 1 in less than two years, in line with the minimum duration requirement of two years

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 541

provided for the "forborne performing exposure" status (during this period, the status can only be downgraded to reflect the exposure's transition to non-performing). Similarly, exposures in Stage 3 cannot return to Stage 1 in less than three years, in line with the one-year duration requirement for "forborne non-performing exposure" status, followed (unless the non-performing status needs to be prolonged) by the two-year minimum duration requirement for the "forborne performing exposure" status.

To return to Stage 1, exposures must give proof of having fully recovered their credit quality and the conditions requiring them to be classified as "forborne" must have ceased to apply. Accordingly, monitoring activities over transitions to Stages 2 or 3 are the same as monitoring activities over exposures which have not moved from Stage 1. However, "forborne" exposures that have returned from Stage 3 to Stage 2 are subject to enhanced monitoring, providing that if there is a delay of more than thirty days in payment or if a new forbearance measure is applied, the exposure will immediately return to Stage 3 for prudential purposes.

542 \| Individual financial statements as at 30 June 2024

**5. Details by business segment**

**Corporate activity**

The Bank's internal system for managing, evaluating and controlling its credit risk exposure reflects its traditional policy based on prudence and a highly selective approach: risk assumption is based on an analytical approach grounded on an extensive knowledge of the entrepreneurial, asset and management operations of each financed company, as well as of the economic framework in which it operates. During the analysis, all the necessary documentation was acquired in order to carry out an adequate assessment of the borrower's credit quality and define the correct remuneration of the risk assumed; the analysis included assessments of the duration and amount of credit lines, monitoring of suitable collateral and use of contractual commitments (covenants) aimed at preventing the deterioration of the counterparty's credit quality.

With reference to the correct adoption of Credit Risk Mitigation techniques, specific activities are implemented to define and meet all the requirements to ensure that the real and personal guarantees have the maximum mitigating effects on the exposures. In particular, during the year under review, these activities focused on measuring the value of financial guarantees.

To determine credit risk, all counterparties are analysed and an internal rating is assigned by the Risk Management unit on the basis of internal models which take into account the specific quantitative and qualitative characteristics of the counterparty. The proposed transactions are also subject to the application of LGD models where appropriate.

Loans originated by the business divisions are appropriately assessed by the Risk Management unit and regulated in accordance with the powers for approval and management of the most significant transactions, through screening at different operating levels.

The Credit Risk Management unit also carries out a review of the ratings assigned to the counterparties at least once a year. Approved loans must also be confirmed by the approving body with the same frequency.

Provisions are calculated individually for non-performing items and based on PD and LGD indicators of the performing portfolio. For individual

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 543

provisioning, valuations based on discounted cash flows and ratio analysis balance sheet are applied to businesses under the going-concern assumption, while an asset valuation is used in case of liquidation. With regard to performing loans, the PD parameters are obtained starting from the through-the-cycle rating approach used to develop the internal rating model which is then converted to the point-in-time approach. LGDs are calculated according to the modelling used for regulatory calculation, stripped of elements that are more closely attributable to the requirements for internal models, including, in particular, the 45% floor, the downturn effect, and indirect costs. The parameters used to quantify the expected credit loss (as well as the regulatory parameters) are in any case subject to regular evaluation by corporate units. The forward-looking component of the models is the result of the risk indicators applied to the macroeconomic scenarios defined internally.

In terms of monitoring the performance of individual credit exposures, the Bank has adopted an early warning system to identify a list of counterparties ("Watchlist") requiring in-depth analysis on account of their potential or obvious weaknesses. The exposures identified are then classified by level of alert (Amber or Red for performing accounts, Black for non-performing items) and are reviewed regularly to identify the most appropriate mitigation actions to be taken. The watchlist is also used to provide qualitative information regarding allocation to Stage 2, which includes counterparties classified as "Amber" or "Red". All forborne positions are also subject to specific monitoring; it should be noted that forborne positions are also classified in the Watchlist.

544 \| Individual financial statements as at 30 June 2024

**Private Banking operations**

Private Banking operations include granting loans as an ancillary activity in serving "High Net Worth" and institutional categories of clients, with the aim of providing them with wealth management and asset management services. Credit risk exposure takes various forms, such as cash loans (by granting credit on a bank account or through short- or medium-term loans), authorizing overdrafts on a current account, endorsements and credit limits on credit cards.

As a rule, credit loans are guaranteed risks, i.e. backed by a real guarantee (pledge on the customer's financial instruments in an administered deposit or on an asset management mandate or credits arising from an insurance policy).

The grant of such loans is governed through operating powers which require the proposed loan to be assessed at various levels of the organization and approved by the appointed Bodies according to the level of risk resulting from the size of the loan, the guarantees/collateral and the type of finance involved. Such loans are reviewed on a regular basis.

Provisioning for all non-performing contracts is calculated on an individual basis, and takes into account recovery forecasts. The provisions made on the performing portfolio are based on PD and LGD estimates differentiated according to the type of counterparty and presence of guarantees.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 545

**6. Macroeconomic scenario and impacts**

The macroeconomic scenario for the first half of 2024 that governs the IFRS 9 provision at year-end in the baseline scenario is characterized by the stabilization of geopolitical frictions between the Western bloc and China. Moreover, no further escalation of the Russian-Ukrainian and Israeli-Hamas conflicts is expected. With regard to energy costs and exchange rates, an evolution in line with what was previously incorporated in the forward rates is assumed. With regard to the PNRR, a low probability that the funds will be spent by the expiry date of August 2026 was assigned. The basic assumption is that the plan will be extended until December 2028 and the funds used pro-rata over the forecast horizon. Eurozone inflation is expected to decline rapidly to reach its target of 1.9% per annum by December 2024. With regard to the Eurozone's growth, it is expected to stagnate in the first half of 2024 and accelerate from the second half of 2024 onwards, in conjunction with growing real wages and international trade.

The macroeconomic scenario in the mild positive assumption instead foresees a significant decrease in the savings rate of consumer households in the major countries and that households will spend their savings accumulated during the pandemic period. Risk aversion among both individuals and businesses is also expected to decrease and therefore business investment is expected to increase compared to the baseline scenario. Finally, an acceleration of growth is expected for the main economies (US, UK, EZ).

In the alternative mild negative scenario, consumer households are expected to increase their savings rate and not to use the savings accumulated during the pandemic period. A growing aversion to risk is expected for individuals and businesses and therefore lower investments by businesses compared to the baseline scenario. Finally, with regard to public spending, current levels are expected to be maintained.

The Bank kept the additional provisions (referred to as overlays) with the aim of including the uncertainties of the evolution of the macroeconomic context in hedging levels. Continuing the work done in the previous year, Corporate overlays were applied to sectors particularly exposed to inflationary pressure in order to measure any peaks in risk that the quantitative methodology detects only on average. More specifically, overlays of €16.1m were allocated (intercompany positions amounted to €2.8m).

546 \| Individual financial statements as at 30 June 2024

Compared to the previous financial year (€25.2m), overlays were reduced due to the classification of some sectors from High/Medium impact to Low impact due to inflation risk, good quality of the portfolio, normalization of energy prices and proven ability to contain inflationary pressure and, in general, lower impact of inflation on the sectors involved.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 547

*Table 1 – Macroeconomic baseline scenario parameters as at 30/6/24<sup>(22)</sup>* 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2023** | **2024** | **2025** | **2026** |
| Italy | 0.60% | 0.50% | 1.20% | 0.90% |
| UE | 0.50% | 0.50% | 1.80% | 1.80% |
| USA | 2.40% | 3.10% | 1.80% | 1.80% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Unemployment rate** | **2023** | **2024** | **2025** | **2026** |
| Italy | 7.70% | 7.50% | 7.80% | 8.0% |
| UE | 6.0% | 6.0% | 5.90% | 5.80% |
| USA | 3.60% | 3.90% | 4.10% | 4.10% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Interest rate of government bonds (10 years)** | **2023** | **2024** | **2025** | **2026** |
| Italy | 4.20% | 3.60% | 3.90% | 4.20% |
| Germany | 2.40% | 2.30% | 2.30% | 2.60% |
| USA | 3.60% | 4.10% | 4.0% | 4.10% |

---

 

*Table 2 – Mild-positive macroeconomic scenario at 30/6/2024*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2023** | **2024** | **2025** | **2026** |
| Italy | 0.60% | 0.50% | 2.40% | 1.90% |
| UE | 0.50% | 0.50% | 2.90% | 2.80% |
| USA | 2.40% | 3.10% | 2.60% | 2.50% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Unemployment rate** | **2023** | **2024** | **2025** | **2026** |
| Italy | 7.70% | 7.50% | 7.10% | 6.80% |
| UE | 6.0% | 6.0% | 5.40% | 5.0% |
| USA | 3.60% | 3.90% | 3.50% | 3.10% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Interest rate of government bonds (10 years)** | **2023** | **2024** | **2025** | **2026** |
| Italy | 4.20% | 3.60% | 4.20% | 4.70% |
| Germany | 2.40% | 2.30% | 2.70% | 3.30% |
| USA | 3.60% | 4.10% | 4.40% | 4.90% |

---

 

*Table 3 – Mild-negative macroeconomic scenario at 30/6/2024*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **GDP forecasts** | **2023** | **2024** | **2025** | **2026** |
| Italy | 0.60% | 0.50% | -0.10% | -0.10% |
| UE | 0.50% | 0.50% | 0.60% | 1.0% |
| USA | 2.40% | 3.10% | 0.90% | 1.20% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Unemployment rate** | **2023** | **2024** | **2025** | **2026** |
| Italy | 7.70% | 7.50% | 8.40% | 9.20% |
| UE | 6.0% | 6.0% | 6.40% | 6.80% |
| USA | 3.60% | 3.90% | 4.60% | 5.20% |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Interest rate of government bonds (10 years)** | **2023** | **2024** | **2025** | **2026** |
| Italy | 4.20% | 3.60% | 3.70% | 4.0% |
| Germany | 2.40% | 2.30% | 2.0% | 2.10% |
| USA | 3.60% | 4.10% | 3.60% | 3.50% |

---

<sup>(22)</sup> As described in Section 2.3, the Bank sets the estimates for the baseline scenario, compiling the economic variables using an external macroeconomic model which factors in the internal expectations for interest rates.

548 \| Individual financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

**A. Credit quality**

---

| | |
|:---|:---|
| **A.1** | **Non-performing and performing exposures: amounts, value adjustments, trends and segmentation by earnings** |

---

*A.1.1 Financial assets by portfolio and credit quality (book value)*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Portfolio/quality** | **Portfolio/quality** | **Bad**<br> **loans** | **Unlikely**<br> **to pay** | **Overdue**<br> **non-**<br> **performing**<br> **exposures** | **Overdue**<br> **performing**<br> **exposures** | **Other**<br> **performing**<br> **exposures\*** | **Total** |
| 1. | Financial assets measured at amortized cost |  | 8519 | 6577 | 34518 | 54763884 | 54813498 |
| 2. | Financial assets measured at amortized cost |  |  |  |  | 6649463 | 6649463 |
| 3. | Financial assets designated at fair value |  |  |  |  | 719215 | 719215 |
| 4. | Other financial assets mandatorily measured at fair value |  |  |  |  | 299 | 299 |
| 5. | Financial assets held for sale |  |  |  |  |  |  |
| Total 30 June 2024 | Total 30 June 2024 |  | 8519 | 6577 | 34518 | 62132861 | 62182475 |
| Total 30 June 2023 | Total 30 June 2023 |  | 18081 | 847 | 47149 | 60863146 | 60929223 |

---

<sup>\*</sup> There are no overdue performing exposures being renegotiated under collective agreements.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 549

*A.1.2 Financial assets by portfolio/credit quality (gross/net values)*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Performing** | **Performing** | **Performing** | |
| **Portfolio/quality** | **Portfolio/quality** | **Gross**<br> **exposure** | **Overall** <br> **value**<br> **adjustments** | **Net**<br> **exposure** | **Overall**<br> **partial**<br> **write-offs** | **Gross**<br> **exposure**  | **Overall**<br> **value**<br> **adjustments** | **Net**<br> **exposure** | <br>**Total (net**<br> **exposure)** |
| 1. | Financial assets measured at amortized cost | 19530 | (4434) | 15096 |  | 54857673 | (59271) | 54798402 | 54813498 |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  | 6657116 | (7653) | 6649463 | 6649463 |
| 3. | Financial assets designated at fair value |  |  |  |  | X | X | 719215 | 719215 |
| 4. | Other financial assets mandatorily measured at fair value | 6636 | (6636) |  |  | X | X | 299 | 299 |
| 5. | Financial assets held for sale |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | Total 30 June 2024 | 26166 | (11070) | 15096 |  | 61514789 | (66924) | 62167379 | 62182475 |
| Total 30 June 2023 | Total 30 June 2023 | 118350 | (99422) | 18928 |  | 60450137 | (79295) | 60910295 | 60929223 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **Assets with obviously poor credit quality** | **Assets with obviously poor credit quality** | **Other assets** |
| **Portfolio/quality** | **Portfolio/quality** | **Accumulated<br> capital losses** | **Net<br> exposure** | **Net<br> exposure** |
| 1. | Financial assets held for trading |  |  | 11511163 |
| 2. | Hedging derivatives |  |  | 561851 |
| Total 30 June 2024 | Total 30 June 2024 |  |  | 12073014 |
| Total 30 June 2023 | Total 30 June 2023 |  |  | 9570799 |

---

550 \| Individual financial statements as at 30 June 2024

**Information on sovereign debt exposures**

*A.1.2a Exposures to sovereign debt securities by state and portfolio\**

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | **Non-performing** | **Non-performing** | **Non-performing** | **Non-performing** | **Performing** | **Performing** | **Performing** | |
| **Portfolio/quality** | **Portfolio/quality** | **Gross**<br> **exposure** | **Individual**<br> **adjustments** | **Portfolio**<br> **adjustments** | **Net**<br> **exposure** | **Gross**<br> **exposure** | **Portfolio**<br> **adjustments**  | **Net**<br> **exposure**  |<br>**Total net<br> exposure<sup>1</sup>**  |
| 1. | Financial assets held for trading |  |  |  |  | X | X | 1498038 | 1498038 |
|  | France |  |  |  |  | X | X | 1220030 | 1220030 |
|  | Germany |  |  |  |  | X | X | (26761) | (26761) |
|  | Italy |  |  |  |  | X | X | 76928 | 76928 |
|  | Belgium |  |  |  |  | X | X | 135073 | 135073 |
|  | Other |  |  |  |  | X | X | 92768 | 92768 |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  | 5640627 |  | 5640627 | 5640627 |
|  | Italy |  |  |  |  | 3394098 |  | 3394098 | 3394098 |
|  | Germany |  |  |  |  | 1132387 |  | 1132387 | 1132387 |
|  | United States |  |  |  |  | 537473 |  | 537473 | 537473 |
|  | Spain |  |  |  |  | 249787 |  | 249787 | 249787 |
|  | Other |  |  |  |  | 326882 |  | 326882 | 326882 |
| 3. | Financial assets measured at amortized cost |  |  |  |  | 2488925 |  | 2488925 | 2488925 |
|  | Italy |  |  |  |  | 1641400 |  | 1641400 | 1641400 |
|  | Germany |  |  |  |  | 49202 |  | 49202 | 49202 |
|  | United States |  |  |  |  | 308699 |  | 308699 | 308699 |
|  | France |  |  |  |  | 457491 |  | 457491 | 457491 |
|  | Other |  |  |  |  | 32133 |  | 32133 | 32133 |
| Total 30 June 2024 | Total 30 June 2024 |  |  |  |  | 8129552 |  | 9627590 | 9627590 |

---

<sup>\*</sup> This does not include financial or credit derivatives.

<sup>1</sup> The net exposure includes (long and short) positions in securities measured at fair value (including the outstanding accrual), except for assets held to maturity which are measured at amortized cost, whose implied fair value is €-47m.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 551

*A.1.2b Exposures to sovereign debt securities by portfolio\**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Trading Book<sup>1</sup>** | **Trading Book<sup>1</sup>** | **Trading Book<sup>1</sup>** | **Banking Book<sup>2</sup>** | **Banking Book<sup>2</sup>** | **Banking Book<sup>2</sup>** | **Banking Book<sup>2</sup>** |
| <br>**Portfolio/quality** | **Nominal**<br> **Value** | **Book Value** | **Contract**<br> **duration** | **Nominal**<br> **Value** | **Book Value** | **Fair Value** | **Contract**<br> **duration** |
| Italy | 1116469 | 1220030 | 0.69 | 5114426 | 5035498 | 5005282 | 4.12 |
| Germany | (23731) | (26761) | 0.76 | 1170000 | 1181589 | 1181231 | 2.38 |
| France | 83800 | 76928 | 3.11 | 860000 | 846172 | 840418 | 2.31 |
| United States |  |  |  | 719290 | 707278 | 697612 | 1.35 |
| Other | 235032 | 227841 |  | 353091 | 359015 | 358147 |  |
| Total 30 June 2024 | 1411570 | 1498038 |  | 8216807 | 8129552 | 8082690 |  |

---

<sup>\*</sup> This figure does not include forward sales with a notional amount of €354m

<sup>1</sup> This item does not include sales on the Bund/Bobl/Schatz future (Germany) for €2.5m (with a negative fair value of €0.1m) and sales on the BTP future (Italy) for €604m (with a positive fair value of €3.5m); moreover, net hedging purchases of €485m, €360m of which attributable to Germany country risk, were not counted.

<sup>2</sup> This item does not include the instrument linked to the appreciation of Greek GDP (referred to as "GDP Linkers Securities") with a notional amount of €127m<sup>.</sup>

*A.1.3 Financial assets by past due brackets (book value)*

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | **Stage 1** | **Stage 1** | **Stage 1** | **Stage 2** | **Stage 2** | **Stage 2** | **Stage 3** | **Stage 3** | **Stage 3** | **Purchased or**<br> **originated credit**<br> **impaired assets** | **Purchased or**<br> **originated credit**<br> **impaired assets** | **Purchased or**<br> **originated credit**<br> **impaired assets** |
| **Portfolios/risk stages** | **Portfolios/risk stages** | **From**<br> **1 to**<br> **30** <br> **days** | **From**<br> **30 to**<br> **90**<br> **days** | **More**<br> **than**<br> **90**<br> **days** | **From**<br> **1 to**<br> **30** <br> **days** | **From**<br> **30 to**<br> **90** <br> **days** | **More**<br> **than**<br> **90**<br> **days** | **From**<br> **1 to**<br> **30**<br> **days** | **From**<br> **30 to**<br> **90**<br> **days** | **More**<br> **than**<br> **90**<br> **days** | **From**<br> **1 to**<br> **30**<br> **days** | **From**<br> **30 to**<br> **90**<br> **days** | **More**<br> **than**<br> **90**<br> **days**  |
| 1. | Financial assets measured at amortized cost | 3382 | 30970 | 157 |  | 9 |  | 1 | 3 | 5499 |  |  |  |
| 2. | Financial assets measured at fair value through other comprehensive income |  |  |  |  |  |  |  |  |  |  |  |  |
| 3. | Financial assets held for sale |  |  |  |  |  |  |  |  |  |  |  |  |
| Total 30 June 2024 | Total 30 June 2024 | 3382 | 30970 | 157 |  | 9 |  | 1 | 3 | 5499 |  |  |  |
| Total 30 June 2023 | Total 30 June 2023 | 17534 | 3876 | 19242 | 899 | 3050 | 2548 |  |  | 3257 |  |  |  |

---

552 \| Individual financial statements as at 30 June 2024

*A.1.4 Financial assets, loan commitments and financial guarantees issued: trend in overall value adjustments and overall provisioning*

---

| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** | **Overall value adjustments** |  |  |  |  | |
| | **Stage 1 assets** | **Stage 1 assets** | **Stage 1 assets** | **Stage 1 assets** | **Stage 1 assets** | **Stage 1 assets** | **Stage 2 assets** | **Stage 2 assets** | **Stage 2 assets** | **Stage 2 assets** | **Stage 2 assets** | **Stage 2 assets** | **Stage 3 assets** | **Stage 3 assets** | **Stage 3 assets** | **Stage 3 assets** | **Stage 3 assets** | **Stage 3 assets** | **Purchased or originated credit impaired financial assets** | **Purchased or originated credit impaired financial assets** | **Purchased or originated credit impaired financial assets** | **Purchased or originated credit impaired financial assets** | **Purchased or originated credit impaired financial assets** | **Overall provisions for loan commitments and financial guarantees issued** | **Overall provisions for loan commitments and financial guarantees issued** | **Overall provisions for loan commitments and financial guarantees issued** | **Overall provisions for loan commitments and financial guarantees issued** | |
| <br>**Reasons/risk stages** | **On-demand loans to banks and Central Banks** | **Financial assets measured at amortized cost** | **Financial assets measured at fair value through other comprehensive income** | **Financial assets held for sale** | ***of which: individual write-downs*** | ***of which: collective write-downs*** | **On-demand loans to banks and Central Banks** | **Financial assets measured at amortized cost** | **Financial assets measured at fair value through other comprehensive income** | **Financial assets held for sale** | ***of which: individual write-downs*** | ***of which: collective write-downs*** | **On-demand loans to banks and Central Banks** | **Financial assets measured at amortized cost** | **Financial assets measured at fair value through other comprehensive income** | **Financial assets held for sale** | ***of which: individual write-downs*** | ***of which: collective write-downs*** | **Financial assets measured at amortized cost** | **Financial assets measured at fair value through other comprehensive income** | **Financial assets held for sale** | ***of which: individual write-downs*** | ***Of which: collective write-downs*** | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or originated credit-impaired loan commitments and financial guarantees issued** | <br>**Total** |
| Opening amount of overall adjustments | 855 | 60445 | 6537 |  | *—* | *67837* |  | 10928 | 1385 |  | *—* | *12313* |  | 92786 |  |  | *92786* | *—* |  |  |  | *—* | *—* | 24199 | 6207 |  |  | 203342 |
| Increases due to purchased or originated financial assets | 38 | 18311 | 5910 |  | *—* | *24259* |  | 8080 | 133 |  | *—* | *8213* |  | 24 |  |  | *24* | *—* | X | X | X | *X* | *X* | 6604 | 91 |  |  | 39191 |
| Derecognitions other than write-offs |  | (20814) | (5200) |  | *—* | *(26014)* |  | (13349) | (983) |  | *—* | *(14332)* |  | (91702) |  |  | *(91702)* | *—* |  |  |  | *—* | *—* | (8182) | (5342) |  |  | (145572) |
| Net value adjustments/write-backs for credit risk | (290) | (11061) | (251) |  | *—* | *(11602)* | 122 | 6731 | 122 |  | *—* | *6975* |  | 3326 |  |  | *3326* | *—* |  |  |  | *—* | *—* | (3279) | 2180 | 334 |  | (2066) |
| Contractual changes without derecognition |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  | *—* | *—* |  |  |  |  |  |
| Changes in estimation methods |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  | *—* | *—* |  |  |  |  |  |
| Write-offs not directly recognized through profit or loss |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  | *—* | *—* |  |  |  |  |  |
| Other changes |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  | *—* | *—* | 2 |  |  |  | 2 |
| Closing amount of overall adjustments | 603 | 46881 | 6996 |  | *—* | *54480* | 122 | 12390 | 657 |  | *—* | *13169* |  | 4434 |  |  | *4434* | *—* |  |  |  | *—* | *—* | 19344 | 3136 | 334 |  | 94897 |
| Recoveries for collections of written-off financial assets |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  | *—* | *—* |  |  |  |  |  |
| Write-offs directly recognized through profit or loss |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  |  | *—* | *—* |  |  |  | *—* | *—* |  |  |  |  |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 553

*A.1.5* *Financial assets, loan commitments and financial guarantees issued: transfers between different stages of credit risk (gross and nominal values)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Gross value/nominal value** | **Gross value/nominal value** | **Gross value/nominal value** | **Gross value/nominal value** | **Gross value/nominal value** | **Gross value/nominal value** |
| | **Transfers between Stage 1 <br> and Stage 2** | **Transfers between Stage 1 <br> and Stage 2** | **Transfers between Stage 2 <br> and Stage 3** | **Transfers between Stage 2 <br> and Stage 3** | **Transfers between Stage 1<br> and Stage 3** | **Transfers between Stage 1<br> and Stage 3** |
| <br>**Portfolios/risk stages** | **From <br> Stage 1 to <br> Stage 2** | **From <br> Stage 2 to <br> Stage 1** | **From <br> Stage 2 to <br> Stage 3** | **From <br> Stage 3 to <br> Stage 2** | **From<br> Stage 1 to <br> Stage 3** | **From<br> Stage 3 to <br> Stage 1** |
| 1. Financial assets measured at amortized cost | 75540 | 1270 | 11346 |  | 6248 | 805 |
| 2. Financial assets measured at fair value through other comprehensive income | 3531 |  |  |  |  |  |
| 3. Financial assets held for sale |  |  |  |  |  |  |
| 4. Loan commitments and financial guarantees issued | 97069 |  | 180 |  | 1335 |  |
| Total 30 June 2024 | 176140 | 1270 | 11526 |  | 7583 | 805 |
| Total 30 June 2023 | 141482 | 148631 | 50305 |  | 773 | 1162 |

---

Transfers from Stage 1 to Stage 2, mainly in the Large Corporate area, were affected by reclassifications due to the worse ratings of six counterparties (two of which related to off-balance sheet exposures) as well as by the inclusion in the watchlist of four counterparties (two of which related to off-balance sheet exposures); on the other hand, the second stage was mainly influenced by reimbursements.

The transitions from Stage 2 to Stage 3 were influenced by the transition of a position to UTP.

Finally, the transition from Stage 1 to Stage 3 of a Large Corporate position due to classification as UTP should be noted.

554 \| Individual financial statements as at 30 June 2024

*A.1.6* *On- and off-balance sheet exposures to banks: net and gross values*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | | |
| <br>**Types of exposure/Values** | | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or originated credit impaired assets** | | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or originated credit impaired assets** |<br>**Net exposure** |<br>**Overall partial write-offs** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| A.1 On-demand | 3281124 | 3262866 | 18258 |  |  | 725 | 603 | 122 |  |  | 3280399 |  |
| a) Non-performing |  | X |  |  |  |  | X |  |  |  |  |  |
| b) Performing | 3281124 | 3262866 | 18258 | X |  | 725 | 603 | 122 | X |  | 3280399 |  |
| A.2 Other | 33034648 | 31741043 |  |  |  | 25090 | 25090 |  |  |  | 33009558 |  |
| a) Bad loans |  | X |  |  |  |  | X |  |  |  |  |  |
| *- of which: forborne exposures* | *—* | *X* | *—* | *—* |  | *—* | *X* | *—* | *—* |  | *—* |  |
| b) Unlikely to pay |  | X |  |  |  |  | X |  |  |  |  |  |
| *of which: forborne exposures* | *—* | *X* | *—* | *—* |  | *—* | *X* | *—* | *—* |  | *—* |  |
| c) Overdue non-performing exposures |  | X |  |  |  |  | X |  |  |  |  |  |
| *- of which: forborne exposures* | *—* | *X* | *—* | *—* |  | *—* | *X* | *—* | *—* |  | *—* |  |
| d) Overdue performing exposures |  |  |  | X |  |  |  |  | X |  |  |  |
| *- of which: forborne exposures* | *—* | *—* | *—* | *X* |  | *—* | *—* | *—* | *X* |  | *—* |  |
| e) Other performing exposures | 33034648 | 31741043 |  | X |  | 25090 | 25090 |  | X |  | 33009558 |  |
| *- of which: forborne exposures* | *—* | *—* | *—* | *X* |  | *—* | *—* | *—* | *X* |  | *—* |  |
| Total (A) | 36315772 | 35003909 | 18258 |  |  | 25815 | 25693 | 122 |  |  | 36289957 |  |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| a) Non-performing |  | X |  |  |  |  | X |  |  |  |  |  |
| b) Performing | 18840719 | 3675442 |  | X |  | 2799 | 2799 |  | X |  | 18837920 |  |
| Total (B) | 18840719 | 3675442 |  |  |  | 2799 | 2799 |  |  |  | 18837920 |  |
| Total (A+B) | 55156491 | 38679351 | 18258 |  |  | 28614 | 28492 | 122 |  |  | 55127877 |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 555

*A.1.7* *On- and off-balance sheet exposures to customers: gross and net values*

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Gross exposure** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | **Overall value adjustments and overall provisions** | | |
| <br>**Types of exposure/Values** | | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or originated credit impaired assets** | | **Stage 1** | **Stage 2** | **Stage 3** | **Purchased or originated credit impaired assets** |<br>**Net exposure** |<br>**Overall partial write-offs** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| a) Bad loans | 6636 | X |  |  |  | 6636 | X |  |  |  |  |  |
| *- of which: forborne exposures* | *6636* | *X* | *—* | *—* |  | *6636* | *X* | *—* | *—* |  | *—* |  |
| b) Unlikely to pay | 12408 | X |  | 12408 |  | 3889 | X |  | 3889 |  | 8519 |  |
| *- of which: forborne exposures* | *6110* | *X* | *—* | *6110* |  | *2153* | *X* | *—* | *2153* |  | *3957* |  |
| c) Overdue non-performing exposures | 7122 | X |  | 7122 |  | 545 | X |  | 545 |  | 6577 |  |
| *- of which: forborne exposures* | *5236* | *X* | *—* | *5236* |  | *293* | *X* | *—* | *293* |  | *4943* |  |
| d) Overdue performing exposures | 34522 | 34513 | 9 | X |  | 4 | 4 |  | X |  | 34518 |  |
| *- of which: forborne exposures* | *—* | *—* | *—* | *X* |  | *—* | *—* | *—* | *X* |  |  |  |
| e) Other performing exposures | 37768509 | 29535827 | 203397 | X |  | 41830 | 28783 | 13047 | X |  | 37726679 |  |
| *- of which: forborne exposures* | *137148* | *—* | *137148* | *X* |  | *6434* | *—* | *6434* | *X* |  | *130714* |  |
| TOTAL (A) | 37829197 | 29570340 | 203406 | 19530 |  | 52904 | 28787 | 13047 | 4434 |  | 37776293 |  |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |  |  |
| a) Non-performing | 1515 | X |  | 1515 |  | 334 | X |  | 334 |  | 1181 |  |
| b) Performing | 30773831 | 22746435 | 112194 | X |  | 19681 | 16545 | 3136 | X |  | 30754150 |  |
| Total (B) | 30775346 | 22746435 | 112194 | 1515 |  | 20015 | 16545 | 3136 | 334 |  | 30755331 |  |
| Total (A+B) | 68604543 | 52316775 | 315600 | 21045 |  | 72919 | 45332 | 16183 | 4768 |  | 68531624 |  |

---

As at 30 June 2024, gross non-performing assets decreased (from €118.3m to €26.2m, including €14.4m from the Private segment) following the sale of a couple of single names in the Large Corporate segment. On a net basis, they decreased from €18.9m to €15.1m with an almost zero impact on cash credit exposures. The coverage ratio stood at 42.3%, down compared to the previous year (84%) due to the disposals made and extensive guarantees covering exposures, especially in the Private segment.

556 \| Individual financial statements as at 30 June 2024

*Finrep Gross NPL Ratio* <sup>(23)</sup>

---

| | | |
|:---|:---|:---|
|  |<br>**30 June 2024** | (€m)<br>**30 June 2023** |
|  | **Amounts before value adjustments** | **Amounts before value adjustments** |
| Loans | 40315.1 | 41489.8 |
| NPLs | 26.2 | 118.3 |
| Loan to customers | 40341.3 | 41608.1 |
| NPLs purchased |  |  |
| Net Treasury assets\* | 13950.9 | 12790.8 |
| Total Loans and advances | 54292.2 | 54398.9 |
| Finrep Gross NPL ratio in % |  | 0.2% |

---

<sup>\*</sup> In line with the instructions of the EBA Risk Dashboard, the calculation excludes cash and includes untied deposits held with Central Banks.

<sup>(23)</sup> In the EBA Risk Dashboard, the gross NPL ratio is defined as the ratio of gross book value of NPLs (loans and advances) to total loans and advances. Source: EBA Risk Dashboard, Risk Indicators in the Statistical Annex (AQT_3.2).

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 557

*A.1.9* *On-balance sheet exposures to customers: trend in gross NPLs*

---

| | | | |
|:---|:---|:---|:---|
| **Reasons/Category** | **Bad loans** | **Probability of default** | **Overdue non-performing exposures** |
| A. Opening balance (gross amount) | 62422 | 54900 | 1028 |
| *- of which: exposures sold but not derecognized* |  |  |  |
| B. Increases |  | 11030 | 10648 |
| &nbsp;&nbsp;&nbsp;B.1 inflows from performing exposures |  | 9762 | 9689 |
| &nbsp;&nbsp;&nbsp;B.2 inflows from purchased or originated credit impaired financial assets |  |  |  |
| &nbsp;&nbsp;&nbsp;B.3 transfers from other categories of non-performing exposures |  |  |  |
| &nbsp;&nbsp;&nbsp;B.4 contractual changes without derecognition |  |  |  |
| &nbsp;&nbsp;&nbsp;B.5 other increases |  | 1268 | 959 |
| C. Decreases | 55786 | 53522 | 4554 |
| &nbsp;&nbsp;&nbsp;C.1 transfers to performing exposures |  |  | 755 |
| &nbsp;&nbsp;&nbsp;C.2 write-offs |  |  |  |
| &nbsp;&nbsp;&nbsp;C.3 collection | 476 | 3021 | 3799 |
| &nbsp;&nbsp;&nbsp;C.4 gains on disposal | 5 | 15118 |  |
| &nbsp;&nbsp;&nbsp;C.5 losses on disposal |  | 187 |  |
| &nbsp;&nbsp;&nbsp;C.6 transfers to other categories of non-performing exposures |  |  |  |
| &nbsp;&nbsp;&nbsp;C.7 contractual changes without derecognition |  |  |  |
| &nbsp;&nbsp;&nbsp;C.8 other decreases | 55305 | 35196 |  |
| D. Closing balance of gross exposure | 6636 | 12408 | 7122 |
| *- of which: exposures sold but not derecognized* |  |  |  |

---

558 \| Individual financial statements as at 30 June 2024

 *A.1.9 bis On-balance sheet exposures to customers: trend in gross forborne exposures, by credit quality*

---

| | | |
|:---|:---|:---|
| **Reasons/Category** | **Forborne<br> non-performing<br> exposures** | **Forborne<br> performing<br> exposures** |
| A. Opening balance (gross amount) | 60763 | 145127 |
| &nbsp;&nbsp;&nbsp;*- of which: exposures sold but not derecognized* | *—* | *—* |
| B. Increases | 11542 | 84249 |
| &nbsp;&nbsp;&nbsp;B.1 inflows from not forborne performing exposures |  | 26994 |
| &nbsp;&nbsp;&nbsp;B.2 inflows from forborne performing exposures | 11355 | X |
| &nbsp;&nbsp;&nbsp;B.3 inflows from forborne non-performing exposures | X |  |
| &nbsp;&nbsp;&nbsp;B.4 inflows from not forborne non-performing exposures |  |  |
| &nbsp;&nbsp;&nbsp;B.5 other increases | 187 | 57255 |
| C. Decreases | 54323 | 92228 |
| &nbsp;&nbsp;&nbsp;C.1 outflows to not forborne performing exposures | X |  |
| &nbsp;&nbsp;&nbsp;C.2 outflows to forborne performing exposures |  | X |
| &nbsp;&nbsp;&nbsp;C.3 outflows to forborne non-performing exposures | X | 11355 |
| &nbsp;&nbsp;&nbsp;C.4 write-offs |  |  |
| &nbsp;&nbsp;&nbsp;C.5 collection | 180 | 80873 |
| &nbsp;&nbsp;&nbsp;C.6 gains on disposal | 5 |  |
| &nbsp;&nbsp;&nbsp;C.7 losses on disposal |  |  |
| &nbsp;&nbsp;&nbsp;C.8 other decreases | 54138 |  |
| D. Closing balance of gross exposure | 17982 | 137148 |
| &nbsp;&nbsp;&nbsp;*- of which: exposures sold but not derecognized* | *—* | *—* |

---

As at 30 June 2024, forborne<sup>(24)</sup> gross non-performing positions fell to €18m (€60.8m in the previous year) with a coverage rate of 50.5%.

Forborne performing positions had a gross value of €137.1m (€145.1m in the previous financial year), with a coverage ratio of 4.7% (3.6%); on a net basis, forborne performing positions dropped to €130.7m (€139.9m).

Overall, gross forborne non-performing positions concerned approximately 0.1% (0.2%) of total loans to customers, while forborne performing were steady at 0.4%.

<sup>(24)</sup> By definition, "forbearance" is when a specific concession is offered to a client who is undergoing, or risks encountering, temporary financial difficulties in meeting their payment obligations.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 559

*A.1.11* *On-balance sheet non-performing exposures to customers: trend in overall value adjustments*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Bad loans** | **Bad loans** | **Unlikely to pay Overdue non-performing<br> exposures** | **Unlikely to pay Overdue non-performing<br> exposures** | **Unlikely to pay Overdue non-performing<br> exposures** | **Unlikely to pay Overdue non-performing<br> exposures** |
| <br>**Reasons/Category** | **Total** | **of which: forborne exposures** | **Total** | **of which: forborne exposures** | **Total** | **of which: forborne exposures** |
| A. Opening balance of overall adjustments | 62422 | *60763* | 36819 | *—* | 181 | *—* |
| &nbsp;&nbsp;&nbsp;*- of which: exposures sold but not derecognized* |  | *—* |  | *—* |  | *—* |
| B. Increases |  | *—* | 3086 | *2153* | 400 | *293* |
| &nbsp;&nbsp;&nbsp;B.1 value adjustments to purchased or originated credit impaired financial assets |  | *X* |  | *X* |  | *X* |
| &nbsp;&nbsp;&nbsp;B.2 other value adjustments |  | *—* | 3086 | *2153* | 400 | *293* |
| &nbsp;&nbsp;&nbsp;B.3 losses on disposal |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;B.4 transfers from other categories of non-performing exposures |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;B.5 contractual changes without derecognition |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;B.6 other increases |  | *—* |  | *—* |  | *—* |
| C. Decreases | 55786 | *54127* | 36016 | *—* | 36 | *—* |
| &nbsp;&nbsp;&nbsp;C.1 write-backs due to valuations |  | *—* | 122 | *—* | 33 | *—* |
| &nbsp;&nbsp;&nbsp;C.2 write-backs due to collections | 476 | *—* | 894 | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;C.3 gains on disposal | 5 | *5* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;C.4 write-offs |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;C.5 transfers to other categories of non-performing exposures |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;C.6 contractual changes without derecognition |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;C.7 other decreases | 55305 | *54122* | 35000 | *—* | 3 | *—* |
| D. Closing amount of overall adjustments | 6636 | *6636* | 3889 | *2153* | 545 | *293* |
| &nbsp;&nbsp;&nbsp;*- of which: exposures sold but not derecognized* |  | *—* |  | *—* |  | *—* |

---

560 \| Individual financial statements as at 30 June 2024

*A.2* *Distribution of financial assets, loan commitments and financial guarantees issued by class of external and internal ratings*

*A.2.1* *Distribution of financial assets, loan commitments and financial guarantees issued by class of external ratings (gross values)*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **External rating classes** | **External rating classes** | **External rating classes** | **External rating classes** | **External rating classes** | **External rating classes** | | |
| <br>**Exposures** | **Class 1** | **Class 2** | **Class 3** | **Class 4** | **Class 5** | **Class 6** | **Without**<br> **rating** |<br>**Total** |
| A. Financial assets measured at amortized cost | 1180437 | 4472042 | 33856341 | 733056 | 82451 |  | 14552876 | 54877203 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 1180437 | 4472042 | 33856341 | 733056 | 55979 |  | 14376184 | 54674039 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  | 21800 |  | 161834 | 183634 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  | 4672 |  | 14858 | 19530 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| B. Financial assets measured at fair value through other comprehensive income | 2246544 | 41086 | 3953006 | 310028 |  |  | 106452 | 6657116 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 2246544 | 41086 | 3953006 | 290256 |  |  | 106452 | 6637344 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  | 19772 |  |  |  | 19772 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| C. Financial assets held for sale |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 1 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| Total (A+B+C) | 3426981 | 4513128 | 37809347 | 1043084 | 82451 |  | 14659328 | 61534319 |
| D. Loan commitments and financial guarantees issued | 1413515 | 1884734 | 14706012 | 1210227 | 199555 | 1658 | 7119887 | 26535588 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 1413515 | 1884734 | 14706012 | 1210227 | 149983 | 1658 | 7055749 | 26421878 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  | 48237 |  | 63958 | 112195 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  | 1335 |  | 180 | 1515 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |
| Total (D) | 1413515 | 1884734 | 14706012 | 1210227 | 199555 | 1658 | 7119887 | 26535588 |
| Total (A+B+C+D) | 4840496 | 6397862 | 52515359 | 2253311 | 282006 | 1658 | 21779215 | 88069907 |

---

The Bank has adopted Standard & Poor's ratings for all asset portfolios within the scope of the report.

The table is compliant with the classification provided by the Bank of Italy Circular No. 262/2005 (sixth update), which requires external ratings to be divided into six different classes of credit quality.

The first three risk classes (classes 1, 2 and 3) consist of investment grade exposures, with a Standard & Poor's rating of between AAA and BBB-, and represent 96% of the entire portfolio, excluding counterparties without rating and non-performing loans.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 561

*A.2.2* *Distribution of financial assets, loan commitments and financial guarantees issued by class of internal ratings (gross values)*

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | **Internal rating classes** | | | |
| <br>**Exposures** | **Class 1** | **Class 2** | **Class 3** | **Class 4** | **Class 5** | **Class 6** | **Non-**<br>**performing** | **Without**<br>**rating** |<br>**Total** |
| A. Financial assets measured at amortized cost | 1783078 | 6111201 | 42366423 | 2414014 | 108363 |  | 11768 | 2082356 | 54877203 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 1783078 | 6111201 | 42366423 | 2315560 | 44410 |  |  | 2053367 | 54674039 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  | 98454 | 63953 |  |  | 21227 | 183634 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  | 11768 | 7762 | 19530 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| B. Financial assets measured at fair value through other comprehensive income | 1931884 | 98270 | 3716031 | 520252 |  |  |  | 390679 | 6657116 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 1931884 | 98270 | 3716031 | 500480 |  |  |  | 390679 | 6637344 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  | 19772 |  |  |  |  | 19772 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| C. Financial assets held for sale |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 1 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| Total (A+B+C) | 3714962 | 6209471 | 46082454 | 2934266 | 108363 |  | 11768 | 2473035 | 61534319 |
| D. Loan commitments and financial guarantees issued | 1380141 | 2270223 | 18792319 | 1975241 | 653762 |  | 1515 | 1462387 | 26535588 |
| &nbsp;&nbsp;&nbsp;- Stage 1 | 1380141 | 2270223 | 18792319 | 1924494 | 594147 |  |  | 1460554 | 26421878 |
| &nbsp;&nbsp;&nbsp;- Stage 2 |  |  |  | 50747 | 59615 |  |  | 1833 | 112195 |
| &nbsp;&nbsp;&nbsp;- Stage 3 |  |  |  |  |  |  | 1515 |  | 1515 |
| &nbsp;&nbsp;&nbsp;- Purchased or originated credit impaired assets |  |  |  |  |  |  |  |  |  |
| Total (D) | 1380141 | 2270223 | 18792319 | 1975241 | 653762 |  | 1515 | 1462387 | 26535588 |
| Total (A+B+C+D) | 5095103 | 8479694 | 64874773 | 4909507 | 762125 |  | 13283 | 3935422 | 88069907 |

---

562 \| Individual financial statements as at 30 June 2024

Mediobanca uses models developed internally in the process of managing credit risk to assign ratings to each counterparty.

The models' different rating scales are mapped against a single Group master scale consisting of six different rating classes based on the underlying probability of default (PD) attributable to the S&P master scale.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 563

*A.3 Distribution of secured exposures by type of security*

*A.3.1 On- and off-balance sheet secured exposures to banks*

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Collateral guarantees (1)** | **Collateral guarantees (1)** | **Collateral guarantees (1)** | **Collateral guarantees (1)** | | | | | | **Personal guarantees (2)** | **Personal guarantees (2)** | **Personal guarantees (2)** | **Personal guarantees (2)** | |
|  | | | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | |
|  | | | | | | | | **Other derivatives** | **Other derivatives** | **Other derivatives** | **Other derivatives** | | | | | |
|  |<br><br>**Gross<br> exposure** |<br><br>**Net<br> exposure** |<br>**Property<br> mortgages** |<br>**Property<br> finance<br> leases** |<br>**Securities** |<br>**Other<br> collateral<br> guarantees** |<br>**CLN** | **Central<br> counterparties** | **Banks** | **Other<br> financial<br> companies** | **Other<br> entities** |<br>**Public<br> administrations** |<br>**Banks** |<br>**Other<br> financial<br> companies** |<br>**Altri<br> soggetti** |<br><br>**Total<br> (1)+(2)** |
| 1. Secured on-balance sheet credit exposures: | 3455669 | 3455617 |  |  | 2828425 | 489491 |  |  |  |  |  |  |  |  |  | 3317916 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1. totally secured | 2654240 | 2654216 |  |  | 2027573 | 489491 |  |  |  |  |  |  |  |  |  | 2517064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *—* | *—* |  |  | *—* | *—* |  |  |  |  |  |  |  |  |  | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2. partially secured | 801429 | 801401 |  |  | 800852 |  |  |  |  |  |  |  |  |  |  | 800852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *—* | *—* |  |  | *—* | *—* |  |  |  |  |  |  |  |  |  | *—* |
| 2. Secured off-balance sheet credit exposures: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1 totally secured |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *—* | *—* |  |  | *—* | *—* |  |  |  |  |  |  |  |  |  | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2. partially secured |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *—* | *—* |  |  | *—* | *—* |  |  |  |  |  |  |  |  |  | *—* |

---

564 \| Individual financial statements as at 30 June 2024

*A.3.2 On- and off-balance sheet secured exposures to customers*

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Collateral guarantees (1)** | **Collateral guarantees (1)** | **Collateral guarantees (1)** | **Collateral guarantees (1)** | | | | | | **Garanzie personali (2)** | **Garanzie personali (2)** | **Garanzie personali (2)** | **Garanzie personali (2)** | |
|  | | | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Credit derivatives** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | **Unsecured loans** | |
|  | | | | | | | | **Other derivatives** | **Other derivatives** | **Other derivatives** | **Other derivatives** | | | | | |
|  |<br><br>**Gross<br> exposure** |<br><br>**Net<br> exposure** |<br>**Property<br> mortgages** |<br>***Property<br> finance<br> leases*** |<br>**Securities** |<br>**Other<br> collateral<br> guarantees** |<br>**CLN** | **Central<br> counterparties** | **Banks** | **Other<br> financial<br> companies** | **Other<br> entities** |<br>**Public<br> administrations** |<br>**Banks** |<br>**Other<br> financial<br> companies** |<br>**Other<br> entities** |<br><br>**Total<br> (1)+(2)** |
| 1. Secured on-balance sheet credit exposures: | 8122197 | 8111854 | 379166 |  | 4497872 | 1721224 |  |  |  |  |  | 315122 | 100000 | 300803 | 323142 | 7637329 |
| &nbsp;&nbsp;&nbsp;&nbsp;1.1. totally secured | 6590311 | 6586221 | 223355 |  | 4435698 | 1209214 |  |  |  |  |  | 287266 |  | 62878 | 184265 | 6402676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *7228* | *6753* | *3658* |  | *2104* | *991* |  |  |  |  |  | *—* | *—* | *—* | *—* | *6753* |
| &nbsp;&nbsp;&nbsp;&nbsp;1.2. partially secured | 1531886 | 1525633 | 155811 |  | 62174 | 512010 |  |  |  |  |  | 27856 | 100000 | 237925 | 138877 | 1234653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *6110* | *3957* | *—* |  | *241* | *—* |  |  |  |  |  | *—* | *—* | *—* | *—* | *241* |
| 2. Secured off-balance sheet credit exposures: | 1067036 | 1066166 |  |  | 364479 | 373329 |  |  |  |  |  |  |  | 94875 | 117142 | 949825 |
| &nbsp;&nbsp;&nbsp;&nbsp;2.1. totally secured | 838015 | 837601 |  |  | 363166 | 372314 |  |  |  |  |  |  |  | 60792 | 16017 | 812289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *—* | *—* | *—* |  | *—* | *—* |  |  |  |  |  | *—* | *—* | *—* | *—* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;2.2. partially secured | 229021 | 228565 |  |  | 1313 | 1015 |  |  |  |  |  |  |  | 34083 | 101125 | 137536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, non-performing* | *180* | *113* | *—* |  | *—* | *—* |  |  |  |  |  | *—* | *—* | *—* | *—* | *—* |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 565

**B. Distribution and concentration of credit exposures**

*B.1 Distribution of on- and off-balance sheet exposures to customers by sector*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Public administrations** | **Public administrations** | **Financial companies** | **Financial companies** | **Financial companies(of which: <br> insurance companies)** | **Financial companies(of which: <br> insurance companies)** | **Non-financial companies** | **Non-financial companies** | **Households** | **Households** |
| <br>**Exposures/Counterparties** | **Net<br> exposure** | **Overall<br> value<br> adjustments** | **Net<br> exposure** | **Overall<br> value<br> adjustments** | **Net exposure** | **Overall<br> value<br> adjustments** | **Net<br> exposure** | **Overall<br> value<br> adjustments** | **Net<br> exposure** | **Overall<br> value<br> adjustments** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A.1 Bad loans |  |  |  | (6636) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, forborne exposures* | *—* | *—* | *—* | *(6636)* | *—* | *—* | *—* | *—* | *—* | *—* |
| A.2 Unlikely to pay |  |  |  |  |  |  | 8061 | (3707) | 458 | (182) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, forborne exposures* | *—* | *—* | *—* | *—* | *—* | *—* | *3957* | *(2153)* | *—* | *—* |
| A.3 Overdue non-performing exposures |  |  | 29 | (108) |  |  | 24 | (63) | 6524 | (374) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, forborne exposures* | *—* | *—* | *—* | *—* | *—* | *—* | *—* | *—* | *4943* | *(293)* |
| A.4 Performing exposures | 14835524 | (3028) | 13112398 | (18112) | 1124442 | (1514) | 9072490 | (20342) | 740785 | (352) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*- of which, forborne exposures* | *—* | *—* | *13966* | *(1142)* | *—* | *—* | *116081* | *(5292)* | *667* | *—* |
| Total (A) | 14835524 | (3028) | 13112427 | (24856) | 1124442 | (1514) | 9080575 | (24112) | 747767 | (908) |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Non-performing exposures |  |  |  |  |  |  | 1181 | (334) |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Performing exposures | 7934309 | (59) | 9841907 | (9383) | 1926632 | (1177) | 12403870 | (10239) | 574064 |  |
| Total (B) | 7934309 | (59) | 9841907 | (9383) | 1926632 | (1177) | 12405051 | (10573) | 574064 |  |
| Total (A+B) 30 June 2024 | 22769833 | (3087) | 22954334 | (34239) | 3051074 | (2691) | 21485626 | (34685) | 1321831 | (908) |
| Total (A+B) 30 June 2023 | 13970730 | (1915) | 22111325 | (38224) | 2379010 | (1928) | 23466878 | (142019) | 1460012 | (640) |

---

566 \| Individual financial statements as at 30 June 2024

*B.2 Distribution of on- and off-balance sheet exposures to customers by geography*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Italy Other European countries** | **Italy Other European countries** | **Italy Other European countries** | **Italy Other European countries** | **America** | **America** | **Asia** | **Asia** | **Rest of the world** | **Rest of the world** |
| <br>**Exposures/Geographical area** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Bad loans |  | (6636) |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Unlikely to pay | 4780 | (2956) | 3739 | (933) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Overdue non-performing exposures | 6575 | (543) | 2 | (2) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.4 Performing exposures | 27720215 | (32328) | 9277410 | (9452) | 748421 | (54) | 14099 |  | 1052 |  |
| Total (A) | 27731570 | (42463) | 9281151 | (10387) | 748421 | (54) | 14099 |  | 1052 |  |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Non-performing exposures | 113 | (67) | 1068 | (267) |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Performing exposures | 15147595 | (7778) | 14672530 | (10301) | 885388 | (1600) | 48389 | (2) | 248 |  |
| Total (B) | 15147708 | (7845) | 14673598 | (10568) | 885388 | (1600) | 48389 | (2) | 248 |  |
| Total (A+B) 30 June 2024 | 42879278 | (50308) | 23954749 | (20955) | 1633809 | (1654) | 62488 | (2) | 1300 |  |
| Total (A+B) 30 June 2023 | 33648061 | (54646) | 25422184 | (122236) | 1887573 | (5912) | 49490 | (2) | 1637 | (2) |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 567

*B.3 Distribution of on- and off-balance sheet exposures to banks by geography*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **Italy Other European countries** | **Italy Other European countries** | **Italy Other European countries** | **Italy Other European countries** | **America** | **America** | **Asia** | **Asia** | **Rest of the world** | **Rest of the world** |
| <br>**Exposures/Geographical area** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** | **Net exposure** | **Overall value adjustments** |
| A. On-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.1 Bad loans |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.2 Unlikely to pay |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.3 Overdue non-performing exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;A.4 Performing exposures | 26714433 | (21497) | 9464164 | (4308) | 111168 | (10) | 191 |  | 1 |  |
| Total (A) | 26714433 | (21497) | 9464164 | (4308) | 111168 | (10) | 191 |  | 1 |  |
| B. Off-balance sheet credit exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.1 Non-performing exposures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;B.2 Performing exposures | 1732481 | (44) | 17105323 | (2755) | 116 |  |  |  |  |  |
| Total (B) | 1732481 | (44) | 17105323 | (2755) | 116 |  |  |  |  |  |
| Total (A+B) 30 June 2024 | 28446914 | (21541) | 26569487 | (7063) | 111284 | (10) | 191 |  | 1 |  |
| Total (A+B) 30 June 2023 | 31226060 | (21194) | 26527115 | (5985) | 46237 | (1) | 466 |  | 2902 |  |

---

568 \| Individual financial statements as at 30 June 2024

*B.4a Credit risk indicators*

---

| | | |
|:---|:---|:---|
|  | **30 June 2024** | **30 June 2023** |
| a) Gross bad loans/Total loans | 0.02% | 0.10% |
| b) Non-performing accounts receivable/On-balance sheet credit exposures | 0.07% | 0.18% |
| c) Net bad loans/Regulatory capital |  |  |

---

 

*B.4b Large exposures*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| a) Book value |  | 22545270 |  | 18127117 |
| b) Weighted value |  | 14792703 |  | 13597321 |
| c) Number of positions |  | 30 |  | 26 |

---

At the end of the period, exposures (including market risks and equity investments) exceeding 10% of Tier 1 Regulatory Capital regarded thirty groups of associated customers (four more than in the previous financial year) for a gross exposure of €22.5bn (€14.8bn taking into account guarantees and weightings), an increase compared to June 2023 (€18.1bn and €13.6bn, respectively). In detail, the thirty positions concerned nine industrial groups, four financial companies, three insurance companies and fourteen banking groups.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 569

**C. Securitization**

**QUALITATIVE INFORMATION**

The Bank holds a securities portfolio that derives from third-party securitizations of €1,036.1m (€986.9m at 30 June 2023), of which €821.2m as part of the banking book and €214.9m as part of the trading book (respectively €788.8m and €198.1m).

The Group's senior transaction was reset to zero after the repayment of the Quarzo bond (with underlying performing loans of Compass Banca) held almost entirely in the banking portfolio (€654.3m as at 30 June 2023).

In the first half of 2024, European ABS continued the positive trend in line with the credit market, in some cases outperforming the adjacent sector of covered bonds. Yields showed a strong compression of spreads across the entire capital structure to the advantage of more junior classes. In particular, Italian ABS benefited from the marked narrowing of BTP and Italian financial instruments that led to new repositionings in the sector.

On the primary market, the new offer went well beyond expectations with placements of transactions with underlying Consumers and Auto Loans, well received by investors reassured by the more favourable macroeconomic context. Most of the books were oversubscribed with very low new issue premiums compared to the secondary curves and with particular demand for mezzanine classes.

The market environment should remain favourable during 2024 on expectations of a rate cut by the Central Banks.

The banking book portfolio, which increased from €788.8m to €821.2m during the financial year, was mainly concentrated on senior securities which increased from €784.8m to €818.7m with investments in high-quality CLOs (€298.6m against €259.4m) and declining exposures to underlying NPLs (from €486.3m to €288.7m). Positions on mezzanine tranches went from €3.5m to €2.5m. The difference between fair value (derived from market platforms) and book value (amortized cost) settled at negative €8.8m.

The trading book stood at €214.9m (€198.1m at 30 June 2023): the senior portion amounted to €180.4m (€149.3m), €100.9m of which in the Transferable Custody

570 \| Individual financial statements as at 30 June 2024

Receipt transaction<sup>(25)</sup>, €44.8m in performing consumer loans and €34.7m in CLOs. The mezzanine portion was reduced to €34.5m (€48.9m as at 30 June 2023).

Mediobanca also has exposures to:

In January, Mediobanca S.p.A. entered into an equity commitment agreement with Polus Capital Management (US) Inc.,<sup>(26)</sup> a wholly-owned subsidiary of Polus, which provides for the Mediobanca Group undertaking a commitment of $75m to be used, among other things, to meet regulatory obligations, for investments in the "equity" tranche (most junior unrated securities) of Collateralized Loan Obligations (CLOs) in the US and related warehousing. The Portfolio Manager will be Polus Capital Management (US) Inc, while an institutional counterparty will act as arranger. As at 30 June, the Group's investments in US I CLOs amounted to €9.2m, including €4.5m subscribed by the Parent Company and €4.7m by Polus;

Italian Recovery Fund, a closed-end alternative investment fund (AIF) incorporated under Italian law and managed by DeA Capital Alternative Funds SGR S.p.A., which is currently invested in five securitization transactions (Valentine, Berenice, Cube, Este and Sunrise I) with Italian banks' NPLs as the underlying instrument; the €30m commitment has to date been drawn as to €18.4m;

*Negentropy RAIF –* Debt Select Fund, an alternative investment fund instituted under Luxembourg law and managed by Negentropy Capital Partners Limited, for which Mediobanca acted as advisor; the fund has senior tranches of real estate NPLs and loans as the underlying instrument, with an aggregate NAV of €122.7m (the share of Mediobanca being €61.3m);

in January, Mediobanca entered into an equity commitment agreement with Polus Capital Management (US) Inc.,<sup>(27)</sup> a wholly-owned subsidiary of Polus, which provides for Mediobanca S.p.A. undertaking a commitment of $75m to be used, to meet regulatory obligations, for investments in the "equity" tranche (most junior unrated securities) of Collateralized Loan Obligations (CLOs) managed in the US by Polus Capital Management (US) Inc. with an institutional counterparty acting as arranger. As at 30 June, the Group's investments in CLOs US I amounted to €9.2m, including €4.5m subscribed by the Parent Company.

<sup>(25)</sup> The Bank signed a note issued by the custodian bank in which three CLO positions (with underlying European corporate loans) purchased by Mediobanca and some financial guarantees on the same CLOs with which the Bank purchased hedging had been contributed in the form of a trust; TCR pays out principal and interest of the underlying CLOs after the premium of financial guarantees.

<sup>(26)</sup> CLI H I is reported in the disclosure on structured entities not consolidated for accounting purposes, while CLI H II is an investment consolidated using the equity method pursuant to IAS 28.

<sup>(27)</sup> US CLO is reported in the disclosure statement on Structured Entities not consolidated for accounting purposes.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 571

**QUANTITATIVE INFORMATION**

*C.2 Exposures from main third-party securitizations by asset type and exposure*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | **Cash exposure** | **Cash exposure** | **Cash exposure** | **Cash exposure** | **Cash exposure** | **Cash exposure** |
|  |  | **Senior** | **Senior** | **Mezzanine** | **Mezzanine** | **Junior** | **Junior** |
| **Type of underlying assets/Exposure** | **Type of underlying assets/Exposure** | **Carrying**<br> **amount** | **Value**<br> **adjustments/**<br> **write-backs** | **Carrying**<br> **amount** | **Value**<br> **adjustments/**<br> **write-backs** | **Carrying**<br> **amount** | **Value**<br> **adjustments/**<br> **write-backs** |
| A. | Italy NPLs (residential mortgages and real estate properties) | 288703 | 2084 | 1 |  | 3 |  |
| B. | Italy Consumer ABS | 239591 | (25) | 19456 | 31 |  |  |
| D. | Spain Consumer ABS | 2608 | (2) | 3323 | 8 |  |  |
| D. | Holland Consumer ABS |  |  | 801 | (1) |  |  |
| F. | Ireland Performing Loan | 7308 |  |  |  |  |  |
| F. | UK Performing Loan | 26585 |  |  |  |  |  |
| G. | Other Group company loans |  |  |  |  |  |  |
| H. | Other loans\* | 434257 | 136 | 13451 | 1 |  |  |
| Total 30 June 2024 | Total 30 June 2024 | 999052 | 2194 | 37031 | 38 | 3 |  |
| Total 30 June 2023 | Total 30 June 2023 | 1588328 | (2473) | 52370 | (288) | 451 | (8) |

---

 

<sup>\*</sup> CLO transactions, €100m of which relating to TCR<sup>7</sup>.

*C.4 Non-consolidated securitization vehicles*

This information is omitted herein as it has already been provided in the Consolidated Notes to the Accounts.

572 \| Individual financial statements as at 30 June 2024

&nbsp;&nbsp;&nbsp;&nbsp;**D.** **Information on structured entities not consolidated in accounting terms (other than securitization vehicles)** 

**QUALITATIVE INFORMATION**

This information is omitted herein as it has already been provided in the Consolidated Notes to the Accounts

**QUANTITATIVE INFORMATION**

This information is omitted herein as it has already been provided in the Consolidated Notes to the Accounts.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 573

**E. Disposals**

*A. Financial assets sold but not entirely derecognized*

*E.1 Financial assets sold entirely recognized and related financial liabilities: book values*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Financial assets sold and entirely recognized** | **Financial assets sold and entirely recognized** | **Financial assets sold and entirely recognized** | **Financial assets sold and entirely recognized** | **Related financial liabilities** | **Related financial liabilities** | **Related financial liabilities** |
|  | **Carrying amount** | ***of which: subject to securitization transactions*** | ***of which: subject to repurchase agreements*** | **of which non- performing** | ***Carrying amount*** | ***of which: subject to securitization transactions*** | ***of which: subject to repurchase agreements*** |
| A. Financial assets held for trading | 5.080.543 |  | *5.080.543* | X | *5.072.572* |  | *5.072.572* |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 4.629.079 |  | *4.629.079* | X | *4.633.059* |  | *4.633.059* |
| &nbsp;&nbsp;&nbsp;2. Equity securities | 451.464 |  | *451.464* | X | *439.513* |  | *439.513* |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  | *—* | X | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;4. Derivatives |  |  | *—* | X | *—* |  | *—* |
| B. Other financial assets mandatorily measured at fair value |  |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;1. Debt securities |  |  | *—* |  | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;2. Equity securities |  |  | *—* | X | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  | *—* |  | *—* |  | *—* |
| C. Financial assets designated at fair value | 17.037 |  | *17.037* |  | *16.718* |  | *16.718* |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 17.037 |  | *17.037* |  | *16.718* |  | *16.718* |
| &nbsp;&nbsp;&nbsp;2. Loans |  |  | *—* |  |  |  |  |
| D. Financial assets measured at fair value through other comprehensive income | 3.379.134 |  | *3.379.134* |  | *3.092.029* |  | *3.092.029* |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 3.379.134 |  | *3.379.134* |  | *3.092.029* |  | *3.092.029* |
| &nbsp;&nbsp;&nbsp;2. Equity securities |  |  | *—* | X | *—* |  | *—* |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  | *—* |  | *—* |  | *—* |
| E. Financial assets measured at amortized cost | 1.328.015 |  | *1.328.015* |  | *861.854* |  | *861.854* |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 1.327.315 |  | *1.327.315* |  | *861.153* |  | *861.153* |
| &nbsp;&nbsp;&nbsp;2. Loans | 700 |  | *700* |  | *701* |  | *701* |
| Total 30 June 2024 | 9.804.729 |  | *9.804.729* |  | *9.043.173* |  | *9.043.173* |
| Total 30 June 2023 | 4.031.719 |  | *4.031.719* |  | *3.176.616* |  | *3.176.616* |

---

574 \| Individual financial statements as at 30 June 2024

*E.3* *Disposals related to liabilities with repayment exclusively based on assets sold and not fully derecognized: fair value*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | | **Total** | **Total** |
|  |<br>**Fully booked** |<br>**Partially booked** | **30 June 2024** | **30 June 2023** |
| A. Financial assets held for trading | 5080543 |  | 5080543 | 1499821 |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 4629079 |  | 4629079 | 1349542 |
| &nbsp;&nbsp;&nbsp;2. Equity securities | 451464 |  | 451464 | 150279 |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4. Derivatives |  |  |  |  |
| B. Other financial assets mandatorily measured at fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Debt securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2. Equity securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |
| *C. Financial assets designated at fair value* | 17037 |  | 17037 |  |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 17037 |  | 17037 |  |
| &nbsp;&nbsp;&nbsp;2. Loans |  |  |  |  |
| D. Financial assets measured at fair value through other comprehensive income | 3379134 |  | 3379134 | 1184230 |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 3379134 |  | 3379134 | 1184230 |
| &nbsp;&nbsp;&nbsp;2. Equity securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3. Loans |  |  |  |  |
| E. Financial assets measured at amortized cost (fair value) | 1323613 |  | 1323613 | 1389770 |
| &nbsp;&nbsp;&nbsp;1. Debt securities | 1322907 |  | 1322907 | 1383584 |
| &nbsp;&nbsp;&nbsp;2. Loans | 706 |  | 706 | 6186 |
| Total financial assets | 9800327 |  | 9800327 | 4073821 |
| Total associated financial liabilities | 9520272 |  | X | X |
| Net value 30 June 2024 | 280055 |  | 9800327 | X |
| Net value 30 June 2023 | 143008 |  | X | 4073821 |

---

**F. Models for managing credit risk**

The Bank uses the IRB Advanced method (PD and LGD parameters) in order to quantify the capital requirement for credit risk on the Corporate loan book. For exposures for which the standardized methodology is currently used to calculate the regulatory capital requirements, the Bank has nonetheless developed internal credit risk models that are used for management purposes. The Bank has also adopted a portfolio model in order to calculate the economic capital for credit risk, which enables geographical and sector concentration and diversification effects to be factored in. For further information, please refer to the information provided in "Section 1.1 Credit Risks" of this Part of the Notes to the Accounts.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 575

**2 MARKET RISKS**

**2.1 INTEREST RATE RISK AND PRICE RISK – REGULATORY TRADING PORTFOLIO**

**QUALITATIVE INFORMATION**

The Bank's operating exposure to market risks in the trading portfolio is monitored by calculating operating earnings on a daily basis and through use of the following indicators:

sensitivity - mainly Delta and Vega – to the principal risk factors (interest rates, share prices, exchange rates, credit spreads, inflation and volatility, dividends, correlations, etc.); sensitivity analysis shows the increase or decrease in the value of financial assets and derivatives to local changes in these risk factors, providing a static representation of the market risk of the trading portfolio;

Value-at-risk calculated using a weighted historical simulation method with scenarios updated daily, assuming a liquidation horizon of one business day and a confidence level of 99%.I

Risks are monitored daily through VaR and sensitivity analyses to ensure compliance with operating limits, managing the risk appetite established by the Bank for its trading book and, in case of VaR, also to evaluate the robustness of the model through back-testing. The expected shortfall on the set of positions subject to VaR measurement is also calculated daily by means of historical simulation; this represents the average potential losses over and beyond the level of confidence for the VaR. Moreover, stress tests are carried out monthly (on the entire portfolio) concerning the main risk factors to show, among other things, the impact which more substantial movements in the main market variables might have (e.g. share prices and interest or exchange rates) calibrated on the basis of extreme changes in market variables.

Other complementary risk metrics are used in order to assess trading position risks not fully measured by VaR and by sensitivity analyses more specifically. The weight of products which require such metrics to be used is in any case extremely limited compared to the overall size of Mediobanca's trading portfolio.

In the past fiscal year, market fluctuations were mainly driven by interest rates and monetary policy expectations.

576 \| Individual financial statements as at 30 June 2024

Volatility on the stock markets remained high in the first four months of the financial year: the main stock indexes showed fluctuations in returns ranging between +6% and -6% quarter-on-quarter between July and September. The driver of this phase of uncertainty was the macroeconomic and geopolitical context: inflation data (4.3% EU, 3.7% US) - although at their lowest since October 2021 - were still above monetary policy targets. Added to this were upside pressures on oil prices, caused by lower supply from producing countries (primarily Saudi Arabia and Russia) and by tensions in the Middle East due to the rekindling of the conflict between Israel and Hamas. This situation was reflected in interbank and government interest rates: the short-term part of the curves did not undergo significant changes in the first quarter, while there was an upward remarking of long-term yields - in particular in the United States (swap and US Treasury 10Y +70 bps q/q), supporting the assumption that discount rates would remain in the 4-to-5% area for a long time. Finally, in the same period, the BTP 10Y witnessed a rise of +70 bps compared to a +30 bps of the Euro Swap 10Y and the Bund, due to a greater idiosyncratic risk for Italy.

In November, there was a clear change of scenario with a general decline in interest rates (e.g. -115 bps on 10y ITA). After the peak in mid-October, inflation data (-200 bps y/y EU HICP in March 2024) and a less hawkish stance by monetary policy authorities reversed market expectations, which had expected cuts in key refinancing rates in the first half of 2024. This led government bond yields to retrace to levels slightly below those recorded at the beginning of the year. At this stage, the stock market followed a general upward trend, with the US market outperforming the EU market, reaching a return of +18% (average of main indexes) compared to the beginning of the year and with volatility at its lowest, especially when compared to the month of October.

Finally, in June there was a partial recovery of volatility generated by tensions on French OATs and on other EU government bonds following the outcome of the European elections of 8 and 9 June and the subsequent elections to the French Parliament.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 577

Over the 12 months, there were no breaches of the VaR and Stop Loss limits thanks to the low level of volatility, especially in the stock market.

The Value-at-Risk of the Trading aggregate fluctuated over the year under review between a minimum of €3.2m in November and a maximum of €10m, as recorded in late December. The average figure (€5.9m) was 30% lower than the average of the previous year (€8.4m). After the peak, the VaR figure progressively decreased until it reached €4.6m at the end of the year, well below the average for the year.

The risk factors that explain the VaR trend are mainly as follows: (i) yields of Italian and core Euro Area government bonds and (ii) greater sense of direction in exposures to implied stock market volatilities, driven by particularly low levels of volatility. The contribution of other risk factors, such as share prices or exchange rates, is marginal. With respect to these, the Bank's position is conservative or substantially neutral.

In line with the VaR trend, the Expected shortfall - which measures a further stress scenario on the same VaR historical series - shows a lower average figure than in the previous period (€10.7m against €12.8m).

Daily back-testing results (based on the comparison with the theoretical Profits and Losses) during the twelve-month observation period showed no cases of deviation from the VaR.

*Table 1: Value-at-risk and Expected Shortfall in the trading portfolio*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | | | | €m |
| | **FY 2023-2024** | **FY 2023-2024** | **FY 2023-2024** | **FY 2022-2023** | **FY 2022-2023** |
| <br>**Risk factors** | **30 June** | **Min** | **Max** | **Average** | **Average** |
| Interest rates | 1451 | 1373 | 7124 | 3629 | 7071 |
| Credit | 1583 | 1020 | 2531 | 1706 | 2548 |
| Shares | 5343 | 1078 | 6490 | 3741 | 3609 |
| Exchange rates | 632 | 591 | 1631 | 927 | 904 |
| Inflation | 223 | 32 | 684 | 293 | 365 |
| Volatility | 3156 | 2325 | 6068 | 3842 | 6254 |
| Diversification effect\* | (7759) | (12098) | (4930) | (8277) | (12389) |
| Total | 4630 | 3249 | 10094 | 5860 | 8382 |
| **Expected Shortfall** | **6995** | **5258** | **22817** | **10745** | **12846** |

---

 

<sup>\*</sup> Associated with a less-than-perfect correlation between risk factors.

578 \| Individual financial statements as at 30 June 2024

Apart from the general VaR limit on Trading positions, a system reflecting a greater degree of granularity for the individual trading desks is also in place.

Furthermore, each desk has sensitivity limits to changes in the various risk factors, which are monitored on a daily basis. Compared to the previous financial year, exposure was reduced across all risk classes.

*Tab. 2: Summary of the trend in the main trading portfolio sensitivities*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **FY 2023-2024** | **FY 2023-2024** | **FY 2023-2024** | **FY 2023-2024** | €m<br>**FY 2022-2023** |
| <br>**Risk factors** | **30 June** | **Min** | **Max** | **Average** | **Average** |
| Equity delta (+1%) | (107827) | (1086056) | 3928644 | 258943 | 418680 |
| Equity vega (+1%) | (1660900) | (4317612) | 1817130 | (717196) | 757496 |
| Interest rate delta (+1 bp) | (5745) | (371684) | 473465 | 104737 | 218649 |
| Inflation delta (+1 bp) | (37959) | (70991) | 55080 | (17952) | 13079 |
| Exchange rate delta (+1%)\* | 12427 | (364685) | 5841508 | 4224 | 142539 |
| Credit delta (+1 bp) | 350476 | (294922) | 617669 | 246220 | 421632 |

---

\* Refers to the Euro gaining versus other foreign currencies.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 579

*Trends in VaR of trading portfolio*

 

![](tm2518026d1_ex99-6img003.jpg)

 

*Trends in VaR constituents (Trading)*

![](tm2518026d1_ex99-6img004.jpg) 

580 \| Individual financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

&nbsp;&nbsp;&nbsp;&nbsp;*1.* *Regulatory trading portfolio: distribution by residual maturity (repricing date) of financial cash assets and liabilities and financial derivatives* 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Type/Residual duration** | **Type/Residual duration** | **On**<br> **demand** | **Up to 3**<br> **months** | **From 3**<br> **months to 6**<br> **months** | **From 6**<br> **months to 1**<br> **year** | **From 1**<br> **year to 5**<br> **years** | **From 5**<br> **years to 10**<br> **years** | **Over 10**<br> **years** | **Indefinite**<br> **duration** |
| 1. | Cash assets | 14227 | 862198 | 935885 | 1613990 | 2914003 | 1016283 | 990889 |  |
|  | 1.1 Debt securities | 14227 | 862198 | 935885 | 1613990 | 2914003 | 1016283 | 990889 |  |
|  | &nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– other | 14227 | 862198 | 935885 | 1613990 | 2914003 | 1016283 | 990889 |  |
|  | 1.2 Other assets |  |  |  |  |  |  |  |  |
| 2. | Cash liabilities | 185 | 248162 | 554744 | 493976 | 2473543 | 642040 | 488856 |  |
|  | 2.1 Repos |  |  |  |  |  |  |  |  |
|  | 2.2 Other liabilities | 185 | 248162 | 554744 | 493976 | 2473543 | 642040 | 488856 |  |
| 3. | Financial derivatives |  |  |  |  |  |  |  |  |
|  | 3.1 With underlying securities |  |  |  |  |  |  |  |  |
|  | – Options |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Long positions |  | 130000 |  | 8673 |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Short positions |  | 130000 |  | 8673 |  |  |  |  |
|  | – Other derivatives |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Long positions |  | 757021 |  |  | 355494 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Short positions |  | 757021 |  |  | 355494 |  |  |  |
|  | 3.2 Without underlying securities |  |  |  |  |  |  |  |  |
|  | – Options |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Long positions | 995 | 760392 | 1211253 | 2609227 | 31501824 | 1685435 |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Short positions | 995 | 760392 | 1211253 | 2609227 | 31501824 | 1685435 |  |  |
|  | – Other derivatives |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Long positions | 2195509 | 40809539 | 24555920 | 32258239 | 34123570 | 11503604 | 5789204 |  |
|  | &nbsp;&nbsp;&nbsp;+ Short positions | 2229527 | 55266968 | 27459877 | 14780335 | 34106070 | 11503604 | 5889204 |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 581

*2. Regulatory trading portfolio: cash exposures in securities and UCITS units*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **Carrying amount** | **Carrying amount** | **Carrying amount** |
| **Type of exposure/Values** | **Type of exposure/Values** | **Level1** | **Level2** | **Level3** |
| A. | Equity securities<sup>1</sup> |  |  |  |
|  | A.1 Shares | 3704683 |  | 172758 |
|  | A.2 Innovative equity instruments |  |  |  |
|  | A.3 Other equity securities |  |  |  |
| B. | UCITS |  |  |  |
|  | B.1 Under Italian law |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- harmonized open |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- non-harmonized open |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- closed |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- reserved |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- speculative |  |  |  |
|  | B.2 Under other EU states law |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- harmonized |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- non-harmonized open |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- non-harmonized closed |  |  |  |
|  | B.3 Under non-EU states law |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- open |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- closed |  |  |  |
| Total | Total | 3704683 |  | 172758 |

---

<sup>1</sup> Mismatch between trading assets and technical shortfalls booked as trading liabilities: over 93% of the net exposure is related to EU member states.

582 \| Individual financial statements as at 30 June 2024

**2.2 INTEREST RATE RISK AND PRICE RISK – BANKING BOOK**

**QUALITATIVE INFORMATION**

The Bank monitors and manages interest rate risk through sensitivity testing of net interest income and economic value. The sensitivity of the net interest income quantifies the impact on current earnings in the worst-case scenario among those outlined in the guidelines of the Basel Committee (BCBS) transposed in the EBA document in 2022 (EBA/GL/2022/14). In this testing, the asset stocks are maintained constant, renewing the items falling due with the same financial characteristics and assuming a time horizon of twelve months.

Conversely, the sensitivity of economic value measures the impact of future flows on the current value in the worst-case scenario of those contemplated in the Basel Committee guidelines (BCBS).

All the scenarios present a floor set by the EBA guidelines at minus 1.5% on the demand maturity with linear progression up to 0% at the fifty-year maturity. In the current market environment, this floor has a very limited impact on sensitivity metrics.

For both sensitivities, balance sheet items have been treated based on their contractual profile, except for the items related to current account deposits for retail clients (which have been treated on the basis of proprietary behavioural models) and consumer credit items and mortgages (which reflect the possibility of early repayment).

To determine the discounted value of cash flows, various benchmark curves were used to discount and compute future rates based on the value date on which the balance sheet item itself was traded (multi-curve). The credit component has been stripped out of the cash flows for the economic value sensitivity only.

With reference to the Bank's banking book positions at 30 June, in the event of a parallel increase in the curve ("parallel up"), the expected net interest income would undergo a negative change of €3m.

As for the analysis of the discounted value of future cash flows of the banking book, a shock "short-up" scenario would result in a negative change of €23m (€46m in the previous year).

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 583

**Hedging**

Hedges are intended to neutralize possible losses that may be incurred on a given asset or liability, due to the volatility of certain financial risk factors (interest rate, exchange rate, credit or some other risk parameter) through the gains that may be realized on a hedging instrument that is capable of offsetting changes in fair value or cash flows of the hedged instrument. For fair value hedges in particular, the Group seeks to minimize the financial risk on interest rates by bringing the entire interest-bearing exposure in line with Euribor (generally Euribor 3 months).<sup>(28)</sup>

**A. Fair value hedging**

Fair value hedges are used to neutralize exposure to interest rate or price risk for specific asset or liability positions, via derivative contracts entered into with leading market counterparties with high credit rating. In particular, with regard to interest rate risk, the Group applies specific hedges to individual items or clusters of like-for-like assets and liabilities in terms of interest rate risk. The objective of these hedges is to reduce the interest rate risk through swaps that convert fixed-rate into floating rate assets and/or liabilities. The items being mainly hedged are fixed-rate or structured liabilities issued by Mediobanca, investments in fixed-rate securities under assets held in the HTC and HTCS portfolio, the portfolio of fixed-rate mortgage loans, fixed rate loans granted to Mediobanca Premier (replication of the mortgage portfolio granted by Mediobanca Premier to customers), the floors implicit in the floating-rate loans of the Lending division and floating-rate mortgage loans granted by Mediobanca Premier and the deposits of Mediobanca Premier for which the new behavioural model is being taken into account with a benefit on the effective maturity.

Some structured bond issues remain in the portfolio without causing any risks correlated to the main risk, broken down into the interest rate component (hedged) and other risks which are represented in the trading book and are usually covered by external positions of the opposite sign; for structured bonds issued during the year, mostly interest rate, the Bank applied the fair value option in the initial recognition phase of the liability and the related risks were

<sup>(28)</sup> This target is maintained even in the presence of hedging contracts with market counterparties with which netting agreements and CSAs (collateralized standard agreements) have been entered into and whose valuation is carried out at Ester interest rates.

584 \| Individual financial statements as at 30 June 2024

hedged with derivatives measured at Fair Value Through Profit or Loss in order to deal with the impacts on the P&L account.

Fair value hedges are also used by the parent company to mitigate the price risk of an equity investment recorded within the portfolio of assets measured at fair value through other comprehensive income.

**B. Cash flow hedging**

This form of hedging is mainly used in the context of some Group companies' operations (in particular with reference to consumer credit and leasing), where provisions at a floating rate are set aside for a significant amount against a large number of transactions for a negligible amount, generally at a fixed rate. The hedge is made in order to transform these positions into fixed-rate positions, correlating the relevant cash flows with investments. Normally, the Group uses derivatives to fix the expected cost of deposits over the reference period to cover floating-rate loans in place and future transactions linked to systematic renewals of such loans upon expiry.

&nbsp;&nbsp;&nbsp;&nbsp;**C.** **Hedging instruments** 

&nbsp;&nbsp;&nbsp;&nbsp;**D.** **Hedged items** 

As for hedged items and hedging instruments, they have been exhaustively described in the previous paragraphs and throughout the document.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 585

**Counterparty risk**

Counterparty risk generated by market transactions with institutional customers or counterparties is measured in terms of expected potential future exposure. With regard to derivatives and collateralized short-term loan products (repos and securities lending), the calculation is based on determining the maximum potential exposure (assuming a 95% likelihood) at various points in time up to 30 years. The scope of application regards all groups of counterparties which have relations with the Bank, taking into account the presence of netting (e.g. ISDA, GMSLA or GMRA) and collateralization agreements (e.g. CSA), if any. Exposures deriving from transactions on the interbank market should be added to these. For these three types of transactions, different exposure limits are granted to each counterparty and/or group subject to internal analysis and approval by the Lending and Underwriting Committee.

With regard to derivative transactions, as required by IFRS 13, the fair value incorporates the effects of the counterparty credit risk (referred to as CVA) and Mediobanca credit risk (referred to as DVA) based on the future exposure profile of the set of contracts in place.

586 \| Individual financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

&nbsp;&nbsp;&nbsp;&nbsp;*1.* *Banking book by outstanding maturity (repricing date) of financial assets and liabilities* 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Type/Residual duration** | **Type/Residual duration** | **On demand** | **Up to 3**<br> **months** | **From 3** <br>months to 6<br> months** | **From 6**<br> **months to 1**<br> **year** | **From 1**<br> **year to 5**<br> **years** | **From 5**<br> **years to 10**<br> **years** | **Over 10**<br> **years** | **Indefinite**<br> **duration** |
| 1. | Cash assets | 11600783 | 29827419 | 6833918 | 3098128 | 8191179 | 3202692 | 3232243 |  |
|  | 1.1 Debt securities |  | 2389209 | 2052940 | 2347792 | 2930439 | 1047788 | 453250 |  |
|  | &nbsp;&nbsp;&nbsp;- with early redemption option |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- other |  | 2389209 | 2052940 | 2347792 | 2930439 | 1047788 | 453250 |  |
|  | 1.2 Loans to banks | 6630918 | 16886757 | 1220047 | 420577 | 3699340 | 2106996 | 2751144 |  |
|  | 1.3 Loans to customers | 4969865 | 10551453 | 3560931 | 329759 | 1561400 | 47908 | 27849 |  |
|  | &nbsp;&nbsp;&nbsp;– current accounts | 1242503 |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- other loans | 3727362 | 10551453 | 3560931 | 329759 | 1561400 | 47908 | 27849 |  |
|  | &nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– other | 3727362 | 10551453 | 3560931 | 329759 | 1561400 | 47908 | 27849 |  |
| 2. | Cash liabilities | 30923182 | 14656439 | 2364716 | 6647569 | 11753907 | 1163391 | 3558813 |  |
|  | 2.1 Due to customers | 10133101 | 2149523 | 492406 | 339514 | 226474 |  | 118529 |  |
|  | &nbsp;&nbsp;&nbsp;– current accounts | 6561662 |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– other liabilities | 3571439 | 2149523 | 492406 | 339514 | 226474 |  | 118529 |  |
|  | &nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– other | 3571439 | 2149523 | 492406 | 339514 | 226474 |  | 118529 |  |
|  | 2.2 Due to banks | 20788640 | 7856448 | 753611 | 1016215 | 2202067 | 322979 | 591398 |  |
|  | &nbsp;&nbsp;&nbsp;– current accounts | 18881791 |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- other liabilities | 1906849 | 7856448 | 753611 | 1016215 | 2202067 | 322979 | 591398 |  |
|  | 2.3 Debt securities | 1441 | 4650468 | 1118699 | 5291840 | 9325366 | 840412 | 2848886 |  |
|  | &nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– other | 1441 | 4650468 | 1118699 | 5291840 | 9325366 | 840412 | 2848886 |  |
|  | 2.4 Other liabilities |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– with early redemption option |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– other |  |  |  |  |  |  |  |  |
| 3. | Financial derivatives |  |  |  |  |  |  |  |  |
|  | 3.1 With underlying securities |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– Options |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ long positions |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ short positions |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– Other |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ long positions |  |  |  | 155000 |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ short positions |  |  |  | 155000 |  |  |  |  |
|  | 3.2 Without underlying securities |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;– Options |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ long positions |  | 18381 | 25900 | 145989 | 137881 |  | 758798 |  |
|  | &nbsp;&nbsp;&nbsp;+ short positions |  | 18381 | 25900 | 145989 | 137881 |  | 758798 |  |
|  | &nbsp;&nbsp;&nbsp;– Other |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ long positions | 254717 | 39021943 | 6049664 | 11112742 | 9059194 | 4659068 | 4963200 |  |
|  | &nbsp;&nbsp;&nbsp;+ short positions | 254717 | 53292819 | 1664011 | 1327520 | 9059194 | 4659068 | 4863200 |  |
| 4. | Other off-balance sheet transactions |  |  |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ long positions | 7800067 | 5982016 | 1596565 | 1358527 | 12719085 | 1960453 | 842778 |  |
|  | &nbsp;&nbsp;&nbsp;+ short positions | 6749757 | 3754439 | 2194965 | 1440733 | 13906239 | 2819210 | 1394147 |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 587

*2. Banking book: cash exposures in securities and UCITS units*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **Carrying amount** | **Carrying amount** | **Carrying amount** |
| **Type of exposure/Values** | **Type of exposure/Values** | **Level1** | **Level2** | **Level3** |
| A. | Equity securities<sup>1</sup> |  |  |  |
|  | A.1 Shares | 127548 |  | 127969 |
|  | A.2 Innovative equity instruments |  |  |  |
|  | A.3 Other equity securities |  |  | 258023 |
| B. | UCITS |  |  |  |
|  | B.1 Under Italian law | 12833 |  | 186860 |
|  | &nbsp;&nbsp;&nbsp;- harmonized open | 8247 |  |  |
|  | &nbsp;&nbsp;&nbsp;- non-harmonized open |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- closed |  |  | 186084 |
|  | &nbsp;&nbsp;&nbsp;- reserved |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- speculative | 4586 |  | 776 |
|  | B.2 Under other EU states law | 167470 | 80949 | 103091 |
|  | &nbsp;&nbsp;&nbsp;- harmonized |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- non-harmonized open |  |  | 61265 |
|  | &nbsp;&nbsp;&nbsp;- non-harmonized closed | 167470 | 80949 | 41826 |
|  | B.3 Under non-EU states law |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- open |  |  |  |
|  | &nbsp;&nbsp;&nbsp;- closed |  |  |  |
| Total | Total | 307851 | 80949 | 675943 |

---

<sup>1</sup> Of which 56% Italian and 44% from other EU member states.

588 \| Individual financial statements as at 30 June 2024

**2.3 EXCHANGE RATE RISK**

**QUALITATIVE INFORMATION**

&nbsp;&nbsp;&nbsp;&nbsp;**A.** **General aspects, operating processes and measurement techniques of exchange rate risk** 

&nbsp;&nbsp;&nbsp;&nbsp;**B.** **Exchange rate risk hedging** 

The trend in the exchange rate component of VaR shown on page 576 is an effective representation of changes in the risks taken on the forex market, because exposure to exchange rate risk is managed globally.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 589

**QUANTITATIVE INFORMATION**

*1. Assets, liabilities and derivatives by currency*

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** | **Currencies** |
| **Items** | **Items** | **US Dollar** | **Great**<br> **Britain**<br> **Pound** | **Japanese**<br> **Yen** | **Swedish**<br> **Krona** | **Swiss**<br> **Franc** | **Other**<br> **currencies** |
| A. | Financial assets | 3495352 | 1480846 | 2059 | 44276 | 313900 | 78198 |
|  | A.1 Debt securities | 873877 | 296527 |  |  | 19273 |  |
|  | A.2 Equity securities | 346675 | 466533 |  |  | 234797 |  |
|  | A.3 Loans to banks | 1825002 | 542383 | 2052 | 10140 | 36101 | 25766 |
|  | A.4 Loans to customers | 447162 | 158975 |  | 34134 | 23652 | 52388 |
|  | A.5 Other financial assets | 2636 | 16428 | 7 | 2 | 77 | 44 |
| B. | Other assets |  |  |  |  |  |  |
| C. | Financial liabilities | 3286773 | 1449970 | 103019 | 6840 | 234039 | 47902 |
|  | C.1 Due to banks | 2037065 | 822771 | 3 | 6823 | 217583 | 35416 |
|  | C.2 Due to customers | 466346 | 509120 |  | 10 | 15447 | 267 |
|  | C.3 Debt securities | 781765 |  | 103016 |  | 644 | 12219 |
|  | C.4 Other financial liabilities | 1597 | 118079 |  | 7 | 365 |  |
| D. | Other liabilities |  |  |  |  |  |  |
| E. | Financial derivatives | 184788 | 29137 | (158197) | 35806 | 126505 | (14101) |
|  | - Options |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Long positions | 121871 | 58873 | 160277 | 876 | 166736 | 120266 |
|  | &nbsp;&nbsp;&nbsp;+ Short positions | 50367 |  | 138016 | 2612 | 354886 | 84989 |
|  | - Other derivatives |  |  |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;+ Long positions | 5234743 | 1092976 | 550018 | 74555 | 699506 | 634587 |
|  | &nbsp;&nbsp;&nbsp;+ Short positions | 5491035 | 1180986 | 414082 | 108625 | 637861 | 655763 |
| Total assets | Total assets | 8851966 | 2632695 | 712354 | 119707 | 1180142 | 833051 |
| Total liabilities | Total liabilities | 8828175 | 2630956 | 655117 | 118077 | 1226786 | 788654 |
| Difference (+/-) | Difference (+/-) | 23791 | 1739 | 57237 | 1630 | (46644) | 44397 |

---

 

*2. Internal models and other methodologies used for sensitivity analysis*

During the year under review, the Euro-dollar rate moved around the average value of 1.08, with a minimum of 1.05 and a maximum of 1.13, to close at 1.07, i.e. near the values recorded at the beginning of the year. The overall Forex VaR remained relatively steady at 900,000 with short-lived peaks at 2.4m.

590 \| Individual financial statements as at 30 June 2024

**3 DERIVATIVE INSTRUMENTS AND HEDGING POLICIES**

**3.1 Trading derivatives**

**A. Financial derivatives**

*A.1 Trading financial derivatives: reporting-date notional values*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | |
| <br>**Underlying <br> assets/Types<br> of derivatives** |<br>**Central counterparties** | **With offsetting arrangements** | **Without offsetting arrangements** |<br>**Established markets** |<br>**Central counterparties** | **With offsetting arrangements** | **Without offsetting arrangements** |<br>**Established markets** |
| 1. Debt securities and interest rate | 112714096 | 60792562 | 1027535 | 1535643 | 116827575 | 47637922 | 1070386 | 2115793 |
| &nbsp;&nbsp;&nbsp;a) Options |  | 34315206 | 277500 | 492747 |  | 7122189 | 525328 | 1269393 |
| &nbsp;&nbsp;&nbsp;b) Swap | 112714096 | 23951536 | 750035 |  | 116827575 | 36471348 | 545058 |  |
| &nbsp;&nbsp;&nbsp;c) Forward |  | 355494 |  |  |  | 277076 |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  | 1042896 |  |  |  | 846400 |
| &nbsp;&nbsp;&nbsp;e) Other |  | 2170326 |  |  |  | 3767309 |  |  |
| 2. Equity securities and stock price indexes |  | 14686342 | 2038952 | 19872720 |  | 14292821 | 3042128 | 18361567 |
| &nbsp;&nbsp;&nbsp;a) Options |  | 12901188 | 150517 | 19077052 |  | 13800330 | 744742 | 17860244 |
| &nbsp;&nbsp;&nbsp;b) Swap |  | 1785154 | 241620 |  |  | 492491 |  |  |
| &nbsp;&nbsp;&nbsp;c) Forward |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  | 795668 |  |  |  | 501323 |
| &nbsp;&nbsp;&nbsp;e) Other<sup>1</sup> |  |  | 1646815 |  |  |  | 2297386 |  |
| 3. Currencies and gold |  | 13665725 | 520340 |  |  | 17454932 | 779920 |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 642020 |  |  |  | 1928085 |  |  |
| &nbsp;&nbsp;&nbsp;b) Swap |  | 5056506 |  |  |  | 5883267 | 504598 |  |
| &nbsp;&nbsp;&nbsp;c) Forward |  | 7967199 | 520340 |  |  | 9643580 | 275322 |  |
| &nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;4. Commodites |  | 598961 |  |  |  | 1919947 |  |  |
| &nbsp;&nbsp;&nbsp;5. Other |  |  |  |  |  |  |  |  |
| Total | 112714096 | 89743590 | 3586827 | 21408363 | 116827575 | 81305622 | 4892434 | 20477360 |

---

<sup>1</sup> This exclusively regards certificates issued.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 591

*A.2 Trading financial derivatives: gross positive and negative fair values by product*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | |
| <br>**Underlying<br> assets/Types<br> of derivatives** |<br>**Central counterparties** | **With offsetting arrangements** | **Without offsetting arrangements** |<br>**Established markets** |<br>**Central counterparties** | **With offsetting arrangements** | **Without offsetting arrangements** |<br>**Established markets** |
| 1. Positive fair value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 499168 | 306516 | 784767 |  | 596513 | 270042 | 688152 |
| &nbsp;&nbsp;&nbsp;b) Interest rate swaps | 309112 | 208092 | 55064 |  | 1321280 | 253324 | 56589 |  |
| &nbsp;&nbsp;&nbsp;c) Cross currency swaps |  | 165135 |  |  |  | 212050 |  |  |
| &nbsp;&nbsp;&nbsp;d) Equity swaps |  | 191886 | 2053 |  |  | 172525 |  |  |
| &nbsp;&nbsp;&nbsp;e) Forward |  | 129560 | 14295 |  |  | 154861 | 7693 |  |
| &nbsp;&nbsp;&nbsp;f) Futures |  |  |  | 12055 |  |  |  | 7826 |
| &nbsp;&nbsp;&nbsp;g) Other<sup>1</sup> |  |  |  |  |  |  | 12602 |  |
| Total | 309112 | 1193841 | 377928 | 796822 | 1321280 | 1389273 | 346926 | 695978 |
| 2. Negative fair value |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;a) Options |  | 605884 | 344601 | 832156 |  | 712130 | 325764 | 833108 |
| &nbsp;&nbsp;&nbsp;b) Interest rate swaps | 19242 | 623575 | 15545 |  | 21750 | 1715613 | 18604 |  |
| &nbsp;&nbsp;&nbsp;c) Cross currency swaps |  | 161006 |  |  |  | 170640 | 22994 |  |
| &nbsp;&nbsp;&nbsp;d) Equity swaps |  | 4415 | 8 |  |  | 2875 |  |  |
| &nbsp;&nbsp;&nbsp;e) Forward |  | 93575 | 8683 |  |  | 99939 | 4089 |  |
| &nbsp;&nbsp;&nbsp;f) Futures |  |  |  | 47352 |  |  |  | 23631 |
| &nbsp;&nbsp;&nbsp;g) Other<sup>1</sup> |  |  | 1570541 |  |  |  | 2094087 |  |
| Total | 19242 | 1488455 | 1939378 | 879508 | 21750 | 2701197 | 2465538 | 856739 |

---

<sup>1</sup> This exclusively regards certificates issued.

592 \| Individual financial statements as at 30 June 2024

*A.3* *OTC trading financial derivatives: notional values, gross positive and negative fair values by counterparty*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying assets** | **Central counterparties** | **Banks** | **Other financial companies** | **Other entities** |
| Contracts not included in offsetting arrangements |  |  |  |  |
| 1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  | 333923 | 693611 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X | 2 | 55066 | 1727 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X | 122 | 7529 | 26337 |
| 2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value<sup>1</sup> | X | 1646815 | 392112 | 24 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X | 306600 | 2402 | 636 |
| &nbsp;&nbsp;&nbsp;- negative fair value<sup>1</sup> | X | 1877099 | 23321 | 115 |
| 3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X | 288254 | 226481 | 5605 |
| &nbsp;&nbsp;&nbsp;- positive fair value | X | 55 | 11358 | 82 |
| &nbsp;&nbsp;&nbsp;- negative fair value | X | 4854 |  |  |
| 4) Commodities<sup>2</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| 5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| Contracts included in offsetting arrangements |  |  |  |  |
| 1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | 112714096 | 51153514 | 5611736 | 4027311 |
| &nbsp;&nbsp;&nbsp;- positive fair value | 309112 | 267838 | 139647 | 6418 |
| &nbsp;&nbsp;&nbsp;- negative fair value | 19242 | 414751 | 238162 | 138976 |
| 2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 8456682 | 4832973 | 1396688 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 137055 | 247172 | 102846 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 307822 | 113393 | 6695 |
| 3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 10576296 | 1926041 | 1163388 |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 182991 | 29990 | 58035 |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 204377 | 46916 | 17346 |
| 4) Commodities<sup>2</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 545665 | 53297 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 21848 |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  | 16 |  |
| 5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |

---

<sup>1</sup> Of which, certificates with a nominal value of €1,646,815 and fair value of €-1,570,541.

<sup>2</sup> This heading includes derivative instruments with MBInternational as counterparty, hedging their skew issues and the derivatives of the related arbitrage structures.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 593

*A.4 Outstanding life of OTC trading financial derivatives: notional amounts*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying/Outstanding life** | **Up to 1 year** | **From 1 year to <br> 5 years** | **Over<br> 5 years** | **Total** |
| A.1 Financial derivatives on debt securities and interest rates | 48962923 | 92683357 | 32887913 | 174534193 |
| A.2 Financial derivatives on equity securities and stock indexes | 8707104 | 7781111 | 237079 | 16725294 |
| A.3 Financial derivatives on currencies and gold | 10807657 | 2911337 | 467071 | 14186065 |
| A.4 Financial derivatives on commodities | 360001 | 238960 |  | 598961 |
| A.5 Other financial derivatives |  |  |  |  |
| Total 30 June 2024 | 68837685 | 103614765 | 33592063 | 206044513 |
| Total 30 June 2023 | 74505901 | 82316374 | 46203356 | 203025631 |

---

594 \| Individual financial statements as at 30 June 2024

**B. Credit derivatives**

*B.1 Trading credit derivatives: reporting-date notional values*

---

| | | |
|:---|:---|:---|
| | **Trading derivatives** | **Trading derivatives** |
| <br>**Type of transaction** | **with a single counterparty** | **with more than one counterparty (basket)** |
| 1. Hedge purchases |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 2032620 | 15942262 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swaps |  |  |
| &nbsp;&nbsp;&nbsp;d) Other\* | 166675 |  |
| Total 30 June 2024 | 2199295 | 15942262 |
| Total 30 June 2023 | 4409374 | 23081608 |
| 2. Hedging sales |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 1923844 | 15710906 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swaps |  |  |
| &nbsp;&nbsp;&nbsp;d) Other\* |  |  |
| Total 30 June 2024 | 1923844 | 15710906 |
| Total 30 June 2023 | 2834997 | 23071967 |

---

<sup>\*</sup> This exclusively regards certificates issued

The column headed "Basket" includes the positions in credit indexes matched by positions on single names which go to make up the same index for the skew issues.<sup>(29)</sup> The arbitrage structures have a notional value of €12.4bn (€18bn in the previous year). The derivative embedded in own issues and derivatives with MBInternational to hedge their issues are represented in hedge buys on single entities in the amount of €1.7bn (€1.4bn as at 30 June 2023).<sup>(30)</sup>

<sup>(29)</sup> Please see "Part B - Liabilities - Liabilities at amortized cost" of the present report

<sup>(30)</sup> Embedded items with underlying commodities (€146m) and related derivatives (€453m) are shown in Table A.3.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 595

*B.2 Trading credit derivatives: gross positive and negative fair values by product*

---

| | | |
|:---|:---|:---|
| **Types of derivatives** | **30 June 2024** | **30 June 2023** |
| 1. Positive fair value |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 212525 | 152513 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swaps |  |  |
| &nbsp;&nbsp;&nbsp;d) Other<sup>1</sup> | 17558 |  |
| Total | 230083 | 152513 |
| 2. Negative fair value |  |  |
| &nbsp;&nbsp;&nbsp;a) Credit default products | 219985 | 213200 |
| &nbsp;&nbsp;&nbsp;b) Credit spread products |  |  |
| &nbsp;&nbsp;&nbsp;c) Total rate of return swaps |  |  |
| &nbsp;&nbsp;&nbsp;d) Other<sup>1</sup> | 169307 | 203733 |
| Total | 389292 | 416933 |

---

<sup>1</sup> This exclusively regards certificates issued.

*B.3 OTC credit trading derivatives: notional values and gross positive/negative fair value, by counterparty*

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Central<br> counterparties** | **Banks** | **Other<br> financial companies** | **Other entities** |
| Contracts not included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Hedging purchases |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- notional value<sup>1</sup> | X | 178926 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- positive fair value | X | 17558 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- negative fair value<sup>1</sup> | X | 169307 |  |  |
| &nbsp;&nbsp;&nbsp;2) Hedging sales |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- notional value | X | 12251 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| Contracts included in offsetting arrangements |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1) Hedging purchases |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- notional value | 4841696 | 3132936 | 9987999 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- positive fair value |  | 6749 | 7598 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- negative fair value |  | 34953 | 145561 |  |
| &nbsp;&nbsp;&nbsp;2) Hedging sales |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- notional value | 4584755 | 2005489 | 11032255 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- positive fair value |  | 48258 | 149920 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- negative fair value | 11923 | 10771 | 16778 |  |

---

<sup>1</sup> Of which, certificates with a notional value of €166,675 and a fair value of €-151,749.

596 \| Individual financial statements as at 30 June 2024

*B.4 Outstanding life of OTC trading credit derivatives: notional values*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying/Outstanding life** | **Up to 1 year** | **From 1 year<br> to 5 years** | **Over 5 years** | **Total** |
| 1. Hedging sales | 4563109 | 12588482 | 483159 | 17634750 |
| 2. Hedging purchases | 4543622 | 13486629 | 111306 | 18141557 |
| Total 30 June 2024 | 9106731 | 26075111 | 594465 | 35776307 |
| Total 30 June 2023 | 20036194 | 32258037 | 1103715 | 53397946 |

---

**3.2 Accounting hedges**

**A. Financial hedging derivatives**

*A.1 Financial hedging derivatives: reporting-date notional value*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | |
| | | **Without central<br> counterparties** | **Without central<br> counterparties** | | | **Without central <br> counterparties** | **Without central <br> counterparties** | |
| <br>**Underlying assets/<br> Types of derivatives** |<br>**Central<br> counterparties** | **With<br> offsetting<br> arrangements** | **Without<br> offsetting<br> arrangements** |<br>**Established<br> markets** |<br>**Central<br> counterparties** | **With<br> offsetting<br> arrangements** | **Without<br> offsetting<br> arrangements** |<br>**Established<br> markets** |
| 1. Debt securities and interest rate | 48346237 | 27653960 |  |  | 36704275 | 24922259 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 1086949 |  |  |  | 1711945 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps | 48346237 | 26412011 |  |  | 36704275 | 23210314 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forwards |  | 155000 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 2. Equity securities and stock price indexes |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forwards |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 3. Currencies and gold |  | 362280 |  |  |  | 360506 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Swaps |  | 362280 |  |  |  | 360506 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Forwards |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Futures |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Other |  |  |  |  |  |  |  |  |
| 4. Commodities |  |  |  |  |  |  |  |  |
| 5. Other |  |  |  |  |  |  |  |  |
| Total | 48346237 | 28016240 |  |  | 36704275 | 25282765 |  |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 597

*A.2 Financial hedging derivatives: gross positive and negative fair values by product*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | ***Positive and negative Fair Value*** | | |
| | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **30 June 2023** | **Change in the value used** | **Change in the value used** |
| | **Over the counter** | **Over the counter** | **Over the counter** | | **Over the counter** | **Over the counter** | **Over the counter** | | **to calculate the hedge** | **to calculate the hedge** |
| | | **Without central counterparties** | **Without central counterparties** | | | **Without central counterparties** | **Without central counterparties** | | **effectiveness** | **effectiveness** |
| <br>**Types of<br> derivatives** | <br>**Central<br> counterparties** | **With<br> offsetting<br> arrangements** | **Without<br> offsetting<br> arrangements** | <br>**Established<br> markets** | <br>**Central<br> counterparties** | **With<br> offsetting<br> arrangements** | **Without<br> offsetting<br> arrangements** | <br>**Established<br> markets** | **30 June<br> 2024** | **30 June<br> 2023** |
| 1. Positive fair value |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 25537 |  |  |  | 27932 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swaps | 451427 | 81205 |  |  | 129042 | 87602 |  |  | 1049562 | 305565 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swaps |  | 1251 |  |  |  | 1377 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swaps |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forwards |  | 2432 |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Other |  |  |  |  |  |  |  |  |  |  |
| Total | 451427 | 110425 |  |  | 129042 | 116911 |  |  | 1049562 | 305565 |
| 2. Negative fair value |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Options |  | 1243 |  |  |  | 6461 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Interest rate swaps | 1259955 | 196965 |  |  | 1870620 | 238920 |  |  | 738386 | 947924 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Cross currency swaps |  | 575 |  |  |  | 466 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Equity swaps |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;e) Forwards |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;f) Futures |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;g) Other |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total | 1259955 | 198783 |  |  | 1870620 | 245847 |  |  | 738386 | 947924 |

---

598 \| Individual financial statements as at 30 June 2024

*A.3 OTC financial hedging derivatives: notional values, gross positive and negative fair values by counterparty*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying assets** | **Central<br> counterparties** | **Banks** | **Other financial<br> companies** | **Other entities** |
| Contracts not included in offsetting arrangements |  |  |  |  |
| 1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| 2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| 3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| 4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| 5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | X |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | X |  |  |  |
| Contracts included in offsetting arrangements |  |  |  |  |
| 1) Debt securities and interest rates |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value | 48346237 | 24970880 | 2683080 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value | 451427 | 87566 | 21607 |  |
| &nbsp;&nbsp;&nbsp;- negative fair value | 1259955 | 197559 | 649 |  |
| 2) Equity securities and stock indexes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |
| 3) Currencies and gold |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  | 321568 | 40712 |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  | 1251 |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  | 474 | 101 |  |
| 4) Commodities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |
| 5) Other |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- notional value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- positive fair value |  |  |  |  |
| &nbsp;&nbsp;&nbsp;- negative fair value |  |  |  |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 599

*A.4 Outstanding life of OTC financial hedging derivatives: notional values*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Underlying/Outstanding life** | **Underlying/Outstanding life** | **Up to 1 year** | **From 1 year<br> to 5 years** | **Over<br> 5 years** | **Total** |
| A.1 | Financial derivatives on debt securities and interest rates | 7189313 | 37120926 | 31689958 | 76000197 |
| A.2 | Financial derivatives on equity securities and stock indexes |  |  |  |  |
| A.3 | Financial derivatives on currencies and gold | 21466 | 300102 | 40712 | 362280 |
| A.4 | Financial derivatives on commodities |  |  |  |  |
| A.5 | Other financial derivatives |  |  |  |  |
| Total 30 June 2024 | Total 30 June 2024 | 7210779 | 37421028 | 31730670 | 76362477 |
| Total 30 June 2023 | Total 30 June 2023 | 8252919 | 33320584 | 20413537 | 61987040 |

---

**C. Non-derivative hedging instruments**

*C.1 Hedging instruments other than derivatives: breakdown by accounting portfolio and hedge type*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Carrying amount** | **Carrying amount** | **Carrying amount** | **Changes in the value used to calculate the<br> **hedge ineffectiveness** | **Changes in the value used to calculate the<br> **hedge ineffectiveness** | **Changes in the value used to calculate the<br> **hedge ineffectiveness** |
|  | **Fair value<br> **hedges** | **Cash flow <br> **hedges** | **Foreign<br> investment<br> hedges** | **Fair value <br> **hedges** | **Cash flow <br> **hedges** | **Foreign <br> **investment** <br> **hedges** |
| Financial assets other than derivatives |  |  |  |  |  |  |
| of which: trading activities |  |  |  |  |  |  |
| of which: other assets mandatorily measured at fair value |  |  |  |  |  |  |
| of which: assets designated at fair value |  |  |  |  |  |  |
| Total |  |  |  |  |  |  |
| Total |  |  |  |  |  |  |
| Financial liabilities other than derivatives |  |  |  |  |  |  |
| Trading liabilities |  |  |  |  |  |  |
| Liabilities designated at fair value |  |  |  |  |  |  |
| Liabilities measured at amortized cost | X | X |  |  |  |  |
| Total 30 June 2024 |  |  |  |  |  |  |
| Total 30 June 2023 |  |  |  | 320 |  |  |

---

600 \| Individual financial statements as at 30 June 2024

**D. Hedged instruments**

*D.1 Fair value hedges*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Specific hedges** | **Specific hedges** | **Specific hedges** | |
|  |<br>**Specific<br> hedges: <br> book value** |<br>**Specific <br> hedges - net<br> positions:<br> book value <br> of assets or <br> liabilities <br> (before <br> offsetting)** | **Accumulated<br> changes in <br> fair value of<br> the hedged<br> instrument** | **Ending<br> of hedge:<br> residual<br> accumulated <br> value <br> changes in <br> fair value** | **Changes in<br> the value used<br> to calculate<br> the hedge<br> ineffectiveness** |<br>**Generic <br> hedges: <br> Carrying<br> amount** |
| A. Assets |  |  |  |  |  |  |
| 1. Financial assets measured at fair value through other comprehensive income - hedges of: | 1175058 |  | 3267 |  | 20925 |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 1175058 |  | 3267 |  | 20925 | X |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities and stock indexes |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Currencies and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.4 Receivables |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |  |  | X |
| 2. Financial assets measured at amortized cost - hedges of: | 10437889 |  | 189273 |  | 275633 |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 2806021 |  | 40135 |  | 60054 | X |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities and stock indexes |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Currencies and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.4 Receivables | 7631868 |  | 149138 |  | 215579 | X |
| &nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |  |  | X |
| Total 30 June 2024 | 11612947 |  | 192540 |  | 296558 |  |
| Total 30 June 2023 | 4733285 |  | 88736 |  | 36246 | X |
| B. Liabilities |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Financial liabilities measured at amortized cost - hedges of: | 27472738 |  | 1234010 |  | 650594 |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 27472738 |  | 1234010 |  | 650594 | X |
| &nbsp;&nbsp;&nbsp;1.2 Currencies and gold |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;1.3 Other |  |  |  |  |  | X |
| Total 30 June 2024 | 27472738 |  | 1234010 |  | 650594 |  |
| Total 30 June 2023 | 26315775 |  | 1858927 |  | 564714 |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 601

*D.2 Hedging of cash flows and foreign investments*

---

| | | | |
|:---|:---|:---|:---|
|  | **Changes in the value<br> used to calculate the<br> hedge ineffectiveness** | **Hedge reserves** | **Ending of hedge:<br> residual value of<br> hedging reserves** |
| A. Cash flow hedging |  |  |  |
| &nbsp;&nbsp;&nbsp;1. Assets | 2719 | 1820 |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate | 2719 | 1820 |  |
| &nbsp;&nbsp;&nbsp;1.2 Equity securities and stock indexes |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 Currencies and gold |  |  |  |
| &nbsp;&nbsp;&nbsp;1.4 Receivables |  |  |  |
| &nbsp;&nbsp;&nbsp;1.5 Other |  |  |  |
| 2. Liabilities |  |  |  |
| &nbsp;&nbsp;&nbsp;1.1 Debt securities and interest rate |  |  |  |
| &nbsp;&nbsp;&nbsp;1.2 Currencies and gold |  |  |  |
| &nbsp;&nbsp;&nbsp;1.3 Other |  |  |  |
| Total (A) 30 June 2024 | 2719 | 1820 |  |
| Total (A) 30 June 2023 |  |  |  |
| B. Hedging of foreign investments | X |  |  |
| Total (A+B) 30 June 2024 | 2719 | 1820 |  |
| Total (A+B) 30 June 2023 |  |  |  |

---

**E. Effects of hedging operations recognized at net equity**

*E.1 Reconciliation of net equity components*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Cash flows hedging reserve** | **Cash flows hedging reserve** | **Cash flows hedging reserve** | **Cash flows hedging reserve** | **Cash flows hedging reserve** | **Foreign investments hedging reserve** | **Foreign investments hedging reserve** | **Foreign investments hedging reserve** | **Foreign investments hedging reserve** | **Foreign investments hedging reserve** |
|  | **Debt<br> securities<br> and interest<br> rates** | **Equity<br> securities<br> and stock<br> indexes** | **Gold<br> and<br> currencies** | **Receivables** | **Others** | **Debt<br> securities<br> and<br> interest<br> rates** | **Equity<br> securities<br> and stock<br> indexes** | **Gold<br> and<br> currencies** | **Receivables** | **Others** |
| Opening balance |  |  |  |  |  |  |  |  |  |  |
| Fair value variations (effective share) | 1820 |  |  |  |  |  |  |  |  |  |
| P&L attributions |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*Of which: future transactions no more expected* |  |  |  |  |  | X | X | X | X | X |
| Other variations |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*Of which: tranfers at initial book value of hedged items* |  |  |  |  |  | X | X | X | X | X |
| Closing balance | 1820 |  |  |  |  |  |  |  |  |  |

---

602 \| Individual financial statements as at 30 June 2024

**3.3 OTHER INFORMATION ON DERIVATIVE INSTRUMENTS (TRADING AND HEDGING INSTRUMENTS)**

**A. Financial derivatives**

*A.1 OTC financial and credit derivatives: net fair value by counterparty*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Central**<br> **counterparties** | **Banks** | **Other**<br> **financial**<br> **companies** | **Other**<br> **entities** |
| A. | Financial derivatives |  |  |  |  |
| 1) | Debt securities and interest rates |  |  |  |  |
|  | - notional value | 161060333 | 76124394 | 8628739 | 4720922 |
|  | - net positive fair value | 760539 | 355406 | 216320 | 8145 |
|  | - net negative fair value | 1279197 | 612432 | 246340 | 165313 |
| 2) | Equity securities and stock indexes |  |  |  |  |
|  | - notional value |  | 10103497 | 5225085 | 1396712 |
|  | - net positive fair value |  | 443655 | 249574 | 103482 |
|  | - net negative fair value |  | 2184921 | 136714 | 6810 |
| 3) | Currencies and gold |  |  |  |  |
|  | - notional value |  | 11186118 | 2193234 | 1168993 |
|  | - net positive fair value |  | 184297 | 41348 | 58117 |
|  | - net negative fair value |  | 209705 | 47017 | 17346 |
| 4) | Commodities |  |  |  |  |
|  | - notional value |  | 545665 | 53297 |  |
|  | - net positive fair value |  | 21848 |  |  |
|  | - net negative fair value |  |  | 16 |  |
| 5) | Other |  |  |  |  |
|  | - notional value |  |  |  |  |
|  | - net positive fair value |  |  |  |  |
|  | - net negative fair value |  |  |  |  |
| B. | Credit derivatives |  |  |  |  |
| 1) | Hedging purchases |  |  |  |  |
|  | - notional value | 4841696 | 3311862 | 9987999 |  |
|  | - net positive fair value |  | 24307 | 7598 |  |
|  | - net negative fair value |  | 204260 | 145561 |  |
| 2) | Hedging sales |  |  |  |  |
|  | - notional value | 4584755 | 2017740 | 11032255 |  |
|  | - net positive fair value |  | 48258 | 149920 |  |
|  | - net negative fair value | 11923 | 10771 | 16778 |  |

---

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 603

**4 LIQUIDITY RISK**

**QUALITATIVE INFORMATION**

Banks are naturally exposed to the liquidity risk inherent in the maturity transformation process that is typical of banking operations.

Liquidity risk is distinguished according to its timing profile:

– the current or potential risk of the bank not being able to manage its own liquidity needs in the short term ("liquidity risk");

the risk of the bank not having stable funding sources in the medium or long term, resulting in its inability to meet its financial obligations without incurring an excessive increase in the cost of financing ("funding risk").

An adequate liquidity and funding risk management system is fundamental to ensure the stability of the Group and the financial system in general, given that a single bank's difficulties would affect the system as a whole. The liquidity and funding risk management system is developed as part of the Risk Appetite Framework and the risk tolerance levels contained in it. In particular, one of the management objectives contained in the Risk Appetite Framework is to maintain a liquidity position in the short and long term which is adequate to cope with a period of prolonged stress (combining Bank-specific and systemic stress factors).

The Group Liquidity Risk Management Policy (the "Policy") approved by the Parent Company's Board of Directors defines the target in terms of the level of highly liquid assets to maintain in order to cover the anticipated cash flows in the short and medium/long term.

The Policy also sets out the roles and responsibilities of the company units and governing bodies, the risk measurement metrics used, the guidelines for carrying out the stress testing process, the funds transfer pricing system and the Contingency Funding Plan.

To ensure that liquidity risk is managed according to an integrated and consistent approach within the Bank, strategic decisions are taken by the Parent Company's Board of Directors, to which the Policy assigns several important duties, including: definition and approval of the guidelines and strategic direction, responsibility for ensuring that the risk governance system is fully reliable, and

604 \| Individual financial statements as at 30 June 2024

monitoring of trends in liquidity and funding risk over time and of the Group's Risk Appetite Framework.

Moreover, the Group's ALM Committee discusses the most significant liquidity risk issues, defining the asset and liability structure and the related acceptance of the risk of mismatches between assets and liabilities and managing them in line with the commercial and financial objectives set out in the budget and in the Group's Risk Appetite Framework.

In application of Article 86 of Directive 2013/36/EU, the Mediobanca Group identifies, measures, manages and monitors liquidity risk as part of its internal liquidity adequacy assessment process (ILAAP). In this process, which constitutes an integral part of the Supervisory Authority's activities (Supervisory Review and Evaluation Process, or SREP), the Mediobanca Group performs a self-assessment of the adequacy of its overall framework for liquidity risk management and measurement from a qualitative and a quantitative perspective. The findings of the risk profile adequacy assessment and overall self-assessment are presented to the Governing Bodies annually.

The Mediobanca Group's liquidity governance process is centralized at the Parent company level by setting the strategy and guidelines for Group Legal Entities, thereby ensuring that the liquidity position is managed and controlled at the consolidated level.

The Parent Company's units that are responsible for ensuring that the Policy is applied correctly are:

– Group Treasury, which is responsible at Group level for managing liquidity, funding, collateral and transfer pricing system;

– Business & Capital Planning, which supports Risk Management and Group Treasury in drawing up the Group Funding Plan in compliance with the budget objectives;

Risk Management which, in accordance with the principles of separation and independence, is responsible for the Group's integrated, second-level control system for current and future risks, in accordance with the Group's regulations and governance strategies.

The Group Audit Unit is responsible for evaluating the functioning and reliability of the control system for liquidity risk management and for reviewing its adequacy and compliance with the requirements laid down in the regulations.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 605

The findings of such reviews are submitted to the Governing Bodies at least once a year.

The Bank's objective is to maintain a level of liquidity that will enable it to meet its ordinary and extraordinary payment obligations at the established expiry dates, while at the same time keeping costs to a minimum and hence without incurring losses. The Mediobanca Group's short-term liquidity policy aims to verify whether the mismatch between expected or unexpected cash inflows and outflows remains sustainable in the short term, including within an intra-day time horizon.

The Bank, through the Group Treasury unit, manages its own liquidity position actively, with the objective of meeting its own clearing obligations within the time frame required.

For a description of the metrics used to monitor short and medium/long-term liquidity, reference is made to Part E of the Consolidated Notes to the Accounts.

Mediobanca was granted a waiver of liquidity requirements on the part of the European Central Bank on an individual basis under Article 8 of the CRR.

The Contingency Funding Plan (described in the "Regulations") is an event governance model to be activated in case of a crisis following a procedure approved by the Board of Directors. For further information on the governance of states of emergency and risk mitigation policies, please refer to the consolidated report.

606 \| Individual financial statements as at 30 June 2024

**QUANTITATIVE INFORMATION**

*1. Financial assets and liabilities by residual contract term*

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Items/Maturities** | **On demand** | **From 1 day<br> to 7 days** | **From 7 days<br> to 15 days** | **From 15 days<br> to 1 month** | **From 1 month<br> to 3 months** | **From 3 months<br> to 6 months** | **From 6 months<br> to 1 year** | **From 1 year<br> to 5 years** | **Over 5 years** | **Indefinite<br> duration** |
| Cash assets | 6258147 | 655325 | 614020 | 2205081 | 3060694 | 5030873 | 7749332 | 31679954 | 15965228 | 11425 |
| A.1 Government securities | 14559 | 71800 | 125242 | 202011 | 156465 | 1122208 | 2739720 | 5170150 | 4113080 |  |
| A.2 Other debt securities | 1256 | 30658 | 1955 | 8181 | 185244 | 75494 | 542000 | 3455796 | 2369534 |  |
| A.3 UCIT units |  |  |  |  |  |  |  |  |  |  |
| A.4 Loans | 6242332 | 552867 | 486823 | 1994889 | 2718985 | 3833171 | 4467612 | 23054008 | 9482614 | 11425 |
| &nbsp;&nbsp;&nbsp;&nbsp;– Banks | 4229635 | 399029 | 378074 | 1237275 | 669531 | 1568855 | 3120440 | 13743398 | 8826092 | 11425 |
| &nbsp;&nbsp;&nbsp;&nbsp;– Customers | 2012697 | 153838 | 108749 | 757614 | 2049454 | 2264316 | 1347172 | 9310610 | 656522 |  |
| Cash liabilities | 23145645 | 839201 | 1045163 | 1728452 | 4346602 | 1761815 | 7176057 | 18518457 | 8141754 |  |
| B.1 Deposits and current accounts | 20765944 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Banks | 18881698 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– Customers | 1884246 |  |  |  |  |  |  |  |  |  |
| B.2 Debt securities | 1427 | 39 | 225885 | 12153 | 1007552 | 367350 | 1529964 | 15282147 | 5462128 |  |
| B.3 Other liabilities | 2378274 | 839162 | 819278 | 1716299 | 3339050 | 1394465 | 5646093 | 3236310 | 2679626 |  |
| Off-balance sheet transactions |  |  |  |  |  |  |  |  |  |  |
| C.1 Financial derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– long positions | 728741 | 825565 | 297401 | 592604 | 2289343 | 7401323 | 2353273 | 18483454 | 7285254 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– short positions | 344499 | 752441 | 131222 | 844346 | 1987909 | 606643 | 1704984 | 2841126 | 351158 |  |
| C.2 Financial derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– long positions | 865341 | 4838 | 34185 | 179574 | 326323 | 512167 | 854374 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– short positions | 947257 | 11803 | 27629 | 207133 | 361224 | 536354 | 1089439 |  |  |  |
| C.3 Deposits and loans for collection |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– long positions | 6747425 | 2473003 | 28817 | 208935 | 55862 | 455303 | 62500 | 629978 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– short positions |  |  | 241754 | 409948 | 433105 | 873594 | 1328238 | 4911048 | 2464136 |  |
| C.4 Irrevocable loan commitments\* |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– long positions |  |  | 123833 | 339707 | 381146 | 1381960 | 1333278 | 5847453 | 3874262 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– short positions | 7797735 | 3169109 | 503162 | 452133 | 325193 | 401467 |  | 632840 |  |  |
| C.5 Financial guarantees issued |  |  |  |  |  |  |  |  |  |  |
| C.6 Financial guarantees received |  |  |  |  |  |  |  |  |  |  |
| C.7 Credit derivatives with exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– long positions |  |  |  |  | 60000 | 100600 | 63200 | 1051750 | 907998 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– short positions |  |  |  |  | 60000 | 208444 | 145731 | 1273412 | 495962 |  |
| C.8 Credit derivatives without exchange of principal |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– long positions | 177690 |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;– short positions | 193412 |  |  |  |  |  |  |  |  |  |

---

<sup>\*</sup> This item includes hedge sales perfectly matched by purchases for the same amount.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 607

**5 OPERATIONAL RISK**

**QUALITATIVE INFORMATION**

**Definition**

Operational risk is the risk of incurring losses as a result of the inadequacy or malfunctioning of procedures and IT systems, human error or external events

**Capital requirement**

To manage operational risk, Mediobanca has adopted the Basic Indicator Approach (BIA) in order to calculate the related capital requirement applying a 15% coefficient, as per regulations, to the three-year average for the relevant indicator. Based on this calculation method, the capital requirement as at 30 June 2024 was €199.3m (€174.3m in the previous year).

**Risk mitigation**

The Group's Non-Financial Risks Committee, with the task of guiding, monitoring and mitigating non-financial risks (including IT risks, fraud risk, outsourcing risk, legal risks, reputation risks), and the Conduct Committee, with the task of guiding, supervising and making decisions on the Group's conduct risks, operate within the scope of risk management.

Operational risks are supervised by a specific Operational Risk Management team within the Non-Financial Risk Management unit.

The processes for identifying operational risks, including through the collection and analysis of data concerning operational risk loss, assessment and estimation, and the processes for identifying and initiating the related mitigation actions, are defined and implemented according to the Group's operational risk management policy and in line with the principle of proportionality. Actions to mitigate the most relevant operational risks were proposed, implemented and monitored according to the evidence obtained.

608 \| Individual financial statements as at 30 June 2024

The operating losses recorded during the year under review had a minimal impact on the Bank's total revenues, i.e. approximately 0.04%.

With regard to the different classes of operational risk, the Group's percentage composition of the various Basel II event types is shown below.

---

| | | |
|:---|:---|:---|
| ***Event Type*** | ***% of Total Loss 30/6/2024*** | ***% of Total Loss 30/6/2023*** |
| *External Fraud* | 31% | 92% |
| *Clients, products and business practices* | 27% | 4% |
| *Employment practices and workplace safety* | 20% | 2% |
| *Execution, delivery and process management* | 18% | 2% |
| *Other* | 4% |  |
| Total | 100% | 100% |

---

Most of the operating losses for the year, which were very limited, were due to "Employment practices and workplace safety" relating to contributions and penalties for managing social security positions following changes in seniority contributions. "Execution, delivery and process management" concerned normally higher costs/penalties in the settlement of transactions, while "Clients, products and business practices" include costs for managing limited disputes with customers.

In terms of Business Lines, losses from operational risks were greater in Wealth Management. Very limited losses were recorded in CIB and Holding Function.

In terms of potential risks, the business lines Wealth Management and CIB were exposed to low-frequency and high-severity events due to their nature as they are characterized by non-standard transactions of a high amount.

Furthermore, although they did not generate significant losses, there was an increase in some cases (classes) of operational risk, such as IT & Cyber Risk and Outsourcing Risk.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 609

In particular IT & Cyber Risks, which during the twelve months under review did not generate relevant issues at Group level, in terms of exposure are influenced by the following increases:

– Dependency on IT systems;

– Number of users which use virtual channels and thus of connected devices;

– Quantity of managed data which should be protected;

– Use of third-party-offered IT services.

Further external elements should be added to those just mentioned, like the evolution of the cyber-geopolitical context (i.e. Russia – Ukraine and Israel – Palestine conflicts), as well as the adoption of new technological models (i.e. cloud) which contribute to the possible attack surface being increased thus introducing new threats.

Due to the foregoing, safeguards for specific risk classes, such as IT & Cyber risk, third-party risk, fraud risk and reputation risk, were increased as part of the Non-Financial Risk Management project while providing an overview of such risks.

610 \| Individual financial statements as at 30 June 2024

**Litigation risk: Risks deriving from pending proceedings**

For a description of the claims currently pending against the Parent Company, please see Part B – Liabilities - section 10 - Provisions for risks and charges.

**Other risks**

For a more in-depth description of the other risks, reference is made to Part E – Market Risks – Other Risks in the Consolidated Notes to the Accounts.

Notes to individual accounts \| Part E - Information on risks and related hedging policies \| 611

**Part F – Information on Capital**

**SECTION 1**

**Company capital**

**QUANTITATIVE INFORMATION**

*B.1 Company capital: breakdown*

---

| | | | |
|:---|:---|:---|:---|
| **Items/Values** | **Items/Values** | **30 June<br> 2024** | **30 June<br> 2023** |
| 1. | Capital | 444515 | 444169 |
| 2. | Share premium | 2195606 | 2195606 |
| 3. | Reserves | 1127476 | 1826803 |
|  | - retained earnings | 1469469 | 1981088 |
|  | a) legal | 88834 | 88728 |
|  | b) under articles of association | 188163 | 720073 |
|  | c) treasury shares | 68828 | 78876 |
|  | d) other | 1123644 | 1093411 |
|  | - other | (341993) | (154285) |
| 4. | Equity instruments |  |  |
| 5. | (Treasury shares) | (68828) | (78876) |
| 6. | Valuation reserves: | 88982 | 59189 |
|  | - Equity securities designated at fair value through other comprehensive income | 118138 | 106435 |
|  | - Hedging of equity securities designated at fair value through other comprehensive income |  |  |
|  | Financial assets (other than equity securities) measured at fair value through other comprehensive income | (6153) | (49000) |
|  | - Tangible assets |  |  |
|  | - Intangible assets |  |  |
|  | - Hedging of foreign investments |  |  |
|  | - Hedging of cash flows | 1820 |  |
|  | - Hedging instruments (not designated instruments) |  |  |
|  | - Currency exchange gains/losses |  |  |
|  | - Non-current assets and asset groups held for sale |  |  |
|  | - Financial liabilities designated at fair value through profit or loss (change in own credit quality) | (32142) | (5524) |
|  | - Actuarial gains (losses) on defined benefits pension schemes | (2313) | (2354) |
|  | - Valuation reserves share of equity-accounted interests |  |  |
|  | - Extraordinary revaluation laws | 9632 | 9632 |
| 7. | Profit (loss) for the year | 1243992 | 606491 |
| Total | Total | 5031743 | 5053382 |

---

For more information, please refer to section 12 "Company capital - Items 110, 130, 140, 150, 160, 170 and 180".

612 \| Individual financial statements as at 30 June 2024

*B.2 Valuation reserves for financial assets measured at fair value through other comprehensive income: breakdown*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| **Assets/Values** | **Assets/Values** | **Positive reserve** | **Negative reserve** | **Positive reserve** | **Negative reserve** |
| 1. | Debt securities | 21769 | (27922) | 4418 | (53418) |
| 2. | Equity securities | 128741 | (10603) | 123492 | (17057) |
| 3. | Loans |  |  |  |  |
| Total | Total | 150510 | (38525) | 127910 | (70475) |

---

*B.3 Valuation reserves for financial assets measured at fair value through other comprehensive income: changes during the period*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | |  | **Debt**<br> **securities** | **Equity**<br> **securities** | **Loans** | **Total** |
| 1. | Opening balance | Opening balance | (49000) | 106435 |  | 57435 |
| 2. | Increases | Increases | 55566 | 29494 |  | 85060 |
|  | *2.1* | *Increases in fair value* | 38508 | 29494 |  | 68002 |
|  | 2.2 | Value adjustments for credit risk | 2263 | X |  | 2263 |
|  | 2.3 | P&L recycling of negative reserves due to realization | 14795 | X |  | 14795 |
|  | 2.4 | Transfers to other net equity components (equity securities) |  |  |  |  |
|  | 2.5 Other changes | 2.5 Other changes |  |  |  |  |
| 3. | Decreases | Decreases | 12719 | 17791 |  | 30510 |
|  | *3.1* | *Decreases in fair value* | 10127 | 9853 |  | 19980 |
|  | 3.2 | Credit risk write-backs | 926 |  |  | 926 |
|  | 3.3 | P&L recycling of positive reserves: | 1666 | X |  | 1666 |
|  |  | -due to realization |  |  |  |  |
|  | 3.4 | Transfers to other net equity components (equity securities) |  | 7938 |  | 7938 |
|  | 3.5 | Other changes |  |  |  |  |
| 4. | Closing balance | Closing balance | (6153) | 118138 |  | 111985 |

---

Notes to individual accounts \| Part F - Information on Capital \| 613

**SECTION 2**

**Own funds and supervisory capital requirements**

The Bank, as the Group, stands out for its great capital soundness, as it always keeps its capital ratios above the regulatory thresholds retaining the capital surplus for operations to be carried out on the corporate market.

*2.1 Own funds*

*Scope of regulations*

No regulatory changes affected the Bank during the financial year under review.

**QUALITATIVE INFORMATION**

Common Equity Tier 1 (CET1) is made up of paid-up capital, reserves (including €112m of positive reserves on securities measured at fair value through other comprehensive income) and profit for the year (€1,244m), after the proposed dividend (€885.2m calculated on consolidated profits) and the entire deduction of the second share buyback plan to be carried out in financial year 2024/2025 (€385m)<sup>(31)</sup>.

Deductions (€-402.7m) mainly regarded:

treasury shares of €68.8m, taking into account that the €195m disbursement relating to the purchase of 17 million shares, approved by the Shareholders' Meeting in October 2023 and executed during the financial year, was recognized as a decrease in reserves following cancellation of such shares;

– intangible assets (including goodwill) of €28.5m;

– prudential changes of €55m relating to valuations of financial instruments (referred to as AVA and DVA);

interests of €159m in financial companies (corresponding in fact to the investment in Assicurazioni Generali) and other investments (mainly in the CLO special purpose vehicle) of €95.3m (taking into account some insurance coverage).

<sup>(31)</sup> Share buyback plan subject to authorization by the European Central Bank and by the Shareholders' Meeting.

614 \| Individual financial statements as at 30 June 2024

No Additional Tier 1 (AT1) instruments were issued.

Tier 2 capital includes subordinated liabilities, up from €966.6m to €1,096.6m after last January's nominal issue of €300m, which more than absorbed the amortization for the year (€159m).

---

| | | | |
|:---|:---|:---|:---|
| | **30 June 2024** | **30 June 2024** | **30 June 2024** |
| <br>**Issue** | **ISIN code** | **Nominal Value** | **Computed value <sup>(\*)</sup>** |
| MB SUBORDINATO TV |  |  |  |
| with min 3% 2025 | IT0005127508 | 499265 | 116585 |
| MB SUBORDINATO 3.75% 2026 | IT0005188351 | 298478 | 113664 |
| MB SUBORDINATO 1.957% 2029 | XS1579416741 | 50000 | 45868 |
| MB SUBORDINATO 2.3% 2030 | XS2262077675 | 249750 | 240014 |
| MB FIX TO FLOAT FEB 2033 | XS2577528016 | 299500 | 291480 |
| MB 5.25 22 APR 2034 | IT0005580573 | 299800 | 289013 |
| Total subordinated securities |  | 1696793 | 1096624 |

---

<sup>(\*)</sup> The computed value differs from the book value due to the items measured at fair value and amortized cost and to buyback commitments entered into.

Tier 2 also includes the difference of €13.5m between higher accounting adjustments compared to prudential expected losses calculated by using the advanced models (referred to as "buffer"), down compared to the previous financial year (€22.5m), computing the maximum admissible amount corresponding to 0.6% of risk-weighted exposure amounts calculated by using advanced models (under Article 159 CRR).

Notes to individual accounts \| Part F - Information on Capital \| 615

**QUANTITATIVE INFORMATION**

---

| | | | |
|:---|:---|:---|:---|
|  |  | **30 June 2024** | **30 June 2024** |
| A. | Common equity tier 1 (CET1) before applying prudential filters | 4183376 | 4338700 |
|  | *of which CET1 instruments subject to phase-in regime* | *—* | *—* |
| B. | CET1 prudential filters (+/-) | (116642) | (117395) |
| C. | CET1 before items to be deducted and effects of phase-in regime (A +/- B) | 4066734 | 4221306 |
| D. | Items to be deducted from CET1 | (748457) | (752644) |
| E. | Phase-in regime - impact on CET1 (+/-)\* | 560852 | 587950 |
| F. | Total common equity tier 1 (CET1) (C-D+/-E) | 3879129 | 4056612 |
| G. | Additional Tier 1 (AT1) before items to be deducted and effects of phase-in regime |  |  |
|  | *of which AT1 instruments subject to phase-in regime* |  |  |
| H. | Items to be deducted from AT1 |  |  |
| I. | Phase-in regime - impact on AT1 (+/-) |  |  |
| L. | Total additional tier 1 (AT1) (G-H+/-I) |  |  |
| M. | Tier 2 (T2) before items to be deducted and effects of phase-in regime | 1109989 | 989108 |
|  | *of which T2 instruments subject to phase-in regime* | *—* | *—* |
| N. | Items to be deducted from T2 |  | (104920) |
| O. | Phase-in regime - impact on T2 (+/-) |  |  |
| P. | Total Tier 2 (M-N+/-O) | 1109989 | 884188 |
| Q. | Total own funds (F+L+P) | 4989118 | 4940800 |

---

<sup>\*</sup> Adjustments include greater deductions for the adoption of Calendar Provisioning.

616 \| Individual financial statements as at 30 June 2024

*2.2 Capital adequacy*

**A. QUALITATIVE INFORMATION**

As at 30 June 2024, the phased-in Common Equity Ratio – the ratio of Common Equity Tier 1 Capital to total risk-weighted assets applying the Danish Compromise – stood at 13.2%, up compared to the previous financial year (12.8%) due to a significant drop in RWA (€-2.4bn) after greater selectivity of investments and a simultaneous launch of risk mitigation measures.

The total capital ratio also rose from 15.6% to 17.0%.

The Leverage ratio stood at 5.3% (6.0% at 30 June last), in any case above the regulatory limit of 3%.

Notes to individual accounts \| Part F - Information on Capital \| 617

**B. QUANTITATIVE INFORMATION**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **Unweighted amounts <sup>(\*)</sup>** | **Unweighted amounts <sup>(\*)</sup>** | **Weighted amounts/requirements** | **Weighted amounts/requirements** |
| **Categories/Values** | **Categories/Values** | **30 June 2024** | **30 June 2023** | **30 June 2024** | **30 June 2023** |
| A. | RISK ASSETS |  |  |  |  |
|  | A.1 Credit and counterpart risk | 80205399 | 79294244 | 24853136 | 26979359 |
|  | &nbsp;&nbsp;&nbsp;1. Standard methodology | 63723965 | 60623547 | 17144543 | 16440421 |
|  | &nbsp;&nbsp;&nbsp;2. Internal rating methodology | 15875728 | 18361770 | 7565469 | 10447070 |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.1 Basic |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2 Advanced | 15875728 | 18361770 | 7565469 | 10447070 |
|  | &nbsp;&nbsp;&nbsp;3. Securitization | 605706 | 308927 | 143124 | 91869 |
| B. | REGULATORY CAPITAL REQUIREMENTS |  |  |  |  |
|  | B.1 Credit and counterpart risk |  |  | 1988251 | 2158349 |
|  | B.2 Credit valuation adjustment risk |  |  | 24719 | 38948 |
|  | B.3 Settlement risk |  |  |  |  |
|  | B.4 Market risk |  |  | 134510 | 167426 |
|  | &nbsp;&nbsp;&nbsp;1. Standard methodology |  |  | 134510 | 167426 |
|  | &nbsp;&nbsp;&nbsp;2. Internal models |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;3. Concentration risk |  |  |  |  |
|  | B.5 Operational risk |  |  | 199305 | 174348 |
|  | &nbsp;&nbsp;&nbsp;1. Basic Indicator Approach (BIA) |  |  | 199305 | 174348 |
|  | &nbsp;&nbsp;&nbsp;2. Standard method |  |  |  |  |
|  | &nbsp;&nbsp;&nbsp;3. Advanced method |  |  |  |  |
|  | B.6 Other calculation items |  |  |  |  |
|  | B.7 Total prudential requirements |  | | 2346785 | 2539071 |
| C. | RISK ASSETS AND REGULATORY RATIOS |  |  |  |  |
|  | C.1 Risk-weighted assets |  |  | 29334807 | 31738389 |
|  | C.2 CET1 capital/risk-weighted assets (CET1 capital ratio) |  |  | 13.22% | 12.78% |
|  | C.3 Tier 1 capital/risk-weighted assets (Tier 1 capital ratio) |  |  | 13.22% | 12.78% |
|  | C.4 Total own funds/risk-weighted assets (total capital ratio) |  |  | 17.01% | 15.57% |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | For the standardized methodology, the "unweighted amounts", as provided by the regulations in force, correspond to the value of the exposure taking into account the prudential filters, risk mitigation techniques and credit conversion factors. For the AIRB ratings methodology, the "unweighted amounts" correspond to the "exposure at default" (EAD). For guarantees issued and loan commitments, credit conversion factors are also included in the EAD calculation |

---

618 \| Individual financial statements as at 30 June 2024

**Part G - Combinations Involving Group Companies or Business Units**

**SECTION 1: TRANSACTIONS COMPLETED DURING THE FINANCIAL YEAR**

It should be noted that the purchase of a controlling stake in the English company Arma Partners LLP, a leading independent financial consultancy firm in Europe in the Digital Economy sector was completed on 2 October; at the end of the Purchase Price Allocation process, a brand worth of £24.6 million, customer relationship worth £5.3 million and residual goodwill of £209 million, after tax of £7.5 million, were found.

The merger of the wholly-owned subsidiary MB INVAG S.r.l. took place on 27 September last.

**SECTION 2: TRANSACTIONS COMPLETED AFTER THE REPORTING DATE**

No transactions were completed after the reporting date.

**SECTION 3: RETROSPECTIVE ADJUSTMENTS**

No adjustments were made to the accounts in connection with previous business combinations for the year under review.

Notes to individual accounts \| Part G - Combinations Involving Group Companies or Business Units \| 619

**Part H – Related-party Transactions**

**1. Information on remuneration for key management personnel**

Compensation paid to members of governing and supervisory bodies and to key management personnel (Drawn up pursuant to CONSOB Decision No. 18049 of 23 December 2011)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Compensation** | **Compensation** | **Compensation** | **Compensation** |
|  | **Emoluments**<br> **payable in**<br> **connection to**<br> **the office** | **Non-cash**<br> **benefits\*** | **Bonuses and**<br> **other incentives** | **Other**<br> **compensation** |
| BOARD OF DIRECTORS<sup>1</sup> | 3271.0 | 782.4 | 1467.8 | 3300.0 |
| *of which: management* | *1125.0* | *782.4* | *1467.8* | *3300.0* |
| Key MANAGEMENT personnel<sup>2</sup> |  | 360.7 | 2583.4 | 4744.6 |
| STATUTORY AUDIT COMMITTEE<sup>3</sup> | 460.2 |  |  |  |

---

<sup>\*</sup> This includes the amount of fringe benefits (on a taxable basis) including any insurance policies and supplemental pension schemes. Therefore, equity-based compensation costs of €4.6m are excluded.

<sup>1</sup> There were 15 people in office at 30 June 2024.

<sup>2</sup> There were 8 people in office at 30 June 2024.

<sup>3</sup> There were 3 people in office at 30 June 2024.

**2. Disclosure on related-party transactions**

The Regulation on Related-Party Transactions, implementing CONSOB Regulation No. 17221 of 12 March 2010, as most recently amended by Resolution No. 21264 of 10 December 2020, was introduced in 2011 aiming to ensure the transparency and substantial correctness of transactions with related parties carried out directly or through subsidiaries. Having received favourable opinions from the Bank's Related Parties and Statutory Audit Committees, the Board of Directors incorporated the Bank of Italy's most recent instructions on this subject, which introduce prudential limits for risk activities with Related Parties; this Regulation came into force during December 2012, and was updated most recently in June 2024. The full document is available on the Bank's website at www.mediobanca.com.

For the definition of related parties adopted, please see Part A Accounting Policies of the Notes to the Accounts.

620 \| Individual financial statements as at 30 June 2024

Transactions with related parties fall within the ordinary operations of the Group companies, are maintained on an arm's length basis, and are entered into in the interests of the individual companies concerned. Details of the compensation paid to Directors and key management personnel are provided in a footnote to the table.

&nbsp;&nbsp;&nbsp;&nbsp;*1.1* *Regular financial disclosure: Most significant transactions* 

There were no such transactions to report during the period under review.

&nbsp;&nbsp;&nbsp;&nbsp;*1.2* *Quantitative information* 

The Arma Group and the company HeidiPay Switzerland AG entered the scope of related parties following the respective acquisitions of 100% of their share capital, completed by Mediobanca S.p.A and Compass Banca S.p.A. during the period under review.

The overall exposure to related parties remained low, with a decreasing trend.

Notes to individual accounts \| Part H - Related-party Transactions \| 621

*Statement as at 30 June 2024*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | <br>**Subsidiaries** |<br>**Directors**<br> **and key**<br> **management**<br> **personnel** |<br>**Associated**<br> **companies** |<br>**Other**<br> **related party** | (€m)<br>**Total** |
| Assets | 29887.0 |  |  | 36.6 | 29923.6 |
| &nbsp;&nbsp;&nbsp;*of which: other assets* | *4838.6* | *—* | *—* | *36.6* | *4875.2* |
| &nbsp;&nbsp;&nbsp;*Loans* | *25048.4* | *—* | *—* | *—* | 25048.4 |
| Liabilities | 25591.6 |  |  | 247.8<sup>3</sup> | 25839.4 |
| Guarantees and commitments | 8663.0 |  |  | 130.0<sup>3</sup> | 8793.0 |
| Interest income | 1287.4 |  |  | 1.6 | 1289.0 |
| Interest expense | (775.3) |  |  | (0.8) | (776.1) |
| Net fee income | 17.6 |  | 4.9 | 2.1 | 24.6 |
| Sundry income (costs) | (164.6) | (24.3)<sup>1</sup> | 0.1 | (52.8)<sup>2 3</sup> | (241.6) |

---

<sup>1</sup> Of which, short-term benefits of €(19.7)m and performance shares of €(4.6)m; the figure includes 8 key management personnel.

<sup>2</sup> This item also includes the valuation of derivative contracts, including bond forwards with underlying Government securities.

<sup>3</sup> Starting from the year under review, the collateral exchange transaction with the AG Group will no longer be represented by its nominal value (€250m among commitments) but using equity effects (liabilities covering the forward purchase of government securities).

*Statement as at 30 June 2023*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |<br>**Subsidiaries** |<br>**Directors**<br> **and key**<br> **management**<br> **personnel** |<br>**Associated**<br> **companies** |<br>**Other**<br> **related party** | (€m)<br>**Total** |
| Assets | 30775.3 |  |  | 84.4 | 30859.7 |
| &nbsp;&nbsp;&nbsp;*of which: other assets* | *5351.9* | *—* | *—* | *72.0* | *5423.9* |
| &nbsp;&nbsp;&nbsp;*Loans* | *25423.4* | *—* | *—* | *12.4* | *25435.8* |
| Liabilities | 26441.5 |  |  | 12.9 | 26454.4 |
| Guarantees and commitments | 7823.2 |  |  | 390 | 8213.2 |
| Interest income | 837.5 |  |  | 1.1 | 838.6 |
| Interest expense | (421.4) |  |  |  | (421.4) |
| Net fee income | 10.2 |  | 1 | 0.1 | 11.3 |
| Sundry income (costs) | (619.5) | (26.8)<sup>1</sup> | (0.1) | (24.1)<sup>2</sup> | (670.5) |

---

<sup>1</sup> Of which, short-term benefits of €(17.3)m and performance shares of €(5.7)m; the figure includes 8 key management personnel.

<sup>2</sup> This item also includes the valuation of derivative contracts, including bond forwards with underlying Government securities.

622 \| Individual financial statements as at 30 June 2024

**Part I – Share-based payment schemes**

**A. QUALITATIVE INFORMATION**

*1. Summary of share-based payment schemes approved by the Shareholders' Meeting.*

In the area of equity instruments used for the remuneration of its personnel, Mediobanca decided to adopt a performance shares scheme, with the two-fold aim of:

adapting to banking regulations that require a portion of variable remuneration to be paid out in the form of equity instruments over a time horizon of several years, subject to performance conditions and hence consistent with positive results sustainable over time;

– aligning the interests of Mediobanca's management with those of its shareholders in order to create value over the medium / long term.

Performance share plans are therefore in place which, under certain conditions, provided for the free assignment of Mediobanca shares at the end of a vesting and/or holding period and long-term incentive plans (LTI) linked to the achievement of the strategic plan's objectives.

The plans currently in effect are as follows:

performance share plan approved by the Shareholders' Meeting of 28 October 2015 (and updated by the Shareholders' Meeting of 28 October 2019), valid for variable remuneration for financial years 2018 - 2020 paid out to Group personnel in a maximum number of 20,000,000 Mediobanca shares to be attributed by capital increase or alternatively with the use of treasury shares in the Bank's portfolio;

long-term incentive plan (LTI) for the CEO and General Manager of Mediobanca, linked to the achievement of the targets set in the 2019/2023 plan by assigning them Mediobanca shares by capital increase pursuant to the Plan as mentioned in the preceding paragraph;

performance share plan approved by the Shareholders' Meeting of 28 October 2020, valid for variable remuneration for financial years 2021 - 2025 paid out to Group personnel in a maximum number of 20,000,000

\|

Notes to individual accounts \| Part I - Share-based payment schemes \| 623

Mediobanca shares to be attributed by capital increase or alternatively with the use of treasury shares in the Bank's portfolio;

performance share plan approved by the Shareholders' Meeting of 28 October 2021 (partially revoking the previous Plan in order to transition to a system of resolutions to be taken annually), valid for variable remuneration for financial year 2021-2022 paid out to Group personnel by attributing a maximum number of 4,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio;

performance share plan approved by the Shareholders' Meeting of 28 October 2022, valid for variable remuneration for financial year 2022-2023 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio;

performance share plan approved by the Shareholders' Meeting of 28 October 2023, valid for variable remuneration for financial year 2023-2024 paid out to Group personnel by attributing a maximum number of 3,000,000 Mediobanca shares through the use of treasury shares in the Bank's portfolio;

a new long-term incentive plan for the period 2023-2026 ("2023-2026 LTI Plan") approved by the Shareholders' Meeting held on 28 October 2023, linked to the underlying 2023-2026 Strategic Plan approved in May 2023. For the purpose of the initiative, the Shareholders' Meeting of 28 October 2023 approved the issue of a maximum number of 3,000,000 new Mediobanca shares with dividend rights by capital increase, or through the use of treasury shares in the Bank's portfolio alternatively.

As at 30 June 2024, the number of performance shares assigned in relation to the above plans amounted to 5,137,970 (3,757,373 at 30 June 2023).

624 \| Individual financial statements as at 30 June 2024

It should be noted that the Shareholders' Meeting held on 28 October last also approved:

a widespread share ownership and co-investment plan ("2023 -2026 ESOP") for the Group's personnel within the 2023-26 Strategic Plan's period. This provides investment opportunities in Mediobanca shares on a voluntary basis at favourable conditions (10% discount). Achievement of the Plan targets by 2026 will ensure an additional bonus to participants in the ESOP Plan, consisting in an additional package of shares assigned free of charge by the Mediobanca Group to supplement the initial investment made by the employee. The maximum number of shares (referred to as matching) that can be assigned by the plan is 1,000,000 shares to be issued by capital increase. Alternatively, freely available treasury shares in the Bank's portfolio not allocated for other purposes may also be used for the plan's purposes; The program took place during the month of December and recorded a participation of 28% of personnel within scope (415,600 shares subscribed with a maximum number of 166,240 matching shares attributable).

Notes to individual accounts \| Part I - Share-based payment schemes \| 625

**B. QUANTITATIVE INFORMATION**

*Changes in performance share schemes during the year*

As part of the variable remuneration for financial year 2023, 1,227,029 performance shares, drawn from the Plan approved in the October 2022 Shareholders' Meeting, were awarded on 27 September 2023. The shares, the award of which is conditional upon performance targets being met over a five-year period or less, will be made available in tranches in November 2024 (up to 532,243), November 2025 (up to 185,868), November 2026 (up to 293,462), November 2027 (up to 107,862), and November 2028 (up to 107,594).

As part of the performance share plans, 1,606,525 shares were attributed on 24 November 2023, 979,084 of which through treasury shares and 627,441 by capital increase.

Between January and February 2024, 1,797,293 shares were assigned, including 1,736,296 for the 2023-2026 LTI Plan; 26,587 shares were allocated and 10,613 shares were recovered.

Starting on 30 June 2024, in connection with the variable remuneration for financial year 2024, a total of 1,037,732 performance shares were awarded at a figurative cost of €11.2m, as part of the variable remuneration component only. These shares, the award of which is conditional upon performance targets being achieved over a five-year period or less, will be made available in tranches as follows: November 2025 (up to 471,041), November 2026 (up to 155,837), November 2027 (up to 240,771), November 2028 (up to 85,149), and November 2029 (up to 84,934).

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  |  | **30 June 2024** | **30 June 2024** | **30 June 2023** | **30 June 2023** |
| **Items/Performance shares** | **Items/Performance shares** | **No. of performance<br> shares** | **Avg. price** | **No. of performance<br> shares** | **Avg. price** |
| A. | Balance at start of period | 3757373 | 6.32 | 3453025 | 7.01 |
| B. | Increases | 3024322 |  | 1843041 |  |
|  | B.1 Newly issued shares | 3024322 | 6.40 | 1843041 | 5.89 |
|  | B.2 Other changes |  |  |  |  |
| C. | Decreases | 1643725 |  | 1538693 |  |
|  | C.1 Cancelled |  |  |  |  |
|  | C.2 Exercised | 1633112 | 6.76 | 1516639 | 7.59 |
|  | C.3 Expired |  |  |  |  |
|  | C.4 Other changes | 10613 | 7.90 | 22054 | 7.76 |
| D. | Balance at end of period | 5137970 | 6.15 | 3757373 | 6.32 |

---

626 \| Individual financial statements as at 30 June 2024

**Part M – Disclosure on Leases**

**SECTION 1**

**Lessee**

**QUALITATIVE INFORMATION**

With reference to IFRS 16 coming into force and the contracts which fall within its scope of application, the Bank's lease agreements essentially include real property leases and company car leases. There are some hardware leases only for a residual amount. The property leases mostly involve premises used as offices. Such leases normally have durations of more than twelve months, and typically contain renewal or termination clauses which both lessor and lessee can exercise in accordance with the provisions of law and/or specific contractual arrangements, if any. Generally, such leases do not contain an option to buy at expiry or substantial reinstatement costs for the Bank. As for the car leases, these are long-term agreements for the fleet of company cars available for use by staff members for work-related purposes. The lease agreements in place other than those relating to real properties and cars are of an insignificant amount.

It should be recalled that when adopting the standard it was decided to make some simplifications as provided for by the standard itself, excluding contracts with a duration less than or equal to 12 months (referred to as "short-term"), those with a value of less than €5,000 (referred to as "low-value") and those relating to intangible assets. It was also decided not to separate the service component from the lease proper; hence the full contract was recognized as a lease. The discount rate used was derived from the internal rate of return curve used in treasury management by the Group Treasury unit.

In cases where the original lease has been replicated with another counterparty (i.e. sub-leased), the related lease liability is matched by an amount receivable from the counterparty rather than by its value in use. Sub-leasing arrangements involve only negligible amounts.

Notes to individual accounts \| Part M - Disclosure on Leases \| 627

**QUANTITATIVE INFORMATION**

For quantitative information on the impact on the Bank's financial and earnings situation, reference is made to the contents of the following sections of the Notes to the Accounts:

– information on right-of-use assets acquired, "Part B Notes to the balance sheet - Assets - Section 8";

information on amounts due under leases, "Part B Notes to the balance sheet - Liabilities - Section 1";

– for the effects on earnings, "Part C Notes to the profit and loss account", in particular the headings for interest income and expense and value adjustments to tangible assets.

The value in use recorded in the balance sheet at 30 June 2024 was €21,870,000, broken down as follows:

– value in use of properties: €15,829,000;

– value in use of vehicles: €5,970,000;

– value in use of other assets: €71,000.

628 \| Individual financial statements as at 30 June 2024

**SECTION 2 - LESSOR**

**QUALITATIVE INFORMATION**

With regard to agreements within the scope of IFRS 16, only real property sub-lease agreements are relevant for the Bank. These agreements, relating to finance lease transactions, are non-recurring and for insignificant amounts (€1.4m in June 2024).

**QUANTITATIVE INFORMATION**

For quantitative information on the impact on the Bank's financial and earnings situation, reference is made to the contents of the following sections of the Notes to the Accounts:

– for receivables deriving from sub-lease agreements, "Part B Notes to the balance sheet - Assets - Section 4";

– for the effects on earnings, "Part C Notes to the profit and loss account", in particular the headings for interest income and expense and value adjustments to tangible assets.

Notes to individual accounts \| Part M - Disclosure on Leases \| 629

&nbsp;&nbsp;&nbsp;&nbsp;**1.** **Balance-sheet and earnings data** 

&nbsp;&nbsp;&nbsp;&nbsp;**2.** **Finance leases** 

*2.1* *Maturity analysis of lease payments receivable by time band and reconciliation with lease loans recognized under assets* 

---

| | | |
|:---|:---|:---|
| **Time bands** | **30 June 2024**<br> **Lease payments to be**<br> **received** | **30 June 2023**<br> **Lease payments to be**<br> **received** |
| Up to 1 year | 1118 | 1158 |
| From 1 year to 2 years | 275 | 1143 |
| From 2 year to 3 years |  | 288 |
| From 3 year to 4 years |  |  |
| From 4 year to 5 years |  |  |
| Over 5 years |  |  |
| **Total lease payments to be received** | **1393** | **2589** |
| **Reconciliation with loans** | **(2)** | **(9)** |
| Not accrued financial gains (-) | (2) | (9) |
| Unguaranteed residual value (-) |  |  |
| **Lease loans** | **1391** | **2580** |

---

The table provides a maturity analysis of the lease payments receivable, and a reconciliation of the undiscounted lease payments to the net investment in the lease, as required by IFRS 16, paragraph 94. In particular, it should be noted that the payments receivable under the lease, which consist of the sum of minimum payments due by way of principal and interest, are stated net of any provisions and of the unguaranteed residual value due to the lessor. These are reconciled with the lease loan, recognized in the balance sheet under financial assets measured at amortized cost, by subtracting financial gains not accrued and adding the unguaranteed residual value.

**3. Operating leases**

The Bank had no operating leases in place at the reporting date.

630 \| Individual financial statements as at 30 June 2024

ANNEXED TABLES

![](tm2518026d1_ex99-6aneximg001.jpg)

**Consolidated financial statements**

**Comparison between the restated Balance Sheet and the template contained in Bank of Italy Circular No. 262/2005, eighth update**

Regarding Assets, the balance sheet shown in the consolidated Review of Operations reflects the following restatements:

The closing amount of "Treasury financial assets" includes "Cash and cash equivalents" (heading 10); receivables in respect of current accounts and untied deposits, reverse repos and other deposits in connection with securities lending operations and derivatives recognized as "Financial assets measured at amortized cost: loans to banks and loans to customers" (headings 40a and 40b, respectively), plus certain items booked as "Other assets" (heading 130);

the amount of "Banking book debt securities" includes the debt securities of the following items: "Financial assets measured at fair value through other comprehensive income" (heading 30), "Financial assets measured at amortized cost" (heading 40c) and "Financial assets measured at fair value through profit or loss", either designated at fair value or mandatorily classified at fair value (headings 20b and 20c);

the amount of "Equity investments" includes equities recognized as "Financial assets measured at fair value through other comprehensive income" (heading 30), "Equity investments" (heading 70), and funds mandatorily recognized under heading 20c "Financial assets measured at fair value through profit or loss";

The closing amount of "Loans to customers" includes loans and receivables recognized as "Financial assets measured at amortized cost: loans to banks and loans to customers" (headings 40a and 40b, respectively), including those recognized mandatorily at fair value through profit or loss booked under heading 20c after any "Adjustments of hedging financial assets" (heading 60) relating to loans and receivables;

the amount of "Other assets" includes the headings 130 "Other assets", 110 "Tax assets" and 50 "Hedging derivatives", and sundry debtor items recognized as "Financial assets measured at amortized cost: loans to banks and loans to customers" (headings 40a and 40b) and Non-current assets and asset groups held for sale, if any.

632 \| Individual financial statements as at 30 June 2024

Regarding Liabilities:

The closing amount of "Funding" includes amounts due to banks, amounts due to customers and securities in issue recognized under "Financial liabilities measured at amortized cost" (under headings 10a, 10b and 10c, respectively), other than amounts recognized under "Treasury funding" and under "Other liabilities", in addition to "Financial liabilities measured at fair value" (heading 30);

the amount of "Treasury deposits" includes amounts payable in respect of current accounts and untied deposits, repos and other deposits in connection with securities lending operations and derivatives recognized as "Financial liabilities measured at amortized cost – Due to banks" and "Due to customers" (headings 10a and 10b, respectively);

The amount of "Other liabilities" includes the headings 40 "Hedging derivatives", 60 "Tax liabilities" and 110 "Insurance liabilities", plus sundry creditor items recognized as "Financial liabilities measured at amortized cost".

Annexed tables \| 633

*Balance sheet as at 30 June 2024 – Assets*

RECLASSIFIED STATEMENTS <br> <br> (€m)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset items** | **Financial<br> assets held<br> for trading** | **Treasury<br> financial<br> assets and<br> cash** | **Banking<br> book<br> securities** | **Customers<br> Loans** | **Equity<br> Investments** | **Tangible and<br> intangible<br> assets** | **Other<br> assets** | **Total<br> assets** |
| 10. Cash and Cash Equivalents |  | 3361.2 |  |  |  |  |  | **3361.2** |
| 20. Financial assets measured at fair value through profit or loss | 15409.5 |  | 140.7 | 580.4 | 657.3 |  |  | **16787.9** |
| &nbsp;&nbsp;&nbsp;*a) financial assets held for trading* | *15409.5* | *—* | *—* | *—* | *—* | *—* | *—* | ***15409.5*** |
| &nbsp;&nbsp;&nbsp;*b) assets designated at fair value* | *—* | *—* | *140.4* | *578.8* | *—* | *—* | *—* | ***719.2*** |
| &nbsp;&nbsp;&nbsp;*c) other financial assets mandatorily measured at fair value* | *—* | *—* | *0.3* | *1.6* | *657.3* | *—* | *—* | ***659.2*** |
| 30. Financial assets measured at fair value through other comprehensive income |  |  | 6649.5 |  | 256.2 |  |  | **6905.7** |
| 40. Financial assets measured at amortized cost |  | 7741.4 | 4550.5 | 51867.0 |  |  |  | **64158.9** |
| 50. Hedging derivatives |  |  |  |  |  |  | 705.5 | **705.5** |
| 60. Value adjustment to generic hedging financial assets |  |  |  |  |  |  |  | **—** |
| 70. Equity Investments |  |  |  |  | 3789.2 |  |  | **3789.2** |
| 80. Reinsured portion of technical reserve |  |  |  |  |  |  |  | **—** |
| &nbsp;&nbsp;&nbsp;*a) issued insurance contracts that constitute assets* | *—* | *—* | *—* | *—* | *—* | *—* | *—* | ***—*** |
| &nbsp;&nbsp;&nbsp;*b) reinsurance contracts ceded that constitute assets* | *—* | *—* | *—* | *—* | *—* | *—* | *—* | ***—*** |
| 90. Tangible assets |  |  |  |  |  | 549.6 |  | **549.6** |
| 100. Intangible assets |  |  |  |  |  | 1045.4 |  | **1045.4** |
| 110. Tax assets |  |  |  |  |  |  | 754.8 | **754.8** |
| 120. Non-current assets and asset groups held for sale |  |  |  |  |  |  |  | **—** |
| 130. Other assets |  |  |  |  |  |  | 1168.1 | **1168.1** |
| **Total assets** | **15409.5** | **11102.6** | **11340.7** | **52447.4** | **4702.7** | **1595.0** | **2628.4** | **99226.3** |

---

 **TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005 EIGHT UPDATE**

634 \| Annual Accounts and Report as at 30 June 2024

*Balance sheet as at 30 June 2024 – Liabilities*

RECLASSIFIED STATEMENTS <br> <br> (€m)

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Liabilities and net equity** | **Funding** | **Treasury<br> financial<br> liabilities** | **Financial<br> liabilities<br> held for<br> Trading** | **Other<br> liabilities** | **Provisions** | **Net<br> Equity** | **Total<br> liabilities<br> and net<br> equity** |
| 10. Financial liabilities measured at amortized cost | 59430.7 | 10584.1 |  | 306.7 |  |  | **70321.5** |
| &nbsp;&nbsp;&nbsp;*a) due to banks* | *5868.4* | *5083.7* | *—* | *10.0* | *—* | *—* | **10962.1** |
| &nbsp;&nbsp;&nbsp;*b) due to customers* | *28307.6* | *5500.4* | *—* | *296.5* | *—* | *—* | **34104.5** |
| &nbsp;&nbsp;&nbsp;*c) securities in issue* | *25254.7* | *—* | *—* | *0.2* | *—* | *—* | **25254.9** |
| 20. Trading financial liabilities |  |  | 9504.7 |  |  |  | **9504.7** |
| 30. Financial liabilities designated at fair value | 4239.2 |  |  |  |  |  | **4239.2** |
| 40. Hedging derivatives |  |  |  | 1431.6 |  |  | **1431.6** |
| 50. Value adjustment to generic hedging financial liabilities |  |  |  |  |  |  | **—** |
| 60. Tax liabilities |  |  |  | 749.6 |  |  | **749.6** |
| 70. Liabilities associated with assets held for sale |  |  |  |  |  |  | **—** |
| 80. Other liabilities |  |  |  | 1488.6 |  |  | **1488.6** |
| 90. Provision for statutory end-of-service payments |  |  |  |  | 20.4 |  | **20.4** |
| 100. Provisions for risks and charges |  |  |  |  | 137.7 |  | **137.7** |
| 110. Insurance reserves |  |  |  | 89.8 |  |  | **89.8** |
| &nbsp;&nbsp;&nbsp;*a) issued insurance contracts that constitute liabilities* | *—* | *—* | *—* | *89.8* | *—* | *—* | **89.8** |
| &nbsp;&nbsp;&nbsp;*b) reinsurance contracts ceded that constitute liabilities* | *—* | *—* | *—* | *—* | *—* | *—* | **—** |
| 120. Revaluation reserves |  |  |  |  |  | (68.6) | **(68.6)** |
| 130. Redeemable shares |  |  |  |  |  |  | **—** |
| 140. Equity instruments |  |  |  |  |  |  | **—** |
| 145. Interim dividends |  |  |  |  |  |  | **—** |
| 150. Reserves |  |  |  |  |  | 7381.0 | **7381.0** |
| 160. Share premium |  |  |  |  |  | 2195.6 | **2195.6** |
| 170. Capital |  |  |  |  |  | 444.5 | **444.5** |
| 180. Treasury shares (-) |  |  |  |  |  | (68.8) | **(68.8)** |
| 190. Equity attributable to minority interests (+/-) |  |  |  |  |  | 86.1 | **86.1** |
| 200. Profit/(loss) for the period |  |  |  |  |  | 1273.4 | **1273.4** |
| **Total liabilities and net equity** | **63669.9** | **10584.1** | **9504.7** | **4066.3** | **158.1** | **11243.2** | **99226.3** |

---

 **TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005 EIGHT UPDATE**

Annexed tables \| 635

**Comparison between the restated Profit and Loss Account and the template contained in Bank of Italy Circular No. 262/2005, eighth update**

The profit and loss account shown in the Review of Operations reflects the following restatements:

"Net interest income" includes the items stated under headings 10 "Interest and similar income", 20 "Interest and similar expense", Financial Guarantee Fees, gains/losses on derivatives trading stated under heading 80 "Net trading income (expense)", and the net gains or losses on hedges of customer loans and funding stated under heading 90 "Net hedging income". The portion of interest relating to securities lending collateral (loss of €5.3m) was reclassified in "Treasury income";

"Net treasury income" contains the amounts stated under heading 70 "Dividends and similar income", heading 80 "Net trading income (expense)" (except for amounts recognized as Net interest income), Banking Book result under heading 100 "Net gains (losses) on disposals/repurchases", the share of securities lending transactions stated under headings 40 "Fee and commission income", 50 "Fee and commission expense" and respective collaterals (€1.3m), and lastly, the portion stated under heading 110 "Net result from other financial assets and liabilities measured at fair value through profit or loss" related to securities under the fair value option;

the heading "Net fee and commission income and other net income (expense)" contains the amounts stated under heading 60 "Net fee and commission income", the operating income stated under heading 230 "Other operating income (expense)", the write-backs due to collections on NPLs acquired (referring to a 4-month operating period of Revalea) stated under heading 130 "Net write-offs (write-backs) for credit risk" and the "Net profit (loss) from insurance activities" of headings 160 and 170;

the heading "Loan loss provisions" contains the amounts relating to loans stated under headings 130 "Net write-offs (write-backs) for credit risk " (after write-backs of €6.3m on NPLs), 100 "Net gains (losses) on disposals/ repurchases" (€-5.8m), 110 "Net result from other financial assets and

636 \| Annual Accounts and Report as at 30 June 2024

liabilities measured at fair value through profit or loss" (€4.3m) and 140 "Gain (losses) from contractual amendments without derecognition" (€-0.2m), and 200 "Net provisions for risks and charges" relating to commitments and sureties (€0.8m).

the heading "Provisions for other financial assets" includes the valuations of securities and provisions recognized under item 110 "Net result from financial assets and liabilities mandatorily measured at fair value through profit or loss" and adjustments and write-backs for credit risk relating to assets measured at fair value through OCI and other financial assets stated under item 130 (€-3.4m);

the heading "Operating costs" includes amounts stated under heading 190 "Administrative expenses" (after the item reclassified under Loan loss provisions), net transfers to provisions stated under heading 200 (after the amounts stated under the heading Loan loss provisions of €0.8m, and Other gains and losses), Net adjustments to tangible and intangible assets stated under headings 210 and 220 and Other operating income or charges stated under heading 230 "Other operating income / charges", after recoveries stated under Net fee and commission income;

the item "Other income/losses" includes the non-recurring costs under heading 190 "Administrative expenses", in particular the contributions to the deposit protection funds (€50.7m), impairment of the RAM trademark (€31.7m) for the financial year, early amortization applied to some software (€6.8m) and non-recurring charges, if any, relating to other items (including the increase in risk provisions, adjustments to assets, net effects relating to the valuation and discounting of liabilities for put & call options, as well as the adjustment of the Messier & Associés trademark to the value recorded in the individual financial statements);

– the positive effect of the release of SelmaBPM's deferred tax provision (€2.7m) from item 230 "Other operating expenses/income" also flowed into the item "Income taxes";

– the item "minority interests" also includes the Interest B portion attributable to Arma's minority partners under heading 230 "Other operating expenses/ income".

Annexed tables \| 637

*Comparison between the restated Profit and Loss Account and the template contained in Bank of Italy Circular No. 262/2005, eighth update Profit and Loss Account as at 30 June 2024*

RECLASSIFIED STATEMENTS

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

(€m)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Profit and loss account** | **Net<br> interest<br> income** | **Net<br> treasury<br> income** | **Net fee and<br> commission<br> income** | ***Equity-<br> accounted<br> valuations*** | **Operating<br> costs** | **Loans loss<br> provisions** | **Provisions for<br> other financial<br> assets** | **Other<br> income<br> (losses)** | **Income<br> taxes** | **Minority<br> interests** | **Net<br> profit** |
| 10. Interest and similar income | 3952.4 | 20.6 |  |  |  |  |  |  |  |  | 3973.0 |
| 20. Interest and similar charges | (1999.6) | (25.9) |  |  |  |  |  |  |  |  | (2025.5) |
| **30. Interest margin** | **1952.8** | **(5.3)** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **1947.5** |
| 40. Commission income | 2.1 | 7.0 | 983.4 |  |  |  |  |  |  |  | 992.5 |
| 50. Commission expenses | (5.5) | (0.4) | (175.6) |  |  |  |  |  |  |  | (181.5) |
| **60. Net fee income** | **(3.4)** | **6.6** | **807.8** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **811.0** |
| 70. Dividends and similar income |  | 138.0 |  |  |  |  |  |  |  |  | 138.0 |
| 80. Net trading income (expense) | 33.3 | 6.4 |  |  |  |  |  |  |  |  | 39.7 |
| 90. Net hedging income (expense) | 2.1 |  |  |  |  |  |  |  |  |  | 2.1 |
| 100. Gains (losses) on disposal or repurchase |  | 13.9 |  |  |  | (5.8) |  |  |  |  | 8.1 |
| 110. Net income (expense) from other financial assets and liabilities measured at fair value through profit or loss |  | 12.6 |  |  |  | 4.3 | 17.3 |  |  |  | 34.2 |
| **120. Total revenues** | **1984.8** | **172.2** | **807.8** | **—** | **—** | **(1.5)** | **17.3** | **—** | **—** | **—** | **2980.6** |
| 130. Net value adjustments (write-backs) for credit risk |  |  | 6.3 |  |  | (251.2) | (3.4) |  |  |  | (248.3) |
| 140. Gains (losses) from contractual modifications without derecognition |  |  |  |  |  | (0.2) |  |  |  |  | (0.2) |
| **150. Net income (expense) from financial operations** | **1984.8** | **172.2** | **814.1** | **—** | **—** | **(252.9)** | **13.9** | **—** | **—** | **—** | **2732.1** |
| 160. Income (expenses) from insurance services |  |  | 21.4 |  |  |  |  |  |  |  | 21.4 |
| 170. Other income / charges from insurance activities |  |  |  |  |  |  |  |  |  |  |  |
| **180. Net profit from financial and insurance activities** | **1984.8** | **172.2** | **835.5** | **—** | **—** | **(252.9)** | **13.9** | **—** | **—** | **—** | **2753.5** |
| 190. Administrative expenses |  |  |  |  | (1532.9) |  |  | (60.1) |  |  | (1593.0) |
| 200. Net transfers to provisions for risks and charges |  |  |  |  | (8.6) | 0.8 |  | 4.8 |  |  | (3.0) |
| 210. Net value adjustments to/write-backs of tangible assets |  |  |  |  | (71.1) |  |  |  |  |  | (71.1) |
| 220. Net adjustments to/write-backs of intangible assets |  |  |  |  | (38.6) |  |  | (41.9) |  |  | (80.5) |
| 230. Other operating expense / income |  |  | 103.9 |  | 109.0 |  |  | 8.5 | (2.7) | (23.0) | 195.7 |
| **240. Operating costs** | **—** | **—** | **103.9** | **—** | **(1542.2)** | **0.8** | **—** | **(88.7)** | **(2.7)** | **(23.0)** | **(1551.9)** |
| 250. Gains (losses) on equity investments |  |  |  | 510.4 |  |  |  |  |  |  | 510.4 |
| 260. Net income (expense) from fair value measurement of tangible and intangible assets |  |  |  |  |  |  |  | (1.6) |  |  | (1.6) |
| 270. Value adjustments to goodwill |  |  |  |  |  |  |  |  |  |  |  |
| 280. Gains (losses) on disposal of investments |  |  |  |  |  |  |  | 0.1 |  |  | 0.1 |
| **290. Profit/(Loss) on ordinary operations before tax** | **1984.8** | **172.2** | **939.4** | **510.4** | **(1542.2)** | **(252.1)** | **13.9** | **(90.2)** | **(2.7)** | **(23.0)** | **1710.5** |
| 300. Income tax for the year on ordinary activities |  |  |  |  |  |  |  |  | (434.0) |  | (434.0) |
| **310. Profit (loss) on ordinary operations after tax** | **1984.8** | **172.2** | **939.4** | **510.4** | **(1542.2)** | **(252.1)** | **13.9** | **(90.2)** | **(436.7)** | **(23.0)** | **1276.5** |
| 320. Gains (losses) of ceded operating assets, after tax |  |  |  |  |  |  |  |  |  |  |  |
| **330. Profit (loss) for the period** | **1984.8** | **172.2** | **939.4** | **510.4** | **(1542.2)** | **(252.1)** | **13.9** | **(90.2)** | **(436.7)** | **(23.0)** | **1276.5** |
| 340. Profit (loss) for the period attributable to minority interests |  |  |  |  |  |  |  |  |  | (3.1) | (3.1) |
| **350. Profit (loss) for the period attributable to the Parent Company** | **1984.8** | **172.2** | **939.4** | **510.4** | **(1542.2)** | **(252.1)** | **13.9** | **(90.2)** | **(436.7)** | **(26.1)** | **1273.4** |

---

638 \| Annual Accounts and Report as at 30 June 2024

**Individual financial statement**

Balance Sheet as at 30 June 2024 — Assets

RECLASSIFIED STATEMENTS

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Asset items** |<br>**Financial<br> assets held<br> for trading** |<br>**Treasury<br> assets** |<br>**Banking<br> book debt<br> securities** |<br>**Customer<br> loans** |<br>**Investments<br> Securities** |<br>**Tangible and<br> intangible<br> assets** |<br>**Other<br> assets** | (€m)<br>**Total<br> assets** |
| 10. Cash and Cash Equivalents |  | 2630.9 |  | 649.7 |  |  |  | **3280.7** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financial assets measured |  |  |  |  |  |  |  |  |
| 20. at fair value through profit or loss | 15437.9 |  | 140.7 | 578.8 | 551.2 |  |  | **16708.7** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets held for trading* | *15437.9* | *—* | *—* | *—* | *—* | *—* | *—* | ***15437.9*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) assets designated at fair value* | *—* | *—* | *140.4* | *578.8* | *—* | *—* | *—* | ***719.2*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*c) other financial assets mandatorily measured at fair value* | *—* | *—* | *0.3* | *—* | *551.2* | *—* | *—* | ***551.5*** |
| 30. Financial assets measured at fair value through other comprehensive income |  |  | 6649.5 |  | 513.5 |  |  | **7163.0** |
| 40. Financial assets measured at amortized cost |  | 11318.6 | 4441.4 | 39053.5 |  |  |  | **54813.5** |
| 50. Hedging derivatives |  |  |  |  |  |  | 561.9 | **561.9** |
| 60. Value adjustment to generic hedging of financial assets |  |  |  |  |  |  |  | **—** |
| 70. Equity Investments |  |  |  |  | 3771.5 |  |  | **3771.5** |
| 80. Tangible assets |  |  |  |  |  | 141.4 |  | **141.4** |
| 90. Intangible Assets |  |  |  |  |  | 29.4 |  | **29.4** |
| 100. Tax assets |  |  |  |  |  |  | 353.5 | **353.5** |
| 110. Non-current assets and asset groups held for sale |  |  |  |  |  |  |  | **—** |
| 120. Other assets |  |  |  |  |  |  | 471.8 | 471.8 |
| **Total assets** | **15437.9** | **13949.5** | **11231.6** | **40282.0** | **4836.2** | **170.8** | **1387.3** | **87295.3** |

---

Annexed tables \| 639

*Balance Sheet as at 30 June 2024 — Liabilities*

RECLASSIFIED STATEMENTS

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Liabilities and net equity** |<br>**Funding** |<br>**Treasury<br> liabilities** |<br>**Liabilities held<br> for trading** |<br>**Other<br> liabilities** |<br>**Provisions** |<br>**Net<br> Equity** | (€m)<br>**Total liabilities<br> and net equity** |
| 10. Financial liabilities measured at amortized cost | 54127.3 | 11588.1 |  | 22.8 |  |  | **65738.2** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) due to banks* | *25656.9* | *6148.7* |  |  |  |  | ***31805.6*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) due to customers* | *7908.2* | *5439.4* |  | 22.6 |  |  | ***13370.2*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*c) securities in issue* | *20562.2* | *—* | *—* | *0.2* | *—* | *—* | ***20562.4*** |
| 20. Trading financial liabilities | *—* | *—* | *9666.7* |  | *—* | *—* | **9666.7** |
| 30. Financial liabilities designated at fair value | 4164.9 | *—* |  | *—* |  | *—* | **4164.9** |
| 40. Hedging derivatives |  |  |  | 1458.7 |  |  | **1458.7** |
| 50. Value adjustment to generic hedging of financial liabilities |  |  |  |  |  |  | **—** |
| 60. Tax liabilities |  |  |  | 488.3 |  |  | **488.3** |
| 70. Liabilities associated with assets held for sale |  |  |  |  |  |  | **—** |
| 80. Other liabilities |  |  |  | 667.3 |  |  | **667.3** |
| 90. Provision for statutory end-of-service payments |  |  |  |  | 4.8 |  | **4.8** |
| 100. Provisions for risks and charges |  |  |  |  | 74.6 |  | **74.6** |
| 110. Revaluation reserves |  |  |  |  |  | 89.0 | **89.0** |
| 120. Redeemable shares |  |  |  |  |  |  | **—** |
| 130. Equity instruments |  |  |  |  |  |  | **—** |
| 140. Reserves |  |  |  |  |  | 1127.5 | **1127.5** |
| 150. Share premium |  |  |  |  |  | 2195.6 | **2195.6** |
| 160. Capital |  |  |  |  |  | 444.5 | **444.5** |
| 170. Treasury shares (-) |  |  |  |  |  | (68.8) | **(68.8**) |
| 180. Profit/(loss) for the period |  |  |  |  |  | 1244.0 | **1244.0** |
| **Total liabilities and net equity** | **58292.2** | **11588.1** | **9666.7** | **2637.1** | **79.4** | **5031.8** | **87295.3** |

---

640 \| Annual Accounts and Report as at 30 June 2024

**Comparison between the restated Profit and Loss Account and the template contained in Bank of Italy Circular No. 262/2005, eighth update**

Profit and Loss Account as at 30 June 2024

**RECLASSIFIED STATEMENTS**

TEMPLATE RECOMMENDED BY BANK OF ITALY CIRCULAR NO. 262/2005, EIGHTH UPDATE

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Profit and loss account** | **Net interest<br> income** | **Net treasury<br> income** | **Net fee and<br> commission<br> income** | **Dividends on<br> investments** | **Operating<br> costs** | **Loans loss<br> provisions** | **Provisions for<br> other financial<br> assets** | **Impairment<br> Charges<br> in respect<br> of equity<br> investments** | **other<br> income<br> (losses)** | **Income<br> taxes** | **Profit<br> (loss) for<br> the period** |
| 10. Interest and similar income | 2766.1 | 20.6 |  |  |  |  |  |  |  |  | **2786.7** |
| 20. Interest and similar charges | (2398.9) | (25.9) |  |  |  |  |  |  |  |  | (2424.7) |
| **30. Interest margin** | **367.2** | **(5.3)** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **361.9** |
| 40. Commission income | 6.7 | 6.9 | 397.4 |  |  |  |  |  |  |  | **411.0** |
| 50. Commission expenses | (7.9) | (3.5) | (55.1) |  |  |  |  |  |  |  | **(66.5)** |
| **60. Net fee income** | **(1.2)** | **3.4** | **342.3** | **—** | **—** | **—** | **—** | **—** | **—** | **—** | **344.6** |
| 70. Dividends and similar income |  | 150.7 |  | 1041.2 |  |  |  |  |  |  | **1191.9** |
| 80. Net trading income (expense) | 35.1 | (6.4) |  |  |  |  |  |  |  |  | **28.7** |
| 90. Net hedging income (expense) | 0.7 |  |  |  |  |  |  |  |  |  | **0.7** |
| 100. Gains (losses) on disposal or repurchase |  | 12.5 |  |  |  |  |  |  |  |  | **12.5** |
| 110. Net income (expense) from other financial assets and liabilities measured at fair value through profit or loss |  | 13.4 |  |  |  |  | 15.5 |  |  |  | **28.9** |
| **120. Total revenues** | **401.7** | **168.4** | **342.3** | **1041.2** | **—** | **—** | **15.5** | **—** | **—** | **—** | **1969.1** |
| 130. Net value adjustments (write-backs) for credit risk |  |  |  |  |  | (1.9) | (3.2) |  |  |  | **(5.0)** |
| 140. Gains (losses) from contractual modifications without derecognition |  |  |  |  |  |  |  |  |  |  | **—** |
| **150. Net income (expense) from financial operations** | **401.7** | **168.4** | **342.3** | **1041.2** | **—** | **(1.9)** | **12.3** | **—** | **—** | **—** | **1964.1** |
| 160. Administrative expenses |  |  |  |  | (559.4) |  |  |  | (10.7) |  | **(570.1)** |
| 170. Net transfers to provisions for risks and charges |  |  |  |  |  | 6.9 |  |  | 7.8 |  | **14.7** |
| 180. Net value adjustments to/write-backs of tangible assets |  |  |  |  | (9.7) |  |  |  | **—** | **—** | **(9.7)** |
| 190. Net adjustments to/write-backs of intangible assets |  |  |  |  | (0.7) |  |  |  |  |  | **(0.7)** |
| 200. Other operating expense / income |  |  | 21.7 |  | 24.2 |  |  |  | 3.1 |  | **49.0** |
| **210. Operating costs** | **—** | **—** | **21.7** | **—** | **(545.6)** | **6.9** | **—** | **—** | **0.2** | **—** | **(516.9)** |
| 220. Gains (losses) on equity investments |  |  |  |  |  |  |  | (35.2) |  |  | **(35.2)** |
| 230. Net income (expense) from fair value measurement of tangible and intangible assets |  |  |  |  |  |  |  |  |  |  | **—** |
| 240. Value adjustments to goodwill |  |  |  |  |  |  |  |  |  |  | **—** |
| 250. Gains (losses) on disposal of investments |  |  |  |  |  |  |  |  |  |  | **—** |
| **260. Profit/(Loss) on ordinary operations before tax** | **401.7** | **168.4** | **364.0** | **1041.2** | **(545.6)** | **5.0** | **12.3** | **(35.2)** | **0.2** | **—** | **1412.0** |
| 270. Income tax for the year on ordinary activities |  |  |  |  |  |  |  |  |  | (168.0) | **(168.0)** |
| **280. Profit (loss) on ordinary operations after tax** | **401.7** | **168.4** | **364.0** | **1041.2** | **(545.6)** | **5.0** | **12.3** | **(35.2)** | **0.2** | **(168.0)** | **1244.0** |
| 290. Gains (losses) of ceded operating assets, after tax |  |  |  |  |  |  |  |  |  |  | **—** |
| **300. Profit (loss) for the period** | **401.7** | **168.4** | **364.0** | **1041.2** | **(545.6)** | **5.0** | **12.3** | **(35.2)** | **0.2** | **(168.0)** | **1244.0** |

---

Annexed tables \| 641

**Table A**

**Details, as required by Article 10, Italian Law No. 72 of 19 March 1983, of assets still owned by the Bank for which the following revaluations were made**

---

| | | | |
|:---|:---|:---|:---|
| <br>**Revalued assets** |<br>**Original**<br>**revaluation** |<br>**Decrease due to**<br> **disposal or writedown** | (Figures in €)<br>**Current**<br>**revaluation** |
| – property in Piazzetta Enrico Cuccia 1 |  |  |  |
| &nbsp;&nbsp;&nbsp;(formerly Via Filodrammatici 6-8-10) |  |  |  |
| &nbsp;&nbsp;&nbsp;*revaluation effected under Law no. 576 of 2 december 1975* | *2609651.24* |  | *2609651.24* |
| &nbsp;&nbsp;&nbsp;*revaluation effected under Law no. 72 of 19 march 1983* | *11620280.23* |  | *11620280.23* |
| &nbsp;&nbsp;&nbsp;*revaluation effected under Law no. 413 of 30 december 1991* | *4174707.04* |  | *4174707.04* |
|  |  |  | **18404638.51** |
| – property in Piazza Paolo Ferrari 6 |  |  |  |
| &nbsp;&nbsp;&nbsp;*revaluation effected under Law no. 72 of 19 march 1983* | *815743.67* |  | *815743.67* |
|  |  |  | **815743.67** |

---

642 \| Annual Accounts and Report as at 30 June 2024

**Balance sheet and profit and loss account of investments in Group undertakings (including indirect investments)**

---

| | |
|:---|:---|
| **Banks (IAS/IFRS)** | **Table B** |
| BALANCE SHEET |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **CMB MONACO**<br>**S.A.M. (\*)**<br>**(€/000)** | **MEDIOBANCA**<br>**PREMIER**<br>**(€/000)** | **COMPASS**<br>**BANCA**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |  |  |
| 10. | Cash and cash equivalents | 1498008 | 384606 | 248441 |
| 20. | Financial assets measured at fair value through profit or loss | 127199 | 9175 |  |
|  | a) financial assets held for trading | 122806 |  |  |
|  | b) financial assets designated at fair value |  |  |  |
|  | c) other financial assets mandatorily measured at fair value | 4393 | 9175 |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  | 724 |
| 40. | Financial assets measured at amortized cost | 6453676 | 29748766 | 15611964 |
|  | a) due from banks | 2934112 | 16560354 | 678 |
|  | b) due from customers | 3519564 | 13188412 | 15611286 |
| 50. | Hedging derivatives | 641 |  | 237692 |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |  |
| 70. | Equity investments | 45803 | 69 | 74706 |
| 80. | Tangible assets | 40807 | 159629 | 69071 |
| 90. | Intangible assets | 22422 | 7025 | 362326 |
|  | of which: |  |  |  |
|  | goodwill |  |  | 360477 |
| 100. | Tax assets |  | 46284 | 335162 |
|  | a) current |  | 9244 | 44698 |
|  | b) prepaid |  | 37040 | 290464 |
| 110. | Non-current assets and asset groups held for sale |  |  |  |
| 120. | Other assets | 47227 | 306089 | 285550 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **8235783** | **30661643** | **17225636** |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Table compiled in accordante with the regulation provided under the Article 15 of CONSOB Market Regulation and Article 2, 6, 2 Italian stock exchange regulation (pro-forma, as at 30 June 2024, drawn up for the Group financial statements purpose). |

---

Annexed tables \| 643

---

| | |
|:---|:---|
| **Banks (IAS/IFRS)** | **Table B** |
| BALANCE SHEET |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **CMB MONACO**<br>**S.A.M. (\*)**<br>**(€/000)** | **MEDIOBANCA**<br>**PREMIER**<br>**(€/000)** | **COMPASS**<br>**BANCA**<br>**(€/000)** |
| **LIABILITIES** | **LIABILITIES** |  |  |  |
| 10. | Financial liabilities measured at amortized cost | 7063772 | 29340236 | 13756867 |
|  | a) due to banks | 1938877 | 12330412 | 12189515 |
|  | b) due to customers | 5124895 | 17009824 | 1467237 |
|  | c) securities in issue |  |  | 100115 |
| 20. | Trading financial liabilities | 122592 |  |  |
| 30. | Financial liabilities designated at fair value |  |  |  |
| 40. | Hedging derivatives | 5151 |  | 12239 |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |  |
| 60. | Tax liabilities | 447 | 11593 | 107750 |
|  | a) current |  | 11593 | 36615 |
|  | b) deferred | 447 |  | 71135 |
| 70. | Liabilities associated with assets held for sale |  |  |  |
| 80. | Other liabilities | 273408 | 327324 | 248201 |
| 90. | Provision for statutory end-of-service payments |  | 1966 | 7100 |
| 100. | Provisions for risks and charges | 2997 | 31428 | 28541 |
|  | a) commitments and financial guarantees | 376 | 542 | 8610 |
|  | b) post-employment and similar benefits |  |  |  |
|  | c) other provisions for risks and charges | 2621 | 30886 | 19931 |
| 110. | Revaluation reserves |  | (295) | 128876 |
| 120. | Redeemable shares |  |  |  |
| 130. | Equity instruments |  | 160000 |  |
| 140. | Reserves | 586709 | (8733) | 1875396 |
| 150. | Share premium | 4573 | 233750 |  |
| 160. | Capital | 111110 | 506250 | 587500 |
| 170. | Treasury shares (-) |  |  |  |
| 180. | Profit (loss) for the year (+/-) | 65024 | 58124 | 473166 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **8235783** | **30661643** | **17225636** |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Table compiled in accordante with the regulation provided under the Article 15 of CONSOB Market Regulation and Article 2, 6, 2 Italian stock exchange regulation (pro-forma, as at 30 June 2024, drawn up for the Group financial statements purpose). |

---

644 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Banks (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **CMB MONACO**<br>**S.A.M. (\*)**<br>**(€/000)** | **MEDIOBANCA**<br>**PREMIER**<br>**(€/000)** | **COMPASS**<br>**BANCA**<br>**(€/000)** |
| 10. | Interest and similar income | 347534 | 939775 | 1635090 |
|  | of which: interest income calculated according to the effective interest method | 29522 | 939402 | 1356953 |
| 20. | Interest and similar charges | (232449) | (665980) | (600931) |
| **30.** | **Net interest income** | **115085** | **273795** | **1034159** |
| 40. | Commission income | 67490 | 261882 | 58288 |
| 50. | Commission expenses | (6595) | (84641) | (21221) |
| **60.** | **Net fee and commission** | **60895** | **177241** | **37067** |
| 70. | Dividends and similar income | 24 | 1 | 15186 |
| 80. | Net trading income (expense) | 7387 | 1723 |  |
| 90. | Net hedging income (expense) |  |  | 8 |
| 100. | Gains (losses) on disposal/repurchase of: |  | (8) | (5149) |
|  | a) financial assets measured at amortized cost |  | (8) | (5149) |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |
|  | c) financial liabilities |  |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss | 426 | 1261 |  |
|  | a) financial assets and liabilities designated at fair value |  |  |  |
|  | b) other financial assets mandatorily measured at fair value | 426 | 1261 |  |
| **120.** | **Total revenues** | **183817** | **454013** | **1081271** |
| 130. | Value adjustments (write-backs) for credit risk relating to: | (1895) | (6114) | (243075) |
|  | a) financial assets measured at amortized cost | (1895) | (6114) | (243075) |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  | (263) |  |
| **150.** | **Net income from financial operations** | **181922** | **447636** | **838196** |
| 160. | Administrative expenses: | (83748) | (379491) | (373968) |
|  | a) personnel costs | (54677) | (157321) | (118295) |
|  | b) other administrative expenses | (29071) | (222170) | (255673) |
| 170. | Net transfers to provisions for risks and charges | (753) | (8184) | (332) |
|  | a) commitments and guarantees issued | 100 | 12 | 327 |
|  | b) other net provisions | (853) | (8196) | (659) |
| 180. | Net value adjustments to /write-backs of tangible assets | (7620) | (29579) | (14122) |
| 190. | Net value adjustments to /write-backs of intangible assets | (9188) | (3537) | (1151) |
| 200. | Other operating expense / income | 1817 | 59959 | 114824 |
| **210.** | **Operating costs** | **(99492)** | **(360832)** | **(274749)** |
| 220. | Gains (losses) on equity investments |  |  | 91001 |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |  |
| 240. | Goodwill write-offs |  |  |  |
| 250. | Gains (losses) on disposal of investments | (2) |  |  |
| **260.** | **Profit (loss) on ordinary operations before tax** | **82428** | **86804** | **654448** |
| 270. | Income tax for the year on ordinary operations | (17404) | (28680) | (181282) |
| **280.** | **Profit (loss) on ordinary operations after tax** | **65024** | **58124** | **473166** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |  |
| **300.** | **Profit (loss) for the year** | **65024** | **58124** | **473166** |

---

---

| | |
|:---|:---|
| <sup>(\*)</sup> | Table compiled in accordante with the regulation provided under the Article 15 of CONSOB Market Regulation and Article 2, 6, 2 Italian stock exchange regulation (pro-forma, as at 30 June 2024, drawn up for the Group financial statements purpose). |

---

Annexed tables \| 645

---

| | |
|:---|:---|
| **Banks (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**INTERNATIONAL**<br>**(LUXEMBOURG)**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |
| 10. | Cash and cash equivalents | 596508 |
| 20. | Financial assets measured at fair value through profit or loss | 235424 |
|  | a) financial assets held for trading | 141158 |
|  | b) financial assets designated at fair value | 9532 |
|  | c) other financial assets mandatorily measured at fair value | 84734 |
| 30. | Financial assets measured at fair value through other comprehensive income |  |
| 40. | Financial assets measured at amortized cost | 6049971 |
|  | a) due from banks | 3030777 |
|  | b) due from customers | 3019194 |
| 50. | Hedging derivatives | 3389 |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |
| 70. | Equity investments | 4150 |
| 80. | Tangible assets | 1119 |
| 90. | Intangible assets |  |
|  | of which: |  |
|  | goodwill |  |
| 100. | Tax assets | 2601 |
|  | a) current | 2601 |
|  | b) prepaid |  |
| 110. | Non-current assets and asset groups held for sale |  |
| 120. | Other assets | 10289 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **6903451** |
| **LIABILITIES** | **LIABILITIES** |  |
| 10. | Financial liabilities measured at amortized cost | 6250831 |
|  | a) due to banks | 1919872 |
|  | b) due to customers | 62274 |
|  | c) securities in issue | 4268685 |
| 20. | Trading financial liabilities | 53902 |
| 30. | Financial liabilities designated at fair value | 124643 |
| 40. | Hedging derivatives | 2955 |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |
| 60. | Tax liabilities | 12094 |
|  | a) current | 12094 |
|  | b) deferred |  |
| 70. | Liabilities associated with assets held for sale |  |
| 80. | Other liabilities | 8797 |
| 90. | Provision for statutory end-of-service payments |  |
| 100. | Provisions for risks and charges | 801 |
| 110. | Revaluation reserves | (1912) |
| 120. | Redeemable shares |  |
| 130. | Equity instruments | 100000 |
| 140. | Reserves | 321642 |
| 150. | Share premium |  |
| 160. | Capital | 10000 |
| 170. | Treasury shares (-) |  |
| 180. | Profit (loss) for the year (+/-) | 19698 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **6903451** |

---

646 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Banks (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**INTERNATIONAL**<br>**(LUXEMBOURG)**<br>**(€/000)** |
| 10. | Interest and similar income | 319633 |
|  | of which: interest income calculated according to the effective interest method |  |
| 20. | Interest and similar charges | (287741) |
| **30.** | **Net interest income** | **31892** |
| 40. | Commission income | 18613 |
| 50. | Commission expenses | (18228) |
| **60.** | **Net fee and commission** | **385** |
| 70. | Dividends and similar income |  |
| 80. | Net trading income (expense) | (3025) |
| 90. | Net hedging income (expense) | 158 |
| 100. | Gains (losses) on disposal/repurchase of: | 555 |
|  | a) financial assets measured at amortized cost | 316 |
|  | b) financial assets measured at fair value through other comprehensive income |  |
|  | c) financial liabilities | 239 |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss | 3985 |
|  | a) financial assets and liabilities designated at fair value | 3985 |
|  | b) other financial assets mandatorily measured at fair value |  |
| **120.** | **Total revenues** | **33950** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: | (115) |
|  | a) financial assets measured at amortized cost | (115) |
|  | b) financial assets measured at fair value through other comprehensive income |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |
| **150.** | **Net income from financial operations** | **33835** |
| 160. | Administrative expenses: | (11412) |
|  | a) personnel costs | (3307) |
|  | b) other administrative expenses | (8105) |
| 170. | Net transfers to provisions for risks and charges | 38 |
| 180. | Net value adjustments to /write-backs of tangible assets | (215) |
| 190. | Net value adjustments to /write-backs of intangible assets |  |
| 200. | Other operating expense / income | 1480 |
| **210.** | **Operating costs** | **(10109)** |
| 220. | Gains (losses) on equity investments |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |
| 240. | Goodwill write-offs |  |
| 250. | Gains (losses) on disposal of investments |  |
| **260.** | **Profit (loss) on ordinary operations before tax** | **23726** |
| 270. | Income tax for the year on ordinary operations | (4028) |
| **280.** | **Profit (loss) on ordinary operations after tax** | **19698** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |
| **300.** | **Profit (loss) for the year** | **19698** |

---

Annexed tables \| 647

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **MBCREDIT SOLUTIONS**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |
| 10. | Cash and cash equivalents | 33520 |
| 20. | Financial assets measured at fair value through profit or loss |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |
| 40. | Financial assets measured at amortized cost | 161 |
|  | a) due from banks |  |
|  | b) due from financial companies |  |
|  | c) due from customers | 161 |
| 50. | Hedging derivatives |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |
| 70. | Equity investments | 500 |
| 80. | Tangible assets | 3208 |
| 90. | Intangible assets | 285 |
| 100. | Tax assets | 3343 |
|  | a) current | 1266 |
|  | b) prepaid | 2077 |
| 110. | Non-current assets and asset groups held for sale |  |
| 120. | Other assets | 10101 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **51118** |
| **LIABILITIES** | **LIABILITIES** |  |
| 10. | Financial liabilities measured at amortized cost | 3156 |
|  | a) due to | 3156 |
| 20. | Trading financial liabilities |  |
| 30. | Financial liabilities designated at fair value |  |
| 40. | Hedging derivatives |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |
| 60. | Tax liabilities | 482 |
|  | a) current | 482 |
|  | b) deferred |  |
| 70. | Liabilities associated with assets held for sale |  |
| 80. | Other liabilities | 7336 |
| 90. | Provision for statutory end-of-service payments | 3311 |
| 100. | Provisions for risks and charges | 2473 |
|  | a) commitments and financial guarantees | 605 |
|  | b) post-employment and similar benefits |  |
|  | c) other provisions for risks and charges | 1868 |
| 110. | Capital | 32500 |
| 120. | Treasury shares (-) |  |
| 130. | Equity instruments |  |
| 140. | Share premium |  |
| 150. | Reserves | (290) |
| 160. | Revaluation reserves | 555 |
| 180. | Profit (loss) for the year (+/-) | 1595 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **51118** |

---

648 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **MBCREDIT SOLUTIONS**<br>**(€/000)** |
| 10. | Interest and similar income | 1310 |
|  | of which: interest income calculated according to the effective interest method |  |
| 20. | Interest and similar charges | (111) |
| **30.** | **Net interest income** | **1199** |
| 40. | Commission income | 35394 |
| 50. | Commission expenses | (8657) |
| **60.** | **Net fee and commission** | **26737** |
| 70. | Dividends and similar income |  |
| 80. | Net trading income (expense) |  |
| 90. | Net hedging income (expense) |  |
| 100. | Gains (losses) on disposal/repurchase of: | 226 |
|  | a) financial assets measured at amortized cost | 226 |
|  | b) financial assets measured at fair value through other comprehensive income |  |
|  | c) financial liabilities |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss | **—** |
| **120.** | **Total revenues** | **28162** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: | (624) |
|  | a) financial assets measured at amortized cost | (624) |
| 140. | Gains (losses) from contractual modifications without derecognition |  |
| **150.** | **Net income from financial operations** | **27538** |
| 160. | Administrative expenses: | (24539) |
|  | a) personnel costs | (13023) |
|  | b) other administrative expenses | (11516) |
| 170. | Net transfers to provisions for risks and charges | (19) |
|  | a) commitments and guarantees issued | (20) |
|  | b) other net provisions | 1 |
| 180. | Net value adjustments to /write-backs of tangible assets | (670) |
| 190. | Net value adjustments to /write-backs of intangible assets | (394) |
| 200. | Other operating income (expense) | 721 |
| **210.** | **Operating costs** | **(24901)** |
| 220. | Gains (losses) on equity investments |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |
| 240. | Goodwill write-offs |  |
| 250. | Gains (losses) on disposal of investments |  |
| **260.** | **Profit (loss) on ordinary activity before tax** | **2637** |
| 270. | Income tax for the year on ordinary operations | (1042) |
| **280.** | **Profit (loss) on ordinary activities after tax** | **1595** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |
| **300.** | **Profit (loss) for the year** | **1595** |

---

Annexed tables \| 649

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **SELMABIPIEMME**<br>**LEASING**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |
| 10. | Cash and cash equivalents | 19054 |
| 20. | Financial assets measured at fair value through profit or loss |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |
| 40. | Financial assets measured at amortized cost | 1238076 |
|  | a) due from banks | 157 |
|  | b) due from financial companies | 21857 |
|  | c) due from customers | 1216062 |
| 50. | Hedging derivatives |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |
| 70. | Equity investments |  |
| 80. | Tangible assets | 41781 |
| 90. | Intangible assets |  |
| 100. | Tax assets | 19918 |
|  | a) current | 982 |
|  | b) prepaid | 18936 |
| 110. | Non-current assets and asset groups held for sale |  |
| 120. | Other assets | 31906 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **1350735** |
| **LIABILITIES** | **LIABILITIES** |  |
| 10. | Financial liabilities measured at amortized cost | 1135954 |
|  | a) due to | 1135954 |
| 20. | Trading financial liabilities |  |
| 30. | Financial liabilities designated at fair value |  |
| 40. | Hedging derivatives | 304 |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |
| 60. | Tax liabilities | 1850 |
|  | a) current | 1085 |
|  | b) deferred | 765 |
| 70. | Liabilities associated with assets held for sale |  |
| 80. | Other liabilities | 21884 |
| 90. | Provision for statutory end-of-service payments | 905 |
| 100. | Provisions for risks and charges | 7399 |
|  | a) commitments and financial guarantees | 106 |
|  | b) post-employment and similar benefits |  |
|  | c) other provisions for risks and charges | 7293 |
| 110. | Capital | 41305 |
| 120. | Treasury shares (-) |  |
| 130. | Equity instruments |  |
| 140. | Share premium | 4620 |
| 150. | Reserves | 129784 |
| 160. | Revaluation reserves | (127) |
| 180. | Profit (loss) for the year (+/-) | 6857 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **1350735** |

---

650 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| **PROFIT AND LOSS ACCOUNT** |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **SELMABIPIEMME**<br>**LEASING**<br>**(€/000)** |
| 10. | Interest and similar income | 83621 |
|  | of which: interest income calculated according to the effective interest method | 83621 |
| 20. | Interest and similar charges | (55723) |
| **30.** | **Net interest income** | **27898** |
| 40. | Commission income | 2375 |
| 50. | Commission expenses | (337) |
| **60.** | **Net fee and commission** | **2038** |
| 70. | Dividends and similar income |  |
| 80. | Net trading income (expense) |  |
| 90. | Net hedging income (expense) | (1) |
| 100. | Gains (losses) on disposal/repurchase of: |  |
|  | a) financial assets measured at amortized cost |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |
|  | c) financial liabilities |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |
|  | a) financial assets and liabilities designated at fair value |  |
|  | b) other financial assets mandatorily measured at fair value |  |
| **120.** | **Total revenues** | **29935** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: | (2789) |
|  | a) financial assets measured at amortized cost | (2789) |
|  | b) financial assets measured at fair value through other comprehensive income |  |
| 140. | Gains (losses) from contractual modifications without derecognition | 104 |
| **150.** | **Net income from financial operations** | **27250** |
| 160. | Administrative expenses: | (18302) |
|  | a) personnel costs | (10690) |
|  | b) other administrative expenses | (7612) |
| 170. | Net transfers to provisions for risks and charges | (1400) |
|  | a) commitments and guarantees issued | 3 |
|  | b) other net provisions | (1403) |
| 180. | Net value adjustments to /write-backs of tangible assets | (1968) |
| 190. | Net value adjustments to /write-backs of intangible assets |  |
| 200. | Other operating income (expense) | 2798 |
| **210.** | **Operating costs** | **(18872)** |
| 220. | Gains (losses) on equity investments |  |
| 230. | Net income from fair value measurement of tangible and intangible assets | (1610) |
| 240. | Goodwill write-offs |  |
| 250. | Gains (losses) on disposal of investments |  |
| **260.** | **Profit (loss) on ordinary activity before tax** | **6768** |
| 270. | Income tax for the year on ordinary operations | 89 |
| **280.** | **Profit (loss) on ordinary activities after tax** | **6857** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |
| **300.** | **Profit (loss) for the year** | **6857** |

---

Annexed tables \| 651

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| **BALANCE SHEET** |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**INTERNATIONAL**<br>**IMMOBILIERE**<br>**(€/000)** |<br>**MB FUNDING**<br>**LUX**<br>**(€/000)** | **POLUS CAPITAL**<br>**MANAGEMENT**<br>**GROUP (\*)**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |  |  |
| 10. | Cash and cash equivalents | 503 | 966 | 27293 |
| 20. | Financial assets measured at fair value through profit or loss |  |  | 7975 |
|  | a) financial assets held for trading |  |  | 23 |
|  | b) financial assets designated at fair value |  |  |  |
|  | c) other financial assets mandatorily measured at fair value |  |  | 7952 |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  |  |
| 40. | Financial assets measured at amortized cost |  | 1100000 |  |
|  | a) due from banks |  | 1100000 |  |
|  | b) due from financial companies |  |  |  |
|  | c) due from customers |  |  |  |
| 50. | Hedging derivatives |  |  |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |  |
| 70. | Equity investments |  |  |  |
| 80. | Tangible assets | 1604 |  | 209 |
| 90. | Intangible assets |  |  | 76680 |
|  | of which: |  |  |  |
|  | goodwill |  |  |  |
| 100. | Tax assets | 4 |  |  |
|  | a) current | 4 |  |  |
|  | b) prepaid |  |  |  |
| 110. | Non-current assets and asset groups held for sale |  |  |  |
| 120. | Other assets | 18 | 1176 | 14391 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **2129** | **1102142** | **126548** |
| **LIABILITIES** | **LIABILITIES** |  |  |  |
| 10. | Financial liabilities measured at amortized cost |  | 1100889 |  |
|  | a) due to |  |  |  |
|  | b) securities in issue |  | 1100889 |  |
| 20. | Trading financial liabilities |  |  | 49 |
| 30. | Financial liabilities designated at fair value |  |  |  |
| 40. | Hedging derivatives |  |  |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |  |
| 60. | Tax liabilities | 23 |  | 16429 |
|  | a) current | 23 |  | 16429 |
|  | b) deferred |  |  |  |
| 70. | Liabilities associated with assets held for sale |  |  |  |
| 80. | Other liabilities |  | 244 | 7220 |
| 90. | Provision for statutory end-of-service payments |  |  |  |
| 100. | Provisions for risks and charges |  |  |  |
|  | a) commitments and financial guarantees |  |  |  |
|  | b) post-employment and similar benefits |  |  |  |
|  | c) other provisions for risks and charges |  |  |  |
| 110. | Capital | 40 | 831 |  |
| 120. | Treasury shares (-) |  |  |  |
| 130. | Equity instruments |  |  | 3500 |
| 140. | Share premium |  |  | 79344 |
| 150. | Reserves | 2021 | 154 | 12039 |
| 160. | Revaluation reserves |  |  |  |
| 180. | Profit (loss) for the year (+/-) | 45 | 24 | 7967 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **2129** | **1102142** | **126548** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

652 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| **PROFIT AND LOSS ACCOUNT** |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | **MEDIOBANCA**<br>**INTERNATIONAL**<br>**IMMOBILIERE**<br>**(€/000)** |<br>**MB FUNDING**<br>**LUX**<br>**(€/000)** | **POLUS CAPITAL**<br>**MANAGEMENT**<br>**GROUP (\*)**<br>**(€/000)** |
| 10. | Interest and similar income |  | 29737 | 565 |
|  | of which: interest income calculated according to the effective interest method |  |  |  |
| 20. | Interest and similar charges |  | (29737) |  |
| **30.** | **Net interest income** | **—** | **—** | **565** |
| 40. | Commission income |  |  | 47135 |
| 50. | Commission expenses |  |  |  |
| **60.** | **Net fee and commission** | **—** | **—** | **47135** |
| 70. | Dividends and similar income |  |  | 238 |
| 80. | Net trading income (expense) |  |  | (148) |
| 90. | Net hedging income (expense) |  |  |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |  |  |
|  | a) financial assets measured at amortized cost |  |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |
|  | c) financial liabilities |  |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |  | 111 |
|  | a) financial assets and liabilities designated at fair value |  |  |  |
|  | b) other financial assets mandatorily measured at fair value |  |  | 111 |
| **120.** | **Total revenues** | **—** | **—** | **47901** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: |  |  |  |
|  | a) financial assets measured at amortized cost |  |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |  |
| **150.** | **Net income from financial operations** | **—** | **—** | **47901** |
| 160. | Administrative expenses: | (54) | (479) | (35764) |
|  | a) personnel costs |  |  | (26397) |
|  | b) other administrative expenses | (54) | (479) | (9367) |
| 170. | Net transfers to provisions for risks and charges |  |  |  |
|  | a) commitments and guarantees issued |  |  |  |
|  | b) other net provisions |  |  |  |
| 180. | Net value adjustments to /write-backs of tangible assets | (70) |  | (156) |
| 190. | Net value adjustments to /write-backs of intangible assets |  |  | (856) |
| 200. | Other operating income (expense) | 185 | 515 |  |
| **210.** | **Operating costs** | **61** | **36** | **(36776)** |
| 220. | Gains (losses) on equity investments |  |  |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |  |
| 240. | Goodwill write-offs |  |  |  |
| 250. | Gains (losses) on disposal of investments |  |  |  |
| **260.** | **Profit (loss) on ordinary activity before tax** | **61** | **36** | **11125** |
| 270. | Income tax for the year on ordinary operations | (16) | (12) | (3158) |
| **280.** | **Profit (loss) on ordinary activities after tax** | **45** | **24** | **7967** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |  |
| **300.** | **Profit (loss) for the year** | **45** | **24** | **7967** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

Annexed tables \| 653

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  |<br>**CMG MONACO**<br>**S.A.M. (\*)**<br>**(€/000)** | **RAM ACTIVE**<br>**INVESTMENTS**<br>**S.A. (\*)**<br>**(CHF/000)** |
| **ASSETS** | **ASSETS** |  |  |
| 10. | Cash and cash equivalents | 5936 | 5577 |
| 20. | Financial assets measured at fair value through profit or loss |  | 3061 |
|  | a) financial assets held for trading |  | 3061 |
|  | b) financial assets designated at fair value |  |  |
|  | c) other financial assets mandatorily measured at fair value |  |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  |
| 40. | Financial assets measured at amortized cost |  |  |
|  | a) due from banks |  |  |
|  | b) due from financial companies |  |  |
|  | c) due from customers |  |  |
| 50. | Hedging derivatives |  |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |
| 70. | Equity investments |  |  |
| 80. | Tangible assets |  | 871 |
| 90. | Intangible assets |  | 29 |
|  | of which: |  |  |
|  | Goodwill |  |  |
| 100. | Tax assets |  | 104 |
|  | a) current |  | 104 |
|  | b) prepaid |  |  |
| 110. | Non-current assets and asset groups held for sale |  |  |
| 120. | Other assets | 3568 | 6205 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **9504** | **15847** |
| **LIABILITIES** | **LIABILITIES** |  |  |
| 10. | Financial liabilities measured at amortized cost |  | 17 |
|  | a) due to |  |  |
|  | b) securities in issue |  | 17 |
| 20. | Trading financial liabilities |  |  |
| 30. | Financial liabilities designated at fair value |  |  |
| 40. | Hedging derivatives |  |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities |  | 55 |
|  | a) current |  | 55 |
|  | b) deferred |  |  |
| 70. | Liabilities associated with assets held for sale |  |  |
| 80. | Other liabilities | 9001 | 2347 |
| 90. | Provision for statutory end-of-service payments |  |  |
| 100. | Provisions for risks and charges |  |  |
|  | a) commitments and financial guarantees |  |  |
|  | b) post-employment and similar benefits |  |  |
|  | c) other provisions for risks and charges |  |  |
| 110. | Capital | 600 | 1000 |
| 120. | Treasury shares (-) |  | (4424) |
| 130. | Equity instruments |  | 500 |
| 140. | Share premium |  |  |
| 150. | Reserves | (186) | 18866 |
| 160. | Revaluation reserves |  |  |
| 180. | Profit (loss) for the year (+/-) | 89 | (2514) |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **9504** | **15847** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

654 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  |<br>**CMG MONACO**<br>**S.A.M. (\*)**<br>**(€/000)** | **RAM ACTIVE**<br>**INVESTMENTS**<br>**S.A. (\*)**<br>**(CHF/000)** |
| 10. | Interest and similar income |  | 14 |
|  | of which: interest income calculated according to the effective interest method |  |  |
| 20. | Interest and similar charges |  | (1) |
| **30.** | **Net interest income** | **—** | **13** |
| 40. | Commission income | 12402 | 12179 |
| 50. | Commission expenses | (7902) | (2906) |
| **60.** | **Net fee and commission** | **4500** | **9273** |
| 70. | Dividends and similar income |  |  |
| 80. | Net trading income (expense) |  | (7) |
| 90. | Net hedging income (expense) |  |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |  |
|  | a) financial assets measured at amortized cost |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |
|  | c) financial liabilities |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |  |
|  | a) financial assets and liabilities designated at fair value |  |  |
|  | b) other financial assets mandatorily measured at fair value |  |  |
| **120.** | **Total revenues** | **4500** | **9279** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: |  |  |
|  | a) financial assets measured at amortized cost |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |
| **150.** | **Net income from financial operations** | **4500** | **9279** |
| 160. | Administrative expenses: | (4617) | (13936) |
|  | a) personnel costs | (3097) | (10092) |
|  | b) other administrative expenses | (1520) | (3844) |
| 170. | Net transfers to provisions for risks and charges |  |  |
|  | a) commitments and guarantees issued |  |  |
|  | b) other net provisions |  |  |
| 180. | Net value adjustments to /write-backs of tangible assets |  | (280) |
| 190. | Net value adjustments to /write-backs of intangible assets |  | (42) |
| 200. | Other operating income (expense) | 211 | 382 |
| **210.** | **Operating costs** | **(4406)** | **(13876)** |
| 220. | Gains (losses) on equity investments |  |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |
| 240. | Goodwill write-offs |  |  |
| 250. | Gains (losses) on disposal of investments |  | 2207 |
| **260.** | **Profit (loss) on ordinary activity before tax** | **94** | **(2390)** |
| 270. | Income tax for the year on ordinary operations | (5) | (124) |
| **280.** | **Profit (loss) on ordinary activities after tax** | **89** | **(2514)** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |
| **300.** | **Profit (loss) for the year** | **89** | **(2514)** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

Annexed tables \| 655

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Messier et**<br>**Associés S.C.A.**<br>**(\*)**<br>**(€/000)** | **Messier et**<br>**Associés L.L.C.**<br>**(\*)**<br>**(USD/000)** |
| **ASSETS** | **ASSETS** |  |  |
| 10. | Cash and cash equivalents | 4648 | 83 |
| 20. | Financial assets measured at fair value through profit or loss |  |  |
|  | a) financial assets held for trading |  |  |
|  | b) financial assets designated at fair value |  |  |
|  | c) other financial assets mandatorily measured at fair value |  |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  |
| 40. | Financial assets measured at amortized cost |  |  |
|  | a) due from banks |  |  |
|  | b) due from financial companies |  |  |
|  | c) due from customers |  |  |
| 50. | Hedging derivatives |  |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |
| 70. | Equity investments | 801 |  |
| 80. | Tangible assets | 6525 |  |
| 90. | Intangible assets | 17000 |  |
|  | of which: |  |  |
|  | goodwill |  |  |
| 100. | Tax assets | 909 |  |
|  | a) current | 909 |  |
|  | b) prepaid |  |  |
| 110. | Non-current assets and asset groups held for sale |  |  |
| 120. | Other assets | 49893 | 429 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **79776** | **512** |
| **LIABILITIES** | **LIABILITIES** |  |  |
| 10. | Financial liabilities measured at amortized cost | 24242 |  |
|  | a) due to | 24242 |  |
|  | b) securities in issue |  |  |
| 20. | Trading financial liabilities |  |  |
| 30. | Financial liabilities designated at fair value |  |  |
| 40. | Hedging derivatives |  |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities | 5590 |  |
|  | a) current | 5590 |  |
|  | b) deferred |  |  |
| 70. | Liabilities associated with assets held for sale |  |  |
| 80. | Other liabilities | 31646 |  |
| 90. | Provision for statutory end-of-service payments |  |  |
| 100. | Provisions for risks and charges |  |  |
|  | a) commitments and financial guarantees |  |  |
|  | b) post-employment and similar benefits |  |  |
|  | c) other provisions for risks and charges |  |  |
| 110. | Capital | 50 |  |
| 120. | Treasury shares (-) |  |  |
| 130. | Equity instruments |  |  |
| 140. | Share premium | 17732 |  |
| 150. | Reserves | (1677) | 348 |
| 160. | Revaluation reserves |  |  |
| 180. | Profit (loss) for the year (+/-) | 2193 | 164 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **79776** | **512** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

656 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **Messier et associés**<br>**S.C.A. (\*)**<br>**(€/000)** | **Messier et associés**<br>**L.L.C. (\*)**<br>**(USD/000)** |
| 10. | Interest and similar income |  |  |
|  | of which: interest income calculated according to the effective interest method |  |  |
| 20. | Interest and similar charges | (921) |  |
| **30.** | **Net interest income** | **(921)** | **—** |
| 40. | Commission income | 41930 |  |
| 50. | Commission expenses |  |  |
| **60.** | **Net fee and commission** | **41930** | **—** |
| 70. | Dividends and similar income |  |  |
| 80. | Net trading income (expense) | 224 |  |
| 90. | Net hedging income (expense) |  |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |  |
|  | a) financial assets measured at amortized cost |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |
|  | c) financial liabilities |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |  |
|  | a) financial assets and liabilities designated at fair value |  |  |
|  | b) other financial assets mandatorily measured at fair value |  |  |
| **120.** | **Total revenues** | **41233** | **—** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: |  |  |
|  | a) financial assets measured at amortized cost |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |
| **150.** | **Net income from financial operations** | **41233** | **—** |
| 160. | Administrative expenses: | (33296) | (2716) |
|  | a) personnel costs | (26858) | (1449) |
|  | b) other administrative expenses | (6438) | (1267) |
| 170. | Net transfers to provisions for risks and charges |  |  |
|  | a) commitments and guarantees issued |  |  |
|  | b) other net provisions |  |  |
| 180. | Net value adjustments to /write-backs of tangible assets | (1107) |  |
| 190. | Net value adjustments to /write-backs of intangible assets |  |  |
| 200. | Other operating income (expense) | (3905) | 2880 |
| **210.** | **Operating costs** | **(38308)** | **164** |
| 220. | Gains (losses) on equity investments |  |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |
| 240. | Goodwill write-offs |  |  |
| 250. | Gains (losses) on disposal of investments |  |  |
| **260.** | **Profit (loss) on ordinary activity before tax** | **2925** | **164** |
| 270. | Income tax for the year on ordinary operations | (732) |  |
| **280.** | **Profit (loss) on ordinary activities after tax** | **2193** | **164** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |
| **300.** | **Profit (loss) for the year** | **2193** | **164** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

Annexed tables \| 657

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **Arma Partners**<br>**LLP (\*)**<br>**(£/000)** | **Arma Partners**<br>**Ltd. (\*)**<br>**(£/000)** | **Arma Partners**<br>**Gmbh (\*)**<br>**(£/000)** |
| **ASSETS** | **ASSETS** |  |  |  |
| 10. | Cash and cash equivalents | 52629 | 659 | 64 |
| 20. | Financial assets measured at fair value through profit or loss |  |  |  |
|  | a) financial assets held for trading |  |  |  |
|  | b) financial assets designated at fair value |  |  |  |
|  | c) other financial assets mandatorily measured at fair value |  |  |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  |  |
| 40. | Financial assets measured at amortized cost |  |  |  |
|  | a) due from banks |  |  |  |
|  | b) due from financial companies |  |  |  |
|  | c) due from customers |  |  |  |
| 50. | Hedging derivatives |  |  |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |  |
| 70. | Equity investments | 22 |  |  |
| 80. | Tangible assets | 626 |  | 1 |
| 90. | Intangible assets |  |  |  |
|  | of which: |  |  |  |
|  | &nbsp;&nbsp;&nbsp;goodwill |  |  |  |
| 100. | Tax assets |  | 565 | 42 |
|  | a) current |  |  | 40 |
|  | b) prepaid |  | 565 | 2 |
| 110. | Non-current assets and asset groups held for sale |  |  |  |
| 120. | Other assets | 16011 | 6370 | 953 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **69288** | **7594** | **1060** |
| **LIABILITIES** | **LIABILITIES** |  |  |  |
| 10. | Financial liabilities measured at amortized cost |  |  |  |
|  | a) due to |  |  |  |
|  | b) securities in issue |  |  |  |
| 20. | Trading financial liabilities |  |  |  |
| 30. | Financial liabilities designated at fair value |  |  |  |
| 40. | Hedging derivatives |  |  |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |  |
| 60. | Tax liabilities | 236 | 21 | 46 |
|  | a) current | 236 | 21 | 46 |
|  | b) deferred |  |  |  |
| 70. | Liabilities associated with assets held for sale |  |  |  |
| 80. | Other liabilities | 10512 | 6915 | 617 |
| 90. | Provision for statutory end-of-service payments |  |  |  |
| 100. | Provisions for risks and charges |  |  |  |
|  | a) commitments and financial guarantees |  |  |  |
|  | b) post-employment and similar benefits |  |  |  |
|  | c) other provisions for risks and charges |  |  |  |
| 110. | Capital |  |  |  |
| 120. | Treasury shares (-) |  |  |  |
| 130. | Equity instruments |  |  |  |
| 140. | Share premium |  |  |  |
| 150. | Reserves | 21804 | 572 | 311 |
| 160. | Revaluation reserves |  |  |  |
| 180. | Profit (loss) for the year (+/-) | 36736 | 86 | 86 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **69288** | **7594** | **1060** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

658 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
|  |  | **Arma Partners**<br>**LLP (\*)**<br>**(£/000)** | **Arma Partners**<br>**Ltd. (\*)**<br>**(£/000)** | **Arma Partners**<br>**Gmbh (\*)**<br>**(£/000)** |
| **10.** | **Interest and similar income** | 1474 |  |  |
|  | of which: interest income calculated according to the effective interest method |  |  |  |
| 20. | Interest and similar charges |  |  |  |
| **30.** | **Net interest income** | **1474** | **—** | **—** |
| 40. | Commission income | 56414 |  |  |
| 50. | Commission expenses |  |  |  |
| **60.** | **Net fee and commission** | **56414** | **—** | **—** |
| 70. | Dividends and similar income |  |  |  |
| 80. | Net trading income (expense) | (90) |  |  |
| 90. | Net hedging income (expense) |  |  |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |  |  |
|  | a) financial assets measured at amortized cost |  |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |
|  | c) financial liabilities |  |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |  |  |
|  | a) financial assets and liabilities designated at fair value |  |  |  |
|  | b) other financial assets mandatorily measured at fair value |  |  |  |
| **120.** | **Total revenues** | **57798** | **—** | **—** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: |  |  |  |
|  | a) financial assets measured at amortized cost |  |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |  |
| **150.** | **Net income from financial operations** | **57798** | **—** | **—** |
| 160. | Administrative expenses: | (21760) | (16885) | (1555) |
|  | a) personnel costs | (16618) | (16778) | (1289) |
|  | b) other administrative expenses | (5142) | (107) | (266) |
| 170. | Net transfers to provisions for risks and charges |  |  |  |
|  | a) commitments and guarantees issued |  |  |  |
|  | b) other net provisions |  |  |  |
| 180. | Net value adjustments to /write-backs of tangible assets | (203) |  |  |
| 190. | Net value adjustments to /write-backs of intangible assets |  |  |  |
| 200. | Other operating income (expense) | 901 | 16951 | 1673 |
| **210.** | **Operating costs** | **(21062)** | **66** | **118** |
| 220. | Gains (losses) on equity investments |  |  |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |  |
| 240. | Goodwill write-offs |  |  |  |
| 250. | Gains (losses) on disposal of investments |  |  |  |
| **260.** | **Profit (loss) on ordinary activity before tax** | **36736** | **66** | **118** |
| 270. | Income tax for the year on ordinary operations |  | 20 | (32) |
| **280.** | **Profit (loss) on ordinary activities after tax** | **36736** | **86** | **86** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |  |
| **300.** | **Profit (loss) for the year** | **36736** | **86** | **86** |

---

<sup>(\*)</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

Annexed tables \| 659

---

| | |
|:---|:---|
| **Other Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |<br>**MBFACTA**<br>**(€/000)** |<br>**SPAFID**<br>**(€/000)** | **SPAFID**<br>**FAMILY**<br>**OFFICE SIM**<br>**(€/000)** |<br>**SPAFID**<br>**TRUST**<br>**(€/000)** | **MEDIOBANCA**<br>**MANAGEMENT**<br>**COMPANY**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |  |  |  |  |
| **10.** | **Cash and cash equivalents** | 29607 | 14662 | 40 | 775 | 8054 |
| 20. | Financial assets measured at fair value through profit or loss |  |  |  |  |  |
|  | a) financial assets held for trading |  |  |  |  |  |
|  | b) financial assets designated at fair value |  |  |  |  |  |
|  | c) other financial assets mandatorily measured at fair |  |  |  |  |  |
|  | value |  |  |  |  |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  |  |  |  |
| 40. | Financial assets measured at amortized cost | 2952090 | 7295 |  | 566 | 7930 |
|  | a) due from banks | 2605 | 3192 |  |  |  |
|  | b) due from financial companies | 220286 | 6 |  | 566 | 7930 |
|  | c) due from customers | 2729199 | 4097 |  |  |  |
| 50. | Hedging derivatives |  |  |  |  |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |  |  |  |
| 70. | Equity investments |  | 1651 |  |  |  |
| 80. | Tangible assets | 1011 | 1061 | 72 |  | 98 |
| 90. | Intangible assets |  | 286 | 87 |  |  |
|  | of which: |  |  |  |  |  |
|  | goodwill |  |  |  |  |  |
| 100. | Tax assets | 4131 | 783 | 271 | 63 |  |
|  | a) current | 3040 |  | 17 | 6 |  |
|  | b) prepaid | 1091 | 783 | 254 | 57 |  |
| 110. | Non-current assets and asset groups held for sale |  |  |  |  |  |
| 120. | Other assets | 169903 | 22750 | 246 | 12 | 127 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **3156742** | **48488** | **716** | **1416** | **16209** |
| **LIABILITIES** | **LIABILITIES** |  |  |  |  |  |
| 10. | Financial liabilities measured at amortized cost | 2891132 | 1062 | 74 | 123 | 8111 |
|  | a) due to | 2891132 | 1062 | 74 | 123 | 8111 |
|  | b) securities in issue |  |  |  |  |  |
| 20. | Trading financial liabilities |  |  |  |  |  |
| 30. | Financial liabilities designated at fair value |  |  |  |  |  |
| 40. | Hedging derivatives |  |  |  |  |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |  |  |  |
| 60. | Tax liabilities | 3148 | 10 | 1 | 15 |  |
|  | a) current | 3101 | 10 |  | 15 |  |
|  | b) deferred | 47 |  | 1 |  |  |
| 70. | Liabilities associated with assets held for sale |  |  |  |  |  |
| 80. | Other liabilities | 22991 | 5891 | 341 | 88 | 254 |
| 90. | Provision for statutory end-of-service payments | 183 | 775 |  | 38 |  |
| 100. | Provisions for risks and charges | 1195 |  |  |  | 61 |
|  | a) commitments and financial guarantees | 180 |  |  |  |  |
|  | b) post-employment and similar benefits |  |  |  |  |  |
|  | c) other provisions for risks and charges | 1015 |  |  |  | 61 |
| 110. | Capital | 120000 | 6100 | 1000 | 500 | 500 |
| 120. | Treasury shares (-) |  |  |  |  |  |
| 130. | Equity instruments |  |  |  |  |  |
| 140. | Share premium |  | 3500 |  |  |  |
| 150. | Reserves | 95893 | 31501 | (156) | 605 | 7827 |
| 160. | Revaluation reserves | 89 | (12) | 4 |  |  |
| 170. | Profit (loss) for the year (+/-) | 22111 | (339) | (548) | 47 | (544) |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **3156742** | **48488** | **716** | **1416** | **16209** |

---

660 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Other Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | |<br>**MBFACTA**<br>**(€/000)** |<br>**SPAFID**<br>**(€/000)** | **SPAFID**<br>**FAMILY**<br>**OFFICE SIM**<br>**(€/000)** |<br>**SPAFID**<br>**TRUST**<br>**(€/000)** | **MEDIOBANCA**<br>**MANAGEMENT**<br>**COMPANY**<br>**(€/000)** |
| 10. | Interest and similar income | 135331 | 774 | 2 |  |  |
|  | of which: interest income calculated according to the effective interest method | 135331 |  |  |  |  |
| 20. | Interest and similar charges | (93902) | (28) | (3) |  |  |
| **30.** | **Net interest income** | **41429** | **746** | **(1)** | **—** | **—** |
| 40. | Commission income | 15356 | 8417 | 918 | 910 | 11414 |
| 50. | Commission expenses | (8556) | (95) | (20) |  |  |
| **60.** | **Net fee and commission** | **6800** | **8322** | **898** | **910** | **11414** |
| 70. | Dividends and similar income |  |  |  |  |  |
| 80. | Net trading income (expense) | (56) |  |  |  |  |
| 90. | Net hedging income (expense) |  |  |  |  |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |  |  |  |  |
|  | a) financial assets measured at amortized cost |  |  |  |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |  |  |
|  | c) financial liabilities |  |  |  |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |  |  |  |  |
|  | a) financial assets and liabilities designated at fair value |  |  |  |  |  |
|  | b) other financial assets mandatorily measured at fair value |  |  |  |  |  |
| **120.** | **Total revenues** | **48173** | **9068** | **897** | **910** | **11414** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: | 700 | 29 | (35) |  |  |
|  | a) financial assets measured at amortized cost | 700 | 29 | (35) |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |  |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |  |  |  |
| **150.** | **Net income from financial operations** | **48873** | **9097** | **862** | **910** | **11414** |
| 160. | Administrative expenses: | (15763) | (8335) | (1529) | (855) | (10634) |
|  | a) personnel costs | (5961) | (4893) | (1015) | (242) | (1178) |
|  | b) other administrative expenses | (9802) | (3442) | (514) | (613) | (9456) |
| 170. | Net transfers to provisions for risks and charges | (609) |  |  |  |  |
|  | a) commitments and guarantees issued | (109) |  |  |  |  |
|  | b) other net provisions | (500) |  |  |  |  |
| 180. | Net value adjustments to /write-backs of tangible assets | (239) | (271) | (25) |  | (9) |
| 190. | Net value adjustments to /write-backs of intangible assets |  | (294) | (27) |  |  |
| 200. | Other operating income (expense) | 376 | 88 |  | 13 | (1313) |
| **210.** | **Operating costs** | **(16235)** | **(8812)** | **(1581)** | **(842)** | **(11956)** |
| 220. | Gains (losses) on equity investments |  | (549) |  |  |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |  |  |  |
| 240. | Goodwill write-offs |  |  |  |  |  |
| 250. | Gains (losses) on disposal of investments |  |  |  |  |  |
| **260.** | **Profit (loss) on ordinary activity before tax** | **32638** | **(264)** | **(719)** | **68** | **(542)** |
| 270. | Income tax for the year on ordinary operations | (10527) | (75) | 171 | (21) | (2) |
| **280.** | **Profit (loss) on ordinary activities after tax** | **22111** | **(339)** | **(548)** | **47** | **(544)** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |  |  |  |
| **300.** | **Profit (loss) for the year** | **22111** | **(339)** | **(548)** | **47** | **(544)** |

---

Annexed tables \| 661

---

| | |
|:---|:---|
| **Other Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**SGR S.p.A**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |
| 10. | Cash and cash equivalents | 8608 |
| 20. | Financial assets measured at fair value through profit or loss |  |
|  | a) financial assets held for trading |  |
|  | b) financial assets designated at fair value |  |
|  | c) other financial assets mandatorily measured at fair value |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |
| 40. | Financial assets measured at amortized cost | 63407 |
|  | a) due from banks |  |
|  | b) due from financial companies |  |
|  | c) due from customers | 63407 |
| 50. | Hedging derivatives |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |
| 70. | Equity investments |  |
| 80. | Tangible assets | 1159 |
| 90. | Intangible assets | 51 |
|  | of which: |  |
|  | Goodwill |  |
| 100. | Tax assets | 28 |
|  | a) current |  |
|  | b) prepaid | 28 |
| 110. | Non-current assets and asset groups held for sale |  |
| 120. | Other assets | 6012 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **79265** |
| **LIABILITIES** | **LIABILITIES** |  |
| 10. | Financial liabilities measured at amortized cost | 6715 |
|  | a) due to | 6715 |
|  | b) securities in issue |  |
| 20. | Trading financial liabilities |  |
| 30. | Financial liabilities designated at fair value |  |
| 40. | Hedging derivatives |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |
| 60. | Tax liabilities | 161 |
|  | a) current | 73 |
|  | b) deferred | 88 |
| 70. | Liabilities associated with assets held for sale |  |
| 80. | Other liabilities | 7990 |
| 90. | Provision for statutory end-of-service payments | 309 |
| 100. | Provisions for risks and charges |  |
|  | a) commitments and financial guarantees |  |
|  | b) post-employment and similar benefits |  |
|  | c) other provisions for risks and charges |  |
| 110. | Capital | 10330 |
| 120. | Treasury shares (-) |  |
| 130. | Equity instruments |  |
| 140. | Share premium |  |
| 150. | Reserves | 44039 |
| 160. | Revaluation reserves | 150 |
| 170. | Profit (loss) for the year (+/-) | 9571 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **79265** |

---

662 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Other Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**SGR S.p.A**<br>**(€/000)** |
| 10. | Commission income | 50646 |
| 20. | Commission expenses | (18956) |
| **30.** | **Net fee and commission** | **31690** |
| 40. | Dividends and similar income |  |
| 50. | Interest and similar income | 1913 |
|  | of which: interest income calculated according to the effective interest method |  |
| 60. | Interest and similar charges | (56) |
| 70. | Net trading income (expense) |  |
| 80. | Net hedging income (expense) |  |
| 90. | Gains (losses) on disposal/repurchase of: |  |
|  | a) financial assets measured at amortized cost |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |
|  | c) financial liabilities |  |
| 100. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |
|  | a) financial assets and liabilities designated at fair value |  |
|  | b) other financial assets mandatorily measured at fair value |  |
| **110.** | **Total revenues** | **33547** |
| 120. | Net value adjustments (write-backs) for credit risk relating to: | (331) |
|  | a) financial assets measured at amortized cost | (331) |
|  | b) financial assets measured at fair value through other comprehensive income |  |
| **130.** | **Net income from financial operations** | **33216** |
| 140. | Administrative expenses: | (19255) |
|  | a) personnel costs | (10787) |
|  | b) other administrative expenses | (8468) |
| 150. | Net transfers to provisions for risks and charges | 50 |
| 160. | Net value adjustments to /write-backs of tangible assets | (348) |
| 170. | Net value adjustments to /write-backs of intangible assets | (26) |
| 180. | Other operating income (expense) | (33) |
| **190.** | **Operating costs** | **(19612)** |
| 200. | Gains (losses) on equity investments |  |
| 210. | Net income from fair value measurement of tangible and intangible assets |  |
| 220. | Goodwill write-offs |  |
| 230. | Gains (losses) on disposal of investments |  |
| **240.** | **Profit (loss) on ordinary activities before tax** | **13604** |
| 250. | Income tax for the year on ordinary operations | (4033) |
| **260.** | **Profit (loss) on ordinary activities after tax** | **9571** |
| 270. | Gains (losses) of ceded operating assets, after tax |  |
| **280.** | **Profit (loss) for the year** | **9571** |

---

Annexed tables \| 663

---

| | |
|:---|:---|
| **Other Financial companies (IAS/IFRS)** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**COVERED BOND**<br>**(€/000)** |<br>**QUARZO S.r.l.**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |  |
| 10. | Cash and cash equivalents | 103 | 10 |
| 20. | Financial assets measured at fair value through profit or loss |  |  |
|  | a) financial assets held for trading |  |  |
|  | b) financial assets designated at fair value |  |  |
|  | c) other financial assets mandatorily measured at fair value |  |  |
| 30. | Financial assets measured at fair value through other comprehensive income |  |  |
| 40. | Financial assets measured at amortized cost |  |  |
|  | a) due from banks |  |  |
|  | b) due from financial companies |  |  |
|  | c) due from customers |  |  |
| 50. | Hedging derivatives |  |  |
| 60. | Value adjustment to generic hedging financial assets (+/-) |  |  |
| 70. | Equity investments |  |  |
| 80. | Tangible assets |  |  |
| 90. | Intangible assets |  |  |
|  | of which: |  |  |
|  | goodwill |  |  |
| 100. | Tax assets |  | 1 |
|  | a) current |  | 1 |
|  | b) prepaid |  |  |
| 110. | Non-current assets and asset groups held for sale |  |  |
| 120. | Other assets | 806 | 669 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **909** | **680** |
| **LIABILITIES** | **LIABILITIES** |  |  |
| 10. | Financial liabilities measured at amortized cost |  |  |
|  | a) due to |  |  |
|  | b) securities in issue |  |  |
| 20. | Trading financial liabilities |  |  |
| 30. | Financial liabilities designated at fair value |  |  |
| 40. | Hedging derivatives |  |  |
| 50. | Value adjustment to generic hedging financial liabilities (+/-) |  |  |
| 60. | Tax liabilities |  |  |
|  | a) current |  |  |
|  | b) deferred |  |  |
| 70. | Liabilities associated with assets held for sale |  |  |
| 80. | Other liabilities | 830 | 667 |
| 90. | Provision for statutory end-of-service payments |  |  |
| 100. | Provisions for risks and charges |  |  |
|  | a) commitments and financial guarantees |  |  |
|  | b) post-employment and similar benefits |  |  |
|  | c) other provisions for risks and charges |  |  |
| 110. | Capital | 100 | 10 |
| 120. | Treasury shares (-) |  |  |
| 130. | Equity instruments |  |  |
| 140. | Share premium |  |  |
| 150. | Reserves | (24) | 3 |
| 160. | Revaluation reserves |  |  |
| 170. | Profit (loss) for the year (+/-) | 3 |  |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **909** | **680** |

---

664 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Other Financial companies (IAS/IFRS)** | continued **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |  | **MEDIOBANCA**<br>**COVERED BOND**<br>**(€/000)** |<br>**QUARZO S.r.l.**<br>**(€/000)** |
| 10. | Interest and similar income | 4 |  |
|  | of which: interest income calculated according to the effective interest method |  |  |
| 20. | Interest and similar charges |  |  |
| **30.** | **Net interest income** | **4** | **—** |
| 40. | Commission income |  |  |
| 50. | Commission expenses |  |  |
| **60.** | **Net fee and commission** | **—** | **—** |
| 70. | Dividends and similar income |  |  |
| 80. | Net trading income (expense) |  |  |
| 90. | Net hedging income (expense) |  |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |  |
|  | a) financial assets measured at amortized cost |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |
|  | c) financial liabilities |  |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |  |
|  | a) financial assets and liabilities designated at fair value |  |  |
|  | b) other financial assets mandatorily measured at fair value |  |  |
| **120.** | **Total revenues** | **4** | **—** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: |  |  |
|  | a) financial assets measured at amortized cost |  |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |  |
| **150.** | **Net income from financial operations** | **4** | **—** |
| 160. | Administrative expenses: | (78) | (242) |
|  | a) personnel costs |  | (36) |
|  | b) other administrative expenses | (78) | (206) |
| 170. | Net transfers to provisions for risks and charges |  |  |
|  | a) commitments and guarantees issued |  |  |
|  | b) other net provisions |  |  |
| 180. | Net value adjustments to /write-backs of tangible assets |  |  |
| 190. | Net value adjustments to /write-backs of intangible assets |  |  |
| 200. | Other operating income (expense) | 78 | 244 |
| **210.** | **Operating costs** | **—** | **2** |
| 220. | Gains (losses) on equity investments |  |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |  |
| 240. | Goodwill write-offs |  |  |
| 250. | Gains (losses) on disposal of investments |  |  |
| **260.** | **Profit (loss) on ordinary activities before tax** | **4** | **2** |
| 270. | Income tax for the year on ordinary operations | (1) | (2) |
| **280.** | **Profit (loss) on ordinary activities after tax** | **3** | **—** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |  |
| **300.** | **Profit (loss) for the year** | **3** | **—** |

---

Annexed tables \| 665

---

| | |
|:---|:---|
| **Banks** | continued **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **CMB MONACO S.A.M**<br>**31.12.2023**<br>**(€/000)** |
| **ASSETS** | **ASSETS** |  |
| 10. | Cash and cash equivalents | 163805 |
| 20. | Financial assets measured at fair value through profit or loss |  |
|  | a) financial assets held for trading |  |
|  | b) financial assets designated at fair value |  |
|  | c) other financial assets mandatorily measured at fair value |  |
| 30. | Financial assets measured at fair value through other comprehensive income | 976384 |
| 40. | Financial assets measured at amortized cost | 7457387 |
|  | a) due from banks | 4641576 |
|  | b) due from customers | 2815811 |
| 70. | Equity investments | 55530 |
| 80. | Tangible assets | 91892 |
| 90. | Intangible assets | 19628 |
| 100. | Tax assets |  |
|  | a) current |  |
|  | b) prepaid |  |
| 110. | Non-current assets and asset groups held for sale |  |
| 120. | Other assets | 123328 |
| **TOTAL ASSETS** | **TOTAL ASSETS** | **8887954** |
| **LIABILITIES** | **LIABILITIES** |  |
| 10. | Financial liabilities measured at amortized cost | 7607668 |
|  | a) due to banks | 1920375 |
|  | b) due to customers | 5687293 |
|  | c) securities in issue |  |
| 20. | Trading financial liabilities |  |
| 30. | Financial liabilities designated at fair value |  |
| 40. | Hedging derivatives |  |
| 60. | Tax liabilities |  |
|  | a) current |  |
|  | b) deferred |  |
| 80. | Other liabilities | 170131 |
| 90. | Provision for statutory end-of-service payments |  |
| 100. | Provisions for risks and charges | 29402 |
|  | a) commitments and financial guarantees |  |
|  | b) post-employment and similar benefits |  |
|  | c) other provisions for risks and charges | 29402 |
| 110. | Revaluation reserves |  |
| 120. | Redeemable shares |  |
| 130. | Equity instruments |  |
| 140. | Reserves | 907656 |
| 150. | Share premium | 4573 |
| 160. | Capital | 111110 |
| 170. | Treasury shares (-) |  |
| 180. | Profit (loss) for the year (+/-) | 57414 |
| **TOTAL LIABILITIES AND NET EQUITY** | **TOTAL LIABILITIES AND NET EQUITY** | **8887954** |

---

666 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Banks** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | |
|:---|:---|:---|
|  |  | **CMB MONACO**<br>**S.A.M 31.12.2023**<br>**(€'000)** |
| 10. | Interest and similar income | 314381 |
|  | of which: interest income calculated according to the effective interest method |  |
| 20. | Interest and similar charges | (203834) |
| **30.** | **Net interest income** | **110547** |
| 40. | Commission income | 72772 |
| 50. | Commission expenses | (4421) |
| **60.** | **Net fee and commission** | **68351** |
| 70. | Dividends and similar income | 24 |
| 80. | Net trading income (expense) | 378 |
| 90. | Net hedging income (expense) |  |
| 100. | Gains (losses) on disposal/repurchase of: |  |
|  | a) financial assets measured at amortized cost |  |
|  | b) financial assets measured at fair value through other comprehensive income |  |
|  | c) financial liabilities |  |
| 110. | Net income from other financial assets and liabilities measured at fair value through profit or loss |  |
|  | a) financial assets and liabilities designated at fair value |  |
|  | b) other financial assets mandatorily measured at fair value |  |
| **120.** | **Total revenues** | **179300** |
| 130. | Net value adjustments (write-backs) for credit risk relating to: | (2330) |
|  | a) financial assets measured at amortized cost | (2330) |
|  | b) financial assets measured at fair value through other comprehensive income |  |
| 140. | Gains (losses) from contractual modifications without derecognition |  |
| **150.** | **Net income from financial operations** | **176970** |
| 160. | Administrative expenses: | (81836) |
|  | a) personnel costs | (52410) |
|  | b) other administrative expenses | (29426) |
| 170. | Net transfers to provisions for risks and charges | (11378) |
|  | a) commitments and guarantees issued |  |
|  | b) other net provisions | (11378) |
| 180. | Net value adjustments to /write-backs of tangible assets | (4702) |
| 190. | Net value adjustments to /write-backs of intangible assets | (11378) |
| 200. | Other operating expense / income | 9129 |
| **210.** | **Operating costs** | **(100165)** |
| 220. | Gains (losses) on equity investments |  |
| 230. | Net income from fair value measurement of tangible and intangible assets |  |
| 240. | Goodwill write-offs |  |
| 250. | Gains (losses) on disposal of investments |  |
| **260.** | **Profit (loss) on ordinary operations before tax** | **76805** |
| 270. | Income tax for the year on ordinary operations | (19391) |
| **280.** | **Profit (loss) on ordinary operations after tax** | **57414** |
| 290. | Gains (losses) of ceded operating assets, after tax |  |
| **350.** | **Profit (loss) for the year** | **57414** |

---

Annexed tables \| 667

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **MEDIOBANCA<br> SECURITIES LLC <br> ($'000)** |
| **ASSETS** | |
| 10. Cash and cash equivalents |  |
| 20. Financial assets measured at fair value through profit or loss |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets held for trading* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) financial assets designated at fair value* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;c) *other financial assets mandatorily measured at fair value* | *—* |
| 30. Financial assets measured at fair value through other comprehensive income |  |
| 40. Financial assets measured at amortized cost | 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) due from banks* | *300* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) due from financial companies* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*c) due from customers* | *—* |
| 50. Hedging derivatives |  |
| 60. Value adjustment to generic hedging financial assets (+/-) |  |
| 70. Equity investments |  |
| 80. Tangible assets | 78 |
| 90. Intangible assets |  |
| &nbsp;&nbsp;&nbsp;&nbsp;of which: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;goodwill |  |
| 100. Tax assets | 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) current* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) prepaid* | *155* |
| 110. Non-current assets and asset groups held for sale |  |
| 120. Other assets | 7684 |
| **TOTAL ASSETS** | **8217** |
| **LIABILITIES** |  |
| 10. Financial liabilities measured at amortized cost | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) due to* | *37* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) securities in issue* | *—* |
| 20. Trading financial liabilities |  |
| *30. Financial liabilities designated at fair value* |  |
| 40. Hedging derivatives |  |
| 50. Value adjustment to generic hedging financial liabilities (+/-) |  |
| 60. Tax liabilities |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) current* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) deferred* | *—* |
| 70. Liabilities associated with assets held for sale |  |
| 80. Other liabilities | 1889 |
| 90. Provision for statutory end-of-service payments |  |
| 100. Provisions for risks and charges |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) commitments and financial guarantees* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) post-employment and similar benefits* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*c) other provisions for risks and charges* | *—* |
| 110. Capital | 2250 |
| 120. Treasury shares (-) |  |
| 130. Equity instruments |  |
| 140. Share premium |  |
| 150. Reserves | 4018 |
| 160. Revaluation reserves |  |
| 180. Profit (loss) for the year (+/-) | 23 |
| **TOTAL LIABILITIES AND NET EQUITY** | **8217** |

---

668 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **MEDIOBANCA<br> SECURITIES LLC**<br> **($'000** |
| 10. Interest and similar income |  |
| &nbsp;&nbsp;&nbsp;*of which: interest income calculated according to the effective interest method* | *—* |
| 20. Interest and similar charges |  |
| **30. Net interest income** | **—** |
| 40. Commission income | 2965 |
| 50. Commission expenses |  |
| **60. Net fee and commission** | **2965** |
| 70. Dividends and similar income | 165 |
| 80. Net trading income (expense) |  |
| 90. Net hedging income (expense) |  |
| 100. Gains (losses) on disposal/repurchase of: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets measured at amortized cost* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) financial assets measured at fair value through other comprehensive income* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*c) financial liabilities* | *—* |
| 110. Net income from other financial assets and liabilities measured at fair value through profit or loss |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets and liabilities designated at fair value* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) other financial assets mandatorily measured at fair value* | *—* |
| **120. Total revenues** | **3130** |
| 130. Net value adjustments (write-backs) for credit risk relating to: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets measured at amortized cost* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) financial assets measured at fair value through other comprehensive income* | *—* |
| 140. Gains (losses) from contractual modifications without derecognition |  |
| **150. Net income from financial operations** | **3130** |
| 160. Administrative expenses: | (3747) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) personnel costs* | *(2465)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) other administrative expenses* | *(1282)* |
| 170. Net transfers to provisions for risks and charges |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) commitments and guarantees issued* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) other net provisions* | *—* |
| 180. Net value adjustments to /write-backs of tangible assets |  |
| 190. Net value adjustments to /write-backs of intangible assets |  |
| 200. Other operating income (expense) | 640 |
| **210. Operating costs** | **(3107)** |
| 220. Gains (losses) on equity investments |  |
| 230. Net income from fair value measurement of tangible and intangible assets |  |
| 240. Goodwill write-offs |  |
| 250. Gains (losses) on disposal of investments |  |
| **260. Profit (loss) on ordinary activities before tax** | **23** |
| 270. Income tax for the year on ordinary operations |  |
| **280. Profit (loss) on ordinary activities after tax** | **23** |
| 290. Gains (losses) of ceded operating assets, after tax |  |
| **350. Profit (loss) for the year** | **23** |

---

Annexed Tables \| 669

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **CMG MONACO<br> S.A.M. 31.12.2023<br> (€'000)** |
| **ASSETS** | |
| 10. Cash and cash equivalents | 7545 |
| 20. Financial assets measured at fair value through profit or loss |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets held for trading* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) financial assets designated at fair value* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*c) other financial assets mandatorily measured at fair value* | *—* |
| 30. Financial assets measured at fair value through other comprehensive income | 389 |
| 40. Financial assets measured at amortized cost |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) due from banks* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) due from financial companies* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*c) due from customers* | *—* |
| 50. Hedging derivatives |  |
| 60. Value adjustment to generic hedging financial assets (+/-) |  |
| 70. Equity investments |  |
| 80. Tangible assets |  |
| 90. Intangible assets |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*of which:* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*goodwill* | *—* |
| 100. Tax assets | 839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) current* | *839* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) prepaid* | *—* |
| 110. Non-current assets and asset groups held for sale |  |
| 120. Other assets | 2758 |
| **TOTAL ASSETS** | **11531** |
| **LIABILITIES** |  |
| 10. Financial liabilities measured at amortized cost |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) due to* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) securities in issue* | *—* |
| 20. Trading financial liabilities |  |
| *30. Financial liabilities designated at fair value* |  |
| 40. Hedging derivatives |  |
| 50. Value adjustment to generic hedging financial liabilities (+/-) |  |
| 60. Tax liabilities |  |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) current* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) deferred* | *—* |
| 70. Liabilities associated with assets held for sale |  |
| 80. Other liabilities | 10858 |
| 90. Provision for statutory end-of-service payments |  |
| 100. Provisions for risks and charges |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) commitments and financial guarantees* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) post-employment and similar benefits* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*c) other provisions for risks and charges* | *—* |
| 110. Capital | 600 |
| 120. Treasury shares (-) |  |
| 130. Equity instruments |  |
| 140. Share premium |  |
| 150. Reserves | 58 |
| 160. Revaluation reserves |  |
| 180. Profit (loss) for the year (+/-) | 15 |
| **TOTAL LIABILITIES AND NET EQUITY** | **11531** |

---

670 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **CMG MONACO<br> S.A.M. 31.12.2023<br> (€'000)** |
| 10. Interest and similar income |  |
| &nbsp;&nbsp;&nbsp;*of which: interest income calculated according to the effective interest method* | *—* |
| 20. Interest and similar charges |  |
| **30. Net interest income** | **—** |
| 40. Commission income | 5917 |
| 50. Commission expenses |  |
| **60. Net fee and commission** | **5917** |
| 70. Dividends and similar income |  |
| 80. Net trading income (expense) |  |
| 90. Net hedging income (expense) |  |
| 100. Gains (losses) on disposal/repurchase of: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets measured at amortized cost* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) financial assets measured at fair value through other comprehensive income* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*c) financial liabilities* | *—* |
| 110. Net income from other financial assets and liabilities measured at fair value through profit or loss |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets and liabilities designated at fair value* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) other financial assets mandatorily measured at fair value* | *—* |
| **120. Total revenues** | **5917** |
| 130. Net value adjustments (write-backs) for credit risk relating to: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) financial assets measured at amortized cost* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) financial assets measured at fair value through other comprehensive income* | *—* |
| 140. Gains (losses) from contractual modifications without derecognition |  |
| **150. Net income from financial operations** | **5917** |
| 160. Administrative expenses: | (5875) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) personnel costs* | *(2673)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) other administrative expenses* | *(3202)* |
| 170. Net transfers to provisions for risks and charges |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) commitments and guarantees issued* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*b) other net provisions* | *—* |
| 180. Net value adjustments to /write-backs of tangible assets |  |
| 190. Net value adjustments to /write-backs of intangible assets |  |
| 200. Other operating income (expense) | (22) |
| **210. Operating costs** | **(5897)** |
| 220. Gains (losses) on equity investments |  |
| 230. Net income from fair value measurement of tangible and intangible assets |  |
| 240. Goodwill write-offs |  |
| 250. Gains (losses) on disposal of investments |  |
| **260. Profit (loss) on ordinary activities before tax** | **20** |
| 270. Income tax for the year on ordinary operations | (5) |
| **280. Profit (loss) on ordinary activities after tax** | **15** |
| 290. Gains (losses) of ceded operating assets, after tax |  |
| **350. Profit (loss) for the year** | **15** |

---

Annexed Tables \| 671

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  | **POLUS CAPITAL <br> MANAGEMENT <br> GROUP LTD <br> 31.12.2023 <br> (£'000)** | **POLUS CAPITAL <br> MANAGEMENT <br> LTD 31.12.2023 <br> (£'000)** |
| **ASSETS** | | |
| **Non-Current Assets** | | |
| Intangible assets | 61915 |  |
| Tangible assets | 239 |  |
| Equity investments | 3047 |  |
| **Total Non-Current Assets** | **65201** | **—** |
| **Current Assets** |  |  |
| Trade Receivables | 19684 | 11517 |
| Cash and cash equivalents | 28117 | 19419 |
| Other assets |  |  |
| **Total Current Assets** | **47801** | **30936** |
| **TOTAL ASSETS** | **113002** | **30936** |
| **LIABILITIES** |  |  |
| Share capital |  | 13200 |
| Share-premium reserve | 82858 |  |
| Legal reserve |  |  |
| Reserves | 2778 |  |
| Gains (losses) carried forward | 5769 | 4272 |
| Gain/(loss) for the period | (4863) | 7397 |
| **Total net equity** | **86542** | **24869** |
| Trade and tax payables | 13703 | 5067 |
| Financial liabilities |  | 1000 |
| Other liabilities and provisions | 12757 |  |
| **Total Current Liabilities** | **26460** | **6067** |
| **TOTAL LIABILITIES AND NET EQUITY** | **113002** | **30936** |

---

672 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | |
|:---|:---|:---|
|  | **POLUS CAPITAL <br> MANAGEMENT <br> GROUP LTD <br> 31.12.2023 <br> (£'000)** | **POLUS CAPITAL <br> MANAGEMENT <br> LTD 31.12.2023 <br> (£'000)** |
| Commission income | 7141 | 35468 |
| Dividends and similar income | 192 |  |
| **Revenues** | **7333** | **35468** |
| Administrative expenses | (5030) | (25923) |
| &nbsp;&nbsp;&nbsp;&nbsp;*a) personnel costs* | *(4068)* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;*b) other administrative expenses* | *(962)* | *(25923)* |
| Other operating income (expense) | 34 | (107) |
| Net trading income (expense) | (8099) |  |
| **Operating income** | **(5762)** | **9438** |
| Interest and similar income | 235 | 319 |
| Interest and similar charges |  | (100) |
| **Profit (loss) before taxes** | **(5527)** | **9657** |
| Current income tax for the year | 664 | (2260) |
| **Profit (loss) for the period** | **(4863)** | **7397** |

---

Annexed Tables \| 673

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **RAM ACTIVE <br> INVESTMENTS S.A. <br> 31/12/2023 <br> (CHF'000)** |
| **ASSETS** | |
| **Non-Current Assets** | |
| Intangible assets | 45 |
| Tangible assets | 1024 |
| Equity investments | 3046 |
| **Total Non-Current Assets** | **4115** |
| **Current Assets** |  |
| Trade Receivables | 5537 |
| Cash and cash equivalents | 6967 |
| Other assets | 2556 |
| **Total Current Assets** | **15060** |
| **TOTAL ASSETS** | **19175** |
| **LIABILITIES** |  |
| Share capital | 1000 |
| Retained earnings under articles of association | 500 |
| Treasury shares | (4424) |
| Revaluation reserve |  |
| Legal reserve |  |
| Reserves | 1021 |
| Equity instruments | 500 |
| Profit (loss) carried forward | 20248 |
| Profit (loss) for the period | (2940) |
| **Total net equity** | **15905** |
| Trade payables | 600 |
| Due to Group companies |  |
| Tax liabilities | 37 |
| Other liabilities | 2633 |
| **Total Current Liabilities** | **3270** |
| **TOTAL LIABILITIES AND NET EQUITY** | **19175** |

---

674 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **RAM ACTIVE<br> INVESTMENTS S.A. <br> 31/12/2023 <br> (CHF'000)** |
| Revenues | 11196 |
| Personnel costs | (10016) |
| Other administrative expenses | (3579) |
| **Operating income** | **(2399)** |
| Depreciation of tangible assets and other adjustments | (196) |
| Interest and similar income | 17 |
| Interest and similar charges | (281) |
| Other non-operating income | 60 |
| Other non-operating costs | 2207 |
| **Profit (loss) before taxes** | **(2799)** |
| Current income tax for the year | (141) |
| **Profit (loss) for the period** | **(2940)** |

---

Annexed Tables \| 675

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | | |
|:---|:---|:---|
|  | **Messier et Associés <br> S.C.A. 31/12/2023 <br> (€'000)** | **Messier et Associés <br> L.L.C. 31/12/2023 <br> (USD '000)** |
| **ASSETS** | | |
| **Non-Current Assets** | | |
| Intangible assets | 17050 |  |
| Tangible assets | 1511 |  |
| Equity investments | 1268 |  |
| **Total Non-Current Assets** | **19829** | **—** |
| **Current Assets** |  |  |
| Trade Receivables | 36374 |  |
| Cash and cash equivalents | 3413 | 51 |
| Financial assets held for trading | 5544 |  |
| Other assets | 818 | 400 |
| **Total Current Assets** | **46149** | **451** |
| **TOTAL ASSETS** | **65978** | **451** |
| **LIABILITIES** |  |  |
| Share capital | 17782 | 243 |
| Treasury shares |  |  |
| Revaluation reserve |  |  |
| Legal reserve | 5 |  |
| Reserves |  |  |
| Equity instruments |  |  |
| Profit (loss) carried forward |  | 7 |
| Profit (loss) for the period | 4660 | 191 |
| **Total net equity** | **22447** | **441** |
| Due to employees |  | 10 |
| Trade receivables (current accounts) | 25555 |  |
| Due to Group companies |  |  |
| Tax liabilities | 13950 |  |
| Other liabilities | 4026 |  |
| **Total Current Liabilities** | **43531** | **10** |
| **TOTAL LIABILITIES AND NET EQUITY** | **65978** | **451** |

---

676 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | |
|:---|:---|:---|
|  | **Messier et Associés**<br>**S.C.A.**<br>**31/12/2023**<br>**(€'000)** | **Messier et Associés**<br>**L.L.C.**<br>**31/12/2023**<br>**(USD'000)** |
| Revenues | 39004 | 2696 |
| Personnel costs | (11729) | (1881) |
| Other administrative expenses | (20846) | (624) |
| **Operating income** | **6429** | **191** |
| Depreciation of tangible assets and other adjustments |  |  |
| Interest and similar income | 165 |  |
| Interest and similar charges | (772) |  |
| Foreign exchange gains (losses) |  |  |
| (Provisions) write-backs | 160 |  |
| Gains (losses) on disposal of equity investments | 81 |  |
| Other gains (losses) | 188 |  |
| **Profit (loss) before taxes** | **6251** | **191** |
| Current income tax for the year | (1591) |  |
| **Profit (loss) for the period** | **4660** | **191** |

---

Annexed Tables \| 677

---

| | |
|:---|:---|
| **Non-financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Arma**<br>**Partners LLP**<br>**31/03/2024**<br>**(£'000)** | **Arma Partners**<br>**Corporate**<br>**Finance Ltd.**<br>**31/03/2024**<br>**(£'000)** | **Arma**<br>**Deutschland**<br>**Gmbh**<br>**31/03/2024**<br>**(£'000)** |
| **ASSETS** | | | |
| **Non-Current Assets** | | | |
| &nbsp;&nbsp;Intangible assets |  |  |  |
| &nbsp;&nbsp;Tangible assets | 667 |  | 1 |
| &nbsp;&nbsp;Other non-current financial assets | 22 |  |  |
| &nbsp;&nbsp;Advance tax assets | 689 |  | 1 |
| **Total Non-Current Assets** |  |  |  |
| **Current Assets** | **31440** | **8147** | **—** |
| &nbsp;&nbsp;Inventories | 32494 | 570 | 32 |
| &nbsp;&nbsp;Trade Receivables |  |  |  |
| &nbsp;&nbsp;Other receivables |  | 565 | 1655 |
| &nbsp;&nbsp;Current tax assets | 63934 | 9282 | 1687 |
| &nbsp;&nbsp;Other non-current financial assets | 64623 | 9282 | 1688 |
| &nbsp;&nbsp;Cash and cash equivalents |  |  |  |
| **Total Current Assets** | **667** | **—** | **1** |
| **TOTAL ASSETS** | **22** | **—** | **—** |
| **LIABILITIES** |  |  |  |
| **A) Net equity** | **6200** | **—** | **25** |
| &nbsp;&nbsp;Capital |  |  |  |
| &nbsp;&nbsp;Reserves |  |  |  |
| &nbsp;&nbsp;Share premium reserve |  |  |  |
| &nbsp;&nbsp;Profit (loss) carried forward | (373) | (25) |  |
| &nbsp;&nbsp;Legal reserve |  |  |  |
| &nbsp;&nbsp;Profit (loss) for the period |  | 597 | 321 |
| **Total net equity** | **47695** | **25** | **101** |
| **Non-current liabilities** | **53522** | **597** | **447** |
| &nbsp;&nbsp;Provisions for risks and charges |  |  | 1090 |
| &nbsp;&nbsp;Provision for statutory end-of-service payments | 11101 | 8685 | 45 |
| &nbsp;&nbsp;Deferred tax liabilities |  |  |  |
| &nbsp;&nbsp;Other non-current liabilities |  |  | 105 |
| Total non-current liabilities |  |  | 1 |
| **Current liabilities** | **11101** | **8685** | **1241** |
| **Due to banks** | **64623** | **9282** | **1688** |

---

678 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | |
|:---|:---|:---|:---|
|  |<br>**Arma**<br>**Partners LLP**<br>**31/03/2024**<br>**(£'000)** | **Arma Partners**<br>**Corporate**<br>**Finance Ltd.**<br>**31/03/2024**<br>**(£'000)** | **Arma**<br>**Deutschland**<br>**Gmbh**<br>**31/03/2024**<br>**(£'000)** |
| Revenues | 74332 | 20455 | 2229 |
| Personnel costs | (28950) | (20135) | (1605) |
| Other administrative expenses |  |  | (411) |
| **Operating income** | **45382** | **320** | **213** |
| Depreciation of tangible assets and other adjustments | (274) |  |  |
| Interest and similar income | 2227 |  |  |
| Interest and similar charges |  |  |  |
| Foreign exchange gains (losses) | (267) |  |  |
| (Provisions) write-backs |  |  |  |
| Gains (losses) on disposal of equity investments |  |  |  |
| Other gains (losses) | 619 | (314) | (62) |
| **Profit (loss) before taxes** | **47687** | **6** | **151** |
| Current income tax for the year | 8 | 19 | (50) |
| **Profit (loss) for the period** | **47695** | **25** | **101** |

---

Annexed Tables \| 679

---

| | |
|:---|:---|
| **Non-financial companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **MEDIOBANCA**<br>**INNOVATION**<br>**SERVICES**<br>**S.C.p.A.**<br>**(€'000)** |<br>**MB CONTACT**<br>**SOLUTIONS**<br>**(€'000)** |<br>**COMPASS**<br>**RENT**<br>**(€'000)** |<br>**COMPASS**<br>**LINK**<br>**(€'000)** | **CMB REAL**<br>**ESTATE**<br>**DEVELOPMENT**<br>**31.12.2023**<br>**(€'000)** |
| **ASSETS** | | | | | |
| **Non-Current Assets** | | | | | |
| &nbsp;&nbsp;Intangible assets | 22525 | 28 | 7 | 1 | 1298 |
| &nbsp;&nbsp;Tangible assets | 33499 | 41 | 120 |  |  |
| &nbsp;&nbsp;Other non-current financial assets |  | 18 |  |  |  |
| &nbsp;&nbsp;Advance tax assets | 2220 |  | 7280 | 2 |  |
| **Total Non-Current Assets** | **58244** | **87** | **7407** | **3** | **1298** |
| **Current Assets** |  |  |  |  |  |
| &nbsp;&nbsp;Inventories |  |  |  |  |  |
| &nbsp;&nbsp;Trade Receivables | 19981 | 356 | 198 | 1110 | 72419 |
| &nbsp;&nbsp;Other receivables | 10874 | 17 | 5500 | 93 | 664 |
| &nbsp;&nbsp;Current tax assets | 182 | 63 |  |  |  |
| &nbsp;&nbsp;Other non-current financial assets |  |  |  |  |  |
| &nbsp;&nbsp;Cash and cash equivalents | 233 | 489 | 861 | 1100 | 2598 |
| **Total Current Assets** | **31270** | **925** | **6559** | **2303** | **75681** |
| **TOTAL ASSETS** | **89514** | **1012** | **13966** | **2306** | **76979** |
| **LIABILITIES** |  |  |  |  |  |
| **A) Net equity** |  |  |  |  |  |
| &nbsp;&nbsp;Capital | 35000 | 500 | 400 | 500 | 75150 |
| &nbsp;&nbsp;Reserves |  |  | 6692 | 1 |  |
| &nbsp;&nbsp;Share premium reserve |  |  |  |  |  |
| &nbsp;&nbsp;Profit (loss) carried forward | 541 | (38) | (3231) | 88 | 721 |
| &nbsp;&nbsp;Legal reserve |  |  |  | 11 | 38 |
| &nbsp;&nbsp;Profit (loss) for the period | 2 | 121 | (1697) | 504 | 921 |
| **Total net equity** | **35543** | **583** | **2164** | **1104** | **76830** |
| **Non-current liabilities** |  |  |  |  |  |
| &nbsp;&nbsp;Provisions for risks and charges | 820 |  | 15 | 41 |  |
| &nbsp;&nbsp;Provision for statutory end-of-service payments | 1489 | 30 | 40 |  |  |
| &nbsp;&nbsp;Deferred tax liabilities | 556 |  |  |  |  |
| &nbsp;&nbsp;Other non-current liabilities |  |  |  |  |  |
| **Total non-current liabilities** | **2865** | **30** | **55** | **41** | **—** |
| **Current liabilities** |  |  |  |  |  |
| &nbsp;&nbsp;Due to banks |  |  |  |  |  |
| &nbsp;&nbsp;Trade payables | 16771 | 252 | 1593 | 1161 | 149 |
| &nbsp;&nbsp;Due to parent companies / affiliates |  | 82 |  |  |  |
| &nbsp;&nbsp;Current tax liabilities | 2072 | 65 |  |  |  |
| &nbsp;&nbsp;Current financial liabilities | 28418 |  | 2010 |  |  |
| &nbsp;&nbsp;Other current liabilities | 3845 |  | 8144 |  |  |
| **Total Current Liabilities** | **51106** | **399** | **11747** | **1161** | **149** |
| **TOTAL LIABILITIES AND NET EQUITY** | **89514** | **1012** | **13966** | **2306** | **76979** |

---

680 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Non-financial companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **MEDIOBANCA**<br>**INNOVATION**<br>**SERVICES**<br>**S.C.p.A.**<br>**(€'000)** |<br>**MB CONTACT**<br>**SOLUTIONS**<br>**(€'000)** |<br>**COMPASS**<br>**RENT**<br>**(€'000)** |<br>**COMPASS**<br>**LINK**<br>**(€'000)** | **CMB REAL**<br>**ESTATE**<br>**DEVELOPMENT**<br>**31.12.2023**<br>**(€'000)** |
| Revenues | 157987 | 2112 | 3989 | 7282 | 1018 |
| Production costs | (102647) | (1616) | (4697) | (6422) |  |
| Employees' costs | (15428) | (252) | (1119) | (116) | (97) |
| Other operating costs | (14627) |  |  |  |  |
| Sundry costs |  |  | (299) | (35) |  |
| Adjustments to tangible assets | (19842) | (20) |  | (24) |  |
| Adjustments to intangible assets | (4864) |  | (28) |  |  |
| Other writedowns |  |  |  |  |  |
| Writedowns of current receivables |  |  | (14) |  |  |
| **Operating result** | **579** | **224** | **(2168)** | **685** | **921** |
| Financial gains | 114 |  |  | 17 |  |
| Financial expenses | (815) |  | (84) |  |  |
| Other gains | 99 | 11 | 8 |  |  |
| Other expenses |  | (6) |  |  |  |
| **Profit (loss) before taxes** | **(23)** | **229** | **(2244)** | **702** | **921** |
| Fiscal gain (expense) | 25 | (108) | 547 | (198) |  |
| Taxes for the period | (1854) | (108) | 536 | (27) |  |
| Deffered and advance taxes | 1879 |  | 11 | (171) |  |
| **Net profit (loss) for the period** | **2** | **121** | **(1697)** | **504** | **921** |

---

Annexed Tables \| 681

---

| | |
|:---|:---|
| **Insurance companies** | **Table B** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **COMPASS RE S.A.<br> (€'000)** |
| **ASSETS** | |
| **A) Amounts due from shareholders by way of unpaid amounts on capital call** | **—** |
| **B) Intangible assets** | **—** |
| **C) Investments** | **292778** |
| &nbsp;&nbsp;&nbsp;&nbsp;I) Land and buildings (total) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;II) Investments in affiliated undertakings and participating interests |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3) Loans to enterprises | 278778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*a) belonging to parent company* | *—* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*e) other* | *278778* |
| &nbsp;&nbsp;&nbsp;&nbsp;III) Other financial investments | 14000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*6) banks deposits* | *14000* |
| **D) Investments for the benefit of insured parties (life)** | **—** |
| **E) Sundry receivables** | **4804** |
| &nbsp;&nbsp;&nbsp;&nbsp;II Receivables arising out of reinsurance operations | 4804 |
| &nbsp;&nbsp;&nbsp;&nbsp;III Other receivables |  |
| **F) Other assets** | **1454** |
| &nbsp;&nbsp;&nbsp;&nbsp;II Cash at bank and in hand | 1454 |
| **G) Accruals and deferrals** | **11206** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. Due to interest | 1839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Other accruals and deferrals | 9367 |
| **TOTAL ASSETS** | **310242** |
| **LIABILITIES** |  |
| **A) Net equity** | **82443** |
| &nbsp;&nbsp;&nbsp;&nbsp;I Share capital | 15000 |
| &nbsp;&nbsp;&nbsp;&nbsp;IV Legal reserve | 1500 |
| &nbsp;&nbsp;&nbsp;&nbsp;VIII Profit (loss) carried forward | 32386 |
| &nbsp;&nbsp;&nbsp;&nbsp;IX Profit (loss) for the period | 33557 |
| **B) Subordinated liabilities** | **—** |
| **C) Technical reserves** | **216560** |
| &nbsp;&nbsp;&nbsp;&nbsp;I Non-life business |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*1. Premiums reserve* | *93246* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*2. Claims reserve* | *10083* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*3. Equalization reserve* | *113231* |
| **D) Technical reserves where risk is borne by insured party** | **—** |
| **E) Provisions for risks and charges** | **34** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2) Tax-related provisions | 34 |
| **F) Deposits received from reinsurers** | **—** |
| **G) Accounts payable and other liabilities** | **10794** |
| &nbsp;&nbsp;&nbsp;&nbsp;VII Other payables |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*3. Due to social security and retirement institutions* | *10794* |
| **H) Accruals and deferrals** | **411** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Other accruals and deferrals | 411 |
| **TOTAL LIABILITIES AND NET EQUITY** | **310242** |

---

682 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Insurance companies** | **Table B** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **COMPASS RE S.A. <br> (€'000)** |
| **I) TECHNICAL ACCOUNT** | |
| Gross premiums for the year | 25654 |
| Change in premium reserves | 8649 |
| **Total net premiums for the year** | **34303** |
| Gains arising from non-technical accounts investments |  |
| **1) TOTAL REVENUES** | **34303** |
| Claims incurred, after reinsurance (Gross amount) | (7465) |
| Change in provisions for claims (Gross amount) | (639) |
| Acquisition costs | (2478) |
| Acquisition costs accrued to future years | (747) |
| Management and administration expenses | (956) |
| **2) TOTAL COSTS** | **(12285)** |
| Change in equalization reserve | 12441 |
| **Technical-account profit (loss)** | **34459** |
| **II) NON-TECHNICAL ACCOUNT** |  |
| Interest income | 5231 |
| Gains on the realisation of investments | 7745 |
| Investment management charges | 427 |
| Interest expense | (264) |
| Value adjustments on investments |  |
| Losses on the realisation of investments | (2367) |
| **Underwriting profit (loss)** | **10772** |
| **PROFIT (LOSS) FOR THE PERIOD BEFORE TAX** | **45231** |
| Income taxes for the period | (11321) |
| Other taxes not shown under the preceding items | (353) |
| **NET PROFIT (LOSS) FOR THE PERIOD** | **33557** |

---

Annexed Tables \| 683

---

| | |
|:---|:---|
| **Associate companies** | **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **Assicurazioni<br> Generali S.p.A.<br> 31.12.2023<br> (€'000)** |
| **ASSETS** | |
| **A) Amounts due from shareholders by way of unpaid amounts on capital call** | **—** |
| **B) Total intangible assets** | **26179** |
| **C) Investments** |  |
| I) Land and buildings (total) | 62522 |
| II) Investments in Group and other undertakings (total) | 34281986 |
| III) Other financial investments |  |
| 1) Shares and stock units | 27396 |
| 2) Mutual fund units | 3500896 |
| 3) Bonds and other fixed-income securities | 3140597 |
| 4) Loans | 632 |
| 6) Deposits with banks | 309144 |
| 7) Sundry financial investments | 2661 |
| Total other financial investments | 6981326 |
| IV) Deposits with reinsurers | 6034614 |
| Total investments (C) | 47360448 |
| **D) Investments for the benefit of life policyholders who carry the risk and deriving from pension fund management (total)** | **8303** |
| Dbis) Reinsurers' share of technical reserves |  |
| I) Non-life business (total) | 2202510 |
| II) Life business (total) | 680985 |
| Total reinsurers' share of technical reserves (Dbis) | 2883495 |
| **E) Accounts receivable** |  |
| I) Amounts due in respect of primary insurances (total) | 461245 |
| II) Amount due in respect of reinsurance transactions (total) | 791800 |
| III) Other accounts receivable | 1590628 |
| Total accounts receivable (E) | 2843673 |
| **F) Other assets** |  |
| I) Tangible assets and inventories (total) | 2832 |
| II) Cash (total) | 729007 |
| IV) Other assets (total) | 161989 |
| Total other assets (F) | 893828 |
| **G) Accrued income and deferred liabilities (total)** | **99005** |
| **TOTAL ASSETS (A+B+C+D+Dbis+E+F+G)** | **54114931** |

---

684 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Associate companies** | **continued Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **Assicurazioni<br> Generali S,p,A,<br> 31.12.2023<br> (€'000)** |
| **LIABILITIES AND SHAREHOLDERS' EQUITY** | |
| A) Net equity |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I) Share capital or equivalent fund | 1592383 |
| &nbsp;&nbsp;&nbsp;&nbsp;II-VII) Reserves (total) | 14788215 |
| &nbsp;&nbsp;&nbsp;&nbsp;IX) Profit (loss) for year | 1446281 |
| &nbsp;&nbsp;&nbsp;&nbsp;X) Negative reserve for treasury shares in portfolio | 266912 |
| **Total net equity (A)** | **18093791** |
| B) Subordinated liabilities | 8354238 |
| C) Technical reserves |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I) Non-life business (total) | 9005262 |
| &nbsp;&nbsp;&nbsp;&nbsp;II) Life business (total) | 4041381 |
| **Total technical reserves (C)** | **13046643** |
| D) Technical reserves where investment risk is carried by policyholders and reserves arising from pension fund management (total) | 20124 |
| E) Provisions for risks and charges (total) | 304945 |
| F) Deposits received from reinsurers | 665730 |
| G) Accounts payable and other liabilities |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I) Amounts payable in respect of primary insurances | 89247 |
| &nbsp;&nbsp;&nbsp;&nbsp;II) Amounts payable in respect of reinsurance | 600789 |
| &nbsp;&nbsp;&nbsp;&nbsp;III) Bond issues | 2692000 |
| &nbsp;&nbsp;&nbsp;&nbsp;IV) Amounts payable to banks and financial institutions | 976319 |
| &nbsp;&nbsp;&nbsp;&nbsp;VI) Loans and other debt | 5450829 |
| &nbsp;&nbsp;&nbsp;&nbsp;VII) Provision for statutory end-of-service payments | 1213 |
| &nbsp;&nbsp;&nbsp;&nbsp;VIII) Other accounts payable | 3329546 |
| &nbsp;&nbsp;&nbsp;&nbsp;IX) Other liabilities | 229588 |
| **Total accounts payable and other liabilities (G)** | **13369531** |
| H) Accrued liabilities and deferred income (total) | 259929 |
| **TOTAL LIABILITIES AND NET EQUITY (A+B+C+D+E+F+G+H)** | **54114931** |

---

Annexed Tables \| 685

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| PROFIT AND LOSS ACCOUNTS (non-technical account) |  |

---

---

| | |
|:---|:---|
|  | **Assicurazioni<br> Generali S.p.A.<br> 31.12.2023 <br> (€'000)** |
| 1) Underwriting profit (loss) from non-life business | 760556 |
| 2) Underwriting profit (loss) from life business | (49150) |
| 3) Investment income in non-life business |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Income from shares and stock | 1565043 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Other investment income (total) | 202896 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Write-backs in book value of investments | 18218 |
| &nbsp;&nbsp;&nbsp;&nbsp;d) Gains on disposal of investments | 39772 |
| Total investment income in non-life business (3) | 1825929 |
| 4) (+) Portion of investment income transferred from technical accounts of life business | 596599 |
| 5) Operating and financial expenses in non-life business |  |
| &nbsp;&nbsp;&nbsp;&nbsp;a) Investment management expenses and interest paid | 8102 |
| &nbsp;&nbsp;&nbsp;&nbsp;b) Value adjustments to investments | 45751 |
| &nbsp;&nbsp;&nbsp;&nbsp;c) Loss on disposal of investments | 244 |
| Total Operating and financial expenses in non-life business (5) | 54097 |
| 6) (-) Portion of investment income transferred from technical accounts of non-life business | 455574 |
| 7) Other income | 374678 |
| 8) Other expenditure | 1714859 |
| 9) Profit (loss) on ordinary operations | 1284082 |
| 10) Extraordinary income | 41656 |
| 11) Extraordinary expenses | 30217 |
| 12) Net extraordinary income (expenses) (10-11) | 11439 |
| 13) Earnings before tax | 1295521 |
| 14) Taxation for the year | (150760) |
| **15) Profit (loss) for the year (13-14)** | **1446281** |

---

686 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **Finanziaria Gruppo<br> Bisazza S.r.l,<br> 31.12.2023<br> (€'000)** |
| **ASSETS** |  |
| B) Fixed assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I) Intangible |  |
| &nbsp;&nbsp;&nbsp;&nbsp;II) Tangible |  |
| &nbsp;&nbsp;&nbsp;&nbsp;III) Financial | 5528 |
| **Total B** | **5528** |
| C) Current assets: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;II) Receivables: |  |
| Due within 12 months | 576 |
| Due over 12 months |  |
| Total receivables | 576 |
| &nbsp;&nbsp;&nbsp;&nbsp;IV) Cash and cash equivalents | 341 |
| **Total C** | **917** |
| **TOTAL ASSETS** | **6445** |
| **LIABILITIES** |  |
| **A) Net equity:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I) Share capital | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;II) Share-premium reserve |  |
| &nbsp;&nbsp;&nbsp;&nbsp;IV) Legal reserve | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;VII) Other reserves | 1513 |
| &nbsp;&nbsp;&nbsp;&nbsp;IX) Profit (loss) for the period | 4202 |
| **Total A** | **5860** |
| D) Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due within 12 months | 575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Due over 12 months | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total payables | 585 |
| **Total D** | **585** |
| **TOTAL LIABILITIES AND NET EQUITY** | **6445** |

---

Annexed Tables \| 687

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| PROFIT AND LOSS ACCOUNTS (non-technical account) |  |

---

---

| | |
|:---|:---|
|  | **Finanziaria Gruppo<br> Bisazza S,r,l,<br> 31.12.2023<br> (€'000)** |
| A) Revenues: |  |
| &nbsp;&nbsp;&nbsp;Other revenues and gains |  |
| **Total production value (A)** | **—** |
| B) Production costs: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;7) Services-related | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;14) Sundry operating expenses | 5,– |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total production costs (B)** | **61** |
| **Difference between production value and production costs (A-B)** | **(61)** |
| C) Financial gains (expenses): |  |
| &nbsp;&nbsp;&nbsp;&nbsp;15) Proceeds from investments | 4300 |
| &nbsp;&nbsp;&nbsp;&nbsp;16) Interest and similar income |  |
| &nbsp;&nbsp;&nbsp;&nbsp;17) Interest and similar charges |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total financial gains (expenses) (C)** | **4300** |
| **Profit (loss) before taxes (A - B ± C ± D)** | **4239** |
| &nbsp;&nbsp;&nbsp;&nbsp;20) Income tax for the year (current, deferred and prepaid) | 37 |
| **Profit (loss) for the period** | **4202** |

---

688 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Associate companies** | **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **Istituto Europeo di**<br> **Oncologia S.r.l,<br> 31.12.2023<br> (€'000)** |
| **ASSETS** | |
| A) SUBSCRIBED CAPITAL UNPAID |  |
| B) FIXED ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I - INTANGIBLE ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3) Industrial patents rights and rights to use intellectual property |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4) Concessions, licences, trademarks, and similar rights | 4760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6) Work-in-progress and advances | 762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7) Other | 506 |
| **TOTAL INTANGIBLE ASSETS** | **6028** |
| &nbsp;&nbsp;&nbsp;&nbsp;II - TANGIBLE ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1) Land and buildings | 28363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2) Plants and equipment | 14959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3) Industrial and commercial machineries | 50191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4) Other goods | 5581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5) Work-in-progress and advances | 18097 |
| **TOTAL TANGIBLE ASSETS** | **117191** |
| &nbsp;&nbsp;&nbsp;&nbsp;III - FINANCIAL ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1) Investments in: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Subsidiary companies | 60121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d-bis) Other | 672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total investments | 60793 |
| &nbsp;&nbsp;&nbsp;&nbsp;2) Receivables |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d-bis) Other | 1054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total receivables | 1054 |
| &nbsp;&nbsp;&nbsp;&nbsp;3) Other securities |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total other securities | 9000 |
| **TOTAL FINANCIAL ASSETS** | **70847** |
| **TOTAL FIXED ASSETS (B)** | **194066** |
| C) CURRENT ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I – INVENTORIES |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1) Raw-materials, supplies, and consumables | 9670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goods held for resale | 780 |
| **TOTAL INVENTORIES** | **10450** |
| &nbsp;&nbsp;&nbsp;&nbsp;II – RECEIVABLES |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1) From customers | 54788 |
| &nbsp;&nbsp;&nbsp;&nbsp;2) From subsidiary companies | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;3) From affiliated companies |  |
| &nbsp;&nbsp;&nbsp;&nbsp;5-bis) Tax-related receivables | 3845 |
| &nbsp;&nbsp;&nbsp;&nbsp;5-ter) Deferred tax asset receivables | 2842 |
| &nbsp;&nbsp;&nbsp;&nbsp;5-quater) Other | 1155 |
| **TOTAL RECEIVABLES** | **62737** |
| &nbsp;&nbsp;&nbsp;&nbsp;III - CURRENT FINANCIAL ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;6) Other securities | 29875 |
| **TOTAL CURRENT FINANCIAL ASSETS** | **29875** |
| &nbsp;&nbsp;&nbsp;&nbsp;IV - CASH AND CASH EQUIVALENTS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1) Bank and postal deposits | 28096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3) Cash in hand | 78 |
| **TOTAL CASH AND CASH EQUIVALENTS** | **28174** |
| **TOTAL CURRENT ASSETS (C)** | **131236** |
| D) ACCRUALS AND DEFERRALS | 4807 |
| &nbsp;&nbsp;&nbsp;&nbsp;**TOTAL ACCRUALS AND DEFERRALS (D)** | **4807** |
| **TOTAL ASSETS (A + B + C + D)** | **330109** |

---

Annexed Tables \| 689

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **Istituto Europeo di<br> Oncologia S.r.l,<br> 31.12.2023<br> (€'000)** |
| **LIABILITIES** | |
| A) NET EQUITY |  |
| &nbsp;&nbsp;&nbsp;&nbsp;I - Capital | 80579 |
| &nbsp;&nbsp;&nbsp;&nbsp;IV - Legal reserve | 8069 |
| &nbsp;&nbsp;&nbsp;&nbsp;V - Reserve under the articles of association |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Provisions for research and development | 51429 |
| &nbsp;&nbsp;&nbsp;&nbsp;IX - Profit (loss) for the period | 3685 |
| **TOTAL NET EQUITY (A)** | **143762** |
| PROVISIONS FOR RISKS AND CHARGES |  |
| &nbsp;&nbsp;&nbsp;&nbsp;- Deferred tax provisions | 519 |
| &nbsp;&nbsp;&nbsp;&nbsp;- Provisions for other risks | 10446 |
| **TOTAL PROVISIONS FOR RISKS AND CHARGES (B)** | **10965** |
| **PROVISION FOR STATUTORY END-OF-SERVICE PAYMENTS (C)** | **5188** |
| D) PAYABLES |  |
| &nbsp;&nbsp;&nbsp;&nbsp;7) Trade payables | 69715 |
| &nbsp;&nbsp;&nbsp;&nbsp;9) Payables to subsidiary companies | 32753 |
| &nbsp;&nbsp;&nbsp;&nbsp;10) Payables to associated companies |  |
| &nbsp;&nbsp;&nbsp;&nbsp;12) Tax liabilities | 4258 |
| &nbsp;&nbsp;&nbsp;&nbsp;13) Payables to social security and pension institutions | 4837 |
| &nbsp;&nbsp;&nbsp;&nbsp;14) Other payables | 22011 |
| **TOTAL PAYABLES (D)** | **133574** |
| D) ACCRUALS AND DEFERRALS | 36620 |
| **TOTAL ACCRUALS AND DEFERRALS (D)** | **36620** |
| **TOTAL LIABILITIES AND NET EQUITY (A+B+C+D+E+F+G+H)** | **330109** |

---

690 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **Istituto Europeo di<br> Oncologia S.r.l,<br> 31.12.2023<br> (€'000)** |
| A) PRODUCTION VALUE |  |
| &nbsp;&nbsp;&nbsp;&nbsp;1) Revenues from sales and services | 241851 |
| &nbsp;&nbsp;&nbsp;&nbsp;5) Other gains: | 48804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Grants received for research programmes | 26532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Other proceeds | 22272 |
| **TOTAL PRODUCTION VALUE (A)** | **290655** |
| B) PRODUCTION COSTS | 77778 |
| &nbsp;&nbsp;&nbsp;&nbsp;6) Raw-materials, supplies, consumables and goods for resale | 63480 |
| &nbsp;&nbsp;&nbsp;&nbsp;7) Services | 6578 |
| &nbsp;&nbsp;&nbsp;&nbsp;8) Leasehold goods | 102055 |
| &nbsp;&nbsp;&nbsp;&nbsp;9) Personnel expenses: | 80896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Wages and salaries | 16989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Social security charges | 4016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Provision for statutory end-of-service payments | 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;e) Other costs | 15139 |
| 10) Depreciation, amortization and write-downs: | 2245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Amortization of intangible fixed assets | 11322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Depreciation of tangible fixed assets | 1572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) Write-downs of current financial assets and other liquid assets | (1519) |
| 11) Change in inventory of raw-materials, supplies, consumables, and goods for resale (±) | 6404 |
| 12) Contributions to provisions | 17535 |
| 14) Sundry operating expenses | 287450 |
| **TOTAL PRODUCTION COSTS (B)** | **77778** |
| **DIFFERENCE BETWEEN PRODUCTION VALUE AND PRODUCTION COSTS (A - B)** | **3205** |
| C) FINANCIAL GAINS (EXPENSES) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;15) Proceeds from investments |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- dividends and other income from other entities | 341 |
| &nbsp;&nbsp;&nbsp;&nbsp;16) Other financial gains |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) gains other than the above |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- interest on current accounts and other deposits | 1113 |
| &nbsp;&nbsp;&nbsp;&nbsp;17) Interest and similar charges |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- other | 930 |
| &nbsp;&nbsp;&nbsp;&nbsp;17-bis) Foreign exchange gains and losses (±) | (11) |
| **TOTAL FINANCIAL GAINS (EXPENSES) (C)** | **513** |
| D) VALUE ADJUSTMENTS TO FINANCIAL ASSETS |  |
| &nbsp;&nbsp;&nbsp;&nbsp;18) Write-ups of: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) equity investments | 1043 |
| &nbsp;&nbsp;&nbsp;&nbsp;19) Write-downs of: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) equity investments | 7 |
| **TOTAL ADJUSTMENTS (D)** | **1036** |
| **PROFIT (LOSS) BEFORE TAXES (A - B +/- C +/- D +/- E)** | **4754** |
| &nbsp;&nbsp;&nbsp;&nbsp;22) Taxes for the period (current, deferred and prepaid) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Current taxes | 1438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- Deferred and prepaid taxes | (369) |
| **Profit (loss) for the period** | **3685** |

---

Annexed Tables \| 691

---

| | |
|:---|:---|
| **Associate companies** | **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **CLI HOLDINGS**<br>**II LTD**<br>**31.12.2023**<br>**(£'000)** |
| **ASSETS** |  |
| **Non-Current Assets** |  |
| Intangible assets |  |
| Tangible assets |  |
| Equity investments |  |
| **Total Non-Current Assets** | **145400** |
| **Current Assets** | **145400** |
| Trade Receivables |  |
| Cash and cash equivalents | 2550 |
| Other assets | 252 |
| **Total Current Assets** | **179** |
| **TOTAL ASSETS** | **2981** |
| **LIABILITIES** |  |
| Share capital |  |
| Share-premium reserve |  |
| Legal reserve |  |
| Reserves |  |
| Profit (loss) carried forward | 3 |
| Profit (loss) for the period | 1 |
| **Total net equity** | **4** |
| Trade and tax payables | 1 |
| Financial liabilities | 148328 |
| Other liabilities and provisions | 48 |
| **Total Current Liabilities** | **148377** |
| **TOTAL LIABILITIES AND NET EQUITY** | **148381** |

---

692 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **CLI HOLDINGS**<br>**II LTD**<br>**31122023**<br>**(£/000)** |
| Commission income | 16288 |
| Dividends and similar income |  |
| **Revenues** | **16288** |
| Administrative expenses | (99) |
| &nbsp;&nbsp;&nbsp;a) personnel costs | (99) |
| &nbsp;&nbsp;&nbsp;b) other administrative expenses |  |
| Other operating income (expense) |  |
| Net trading income (expense) |  |
| Net value adjustments to /write-backs of tangible assets |  |
| **Operating income** | **16189** |
| Interest and similar income |  |
| Interest and similar charges | (16187) |
| **Profit (loss) before taxes** | **2** |
| Current income tax for the year | (1) |
| **Profit (loss) for the period** | **1** |

---

Annexed Tables \| 693

---

| | |
|:---|:---|
| **Associate companies** | **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **HEIDI PAY AG**<br>**31.12.2023**<br>**(CHF'000)** |
| **ASSETS** |  |
| **Non-Current Assets** |  |
| Intangible assets |  |
| Tangible assets | 3559 |
| Equity investments | 288 |
| **Total Non-Current Assets** | **3847** |
| **Current Assets** |  |
| Trade Receivables | 623 |
| Cash and cash equivalents | 2012 |
| Other assets | 210 |
| **Total Current Assets** | **2845** |
| **TOTAL ASSETS** | **6692** |
| **LIABILITIES** |  |
| Share capital | 944 |
| Share-premium reserve | 9503 |
| Legal reserve | 412 |
| Reserves | (45) |
| Profit (loss) carried forward | (6243) |
| Profit (loss) for the period | 1576 |
| **Total net equity** | **6147** |
| Trade and tax payables | 164 |
| Financial liabilities |  |
| Other liabilities and provisions | 381 |
| **Total Current Liabilities** | **545** |
| **TOTAL LIABILITIES AND NET EQUITY** | **6692** |

---

694 \| Annual Accounts and Report as at 30 June 2024

---

| | |
|:---|:---|
| **Affiliated companies** | **Table C** |
| PROFIT AND LOSS ACCOUNT |  |

---

---

| | |
|:---|:---|
|  | **HEIDI PAY AG**<br>**31.12.2023**<br>**(CHF'000)** |
| Commission income | 465 |
| Dividends and similar income |  |
| **Revenues** | **465** |
| Administrative expenses | (817) |
| &nbsp;&nbsp;&nbsp;a) personnel costs | (696) |
| &nbsp;&nbsp;&nbsp;b) other administrative expenses | (121) |
| Other operating income (expense) | (249) |
| Net trading income (expense) | (204) |
| Net value adjustments to /write-backs of tangible assets | 2881 |
| **Operating income** | **2076** |
| Interest and similar income |  |
| Interest and similar charges | (496) |
| **Profit (loss) before taxes** | **1580** |
| Current income tax for the year | (4) |
| **Profit (loss) for the period** | **1576** |

---

Annexed Tables \| 695

---

| | |
|:---|:---|
| **Entities under common control** | continued **Table C** |
| BALANCE SHEET |  |

---

---

| | |
|:---|:---|
|  | **MBSpeedUP**<br>**Limited\***<br>**31/12/2023**<br>**(€'000)** |
| **ASSETS** |  |
| 10. Cash and cash equivalents |  |
| 20. Financial assets at fair value with impact taken to profit and loss |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Financial assets held for trading |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Financial assets designated at fair value |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Other financial assets mandatorily at fair value |  |
| 30. Financial assets at fair value with impact taken to comprehensive income |  |
| 40. Financial assets at amortized cost | 1750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Due from banks | 1750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) Due from financial companies |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) Due from customers |  |
| 50. Hedging derivatives |  |
| 60. Adjustment of hedging financial assets (+/-) |  |
| 70. Equity investments |  |
| 80. Property, plant and equipments |  |
| 90. Intangible assets |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;of which: |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;goodwill |  |
| 100. Tax assets |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) current |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) deferred |  |
| 110. Assets classified as held for sale |  |
| 120. Other assets | 650 |
| **TOTAL ASSETS** | **2400** |
| **LIABILITIES** |  |
| 10. Financial liabilities at amortized cost |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) Due to |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) titoli in circolazione |  |
| 20. Trading financial liabilities |  |
| 30. Financial liabilities designated at fair value |  |
| 40. Hedging derivatives |  |
| 50. Adjustment of hedging financial liabilities (+/-) |  |
| 60. Tax liabilities |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) current |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) deferred |  |
| 70. Liabilities included in disposal groups classified as held for sale |  |
| 80. Oher liabilities |  |
| 90. Staff severance indemnity provision |  |
| 100. Provisions |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) commitments and financial guarantees |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) post-employment and similar benefits |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) other provisions |  |
| 110. Share capital |  |
| 120. Treasury shares (-) |  |
| 130. Equity instruments |  |
| 140. Share premium reserve |  |
| 150. Reserves | 2400 |
| 160. Valuation reserves |  |
| 170. Profit (loss) for the period |  |
| **TOTAL LIABILITIES AND NET EQUITY** | **2400** |

---

<sup>+</sup> Pro-forma scheme as at 30 June 2024, used for the Consolidated Financial Statements preparation.

696 \| Annual Accounts and Report as at 30 June 2024

**Table D**

FEES PAID FOR AUDITING AND SUNDRY OTHER SERVICES

(pursuant to Article 149-duodecies of Consob resolution 11971/99)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | | (**€**m) |
| <br>**Type of service** | **Mediobanca** | **Mediobanca** | **Group companies <sup>(\*)</sup>** | **Group companies <sup>(\*)</sup>** |
|  | **Pricewaterhouse**<br>**Coopers S.p.A.** | **Pricewaterhouse**<br>**Coopers S.p.A.**<br>**network** | **Pricewaterhouse**<br>**Coopers S.p.A.** | **Pricewaterhouse**<br>**Coopers S.p.A.**<br>**network** |
| Auditing | 622 | 28 | 1198 | 1077 |
| Certification services **<sup>(\*\*)</sup>** | 205 |  | 99 | 29 |
| Other services **<sup>(\*\*\*)</sup>** | 329 |  |  |  |
| &nbsp;&nbsp;of which: observation and analysis of the administrative/accounting internal control system |  |  |  |  |
| &nbsp;&nbsp;of which: other | 329 |  |  |  |
| **Total** | **1156** | **28** | **1297** | **1106** |

---

---

| | |
|:---|:---|
| (\*) | Group companies consolidated line-by-line. |
| (\*\*) | Certification services concerning the Parent Company include fees for comfort letters on bond issue programs, activities related to the annual Basel III Pillar 3 public disclosure document and to the NFD. |
| (\*\*\*) | The other services provided to the parent company Mediobanca S.p.A. include the fees payable in connection with the release of the comfort letters for the bond issuance programmes. |

---

Figures shown above include the ISTAT adjustment, while do not include VAT, expenses and the supervisory fee paid to CONSOB.

Annexed Tables \| 697

GLOSSARY

GLOSSARY

The definitions of some of the technical terminology and translations used in the Review of Operations and Notes to the Accounts are provided below.

*Additional Tier 1 (AT1)*: Additional Tier 1 Capital. The AT1 category generally includes capital instruments apart from ordinary shares (which are included in common equity, see definition) which meet the regulatory requirements for inclusion in this level of own funds.

*Additional Valuation Adjustment (AVA)*: This item represents the difference between the prudential value of an asset (or liability) and the fair value of that asset (or liability) recorded in a bank's financial statements.

*Adjusted Consolidated Net Income*: Calculated as Gross Operating Profit (GOP) after Loan Loss Provisions (LLPs), minority interest and taxes. Then, it is applied a normalized taxation.

*Adjusted Individual Net Income:* Net profit adjusted for any extraordinary intercompany dividends.

*Advanced Internal Ratings-Based (AIRB) Models*: The Basel II Accord sets forth three methods for the calculation of credit risk: the Standard method, the Foundation Internal Ratings-Based (FIRB) method and the Advanced Internal Ratings-Based (AIRB) method. Using the AIRB method, a bank develops its own internal models with which to estimate the PD (Probability of Default), LGD (Loss-Given Default) and EAD (Exposure At Default) indicators necessary in order to calculate the capital requirement.

*Advisory*: Activity performed by a financial intermediary assisting a client in corporate finance transactions, the duties covered by which may range from preparing valuations to drawing up documents and providing general consultancy services regarding the specific transaction.

*Alternative Fund, Private Equity and Hedge Fund*: Alternative investments comprise a vast range of different forms of investment, including those in private equity and hedge funds:

Glossary \| 699

– Private equity investments: investments in the venture capital of companies, generally unlisted but with high growth potential and the capability to generate cash flows which are constant and stable over time;

– Hedge funds: generic term to refer to funds which use complex and sophisticated strategies to deliver returns which are higher on average than other funds.

*Amortized Cost (financial assets measured at amortized cost)*: This is one of the categories for financial assets and liabilities provided for in IFRS 9 (paragraph 4.1.2). A financial asset is measured at amortized cost when both the following conditions are met

– The instrument is held according to a business model consisting of collection of the contractual cash flows (Hold to collect, see definition);

– The contractual terms of the instrument are such that the contractual cash flows are provided at defined maturities and represent solely payments of principal and interest.

*Asset and Liability Management (ALM)*: Integrated management of assets and liabilities to optimize allocation of resources on a risk/return basis.

*Asset-Backed Securities (ABS)*: Financial instruments whose returns and redemptions are guaranteed by a portfolio of (collateral) assets of the issuer, exclusively allocated to satisfy the rights attached to those financial instruments.

*Assets Under Administration (AUA)*: Assets under administration represent the market value of the aggregate of securities held by a financial institution received on deposit from its clients and managed on behalf of them. Management of such securities involves their custody, collection of interest/dividends, verifying draws for the attribution of premiums or for capital repayment, arranging repayments on behalf of the clients, and generally checking that all rights pertaining to the securities have been respected. Sums collected must then be credited to the client.

*Assets Under Custody (AUC)*: Assets under custody represent the market value of financial instruments and securities in general (equities, bonds, government securities, shares held in mutual investment funds, etc.) in paper or dematerialized from, held by a financial institution on behalf of clients.

700 \| Annual Accounts and Report as at 30 June 2024

*Assets Under Management (AUM)*: Assets under management constitute the total market value of all funds managed by a financial institution on behalf of its clients or investors, including mutual funds, asset management in funds or securities, insurance products and funds under administration.

*Backstops*: Indicators used to understand whether the financial instrument has experienced a significant increase in credit risk since the date of initial recognition. For the Group, backstop indicators include the 30-days past due period and the existence of forbearance measures.

*Bail-In*: Procedure to resolve banking crises via the exclusive and direct involvement of the shareholders, bond holders and current account holders of the bank itself with deposits of over €100,000. In 2016, this procedure (Directive (EU) 2014/59, referred to as BRRD) replaced the so-called bail-out procedure (rescue through the use of public resources). The basic principle underpinning the bail-in procedure is "no creditor worse off" (NCWO), i.e. no shareholder, current account holder or creditor should incur greater losses than they would have incurred if the institution had been wound up under normal insolvency proceedings.

*Banking Book*: The banking book consists of proprietary financial assets held for purposes other than short-term trading.

*Bank Recovery and Resolution (BRRD) Directive*: This directive introduces harmonized rules in all EU Countries to prevent and manage crises at credit institutions and investment firms. The BRRD confers on the authorities powers and instruments in order for them to be able to: plan management of the crisis; intervene in good time before the crisis fully occurs; and manage the "resolution" stages in optimal fashion.

*Basel Accords*: Guidelines on capital requirements for banks, compiled by the Basel Committee with a view to establishing standard, harmonized regulation of banking supervision at supranational level. The first accord published by the Basel Committee was in 1988, and introduced a set of minimum capital requirements for banks to reduce credit and market risk deriving from the possibility of assets losing their value excessively.

Glossary \| 701

&nbsp;&nbsp;&nbsp;&nbsp;a) Basel II: The short name given to the document
 entitled International Convergence of Capital Measurement and Capital Standards signed in
 Basel in 2004 which came into force in 2008.

&nbsp;&nbsp;&nbsp;&nbsp;b) Basel III: This name refers to the new prudential
 requirements introduced at European level by the CRD IV/CRR package (see definition).

&nbsp;&nbsp;&nbsp;&nbsp;c) Basel IV: New regulatory framework which
 includes a revision of Basel III provisions and standards; it will enter into force by different
 stages.

*Basel Committee on Banking Supervision (BCBS)*: This is the central body for the international harmonization of banking regulations and acts as a platform for cooperation on banking supervision issues. Its mandate is to strengthen banking supervision, thereby promoting financial stability.

*Basic Indicator Approach (BIA)*: This is a set of operational risk measurement techniques contained in the Basel II rules on the capital adequacy of banking institutions.

*Benchmark Test*: A qualitative and quantitative analysis, to be carried out to verify whether the conditions of the SPPI test (see definition) are met, according to paragraphs B4.1.9Aff. of IFRS 9 standard; it regards those financial instruments which show an interest rate mismatch between the duration and the interest rate, thus for them it results in a modified remuneration related to the time value of money. In order to carry out the benchmark test, a hypothetical instrument is considered (the "benchmark" instrument), identical to the instrument for which the test is carried out apart from the characteristic which modifies the interest rate. Then, it is necessary to compare the undiscounted contractual cash flows of the instrument subject of the analysis with those of the benchmark instrument; the SPPI test is considered not to be met, whether the difference arising is significant.

*Beta (ß)*: Indicator representing the correlation between the expected return on an equity instrument and the overall return on the benchmark market. Beta can show readings which are above zero (positive correlation) or below zero (negative correlation). It is used in the Capital Asset Pricing Model (see definition).

*Bid-Ask Spread*: Margin between the price at which an intermediary commits to sell stocks ("ask"; letter) and the price at which it commits to buy them ("bid"; cash). On the interbank market this takes the form of the margin between the

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interest rate at which funds are offered on a given maturity (letter) and the rate at which the funds are requested on the same maturity (cash).

*Book Value Per Share (BVPS)*: Book Value of net equity defines the net value of a company or asset according to its financial status. For companies, it consists in the total value of tangible assets minus liabilities.

*Business Combination*: A business combination comprises a set of assets or accounts which jointly may serve for the performance of an economic activity.

*Business Model*: The business model regards the way in which an entity manages its financial assets in order to generate cash flows (that is, it determines whether the cash flows derive from collection of cash flows stipulated contractually, from the sale of financial assets, or from both). The business model is not defined for individual assets but on the basis of like-for-like portfolios of assets. The classification of financial assets is based on the business model concept. Three types of business model are contemplated: Hold to collect, Hold to collect and sell, and Other.

*Capital Absorption*: Absorbed capital is the amount of capital which the Group has to hold in order to cover potential losses and which is needed to support its business activities and the positions held. It consists of regulatory capital plus internal capital. Regulatory capital is obtained by multiplying risk- weighted assets by the target Common Equity Tier 1 ratio. Internal capital is obtained from the sum of economic capital estimated internally to cover the Pillar I and Pillar II (see Basel Accords) risks to which the Bank is exposed.

*Capital Asset Pricing Model (CAPM)*: Mathematical model used to determine the price of a security based on its riskiness, as expressed by beta (see definition).

*Capital Requirement Directive (CRD)*: Directives (EU) 2006/48 and 2006/49, transposed by the Bank of Italy in its circular no. 263/06 as amended, which introduced the decisions taken as part of the Basel III agreements (see definition) to the European regulatory framework. The CRD IV package in particular supersedes the foregoing Directives, and consists of Directive (EU) 2013/36 on access to the activity of credit institutions and the prudential supervision, and Regulation (EU) 575/2013 on prudential requirements, transposed by the Bank of Italy in its circular no. 285 of 17 December 2013 as amended.

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*Capital Requirement Regulation (CRR/CRR2)*: Regulation (EU) 575/2013, and subsequent updates, on prudential requirements for credit institutions and investment firms. The regulation was adopted in response to the financial crisis which broke out in 2007, and is intended to reduce the likelihood of financial institutions failing by increasing their equity, reducing their exposure to risk and reducing the financial leverage used by them.

*Cash Flow Hedge*: One of the types of contract permitted under IFRS 9 to neutralize the exposure to changes in future cash flows attributable to particular risks associated with given balance-sheet items.

*Cash-Generating Unit (CGU)*: According to the definition provided in IAS 36, paragraph 6, a cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from other assets or groups of assets. The notion of CGU is used in the impairment test procedure (see definition).

*Certificates*: Certificates are financial instruments which in contractual terms are equivalent to derivatives with an option component, and which replicate the performance of an underlying asset. In acquiring a certificate the investor obtains the right to receive a sum linked to the value of the underlying instrument at a given date.

*Collateralized Debt Obligation (CDO)*: CDOs are fixed-income securities which have a portfolio of bonds, loans and other debt instruments as their collateral.

*Collateralized Loan Obligation (CLO)*: A particular type of CDO (see definition), in which the collateral is made up by receivables.

*Commercial Paper*: Short-term financing instrument with duration generally of one year or less.

*Common Equity*: Common equity consists of the highest-quality components of a Bank's capital, such as: ordinary shares in issue, every share premium (for ordinary shares), retained earnings, and every adjustment or prudential filter (see definition) applied to the foregoing categories for regulatory or supervisory purposes.

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*Common Equity Tier 1 (CET1) ratio*: The CET1 ratio is the ratio of a bank's core equity capital to its total risk-weighted assets or RWAs (see definition).

*Compound Annual Growth Rate (CAGR)*: Annual compound growth rate of an investment over a given period of time.

*Contingency Funding Plan*: Set of operating procedures developed internally by a bank in order to manage liquidity crisis (short-term and/or medium-/long-term).

*Contractual Service Margin (CSM)*: Under the new IFRS 17 standard, this item represents gains not yet realized from a group of contracts which will be recognized during the period of the insurance coverage.

*Corporate Exposures*: Class of credit exposures to companies which include also the following categories:

– Exposures to SMEs;

– Leveraged finance (see definition);

– Specialized lending.

*Corporate Sustainability Reporting Directive (CSRD)*: The Corporate Sustainability Reporting Directive is a new EU law that lays down stricter requirements for the preparation of companies' sustainability reports. It amends the NFRD Directive on disclosure of non-financial information and aims to increase the transparency and comparability of information on the environmental, social and governance (ESG) performance of companies. It provides for the introduction of a specific section within the Report on Operations (Financial Disclosure) dedicated to sustainability and adhering to the EFRAG sustainability principles that will replace the current non-financial reporting.

*Cost/Income Ratio*: Operating costs (i.e. labour costs, overheads, administrative expenses and depreciation/amortization) as a percentage of total revenues.

*Cost of Risk (CoR)*: Ratio between loan loss provisions and average net volumes of loans to customers.

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*Counterbalancing Capacity (CBC)*: This is defined as the total liquidity reserves from which potential cash flows to meet expected or unexpected cash demands may arise. CBC is compared to cumulative net cash flow to monitor short-term liquidity management.

*Covenants*: Covenants are contractual clauses which entitle the lender to renegotiate or revoke credit upon the occurrence of certain events defined in said clauses, the purpose of which being to formalize the undertakings entered into by the lender in terms of management and earnings/financial performance, and at the same time provide an instrument with which to record any differences relative to expectations to be noted.

*Covered Bonds*: Covered bonds are debt securities covered by assets that, in the event of failure by the issuer, serve to meet the claims of the bond-holders on a priority basis.

*Credit Conversion Factor (CCF)*: Percentage applied to convert an off-balance-sheet exposure (e.g. a guarantee) into its equivalent balance-sheet amount. This factor is applied in the procedure used to calculate the EAD (see definition).

*Credit Default Swap (CDS)*: Derivative contract whereby one party (the protection seller) undertakes, in return for payment of an amount of money, to pay another party (the protection buyer) an agreed amount if a given event occurs in relation to the deterioration in the credit of a third counterparty or reference entity.

*Credit Risk Mitigation (CRM)*: Set of techniques, ancillary contracts to credit or other instruments (such as financial assets and guarantees) which enables a reduction in the capital requirements to cover credit risk.

*Credit Risk Stage*: Credit risk stage refers to the classification of financial assets valued at FVOCI or at amortized cost, commitments to disburse funds and financial guarantees issued subject to the impairment rules of IFRS 9 according to changes in their credit risk (paragraph 5.5 of IFRS 9). There are three risk stages:

a) Stage 1 comprises:

&nbsp;&nbsp;&nbsp;&nbsp;a. Credit exposures originated or acquired;

&nbsp;&nbsp;&nbsp;&nbsp;b. Exposures with no significant increase in credit risk compared to their initial recognition;

&nbsp;&nbsp;&nbsp;&nbsp;c. Exposures subject to the low credit risk exemption.

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b) Stage 2: significant increase in credit risk compared to initial recognition;

c) Stage 3: impaired exposures.

*Credit Value Adjustment (CVA)*: The adjustment of a portfolio's value to incorporate the counterparty credit risk into transaction prices. CVA has been explicitly introduced by the Basel III framework, and is mainly applied to over- the-counter (OTC) derivatives, i.e. derivatives not subject to specific regulations.

*Debt Valuation Adjustment (DVA)*: This indicator reflects the credit risk incurred by a bank that has entered into a contract; it is often considered as the opposite of Credit Valuation Adjustment (CVA), that is, the DVA of a bank is the CVA of its counterparty. It mainly applies to unsecured derivative liabilities and reflects the benefit that a bank would derive from a deterioration in its credit quality.

*Default*: The condition, either expected or already occurred, of failing to repay a debt.

*Deposit Guarantee Scheme (DGS)*: The DGS (Directive (EU) 2014/49) operate at national level, financed by the national credit institutions, and their principal aim is to ensure repayment of a share of bank deposits. Currently two such schemes operate in Italy: the FITD (see definition) and the FGD (Fondo di garanzia dei Depositanti del Credito Cooperativo). At the EU level, the third pillar of the European banking union, referred to as EDIS, aimed at creating a single fund (Deposit Insurance Fund, DIF) into which the resources of the various national DGS will flow, is in the process of being created.

*Direct Funding (retail)*: Cash amounts due to customers, resident or otherwise, in respect of sight or term deposits or with notice, current accounts, bonds, certificates of deposits, repos and subordinated liabilities. The definition does not include amounts due to other banks, third-party funds held under administration (received from governments, regions or public institutions), liabilities in respect of bankers' drafts and other securities.

*Discounted Cash Flow Model*: This is a valuation method, alternative to the Dividend Discount Model (see definition), suited for those companies which do not have to comply with capital strength requirements, and based on the assumption that the value of asset depends on cash flows generated by the asset, by the time horizon and by their riskiness. Also in this valuation model, cash flows are discounted using the Ke rate (determined pursuant to the CAPM

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methodology, see definition) over a time horizon forecast by the company into its plans and budgets, and taking also into account a terminal value obtained by using a constant growth rate "g".

*Dividend Discount Model, Excess Capital version*: This model is used in order to estimate the intrinsic value of a share based on the sum of its future dividends discounted back to their present value: in this version the dividend flows, taking into account the minimum capital limits set by the regulatory authorities, are discounted back using the cost of own capital Ke (calculated according to the CAPM method (see definition)) as the discount rate, while the period of time consists of the first years of explicit estimates and the terminal value (calculated via the capitalization at constant perpetual growth rate g).

*Dividend per Share (DPS)*: This indicator is used by investors to evaluate the performance of an investment in stocks. DPS is calculated by dividing the total dividend amount by the number of shares in issue.

*Do No Significant Harm (DNSH)*: The DNSH Principle is a European environmental policy principle that requires avoiding or minimizing any significant harm caused by human activities to the environment. It is a central principle of the EU National Recovery and Resilience Plan, which aims to ensure the environmental sustainability of funded projects, acting as a fundamental pillar to guide responsible investments.

*Duration*: Duration is a synthetic indicator of the interest rate risk of a bond, as bond prices have an inverse relation to interest rates. It is defined as the average maturity of expected cash flows, weighted by the contribution which the present value of each cash flow makes to the price. Duration is expressed in years.

*Earnings per share (EPS)*: The ratio between the net income and the average number of shares outstanding during the period, possibly adjusted for taking into account potential equity instruments such as options and convertible bonds.

*Effective Interest Rate*: The rate of interest which renders the discounted value of future cash flows deriving from the loan or receivable by way of principal and interest equal to the amount disbursed, including costs/income attributable to the loan. This method of accounting enables the effect of the costs/income to be distributed over the expected outstanding life of the loan.

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*Embedded Derivative*: An embedded derivative is a component of a hybrid security that is embedded in a non-derivative instrument (or "host"), and cannot be stripped out from its host. For an embedded derivative to be defined as such, a portion of the cash flows from the host contract must vary in relation to changes in an external variable (such as an interest rate, credit rating, the price of a commodity, or some other).

*ENCORE methodology*: it is a tool helping financial institutions to define their exposures to risks related to nature and to understand their connections and impacts on the environmental capital. The latter represents the value of natural resources and services provided by ecosystems that are essential to life and economy.

*Environmental, Social, Governance (ESG)*: The definition indicates non-financial criteria used to assess and measure the environmental, social and governance impact of corporations. Considering these parameters, it is also possible to rank corporations according to their degree of adaptation to these criteria.

*Euro Interbank Offered Rate (EURIBOR)*: This means the short-term interbank rate, calculated on a daily basis, at which the most important banks exchange among them euro-denominated funds.

*Euro OverNight Index Average (EONIA*): Interest rate applied to interbank loans denominated in Euros with a duration of one day (overnight), calculated daily as the weighted average of lending transactions undertaken by a sample of banks with high credit standing selected on a regular basis by the European Banking Federation.

*Euro Short-Term Rate*: This rate measures the cost of wholesale unsecured one-day funding for a sample of banks in the Euro area. The rate is calculated based on data collected as part of the Money Market Statistical Reporting (MMSR), introduced in 2016 for all money market transactions carried out by the largest banks in the Euro area.

*European Banking Authority (EBA)*: The EBA is an independent regulatory agency of the European Union set up in 2011 and forming part of the European System of Financial Supervisors (ESFS, a group of authorities and supervisors which since 2008 has constituted the new European micro- and macro- prudential supervisory framework). The EBA has the objective of ensuring an effective and uniform level of regulation and prudential supervision in the European banking

Glossary \| 709

sector, thereby ensuring financial stability within the EU and guaranteeing the integrity, efficiency and proper functioning of the banking.

*European Securities and Markets Authority (ESMA)*: ESMA is a European Union institution which is responsible for supervising the functioning of financial markets in Europe, ensuring the stability of the EU financial system and safeguarding its integrity, transparency and proper functioning, and strengthening investor protection.

*European Single Electronic Format (ESEF)*: This acronym indicates the name of the new harmonized reporting format across the entire EU.

*European Sustainability Reporting Standards (ESRS)*: The ESRS are the new European standards for corporate sustainability reporting, adopted by the European Commission on a final basis in July 2023. They were drafted by the advisory body called European Financial Reporting Advisory Group (EFRAG) and define the methods, general requirements and disclosure obligations that companies should fulfil for the purpose of ESG sustainability reporting. In addition to two general standards, the new ESRS reporting standards comprise ten topical standards relating to the environment (five), social responsibility (four) and governance (one).

*European Systemic Risk Board (ESRB)*: European committee for systemic risk which is part of the European System of Financial Supervision. It is tasked with the macro-prudential oversight of the financial system within the European Union and is responsible for preventing and mitigating systemic risks that could originate within the European financial system.

*Expected Loss*: The expected loss is an estimate of the loss which a bank expects to incur in respect of a position or of a portfolio of assets. This amount, which by definition is predictable, in practice does not constitute a concrete risk for the Bank, and is already considered to be a component of the cost to be debited to the client when the interest rate is finalized in the loan contract.

*Expected Shortfall*: The expected shortfall represents the expected amount of losses over and above the VaR limit (see definition).

*Exposure At Default (EAD)*: The amount to which the bank is exposed at the point in time upon the default of an obligor.

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*Extensible Business Reporting Language (XBRL)*: This is an XML-based language, mainly used for the electronic communication and exchange of accounting and financial information.

*Extensible HyperText Markup Language (XHTML)*: This is a markup language based on the HTML 4.01 format. XHTML ensures the structuring and semantic markup of content in documents, such as text, images and hyperlinks.

*External Credit Assessment Institution (ECAI)*: Third-party agency in charge of assessing credit risk.

*Fair Value*: Fair value is the price at which an asset (or liability) can be traded (or paid off) in a free transaction between conscious and willing parties.

*Fair Value Hedge*: Type of hedge provided for by IFRS 9 to neutralize exposure to changes in a balance-sheet item's fair value.

*Fair Value Option (FVO)*: An FVO is an option for classifying a financial instrument. By exercising this option a non-derivative instrument not held for trading purposes may also be recognized at fair value through being recorded in the profit and loss account.

*Fair Value through Other Comprehensive Income (FVOCI)*: FVOCI is one of the methods used for classifying financial assets contemplated by IFRS 9 (paragraph 4.1.2A). A financial asset must be recognized at FVOCI when all the following conditions are met:

– The asset is held according to a business model, the objective of which involves both collecting contractual cash flows and selling the financial asset (Hold to collect and sell; see definition);

The contractual terms of the asset are such that at given dates, the cash flows consist solely of payments of principal and interest on the principal amount for repayment.

*Fair Value Through Profit or Loss (FVTPL):* FVTPL is one of the methods used for classifying financial assets contemplated by IFRS 9 (paragraph 4.1.4). It is a residual category, given that assets are measured as FVTPL only if they do not meet the criteria for being recognized at amortized cost: it is not an instrument which pays only principal and interest and which is held for purposes other than

Glossary \| 711

the collection of contractual cash flows (e.g. for trading purposes). This category includes instruments for which the entity has chosen to apply the fair value option (see definition), derivative instruments and those which fail the SPPI test.

*Fairness/Legal opinion*: This means an opinion, given at request, by professionals of sure and certain competence and professionalism, in order to ensure the correctness of economic conditions and/or of the legitimacy and/or of technical aspects of a certain operation at a certain moment.

*Financial Reporting Standards (FINREP)*: A document issued by the CEBS (Committee of European Banking Supervisors), a body which provides advisory services to the European Commission on banking regulations. The CEBS also promotes co-operation and convergence of regulatory practices within the European Union. In 2011 the EBA (European Banking Authority – see definition) began to define harmonized supervisory reporting schemes with statistical content. FINREP itself came into force in 2014.

*Financial Stability Board (FSB)*: An international body (set up following the G20 London summit in April 2009) to monitor and supervise the global financial system. Its mission is to promote international financial stability through extended co-ordination of national financial authorities and other global standard-setters.

*First-Time Adoption (FTA)*: Governed by IFRS 1, FTA refers to entities applying IAS/IFRS for the first time and also in the event of material changes in standards already adopted. With reference to IFRS 9 coming into force, first adopters must provide adequate disclosure of the effects of applying the standard to allow users of financial statements to understand the impact on the entity's financial situation and net equity. First adopters are exempted from providing comparative information.

*Fondo Interbancario di Tutela dei Depositi (FITD)*: This is the fund to which Italian banks contribute to guarantee depositors up to the limits provided (€100,000). The Fund intervenes on the Bank of Italy's authorization in cases of insolvency or extraordinary administration; participant banks pay funds in after the crisis has occurred, at the Fund's request.

*Forborne Exposures*: Forborne exposures are defined as debt contracts in which concessions have been granted to a borrower which is in, or is shortly to find itself in, a situation where it is unable to meet its financial commitments (referred

712 \| Annual Accounts and Report as at 30 June 2024

to as "financial difficulties"). This situation may apply to both performing and non-performing contracts.

*Forward-looking information*: According to the new impairment model introduced by IFRS 9, writedowns must be recorded on the basis of expected future losses in value which have not occurred yet. These expectations must incorporate forward-looking information, to anticipate the effects of possible future loss events. The expected loss calculation model applied for the Mediobanca Group considers three possible macroeconomic scenarios (baseline, mild-positive and mild-negative) which impact on PD (see definition) and LGD (see definition), including any sale scenarios where the Group's NPL strategy (see definition) envisages the possibility of recovering the loss through sale on the market.

*Foundation Internal Rating-Based (FIRB) Models*: This is one of the three methods used to calculate credit risk under Basel II. Unlike the AIRB model (see definition), with the FIRB model the Bank only estimates PD internally, and uses regulatory values for the other parameters (LGD and EAD) needed to calculate the capital requirement.

*Funding*: Sourcing in various forms of the funds required to perform a corporate activity or particular financial transactions.

*Funds Transfer Pricing (FTP)*: FTP is the rate to which each branch of the Institution resells the gathered funds to the central treasury; mirror-like it can also be the rate to which branches buy funds required to finance their own loans. FTP scheme aims to rebalance the profitability among each branch/area of the Institution, rebalancing both funding and loans rates.

*Futures*: Standardized contracts with which the parties undertake to exchange currencies, securities or assets at an agreed price on a future date. Future contracts are traded on regulated markets, where their execution is guaranteed.

*Global Systemically Important Banks (G-SIBs)*: These are larger banks which as such are subject to stricter or additional requisites and specific methods of supervision.

*Global Systematically Important Institutions (G-SIIs)*: This term refers to the Bank of Italy's annual identification of Italian financial institutions that have a global systemic importance.

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*Goodwill*: Goodwill is defined as the surplus in the purchase price over and above net equity (obtained as the difference between acquired assets and assumed liabilities, both valued at fair value) at the acquisition date. Goodwill is thus the premium which a buyer pays in view of future economic benefits deriving from synergies or intangible assets which cannot be recorded separately.

*Grand-fathering*: In general terms, grand-fathering refers to any clause in a new regulation that exempts facts or behaviour put in place prior to the said regulation coming into force from application of the new provisions.

*Greenhouse Gases (GHG)*: The term GHG refers to emissions that are generated by human activities and are characterized by a particular aspect: they "trap" heat in the atmosphere causing the so-called "greenhouse effect", which is the origin of the increase in average global temperature.

*Harmonized Mutual Funds*: Mutual funds covered by the provisions of Directive (EEC) 1985/611, as amended, which are open-ended, allow stock units to be offered to the public and have certain limits on investments, one of which is the obligation, among other things, to primarily invest in listed financial instruments.

*Hold to Collect*: A business model whose objective is to hold the financial assets for the purpose of collecting its contractual cash flows. Assets treated according to this model must undergo an SPPI test (see definition), and if they pass it, are recognized at amortized cost (see definition).

*Hold to Collect and Sell*: A business model whose objective is both to collect contractual cash flows and to sell the instrument. This business model should not be confused with the held for trading model, whereby assets are acquired chiefly for the purpose of selling them in a short period of time. Assets treated according to this model must undergo an SPPI test (see definition), and if they pass it, are recognized at FVOCI (see definition).

*Impairment Test*: Test aimed at checking the book value of each financial assets: in case of a permanent reduction in the value, the value of the assets should be reduced (with impact taken to profit and loss). This test should take place once a year both for intangible assets with indefinite life and for goodwill originated by a business combination (see definition); in all other cases, the entity should check, at the end of each reporting date, whether there are evidences of permanent reduction in value.

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*Indirect Funding*: Equities and other value items not issued by the deposit bank but received by it to hold as a deposit under custody, administration or in connection with asset management activity. For purposes of financial reporting, the category consists of: Assets Under Management (see definition); Assets Under Custody; and Assets Under Administration (see definition): i.e. the sum of funds under administration (shares, bonds, mutual funds and government securities) and funds under management (policies, insurances and pension schemes).

*Inline eXtensible Business Reporting Language (iXBRL*): This is the evolution of the XBRL language. It enables inserting an XBRL document into an HTML document so that it can be viewed in Web browsers with the typical HTML formatting.

*Interest Rate Swap (IRS)*: A contract which falls within the category of derivative contracts, and in particular that of swaps, in which counterparties exchange streams of payments which may or may not be indexed to interest rates calculated based on a notional benchmark capital.

*Internal Capital Adequacy Assessment Process (ICAAP)*: Pillar II of the Basel Accord requires all intermediaries to put in place a process for ongoing assessment of the adequacy of their internal capital (ICAAP). The process must be formalized, documented and approved by the relevant bodies and submitted to internal review on a regular basis.

*Internal Dealing*: Trades involving the shares of issuers listed in Italy or elsewhere which are executed by "relevant parties" of the issuer itself or by persons closely related to them. The subject is governed by the Italian Banking Act and by CONSOB, with the parties involved being obliged to make disclosure to the market in timely fashion of any purchase or sale of securities in their company.

*Internal Liquidity Adequacy Assessment Process (ILAAP)*: Directive (EU) 2013/36 stipulates that all intermediaries must put in place sound strategies, policies, processes and systems to identify, measure, manage and monitor liquidity risk, to ensure that adequate liquidity reserves are maintained.

*Internal Rating Board (IRB)*: Internal rating system.

*International Accounting Standards Board (IASB)*: An independent body of experts which, as part of the IFRS (International Financial Reporting Standards)

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Foundation, has since 2001 replaced the IASC (International Accounting Standards Committee) in issuing international accounting standards. The Board is a group of independent experts with an appropriate mix of recent practical experience in setting accounting standards, in preparing, auditing, or using financial reports, and in accounting education.

*International Organization of Securities Commission (IOSCO)*: IOSCO is the International body that brings together the world's securities regulators and is recognized as the global standard setter for the securities sector. IOSCO develops, implements and promotes adherence to internationally recognized standards for securities regulation. It works intensively with the G20 and the Financial Stability Board (FSB) on the global regulatory reform agenda.

*Investment Grade*: Term used to refer to counterparties and/or bonds which are highly reliable and have received a medium/high rating (see definition), e.g. not lower than BBB- on the Standard & Poor's scale.

*Joint Venture (JV)*: Agreement pursuant to which two or more parties, usually companies, undertake to work together to pursue a joint project (industrial or commercial) or decide to jointly leverage their synergies, expertise or capital.

*Junior*: In a securitization (see definition), the junior tranche is the lowest-ranking of all securities issued, and is the first to incur the losses which may crystallize the course of recovering the underlying assets.

*Key Performance Indicator (KPI)*: Measurable value showing how effective a company is in achieving its objectives.

*Key Risk Indicator (KRI)*: This indicator predicts unfavourable events that might have an adverse impact on the organization. It is used to monitor changes in risk exposure levels and helps to provide early warnings to the company in order to prevent possible crises and mitigate problems in time.

*Large Institution*: Definition introduced by CRR2 regulation (see definition). A corporation falls under the definition of Large Institution when it meets one of the following conditions:

– it is a G-SII;

– it has been identified as an O-SII (systemically-important institution), according to article 131, point 1 and 3 of Directive (EU) 2013/36 (CRD, see definition);

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in the EU Member State it is incorporated in, it represents one of the three major corporations in terms of total assets;

its total assets, at individual level or (when applicable) at consolidated level, amount to or exceed at least €30bn.

*Leverage Ratio*: This is the ratio between Tier 1 capital and the financial leverage ratio's overall exposure amount, including off-balance sheet assets and items.

*Liquidity Coverage Ratio (LCR)*: This ratio has been proposed by Basel III and aims to ensure that a bank maintains an adequate level of unencumbered high-quality liquid assets that can be converted into cash to meet its liquidity needs over a 30-calendar day period during a particularly severe liquidity stress scenario specified by the supervisory authorities. It is obtained by dividing the bank's high-quality liquid assets by their total net cash flows over a specific 30-day stress test period.

*Loan To Value (LTV) Ratio*: Obtained as the ratio between the loan amount granted and the value of the asset which is supposed to be bought with this amount. The LTV Ratio is commonly used by banks as an indicator of credit risk.

*London InterBank Offered Rate (LIBOR)*: It represents a reference rate for the interbank market transactions, calculated on a daily basis by the British Bankers' Association, and represents the rate at which most important English and European banks exchange funds with short term horizon.

*Loss-Given Default (LGD)*: The loss that the lender incurs if the borrower defaults. In order to calculate capital requirements using the internal ratings- based method, the LGD value may be calculated using the approach set by the regulator (the FIRB method) or determined internally by the Bank using its own model (the AIRB model).

*Low Credit Risk Exemption*: In accordance with IFRS 9 (para. 5.5.10ff), a company can assume that for a certain instrument the credit risk has not experienced a significant increase when this instruments shows, at the reporting date, a low credit risk. This definition is met for Stage 1 exposures, which show a low insolvency risk since they can be qualified as investment grade instruments.

*Macroeconomic Scenario*: Description of the economic system at aggregate level, which factors in expected projections of material economic indicators.

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*Mark to Market*: Valuation used in the futures and options markets, whereby the value of the net position for each operator is established daily on the basis of the most recent market prices.

*Markets in Financial Instruments Directive (MiFID)*: Directive (EC) 2004/39 (transposed into Italian law under Legislative Decree 164/07) which has the objective of creating a single market for investment services and activities across the EU. It has recently been amended by Directive (EU) 2014/65 ("MiFID II").

*Maturity*: It indicates the reimbursement date or the expiring date of the instrument.

*Mezzanine*: In a securitization (see definition), the mezzanine tranche is the one with intermediate ranking between the junior and senior tranches.

*Minimum Requirement for Own Funds and Eligible Liabilities (MREL)*: MREL is a requirement introduced by the BRRD Directive (see definition), the purpose of which is to ensure that the bail-in mechanism (see definition) works smoothly by increasing the Bank's capacity to absorb losses. The MREL indicator is calculated as follows:

(Own funds + eligible liabilities) / total liabilities and own funds. New regulatory provisions require a MREL ratio of 21.85% on risk-weighted assets (RWAs, see definition) and of 5.91% on the leverage exposure.

*Net Asset Value (NAV)*: NAV is the value assigned to a fund's net equity: it is calculated by dividing the value of all assets, securities and liquidity held in the portfolio by the number of stock units in issue. For mutual investment NAV is calculated and disclosed at different intervals: daily for open-ended funds, monthly for closed-end funds.

*Net New Money (NNM)*: Term used to define new sources of income obtained in a given period of time, after any writeoffs or other losses.

*Net Stable Funding Ratio (NSFR)*: The amount of available stable funding (ASF) relative to the amount of required stable funding (RSF). The ASF is defined as the portion of equity and liabilities considered to be reliable over the time horizon considered by the NSFR, i.e. one year. The amount of RSF required for a specific bank depends on its liquidity characteristics and the outstanding maturities of the various on- and off-balance-sheet assets held by it. The ratio must remain at a level of at least 100% on an ongoing basis.

718 \| Annual Accounts and Report as at 30 June 2024

*Network for Greening the Financial System (NGFS)*: A global network of central banks and supervisory authorities that promotes the sharing of experiences and best practices on how to manage climate-related and environmental risks in the financial sector.

*Net-Zero Banking Alliance (NZBA)*: Initiative launched by the United Nations Environment Programme Finance Initiative, the section of the UN Environment Programme dedicated to financial institutions. As a signatory of the Agreement, Mediobanca has undertaken the specific obligation to align its proprietary investment and lending portfolios with the goal to reach net-zero emissions by 2050, in line with the targets set by the Paris Climate Agreement.

*Non-Financial Disclosure (NFD)*: Document, drawn up in accordance with the provisions of Article 4 of Italian Legislative Decree 254/16, which contains information on environmental, social and staff-related issues and on human rights and measures to tackle bribery and corruption, of use to provide an understanding of the activities performed by the Group, its performance, results and the impact produced by it on the social and environmental point of view.

*Non-Financial Reporting Directive (NFRD)*: The "Non-Financial Reporting Directive (NFRD)" was drawn up for the purpose of making the social and environmental performance of large companies more transparent. The Directive sets out specific rules on the types of companies that should disclose non-financial information and the guidelines to be followed.

*Non-Performing Loans (NPL)*: A loan whose collection is uncertain both in terms of expiry and amount of the exposure.

*On-Site Inspection (OSI)*: Activity included in supervisory regulation carried out by different regulator (ECB, for instance) to better analyse particular aspects of the corporation under scrutiny. These inspections are carried out at the headquarter of the Bank or institution subject to the supervisory process.

*Options*: Derivative contracts which include the right, but not the obligation, for the option holder, by paying a premium, to acquire (call option) or sell (put option) a financial instrument at a given price (strike price) by (US-type option) or at (European-type option) a future date.

Glossary \| 719

*Outsourcing*: Outsourcing is when a given company process and/or corporate function held to be non-core is contracted to a supplier external to the company.

*Over-The-Counter (OTC)*: OTC refers to markets with no contracts or standardized trading methods which are not linked to a series of regulations (admission, controls, disclosure obligations, etc.) such as those regulating official markets.

*Over Time (OVT) and Point in Time (PIT)*: According to IFRS 15, OVT and PIT are the two possible methods by which a performance obligation (see definition) can be realized. In particular, OVT is when one of these conditions is met:

– The client simultaneously receives and uses the benefits deriving from the entity's performance in the process of its being made;

– The entity's performance creates or enhances the activity (e.g. work in progress) which the client is able to monitor in the process of its being created or enhanced; or

If none of these conditions is met, then the PIT method is applicable.

*Overlay Adjustment*: The term overlay adjustment indicates a provision outside the IFRS 9 model for the purpose of calculating value adjustments on loans. As per the instructions of accounting standard IFRS 9 and the recommendations of the various competent Authorities (ECB, EBA and IASB), in addition to having to consider historical, current and prospective information, the quantification of expected losses admits the possibility of using post-business model adjustments (referred to as "post-model overlays or adjustments"), if the models are unable to fully reflect the effects of the Covid-19 crisis, and related government support measures.

*Past due*: This definition includes exposures, other than those classified as non-performing or unlikely to pay, which at the reference date have expired and/or are more than 90 days past due and which exceed a given materiality threshold. This limit is established with reference either to each individual borrower, or for retail exposures only, for each individual transaction.

*Payout Ratio*: The payout ratio is the percentage of net profit distributed to shareholders in the form of a dividend. This share depends chiefly on the company's need to retain earnings in order to finance its own activities and the returns expected by the shareholders on their investment.

720 \| Annual Accounts and Report as at 30 June 2024

*Performance Obligation*: Definition laid down in IFRS 15, which indicates: "a commitment to deliver:

– A distinct good or service (or a combination of both) to a customer; or

– A series of distinct goods/services which are substantially similar and which follow the same transfer method to the client".

*Performance Shares*: In share-based payment schemes, performance shares are shares in the company itself which are granted to certain categories of staff contingent upon previously defined performance objectives being met.

*Pillar III*: Disclosure document that came into force under Regulation (EU) 575/2013 (CRR, see definition) which introduces into European Union the bank supervisory rules of Basel Committee (see definition) known as "Basel 3". This includes both capital adequacy (Pillar I) and disclosure to the public (Pillar III). These disclosures enable market operators to make a more accurate assessment of banks' capital solidity and exposure to risks.

*Plain Vanilla (derivatives)*: Plain vanilla derivatives are the simplest and least complex form of derivative instrument. The prices of such products depend on the price of their underlying instrument which is listed on regulated markets.

*Pricing*: In a broad sense, pricing generally refers to methods for calculating the yields and/or costs of products and services offered by the Bank. In a narrower sense, it refers to the process of calculating the price of a financial asset.

*Principal Adverse Impact (PAI)*: These are material adverse effects, or effects that could be material, on sustainability factors caused, worsened by or directly linked to investment decisions made or advice given by a legal entity. The European authorities have identified 64 PAI indicators. Financial intermediaries are required to provide a report ("mandatory disclosure") on 18 of them, while they may make disclosures on a voluntary basis on the other 46 indicators.

*Principles for Responsible Banking (PRB)*: Six free commitments launched during the United Nations general Assembly of September 2019 which, - within the political and institutional framework of the Paris Accords and Agenda 2030 for Sustainable Development - propose to integrate socio-environmental issues into the banking sector, incentivizing banks to set sustainable development goals and promoting the measurement of the impacts of banking activities on people and the planet.

Glossary \| 721

*Probability of Default (PD)*: PD expresses the likelihood of a counterparty being unable to fully repay a loan at its expiry. The probability of the borrower defaulting within one year is estimated and a rating assigned to the counterparty accordingly.

*Provisioning (loans)*: This term refers to transfer to provisions made in order to cover the expected credit loss. In particular:

– if at the reporting date there is no significant increase in the financial asset credit risk since its initial recognition, the corresponding provision should be valued for 12-months expected losses;

– if at the reporting date there is a significant increase in the financial asset credit risk since its initial recognition, the corresponding provision should be valued for its lifetime expected losses.

*Prudential Filters*: These are adjustments made to accounting items in calculating regulatory capital, with a view to safeguarding the quality of the capital and reducing the potential volatility brought about by application of IAS/IFRS.

*Purchase Price Allocation (PPA)*: PPA refers to the process of allocating the purchase price of the assets and liabilities of an acquired entity, which must be performed by the acquiring company, within the scope of application for IFRS 3 (Business combinations).

*Purchased or Originated Credit-Impaired (POCI) assets*: POCI refers to financial assets that were already credit-impaired when they were purchased or originated. POCI assets are usually recognized as Stage 3 exposures.

*Return On Allocated Capital (ROAC)*: Ratio between net profit and average capital allocated/absorbed for the period under review. In percentage form it expresses earnings capacity per unit of capital allocated/absorbed.

*Return On Equity (ROE)*: The return on equity is a measure of the profitability of a company's own equity, as expressed through the formula of net profit divided by average net equity for the period (excluding minority interest and dividends proposed and/or paid).

*Return On Risk-Weighted Assets (RORWA)*: Indicator calculated as the ratio between adjusted net profit and risk-weighted assets.

722 \| Annual Accounts and Report as at 30 June 2024

*Return On Tangible Equity (ROTE)*: ROTE is calculated by dividing adjusted net profit by average "tangible" net equity (excluding minority interest and dividends proposed and/or paid as well as goodwill and other intangible assets).

*Right-of-Use Asset (under IFRS 16)*: According to IFRS 16 (Appendix A) it is defined as "an asset that represents a lessee's right to use an underlying asset for the lease term".

*Risk Adjustment (RA)*: Under the new standard IFRS 17, this item represents the remuneration that an entity requires in order to incur the uncertainty about the amount and timing of cash flows arising from non-financial risk during the insurance coverage period.

*Risk Appetite Framework (RAF)*: This is an entity's risk objective or risk propensity, understood as the level of risk (overall and/or by type) that the Bank intends to assume in order to pursue its strategic objectives before it is deemed necessary to take action to reduce such risk.

*Risk-Weighted Asset (RWA)*: Summary of principal risk factors attributable to a given financial asset. The asset's nominal value is "adjusted" in order to express a more accurate measurement of its value. The riskier the asset, the higher the risk-weighting assigned to it (i.e. as the risk increases, so too do RWAs).

*Royalty Relief Method*: This is a valuation method used for an intangible asset (such as brands or patents), which is based on the assumption that the company that owns the asset does not have to license it from a third party and therefore does not have to pay any royalties. The value of the intangible asset is equal to the net present value of all potentially payable royalties.

*RWA Density*: This indicator is the ratio between total risk-weighted assets (RWA) and total balance sheet assets.

*Sale with Recourse*: Transfer of a receivable where the selling party guarantees payment for the third party. The selling party thus guarantees both the existence of the receivable and the borrower's solvency to the recipient.

*Sale without Recourse*: Transfer of a receivable without the selling party offering any guarantee in the event of the borrower not meeting its obligations. Only the existence

Glossary \| 723

of the receivable being sold is guaranteed by the selling party to the recipient, and nothing else, not even the borrower's solvency.

*Senior*: In a securitization (see definition), the senior tranche is the one which ranks highest in terms of priority of remuneration and repayment.

*Sensitivity Analysis*: Analysis carried out in order to estimate the changes in a given indicator according to the changes in one or more of the parameters which determine it (interest rates, exchange rates, market prices etc.), in order to establish the relations between the two of them.

*Servicer*: Intermediary regulated by the Bank of Italy (included in the special register instituted pursuant to Article 107 of the Italian Banking Act; see definition), responsible, under the provisions of Italian Law 130/99, for checking that "securitizations are compliant with the provisions of the law and the contents of the information prospectus", and for collecting receivables sold and the related cash and payment services.

*Short term (under IFRS 16)*: According to para. 5 of IFRS 16, this represents one of the two cases when the lessee can decide not to apply the requirements of the principle itself. The standard states that a lessee can make use of this right if the lease has a term of 12 months or less.

*Significant Bank*: Regulation (EU) 1024/2013 (this regulation establishes the Single Supervisory Mechanism, see definition) states three criteria to define whether a financial institution can be considered significant (if even one of these requirements is met):

Total assets over €30bn;

The ratio between total assets and GDP of the EU state in which it resides is more than 20%, unless total assets value is below €5bn;

The ratio between total assets/liabilities of the institution and total assets/ liabilities of at least another EU state is more than 20%.

A financial institution is also considered to be significant when it has applied for or has received financial aid. Significant Banks are subject to direct supervision of the ECB (see definition).

724 \| Annual Accounts and Report as at 30 June 2024

*Significant Increase in Credit Risk (SICR)*: Pursuant to paragraph 5.5.3ff of IFRS 9, it is necessary to assess at each reporting date whether an instrument has experienced a significant increase in credit risk since the date of initial recognition. This assessment has to take into account qualitative as well as quantitative factors, typical of each facility. The granting of forbearance measures as well as the failing of the 30-days past-due period criterion are considered backstop events. Exposures showing a significant increase in credit risk at the reference date are classified into Stage2.

*Single Resolution Board (SRB)*: The SRB is an authority which has been operational since January 2015 with the aim of bringing resolution to banking crises as part of the SRM (see definition) and the European Banking Union. The authority's objective is the effective resolution of banks in difficulty, with minimal impact on the real economy and public finances in countries which are member states of the European Union.

*Single Resolution Mechanism (SRM)*: The SRM is the second pillar in the process of European Banking Union. It was established pursuant to Regulation (EU) 806/2014 of 15 July 2014, and consists of two related entities: the Single Resolution Board (SRB, see definition), which is the central authority, and the Single Resolution Fund (or SRF), the supranational fund.

*Società di Gestione del Risparmio (SGR)*: SGRs are limited companies which are authorized to provide collective and individual asset management services jointly. In particular they are authorized to set up mutual investment funds, manage mutual funds (on a proprietary basis or other parties' instructions) and assets held as part of SICAVs, and to provide investment portfolio management services on an individual basis.

*Società di Intermediazione Mobiliare (SIM)*: SIMs are entities which are not banks or regulated financial intermediaries which are authorized to provide investment services as defined in the Italian Finance Act (see definition). SIMs are subject to supervision by the Bank of Italy as far as regards risk management and capital solidity and to regulation by CONSOB on issues of transparency and proper conduct.

*Solely Payments of Principal and Interest (SPPI) test*: The SPPI test is the test required by the new IFRS 9 in order to classify financial instruments according to the business model (see definition) in which they have been categorized by the bank. The test is carried out at the initial recognition stage, and for it to be passed, the

Glossary \| 725

contractual cash flows provided for must involve only the regular interest payments and repayment of the principal amount. If the test is failed, the instrument is recognized at FVTPL (see definition).

*Special Purpose Vehicle (SPV)*: This means a company set up to pursue specific objectives, such as to ring-fence financial risk or obtain special regulatory or tax treatment for different portfolios of financial assets. SPVs do not normally have operating or management structures of their own, but use those of the other stakeholders involved in the transaction.

*Speculative Grade*: Term used to refer to counterparties and/or bonds with a low rating (see definition), e.g. lower than BBB- on the Standard & Poor's scale; bonds of this type are often referred to as high-yield bonds.

*Spline*: Mathematical function consisting of a series of curve arcs used to interpolate a series of points so that the resulting function is continuous and smooth.

*Sponsor*: The sponsor of a securitization, unlike the deal's originator, institutes and manages the SPV used to acquire the assets to be securitized from third parties.

*Spread*: The spread is the difference in return, expressed in basis points, between two debt securities: such difference is usually due to the fact that the bonds belong to different rating classes, but also to considerations regarding the risk inherent in the bonds themselves. The comparison may be between debt securities of different sovereign states or issued by the same state but with different maturities, or between bonds issued by companies operating in different sectors.

*Steepener*: With reference to interest rates, a Steepener is a phenomenon in which the interest rate curve becomes steeper through a simultaneous decrease in short-term rates and an increase in long-term interest rates.

*Stress Test*: A stress test is a simulation procedure used to measure the impact of extreme market scenarios on the Bank's total exposure to risk, to allow the Bank's capital adequacy and liquidity profile to be assessed accordingly.

*Sublease*: According to IFRS 16 (Appendix A) it is "a transaction for which an underlying asset is re-leased by a lessee ('intermediate lessor') to a third party, and the lease ('head lease') between the head lessor and the lessee remains in effect".

726 \| Annual Accounts and Report as at 30 June 2024

*Supervisory Review and Evaluation Process (SREP)*: SREP is the regular assessment and measurement of risks at the individual bank level. In SREP decisions, the supervisory authority can require each bank to hold additional capital and/or set qualitative requisites (known as Pillar II). SREP is performed by the Single Supervisory Mechanism, on the basis of the regulations contained in the Capital Requirement Directive (see definition).

*Swap*: Transaction in which cash flows are exchanged between market operators in accordance with specific contractual provisions. Such contracts may have different underlying instruments, including interest rates (the parties to such interest rates undertake to pay cash flows calculated according to different interest rates, typically one party fixed and the other floating interest rates), exchange rates, inflation and so forth.

*Targeted Long-Term Refinancing Operation (T-LTRO)*: The T-LTRO is a non-conventional monetary policy action implemented by the European Central Bank (ECB - see definition) in order to tackle the financial crisis. Through this action, long-term liquidity is provided to banks.

*Tax Rate*: This refers to the effective tax rate, as expressed by the ratio between income tax and profit before tax.

*Taxonomy*: A classification system for identifying and structuring information. ESEF uses the standard elements of the ESEF / IFRS taxonomy. The EU Taxonomy for sustainable finance is a classification system that lists environmentally-sustainable economic activities and provides an accurate definition of what can be considered as such.

Testo Unico Bancario (TUB): The Italian Banking Act, i.e. Italian Legislative Decree 385/93 as amended.

Glossary \| 727

*Testo Unico dell'Intermediazione Finanziaria (TUF)*: The Italian Finance Act, i.e. Legislative Decree No. 58/98 (on financial intermediation, also known as "Draghi" Act), as amended.

*Tier 2*: Tier 2 capital is the secondary component of bank capital and consists mainly of subordinated liabilities which in turn may be split between Upper Tier 2 (bonds with an original duration of more than ten years which may be used to cover losses deriving from the entity's operations which would make it unable to continue its activities), and Lower Tier 2 (bonds with an original duration of more than five years).

*Total Capital Ratio*: A capitalization ratio referring to the aggregate of constituent elements which go to make up Own Funds (Tier 1 and Tier 2). It is expressed by the ratio between total regulatory capital (i.e. Tier 1 + Tier 2 capital consisting of equity instruments other than ordinary shares meeting the regulatory requirements) and the value of RWAs (see definition).

*Total Loss-Absorbing Capacity (TLAC)*: TLAC represents the prudential standard defined by the Financial Stability Board (see definition) in 2015. It serves the same purpose as MREL (see definition), namely, to ensure that the banks involved (G-SIBs – see definition) have sufficient securities in issue to be able to absorb losses.

*Trading Book*: The term "trading book" usually refers to securities or financial instruments in general which go to make up a portfolio of assets for use in trading activities.

*Transaction Price*: Under IFRS 15, the transaction price is "the amount to which the entity deems itself to be entitled in exchange for the transfer of the promised goods or services to the customer, excluding amounts collected on behalf of third parties". IFRS 15 stipulates four elements that can create difficulties in its valuation: variable fees (and limits on them), contractual provision for a significant financial component, non-monetary fees, and fees to be paid to the customer.

*Undertakings for Collective Investment in Transferable Securities (UCITS)*: As defined by the Italian Banking Act, there are two types of UCITS:

– Mutual investment funds, i.e. vehicles which group the financial resources of numerous investors to form a single, indistinguishable equity for investment in financial assets; and

728 \| Annual Accounts and Report as at 30 June 2024

– SICAVs (Società d'Investimento a Capitale Variabile; or investment companies with variable capital), i.e. companies whose sole purpose is to invest their own equity, which is raised by selling their shares to the general public.

*United Nations Environment Programme Finance Initiative (UNEP FI)*: Partnership between the United Nations Environment Programme (UNEP) and the global financial sector to encourage the financial system's actions to align economies with sustainable development.

*Unlikely to Pay (UTP)*: UTP is one of the categories of impaired or non-performing loans (see definition). These are exposures for which the bank thinks the borrower will be unlikely to be able to fully comply with its contractual obligations without recourse to actions such as the enforcement of collateral.

*Value at Risk (VaR)*: Value at Risk is the maximum loss possible on a portfolio as a result of market performance, measured with a given confidence level and over a given time horizon, based on the assumption that the positions require a certain period of time to be sold.

*Warrant*: A warrant is a tradable instrument that entitles the holder to buy or sell fixed-income securities or shares from or to the instrument's issuer.

*Writeoff*: A writeoff is an event that entails an item being deleted from the accounts when there is no longer any reasonable expectation of being able to recover the amount receivable. It may refer to the entire amount or only a portion of the receivable. An item may be written off before legal action to recover the amount has been completed, and does not necessarily imply that the company has waived its legal right to recover it.

Glossary \| 729

Mercurio GP - Milan

## Exhibit 99.7

**Exhibit 99.7**

![](tm2518026d1_ex99-7img001.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Interim Financial Report

Monte dei Paschi di Siena Group

31 March 2025

![](tm2518026d1_headerlogo.jpg)

Banca Monte dei Paschi di Siena S.p.A.

Share Capital: €7,453,450,788.44 fully paid in

Registered with the Arezzo-Siena Company Register – registration no. and tax code 00884060526

MPS VAT Group - VAT number 01483500524

Member of the Italian Interbank Deposit Protection Fund. Registered with the Register of Banks under no. 5274

Monte dei Paschi di Siena Banking Group, registered with the Register of Banking Groups

Interim Financial Report

CONTENTS

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| | |
|:---|:---|
| INTERIM REPORT ON OPERATIONS | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Results in brief* | *4* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Executive summary* | *7* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Shareholders* | *9* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Information on the BMPS share* | *1 0* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Reference context* | *11* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Significant events in the first three months of 2025* | *1 4* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Significant events after the end of the first three months of 2025* | *15* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*2024-2028 Group Business Plan* | *15* |
| CONDENSED CONSOLIDATED INTERIM FINANCIAL STATEMENTS | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consolidated balance sheet* | *1 8* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consolidated income statement* | *20* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consolidated Statement of Comprehensive Income* | *22* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consolidated statement of changes in equity - 31 March 2025* | *23* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consolidated statement of changes in equity as at 31 March 2024* | *24* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consolidated cash flow statement - indirect method* | *25* |
| EXPLANATORY NOTES | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Accounting Policies* | *27* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Income statement and balance sheet reclassification principles* | *38* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Reclassified income statement* | *42* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Reclassified balance sheet* | *50* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Disclosure on risks* | *70* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Results by Operating Segment* | *92* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Prospects and outlook on operations* | *1 05* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Related-party transactions* | *1 06* |
| Declaration of the financial reporting officer | 111 |
| INDEPENDENT AUDITORS'REPORT | 112 |
| Annexes | 115 |

---

BANCA MONTE DEI PASCHI DI SIENA

**INTERIM REPORT ON OPERATIONS**

BANCA MONTE DEI PASCHI DI SIENA

Results in brief

Below are the main figures of the income statement and balance sheet of the Montepaschi Group as at 31 March 2025, calculated on the basis of the reclassified financial statements, the methods of which are illustrated in the section "Income statement and balance sheet reclassification principles" of this Report, and compared with the figures recorded in the same period of the previous year and at the end of the previous year. The Alternative Performance Measures (APMs) identified by the Directors to facilitate the understanding of the economic and financial performance of the Group's operations are also presented. The APMs, which are built using the reclassified data reported in the Reclassified Income Statement and Reclassified Balance Sheet chapters, are based on accounting data, corresponding to those used in internal performance management and management reporting systems, and consistent with the most commonly used metrics within the banking industry, thereby ensuring the comparability of reported figures. The APMs are not envisaged by the IAS/IFRS international accounting standards and, although they are calculated on financial statement data, they are not subject to complete or limited audit.

These measures take into account the Guidelines provided by the European Securities and Markets Authority (ESMA) on 5 October 2015, which the Italian stock exchange regulator, Consob, incorporated into its supervisory practices (Communication no. 0092543 of 3 December 2015), applicable from 3 July 2016. With reference to the context resulting from the military conflict between Russia and Ukraine, note that, in line with ESMA guidelines, no new indicators were introduced, nor were changes made to the indicators normally used. It should be noted that the definition and calculation methods are provided for each APM; the amounts used are traceable through the information contained in the tables below or in the reclassified financial statements contained in this Consolidated Interim Report on Operations. These formats were constructed on the basis of the financial statements envisaged by Bank of Italy Circular no. 262/2005 and subsequent updates following the same aggregation and classification criteria adopted in the previous year, illustrated in more detail in the section "Income statement and balance sheet reclassification principles" of this Interim Financial Report.

**INCOME STATEMENT AND BALANCE SHEET FIGURES**

**MONTEPASCHI GROUP**

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| | | | |
|:---|:---|:---|:---|
| INCOME STATEMENT FIGURES (EUR mln) | **31 03 2025** | **31 03 2024** | **Chg.** |
| Net interest income | 543.0 | 587.0 | -7.5% |
| Net fee and commission income | 397.9 | 365.3 | 8.9% |
| Other income from banking business | 66.2 | 53.1 | 24.7% |
| Other operating income and expenses | 0.1 | 7.4 | -98.6% |
| Total Revenues | 1007.3 | 1012.8 | -0.5% |
| Operating expenses | (472.1) | (462.0) | 2.2% |
| Cost of customer credit | (91.0) | (105.7) | -13.9% |
| Other value adjustments | 3.6 | (0.8) | n.m. |
| Net operating income (loss) | 447.7 | 444.3 | 0.8% |
| Non-operating items | (50.4) | (108.1) | -53.4% |
| Parent company's net profit (loss) for the period | 413.1 | 332.7 | 24.2% |

---

---

| | | | |
|:---|:---|:---|:---|
| EARNINGS PER SHARE (EUR) | **31 03 2025** | **31 03 2024** | **Chg.** |
| Basic earnings per share | 0.328 | 0.264 | 24.2% |
| Diluted earnings per share | 0.328 | 0.264 | 24.2% |

---

---

| | | | |
|:---|:---|:---|:---|
| BALANCE SHEET FIGURES AND INDICATORS (EUR mln) | **31 03 2025** | **31 12 2024** | **Chg.** |
| Total assets | 124579.7 | 122601.7 | 1.6% |
| Loans to customers | 78630.9 | 77309.6 | 1.7% |
| Direct funding | 94594.2 | 93971.9 | 0.7% |
| Indirect funding | 103598.5 | 103237.8 | 0.3% |
| &nbsp;&nbsp;&nbsp;of which: assets under management | 59624.0 | 59924.0 | -0.5% |
| &nbsp;&nbsp;&nbsp;of which: assets under custody | 43974.6 | 43313.8 | 1.5% |
| Group net equity | 12048.6 | 11649.0 | 3.4% |

---

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| | | | |
|:---|:---|:---|:---|
| OPERATING STRUCTURE | **31 03 2025** | **31 12 2024** | **Chg.** |
| Total headcount - end of period | 16678 | 16727 | (49) |
| Number of branches in Italy | 1258 | 1312 | (54) |

---

BANCA MONTE DEI PASCHI DI SIENA

**ALTERNATIVE PERFORMANCE MEASURES**

**MONTEPASCHI GROUP**

---

| | | | |
|:---|:---|:---|:---|
| PROFITABILITY RATIOS (%) | **31 03 2025** | **31 12 2024** | **Chg.** |
| Cost/Income ratio | 46.9 | 46.3 | 0.6 |
| ROE (on average equity) | 13.9 | 18.0 | -4.1 |
| Return on Assets (RoA) ratio | 1.3 | 1.6 | -0.3 |
| ROTE (Return on tangible equity) | 14.1 | 18.3 | -4.2 |

---

---

| | | | |
|:---|:---|:---|:---|
| CREDIT QUALITY RATIOS (%) | **31 03 2025** | **31 12 2024** | **Chg.** |
| Net NPE ratio | 2.3 | 2.4 | -0.1 |
| Gross NPL ratio | 3.8 | 3.8 | n.m. |
| Rate of change of non-performing loans to customers | (0.4) | 3 | -3.4 |
| Bad loans to customers/ Loans to Customers | 0.6 | 0.6 | n.m. |
| Loans to customers measured at amortised cost - Stage 2/Performing loans to customers measured at amortised cost | 12.6 | 13.4 | -0.8 |
| Coverage of non-performing loans to customers | 49.5 | 48.5 | 1 |
| Coverage of bad loans to customers | 65.9 | 66.5 | -0.6 |
| Provisioning | 0.46 | 0.53 | -0.07 |
| Texas Ratio | 26.6 | 27.6 | -1 |

---

**Cost/Income ratio:** ratio between Operating expenses (Administrative expenses and Net value adjustments to property, plant and equipment and intangible assets) and Total revenues (for the composition of this aggregate, see the reclassified income statement).

**Return On Equity (ROE):** ratio of the annualised Net profit (loss) for the period to the average between the shareholders' equity (including Profit and Valuation Reserves) at the end of period and the shareholders' equity at the end of the previous year.

**Return On Assets (ROA):** ratio of the annualised Net profit (loss) for the period to the Total assets at the end of the period.

**Return On Tangible Equity (ROTE):** ratio between the annualised Net Profit (Loss) for the Period and the average between the Tangible Shareholders' Equity<sup>1</sup> at the end of period and that at the end of the previous year.

**Net NPE Ratio:** ratio between net non-performing exposures to customers and total net exposures to customers, both net of assets under disposal (excluding government securities).

**Gross NPL Ratio** **<sup>2</sup>:** gross impact of non-performing loans (NPLs) calculated as the ratio between Gross non-performing loans to customers and banks<sup>3</sup>, net of disposal groups, and total Gross loans to customers and banks, net of disposal groups.

**Rate of change in non-performing loans to customers:** represents the annual rate of change in Gross non-performing loans to customers based on the difference between annual balances.

**Coverage of non-performing loans to customers and coverage of bad loans to customers:** the coverage ratio on Non-performing loans and bad loans to customers is calculated as the ratio between the relative Loss Provisions and the corresponding Gross Exposures.

***Provisioning*** **:** ratio between the annualised Cost of Customer Credit and the sum of Loans to Customers and the value of securities deriving from sale/securitisation of non-performing loans.

***Texas Ratio*** **:** ratio between Gross Non-performing Loans to customers and the sum, in the denominator, of the relative loss provisions and Tangible Shareholders' equity.

<sup>1</sup>Book value of Group shareholders' equity inclusive of profit (loss) for the period, cleared of goodwill and other intangible assets.

<sup>2</sup> *EBA Risk Dashboard*<sup>.</sup>

<sup>3</sup> Loans to banks include current accounts and sight deposits with banks and central banks classified as "Cash" under balance sheet assets.

 

Interim Financial Report

 

**REGULATORY MEASURES**

**MONTEPASCHI GROUP**

---

| | | | |
|:---|:---|:---|:---|
| CAPITAL RATIOS (%) | **31 03 2025** | **31 12 2024** | **Chg.** |
| Common Equity Tier 1 (CET1) ratio - phase in | 19.7 | 18.3 | 1.4 |
| Common Equity Tier 1 (CET1) ratio - fully loaded | 19.6 | 18.2 | 1.4 |
| Total Capital ratio - phase in | 22.1 | 20.6 | 1.5 |
| Total Capital ratio - fully loaded | 22.0 | 20.5 | 1.5 |
| MREL-TREA (total risk exposure amount) | 27.4 | 28.5 | -1.1 |
| MREL-LRE (leverage ratio exposure) | 9.6 | 11.2 | -1.6 |

---

---

| | | | |
|:---|:---|:---|:---|
| FINANCIAL LEVERAGE INDEX (%) | **31 03 2025** | **31 12 2024** | **Chg.** |
| Leverage ratio - transitional definition | 6.9 | 7.2 | -0.3 |
| Leverage ratio - fully phased | 6.9 | 7.2 | -0.3 |

---

---

| | | | |
|:---|:---|:---|:---|
| LIQUIDITY RATIO (%) | **31 03 2025** | **31 12 2024** | **Chg.** |
| LCR | 156.4 | 166.5 | -10.1 |
| NSFR | 129.8 | 134.1 | -4.3 |
| Asset encumbrance ratio | 25.8 | 22.6 | 3.2 |
| Loan to deposit ratio | 83.1 | 82.3 | 0.8 |
| Spot counterbalancing capacity (bn of Eur) | 31.6 | 33.0 | -1.4 |

---

In determining capital ratios, the "phase-in" (or 'transitional') version represents the application of calculation rules according to the regulatory framework in force at the reporting date, while the "fully loaded" version does not incorporate the effects of the prudential filter related to the Other Comprehensive Income Reserve on government securities. In any case, this indicator incorporates the effects of the transitional regime introduced by CRR3 on risk-weighted assets.

**Common equity Tier 1 (CET1) ratio:** ratio between Common Equity Tier 1 and total Risk-Weighted Assets.

**Total Capital ratio:** ratio between Own Funds and total Risk-Weighted Assets.

**MREL-TREA:** calculated as the ratio of the sum of own funds and eligible liabilities to total Risk-Weighted Assets.

**MREL-LRE:** calculated as the ratio of the sum of own funds and eligible liabilities to the amount of total leverage exposures.

**Leverage Ratio:** calculated as the ratio between Tier 1 Capital and total exposures, in accordance with the provisions of Article 429 of Regulation 575/2013.

**Liquidity Coverage Ratio (LCR):** short-term liquidity indicator corresponding to the ratio between the amount of High-Quality Liquid Assets and the total net cash outflows in the subsequent 30 calendar days.

**Net Stable Funding Ratio (NSFR):** structural 12-month liquidity indicator corresponding to the ratio between the available stable funding amount and the required stable funding amount.

**Asset encumbrance ratio:** ratio of the total carrying amount of encumbered assets and collateral received reused to total assets and total guarantees received available.

**Loan to deposit ratio:** ratio between Net Loans to Customers and Direct Funding (due to customers and debt securities issued).

**Spot counterbalancing capacity:** sum of items that are certain and free from any commitment that the Group can use to meet its liquidity requirements, consisting of financial and commercial assets eligible for purposes of refinancing operations with the European Central Bank ("ECB") and assets deposited in the collateralised interbank market (MIC) and not used, to which the haircut, published on a daily basis by the ECB, is prudentially applied.

BANCA MONTE DEI PASCHI DI SIENA

Executive summary

A summary of the trend in key items of the main aggregates of the Group as at 31 March 2025 is provided below.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net Interest Income**, was EUR 543 mln, down compared to the same period in 2024 (-7.5%, equal to
EUR -44.0 mln). The decline was recorded in relationships with customers at amortised cost (EUR -79.0 mln) and, to a lesser extent, in
relationships with banks at amortised cost (EUR -8.9 mln), while there was an increase, in particular, in interests on relationships with
central banks (EUR +13.7 mln) and those on trading portfolios (EUR +14.2 mln). In more detail, the margin on customer relations was affected
by the dynamics of interest rates, which led to lower interest income, only partially offset by the lower cost of collection.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net fee and commission income**, totalling **EUR 398 mln**, recorded an increase compared to the
same period of the previous year (+8.9%, equal to EUR +32.6 mln). The positive performance was recorded both in management/brokerage and
advisory activities (+15.0%, equal to EUR +27.7 mln) and in commercial banking activities (+2.7%, equal to EUR +4.8 mln). In detail, in
the first commission area, the contribution of the distribution and portfolio management components increased (EUR +23.9 mln), of the
brokerage and placement of securities and currencies (EUR +3.6 mln) and of the other brokerage/management and consultancy commissions
(EUR +1.7 mln). In the commercial banking area, commission income on loans (EUR +5.7 mln), commission income on guarantees (EUR +2.4 mln)
and other net fee and commission income (EUR +2.2 mln) had a positive effect, partially offset by a decline in the ATM and credit card
service (EUR -4.0 mln).

&nbsp;&nbsp;&nbsp;&nbsp;· **Other income from banking business**, equal to EUR 66 mln, increased by 24.7% compared to the first
quarter of 2024. The change also factors in the profits earned from banking portfolio management activities.

&nbsp;&nbsp;&nbsp;&nbsp;· **Other operating income and expenses**, with a substantially zero result, are compared to a contribution
of EUR +7 mln recorded in the first quarter of 2024.

&nbsp;&nbsp;&nbsp;&nbsp;· As a result of the trends described above, **Total revenues** amounted to EUR 1,007 mln, remaining
essentially stable compared to the same period of the previous year (-0.5%).

&nbsp;&nbsp;&nbsp;&nbsp;· **Operating expenses** came to EUR 472 mln, an increase compared to 31 March 2024, (+2.2%, equal to
 EUR 10.1 mln) due to the impact on Personnel expenses of the renewal of the National Collective
 Labour Agreement, partially offset by the continued optimisation of Other administrative
 expenses (-2.3% compared to the first quarter of 2024). In particular, within the aggregate, **Personnel Expenses**, which amount to EUR 321 mln, are higher than those recorded in
 the same period of the previous year (+5.5%), following the costs connected to the second
 increase in wages envisaged by the renewal of the National Collective Labour Agreement of
 bankers (effective from 1 September 2024) and to greater provisions on the variable component
 of remuneration in line with the Strategic Plan 2024-2028. **Other administrative expenses**,
 equal to EUR 112 mln, were down compared to 31 March 2024 (-2.3%), also due to the implementation
 of a rigorous expenditure management process and the focus on cost optimisation actions. **Net Value Adjustments to Property, Plant and Equipment and Intangible Assets**, amounting
 to EUR 38 mln, registered a decrease of 9.4% compared to the previous year.

&nbsp;&nbsp;&nbsp;&nbsp;· The **Cost of Customer Credit** stood at EUR 91 mln, down slightly compared to the figure of EUR 106
mln recorded in the corresponding period of 2024. The **Provisioning Rate** came to 46 bps (53 bps as at 31 December 2024).

&nbsp;&nbsp;&nbsp;&nbsp;· **Net Operating Income** as at 31 March 2025 stood at EUR 448 mln, an increase from the figure of EUR
444 mln as at 31 March 2024.

&nbsp;&nbsp;&nbsp;&nbsp;· In
addition to the changes in these economic aggregates, there were **non-operating components** amounting to EUR -50 mln as at 31 March
2025 (EUR -108 mln in the corresponding period of 2024). Non-operating components include: **Other Net Provisions for Risks and Charges**,
equal to EUR -25 mln (EUR -4 mln as at 31 March 2024); **Other gains/losses on Equity investments**, with a substantially zero result
both at 31 March 2025 and in the same period of 2024; **Restructuring costs/One-off costs** amounted to EUR -7 mln, (EUR -8 mln as
at 31 March 2024); **Cost of extraordinary operations**, equal to EUR -7 mln; **Risks and charges associated to the SRF, DGS and similar schemes**, which were zero in the current quarter (EUR -75 mln at 31 March 2024); The **DTA fee** amounted to EUR -14 mln
(EUR -15 mln as at 31 March 2024); **Net gains (losses) on property, plant and equipment and intangible** 

Interim Financial Report

---

| | |
|:---|:---|
|  | assets measured at fair value amounted to EUR +2 mln (zero at 31 March 2024); **Gains/losses on disposal of investments, z**ero at 31 March 2025 (EUR -6 mln as at 31 March 2024). |
| · | As a result of these trends, combined with the positive impact of **Income taxes for the period** of EUR 16 mln (compared to a negative contribution of EUR 4 mln as at 31 March 2024), the Group recorded a **Parent company's net profit (loss) for the period of EUR 413 mln**, compared to a profit of EUR 333 mln in the first quarter of 2024, up 24.2%. |

---

&nbsp;&nbsp;&nbsp;&nbsp;· As at 31 March 2025, the Group's **Total Funding** volumes amounted to EUR 198.2 bn, highlighting
an increase of EUR 1.0 bn compared to 31 December 2024, both on Direct Funding (EUR +0.6 bn) and on Indirect Funding (EUR +0.4 bn). In
particular, as regards Direct Funding, growth was recorded in the technical forms of repurchase agreements (EUR +2.3 bn), term deposits
(EUR +0.4 bn) and other forms of direct funding (EUR +0.6 bn), while current accounts (EUR -1.4 bn) and bonds (EUR -1.2 bn, following
the exercise, in the first quarter of 2025, of the option for early full repayment of a Tier 2 subordinated bond for EUR 400 mln and a
Senior bond for EUR 750 mln) decreased. Indirect Funding grew by EUR 0.4 bn compared to 31 December 2024, thanks to assets under custody
(EUR +0.7 bn); Assets under management are substantially stable (EUR -0.3 bn). Assets under custody benefit from both positive net flows
and a positive market effect, while the dynamics of Assets under management are mainly attributable to a negative market effect.

Total funding was up also compared to 31 March 2024 (EUR +5.4 bn), due to the increase in Direct Funding (EUR +1.9 bn) and Indirect Funding (EUR +3.5 bn). The growth in direct deposits involved current accounts (EUR +1.3 bn), term deposits (EUR +0.2 bn), repurchase agreements (EUR +0.3 bn) and other forms of deposits (EUR +0.9 bn). Bonds, on the other hand, declined (EUR -0.8 bn). The dynamics of Indirect Collection compared to the same period of the previous year is linked both to the increase in Assets under custody (EUR +2.0 bn) and to the growth in Assets under management (EUR +1.5 bn). Both components mainly benefited from a positive market effect. Net flows were also positive, especially in the fund and Assets under custody items.

&nbsp;&nbsp;&nbsp;&nbsp;· **Loans to Customers** stood at EUR 78.6 bn as of 31 March 2025, up compared to 31 December 2024 (EUR
+1.3 bn), especially on mortgages (EUR +1.3 bn) and, to a lesser extent, on current accounts (EUR +0.2 bn). The other components were
essentially stable. Compared to 31 March 2024, the aggregate slightly increased (EUR +0.2 bn).

&nbsp;&nbsp;&nbsp;&nbsp;· As at 31 March 2025, the **coverage ratio of non-performing loans** to customers was 49.5%, up compared
to 31 December 2024 when it was 48.5%. In particular, the coverage ratio of Unlikely to pay exposures and Non-performing past-due loans
increased, going from 38.8% to 40.0% and from 26.3% to 28.7% respectively, while the coverage ratio of Bad Loans slightly decreased, going
from 66.5% to 65.9%.

The coverage ratio of non-performing loans is substantially stable compared to 31 March 2024 (equal to 49.5%). At individual administrative status level, the trends is attributable to Unlikely to pay exposures (whose coverage rose from 37.8% to 40.0%) and to the coverage ratio of Non-performing past-due loans (which rose from 21.3% to 28.7%); On the other hand, the coverage ratio of bad loans is slightly decreasing (from 67.8% to 65.9%).

As for capital ratios, at 31 March 2025, the ***Common Equity Tier 1 Ratio*** stood at **19.7%** (compared to 17.9% at 31 March 2024 and 18.3% at 31 December 2024), and the ***Total Capital Ratio*** stood at **22.1%** (compared to 21.3% as at 31 March 2024 and 20.6% as at 31 December 2024), deducting from capital the dividends accrued during the first quarter, assuming a *payout ratio* of 75% of pre-tax profit.

BANCA MONTE DEI PASCHI DI SIENA

Shareholders

As at 31 March 2025, the Parent Company Banca Monte dei Paschi di Siena S.p.A. share capital amounted to EUR 7,453,450,788.44, broken down into 1,259,689,706 ordinary shares.

According to the communications received pursuant to current legislation on significant equity investments (Article 120 of the Consolidated Banking Act), and based on the information available on the CONSOB website, the parties that, as at 31 March 2025, directly and/or indirectly hold ordinary shares representing more than 3% of the Issuer's share capital and that do not fall within the exemptions provided for in Article 119-bis of the Issuers' Regulations are as follows:

**Major BMPS shareholders as at 31 March 2025**

---

| | |
|:---|:---|
| **Declarant** | **% of shares held on the <br> ordinary share capital** |
| Ministry of Economy and Finance | 11.731% |
| Delfin Sàrl | 9.780% |
| Francesco Gaetano Caltagirone Group (\*) | 5.026% |
| Banco BPM S.p.A. | 5.003% |
| Anima Holding S.p.A. | 3.992% |

---

*\** *Holdings held through: Ausonia S.r.l., Esperia 15 S.r.l., MK 87 S.p.A., Istituto Finanziario 2012 S.p.A., Gamma S.r.l., Azufin S.p.A., VM 2006 S.r.l., Mantegna 87 S.r.l., Calt 2004 S.r.l., Finanziaria Italia 2005 S.p.A.*

The main changes that occurred during the first quarter of 2025 are reported below:

&nbsp;&nbsp;&nbsp;&nbsp;· on 6 January 2025, Delfin Sàrl announced that it had increased its stake in the Bank's share
capital from 3.509% to 9.780%.

After the close of the first quarter of 2025:

(i) on 11 April 2025, the acquisition of Anima Holding SpA by Banco BPM SpA became effective; following this operation, the shareholding held by Banco BPM SpA in the share capital of Banca Monte dei Paschi di Siena SpA is equal to 8.996%.

(ii) at the Ordinary and Extraordinary Shareholders' Meeting of Banca Monte dei Paschi di Siena SpA held on 17 April 2025, the following certifications were obtained relating to shares exceeding 3% of the share capital of Banca Monte dei Paschi di Siena, by the following Shareholders:

---

| |
|:---|
| Ministry of Economy and Finance: 11.731%; |
| Francesco Gaetano Caltagirone Group: 9.963%<sup>4</sup>; |
| Delfin Sàrl: 9.866%; |
| Banco BPM S.p.A.: 5.000%<sup>5</sup>; |
| Anima Holding S.p.A.: 3.992%<sup>5</sup>. |

---

Furthermore, it is represented that during the Meeting of 17 April 2025, the representative of the shareholder Miria Asset Management LTD declared that this company holds in aggregate shares exceeding 3%.

<sup>4</sup> Holdings held through: Ausonia Srl, Esperia 15 Srl, Istituto Finanziario 2012 SpA, Gamma Srl, Azufin SpA, VM 2006 Srl, Mantegna 87 Srl, Calt 2004 Srl, Finanziaria Italia 2005 SpA, Immako Srl, Romana Partecipazioni 2000 Srl, MK 87 SpA, Viapar Srl, Finced Srl, Pantheon 2000 SpA.

<sup>5</sup> The shareholdings of Banco BPM and Anima refer to the "record date" of 8 April 2025, which is prior to the effective date of the acquisition of Anima by Banco BPM (11 April 2025).

Interim Financial Report

Information on the BMPS share

The BMPS share closed the first quarter of 2025 at EUR 7.30, with period growth of +7.3%, while the FTSE All Share Banks index showed an increase of +24.8% and the FTSE MIB rose by +11.3%. The average daily trading volume of MPS shares was around EUR 19.3 mln over the quarter.

---

| | |
|:---|:---|
| **SHARE PRICE SUMMARY STATISTICS (from 31/12/2024 to 31/03/2025)** | **SHARE PRICE SUMMARY STATISTICS (from 31/12/2024 to 31/03/2025)** |
| Average | 6.87 |
| Minimum | 6.16 |
| Maximum | 7.82 |

---

**Rating**

**Moody's:**

During the first quarter, on **31 January 2025**, the rating agency Moody's reviewed the Bank's ratings, affirming them, and upgraded the outlook to positive on the long-term ratings of the senior unsecured debt and deposits. The decision followed the Bank's announcement on 24 January 2025 to launch a voluntary public exchange offer for Mediobanca shares.

**Rating as of 31 March 2025:**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Rating agency** | **Last revision<br> date** | **Short-term<br> Debt** | **Long-term<br> Debt (Senior<br> Unsecured)** | **Long-term <br> Deposits** | **Outlook (Senior <br> Unsecured/ <br> Deposits)** | **Baseline <br> Credit <br> Assessment** | **Subordinated<br> Debt** |
| Moody's | 31/01/25 | P (NP) | Ba2 | Baa3 | Positive | ba2 | Ba3 |

---

**Fitch Ratings:**

During the first quarter of 2025, the rating agency did not make any upgrades to the Bank's ratings. The last rating action remains that of 25 October 2024, with the ratings upgrade and the outlook change to positive from stable.

**Rating as of 31 March 2025:**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Rating agency** | **Last revision<br> date** | **Long-term<br> Issuer Default <br> Rating** | **Outlook<br> (Long-term IDR)** | **Long-term<br> Deposits** | **Viability rating** | **Subordinated<br> Debt** |
| Fitch | 25/10/24 B | BB+ | Positive | BBB- | bb+ | BB- |

---

**Morningstar DBRS:**

During the first quarter of 2025, the rating agency did not make any upgrades to the Bank's ratings.

**Rating as of 31 March 2025:**

---

| | | | |
|:---|:---|:---|:---|
| **Rating agency** | **Last revision<br> date** | **Short-term<br> Issuer <br> Rating** | **Outlook** |
| Morningstar DBRS | 15/04/24 | R-3 BB (high) BBB (low) | Positive BB (high) |

---

BANCA MONTE DEI PASCHI DI SIENA

Subsequently, on **3 April 2025,** the rating agency Morningstar DBRS announced a new upgrade of the Bank's ratings, bringing the Long-Term Issuer rating, the Long-Term Senior Debt rating to investment grade to "BBB (low)" and, at the same time, the Long-Term Deposit rating was raised to "BBB". The Intrinsic Assessment rating is now at "BBB (low)". The outlook was confirmed as positive.

The decision to upgrade the ratings takes into account the results achieved by the Bank in all areas, including the strengthening of its capacity to generate capital and its solid capital buffers, strengths which, according to the agency, guarantee the Bank the flexibility both to navigate the various phases of the economic cycle and to be able to play an active role in the consolidation process underway in the Italian banking system.

Reference context

**The international scenario**

In the first quarter of 2025, the global economy showed signs of slowing down, conditioned by new American protectionist measures that created a context of strong uncertainty. At the beginning of April, the US administration announced new tariff increases towards almost all other countries, commensurate with their trade surplus with the US, and then suspended part of them for three months with the exception of measures towards China. Beijing, heavily hit by the duties, reacted by imposing high tariffs on American products; The EU has temporarily suspended retaliatory measures. In this context, growth weakened in the United States, remained moderate in the Euro Area and did not strengthen in China. Energy prices for oil and natural gas fell reflecting the prospect of an economic slowdown. In addition to the possible repercussions of a tariff escalation and tensions on financial/currency markets, geopolitical risks linked to Ukraine and the Middle East persist in weighing on global growth prospects.

In the **United States**, growth recorded an unexpected contraction in the first quarter of the year (-0.3% q/q preliminary). Consumption has weakened, reflecting the increased economic uncertainty resulting from trade policy; imports, on the other hand, increased in order to anticipate the introduction of duties. Manufacturing confidence hovered just above the threshold that signals economic expansion; household inflation deteriorated, reflecting rising inflation expectations, despite the general price index and core indicator rising in March.<sup>6</sup> slowed to 2.4% and 2.8% y/y respectively. On the labour market, unemployment remained at low levels (at 4.2% in March) but labor supply and demand were affected by the fall in employment in the public sector.

In **the Euro Area**, in the first quarter of 2025, GDP slightly accelerated on a quarterly basis (+0.4% preliminary q/q) supported by positive consumption compared to stagnant investments. Services showed growth and the industrial cycle partially recovered, but manufacturing confidence signaled weakness due to uncertainty induced by US tariff policies. Construction recorded modest expansion, benefiting from the recovery of the real estate market in some countries, supported by the easing of financing conditions. In a context of heightened trade tensions, the evolution of foreign demand was uncertain. In the first months of the year, the recomposition of prices continued with inflation falling close to 2% y/y, showing a slowdown in the services component. On the labour market, unemployment hit new lows around 6%.

In March, the EU Commission announced a proposal for a new plan, called ReArm Europe, aimed at increasing the Union's defence capabilities, which could allow for up to EUR 800 bn of increased military spending over the next four years.<sup>7</sup> In the same month, constitutional changes were passed in Germany that allow the German government to borrow for defense spending exceeding 1% of GDP; it was also decided to set up a fund of EUR 500 bn over twelve years for investments in infrastructure.

Among **emerging countries**, in China, in the first quarter of the year GDP recorded a solid expansion on an annual basis (preliminary +5.4%) thanks to the leap in exports, which increased in view of the entry into force of US tariffs, and to the acceleration of industrial production. However, growth slowed on a quarterly basis, inflation remained negative in March and the real estate sector remained weak. The Beijing government has set an annual GDP growth target of 5% and

<sup>6</sup> Index adjusted for the price components of food and energy goods (typically more volatile).

<sup>7</sup> The plan includes, among other things: i) the possibility of activating the national safeguard clause of the Stability and Growth Pact to increase defence spending; ii) the granting of EU loans to member countries for joint public procurement initiatives; (iii) the option to redirect the cohesion funds available to a Member State towards defence expenditure.

Interim Financial Report

launched new stimulus measures to support domestic consumption and infrastructure projects. In India, growth remained strong, confirming the country's aspirations to become a potential global manufacturing hub, also favoured by the strong expansion of its middle class. In Russia, economic imbalances and inflationary pressures have begun to take effect and growth has slowed. Since mid-February and even more so since April, following the tightening of US tariffs and subsequent Chinese retaliatory measures, the dollar has weakened against major currencies.

**Italy: economic context**

In **Italy,** GDP increased by 0.3% (preliminary) compared to the last quarter of 2024 thanks to the resilience of consumption, while investments in capital goods fell. The activity was supported by the services; manufacturing showed an improvement, but is expected to suffer the repercussions of new tariffs and the instability of the international context going forward. In construction, the stimulus provided by the progressive implementation of the NRRP works has offset the reduction in the housing sector. Exports of goods grew in the first months of 2025 but are expected to be affected by the increase in tariffs, although the sectoral composition, positioning and profitability of Italian companies operating on the US market could mitigate the unfavorable consequences in the short term. Employment rose again at the start of the year and unemployment fell below 6%. Higher winter energy prices pushed inflation up slightly, to 2% y/y in April (provisional data); the underlying component also showed an acceleration (to +2.1% y/y from 1.7% in March).

Among the significant measures adopted by the Government in the first quarter of the year, the following are worth mentioning:

&nbsp;&nbsp;&nbsp;&nbsp;· Legislative Decree no. 23/2025, implementing the DORA Regulation (Digital Operational Resilience Act)
issued by the EU and entered into force on 17 January 2025, which aims to promote the harmonisation of digital resilience requirements
for the entire European financial sector (Legislative Decree no. 23/2025 published on 11 March 2025 in the Official Journal) and regulates
the following profiles: i) ICT risk management, ii) ICT incident reporting, iii) digital operational resilience testing, iv) third-party
risk management arising from the use of ICT service providers, v) infosharing;

&nbsp;&nbsp;&nbsp;&nbsp;▪ Law 21 February 2025, No. 15, converting into law, with amendments, Legislative Decree No **.** 202/2024
on regulatory deadlines (so-called Milleproroghe), which provides, among other things, for the extension of some deadlines in economic
and financial matters, in particular with regard to the remote holding of company and entity meetings, the readmission to the facilitated
definition and other deferrals in tax returns, in the Transition Plan 5.0, guaranteed bank loans and in terms of violation in the matter
of non-financial declarations;

&nbsp;&nbsp;&nbsp;&nbsp;▪ the bill "Amendments to Law No. 21 of 5 March 2024, for the updating of the delegation provided
for therein and for the conferral of the delegation to the Government for the organic reform and reorganisation of the sanctioning system
and all sanctioning procedures set out in the consolidated text referred to in Legislative Decree No. 58 of 1998 (Consolidated text of
provisions on financial intermediation - TUF), as well as further provisions on financial matters".

Furthermore, on 9 April the Council of Ministers approved the Public Finance Document (PFD) 2025 to be sent to the EU Commission after examination by the Parliament. The Public Finance Document, incorporating the innovations introduced by the reform of European economic governance, has a different structure compared to that of previous documents and specifically provides that each Member State shall submit, by 30 April of each year, to the Commission an annual report on the progress made in the implementation of the medium-term budgetary structural plan, in the implementation of reforms and investments in the context of the European semester and, where appropriate, in the implementation of the set of reforms and investments that justify an extension of the adjustment period. The PFD contains, among other things: i) the analysis of the economic and cash accounts of public administrations in the previous year and of any deviations from the programme objectives; ii) the trend forecasts under current legislation, at least for the following three years; iii) an indication of the forecasts under unchanged policies for the main aggregates of the general government income statement for at least the following three years; iv) the trend forecasts, at least for the following three years, of the cash balance of the state sector and the indications on the related coverage methods; v) the identification of general rules on the evolution of public spending; (vi) detailed information on the results and forecasts of the accounts of the main spending areas, at least for the following three years.

The sixth Report on the status of implementation of the NRRP was published on 27 March 2025. According to the reported estimates, as of 31 December 2024, actual expenditure amounted to almost EUR 64 bn, approximately half of the resources received so far through the Recovery and Resilience Facility and a third of those allocated.

At European level, i) the European compass for competitiveness was presented, which, on the basis of the priorities indicated in the Draghi Report, outlines a clear strategic framework to guide EU work, including that aimed at creating

BANCA MONTE DEI PASCHI DI SIENA

Europe as the first climate-neutral continent; ii) the EU Agenda 2025 was presented, which sets out, among other things, the path towards a strong and united Europe and towards simplification; iii) the first *Omnibus* package was approved , which simplifies the rules on sustainability, with the aim of stimulating competitiveness and freeing up additional investment capacity, currently being approved by the European Council and under examination in Italy by the Senate's EU policies committee.

**Financial markets and monetary policy**

After a positive start to the year, since the beginning of February the stock markets have been affected by the escalation of trade tensions with the volatility of global markets having increased significantly. The fall in American stock prices reflected fears of a domestic economic slowdown, while European stock markets benefited from an upward revision in the expected growth of the Eurozone, supported by the German infrastructure spending programme and the European rearmament plan. From the beginning of the year to 31 March 2025, the FTSE Mib has gained over +11% and the Euro Stoxx over +7%. The S&P500 lost almost -5% and the Nikkei -11% approximately. The Chinese Shanghai Shenzhen CSI 300 contained its losses (-1% approximately) thanks to investors' interest in Chinese AI and the achievement of the government's growth target. At the beginning of April, global stock markets recorded new strong corrections after the US imposition of differential reciprocal duties, which were followed by partial recoveries after the US suspension of tariffs for the most cooperative countries (excluding China).

In the first quarter of 2025, long-term interest rates in "risk-free" countries showed divergent paths. The 10-year Treasury yield fell, reflecting uncertainty over the fallout from U.S. trade policies. European yields rose, with the Bund accelerating after announcements on European military and German infrastructure spending plans. On 31 March 2025, the US 10-year rate stood at 4.21%, the German yield at 2.74% and the Italian yield at 3.87%, down 36, up 37 and up 35 basis points respectively compared to the end of 2024. The BTP-Bund spread closed the quarter at around 113 basis points, down -3 points compared to the 2024 close. However, in early April, with the escalation of tariffs, long-dated Treasury yields recorded a sharp rise on possible sales of US securities by foreign investors most affected by the tariffs (i.e. China) and forced liquidations of positions by hedge funds. The BTP-Bund spread rose again, approaching 130 basis points. Among rating agencies, S&P's raised Italy's rating to BBB+ (from BBB), with a stable outlook; Fitch has affirmed Italy's rating at BBB with a positive outlook.

At its March meeting, the Federal Reserve kept the Fed funds rate unchanged in the range of 4.25%-4.50%, confirming caution while waiting for greater clarity on the impacts of trade policies and despite calls for action from the Government. The Authority reiterated that at the moment there are no conditions to start a cycle of cuts, underlining that monetary policy is already less restrictive and the economy remains solid, but in its most recent forecasts it has revised growth prospects downwards and inflation and unemployment upwards. Despite the majority of FOMC members still forecasting two cuts in the key rate this year, markets, with the worsening of tariff tensions, are weighing the risks of a US recession, expecting a greater number of cuts from the Fed.

The ECB, after having cut its key interest rates by 25 basis points in March, in April, with a unanimous decision, made a further reduction of 25 basis points, bringing the rate on the main refinancing operations to 2.40%, the rate on the deposit facility to 2.25% and the rate on the marginal lending facility to 2.65%. The authority reiterated that the deflationary process is continuing in line with expectations, while downside risks to growth have increased as a result of trade tensions. In the currency field, the Institute has stressed that it has no target on the exchange rate, although it recognises that the appreciation of the currency has a negative effect on inflation. The ECB plans to steer its upcoming monetary policy decisions using a data-driven approach, with decisions made on a case-by-case basis at each meeting.

The recomposition of the ECB balance sheet continued. The portfolios of the APP (Asset Purchase Programme) and the PEPP (Pandemic Emergency Purchase Programme) are shrinking at a measured and predictable pace, as the Eurosystem no longer reinvests the repaid principal on maturing securities.

Interim Financial Report

Significant events in the first three months of 2025

**Voluntary public exchange offer on the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni promoted by Banca Monte dei Paschi di Siena S.p.A.**

On 23 January 2025, the Board of Directors of Banca MPS approved the launch of a voluntary Public Exchange Offer (the "Offer") on all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni ("Mediobanca"). The Offer is conditional upon obtaining the relevant regulatory authorisations and meting the conditions indicated in the disclosure to the market of 24 January 2025, which will be further detailed in the Offer Document.

On 13 February 2025, the Parent Company filed the Offer Document with Consob. On the same date, Banca MPS submitted the following to the competent authorities: (i) the petitions to obtain the authorisations required by the sector regulations in relation to the Offer pursuant to Article 102, paragraph 4 of the TUF and Article 37-ter, paragraph 1, letter b) of the Issuers' Regulations, and (ii) the notifications/communiques on antitrust and golden power matters.

The Offer is subject to the approval of the Offer Document by Consob, which will be published at the end of the investigation carried out by the Authority pursuant to Article 102, paragraph 4, of the TUF, which may intervene only following the obtaining of the above-mentioned additional authorisations and the approval, in exercise of the delegation, of the capital increase to service the Offer by the Board of Directors of BMPS.

With reference to the authorisations, it should be noted that, on 1 April 2025, the European Central Bank authorised the computability as Common Equity Tier 1 capital of the new shares issued to service the Offer and the statutory amendments concerning the delegation to the Board of Directors for the aforementioned capital increase, subject to the approval of such statutory amendments by the BMPS Shareholders' Meeting. Furthermore, the Presidency of the Council of Ministers has resolved, in acceptance of the proposal of the Ministry of Economy and Finance, not to exercise the special powers pursuant to Legislative Decree no. 21 of 15 March 2012, converted into Law No. 56 of 11 May 2012 (the so-called *golden power*).

On 2 April 2025, the Parent Company also filed with Consob the Information Document, prepared pursuant to Art. 70 of the Issuers Regulation.

On 17 April 2025, the Extraordinary Shareholders' Meeting resolved, with the favourable vote of 86% of the capital present, to grant the Board of Directors the authority to increase the capital to support the Offer.

The Public Exchange Offer is expected to be completed by the third quarter of 2025.

\*\*\*\*

Furthermore, the following significant events occurred during the quarter:

On **3 January 2025,** Banca MPS announced the exercise, on 22 January 2025, of the option for early full repayment of the Tier 2 subordinated bond called "€400,000,000 8.000 per cent. Reset Callable Subordinated Notes". Subsequently, on **10 February 2025**, it announced the exercise, on 2 March 2025, of the option for early full repayment of the senior bond denominated "€750,000,000 Fixed to Floating Rate Callable Senior Notes due 2 March 2026". Both actions are carried out in accordance with the funding plan and have obtained the authorisations issued by the European Central Bank.

On **28 February 2025**, Standard Ethics raised the Corporate Standard Ethics Rating (SER) of Banca MPS to 'EE+' from the previous 'EE'. The rating agency confirmed that the upgrade to 'EE+'(Very Strong) leads to the expected long-term rating and the outlook remains positive.

BANCA MONTE DEI PASCHI DI SIENA

Significant events after the end of the first three months of 2025

The Ordinary and Extraordinary Shareholders' Meeting was held on **17 April 2025**, during which the approval of the 2024 financial statements, the payment of the dividend, the report on the remuneration policy, the 2025 incentive system and the integration of the Board of Directors with the appointment as Directors of the directors already co-opted on 27 December 2024 were resolved. The Shareholders' Meeting also resolved, with the favourable vote of 86% of the capital present, to grant the Board of Directors the power to increase the capital to service the voluntary public exchange offer by Banca Monte dei Paschi di Siena SpA for all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni. Furthermore, amendments to Articles 14 and 15 of the Articles of Association were approved, concerning the procedures for holding meetings and for presenting lists and managing the co-option of directors during their term.

2024-2028 Group Business Plan

On 5 August 2024, the Board of Directors of the Parent Company approved a new Business Plan for the period 2024-2028, "*A Clear and Simple Commercial Bank Revolving Around Customers, Combining Technology With Human Touch*", which targets a Bank capable of successfully satisfying evolving customer demands through a process of corporate and technological innovation supported by a broad investment plan, fully leveraging talent, further improving business sustainability, strengthening financial statements and focusing on the distribution and creation of value for all stakeholders. For further details, please refer to the Annual Financial Report as at 31 December 2024.

In terms of earnings targets, the result for the first quarter of 2025 exceeds the Plan's objectives, particularly due to higher revenues and lower operating expenses in a context of strict expenditure management and continuous focus on cost optimisation actions. On the credit front, the objectives of both ordinary destocking and restoration to performing status, in addition to the contributions from disposal operations (finalised in the latter part of the previous year), allowed the Gross NPE ratio to be maintained at Plan levels with a cost level slightly below Plan expectations (despite the uncertain macroeconomic context due also to geopolitical tensions). As a result of the economic trends described above, the profitability indicators (Cost income, ROE, ROTE) were all better than the Plan forecast. The Group also achieved a CET1 ratio of 19.6% (fully loaded) as at 31 March 2025, above the Plan and among the best levels in the banking system.

To implement the Plan's actions, strategic projects have been initiated with a rigorous governance process aimed at monitoring activities and results.

Funding strategy

The 2025-2027 Group Liquidity and Funding Strategy defines the guidelines for management of the Group's liquidity and funding over a long-term horizon, to support the development and objectives outlined in the Plan. For each of the forward-looking maturities, starting from the business plan and the developments expected from the imbalance created, it outlines the methods for obtaining cash and the counterbalancing capacity necessary for the processes to function in the short term, at the same time guaranteeing structural balance in the funding profile and medium/long-term business development. The maturity profile for the period 2025-2027 is mainly represented by ECB auctions, which, as at 31 March 2025, stood at EUR 8 bn (EUR 8.5 bn as at 31 December 2024, EUR 13 bn as at 31 December 2023), consisting of LTRO auctions amounting to EUR 4.5 bn and MRO auctions amounting to EUR 3.5 bn. In the period 2025-2027, other maturities are represented by institutional bonds, amounting to approximately EUR 5 bn to be repaid, of which:

- EUR 1.8 bn in 2025 (EUR 1 bn in covered bonds and EUR 0.8 bn in senior unsecured bonds);

- EUR 2.7 bn in 2026 (EUR 1.1 bn in covered bonds and EUR 1.6 bn in senior unsecured bonds);

- EUR 0.5 bn in 2027 (EUR 0.5 bn in senior unsecured bonds).

In January 2025, the call of the Tier 2 subordinated bond with a nominal value of EUR 0.4 bn issued in January 2020, with original maturity 2030, was exercised; in March 2025, the call of the senior unsecured bond with a nominal value of EUR 0.8 bn issued in February 2023, with original maturity in 2026, was also exercised. During the year, it will also be possible to exercise the call option on an additional Tier 2 subordinated bond issued in September 2020, also with an original maturity set in 2030, with a nominal value of EUR 0.3 bn; In 2026, the call of a senior unsecured bond of EUR 0.5 bn (whose final due date is in 2027) may be exercised. The exercise of the aforementioned calls will take place based on

Interim Financial Report

cost effectiveness in terms of spread/replacement rate, the liquidity/capital situation and will in any case be subject to prior authorisation from the competent supervisory authorities (SRB/ECB).

Against the scheduled maturities, the Group's funding strategy aims to maintain liquidity ratios at adequate levels, well above regulatory limits, and to ensure – with particular regard to public bond issuance plans – that the targets set in terms of liquidity ratios and MREL are met. The 2025-2027 Group Liquidity and Funding Strategy will in any case require annual implementation, as appropriate, which will illustrate in greater detail the actual actions to be taken during the reference year and the authorisations to the operating structures for their implementation.

Commitments related to the State Aid received in 2017

Information on the Commitments revised by the European Commission and made public on 3 October 2022 can be found in the Annual Financial Report as at 31 December 2024 to which reference is made.

As of 31 March 2025, the Parent Company is awaiting the formal closure of commitments from the European Commission, following the release of the Monitoring Trustee's report based on the financial data for the last quarter of 2024. The Parent Company was substantially in compliance with its commitments.

BANCA MONTE DEI PASCHI DI SIENA

**CONDENSED CONSOLIDATED INTERIM**

**FINANCIAL STATEMENTS**

Interim Financial Report

Consolidated balance sheet

---

| | | | |
|:---|:---|:---|:---|
|  | **Assets** | **31 03 2025** | **31 12 2024** |
| 10. | Cash and cash equivalents | 12336.8 | 13249.4 |
| 20. | Financial assets measured at fair value through profit or loss | 8575.6 | 6532.8 |
|  | a) financial assets held for trading | 8063.0 | 6076.6 |
|  | c) other financial assets mandatorily measured at fair value | 512.6 | 456.2 |
| 30. | Financial assets measured at fair value through other comprehensive income | 2095.9 | 2337.4 |
| 40. | Financial assets measured at amortised cost | 91494.5 | 90525.9 |
|  | a) Loans to banks | 3283.4 | 3365.8 |
|  | b) Loans to customers | 88211.1 | 87160.1 |
| 50. | Hedging derivatives | 422.7 | 94.2 |
| 60. | Change in value of macro-hedged financial assets (+/-) | (632.4) | (411.5) |
| 70. | Equity investments | 677.0 | 672.3 |
| 90. | Property, plant and equipment | 2088.4 | 2109.1 |
| 100. | Intangible assets | 143.5 | 156.1 |
|  | - of which goodwill | 7.9 | 7.9 |
| 110. | Tax assets | 2583.0 | 2536.9 |
|  | a) current | 80.5 | 104.3 |
|  | b) deferred | 2502.5 | 2432.6 |
| 120. | Non-current assets held for sale and disposal groups | 1105.0 | 1128.7 |
| 130. | Other assets | 3689.7 | 3670.4 |
|  | **Total Assets** | **124579.7** | **122601.7** |

---

BANCA MONTE DEI PASCHI DI SIENA

*continues:* Consolidated balance sheet

---

| | | | |
|:---|:---|:---|:---|
| **Total Liabilities and Shareholders' Equity** | **Total Liabilities and Shareholders' Equity** | **31 03 2025** | **31 12 2024** |
| 10. | Financial liabilities measured at amortised cost | 103436.8 | 102751.4 |
|  | &nbsp;&nbsp;&nbsp;a) due to banks | 9864.2 | 9811.3 |
|  | &nbsp;&nbsp;&nbsp;b) due to customers | 83986.8 | 82632.2 |
|  | &nbsp;&nbsp;&nbsp;c) debts securities issued | 9585.8 | 10307.9 |
| 20. | Financial liabilities held for trading | 2736.0 | 2605.7 |
| 30. | Financial liabilities designated at fair value | 121.1 | 119.7 |
| 40. | Hedging derivatives | 310.9 | 358.4 |
| 50. | Change in value of macro-hedged financial liabilities (+/-) | (0.1) | (0.7) |
| 60. | Tax liabilities | 29.7 | 5.6 |
|  | &nbsp;&nbsp;&nbsp;a) current | 25.4 | 1.3 |
|  | &nbsp;&nbsp;&nbsp;b) deferred | 4.3 | 4.3 |
| 70. | Liabilities associated with non-current assets held for sale and discontinued operations | 975.6 | 976.7 |
| 80. | Other liabilities | 3909.5 | 3132.0 |
| 90. | Provision for employees severance pay | 69.9 | 69.7 |
| 100. | Provision for risks and charges: | 941.4 | 933.9 |
|  | &nbsp;&nbsp;&nbsp;a) financial guarantees and other commitments | 149.2 | 149.6 |
|  | &nbsp;&nbsp;&nbsp;b) post-employment benefits | 3.2 | 3.3 |
|  | &nbsp;&nbsp;&nbsp;c) other provisions | 789.0 | 781.0 |
| 120. | Valuation reserves | 46.9 | 60.4 |
| 150. | Reserves | 4135.1 | 2184.3 |
| 170. | Share capital | 7453.5 | 7453.5 |
| 190. | Non-controlling interests (+/-) | 0.3 | 0.3 |
| 200. | Net Profit (loss) for the period (+/-) | 413.1 | 1950.8 |
|  | **Total Liabilities and Shareholders' Equity** | **124579.7** | **122601.7** |

---

Interim Financial Report

Consolidated income statement

---

| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **31 03 2025** | **31 03 2024\*** |
| 10. | Interest income and similar revenues | 1008.7 | 1232.0 |
|  | &nbsp;&nbsp;&nbsp;of which interest income calculated applying the effective interest rate method | 839.8 | 1014.0 |
| 20. | Interest expense and similar charges | (472.5) | (654.3) |
| **30.** | **Net interest income** | **536.2** | **577.7** |
| 40. | Fee and commission income | 454.3 | 419.1 |
| 50. | Fee and commission expense | (58.3) | (56.8) |
| **60.** | **Net fee and commission income** | **396.0** | **362.3** |
| 70. | Dividends and similar income | 1.6 | 4.9 |
| 80. | Net profit (loss) from trading | 37.2 | 44.8 |
| 90. | Net profit (loss) from hedging | 0.5 | (0.4) |
| 100. | Gains/(losses) on disposal/repurchase of: | 11.5 | (12.7) |
|  | &nbsp;&nbsp;&nbsp;a) financial assets measured at amortised cost | 9.8 | (12.1) |
|  | &nbsp;&nbsp;&nbsp;b) Financial assets measured at fair value through other comprehensive income | 1.7 |  |
|  | &nbsp;&nbsp;&nbsp;c) financial liabilities |  | (0.6) |
| 110. | Net profit (loss) from financial assets and liabilities measured at fair value through profit or loss | (9.8) | (7.6) |
|  | &nbsp;&nbsp;&nbsp;a) financial assets and liabilities designated at fair value | 0.9 | 2.0 |
|  | &nbsp;&nbsp;&nbsp;b) other financial assets mandatorily measured at fair value | (10.7) | (9.6) |
| **120.** | **Net interest and other banking income** | **973.2** | **969.0** |
| 130. | Net impairment (losses)/reversals on | (76.0) | (111.5) |
|  | &nbsp;&nbsp;&nbsp;a) financial assets measured at amortised cost | (75.5) | (111.6) |
|  | &nbsp;&nbsp;&nbsp;b) financial assets measured at fair value through other comprehensive income | (0.5) | 0.1 |
| 140. | Modification gains/(losses) | (1.0) | (2.2) |
| **150.** | **Net income from banking activities** | **896.2** | **855.3** |
| **180**.** | **Net income from banking and insurance activities** | **896.2** | **855.3** |
| 190. | Administrative expenses: | (511.1) | (561.7) |
|  | &nbsp;&nbsp;&nbsp;a) personnel expenses | (323.4) | (307.9) |
|  | &nbsp;&nbsp;&nbsp;b) other administrative expenses | (187.7) | (253.8) |
| 200. | Net provision for risks and charges: | (24.4) | 13.0 |
|  | &nbsp;&nbsp;&nbsp;a) commitments and guarantees issued | 0.4 | 16.2 |
|  | &nbsp;&nbsp;&nbsp;b) other net provisions | (24.8) | (3.2) |
| 210. | Net adjustments to/recoveries on property, plant and equipment | (22.8) | (25.5) |
| 220. | Net adjustments to/recoveries on intangible assets | (15.6) | (16.7) |
| 230. | Other operating expenses/income | 58.7 | 57.9 |
| **240.** | **Operating expenses** | **(515.2)** | **(533.0)** |
| 250. | Gains (losses) on investments | 14.7 | 15.3 |
| 260. | Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | 2.0 |  |
| 280. | Gains (losses) on disposal of investments |  | (6.1) |
| **290.** | **Profit (loss) before tax from continuing operations** | **397.7** | **331.5** |
| 300. | Tax (expense)/recovery on income from continuing operations | 15.4 | (3.5) |
| **310.** | **Profit (loss) after tax from continuing operations** | **413.1** | **328.0** |
| 320. | Profit (loss) after tax from discontinued operations |  | 4.7 |
| **330.** | **Profit (loss) for the period** | **413.1** | **332.7** |
| 340. | Net Profit (loss) attributable to non-controlling interests |  |  |
| **350.** | **Parent company's net profit (loss) for the period** | **413.1** | **332.7** |

---

BANCA MONTE DEI PASCHI DI SIENA

---

| | | |
|:---|:---|:---|
|  | **31 03 2025** | **31 03 2024\*** |
| **Basic Earnings per Share (Basic EPS)** | **0.328** | **0.264** |
| of continuing operations | 0.328 | 0.260 |
| of groups of assets held for sale and discontinued operations | (0.000) | 0.004 |
| **Diluted Earnings per Share (Diluted EPS)** | **0.328** | **0.264** |
| of continuing operations | 0.328 | 0.260 |
| of groups of assets held for sale and discontinued operations | (0.000) | 0.004 |

---

\* The data were restated in the 2024 income statement to take into consideration the classification of the subsidiary Monte Paschi Banque S.A. as a discontinued operation, in accordance with the provisions of IFRS 5.

Interim Financial Report

Consolidated Statement of Comprehensive Income

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| | | | |
|:---|:---|:---|:---|
| **Items** | **Items** | **31 03 2025** | **31 03 2024** |
| **10.** | **Profit (loss) for the period** | **413.1** | **332.7** |
|  | **Other comprehensive income after tax not recycled to profit or loss** | **0.4** | **6.9** |
| 20. | Equity instruments designated at fair value through other comprehensive income | 0.9 | 1.9 |
| 30. | Financial liabilities designated at fair value through profit or loss (change in the entity's own credit risk) | (0.5) | (1.9) |
| 80. | Non-current assets held for sale |  | 2.4 |
| 90. | Share of valuation reserves of equity-accounted investments |  | 4.5 |
|  | **Other comprehensive income after tax recycled to profit or loss** | **(13.9)** | **(9.1)** |
| 110. | Exchange differences | (1.0) | 0.5 |
| 120. | Cash flow hedges | (4.5) | (0.1) |
| 140. | Financial assets (other than equity securities) measured at fair value through other comprehensive income | 1.6 | (2.1) |
| 160. | Share of valuation reserves of equity-accounted investments | (10.0) | (7.4) |
| **170.** | **Total other comprehensive income after tax** | **(13.5)** | **(2.2)** |
| **180.** | **Total Comprehensive income (Item 10+130)** | **399.6** | **330.5** |
| 190. | Consolidated comprehensive income attributable to non-controlling interests |  |  |
| **200.** | **Consolidated comprehensive income attributable to Parent Company** | **399.6** | **330.5** |

---

BANCA MONTE DEI PASCHI DI SIENA

Consolidated statement of changes in equity - 31 March 2025

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| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Allocation of**<br> **profit from prior** | **Allocation of**<br> **profit from prior** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | | | |
|  | | | | **year** | **year** | | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | | | | |
|  | <br>**Balance <br> as at<br> 31 12 2024** | <br>**Change <br> in opening <br> balances** | <br>**Balance <br> as at <br> 01 01 2025** | **Reserves** | **Dividends <br> and other** | <br>**Change in <br> Reserves** | **Issue <br> of new <br> shares** | **Purchase <br> of treasury<br> shares** | **Extraordinary <br> distribution<br> of dividends** | **Change in <br> equity<br> instruments** | **Treasury <br> share <br> derivatives** | **Stock <br> options** | **Change in <br> equity<br> investments** | <br>**Total <br> comprehensive <br> income as at<br> 31 03 2025** | <br>**Total <br> equity<br> as at<br> 31 03 2025** | <br>**Group <br> equity <br> as at<br> 31 03 2025** | <br>**Non <br> controlling <br> interests <br> as at<br> 31 03 2025** |
| Share capital: | 7.4540 |  | 7.4540 |  |  |  |  |  |  |  |  |  |  |  | 7.4540 | 7.4534 | 06 |
| a) ordinary shares | 7.4540 |  | 7.4540 |  |  |  |  |  |  |  |  |  |  |  | 7.4540 | 7.4534 | 06 |
| b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Reserves: | 2.1830 |  | 2.1830 | 1.9506 |  |  |  |  |  |  |  |  |  |  | 4.1336 | 4.1351 | (15) |
| a) from profits | 2.1862 |  | 2.1862 | 1.9506 |  |  |  |  |  |  |  |  |  |  | 4.1368 | 4.1383 | (15) |
| b) other | (32) |  | (32) |  |  |  |  |  |  |  |  |  |  |  | (32) | (32) |  |
| Valuation reserves | 617 |  | 617 |  |  |  |  |  |  |  |  |  |  | (135) | 481 | 469 | 12 |
| Net profit (loss) for the period | 1.9506 |  | 1.9506 | (1.9506) |  |  |  |  |  |  |  |  |  | 4131 | 4131 | 4131 |  |
| Total equity | 11.6493 |  | 11.6493 |  |  |  |  |  |  |  |  |  |  | 3996 | 12.0488 | 12.0485 | 03 |
| Group equity | 11.6490 |  | 11.6490 |  |  |  |  |  |  |  |  |  |  | 3996 | 12.0485 | 12.0485 | X |
| Non-controlling interest | 03 |  | 03 |  |  |  |  |  |  |  |  |  |  |  | 03 | X | 03 |

---

As at 31 March 2025, shareholders' equity, including non-controlling and the result for the period, amounted to EUR 12,048.8 mln, compared with EUR 11,649.3 mln as at 31 December 2024, representing a net increase of EUR 399.5 mln. This performance was due to: (i) the profit for the period of EUR 413.1 mln, and (ii) the net negative change in valuation reserves of EUR 13.5 mln, the details of which are shown in the statement of comprehensive income to which we refer.

Interim Financial Report

Consolidated statement of changes in equity as at 31 March 2024

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| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Allocation of**<br> **profit from prior** | **Allocation of**<br> **profit from prior** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | **Change during the year** | | | |
|  | | | | **year** | **year** | | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | **Shareholders' equity transactions** | | | | |
|  | <br>**Balance <br> as at<br> 31 12 2023** | <br>**Change <br> in opening <br> balances** | <br>**Balance <br> as at<br> 01 01 2024** | **Reserves** | **Dividends <br> and other<br> payments** | <br>**Change in <br> Reserves** | **Issue <br> of new <br> shares** | **Purchase <br> of treasury<br> shares** | **Extraordinary <br> distribution<br> of dividends** | **Change in <br> equity<br> instruments** | **Treasury <br> share <br> derivatives** | **Stock <br> options** | **Change in <br> equity<br> investments** | <br>**Total <br> comprehensive <br> income as at <br> 31 03 2024** | <br>**Total <br> equity<br> as at <br> 31 03 2024** | <br>**Group <br> equity<br> as at <br> 31 03 2024** | <br>**Non <br> controlling <br> interests<br> as at <br> 31 03 2024** |
| Share capital: | 7.4541 |  | 7.4541 |  |  |  |  |  |  |  |  |  |  |  | 7.4541 | 7.4535 | 06 |
| a) ordinary shares | 7.4541 |  | 7.4541 |  |  |  |  |  |  |  |  |  |  |  | 7.4541 | 7.4535 | 06 |
| b) other shares |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Reserves: | 4442 |  | 4442 | 2.0516 |  | (20) |  |  |  |  |  |  |  |  | 2.4939 | 2.4951 | (11) |
| a) from profits | 5763 |  | 5763 | 2.0516 |  | (20) |  |  |  |  |  |  |  |  | 2.6259 | 2.6272 | (12) |
| b) other | (1321) |  | (1321) |  |  |  |  |  |  |  |  |  |  |  | (1321) | (1321) |  |
| Valuation reserves | 292 |  | 292 |  |  |  |  |  |  |  |  |  |  | (22) | 270 | 258 | 12 |
| Net profit (loss) for the period |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Total equity | 2.0516 |  | 2.0516 | (2.0516) |  |  |  |  |  |  |  |  |  | 3327 | 3327 | 3327 |  |
| Group equity | 9.9791 |  | 9.9791 |  |  | (20) |  |  |  |  |  |  |  | 3305 | 10.3076 | 10.3070 | 06 |
| Non-controlling interest | 9.9785 |  | 9.9785 |  |  | (20) |  |  |  |  |  |  |  | 3305 | 10.3070 | 10.3070 | X |
| Share capital: | 07 |  | 07 |  |  |  |  |  |  |  |  |  |  |  | 06 | X | 06 |

---

As at 31 March 2024, shareholders' equity, including non-controlling and the result for the period, amounted to EUR 10,307.6 mln, compared with EUR 9,979.1 mln as at 31 December 2023, representing a net increase of EUR 328.5 mln. This performance was mainly due to: (i) the profit for the period of EUR 332.7 mln, and (ii) the net negative change in valuation reserves of EUR 2.2 mln, the details of which are shown in the statement of comprehensive income to which we refer.

BANCA MONTE DEI PASCHI DI SIENA

Consolidated cash flow statement - indirect method

---

| | | |
|:---|:---|:---|
| **A. OPERATING ACTIVITIES** | **31 03 2025** | **31 03 2024** |
| **1. Cash flow from operations** | **850.4** | **498.7** |
| Profit (loss) (+/-) | 413.1 | 332.7 |
| Capital gains/losses on financial assets held for trading and on assets/liabilities designated at fair value (+/-) | 141.3 | (182.2) |
| Net gains (losses) on hedging activities | (0.5) | 0.4 |
| Net impairment losses/reversals | 112.0 | 152.9 |
| Net adjustments/recoveries on property, plant and equipment and intangible assets (+/-) | 36.4 | 42.7 |
| Net provisions for risks and charges and other costs/revenues (+/-) | 27.2 | (11.1) |
| Unpaid charges, taxes and tax credit | (15.4) | 3.5 |
| net adjustments to/recoveries on discontinued operations, after tax (+/-) | 0.4 |  |
| Other adjustments | 135.9 | 159.8 |
| **2. Cash flow from (used in) financial assets** | **(3035.5)** | **(2420.8)** |
| Financial assets held for trading | (2121.3) | (1014.6) |
| Other financial assets mandatorily measured at fair value | (67.1) | (67.4) |
| Financial assets measured at fair value through other comprehensive income | 259.5 | 56.6 |
| Financial assets measured at amortised cost | (983.4) | (1710.3) |
| Other assets | (123.2) | 314.9 |
| **3. Cash flow from (used in) financial liabilities** | **1275.3** | **3610.6** |
| Financial liabilities measured at amortised cost | 672.7 | 522.4 |
| Financial liabilities held for trading | 133.8 | 3355.7 |
| Financial liabilities designated at fair value | 1.4 | 1.2 |
| Other liabilities | 467.4 | (268.7) |
| **Net cash flow from (used in) operating activities** | **(909.8)** | **1688.5** |

---

---

| | | |
|:---|:---|:---|
| **B. INVESTMENT ACTIVITIES** | **31 03 2025** | **31 03 2024** |
| **1. Cash flow from** | **-** | **0.1** |
| Sales of property, plant and equipment |  | 0.1 |
| **2. Cash flow used in** | **(2.8)** | **(2.4)** |
| Purchase of property, plant and equipment | (1.8) | (2.2) |
| Purchase of intangible assets | (1.0) | (0.2) |
| **Net cash flow from (used in) investment activities** | **(2.8)** | **(2.3)** |

---

---

| | | |
|:---|:---|:---|
| **C. FUNDING ACTIVITIES** | **31 03 2025** | **31 03 2024** |
| **Net cash flow from (used in) funding activities** | **-** | **-** |
| **NET CASH FLOW FROM (USED IN) OPERATING, INVESTMENT AND FUNDING ACTIVITIES DURING THEPERIOD** | **(912.6)** | **1686.2** |

---

**Reconciliation**

---

| | | |
|:---|:---|:---|
| **Accounts** | **31 03 2025** | **31 03 2024** |
| Cash and cash equivalents at beginning of the year | 13249.4 | 14317.3 |
| Net increase (decrease) in cash and cash equivalents | (912.6) | 1686.2 |
| Cash and cash equivalents at end of the year | 12336.8 | 16003.5 |

---

BANCA MONTE DEI PASCHI DI SIENA

**EXPLANATORY NOTES**

BANCA MONTE DEI PASCHI DI SIENA

Accounting Policies

The Interim Financial Report of the Monte dei Paschi di Siena Group as at 31 March 2025, approved by the Board of Directors on 8 May 2025, includes the Interim Report on Operations and the Condensed Consolidated Interim Financial Statements and has been prepared in accordance with the IFRS accounting standards issued by the International Accounting Standards Board and the related interpretations of the IFRS Interpretations Committee adopted by the European Union, as established by EU Regulation No. 1606 of 19 July 2002 and in force as at 31 March 2025.

For the purposes of preparing these condensed consolidated interim financial statements, the provisions of IAS 34 "Interim financial reporting" have been adopted, in order to comply with any obligations to update the Offer Document prepared as part of the voluntary public exchange offer for all ordinary shares of Mediobanca, described in more detail in the paragraph "Significant events during the period" included in the interim report on operations. As allowed by IAS 34, the option to prepare quarterly information in a summary format has been utilised instead of the full information required for the annual consolidated financial statements. The preparation of this Condensed Consolidated Interim Report does not modify the definition of interim financial reporting period which continues to be six months.

The Condensed Consolidated Interim Financial Statements, prepared using the euro as the reporting currency, include the Consolidated Income Statement, the Consolidated Statement of Comprehensive Income, the Consolidated Statement of Changes in Equity, the Consolidated Cash Flow Statement, the Explanatory Notes; the Condensed Consolidated Interim Financial Statements and the Explanatory Notes, unless otherwise indicated, are drawn up in millions of euros.

For the preparation of the Condensed Consolidated Interim Financial Statements, the accounting policies have been applied of the provisions of Bank of Italy Circular No. 262 of 22 December 2005, "Bank financial statements: schemes and compilation rules" and subsequent updates, most recently the 8th update published on 17 November 2022.

The Condensed Consolidated Interim Financial Statements show, in addition to the amounts pertaining to the reporting period, also the corresponding comparison data as at 31 December 2024 for the Consolidated Balance Sheet and for the first quarter of 2024 for:

- the Consolidated Income Statement;

- the Consolidated Statement of Comprehensive Income;

- the Consolidated Statement of Changes in Equity; and

- the Consolidated Cash Flow Statement.

As illustrated in the Consolidated Financial Statements as of 31 December 2024, on 13 June 2024 the Board of Directors of the Parent Company approved an exclusivity agreement with a private equity fund for the sale of the subsidiary Monte Paschi Banque SA, the completion of which is expected by the end of 2025. Commencing the Half-Yearly Financial Statements for the period ending 30 June 2024, the investee in question was classified as a discontinued operation pursuant to IFRS 5. In particular, in the balance sheet as at 31 March 2025, the assets and related liabilities of the subsidiary are shown in the consolidated balance sheet items "Non-current assets held for sale and disposal groups" and "Liabilities associated with disposal groups", without any restatement of comparative balances. With reference to the income statement, the contribution of the associate was recorded in income statement item 320 "Profit (loss) after tax from discontinued operations" for the first three months of 2025 and for the previous comparison period, which was therefore restated compared to that originally published. Specifically, the positive contribution of Monte Paschi Banque S.A., amounting to EUR 4.7 mln at 31 March 2024, which in Interim Financial Report as at 31 March 2024 was reported in various items of the income statement as a result of line-by-line consolidation, has been reclassified to the above income statement item. From a measurement perspective, the application of the measurement criterion set out in IFRS 5 had a negative impact on the Group's net equity and profit for the year ended 31 March 2025 of approximately EUR 39.4 mln (of which approximately EUR 36.4 mln was recognised at 31 December 2024) and approximately EUR 3.0 mln, respectively.

The Condensed Consolidated Interim Financial Statements as at 31 March 2025 are drafted with clarity and give a true and fair view of the Bank's assets, financial position, profit and loss for the period, change in shareholders' equity and the cash flows generated.

With reference to the classification, recognition, measurement, derecognition and reporting of the various asset and liability entries, as well as the methods for recognising revenue and costs, the accounting principles used for the preparation of these Condensed Consolidated Interim Financial Statements are the same as those used for preparation of the Consolidated Financial Statements as at 31 December 2024, to which the reader is referred for more detail.

Interim Financial Report

The Interim Report as at 31 March 2025 is accompanied by the statement of the Financial Reporting Officer, pursuant to paragraph 2 of Article 154-bis of the Consolidated Law on Finance.

The Condensed consolidated financial statements as at 31 March 2025 are subject to limited review by the independent auditors PricewaterhouseCoopers S.p.A..

An illustration of the new accounting standards, or the changes to existing standards approved by the IASB is provided below, as well as the new interpretations or changes to existing interpretations published by IFRIC, with separate reporting on those applicable in 2025 from those applicable in subsequent years.

<u>IAS/IFRS accounting standards and related SIC/IFRIC interpretations endorsed whose application is mandatory as of the 2025 financial statements</u>

Regulation (EU) 2024/2862, of 12 November 2024, endorsed the amendment to IAS 21 "***The Effects of Changes in Foreign Exchange Rates: Lack of Exchangeability****",* published by the IASB on 15 August 2023. The amendment clarifies when a currency is convertible or not convertible into another currency, how to estimate the exchange rate if the currency is not convertible, and the disclosures to be made in the notes to the financial statements.

The amendment will become effective on 1 January 2025, but early adoption is permitted.

The aforementioned amendment is not expected to have a significant impact on the Group's financial position and equity.

<u>IAS/IFRS accounting standards and related SIC/IFRIC interpretations endorsed, the application of which is mandatory after 31 December 2025</u>

None to report as at the date of these Condensed Consolidated Interim Financial Statements as at 31 March 2025.

<u>IAS/IFRS international accounting standards and related SIC/IFRIC interpretations issued by the IASB and still awaiting approval from the European Commission</u>

On 9 April 2024, the IASB published IFRS 18 "**Presentation and Disclosure in Financial Statements**", which replaces IAS 1 "Presentation of Financial Statements". The new standard establishes the presentation and disclosure requirements for financial statements with the aim of making the information more transparent and comparable and to ensure that it faithfully represents the assets, liabilities, shareholders' equity, revenues and costs of the entity. The main changes compared to IAS 1 are:

&nbsp;&nbsp;&nbsp;&nbsp;· the classification of income and expenses in five categories (operating, investing, financing, income
taxes, discontinued operations) based on the core business activities of the entity;

· new statement items with partial totals (operating profit; profit before financing and income taxes);

· increased obligations relating to the labelling of items as well as the aggregation and disaggregation
of information based on characteristics that agree (or not) with financial statement items;

· the introduction of disclosure requirements to include management-defined performance measures (MPMs) – i.e. financial performance measures based on new required totals
or subtotals under IFRS, with certain adjustments (i.e. adjusted profit or loss).

The new standard also involves limited amendments to other standards, including IAS 7 "**Statement of Cash Flows**", IAS 33 "**Earnings per Share**" and IAS 34 "**Interim Financial Reporting**".

Application becomes effective from 1 January 2027; Pursuant to IAS 34, the entity will be required to present its income statement in compliance with IFRS 18 requirements in the 2027 half-yearly financial statements.

The Group is assessing the impact of these new amendments, which affect the presentation of the profit and loss account and disclosures in the financial statement, must be appropriately coordinated with Bank of Italy Circular No. 262 (i.e. the circular regulating financial statement formats and the rules for compiling financial statements of banks).

On 9 May 2024, the IASB published IFRS 19 "**Subsidiaries without Public Accountability**: **Disclosures**". Under certain conditions, the new standard allows subsidiaries that apply the international accounting standards to provide reduced financial statement disclosures, thus lowering their financial statement preparation costs. In order to apply the standard, the subsidiary: i) must not have "public responsibility" i.e. must not have instruments admitted to trading in a public market or must not hold assets, on trust, for a large group of persons and ii) must have a parent company, either final or intermediate, which prepares consolidated financial statements in accordance with international accounting standards. The application of IFRS 19 is optional for eligible subsidiaries and enters into force from 1 January 2027.

BANCA MONTE DEI PASCHI DI SIENA

The adoption of this standard is not expected to have a significant impact on the Group's financial statements.

On 30 May 2024, the IASB published the amendments to IFRS 9 and IFRS 7 "**Amendments to the Classification and Measurement of Financial Instruments**". The amendments to the two standards clarify certain critical aspects of the classification and measurement of financial instruments pursuant to IFRS 9 that emerged from the post-implementation review of the standard. In particular, the amendments addressed:

&nbsp;&nbsp;&nbsp;&nbsp;· assessing contractual cash flow characteristics of financial assets with ESG-linked features. On this
topic, the IASB has listed some examples of financial instruments to determine whether the SPPI requirement is met. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o an arrangement whereby interest is to be paid if the borrower meets a contracted ESG target (e.g. to reduce
carbon emissions) is consistent with a basic lending arrangement and, therefore, enables a positive assessment;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o an arrangement that provides for the adjustment of an market variable-linked interest rate (e.g. the carbon
price index) does not compensate the lender for the risks and costs associated with lending the principal amount; therefore, it does not
qualify as a basic lending arrangement.

&nbsp;&nbsp;&nbsp;&nbsp;· settling financial liabilities using an electronic payment system. The amendments permit liability to
be settled in cash using an electronic payment system before the settlement date (by exception from the applicable rules) only when the
payment instruction issued by the entity:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) cannot be withdrawn, stopped or cancelled;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) the cash to be used for settlement of the payment instruction cannot be accessed and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) the settlement risk associated
with the electronic payment system is insignificant (i.e. when a standard procedure is used to execute the payment instruction and there
is a short period between the fulfilment requirements (a) and (b) and the delivery of the cash to the counterparty. However, the settlement
risk is not insignificant if the execution of the payment instruction is contingent on the entity ' s
ability to deliver cash on the settlement date.

With these amendments to IFRS 9 - *Financial Instruments*, the IASB also introduced additional disclosure requirements to improve transparency for the benefit of investors as regards equity instruments for which the option has been exercised for the recognition of changes in fair value in the statement of comprehensive income (OCI election) and financial instruments with contingent characteristics, e.g. associated with ESG-linked objectives. The amendments apply to financial years beginning on or after 1 January 2026.

The Group is evaluating the potential impacts of the new provisions.

On 18 July 2024 the IASB published its "**Annual Improvements Volume 11**" containing clarifications, simplifications, corrections and minor amendments to IFRS accounting standards to improve consistency. These concerned the following accounting standards:

- IFRS 1 *"***First-time Adoption of International Financial Reporting Standards"**

- IFRS 7 "**Financial Instruments: Disclosures**' and Guidance on implementing IFRS 7,

- IFRS 9 **"** **Financial Instruments"**

- IFRS 10 ***"*** **Consolidated Financial Statements"**; and

- IAS 7 "**Statement of Cash Flow*" .***

The changes apply from 1 January 2026, with early application permitted upon completion of the European approval process. The changes, given their limited nature, are not of particular interest to the Group.

Finally, on 18 December 2024, the IASB published amendments to IFRS9 and IFRS7 entitled **"** **Contracts Referencing Nature-dependent Electricity"** requiring specific disclosures in financial statements for contract of these types.

Nature-dependent electricity contracts are contracts that expose the company to variability in the underlying amount of electricity because the source of electricity generation depends on uncontrollable natural conditions (for example, wind, sun, etc. These include both contracts to buy or sell nature-dependent electricity and financial instruments that reference such electricity. These contracts are often structured as long-term power purchase agreements ("PPAs"), which:

&nbsp;&nbsp;&nbsp;&nbsp;· provide a quantity of electricity generated by the nature-dependent energy source to the purchaser at
a fixed unit price (" physical PPAs ")
in addition to environmental certificates; or

· contain a swap that pays out the net difference between a fixed-price cash flow and a variable-price cash
flow related to a quantity of nature-dependent energy (" virtual
PPPs " or " VPPAs ")
and provide the corresponding environmental certificates.

Interim Financial Report

A unique feature of these PPAs is that whether and how much electricity is generated by the reference plant at any given time is determined by the nature-dependent sources. The IASB's amendments:

&nbsp;&nbsp;&nbsp;&nbsp;· introduce guidelines to assess whether contracts meet " own
use " requirements and, therefore, can continue to be considered
to be held for the purpose of the receipt of energy in accordance with the entity ' s
expected usage requirements, thus exempting the contract from the accounting treatment provided for contracts to buy or sell non-financial
items. This occurs if the entity has been, and expects to be, a net purchaser of electricity for the contract period (i.e. if it buys
sufficient electricity to offset the sales of any unused electricity in the same market in which it sold the electricity.

· incorporate the hedge accounting treatment required by IFRS 9 if the contract has been designated in a
cash flow hedging relationship. In this case, it is permissible to designate as the hedged item a variable nominal amount of forecast
electricity transactions that is aligned with the variable amount of nature-dependent electricity expected to be delivered by the generation
facility as referenced in the hedging instrument.

· introduce specific disclosures with regard to contracts to purchase energy from natural sources that meet " own use " requirements.

The amendments apply as of 1 January 2026. Early application is permitted. In particular, the changes relating to the "own use" exemption apply retrospectively under IAS 8, while the changes relating to hedge accounting treatment apply prospectively to relationships designated on or after the date of first application.

The aforementioned amendment is not expected to have a significant impact on the Group's financial position and equity.

Estimates and assumptions when preparing the Interim Financial Report

The application of certain accounting standards necessarily implies the use of estimates and assumptions that impact the values of the assets and liabilities recognised in the financial statements as well as the disclosure provided on contingent assets and liabilities. The assumptions underlying the estimates developed take into consideration all available information at the date on which this Interim Financial Report was drafted as well as the assumptions considered reasonable, also in light of historical experience. By their very nature, it is therefore not possible to exclude that the assumptions used, albeit reasonable, may not be confirmed in the future scenarios in which the Group will be operating. In particular, the reference macroeconomic scenario continues to present significant elements of uncertainty. The delicate geopolitical balances, the tightening of US trade policy, the crisis in the Chinese real estate market, and the upward pressure on natural gas prices could, in fact, hinder economic growth, resulting in a deterioration in the confidence of families and businesses. Domestic demand could also be affected by still restrictive monetary and financial conditions, as well as by the progressive reduction of incentives for the redevelopment of homes not offset by the impetus provided by the works of the National Recovery and Resilience Plan.

A further source of uncertainty is represented by the effects resulting from climate change, whose manifestations are becoming increasingly frequent and of serious impact.

These uncertainties have affected this Report's estimates, with significant judgement required in selecting the assumptions and hypotheses underlying the estimates. The results that will be achieved in the future could therefore differ from the estimates made for the purposes of these Financial Statements and as a result adjustments may be required, to an extent that cannot currently be predicted or estimated, with respect to the carrying amount of the assets and liabilities recognised.

In this regard, please note that estimates could need to be revised following changes in the circumstances on which they were based, the availability of new information or the increased experience gained.

The following illustrates the new aspects and refinements in the valuation processes that were introduced during the first quarter of 2025, referring to the specific sections of the explanatory notes to the Consolidated Financial Statements as of 31 December 2024 for detailed information on the measurement processes conducted.

<u>Macroeconomic forecasts for 2025, 2026 and 2027</u>

On 6 March 2025, the ECB published the periodic update of the macroeconomic forecasts for the Eurozone prepared by its staff with the contribution of the individual national central banks. The euro area economy is expected to slow down its projected recovery – after slightly weaker-than-expected growth at the end of 2024 – due to persistently high levels of geopolitical, economic and trade policy uncertainty.

In detail, the average annual growth rate of GDP in real terms is expected to be 0.9% in 2025, rising to 1.2% in 2026 and 1.3% in 2027. Compared to the December 2024 projections, the changed macroeconomic context, characterised by

BANCA MONTE DEI PASCHI DI SIENA

strong uncertainty on both domestic and trade policies, has led to a downward revision of the data relating to exports and, to a lesser extent, investments, for which the prospects for GDP growth have been revised downwards by 0.2 percentage points for both 2025 and 2026, while they are unchanged for 2027.

Overall inflation measured by the harmonised index of consumer prices (HICP) stands at 2.3% in 2025, up 0.2% compared to December due to higher energy commodity prices and the depreciation of the euro, and at 1.9% in 2026 (unchanged compared to December); They have been slightly revised downwards for 2027 due to the slightly less favourable outlook for the energy component at the end of the time horizon considered.

The macroeconomic projections for Italy, which are not part of a joint Eurosystem exercise, unlike those of June and December, were released by the Bank of Italy in the document "Macroeconomic projections for the Italian economy" published on 4 April and confirmed in the Economic Bulletin of 11 April 2025. Growth projections, compared to those published last December, are revised downwards, reflecting more unfavourable hypotheses on the international context connected to the tightening of trade policies (due to the effects of the tariffs announced on 2 April by the United States), partly offset by the expansion of consumption and investments. Assuming no retaliatory measures by the European Union and other economies, GDP is expected to increase by 0.6% this year (0.8% in the December 2024 forecast), by 0.8% and 0.7% in 2026 and 2027 respectively (1.1% and 0.9% in December 2024).

Inflation forecasts, almost unchanged from December, see consumer inflation - equal to 1.1% on average in 2024 - which would be 1.6% in the current year (1.5% in December 2024), and 1.5% and 2.0% respectively in 2026 and 2027 (data unchanged from December 2024).

This being said, the following is information on the main macroeconomic and financial indicators included in the "baseline", "severe but plausible" and "best" scenarios, referring to the period 2025-2027, from the IFRS 9 models used for the determination of staging and loan losses from a forward-looking perspective.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Scenario** | **Year** | **GDP** | **Unemployment<br> rate** | **Consumer <br> Price Index** | **3-month <br> interbank <br> interest rate** | **Eurirs 10y <br> interest <br> rate (%)** | **Interest <br> rate on 10- <br> year BTPs** | **Short-term<br> interest rate <br> on loans to<br> families and<br> businesses** |
| **Baseline** | **2025** | 0.65% | 5.96% | 2.01% | 2.05% | 2.17% | 3.34% | 4.10% |
| **Interim** | **2026** | 0.71% | 5.81% | 2.07% | 2.02% | 2.37% | 3.52% | 3.81% |
| **Report on operations** | **2027** | 0.53% | 5.58% | 2.04% | 2.44% | 3.01% | 4.05% | 3.89% |
|  | **AVG** | 0.63% | 5.78% | 2.04% | 2.17% | 2.51% | 3.64% | 3.93% |
| **Severe but plausible** | **2025** | 0.11% | 6.14% | 3.03% | 2.54% | 2.50% | 3.98% | 4.47% |
| **Interim** | **2026** | 0.14% | 6.44% | 2.26% | 2.51% | 2.72% | 4.31% | 4.26% |
| **Report on operations** | **2027** | 0.13% | 6.74% | 1.77% | 2.46% | 3.01% | 4.53% | 4.02% |
|  | **AVG** | 0.13% | 6.44% | 2.35% | 2.50% | 2.74% | 4.28% | 4.25% |
| **Best** | **2025** | 1.32% | 5.86% | 1.69% | 2.06% | 2.30% | 3.35% | 4.10% |
| **Interim** | **2026** | 1.38% | 5.42% | 1.60% | 2.32% | 2.63% | 3.45% | 4.02% |
| **Report on operations** | **2027** | 1.04% | 4.86% | 1.69% | 2.48% | 3.23% | 3.91% | 3.93% |
|  | **AVG** | 1.25% | 5.38% | 1.66% | 2.29% | 2.72% | 3.57% | 4.01% |

---

To account for the increased uncertainty of the recent period, the Group has updated the macroeconomic scenarios from those used as of 31 December 2024.

The set of macroeconomic forecast scenarios used for this Interim Financial Report, based on the forecasts formulated by an external provider in January 2025 and approved by the Board of Directors of the Parent Company on 6 March 2025, appears to be more conservative than the scenarios adopted by the Group at 31 December 2024 and than the aforementioned 2025-27 macroeconomic forecasts provided by the Bank of Italy. The update of the macroeconomic scenarios led to the recognition of higher provisions for EUR 11.6 mln.

Furthermore, always in order to better align the three-year forecasts to the changed macroeconomic context, the asymmetric treatment was adopted for the estimate of the ECL considering only the "Baseline" and "Severe But Plausible" scenarios - weighted at 66.6% and 33.3% respectively - replacing the 3 "Best", "Baseline" and "Severe But

Interim Financial Report

Plausible" scenarios - weighted respectively at 21.05%, 52.63% and 26.32% - used for the estimates at 31 December 2024. The adoption of this approach resulted in additional adjustments totalling EUR 12.9 mln.

$$$$

With regard to management overlay, for the purpose of this Interim Financial Report, the Group has decided to maintain substantial methodological continuity with that adopted for the Financial Statements as at 31 December 2024. It should be remembered that, as at 31 December 2024, "post-model adjustments" had been applied to the results of the ECL estimation methods, within the framework of flexibility allowed by IFRS 9 and in light of the greater prudence necessary in relation to emerging risks deriving from the current and forward-looking contexts. The overlays were necessary to complement the results of the models in production, in order to better capture the uncertainties and risks inherent in the forecasts as well as the observed/predicted deviations from the long-term time series.

On the whole, prudent loan loss provisions as at 31 March 2025 included prudent items of approximately EUR 79.9 mln, an increase of EUR 10.7 mln compared to 31 December 2024.

The increase compared to 31 December 2024 is attributable to the introduction of the management overlay relating to the asymmetry of the scenarios described above. However, the management overlays adopted at 31 December 2024 remain confirmed and substantially unchanged, for details please refer to paragraph. "Methods to measure expected losses" contained in "Part E - Information on risks and hedging policies" of the Consolidated Financial Statements as at 31 December 2024.

This without prejudice to the transitional nature of the aforementioned management overlays linked to the implementation of IFRS 9 fine-tuning to the modelling framework, in addition to the consideration that the results deriving from the aforementioned models are influenced by macroeconomic scenarios largely dependent on phenomena that are not fully consolidated and in any case still subject to extreme variability and uncertainty.

$$$$

The determination of expected credit losses involves significant elements of judgment, with particular reference to the model used to measure losses and the related risk parameters, to the triggers deemed to express significant credit deterioration and the selection of macroeconomic scenarios. In particular, the inclusion of forward-looking factors is a particularly complex exercise, as it requires macroeconomic forecasts to be formulated, scenarios and associated probabilities of occurrence to be selected, and a model to be defined capable of expressing the relationship between the aforementioned macroeconomic factors and the default rates of the exposures subject to valuation.

In order to assess how forward looking factors may influence expected losses, it is considered reasonable to carry out a sensitivity analysis in the context of different scenarios based on forecasts consistent with the evolution of the various macroeconomic factors. The innumerable interrelations between the individual macroeconomic factors are such as to render a sensitivity analysis of expected losses based on the individual macroeconomic factor of little significance.

The table below highlights the sensitivity for the main credit portfolios of the Group consisting of cash loans to customers, belonging to the corporate and retail segments of the two banks (Banca MPS and Widiba), which represent almost all of the Group's total gross exposure, net of loans classified in the portfolio of non-current assets held for sale and disposal groups.

The analysis shows, in line with the same approach adopted for 2024, the impact for each level of risk on gross exposures, on the adjustments and on the coverage ratio in the cases where a weight equal to 100% of the baseline, severe but plausible and best-case scenarios, respectively, is used instead of the scenario defined as weighted - i.e. based on weightings that the Group has attributed to each scenario<sup>8</sup> - used by the Group for estimating the stages of risk and value adjustments as at 31 March 2025.

The weighted scenario used for the accounting valuations as at 31 March 2025 is positioned, in terms of adversity, between the severe but plausible and best cases. In particular, for non-impaired exposures:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the portfolio ' s sensitivity to the
severe but plausible scenario would see (i) a shift of counterparties to stage 2, whose gross exposure would increase by EUR 707 mln (+6.79%),
with a consequent increase in ECL

<sup>8</sup> The weighted scenario was determined using a weightings of 21.05%, 52.6% and 26.32% for the "Best", "Baseline" and "Severe but plausible" scenarios respectively.

BANCA MONTE DEI PASCHI DI SIENA

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| | |
|:---|:---|
|  | estimated at around 14% (approximately EUR 44.8 mln) and a higher average coverage of approximately 20 bps, (ii) a corresponding reduction in counterparties in stage 1, whose exposure would decrease by EUR 707 mln (-1.09%), a slight increase in ECL of 0.01% (approximately EUR 0.01 mln) with average coverage remaining substantially unchanged; |
| · | the sensitivity of the portfolio to the baseline scenario would see (i) a decrease in counterparties in stage 2, whose exposure would decline slightly by approximately EUR 39 mln (-0.38%), with a consequent decrease in ECL estimated at around 1.21% (approximately EUR 3.88 mln) and average coverage essentially unchanged (-2.6 bps), (ii) a modest increase in terms of exposures of approximately EUR 39 mln (+0.06%) and a slight increase in ECL of approximately EUR 0.3 mln (+0.29%) for stage 1, with average coverage unchanged; |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· conversely, the sensitivity analysis of the portfolio to the best-case scenario would see (i) a reduction
in the stock of stage 2 positions equal to EUR 388 mln (a reduction of 3.73%) with a potential economic benefit on the ECL of about EUR
34 mln (10.63%), and a consequent decrease in the coverage ratio of about 22 bps; (ii) an increase in stage 1 counterparties, whose exposure
would grow by EUR 388 mln (an increase of 0.60%), a decrease in ECL of about 1.86% (about EUR 1.87 mln) and a lower average coverage of
0.4 bps.

The sensitivity analysis of adjustments of non-performing exposures would see an increase in the severe but plausible scenario for about EUR 23.02 mln (+1.42%) and a reduction of about EUR 1.52 mln (-0.09%) and a reduction of EUR 25.01 mln (-1.54%) in the baseline and best case scenarios, respectively.

Interim Financial Report

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| | | | | |
|:---|:---|:---|:---|:---|
| **Scenarios (Delta in €/mln)** | **Scenarios (Delta in €/mln)** | **Scenarios (Delta in €/mln)** | **Scenarios (Delta in €/mln)** | **Scenarios (Delta in €/mln)** |
|  | **Weighting** | **Best** | **Severe but<br> Plausible** | **Baseline** |
| **STAGE 1 Gross exposure** | **64685.4** | **388.1** | **(707.0)** | **39.0** |
| of which CORPORATE | 36003.6 | 346.7 | (677.3) | 37.7 |
| of which RETAIL | 28681.8 | 41.4 | (29.7) | 1.3 |
| **STAGE 1 Value adjustments** | **100.4** | **(1.9)** | **0.0** | **0.3** |
| of which CORPORATE | 71.9 | (0.7) | (0.7) | 0.2 |
| of which RETAIL | 28.5 | (1.2) | 0.7 | 0.1 |
| **STAGE 1 coverage ratio (%)** | **0.16%** | **0.00%** | **0.00%** | **0.00%** |
| of which CORPORATE | 0.20% | 0.00% | 0.00% | 0.00% |
| of which RETAIL | 0.10% | 0.00% | 0.00% | 0.00% |
| **STAGE 2 Gross exposure** | **10404.9** | **(388.1)** | **707.0** | **(39.0)** |
| of which CORPORATE | 7634.1 | (346.7) | 677.3 | (37.7) |
| of which RETAIL | 2770.8 | (41.4) | 29.7 | (1.3) |
| **STAGE 2 Value adjustments** | **320.2** | **(34.0)** | **44.8** | **(3.9)** |
| of which CORPORATE | 259.7 | (28.0) | 39.2 | (3.5) |
| of which RETAIL | 60.4 | (6.0) | 5.6 | (0.4) |
| **STAGE 2 coverage ratio (%)** | **3.08%** | **-0.22%** | **0.21%** | **-0.03%** |
| of which CORPORATE | 3.40% | -0.22% | 0.19% | -0.03% |
| of which RETAIL | 2.18% | -0.19% | 0.18% | -0.01% |
| **STAGE 3 Gross exposure** | **3496.4** | **-** | **-** | **-** |
| of which CORPORATE | 2661.8 |  |  |  |
| of which RETAIL | 834.6 |  |  |  |
| **STAGE 3 Value adjustments** | **1621.6** | **(25.0)** | **23.0** | **(1.5)** |
| of which CORPORATE | 1331.5 | (13.1) | 12.0 | (0.8) |
| of which RETAIL | 290.1 | (11.9) | 11.0 | (0.7) |
| **STAGE 3 coverage ratio (%)** | **46.38%** | **-0.72%** | **0.66%** | **-0.04%** |
| of which CORPORATE | 50.02% | -0.49% | 0.45% | -0.03% |
| of which RETAIL | 34.77% | -1.43% | 1.32% | -0.09% |
| **TOTAL ADJUSTMENTS** | **2042.2** | **(60.9)** | **67.8** | **(5.1)** |
| of which CORPORATE | 1663.1 | (41.8) | 50.5 | (4.1) |
| of which RETAIL | 379.1 | (19.1) | 17.3 | (1.0) |

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However, it cannot be ruled out that a deterioration in the credit situation of debtors, also as a result of possible negative effects on the economy related to the macroeconomic environment, could lead to the recognition of further losses, including significant ones, compared to those considered at 31 March 2025.

Impairment test of equity investments and goodwill

In compliance with IAS 36, at each reporting or interim reporting date, the MPS Group verifies for its equity investments and for the goodwill recognised in the balance sheet assets that there is no objective evidence that could lead it to believe that the book value of such assets is not entirely recoverable.

With specific reference to equity investments, the method adopted by the MPS Group envisages alternative use of a set of indicators based on several factors, referring to the investee, including the type of business, market listing and budget objectives. The presence of impairment indicators entails the recognition of a write-down in the amount for which the recoverable value is lower than the book value. The recoverable amount pursuant to IAS 36 is the higher between its fair value, net of costs to sell, and its value in use, equal to the present value of future cash flows that the company expects from continuous use of the asset and its disposal at the end of its useful life.

BANCA MONTE DEI PASCHI DI SIENA

The Group's valuations as at 31 March 2025 showed the triggers holding steady and recoverable amounts higher than the book values and therefore no adjustments were made to the carrying amount of the equity investments.

With reference to goodwill, this is fully allocated to the Widiba CGU, an investee subject to verification of the presence of impairment indicators based on the methodology described above. A valuation carried out on the equity investment therefore indicates an impairment of goodwill. It should be noted that, as of 31 March 2025, the analysis conducted did not reveal any trigger events that would necessitate updating the impairment test, compared to what was already in use at the closure of the consolidated financial statements on 31 December 2024.

Property valuation

The Group applies the method of redetermination of value (revaluation method) for the measurement of property assets for business use pursuant to IAS 16 and of the fair value for investment properties pursuant to IAS 40, for measurement subsequent to the initial recognition. The revaluation method requires that the assets used in the business, whose fair value can be reliably measured, are recognised at a restated value, equal to their fair value at the date of the revaluation, net of depreciation and any losses for accumulated impairment. For properties held for investment purposes, the Group has chosen the fair value measurement method, according to which, after initial recognition, all investment properties are measured at fair value.

The fair value of the properties, whether they are for business use or investment properties, is determined using the appropriate appraisals prepared by qualified independent companies operating in the specific sector able to provide property valuations based on the RICS Valuation standard, which guarantee that the fair value is determined in line with the indications of IFRS 13 and that the appraisers meet the professional, ethical and independence requirements in keeping with the provisions of international and European standards.

The Group carries out half-yearly valuations of real estate assets, both for investment property and properties for business use. The entire real estate portfolio was subject to valuation on 31 December 2024. Given the substantial stability of the financial and real estate parameters underlying the valuations and in the absence of changes in the general conditions of the properties, no events were detected that could generate significant variations as of 31 March 2025 compared to the valuations carried out on 31 December 2024.

Estimation and assumptions on recoverability of deferred tax assets

In compliance with the provisions of IAS 12 and the communication of ESMA of 15 July 2019, the initial recognition of the DTAs and their subsequent inclusion in the financial statements require a judgement on the likelihood of recovering the amounts recognised. This assessment was carried out in substantial continuity with the assumptions adopted for the Consolidated Financial Statements as at 31 December 2024. For more information in general concerning the methodological approach used by the Group in the valuation of deferred tax assets, please refer to par. 11.8 "Other information" in the Explanatory Notes to the Consolidated Financial Statements - Part B of the MPS Group's Consolidated Financial Statements as at 31 December 2024.

The valuation exercise conducted resulted in an overall increase in value of DTAs for EUR 144.0 mln, with the following effects on the Group's accounts:

&nbsp;&nbsp;&nbsp;&nbsp;· with reference to DTAs for consolidated tax losses, a revaluation of EUR 125.9 mln;

&nbsp;&nbsp;&nbsp;&nbsp;· with reference to DTAs for tax losses for purposes of the additional corporate income taxes (IRES), a
revaluation of EUR 18.1 mln;

As a result of the aforementioned valuation, the Group had DTAs not stated as assets in the Balance Sheet, totalling EUR 1,443.5 mln as at 31 March 2025 (EUR 1,587.5 mln as at 31 December 2024).

For the Group, this amount is a potential asset not subject to any time limits according to current tax legislation, with the exception of the limits to carrying forward, in case of extraordinary transactions, envisaged by art. 172 and 173 of Italian Presidential Decree no. 917/1986; the relative recognition in balance sheet assets will be evaluated at the future reporting dates based on the Group's profit outlook.

The probability test model in use in MPS Group includes some input data whose fluctuations in value can significantly influence the final result of the DTA valuation recognised in financial statements. Specifically, these are:

1) total "average YoY income" (pre-tax profit taken from the Business Plan, projected for the years beyond the first three years, but adjusted so that it is not higher than the average ROE for the banking sector);

2) discount rate of future results (coefficient used in the risk-adjusted profits approach);

Interim Financial Report

3) tax rates for IRES, IRES additional tax and IRAP (tax on production).

Certain indications on the sensitivity of results of the valuation model are provided below, assuming both an increase and decrease in each of the input data listed above. The effects shown in the table refer to the difference that would have occurred for the tax item in the income statement as at 31 March 2025, compared to the amount actually recognised, changing the individual variable as indicated.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Inputs** | **Decrease** | **Effect on income <br> statements of <br> decrease in DTAs <br> (EUR/mln)** | **Increase** | **Effect on income <br> statements of <br> increase in DTAs <br> (EUR/mln)** |
| Average Group income (*cap*) | -100 mln | -140.5 | +100 mln | 140.5 |
| Discount rate of prospective results | -1% | 157.7 | +1% | -140.0 |
| IRES tax rate | -1% | -86.7 | +1% | 86.7 |

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Rights of use in lease agreements

IFRS 16 indicates that assets for rights of use acquired through lease agreements must be checked for indicators of impairment, similar to what takes place for owned assets.

In order to identify events or situations that could lead to impairment, IAS 36 specifies that reference should be made to indicators obtained from:

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| |
|:---|
| internal sources, such as signs of obsolescence and/or physical deterioration of the asset, restructuring plans or branch closures; |
| external sources, such as the increase in interest rates or other rates of return on the market for investments that may cause a significant decrease in the recoverable amount of the asset. |

---

During the first quarter, no indicators arose that could determine the recognition of significant impairment losses with reference to right-of-use assets as of 31 March 2025.

Going concern

The Condensed Consolidated Interim Financial Statements as at 31 March 2025 were prepared on a going concern basis.

After a forward looking assessment of the financial and liquidity positions, with regard to the indications provided in Document no. 2 of 6 February 2009 and Document no. 4 of 3 March 2010, issued jointly by the Bank of Italy, Consob and ISVAP, and subsequent amendments, the Directors can reasonably expect that the Group will continue to operate as a going concern in the foreseeable future and therefore deemed it appropriate to prepare these Condensed Consolidated Interim Financial Statements on the basis of the going concern assumption.

BANCA MONTE DEI PASCHI DI SIENA

Scope and methods of consolidation

Investments in wholly-owned subsidiaries

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | | **Ownership** | **Ownership** | |
|  | | | | | **Relationship** | **Relationship** | |
|  | <br>**Name** | <br>**Headquarters** | <br>**Registered**<br>**office** | <br>**Type of**<br>**relationship**<br>**(\*)** | **Held**<br>**by** | **Shareholding%** | <br>**Available**<br>**Votes %**<br>**(\*\*)** |
| **A** | **Companies** |  |  |  |  |  | . |
| A.0 | BANCA MONTE DEI PASCHI DI SIENA S.p.a. | Siena | Siena |  |  |  |  |
| **A.1** | **Companies consolidated on a line-by-line basis** |  |  |  |  |  |  |
| A.1 | MONTE PASCHI FIDUCIARIA S.p.A. | Siena | Siena | 1 | A.0 | 100.00 |  |
| A.2 | MPS LEASING E FACTORING BANCA PER I SERVIZI FINANZIARI ALLE IMPRESE S.p.a. | Milan | Milan | 1 | A.0 | 100.00 |  |
| A.3 | MPS TENIMENTI POGGIO BONELLI E CHIGI SARACINI SOCIETA' AGRICOLA S.p.a. | Castelnuovo Berardenga (SI) | Castelnuovo Berardenga (SI) | 1 | A.0 | 100.00 |  |
| A.4 | G.IMM ASTOR S.r.l. | Lecce | Lecce | 1 | A.0 | 52.00 |  |
| A.5 | AIACE REOCO S.r.l. in liquidazione (in liquidation) | Siena | Siena | 1 | A.0 | 100.00 |  |
| A.6 | MAGAZZINI GENERALI FIDUCIARI DI MANTOVA S.p.a. | Mantua | Mantua | 1 | A.0 | 100.00 |  |
| A.7 | MONTE PASCHI BANQUE S.A. (\*\*\*) | Paris | Paris | 1 | A.0 | 100.00 |  |
| 7.1 | MONTE PASCHI CONSEIL FRANCE SOCIETE PAR ACTIONS SEMPLIFIEE | Paris | Paris |  | A.7 | 100.00 |  |
| 7.2 | IMMOBILIERE VICTOR HUGO S.C.I. | Paris | Paris |  | A.7 | 100.00 |  |
| A.8 | MPS COVERED BOND S.r.l. | Conegliano | Conegliano | 1 | A.0 | 90.00 |  |
| A.9 | MPS COVERED BOND 2 S.r.l. | Conegliano | Conegliano | 1 | A.0 | 90.00 |  |
| A.10 | CIRENE FINANCE S.r.l. | Conegliano | Conegliano | 1 | A.0 | 60.00 |  |
| A.11 | SIENA MORTGAGES 07-5 S.p.a. | Conegliano | Conegliano | 2 | A.0 | 7.00 |  |
| A.12 | SIENA PMI 2016 S.r.l. | Conegliano | Conegliano | 2 | A.0 | 10.00 |  |

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(\*) Type of relationship:

1 = majority of voting rights at ordinary shareholders' meetings

2 = other forms of control

(\*\*) Votes available in the ordinary shareholders' meeting, distinguishing between actual and potential.

(\*\*\*) the investee MPS Banque S.A. is classified as a discontinued operation pursuant to IFRS 5.

The condensed consolidated interim report includes the balance sheet and income statement results of the Parent Company and its direct and indirect subsidiaries. In particular, the scope of consolidation, as specifically set out in the IAS/IFRS, includes all subsidiaries, irrespective of their legal status, of business activity pursued in sectors other than the Parent Company's core business, of their being going concerns or wound-up companies, or of whether the equity investment consists of a merchant banking transaction. The scope of consolidation includes all types of entities, regardless of nature, for which the concept of control introduced by IFRS 10 applies. Structured entities are also consolidated when the requirement of actual control recurs, even if there is no stake in the entity.

For further information on the methods of consolidation, reference should be made to the Notes to the Consolidated Financial Statements as at 31 December 2024, Part A "Accounting Policies".

Compared to the situation on 31 December 2024, there are no changes reported.

Interim Financial Report

Income statement and balance sheet reclassification principles

The balance sheet and income statement are shown below in reclassified form according to management criteria in order to provide an indication of the Group's general performance based on economic and financial information that can be quickly and easily determined.

A disclosure is provided below on the aggregations and main reclassifications systematically performed with respect to the financial statements established by Circular no. 262/05. The breakdown of these aggregations and reclassifications are provided, with separate statements, in the annexes to this file, also in compliance with the requirements of Consob Communication no. 6064293 of 28 July 2006.

Please note that as of 30 June 2024, in view of the ongoing negotiations with a potential buyer, the subsidiary Monte Paschi Banque S.A. (hereinafter MP Banque) has been classified as a discontinued operation and is therefore valued at the expected sale price, which is lower than its net book value, in accordance with IFRS 5. As at the date of this Report, the valuation of MP Banque pursuant to this standard has resulted in a P&L impact of EUR -3.0 mln (before tax) recognised under restructuring costs; excluding this effect, the subsidiary has made a positive contribution of about EUR 2.9 mln to the Group's profit. Therefore, as at 31 March 2025, in order to ensure continuity with with the previously published comments and to facilitate understanding of the P&L and balance sheet trends against the corresponding comparative periods, the costs and the revenues as well as assets and liabilities relating to the consolidated contribution of the subsidiary MP Banque, although classified as a discontinued operation pursuant to IFRS 5, are presented line-by-line within the respective P&L and balance sheet items.

Finally, it should be noted that the balance sheet and profit and loss figures for the first quarter of 2025 and the comparative data for the first and third quarters of 2024 related to the insurance associates AXA MPS Assicurazioni Danni S.p.A. and AXA MPS Assicurazioni Vita S.p.A., are estimated by these companies using simplified proxies or calculation models due to the increased complexity of the accounting calculations under IFRS 17 and IFRS 9.

<u>Income statement data</u>

· The item "**Net interest income**" includes the balance of financial statement items 10 " Interest income
and similar revenues " and 20 " Interest
expense and similar charges " , and the portion relating to the subsidiary
MP Banque equal to EUR 6.8 mln recognised in item 320 " Profit (loss)
after tax from discontinued operations " .

· The item "**Net fees and commissions income**" includes the balance of financial statement items 40 " Fee and commission income " and 50 " Fee and commission expense " .
The aggregate also includes the portion relating to the subsidiary MP Banque equal to EUR 2.0 mln, recognised under item 320 " Profit
(loss) after tax from discontinued operations " .

· The item "**Dividends, similar income and gains (losses) on investments**" incorporates financial
statement item 70 " Dividends and similar income " and the relevant portion of profits from investments in associates, equivalent to EUR 14.7 mln, included in financial statement item 250 " Gains (losses) on investments " .
The aggregate is shown net of the dividends earned on equity securities other than equity investments (EUR +0.2 mln), reclassified in
item " Net Profit from Trading, the Fair Value Measurement of Assets/Liabilities
and Net Gains on Disposals/Repurchases " .

· The item "**Net Profit from Trading, the Fair Value Measurement of Assets/Liabilities and Net Gains on Disposals/Repurchases**" includes the values of financial statement items 80 " Net Profit
(Loss) from Trading " , 100 " Gains
(Losses) on Disposal/Repurchase " , and 110 " Net
Profit (Loss) from Other Financial Assets and Liabilities Measured at Fair Value through Profit or Loss " ,
net of the contribution from loans to customers (EUR -0.7 mln) and securities deriving from sale/securitisation transactions of non-performing
loans (EUR -9.8 mln) posted to the reclassified item " Cost of Customer
Credit " . This aggregate also incorporates values relating to dividends
received on equity securities other than equity investments (EUR +0.2 mln) and the portion relating to the subsidiary MP Banque for EUR
+0.02 mln recognised under Item 320 " Profit (Loss) after tax from
discontinued operations " .

· The item "**Net Profit (loss) from Hedging**" includes Item 90 " Net
Profit (loss) from Hedging " .

· The item "**Other operating income (expenses)**" includes the balance of Item 230 " Other
operating expenses/income " net of:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o recoveries of indirect taxes and duties and other expenses, which are now under the reclassified item " Other
administrative expenses " (EUR 57.4 mln);

BANCA MONTE DEI PASCHI DI SIENA

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o recoveries of training expenses, reclassified as decreases in " Personnel
expenses " (EUR 0.7 mln) and " Other
administrative expenses " (EUR 0.2 mln);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o other recoveries of personnel expenses, reclassified as a reduction of " Personnel
expenses " (EUR 0.5 mln).

· The item "**Personnel expenses**" includes the balance of financial statement item 190a " Personnel
expenses " minus charges of EUR 3.1 mln, related to early retirements
or access to the Solidarity Fund, which were reclassified under " Restructuring
costs/one-off charges " . The aggregate also includes the recovery
of training costs (EUR 0.7 mln) and other recoveries of personnel expenses (EUR 0.5 mln) recorded in the financial statements under item
230 ' Other operating expenses/income ' as well as the share of the cost relating to the subsidiary MP Banque amounting to EUR 2.2 mln, recorded under item 320 " Profit
(Loss) from discontinued operations after tax " .

· The item "**Other Administrative Expenses**" includes the balance of item 190b " Other
Administrative Expenses " , reduced by the following cost items:

DTA fee, convertible into tax credit, for an amount of EUR 14.4 mln (posted to the reclassified item "DTA Fee");

- charges, equal to EUR 6.6 mln, relating to costs incurred in relation to the voluntary public exchange offer on all ordinary shares of Mediobanca announced in January 2025, attributed to the reclassified item "Extraordinary transaction charges". <br>

The item also incorporates indirect taxes and other expenses recovered from customers (EUR 57.4 mln), and the recovery of expenses incurred for training (EUR 0.2 mln) recorded in the financial statements under item 230 "Other operating expenses/income" as well as the portion of the cost relating to the subsidiary MP Banque for EUR 3.4 mln, recognised under item 320 "Profit (loss) after tax from discontinued operations".

· The Item "**Net value adjustments to property, plant and equipment and intangible assets**" includes
the values of the financial statement Items 210 " Net Value Adjustments/recoveries
on Property, Plant and Equipment " and 220 " Net
Value Adjustments/recoveries on Intangible Assets " . Adjustments
of EUR -0.5 mln referring to the closure of branches were separated from the aggregate, recognised under the reclassified item " Restructuring
Costs/One-off Charges " . Also included is the portion of impairment
losses relating to the subsidiary MP Banque for EUR -0.5 mln, recognised under item 320 " Profit
(loss) after tax from discontinued operations " .

· Item "**Cost of Customer Credit**" includes the income statement components relating to loans to customers under items 110b " Net
Profit (Loss) on Financial Assets and Liabilities mandatorily Measured at Fair Value " (EUR -0.7 mln), 130a " Net Impairment (Losses) Reversals for Credit
Risk on Financial Assets Measured at Amortised Cost " (EUR - 79.6
mln), 140 " Modification Gains/Losses " (EUR -1.0 mln) and 200a " Net Provisions for Risks and Charges -
Commitments and Guarantees issued " (EUR +0.4 mln). The item also
includes the P&L components relating to securities from disposal/securitisation of non-performing loans recognised under 110b " Net
result of other Financial assets mandatorily measured at fair value " (EUR -9.8 mln). The aggregate reflects a net adjustments (EUR -0.4 mln) and net provisions for risks and charges for commitments and guarantees
issued (EUR +0.1 mln) for the subsidiary MP Banque, recorded under item 320 " Profit
(loss) after tax from discontinued operations " .

· The item "**Net Impairment(losses)/reversals on securities and loans to bank**" includes the portion relating
to securities (EUR +3.7 mln) and loans to banks (EUR +0.4 mln) of item 130a " Net
impairment (losses)/reversals for credit risk of financial assets measured at amortised cost " and item 130b " Net impairment (losses)/reversals for credit risk
of financial assets measured at fair value through other comprehensive income " .

· The item "**Other net provisions for risks and charges**" includes the balance of financial statement
item 200 " Net provisions for risks and charges " ,
reduced by component relative to loans to customers of item 200a " Net
provisions for risks and charges - commitments and guarantees given " (EUR +0.4 mln), which was included in the specific item " Cost of
customer credit " .

· The item "**Other gains (losses) on equity investments**" includes the balance of financial statement
item 250 " Gains (losses) on equity investments " ,
cleared of EUR 14.7 mln as the portion of profit of the insurance associates, reclassified under " Dividends,
similar income and gains (losses) on investments " .

· The item "**Restructuring Costs/One-off Charges**" includes the following amounts:

- costs for EUR 3.1 mln relating to early retirements or access to the Solidarity Fund accounted for in financial statements item 190a "Personnel expenses";

- charges, equal to EUR 0.5 mln, relating to branch closures, recorded in item 210 "Net Value Adjustments/recoveries on Property, Plant and Equipment";

- charges equal to EUR 3.0 mln relating to the expected loss - attributable to the first quarter of 2025 – on the disposal of the subsidiary MP Banque, which is included in item 320 "Profit (loss) after tax from discontinued operations".

Interim Financial Report

· The item **"** **Costs of extraordinary operations "** includes costs, equal to EUR 6.6 mln, incurred in
relation to the public exchange offer (OPS) on Mediobanca and accounted for in the balance sheet under item 190b " Other
administrative expenses " .

· The item "**Risks and charges associated with SRF, DGS and similar schemes**" includes charges related
to contributions to deposit guarantee schemes, the deposit guarantee fund and the life insurance guarantee fund referred to in Law No.
213 of 30 December 2023, recorded under item 190b " Other administrative
expenses " . All components have a zero balance as of 31 March 2025.

· The item "**DTA fee**" includes charges relating to the fee on DTAs that can be converted into a tax credit recognised under item 190b " Other
administrative expenses " , for EUR 14.4 mln.

· The item "**Net Gains (Losses) on Property, Plant and Equipment and Intangible Assets Measured at Fair Value**" includes the balance of financial statement item 260 " Net Gains
(Losses) on Property, Plant and Equipment and Intangible Assets Measured at Fair Value " .

· Item "**Gains (Losses) on Disposal of Investments**" includes the balance of financial statement
item 280 " Gains (Losses) on Disposal of Investments " .

· The item "**Income tax for the period**" includes the balance of item 300 " Income
tax for the period from current operations " and the portion relating
to the subsidiary MP Banque for EUR +0.4 mln recognised in item 320 " Profit
(Loss) after tax from discontinued operations " .

· The item "**Profit (loss) after tax from discontinued operations**" includes the balance of item
320 " Profit (loss) after tax from discontinued operations " which was fully cancelled. In detail, the EUR -3.0 mln relating to the expected loss for the first quarter of 2025 from sale of the subsidiary
MP Banque was restated to " Restructuring costs/One-off costs " and the subsidiary's profit for the period of EUR 2.9 mln was restated in the related individual income statement items.

· The "**Profit (loss) for the period**" includes the balance of item 330 "**Profit (loss) for the period**" .

<u>Balance sheet data</u>

· The asset item "**Cash and cash equivalents**" includes item 10 " Cash
and cash equivalents " , supplemented by the portion of the subsidiary
MP Banque for EUR 791.6 mln, recognised in item 120 " Non-current
assets held for sale and disposal groups " .

· The asset item "**Loans to Central Banks**" includes the portion relating to operations with central
banks of financial statement item 40 " Financial assets measured
at amortised cost " . The aggregate also incorporates the portion
referring to the subsidiary MP Banque, equal to EUR 8.7 mln and recognised under item 120 " Non-current
assets held for sale and disposal groups " .

· The asset item "**Loans to banks**" includes the portion relating to operations with banks of item 40 " Financial
assets measured at amortised cost " and item 20 " Financial
assets measured at fair value through profit or loss " . The aggregate
also incorporates the portion referring to the subsidiary MP Banque, equal to EUR 0.7 mln and recognised under item 120 " Non-current
assets held for sale and disposal groups " .

· The Asset item "**Loans to Customers**" includes the portion relating to loans to customers in item 20 " Financial
assets measured at fair value through profit or loss " , item 40 " Financial
assets measured at amortised cost " , including EUR 223.1 mln recognised
in item 120 " Non-current assets held for sale and disposal groups " ,
of which EUR 221.6 mln referring to the subsidiary MP Banque.

· The asset item "**Securities assets**" includes the portion relating to securities in item 20 " Financial
Assets measured at fair value through profit or loss " , item 30 " Financial
assets measured at fair value through other comprehensive income " and item 40 " Financial assets measured at amortised cost " .
The aggregate also incorporates the portion equal to EUR 27.5 mln recognised under item 120 " Non-current
assets held for sale and disposal groups " .

· The asset item "**Derivatives**" includes the portion relating to derivatives of financial statement items 20 " Financial
Assets Measured at Fair Value through Profit or Loss " and 50 " Hedging
Derivatives " .

· The asset item "**Equity investments**" includes item 70 " Equity investments " .

· Asset item "**Property, plant and equipment and intangible assets**" includes item 90 " Property,
plant and equipment " , item 100 " Intangible
assets " and the amounts totalling EUR 42.2 mln relating to property,
plant and equipment and intangible assets in item 120 " Non-current
assets held for sale and disposal groups " , of which EUR 16.0 mln
refer to the subsidiary MP Banque.

· Asset item "**Tax assets**" includes item 110 " Tax assets " and the portion relating to the subsidiary MP Banque, equal to EUR 1.0 mln, recognised under item 120 " Non-current
assets held for sale and disposal groups " .

BANCA MONTE DEI PASCHI DI SIENA

· The Asset item "**Other assets**" includes item 60 " Change in value of macro-hedged financial assets " ,
item 130 " Other assets " ,
and the amounts in item 120 " Non-current assets held for sale and
disposal groups " not included in the previous items and amounting
to EUR 10.1 mln, all of which referring to the subsidiary MP Banque.

· The liability item "**Due to customers**" includes item 10b " Financial liabilities measured at amortised cost
- due to customers " , the component relating to customer securities
of item 10c " Financial liabilities measured at amortised cost -
debt securities issued " and amounts in item 70 "Liabilities
associated with disposal groups" for EUR 900.5 mln referring entirely to the subsidiary MP Banque.

· The liability item "**Securities Issued**" includes financial statement item 10c " Financial
Liabilities Measured at Amortised Cost - Debt Securities Issued " ,
excluding the component relating to customer securities, and item 30 " Financial
Liabilities designated at Fair Value " .

· The liability item "**Due to central banks**" includes the portion of item 10a " Financial
liabilities measured at amortised cost - Due to banks " relating
to operations with central banks.

· The liability item "**Due to banks**" includes the portion of item 10a " Financial liabilities measured
at amortised cost - due to banks " relating to operations with banks
(excluding central banks) and amounts in item 70 " Liabilities associated
with disposal groups " for EUR 0.4 mln referring entirely to the
subsidiary MP Banque.

· The liability item "**On-Balance-Sheet Financial Liabilities Held for Trading**" includes the portion
of financial statement item 20 " Financial Liabilities Held for Trading " net of the amounts relating to derivatives for trading.

· The liability item "**Derivatives**" includes financial statement item 40 " Hedging Derivatives " and the portion related to derivatives in financial statement item 20 " Financial
Liabilities Held for Trading " .

· The liability item "**Provision for specific use**" includes item 90 " Employee
severance indemnities " , item 100 " Provisions
for risks and charges " and the amounts in item 70 " Liabilities
associated with assets held for sale " equal to EUR 2.9 mln and referring
entirely to the subsidiary MP Banque.

· The liability item "**Tax liabilities**" includes item 60 " Tax liabilities " and the amount in item 70 " Liabilities associated with assets held
for sale " equal to EUR +1.0 mln, entirely attributable to the subsidiary
MP Banque.

· The liability item "**Other liabilities**" includes item 50 " Change in value of macro-hedged financial liabilities " ,
item 80 "Other liabilities" and amounts in item 70 " Liabilities
associated with disposal groups " not restated under previous items
(totalling EUR 31.8 mln and referring entirely to the subsidiary MP Banque).

· The liability item "**Group net equity**" includes item 120 " Valuation
reserves " , item 150 " Reserves " ,
item 170 " Share Capital " ,
item 200 "Profit (loss) for the period " .

Interim Financial Report

Reclassified income statement

**Reclassified Consolidated Income Statement**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **change** | **change** |
| <br>**MONTEPASCHI GROUP** | **31 03 2025** | **31 03 2024** | **Abs.** | **%** |
| Net interest income | 543 | 587 | (44.0) | -7.5% |
| Net fee and commission income | 397.9 | 365.3 | 32.6 | 8.9% |
| **Income from banking activities** | **940.9** | **952.3** | **(11.4)** | **-1.2%** |
| Dividends, similar income and gains (losses) on investments | 16.1 | 19 | (2.9) | -15.3% |
| Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases | 49.6 | 34.4 | 15.2 | 44.2% |
| Net profit (loss) from hedging | 0.5 | (0.4) | 0.9 | n.m. |
| Other operating income (expenses) | 0.1 | 7.4 | (7.3) | -98.6% |
| **Total Revenues** | **1007.3** | **1012.8** | **(5.5)** | **-0.5%** |
| Administrative expenses: | (433.7) | (419.7) | (14.0) | 3.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;a) personnel expenses | (321.3) | (304.6) | (16.7) | 5.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other administrative expenses | (112.4) | (115.1) | 2.7 | -2.3% |
| Net value adjustments to property, plant and equipment and intangible assets | (38.4) | (42.4) | 4 | -9.4% |
| **Operating expenses** | **(472.1)** | **(462.0)** | **(10.1)** | **2.2%** |
| **Pre-Provision Operating Profit** | **535.2** | **550.8** | **(15.6)** | **-2.8%** |
| **Cost of customer credit** | **(91.0)** | **(105.7)** | **14.7** | **-13.9%** |
| **Net impairment (losses)/reversals on securities and loans to banks** | **3.6** | **(0.8)** | **4.4** | **n.m.** |
| **Net operating income** | **447.7** | **444.3** | **3.4** | **0.8%** |
| Other net provisions for risks and charges | (24.7) | (4.0) | (20.7) | n.m. |
| Other gains (losses) on equity investments |  | 0 |  | n.m. |
| Restructuring costs / One-off costs | (6.7) | (7.7) | 1 | -13.0% |
| Costs of extraordinary operations | (6.6) |  | (6.6) | n.m. |
| Risks and charges associated to the SRF, DGS and similar schemes |  | (75.0) | 75 | n.m. |
| DTA Fee | (14.4) | (15.3) | 0.9 | -5.9% |
| Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | 2 |  | 2 | n.m. |
| Gains (losses) on disposal of investments | - | (6.1) | 6.1 | n.m. |
| **Profit (Loss) for the period before tax** | **397.3** | **336.2** | **61.1** | **18.2%** |
| Income tax for the period | 15.8 | (3.5) | 19.3 | n.m. |
| **Profit (Loss) after tax** | **413.1** | **332.7** | **80.4** | **24.2%** |
| **Net profit (loss) for the period** | **413.1** | **332.7** | **80.4** | **24.2%** |
| Net profit (loss) attributable to non-controlling interests | - | - | - | n.m. |
| **Parent company's net profit (loss) for the period** | **413.1** | **332.7** | **80.4** | **24.2%** |

---

BANCA MONTE DEI PASCHI DI SIENA

**Quarterly trend in reclassified consolidated income statement**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **2025** | **2024** | **2024** | **2024** | **2024** |
| <br>**MONTEPASCHI GROUP** | **1°Q 2025** | **4°Q 2024** | **3°Q 2024** | **2°Q 2024** | **1°Q 2024** |
| Net interest income | 543 | 588 | 595.6 | 585.2 | 587 |
| Net fee and commission income | 397.9 | 373.5 | 356 | 370.5 | 365.3 |
| **Income from banking activities** | **940.9** | **961.5** | **951.6** | **955.7** | **952.3** |
| Dividends, similar income and gains (losses) on investments | 16.1 | 25.7 | 26.8 | 21.2 | 19 |
| Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases | 49.6 | 14.8 | 25.6 | 40.3 | 34.4 |
| Net profit (loss) from hedging | 0.5 | (0.3) | (2.3) | 2 | (0.4) |
| Other operating income (expenses) | 0.1 | (5.3) | 4.9 | (1.3) | 7.4 |
| **Total Revenues** | **1007.3** | **996.3** | **1006.7** | **1017.9** | **1012.8** |
| Administrative expenses: | (433.7) | (432.2) | (425.1) | (420.9) | (419.7) |
| &nbsp;&nbsp;&nbsp;&nbsp;a) personnel expenses | (321.3) | (311.1) | (309.5) | (303.6) | (304.6) |
| &nbsp;&nbsp;&nbsp;&nbsp;b) other administrative expenses | (112.4) | (121.1) | (115.6) | (117.3) | (115.1) |
| Net value adjustments to property, plant and equipment and intangible assets | (38.4) | (44.6) | (42.3) | (42.0) | (42.4) |
| **Operating expenses** | **(472.1)** | **(476.8)** | **(467.4)** | **(462.9)** | **(462.0)** |
| **Pre-Provision Operating Profit** | **535.2** | **519.5** | **539.3** | **555.0** | **550.8** |
| **Cost of customer credit** | **(91.0)** | **(109.3)** | **(96.3)** | **(98.3)** | **(105.7)** |
| **Net impairment (losses)/reversals on securities and loans to banks** | **3.6** | **(1.1)** | **(0.9)** | **(3.9)** | **(0.8)** |
| **Net operating income** | **447.7** | **409.2** | **442.2** | **452.8** | **444.3** |
| Other net provisions for risks and charges | (24.7) | (31.9) | (21.7) | (10.8) | (4.0) |
| Other gains (losses) on equity investments |  | 2.8 | 0 | (3.8) | 0 |
| Restructuring costs / One-off costs | (6.7) | (14.2) | (16.5) | (33.7) | (7.7) |
| Costs of extraordinary operations | (6.6) |  |  |  |  |
| Risks and charges associated to the SRF, DGS and similar schemes |  | (2.2) | 0.1 | (0.4) | (75.0) |
| DTA Fee | (14.4) | (15.3) | (15.3) | (15.3) | (15.3) |
| Net gains (losses) on property, plant and equipment and intangible assets measured at fair value | 2 | (9.1) | 1 | (19.3) |  |
| Gains (losses) on disposal of investments | - | 8.9 | 0.8 | 0.1 | (6.1) |
| **Profit (Loss) for the period before tax** | 397.3 | **348.2** | **390.5** | **369.6** | **336.2** |
| Income tax for the period | 15.8 | 36.6 | 16.2 | 456.8 | (3.5) |
| **Profit (Loss) after tax** | 413.1 | **384.8** | **406.7** | **826.4** | **332.7** |
| **Net profit (loss) for the period** | 413.1 | **384.8** | **406.7** | **826.4** | **332.7** |
| Net profit (loss) attributable to non-controlling interests | - | (0.1) | - | (0.1) | - |
| **Parent company's net profit (loss) for the period** | 413.1 | **384.9** | **406.7** | **826.5** | **332.7** |

---

Interim Financial Report

Revenue trends

As at 31 March 2025, the Group achieved total **Revenues** of **EUR 1,007 mln**, mainly stable compared to the same period of last year (-0.5%).

The growth in Net Commissions (+8.9%) and Other income from banking business (+24.7%) almost entirely offset the contraction in Net interest income (-7.5%), penalised by the reduction in interest rates, and the decline in Other operating income and expenses.

Revenues in the first quarter 2025 were up compared to the previous quarter (+1.1%) thanks to the positive trend in Net fee and commission income, Other income from banking business and Other operating income and expenses, while the interest margin recorded a decrease of 7.7% compared to the fourth quarter of 2024 due to the aforementioned reduction in interest rates.

With regard to the presentation of revenues for each of the operating segments identified in accordance with IFRS 8, please refer to the chapter on "Results by Operating Segment" in this Interim Report on Operations.

**Net Interest Income** as at 31 March 2025 was **EUR 543 mln**, down compared to the same period in 2024 (-7.5%, equal to EUR -44.0 mln). The decline was recorded in relationships with customers at amortised cost (EUR -79.0 mln) and, to a lesser extent, in relationships with banks at amortised cost (EUR -8.9 mln), while there was an increase, in particular, in interests on relationships with central banks (EUR +13.7 mln) and those on trading portfolios (EUR +14.2 mln). In more detail, the margin on customer relations was affected by the dynamics of interest rates, which led to lower interest income, only partially offset by the lower cost of collection.

Net interest income in the first quarter of 2025 decreased compared to the previous quarter (-7.7%, equal to EUR -45.0 mln); in customer relations (EUR -41 mln) the effective management of the cost of collection has allowed us to contain the effects linked to the reduction in active rates.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Items** | **31 03 2025** | **31 03 2024** | **Abs.** | **%** | **1°Q**<br>**2025** | **4°Q**<br>**2024** | **Abs.** | **%** |
| Loans to customers measured at amortised cost | 459.4 | 538.4 | (79.0) | -14.7% | 459.4 | 500.8 | (41.4) | -8.3% |
| Loans to Banks measured at amortised cost | 18.5 | 27.4 | (8.9) | -32.5% | 18.5 | 27.9 | (9.4) | -33.7% |
| Loans to Central Banks | 35.1 | 21.4 | 13.7 | 64.0% | 35.1 | 39.7 | (4.6) | -11.6% |
| Government securities and other non-bank issuers at amortised cost | 72.8 | 67.4 | 5.4 | 8.0% | 72.8 | 74.1 | (1.3) | -1.8% |
| Securities issued | (109.5) | (115.4) | 5.9 | -5.1% | (109.5) | (113.8) | 4.3 | -3.8% |
| Hedging derivatives | 2.8 | 1.1 | 1.7 | n.m. | 2.8 | 1.7 | 1.1 | 64.7% |
| Trading portfolios | 23.5 | 9.3 | 14.2 | n.m. | 23.5 | 16.3 | 7.2 | 44.2% |
| Portfolios measured at fair value | 2.0 | 1.8 | 0.2 | 11.1% | 2.0 | 1.9 | 0.1 | 5.3% |
| Financial assets measured at fair value through other comprehensive income | 10.1 | 9.9 | 0.2 | 2.0% | 10.1 | 10.3 | (0.2) | -1.9% |
| Other financial assets and liabilities | 28.3 | 25.7 | 2.6 | 10.1% | 28.3 | 29.1 | (0.8) | -2.7% |
| **Net interest income** | **543.0** | **587.0** | **(44.0)** | **-7.5%** | **543.0** | **588.0** | **(45.0)** | **-7.7%** |
| of which: interest income on impaired financial assets | 21.7 | 26.3 | (4.6) | -17.5% | 21.7 | 27.1 | (5.4) | -19.9% |

---

**Net fee and commission income** as at 31 March 2025, **totalling EUR 398 mln**, recorded an increase compared to the same period of the previous year (+8.9%, equal to EUR +32.6 mln). The positive performance was recorded both in management/brokerage and advisory activities (+15.0%, equal to EUR +27.7 mln) and in commercial banking activities (+2.7%, equal to EUR +4.8 mln). In detail, in the first commission area, the contribution of the distribution and portfolio management components increased (EUR +23.9 mln), of the brokerage and placement of securities and currencies (EUR +3.6 mln) and of the other brokerage/management and consultancy commissions (EUR +1.7 mln). In the commercial banking area, commission income on loans (EUR +5.7 mln), commission income on guarantees (EUR +2.4 mln) and other net fee and commission income (EUR +2.2 mln) had a positive effect, partially offset by a decline in the ATM and credit

BANCA MONTE DEI PASCHI DI SIENA

card service (EUR -4.0 mln). The result for the first quarter of the 2025 financial year was higher than in the previous quarter (+6.5%), thanks to the combined effect of higher income from management/brokerage and advisory activities (+21.0%, equal to EUR +36.9 mln) and a decline in commercial banking activities (-6.3%, equal to EUR -12.5 mln).

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Change Y/Y** | **Change Y/Y** | | | **Change Q/Q** | **Change Q/Q** |
| <br>**Service/Amounts** | **31 03 2025** | **31 03 2024** | **Abs.** | **%** | **1°Q**<br>**2025** | **4°Q**<br>**2024** | **Abs.** | **%** |
| Loans | 64.2 | 58.5 | 5.7 | 9.7% | 64.2 | 66.1 | (1.9) | -2.9% |
| Current accounts | 52.5 | 54.0 | (1.5) | -2.8% | 52.5 | 53.8 | (1.3) | -2.4% |
| Payment services | 29.5 | 29.5 |  | 0.0% | 29.5 | 36.8 | (7.3) | -19.8% |
| Debit cards and credit cards | 17.5 | 21.5 | (4.0) | -18.6% | 17.5 | 18.1 | (0.6) | -3.3% |
| Guarantees issued and received | 9.1 | 6.7 | 2.4 | 35.8% | 9.1 | 9.3 | (0.2) | -2.2% |
| Other net fees and commissions | 12.1 | 9.9 | 2.2 | 22.2% | 12.1 | 13.4 | (1.3) | -9.7% |
| **Fees from Commercial banking activities** | **185.0** | **180.2** | **4.8** | **2.7%** | **185.0** | **197.5** | **(12.5)** | **-6.3%** |
| Portfolio management | 138.7 | 114.8 | 23.9 | 20.8% | 138.7 | 123.8 | 14.9 | 12.0% |
| Distribution of insurance product | 54.8 | 54.6 | 0.2 | 0.4% | 54.8 | 48.9 | 5.9 | 12.1% |
| Financial Advisors | (16.5) | (14.9) | (1.6) | 10.7% | (16.5) | (17.8) | 1.3 | -7.3% |
| Placement of securities and currency | 27.8 | 24.2 | 3.6 | 14.9% | 27.8 | 13.8 | 14.0 | n.m. |
| Other brokerage/management and advisory fees and commissions | 8.2 | 6.5 | 1.7 | 26.2% | 8.2 | 7.3 | 0.9 | 12.3% |
| **Fees from Brokerage/management and advisory activities** | **212.9** | **185.2** | **27.7** | **15.0%** | **212.9** | **176.0** | **36.9** | **21.0%** |
| **Net fees and commission income** | **397.9** | **365.3** | **32.6** | **8.9%** | **397.9** | **373.5** | **24.4** | **6.5%** |

---

The opening balances of fee and commission income for each operating segment identified are indicated below.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **Operating segments** | **Operating segments** | **Operating segments** | **Operating segments** | | |
| **SEGMENT REPORTING**<br>**Primary segment** |<br>**Retail banking**<br>**31/03/25** |<br>**Wealth**<br>**Management**<br>**31/03/25** |<br>**Corporate**<br>**banking**<br>**31/03/25** | **Large Corp.&**<br>**Investment**<br>**Banking**<br>**31/03/25** |<br>**Corporate**<br>**Center**<br>**31/03/25** |<br>**Total**<br>**Montepaschi**<br>**Group**<br>**31/03/25** |
| Brokerage/management and advisory activities | 1036 | 31 | 976 | 160 | 28 | 2230 |
| Fees from management and advisory activities | 1826 | 310 | 63 | 89 | 45 | 2333 |
| **Fee and Commission income** | **2862** | **341** | **1039** | **249** | **73** | **4563** |

---

Of the Group's **Fee and commission income** referring to the Commercial segments, 49.0% derives from traditional banking business and 51.0% from management/brokerage and advisory activities.

Specifically, of the fee and commission income generated by commercial banking activity, 47.0% was from Retail banking, 44.3% from Corporate banking, 7.2% from Large Corporate & Investment banking and 1.4% Wealth Management.

As regards management/brokerage and advisory activities, on the other hand, Retail banking accounts for 79.8%, Wealth Management for 13.5%, Corporate banking for 2.7% and Large Corporate & Investment banking for 3.9%.

**Dividends, similar income and gains (losses) on equity investments** amounted to **EUR 16 mln**, down by EUR 3 mln compared to 31 March 2024, mainly due to the lower contribution from UCITS and non-associated equity investments. The result for the first quarter of 2025 is down compared to the previous quarter (EUR -10 mln) due to the lower contribution of insurance companies and UCITS.

**Net Profit (Loss) from trading, the fair value measurement of assets/liabilities and net gains on disposal/repurchase** as at 31 March 2025 amounted to **EUR 50 mln**, an increase compared to the values recorded in the same period of the

Interim Financial Report

previous year (EUR +15 mln) and compared to the fourth quarter of 2024 (EUR +35 mln). The analysis of the main aggregates shows the following:

&nbsp;&nbsp;&nbsp;&nbsp;· **Net result from trading activities** positive for **EUR 37 mln**, compared to the result of EUR
46 mln recorded in the same period of the previous year (EUR -9 mln), which also incorporated the positive effects resulting from the
early closure of some accounting hedges, as part of Net interest income stabilisation strategy. The comparison with the previous quarter
shows a growth of EUR 20 mln, mainly attributable to business volumes deriving from the management of operations towards customers, *market making* activity and a favourable market context.

&nbsp;&nbsp;&nbsp;&nbsp;· **Net profit (loss) from other assets/liabilities measured at fair value through profit or loss** amounted
to EUR **+1 mln**, essentially stable compared to the same period of the previous year (EUR -0.5 mln). The contribution for the first
quarter of 2025 was up compared to the previous quarter (EUR +4.9 mln).

&nbsp;&nbsp;&nbsp;&nbsp;· **Results from disposals/repurchases** (excluding customer financing at amortised cost) positive for
EUR **12 mln**, compared to EUR -13 mln at 31 March 2024, thanks to the net profits achieved in the context of financial portfolio
optimisation activities. The comparison with the previous quarter also highlights a positive trend, with a growth of EUR 10 mln.

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Items** | **31 03 2025** | **31 03 2024** | **Abs.** | **%** | **1°Q**<br>**2025** | **4°Q**<br>**2024** | **Abs.** | **%** |
| Financial assets held for trading | (21.9) | 34.3 | (56.2) | n.m. | (21.9) | (7.7) | (14.2) | n.m. |
| Financial liabilities held for trading | 12.6 | (2.6) | 15.2 | n.m. | 12.6 | 18.2 | (5.6) | -30.8% |
| Exchange rate effects | 5.0 | 4.5 | 0.5 | 11.1% | 5.0 | 8.6 | (3.6) | -41.9% |
| Derivatives | 41.7 | 9.8 | 31.9 | n.m. | 41.7 | (1.3) | 43.0 | n.m. |
| **Trading results** | **37.4** | **46.0** | **(8.6)** | **-18.7%** | **37.4** | **17.8** | **19.6** | **n.m.** |
| Net profit (loss) from other financial assets and liabilities measured at fair value through profit or loss | 0.7 | 1.2 | (0.5) | -41.7% | 0.7 | (4.2) | 4.9 | n.m. |
| Disposal / repurchase (excluding loans to customers measured at amortised cost) | 11.5 | (12.8) | 24.3 | n.m. | 11.5 | 1.2 | 10.3 | n.m. |
| **Net profit (loss) from trading, the fair value measurement of assets/liabilities and Net gains (losses) on disposals/repurchases** | **49.6** | **34.4** | **15.2** | **44.2%** | **49.6** | **14.8** | **34.8** | **n.m.** |

---

The following items are also included in Revenues:

&nbsp;&nbsp;&nbsp;&nbsp;· **The net profit (loss) from hedging** was **EUR 1 mln**, compared to the essentially zero result
achieved in the same period of the previous year. The contribution of the first quarter of 2025 is approximately EUR 1 mln higher than
the previous quarter;

&nbsp;&nbsp;&nbsp;&nbsp;· **Other operating income/expenses** with a **substantially zero** result, compared to the EUR +7
mln achieved in the same period of the previous year and the EUR -5 mln of the previous quarter.

BANCA MONTE DEI PASCHI DI SIENA

**Operating expenses: operating expenses**

At 31 March 2025, **operating expenses** amounted to **EUR 472 mln**, up compared to the first quarter of 2024 (+2.2%, EUR 10.1 mln) and down compared to the previous quarter (-1.0%). A closer look at the individual aggregates reveals the following:

· **Administrative expenses** amounted to EUR 434 mln, up compared to the first quarter of 2024 (+3.3%)
and essentially stable compared to the previous quarter (+0.3%). A breakdown of the aggregate shows:

**Personnel Expenses**, which amount to EUR 321 mln, are higher than those recorded in the corresponding period of the previous year (+5.5%), mainly due to the costs connected with the second increase in wages envisaged by the renewal of the National Collective Labour Agreement of bankers (effective from 1 September 2024) and to greater provisions on the variable component of remuneration. The quarterly result also increased compared to the previous quarter (+3.3%), mainly due to the aforementioned increase in the variable component.

**Other administrative expenses**, amounting to EUR 112 mln, were down both compared to 31 March 2024 (-2.3%), and compared to the fourth quarter (-7.2%), thanks in part to the implementation of a rigorous expenditure management process and a focus on cost optimisation measures.

· **Net adjustments to property, plant and equipment and intangible assets** amounted to **EUR 38 mln** as at 31 March 2025, down compared to both 31 March 2024 (-9.4%) and compared to the previous quarter (-13.9%).

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg Y/Y** | **Chg Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Type of transaction** | **31 03 2025** | **31 03 2024** | **Abs.** | **%** | **1°Q**<br>**2025** | **4°Q**<br>**2024** | **Abs.** | **%** |
| Wages and salaries | (228.1) | (218.1) | (10.0) | 4.6% | (228.1) | (222.1) | (6.0) | 2.7% |
| Social-welfare charges | (62.2) | (59.5) | (2.7) | 4.5% | (62.2) | (58.1) | (4.1) | 7.1% |
| Other personnel expenses | (31.0) | (27.0) | (4.0) | 14.8% | (31.0) | (30.9) | (0.1) | 0.3% |
| **Personnel expenses** | **(321.3)** | **(304.6)** | **(16.7)** | **5.5%** | **(321.3)** | **(311.1)** | **(10.2)** | **3.3%** |
| Taxes | (56.8) | (51.3) | (5.5) | 10.7% | (56.8) | (69.8) | 13.0 | -18.6% |
| Furnishing, real estate and security expenses | (21.9) | (20.6) | (1.3) | 6.3% | (21.9) | (19.4) | (2.5) | 12.9% |
| General operating expenses | (40.7) | (41.6) | 0.9 | -2.2% | (40.7) | (41.0) | 0.3 | -0.7% |
| Information technology expenses | (27.5) | (29.5) | 2.0 | -6.8% | (27.5) | (30.0) | 2.6 | -8.3% |
| Legal and professional expenses | (14.7) | (13.2) | (1.5) | 11.4% | (14.7) | (20.8) | 6.0 | -29.3% |
| Indirect personnel costs | (1.4) | (1.1) | (0.3) | 27.3% | (1.4) | (1.5) | 0.1 | -6.7% |
| Insurance | (4.1) | (4.0) | (0.1) | 2.5% | (4.1) | (4.1) |  | 0.0% |
| Advertising, sponsorship and promotions | (0.7) | (0.5) | (0.2) | 40.0% | (0.7) | (1.3) | 0.6 | -46.2% |
| Other | (2.2) | (3.5) | 1.3 | -37.1% | (2.2) | (2.9) | 0.7 | -24.1% |
| Expenses recovery | 57.6 | 50.2 | 7.4 | 14.7% | 57.6 | 69.8 | (12.2) | -17.5% |
| **Other administrative expenses** | **(112.4)** | **(115.1)** | **2.7** | **-2.3%** | **(112.4)** | **(121.1)** | **8.6** | **-7.2%** |
| Property, plant and equipment | (22.8) | (25.7) | 2.9 | -11.3% | (22.8) | (26.5) | 3.7 | -14.0% |
| Intangible assets | (15.6) | (16.7) | 1.1 | -6.6% | (15.6) | (18.1) | 2.5 | -13.8% |
| **Net value adjustments to property, plant and equipment and intangible assets** | **(38.4)** | **(42.4)** | **4.0** | **-9.4%** | **(38.4)** | **(44.6)** | **6.2** | **-13.9%** |
| **Operating expenses** | **(472.1)** | **(462.0)** | **(10.1)** | **2.2%** | **(472.1)** | **(476.8)** | **4.7** | **-1.0%** |

---

As a result of these trends, the Group's **Gross Operating Income** was **EUR 535 mln**, down 2.8% compared to 31 March 2024 (EUR 551 mln) and up 3.0% compared to the previous quarter (EUR 520 mln).

Interim Financial Report

**Cost of Customer Credit**

As of 31 March 2025 the Group recorded a **Cost of Customer Credit of EUR 91 mln**, down from EUR 106 mln in the same period of the previous year and EUR 109 mln in the previous quarter, mainly due to lower default flows.

As at 31 March 2025, the **Provisioning Ratio**, expressed as the ratio between the annualised cost of customer loans and the sum of customer loans and the value of securities arising from the sale/securitisation of non-performing loans, showed an improving trend, standing at **46 bps** (53 bps as at 31 December 2024 and 54 bps as at 31 March 2024).

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** | | | **Chg. Q/Q** | **Chg. Q/Q** |
| <br>**Items** | **31 03 2025** | **31 03 2024** | **Abs.** | **%** |<br>**1°Q 2025** |<br>**4°Q 2024** | **Abs.** | **%** |
| Loans to customers measured at amortised cost | (89.8) | (119.3) | 29.5 | -24.7% | (89.8) | (87.9) | (1.9) | 2.2% |
| Modification gains/(losses) | (1.0) | (2.2) | 1.2 | -54.5% | (1.0) | (2.9) | 1.9 | -65.5% |
| Gains/(losses) on disposal/repurchase of loans to customers measured at amortised cost |  |  |  |  |  |  |  |  |
| Net change of Loans to customers mandatorily measured at fair value | (0.7) | (0.5) | (0.2) | 40.0% | (0.7) |  | (0.7) |  |
| Net provisions for risks and charges on commitments and guarantees issued | 0.5 | 16.3 | (15.8) | -96.9% | 0.5 | (18.5) | 19.0 | n.m. |
| **Cost of customer credit** | **(91.0)** | **(105.7)** | **14.7** | **-13.9%** | **(91.0)** | **(109.3)** | **18.3** | **-16.7%** |

---

The Group's **Net Operating Income** at 31 March 2025 amounted to **EUR 448 mln**, up both compared to the EUR 444 mln recorded in the first quarter of 2024 and compared to EUR 409 mln in the previous quarter.

**Non-operating income, tax and net profit (loss) for the period** 

The **Profit (Loss) for the Period** included the following items:

· **Other net provisions for risks and charges** amounted to **EUR -25 mln** in the first quarter
of 2025, compared to EUR - 4 mln in the same period of the previous year and EUR -32 mln in the previous quarter.

· **Other gains (losses) on equity investments** were zero both as of 31 March 2025 and as of 31 March
2024; the previous quarter had recorded a contribution of EUR +3 mln.

· **Restructuring costs/One-off costs** equal to EUR -7 mln, compared with EUR -8 mln in the first quarter
of 2024 and EUR -14 mln in the previous quarter. These charges include, in particular, the effect of discounting charges related to departures
through retirement or access to the Solidarity Fund and the expected impact of the disposal of the subsidiary MP Banque for an amount
of EUR -3 mln as at 31 March 2025.

· **Cost of extraordinary operations** amounting to **EUR -7 mln**, including expenses incurred in
relation to the public exchange offer on Mediobanca shares, announced in January 2025.

· **Risks and charges associated with SRF, DGS and similar schemes** with zero amount as of 31 March
2025<sup>9</sup>. In the first quarter of 2024, this item had included charges of EUR 75 mln, relating to the contribution recognised
to the deposit guarantee fund for the Group's Italian banks (DGS), to which were added during the fourth quarter of 2024 costs of EUR
2 mln relating to the contribution charge to the life insurance guarantee fund borne by the Group's distribution companies.

<sup>9</sup> With reference to the annual contribution due to the Single Resolution Fund, the *Single Resolution Board* (SRB) announced that in 2025, similarly to 2024, no contribution to the system will be required, except for specific needs; the Interbank Deposit Protection Fund (FITD) reached the target level by 3 July 2024, therefore during 2025 it will assess whether the available financial means have fallen below the *target level* and, following this examination, will possibly proceed to collect further contributions; finally, with reference to the Life Insurance Guarantee Fund, it should be noted that the Fund's Articles of Association are being prepared, which will contain, among other things, the detailed rules regarding the contributions due.

BANCA MONTE DEI PASCHI DI SIENA

· **DTA fee** of **EUR -14 mln**, slightly lower than in the same period of the previous year and
in the previous quarter (both EUR -15 mln). This amount, determined according to the criteria set forth in Italian Law Decree 59/2016,
converted into Law no. 119 of 30 June 2016, represents the fee as at 31 March 2025 on DTA (Deferred Tax Assets) that can be converted
into a tax credit.

· **Net gains (losses) on property, plant and equipment and intangible assets measured at fair value** amounted
to **EUR +2 mln**, compared with zero in the same period of 2024 and EUR -9 mln in the previous quarter, following the measurement
of certain investment properties at their expected disposal price.

· **Gains (losses) on disposals of investments**, zero result at 31 March 2025, which compares with EUR
-6 mln in the first quarter of 2024 and with EUR +9 mln in the fourth quarter of 2024, both referring to the completion of the sale of
some properties.

As a result of the above trends, the Group's **Profit for the period before tax** amounted to **EUR 397 mln**, up both compared to the EUR 336 mln recorded in the same period of 2024 and compared to the EUR 348 mln recorded in the fourth quarter of 2024.

**Income taxes for the period** recorded a positive contribution of **EUR 16 mln** (EUR -4 mln at 31 March 2024), mainly attributable to the revaluation of DTAs, net of taxes relating to the results for the quarter.

As a result of the dynamics described above, the **Parent Company's profit (loss) for the period amounted to EUR 413 mln** as at 31 March 2025, up both compared to the 2024 quarter (equal to EUR 333 mln) and compared to the previous quarter (equal to EUR 385 mln).

In compliance with Consob instructions, following is a statement of the reconciliation of the Shareholders' equity and Net profit and loss for the period of the Parent Company with the consolidated items:

**Reconciliation between Parent Company and Consolidated Net Equity and Profit (Loss) for the period**

---

| | | |
|:---|:---|:---|
|  | **Shareholders'<br> equity** | **Net profit (loss)<br> for the period** |
| Parent Company's net equity | 11673.5 | 393.3 |
| of which Parent Company's valuation reserves | 48.3 |  |
| Impact of line-by-line consolidation of subsidiaries | 5.4 | 5.9 |
| Impact of consolidation of jointly controlled entities and associates | 167.2 | 14.7 |
| Reversal of dividends from subsidiaries |  |  |
| Reversal of written-down equity investments | 193.1 |  |
| Other adjustments | 10.8 | (0.8) |
| Subsidiaries' and associates' valuation reserves | (1.4) | - |
| &nbsp;&nbsp;&nbsp;**Consolidated balance** | **12048.6** | **413.1** |
| &nbsp;&nbsp;&nbsp;of which valuation reserves | 46.9 |  |

---

Interim Financial Report

Reclassified balance sheet

The (i) reclassified balance sheet as at 31 March 2025 compared with the balances in the financial statements as at 31 December 2024 and (ii) the statement of its quarterly evolution starting from the first quarter of the previous year are provided below.

**Reclassified Consolidated Balance Sheet**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg** | **Chg** |
| <br>**Assets** | **31 03 2025** | **31 12 2024** | **abs.** | **%** |
| Cash and cash equivalents | 13128.4 | 14029.9 | (901.5) | -6.4% |
| Loans to central banks | 660.0 | 565.5 | 94.5 | 16.7% |
| Loans to banks | 1920.6 | 2068.3 | (147.7) | -7.1% |
| Loans to customers | 78630.9 | 77309.6 | 1321.3 | 1.7% |
| Securities assets | 19023.8 | 17447.4 | 1576.4 | 9.0% |
| Derivatives | 2613.2 | 2406.4 | 206.8 | 8.6% |
| Equity investments | 677.0 | 672.3 | 4.7 | 0.7% |
| Property, plant and equipment/Intangible assets | 2274.1 | 2297.7 | (23.6) | -1.0% |
| &nbsp;&nbsp;&nbsp;of which: goodwill | 7.9 | 7.9 |  | 0.0% |
| Tax assets | 2584.0 | 2538.0 | 46.0 | 1.8% |
| Other assets | 3067.7 | 3266.6 | (198.9) | -6.1% |
| **Total assets** | **124579.7** | **122601.7** | **1978.0** | **1.6%** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg** | **Chg** |
| <br>**Liabilities** | **31 03 2025** | **31 12 2024** | **abs.** | **%** |
| Direct funding | 94594.2 | 93971.9 | 622.3 | 0.7% |
| &nbsp;&nbsp;&nbsp;a) Due to customers | 85892.2 | 84049.4 | 1842.8 | 2.2% |
| &nbsp;&nbsp;&nbsp;b) Securities issued | 8702 | 9922.5 | (1220.5) | -12.3% |
| Due to central banks | 8010.2 | 8510.9 | (500.7) | -5.9% |
| Due to banks | 1854.4 | 1301 | 553.4 | 42.5% |
| On-balance-sheet financial liabilities held for trading | 1676.3 | 1617.9 | 58.4 | 3.6% |
| Derivatives | 1370.6 | 1346.2 | 24.4 | 1.8% |
| Provisions for specific use | 1014.1 | 1006.7 | 7.4 | 0.7% |
| &nbsp;&nbsp;&nbsp;a) Provision for staff severance indemnities | 72.5 | 72.4 | 0.1 | 0.1% |
| &nbsp;&nbsp;&nbsp;b) Provision related to guarantees and other commitments given | 149.3 | 149.9 | (0.6) | -0.4% |
| &nbsp;&nbsp;&nbsp;c) Pension and other post-retirement benefit obligations | 3.2 | 3.3 | (0.1) | -3.0% |
| &nbsp;&nbsp;&nbsp;d) Other provisions | 789.1 | 781.1 | 8 | 1.0% |
| Tax liabilities | 30.7 | 6.6 | 24.1 | n.m. |
| Other liabilities | 3980.3 | 3191.2 | 789.1 | 24.7% |
| Group net equity | 12048.6 | 11649 | 399.6 | 3.4% |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 46.9 | 60.4 | (13.5) | -22.4% |
| &nbsp;&nbsp;&nbsp;d) Reserves | 4135.1 | 2184.3 | 1950.8 | 89.3% |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7453.5 | 7453.5 |  | 0.0% |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the period | 413.1 | 1950.8 | (1537.7) | -78.8% |
| Non-controlling interests | 0.3 | 0.3 | - | 0.0% |
| **Total Liabilities and Shareholders' Equity** | **124579.7** | **122601.7** | **1978.0** | **1.6%** |

---

BANCA MONTE DEI PASCHI DI SIENA

**Reclassified Consolidated Balance Sheet - Quarterly Trend**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **31 03 2025** | **31 12 2024** | **30 09 2024** | **30 06 2024** | **31 03 2024** |
| Cash and cash equivalents | 13128.4 | 14029.9 | 13734.3 | 17692.0 | 16003.5 |
| Loans to central banks | 660.0 | 565.5 | 588.8 | 566.4 | 832.4 |
| Loans to banks | 1920.6 | 2068.3 | 2264.8 | 2670.9 | 2313.0 |
| Loans to customers | 78630.9 | 77309.6 | 76649.0 | 77974.7 | 78422.9 |
| Securities assets | 19023.8 | 17447.4 | 17800.6 | 18398.6 | 18175.7 |
| Derivatives | 2613.2 | 2406.4 | 2578.3 | 2909.0 | 2734.6 |
| Equity investments | 677.0 | 672.3 | 744.3 | 708.1 | 739.1 |
| Property, plant and equipment/Intangible assets | 2274.1 | 2297.7 | 2330.7 | 2356.0 | 2423.1 |
| &nbsp;&nbsp;&nbsp;of which: goodwill | 7.9 | 7.9 | 7.9 | 7.9 | 7.9 |
| Tax assets | 2584.0 | 2538.0 | 2517.5 | 2523.8 | 2153.0 |
| Other assets | 3067.7 | 3266.6 | 3270.6 | 2901.0 | 2978.0 |
| **Total assets** | **124579.7** | **122601.7** | **122478.9** | **128700.5** | **126775.3** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Liabilities** | **31 03 2025** | **31 12 2024** | **30 09 2024** | **30 06 2024** | **31 03 2024** |
| Direct funding | 94594.2 | 93971.9 | 91249.4 | 96521.6 | 92718.1 |
| &nbsp;&nbsp;&nbsp;a) Due to customers | 85892.2 | 84049.4 | 82159.5 | 86180.1 | 83204.1 |
| &nbsp;&nbsp;&nbsp;b) Securities issued | 8702.0 | 9922.5 | 9089.9 | 10341.5 | 9514.0 |
| Due to central banks | 8010.2 | 8510.9 | 9016.4 | 12009.7 | 11629.3 |
| Due to banks | 1854.4 | 1301.0 | 1226.5 | 1114.1 | 1304.4 |
| On-balance-sheet financial liabilities held for trading | 1676.3 | 1617.9 | 3216.5 | 2932.7 | 5164.3 |
| Derivatives | 1370.6 | 1346.2 | 1341.0 | 1353.6 | 1396.7 |
| Provisions for specific use | 1014.1 | 1006.7 | 945.3 | 934.8 | 1012.1 |
| &nbsp;&nbsp;&nbsp;a) Provision for staff severance indemnities | 72.5 | 72.4 | 70.1 | 70.1 | 72.0 |
| &nbsp;&nbsp;&nbsp;b) Provision related to guarantees and other commitments given | 149.3 | 149.9 | 131.4 | 129.5 | 138.0 |
| &nbsp;&nbsp;&nbsp;c) Pension and other post-retirement benefit obligations | 3.2 | 3.3 | 3.1 | 3.2 | 3.3 |
| &nbsp;&nbsp;&nbsp;d) Other provisions | 789.1 | 781.1 | 740.7 | 732.0 | 798.8 |
| Tax liabilities | 30.7 | 6.6 | 6.9 | 5.9 | 9.9 |
| Other liabilities | 3980.3 | 3191.2 | 4211.6 | 3032.7 | 3232.8 |
| Group net equity | 12048.6 | 11649.0 | 11264.9 | 10795.0 | 10307.1 |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 46.9 | 60.4 | 64.5 | 1.3 | 25.8 |
| &nbsp;&nbsp;&nbsp;d) Reserves | 4135.1 | 2184.3 | 2181.0 | 2181.0 | 2495.1 |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7453.5 | 7453.5 | 7453.5 | 7453.5 | 7453.5 |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the period | 413.1 | 1950.8 | 1565.9 | 1159.2 | 332.7 |
| Non-controlling interests | 0.3 | 0.3 | 0.4 | 0.4 | 0.6 |
| **Total Liabilities and Shareholders' Equity** | **124579.7** | **122601.7** | **122478.9** | **128700.5** | **126775.3** |

---

Interim Financial Report

**Customer funding**

As at 31 March 2025, the Group's **Total Funding** volumes amounted to **EUR 198.2 bn**, highlighting an increase of EUR 1.0 bn compared to 31 December 2024, both on Direct Funding (EUR +0.6 bn) and on Indirect Funding (EUR +0.4 bn).

The aggregate was up also compared to 31 March 2024 (EUR +5.4 bn), due to the increase in Direct Funding (EUR +1.9 bn) and Indirect Funding (EUR +3.5 bn).

The market share<sup>10</sup> of the Group on direct funding stood at 3.36% (figure updated to February 2025), down slightly compared to December 2024 (3.45%), while the market share on sight deposits was 4.60%, compared with 4.71% in December 2024.

**Backgroung**

On an annual basis, overall funding showed a (negative) change of -2.9%, mainly reflecting the repayment of funds from the third series of Targeted Longer*-*Term Refinancing Operations (TLTRO3), which ended in December 2024. The dynamics of resident deposits remained robust at +1.67% (12-month rate of change) also driven by the weakness of consumption.

However, in the first months of 2025, collections from ordinary customers recorded a decrease of approximately 1% compared to the end of 2024. The decline is mainly attributable to the contraction in deposits from the non-financial private sector.

In detail, deposits in the productive sector (non-financial companies and producer families) fell by -5.8% in the first two months compared to December 2024 (approximately EUR -30 bn since the beginning of the year); consumer household deposits, after an average growth of approximately +1% in the second half of 2024, also decreased by approximately EUR 8 bn in the first months of the year (-0.7% in February compared to December 2024).

Analysing the various technical forms, a marked reduction in sight deposits is highlighted (around EUR -38 bn in February compared to December 24), while an increase in the stock of more remunerative financial instruments such as fixed-term deposits and bonds is observed. As a result, current account liabilities showed a negative change (-2.8% in February compared to the end of 2024), while fixed-term deposits and bonds recorded an increase of +0.7% and +0.6% respectively in the first two months of 2025 compared to the volumes of December 2024.

Bond collections slowed down their growth rate, with an increase in amounts of +5.6% in February 2025 y/y.

Following the easing of monetary policy, the trend in deposit rates has been steadily decreasing since the second half of 2024: in February 2025 the interest rate on deposits of non-financial corporations and households stood at 0.82% (-20 bps compared to the same period in 2024); the rate on current accounts fell to the level of 0.39% (-16 bps over 12 months); the rate on fixed-term deposits reported the greatest drop, settling at 3.08% (with a reduction of -37 bps over 12 months (of which -16 bps in the first two months of 2025 alone). On bonds, the average rate on outstanding amounts stabilised at 2.81% in February, with a variation of -13 bps from the maximum reached in September 2024 and of approximately -3 bps compared to the end-of-year figure.

On the asset management market, the provisional data for February showed positive net inflows: Funds recorded net inflows of EUR 2.6 bn and retail asset management showed positive net inflows of EUR +1.8 bn since the beginning of the year. At the category level, savers mainly directed their choices towards bond funds (EUR +3.7 bn net inflows from January to February); while the balanced fund classes (EUR -1 bn), the equity classes (EUR -893 mln) and the flexible classes (EUR -169 mln) marked a phase of divestment. Total assets under management since the beginning of the year stood at EUR 2,538 bn, up from EUR 2,508 bn in the fourth quarter of 2024. For the life insurance market, in the first two months of the year, new business was recorded for EUR 16.4 bn, compared to EUR 13.8 bn in the same period of the previous year, showing a growth of about 19%. In the distribution channel of bank and post offices, in February 2024, there was significant growth in the placement of classic units (+112% y/y) and hybrid solutions (+104%), while traditional products recorded much more limited developments with a +4.4% trend. With reference to the channels for the placement of life insurance products, the first two months of the year saw an increase in the volume of business in the financial advisor channel, up by+26.6% compared to the same period last year. A similar positive trend was seen in the banking channel (22.1% y/y) while the agency channel showed a moderate decrease (-3.5% y/y).

*<sup>10</sup>* Deposits and repurchase agreements (excluding repurchase agreements with central counterparties) from ordinary resident customers and bonds net of repurchases placed with ordinary resident customers as first-instance borrowers.

BANCA MONTE DEI PASCHI DI SIENA

**Customer Funding**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
|  | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Direct funding | 94594.2 | 93971.9 | 92718.1 | 622.3 | 0.7% | 1876.1 | 2.0% |
| Indirect funding | 103598.5 | 103237.8 | 100085.9 | 360.7 | 0.3% | 3512.6 | 3.5% |
| **Total funding** | **198192.7** | **197209.7** | **192804.0** | **983.0** | **0.5%** | **5388.7** | **2.8%** |

---

**Direct Funding** volumes stood at **EUR 94.6 bn**, recording an increase compared to the end of December 2024 (EUR +0.6 bn). The growth of repurchase agreements (EUR +2.3 bn), term deposits (EUR +0.4 bn) and other forms of funding (EUR +0.6 bn) more than offset the decrease in current accounts (EUR -1.4 bn) and bonds (EUR -1.2 bn). The dynamics of the bonds is attributable to the exercise, in the first quarter of 2025, of the option for early full repayment of a Tier 2 subordinated bond (EUR 400 mln) and a Senior bond (EUR 750 mln).

The aggregate also increased compared to 31 March 2024 (EUR +1.9 bn). The growth in this case involved current accounts (EUR +1.3 bn), term deposits (EUR +0.2 bn), repurchase agreements (EUR +0.3 bn) and other forms of deposits (EUR +0.9 bn). Bonds, on the other hand, declined (EUR -0.8 bn).

**Direct funding**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Type of transaction** | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Current accounts | 65735.5 | 67180.3 | 64458.6 | (1444.8) | -2.2% | 1276.9 | 2.0% |
| Time deposits | 7546.3 | 7151.0 | 7353.0 | 395.3 | 5.5% | 193.3 | 2.6% |
| Reverse repurchase agreements | 9101.2 | 6800.1 | 8769.3 | 2301.1 | 33.8% | 331.9 | 3.8% |
| Bonds | 8702.0 | 9922.5 | 9514.0 | (1220.5) | -12.3% | (812.0) | -8.5% |
| Other types of direct funding | 3509.2 | 2918.0 | 2623.2 | 591.2 | 20.3% | 886.0 | 33.8% |
| **Total** | 94594.2 | 93971.9 | 92718.1 | 622.3 | 0.7% | 1876.1 | 2.0% |

---

**Indirect Funding** stood at **EUR 103.6 bn**, up EUR 0.4 bn compared to 31 December 2024, thanks to assets under custody (EUR +0.7 bn); Assets under management are substantially stable (EUR -0.3 bn). Assets under custody benefit from both positive net flows and a positive market effect.

Compared with 31 March 2024, indirect funding grew by EUR 3.5 bn, due to both an increase in assets under custody (EUR +2.0 bn) and growth in assets under management (EUR +1.5 bn). Both components benefit mainly from a positive market effect, net flows were also positive, especially in the fund and Assets under custody.

**Indirect Funding**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
|  | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Assets under management | 59624.0 | 59924.0 | 58111.6 | (300.1) | -0.5% | 1512.4 | 2.6% |
| &nbsp;&nbsp;&nbsp;Funds | 29697.2 | 29580.7 | 27690.4 | 116.5 | 0.4% | 2006.8 | 7.2% |
| &nbsp;&nbsp;&nbsp;Individual Portfolio under Management | 5291.1 | 5376.7 | 5155.1 | (85.6) | -1.6% | 136.0 | 2.6% |
| &nbsp;&nbsp;&nbsp;Bancassurance | 24635.6 | 24966.6 | 25266.0 | (331.0) | -1.3% | (630.4) | -2.5% |
| Assets under custody | 43974.6 | 43313.8 | 41974.3 | 660.8 | 1.5% | 2000.3 | 4.8% |
| &nbsp;&nbsp;&nbsp;Government securities | 19596.3 | 19843.9 | 18743.5 | (247.6) | -1.2% | 852.8 | 4.5% |
| &nbsp;&nbsp;&nbsp;Others | 24378.3 | 23469.9 | 23230.8 | 908.3 | 3.9% | 1147.5 | 4.9% |
| **Total funding** | **103598.5** | **103237.8** | **100085.9** | **360.7** | **0.3%** | **3512.6** | **3.5%** |

---

Interim Financial Report

**Loans to customers**

As at 31 March 2025, the Group's **Loans to Customers** amounted to **EUR 78.6 bn**, up compared to 31 December 2024 (EUR +1.3 bn), mainly in mortgages (EUR +1.3 bn) and, to a lesser extent, current accounts (EUR +0.2 bn); The other components were essentially stable.

Compared to 31 March 2024, the aggregate slightly increased (EUR +0.2 bn). The increase in other loans (EUR +0.3 bn) and current accounts (EUR +0.2 bn) more than offset the decline in repurchase agreements (EUR -0.2 bn); mortgages and Non-performing loans remained substantially stable.

The Group's market share<sup>11</sup> was 4.42% (updated to February 2025), up from 4.37% in December 2024.

**Background**

The effects of the reduction in official rates also continue to impact the cost of financing for families and businesses.

In the first months of the year, financing to the private sector (net of repos with central counterparties and adjusted for sold and written-off exposures) continued to decline but to a lesser extent than the average decline in 2024, reporting -0.28% in January and -0.04% in February on an annual basis, a sign of a gradual stabilisation of the credit market. Loans to non-financial corporations continue their negative trend, but show a slowdown in the contraction compared to the past (approximately -2.1% in February y/y compared to -3.8% in the same period of the previous year); this trend reflects a combination of several factors: i) still weak credit demand from businesses, mainly attributable to the stagnation of investments in capital goods and the downsizing of the construction sector; ii) the criteria for offering loans to businesses remained unchanged; iii) greater recourse by companies to alternative sources of financing (market debt and use of accumulated liquidity) with consequent reduced recourse to bank debt.

On the other hand, loans to producer families showed a greater contraction (-6.2% in February y/y and -1% since the beginning of the year).

Household credit has returned to growth in recent months and marked +0.7% in February y/y driven by the acceleration of mortgages. In fact, mortgages for home purchases confirmed their positive trend with a +1% in February y/y, supported by the reduction in interest rates. Consumer credit maintains a vital momentum, continuing the path of progressive growth seen in previous months. According to the expectations of the intermediaries interviewed in March in the quarterly survey on bank credit (BLS - Bank Lending Survey - of 15 April 2025), the supply policies in the second quarter of 2025 should remain unchanged for loans to non-financial companies and for mortgages to households, while a slight tightening is expected for consumer loans.

With regard to interest rates on outstanding loans, there was a gradual decline in the first few months of 2025, with the rate on loans to non-financial companies standing at 4.48% in February (-28 bps from December 2024) and the rate on loans to households at +4.10% in February (down approximately 6 bps from December 2024).

On new business transactions in February the average rate fell by a further -41 bps compared to the values at the end of 2024, standing at 4.0%. On new transactions to households, the rate on loans for home purchase remained substantially unchanged in February (+7 bps compared to December 2024), standing at 3.18%, while the rate on consumer credit rose to 8.72% (with an increase of approximately +28 bps since the end of the year).

*<sup>11</sup>* Loans to ordinary resident customers, including bad loans and net of Repurchase Agreements with central counterparties.

BANCA MONTE DEI PASCHI DI SIENA

**Loans to customers**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Type of transaction** | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Current accounts | 2832.4 | 2658.9 | 2668.4 | 173.5 | 6.5% | 164.0 | 6.1% |
| Mortgages | 52041.2 | 50704.9 | 52047.0 | 1336.3 | 2.6% | (5.8) | 0.0% |
| Other forms of lending | 14890.3 | 15023.8 | 14628.1 | (133.5) | -0.9% | 262.2 | 1.8% |
| Repurchase agreements | 7028.6 | 7035.2 | 7241.3 | (6.6) | -0.1% | (212.7) | -2.9% |
| Non performing loans | 1838.4 | 1886.7 | 1838.1 | (48.4) | -2.6% | 0.3 | 0.0% |
| **Total** | **78630.9** | **77309.6** | **78422.9** | **1321.3** | **1.7%** | **208.0** | **0.3%** |
| Stage 1 | 66962.3 | 65222.1 | 66929.3 | 1740.2 | 2.7% | 33.0 | 0.0% |
| Stage 2 | 9619.2 | 10058.6 | 9458.5 | (439.4) | -4.4% | 160.7 | 1.7% |
| Stage 3 | 1835.2 | 1883.2 | 1834.5 | (48.0) | -2.5% | 0.7 | 0.0% |
| Purchased or originated credit impaired financial assets | 2.1 | 2.2 | 2.7 | (0.1) | -4.5% | (0.6) | -22.2% |
| Performing loans measured at fair value | 210.2 | 141.3 | 196.0 | 68.9 | 48.8% | 14.2 | 7.2% |
| Non-performing loans measured at fair value | 1.9 | 2.2 | 1.9 | (0.3) | -13.6% |  | 0.0% |

---

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **31 03 2025** | **31 03 2025** | **31 03 2025** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 03 2024** | **31 03 2024** | **31 03 2024** | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. 31.12** | **Chg. 31.12** |
| <br>**Loans to customers measured at amortised cost** | **Stage 1** | **Stage 2** | **Total loans to customers measured at amortised cost** | **Stage 1** | **Stage 2** | **Total loans to customers measured at amortised cost** **Stage 1** | **Stage 1** | **Stage 2** | **Total loans to customers measured at amortised cost** | **Stage 1** | **Stage 2** | **Stage 1** | **Stage 2** |
| Gross exposure | 67075.7 | 9983.1 | **80754.1** | 65334.1 | 10408.1 | **79456.9** | 67028.5 | 9832.1 | **80493.5** |  |  |  |  |
| Adjustments | 113.4 | 363.9 | **2335.3** | 112.0 | 349.5 | **2290.8** | 99.2 | 373.6 | **2268.5** |  |  |  |  |
| Net exposure | 66962.3 | 9619.2 | **78418.8** | 65222.1 | 10058.6 | **77166.1** | 66929.3 | 9458.5 | **78225.0** |  |  |  |  |
| Coverage ratio | 0.2% | 3.6% | **2.9%** | 0.2% | 3.4% | **2.9%** | 0.1% | 3.8% | **2.8%** | 0.0% | 0.2% | 0.1% | -0.2% |
| % on Loans to customers measured at amortised cost | 85.4% | 12.3% | **100.0%** | 84.5% | 13.0% | **100.0%** | 85.6% | 12.1% | **100.0%** | 0.9% | -0.7% | -0.2% | 0.2% |

---

The gross exposure of loans classified in stage 1, equal to EUR 67.1 bn as at 31 March 2025, increased compared to 31 December 2024 (EUR 65.3 bn) and remained substantially stable compared to 31 March 2024 (EUR 67.0 bn). The dynamics of the first quarter of 2025 compared to the end of the previous year is mainly due to the commercial developments of the period.

The positions classified in the second stage, whose gross exposure amounts to EUR 10.0 bn at 31 March 2025, are down compared to EUR 10.4 bn at 31 December 2024 and substantially in line with the level recorded at 31 March 2024 (equal to EUR 9.8 bn).

The coverage level of performing loans remained stable at 2.9% (same as at 31 December 2024).

Interim Financial Report

<u>Non-performing exposures of loans to customers</u>

In the tables below, Non-performing loans to customers are represented by all cash exposures, in the form of loans to customers, regardless of the accounting portfolio to which they belong.

The Group's **total non-performing loans to customers** as at 31 March 2025 were equal to **EUR 3.6 bn** in terms of gross exposure, trending down compared to 31 December 2024 (EUR 3.7 bn) and 31 March 2024 (EUR 3.6 bn). In particular:

&nbsp;&nbsp;&nbsp;&nbsp;· the bad loan gross exposure, amounting to EUR 1.4 bn, increased slightly compared to 31 December 2024 (EUR 1.3 bn) and decreased slightly
compared to 31 March 2024 (EUR 1.5 bn);

&nbsp;&nbsp;&nbsp;&nbsp;· the unlikely to pay loan gross exposure, equal to EUR 2.2 bn, was stable compared to 31 December 2024 and up slightly on 31 December
2023 (EUR 2.1 bn);

&nbsp;&nbsp;&nbsp;&nbsp;· the non-performing past-due loan gross exposure, amounting to EUR 65.4 mln, decreased compared to EUR 99.0 mln as at 31 December 2024
and EUR 78.7 mln as at 31 March 2024.

As at 31 March 2025, the Group's **Net exposure in terms of non-performing loans to customers** was equal to **EUR 1.8 bn**, substantially stable compared to 31 December 2024 and compared to 31 March 2024.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Loans to customers** | **Loans to customers** | **Bad loans** | **Unlikely to<br> pay** | **Non- <br> performing <br> Past due <br> Loans** | **Total Non- <br> performing <br> loans to <br> customers** | **Performing<br> loans** | **Total** |
|  | Gross exposure | 1364.3 | 2212.0 | 65.4 | **3641.7** | 77269.8 | **80911.5** |
| **31 03 2025** | Adjustments | 898.7 | 885.8 | 18.8 | **1803.3** | 477.3 | **2280.6** |
|  | Net exposure | 465.6 | 1326.2 | 46.6 | **1838.4** | 76792.5 | **78630.9** |
|  | Coverage ratio | 65.9% | 40.0% | 28.7% | **49.5%** | 0.6% | **2.8%** |
|  | % on Loans to customers | 0.6% | 1.7% | 0.1% | **2.3%** | 97.7% | **100.0%** |
|  | Gross exposure | 1320.8 | 2240.6 | 99.0 | **3660.4** | 75883.8 | **79544.2** |
| **31 12 2024** | Adjustments | 878.2 | 869.5 | 26.0 | **1773.7** | 460.9 | **2234.6** |
|  | Net exposure | 442.6 | 1371.1 | 73.0 | **1886.7** | 75422.9 | **77309.6** |
|  | Coverage ratio | 66.5% | 38.8% | 26.3% | **48.5%** | 0.6% | **2.8%** |
|  | % on Loans to customers | 0.6% | 1.8% | 0.1% | **2.4%** | 97.6% | **100.0%** |
|  | Gross exposure | 1459.5 | 2100.8 | 78.7 | **3639.0** | 77057.5 | **80696.5** |
| **31 03 2024** | Adjustments | 989.3 | 794.8 | 16.8 | **1800.9** | 472.7 | **2273.6** |
|  | Net exposure | 470.2 | 1306.0 | 61.9 | **1838.1** | 76584.8 | **78422.9** |
|  | Coverage ratio | 67.8% | 37.8% | 21.3% | **49.5%** | 0.6% | **2.8%** |
|  | % on Loans to customers | 0.6% | 1.7% | 0.1% | **2.3%** | 97.7% | **100.0%** |

---

As at 31 March 2025, the **coverage ratio of non-performing loans** to customers was 49.5%, up compared to 31 December 2024 when it was 48.5%. In particular, the coverage percentages of Unlikely to pay exposures and Non-performing past-due loans increased, going from 38.8% to 40.0% and from 26.3% to 28.7% respectively, while the coverage percentage of Bad Loans slightly decreased, going from 66.5% to 65.9%.

The coverage percentage of impaired loans is stable compared to 31 March 2024 (equal to 49.5%). At individual administrative status level, the percentage coverage of Unlikely to pay exposures (which rose from 37.8% to 40.0%) and Non-performing past-due loans (which rose from 21.3% to 28.7%) increased. On the other hand, the percentage of coverage of bad loans is slightly decreasing (coverage of which goes from 67.8% to 65.9%).

BANCA MONTE DEI PASCHI DI SIENA

**Change in gross exposures**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **abs/%** | **abs/%** | <br>**Bad loans** | <br>**Unlikely to**<br>**pay** | **Non-**<br>**performing**<br>**past due**<br>**exposures** | **Total Non-**<br>**performing**<br>**loans to**<br>**customers** | <br>**Performing**<br>**loans** | <br>**Total** |
| Q/Q | abs. | 43.5 | (28.6) | (33.6) | **(18.7)** | 1386.0 | **1367.3** |
|  | % | 3.3% | -1.3% | -33.9% | **-0.5%** | 1.8% | **1.7%** |
| Y/Y | abs. | (95.2) | 111.2 | (13.3) | **2.7** | 212.3 | **215.0** |
|  | % | -6.5% | 5.3% | -16.9% | **0.1%** | 0.3% | **0.3%** |

---

**Changes in coverage ratios**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| |<br><br>**Bad loans** |<br>**Unlikely to**<br>**pay** | **Non-**<br>**performing**<br>**past due**<br>**exposures** | **Total Non-**<br>**performing**<br>**loans to**<br>**customers** |<br>**Performing**<br>**loans** |<br><br>**Total** |
| Q/Q | -0.6% | 1.2% | 2.5% | **1.1%** | 0.0% | **0.0%** |
| Y/Y | -1.9% | 2.2% | 7.4% | **0.0%** | 0.0% | **0.0%** |

---

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **1°Q 2025** | **1°Q 2025** | **31 12 2024** | **31 12 2024** | **4°Q 2024** | **4°Q 2024** | **31 03 2024** | **31 03 2024** | **Chg. <br> 1°Q<br> 2025/4°Q2025<br> Total Non-<br> performing<br> loans to<br> customers** | **Chg. <br> 1°Q<br> 2025/4°Q2025<br> Total Non-<br> performing<br> loans to<br> customers** | **Chg. Y/Y <br> Total Non-<br> performing loans<br> to customers** | **Chg. Y/Y <br> Total Non-<br> performing loans<br> to customers** |
| <br>**Trend of non-<br> performing<br> loans to<br> customers** | **Non-performing<br> loans to customers** | **of which<br> Bad loans** | **Non-performing<br> loans to customers** | ***of which<br> Bad loans*** | **Non-performing<br> loans to customers** | **of which<br> Bad loans** | **Non-performing<br> loans to customers** | ***of which<br> Bad loans*** | **Abs.** | **%** | **Abs.** | **%** |
| **Gross exposure, opening balance** | **3660.4** | **1320.8** | **3484.9** | **1383.4** | **3880.7** | **1587.2** | **3484.9** | **1383.4** | **(220.3)** | **-5.7%** | **175.5** | **5.0%** |
| Increases from performing loans | 181.7 | 4.1 | 1315.7 | 85.5 | 336.8 | 39.1 | 343.9 | 5.2 | (155.1) | -46.1% | (162.2) | -47.2% |
| Transfers to performing loans | (41.0) |  | (179.3) | (0.9) | (19.3) |  | (72.2) |  | (21.7) | n.m. | 31.2 | -43.2% |
| Collections (including gains on disposals) | (159.0) | (60.0) | (754.1) | (221.7) | (315.3) | (150.7) | (143.7) | (28.0) | 156.3 | -49.6% | (15.3) | 10.6% |
| Write-offs (including loss on disposal) | (41.5) | (40.2) | (91.1) | (50.3) | (31.1) | (10.6) | (26.5) | (22.4) | (10.4) | 33.4% | (15.0) | 56.6% |
| +/- Other changes | 41.1 | 139.6 | (115.7) | 124.8 | (191.4) | (144.2) | 52.6 | 121.3 | 232.5 | n.m. | (11.5) | -21.9% |
| **Gross exposure, closing balance** | **3641.7** | **1364.3** | **3660.4** | **1320.8** | **3660.4** | **1320.8** | **3639.0** | **1459.5** | **(18.7)** | **-0.5%** | **2.7** | **0.1%** |
| **Opening balance of overall adjustments** | **(1773.7)** | **(878.2)** | **(1967.2)** | **(1108.6)** | **(1936.4)** | **(1085.3)** | **(1967.2)** | **(1108.6)** | **162.7** | **-8.4%** | **193.5** | **-9.8%** |
| Adjustments / write-backs | (56.6) | (5.1) | (375.7) | (71.1) | (103.6) | 6.4 | (108.3) | (27.3) | 47.0 | -45.4% | 51.7 | -47.7% |
| +/- Other changes | 27.0 | (15.4) | 569.2 | 301.5 | 266.3 | 200.7 | 274.6 | 146.6 | (239.3) | -89.9% | (247.6) | -90.2% |
| **Closing balance of overall adjustments** | **(1803.3)** | **(898.7)** | **(1773.7)** | **(878.2)** | **(1773.7)** | **(878.2)** | **(1800.9)** | **(989.3)** | **(29.6)** | **1.7%** | **(2.4)** | **0.1%** |
| **Net exposure, closing balance** | **1838.4** | **465.6** | **1886.7** | **442.6** | **1886.7** | **442.6** | **1838.1** | **470.2** | **(48.3)** | **-2.6%** | **0.3** | **0.0%** |

---

Interim Financial Report

**Other Financial Assets/Liabilities**

As at 31 March 2025, the Group's **securities assets** amounted to EUR 19.0 bn, up compared to 31 December 2024 (EUR +1.6 bn), mainly due to the increase in financial assets held for trading (EUR +2.1 bn), with a slight decrease in financial assets measured at fair value with an impact on overall profitability (EUR -0.2 bn) and securities held for customers at amortised cost (EUR -0.2 bn); The other components were essentially stable. It should be noted that the market value of securities included in loans to customers and banks at amortised cost amounted to EUR 9,584.8 mln and EUR 623.9 mln, respectively (with implicit capital losses of EUR 430.7 mln and EUR 88.1 mln, respectively).

The aggregate also increased compared to 31 March 2024 (EUR +0.8 bn), mainly due to growth in the trading component (EUR +1.1 bn), partially offset by the decline in financial assets measured at fair value with an impact on overall profitability (EUR -0.3 bn). The other components were essentially stable.

**On-balance-sheet financial liabilities held for trading** amounted to **EUR 1.7 bn** at 31 March 2025, essentially stable compared to 31 December 2024 (EUR 1.6 bn) and down compared to the value recorded at 31 March 2024 (EUR 5.2 bn).

As at 31 March 2025, **the Net position in derivatives, positive for EUR 1.2 bn**, was essentially stable compared to both 31 December 2024 (positive for EUR 1.1 bn) and 31 March 2024 (positive for EUR 1.3 bn).

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**Items** | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Securities assets | 19023.8 | 17447.4 | 18175.7 | 1576.4 | 9.0% | 848.1 | 4.7% |
| &nbsp;&nbsp;&nbsp;Financial assets held for trading | 5872.4 | 3764.4 | 4803.3 | 2108.0 | 56.0% | 1069.1 | 22.3% |
| &nbsp;&nbsp;&nbsp;Financial assets mandatorily measured at fair value | 300.5 | 312.7 | 228.6 | (12.2) | -3.9% | 71.9 | 31.5% |
| &nbsp;&nbsp;&nbsp;Financial assets measured at fair value <br> through other comprehensive income | 2095.9 | 2337.4 | 2411.7 | (241.5) | -10.3% | (315.8) | -13.1% |
| &nbsp;&nbsp;&nbsp;Financial assets held for sale | 27.5 | 57.6 | 0.0 | (30.1) | -52.3% | 27.5 | *n.m.* |
| &nbsp;&nbsp;&nbsp;Loans to customers measured at amortised cost | 10015.5 | 10237.7 | 10049.9 | (222.2) | -2.2% | (34.4) | -0.3% |
| &nbsp;&nbsp;&nbsp;Loans to banks measured at amortised cost | 712.0 | 737.6 | 682.2 | (25.6) | -3.5% | 29.8 | 4.4% |
| &nbsp;&nbsp;&nbsp;Financial assets held for sale | 27.5 | 57.6 | 0.0 | (30.1) | -52.3% | 27.5 | *n.m.* |
| On-balance-sheet financial liabilities held for trading | (1676.3) | (1617.9) | (5164.3) | (58.4) | 3.6% | 3488.0 | -67.5% |
| Net positions in Derivatives | 1242.6 | 1060.2 | 1337.9 | 182.4 | 17.2% | (95.3) | -7.1% |
| **Other financial assets and liabilities** | **18590.1** | **16889.7** | **14349.3** | **1700.4** | **10.1%** | **4240.8** | **29.6%** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | **31 03 2025** | **31 03 2025** | **31 12 2024** | **31 12 2024** | **31 03 2024** | **31 03 2024** |
| <br>**Items** | **Securities<br> assets** | **On-balance-<br> sheet financial<br> liabilities held for<br> trading** | **Securities<br> assets** | **On-balance-<br> sheet financial<br> liabilities held for<br> trading** | **Securities <br> assets** | **On-balance-<br> sheet financial<br> liabilities held for<br> trading** |
| Debt securities | 18421.9 |  | 16877.7 |  | 17623.4 |  |
| Equity instruments and Units of UCITS | 601.9 |  | 569.7 |  | 552.3 |  |
| Loans |  | 1676.3 |  | 1617.9 |  | 5164.3 |
| Total | 19023.8 | 1676.3 | 17447.4 | 1617.9 | 18175.7 | 5164.3 |

---

BANCA MONTE DEI PASCHI DI SIENA

Interbank position

As at 31 March 2025, the Group's **net interbank position** stood at **EUR 5.3 bn** in loans, down from net interbank loans of EUR 6.1 bn and EUR 5.6 bn as at 31 December 2024 and 31 March 2024, respectively. The change compared to the previous quarter (EUR -0.8 bn) is mainly attributable to sight loans at banks.

The change compared to the same period of the previous year (EUR -0.4 bn) is mainly influenced by: (i) the reduction in funding from central banks (EUR -3.6 bn, of which EUR 3.0 bn for the maturity of the last tranche of TLTROs in June 2024 and EUR 0.6 mln for the decline in MRO/LTRO funding), (ii) the reduction in the deposit facility (EUR -2.0 bn) and (iii) the above-mentioned reduction in sight loans to banks (EUR -0.9 bn).

**Interbank balances**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg. Y/Y** | **Chg. Y/Y** |
|  | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Loans to banks | 1920.6 | 2068.3 | 2313.0 | (147.7) | -7.1% | (392.4) | -17.0% |
| Deposits from banks | 1854.4 | 1301.0 | 1304.4 | 553.4 | 42.5% | 550.0 | 42.2% |
| Demand deposits with banks (cash) | 825.1 | 1656.9 | 1684.3 | (831.8) | -50.2% | (859.2) | -51.0% |
| **Net position with banks** | **891.3** | **2424.2** | **2692.9** | **(1532.9)** | **-63.2%** | **(1801.6)** | **-66.9%** |
| Loans to central banks | 660.0 | 565.5 | 832.4 | 94.5 | 16.7% | (172.4) | -20.7% |
| Deposits from central banks | 8010.2 | 8510.9 | 11629.3 | (500.7) | -5.9% | (3619.1) | -31.1% |
| Demand deposits with Central banks (cash) | 11726.7 | 11617.9 | 13730.6 | 108.8 | 0.9% | (2003.9) | -14.6% |
| **Net position with central banks** | **4376.5** | **3672.5** | **2933.7** | **704.0** | **19.2%** | **1442.8** | **49.2%** |
| **Net interbank position** | **5267.8** | **6096.7** | **5626.6** | **(828.9)** | **-13.6%** | **(358.8)** | **-6.4%** |

---

As at 31 March 2025, the operating liquidity position showed an unencumbered **Counterbalancing Capacity** of EUR 31.6 bn, down compared to 31 December 2024 (EUR 33.0 bn) but higher than 31 March 2024 (EUR 29.6 bn).

Other assets

The item Other assets includes the value of diamonds, for EUR 53.5 mln, involved in the action taken by the Parent Company in 2018, that envisaged the payment to customers of a consideration up to an amount equal to the amount the latter originally paid to Diamond Private Investment to purchase the stones, with their simultaneous transfer to the Bank and finalisation of an appropriate transaction.

The aggregate also includes tax credits related to the "Rilancio" Law Decree no. 34/2020, which introduced tax incentives for specific energy and anti-seismic efficiency initiatives, the installation of photovoltaic systems and infrastructure for recharging electric vehicles in buildings (so-called Superbonus/Ecobonus/Sismabonus). Specifically, as at 31 March 2025, the nominal value of the total tax credits acquired amounted to EUR 3,186 mln (EUR 3,125 mln as at 31 December 2024). Taking into account the credits offset to date, amounting to EUR 1,408 mln, the residual nominal value at 31 March 2025 amounts to EUR 1,778 mln. The corresponding carrying amount, recognised in the balance sheet under 'Other assets' at amortised cost, which takes into account the purchase price and net fees accrued as at 31 March 2025, amounts to EUR 1,613 mln (EUR 1,805 mln as at 31 December 2024).

It should also be noted that, as at 31 March 2025, the Parent Company had received requests for the sale of additional receivables for a total amount of approximately EUR 854 mln, currently being assessed/processed. The total amount of credits acquired and assignment requests being processed - the latter appropriately adjusted to factor in the incidence of dossiers abandoned and/or rejected by the Bank -, is in line with the estimate of the overall fiscal capacity (the so-called "Tax Capacity"), i.e., the tax/contribution payments that the Group expects to make and that are available for offsetting with tax credits from "Building Bonuses". The aforementioned valuation also takes into account the significant decrease in the estimated prospective "Tax Capacity" caused by changes to the rules underlying the use of tax credits purchased introduced by Italian Law no. 67 of 23 May 2024, which converted Italian Decree Law no. 39/2024 (the tax benefits decree) into law, with amendments.

Interim Financial Report

Shareholders' equity

As at 31 March 2025, the **Shareholders' equity of the Group and non-controlling interests** was roughly **EUR 12.0 bn**, up by EUR 400 mln compared to 31 December 2024, mainly due to the positive result recorded in the quarter.

Compared to 31 March 2024, the Group's Shareholders' Equity and non-controlling interests increased by EUR 1.7 bn at 31 March 2025, due to the combined effect of the results achieved in the subsequent quarters and the distribution in May 2024 of the 2023 dividend of EUR 315 mln.

Reclassified Consolidated Balance Sheet

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | **Chg. Q/Q** | **Chg. Q/Q** | **Chg Y/Y** | **Chg Y/Y** |
| <br>**Equity** | **31 03 2025** | **31 12 2024** | **31 03 2024** | **Abs.** | **%** | **Abs.** | **%** |
| Group Net Equity | 12048.6 | 11649.0 | 10307.1 | 399.6 | 3.4% | 1741.5 | 16.9% |
| &nbsp;&nbsp;&nbsp;a) Valuation reserves | 46.9 | 60.4 | 25.8 | (13.5) | -22.4% | 21.1 | 81.8% |
| &nbsp;&nbsp;&nbsp;d) Reserves | 4135.1 | 2184.3 | 2495.1 | 1950.8 | 89.3% | 1640.0 | 65.7% |
| &nbsp;&nbsp;&nbsp;f) Share capital | 7453.5 | 7453.5 | 7453.5 |  | 0.0% |  | 0.0% |
| &nbsp;&nbsp;&nbsp;h) Net profit (loss) for the period | 413.1 | 1950.8 | 332.7 | (1537.7) | -78.8% | 80.4 | 24.2% |
| Non-controlling interests | 0.3 | 0.3 | 0.6 |  | 0.0% | (0.3) | -50.0% |
| **Shareholders' equity of the Group and Non- controlling interests** | **12048.9** | **11649.3** | **10307.7** | **399.6** | **3.4%** | **1741.2** | **16.9%** |

---

BANCA MONTE DEI PASCHI DI SIENA

Disclosure on Fair Value

The methodologies used to calculate fair values have not changed compared to 2024 and therefore reference should be made, for a comprehensive reading, to the information provided in section A.4 "Information on Fair Value" in the Consolidated Explanatory Notes as at 31 December 2024.

Financial assets and liabilities measured at fair value on a recurring basis

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset and liabilities measured at fair** | **31 03 2025** | **31 03 2025** | **31 03 2025** | **31 03 2025** | **31 12 2024** | **31 12 2024** | **31 12 2024** | **31 12 2024** |
| **value** | **Level 1** | **Level 2** | **Level 3** | **Total** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| 1. Financial assets measured at fair value through profit or loss of which: | 5625.5 | 2440.2 | 509.9 | 8575.6 | 3514.5 | 2564.8 | 453.5 | 6532.8 |
| &nbsp;&nbsp;&nbsp;a) Financial asset held for trading | 5625.5 | 2437.5 |  | 8063.0 | 3514.5 | 2562.1 |  | 6076.6 |
| &nbsp;&nbsp;&nbsp;c) Other financial assets mandatorily measured at fair value |  | 2.7 | 509.9 | 512.6 |  | 2.7 | 453.5 | 456.2 |
| 2. Financial assets measured at fair value through other comprehensive income | 1919.9 | 10.5 | 165.5 | 2095.9 | 2162.4 | 9.4 | 165.6 | 2337.4 |
| 3. Hedging derivatives |  | 422.7 |  | 422.7 |  | 94.2 |  | 94.2 |
| 4. Property, plant and equipment |  |  | 1717.9 | 1717.9 |  |  | 1738.3 | 1738.3 |
| **Total assets** | **7545.4** | **2873.4** | **2393.3** | **12812.1** | **5676.9** | **2668.4** | **2357.4** | **10702.7** |
| 1. Financial liabilities held for trading | 1677.8 | 1056.9 | 1.3 | 2736.0 | 1619.1 | 985.1 | 1.5 | 2605.7 |
| 2. Financial liabilities designated at fair value |  | 121.1 |  | 121.1 |  | 119.7 |  | 119.7 |
| 3. Hedging derivatives |  | 310.9 |  | 310.9 |  | 358.4 |  | 358.4 |
| **Total liabilities** | **1677.8** | **1488.9** | **1.3** | **3168.0** | **1619.1** | **1463.2** | **1.5** | **3083.8** |

---

During the first quarter of 2025, certain financial assets, in particular equities amounting to approximately EUR 3 mln, deteriorated from level 1 to level 2 of the fair value hierarchy. With reference to financial instruments that have improved from level 2 to level 1 of the hierarchy, please note that this dynamic affected bonds for a value of around EUR 32 mln.

The above changes in fair value are essentially attributable to the deterioration/improvement in the securities' liquidity conditions (measured in terms of bid-ask spread of the listed price), which allowed the level transfer in accordance with the Group's policy on the valuation of financial instruments.

As for OTC derivatives, in compliance with IFRS 13 the Group calculates adjustments to values, obtained through valuation models using risk-free interest rates, to take account of the creditworthiness of the individual counterparty. This risk measure, known as Credit Value Adjustment (CVA), is estimated for all positions in OTC derivatives with non-collateralised institutional and commercial counterparties and with counterparties having a Credit Support Annex (CSA) not in line with market standards. The methodology is based on the calculation of expected operational loss linked to counterparty rating and estimated on a position's duration. The exposure includes future credit variations represented by add-ons.

Market-consistent probability measurements are employed in the calculation of CVAs in order to gauge market expectations resulting from CDS, also taking into consideration the historical information available within the Group. As at 31 March 2025 the change for the correction of CVA was approx. EUR 3.7 mln.

Interim Financial Report

Changes in financial assets measured at fair value on a recurring basis (level 3)

31 03 2025

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Financial assets measured at fair value** | **Financial assets measured at fair value** | | |
|  | **through profit or loss** | **through profit or loss** | | |
|  |<br><br>**Total** | **of which:**<br>**c) Other financial**<br>**assets mandatorily**<br>**measured at fair value** | **Financial**<br>**assets**<br>**measured at**<br>**fair value**<br>**through other**<br>**comprehensive**<br>**income** |<br><br>**Property,**<br>**plant and**<br>**equipment** |
| **1. Opening balances** | **453.5** | **453.5** | **165.6** | **1738.3** |
| **2. Increases** | **82.9** | **82.9** | **-** | **2.6** |
| &nbsp;&nbsp;&nbsp;2.1 Purchase |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.2 Profits charged to: | 1.7 | 1.7 |  | 1.9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Income statement | 1.7 | 1.7 |  | 1.9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which: capital gains | 1.7 | 1.7 |  | 1.9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Equity |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels |  |  |  |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases | 81.2 | 81.2 |  | 0.7 |
| **3. Decreases** | **26.5** | **26.5** | **0.1** | **23.0** |
| &nbsp;&nbsp;&nbsp;3.1 Sales |  |  | 0.1 |  |
| &nbsp;&nbsp;&nbsp;3.2 Repayments | 13.4 | 13.4 |  |  |
| &nbsp;&nbsp;&nbsp;3.3 Losses charged to: | 12.3 | 12.3 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Income statement | 12.3 | 12.3 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which: capital losses | 12.3 | 12.3 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Equity |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.4 Transfers to other levels |  |  |  |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases | 0.8 | 0.8 |  | 23.0 |
| **4. Closing balance** | **509.9** | **509.9** | **165.5** | **1717.9** |

---

Following are the most significant amounts reported in the column "Other Financial assets mandatorily measured at fair value" under item

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.1 Profit charged to the income statement" of approximately EUR 1.7 mln refers to revaluations of certain UCITS units
(EUR 1.5 mln) and of loans and (EUR 0.2 mln);

&nbsp;&nbsp;&nbsp;&nbsp;· "2.4 Other increases" equal to EUR 81.2 mln and include approximately EUR 79.4 mln in new loans and the remainder in positions
that during the year were reclassified from the loan portfolio at amortised cost to the portfolio of other assets measured at fair value
as per mandatory requirements due to substantial credit changes not consistent with the SPPI test;

&nbsp;&nbsp;&nbsp;&nbsp;· "3.2 Repayments" for EUR 13.4 mln, includes approximately EUR 3.4 mln as the partial reimbursement of UCITS units held
and EUR 10.0 mln for reimbursements on credit positions;

&nbsp;&nbsp;&nbsp;&nbsp;· "3.3.1 Losses charged to the income statement" of EUR 12.3 mln for write-downs, referring to EUR 4.7 mln on UCITS units,
EUR 6.7 mln on notes for the Siena NPL securitisation transaction and EUR 0.9 mln on non-performing loans.

Property, plant and equipment measured at fair value on a recurring basis consisted of property assets for business and for investment use. The main amounts reported are shown below:

&nbsp;&nbsp;&nbsp;&nbsp;· "2.2.1 Profits charged to the income statement - of which capital gains" amounting to approximately EUR 1.9 mln, relate
to real estate investments classified as non-current assets held for sale during the first quarter of 2025 and valued at the expected
sale price;

&nbsp;&nbsp;&nbsp;&nbsp;· "3.5 Other decreases" equal to approximately EUR 23.0 mln mainly refer to the depreciation charge related to properties
classified as operating assets in the amount of EUR 6.7 mln and to properties transferred during the year to fixed assets held for disposal
for EUR 16.3 mln.

BANCA MONTE DEI PASCHI DI SIENA

Changes in financial liabilities measured at fair value on a recurring basis (level 3)

31 03 2025

---

| | |
|:---|:---|
|  | **Financial<br> liabilities held for <br> trading** |
| **1. Opening balances** | **1.5** |
| **2. Increases** | **0.8** |
| &nbsp;&nbsp;&nbsp;2.1 Issues |  |
| &nbsp;&nbsp;&nbsp;2.2 Losses charged to | 0.8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.1 Income statement | 0.8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital losses |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.2.2 Equity | X |
| &nbsp;&nbsp;&nbsp;2.3 Transfers from other levels |  |
| &nbsp;&nbsp;&nbsp;2.4 Other increases |  |
| **3. Decreases** | **1.0** |
| &nbsp;&nbsp;&nbsp;3.1 Redemptions |  |
| &nbsp;&nbsp;&nbsp;3.2 Repurchases |  |
| &nbsp;&nbsp;&nbsp;3.3 Profits charged to: | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.1 Income statemen | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;- of which capital gains | 0.2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.3.2 Equity | X |
| &nbsp;&nbsp;&nbsp;3.4 Transfers from other levels |  |
| &nbsp;&nbsp;&nbsp;3.5 Other decreases |  |
| **4. Closing balance** | **1.3** |

---

Information on "day one profit/loss"

The Group did not recognise "day one profits/losses" on financial instruments pursuant to B.5.1.2A of IFRS 9; therefore, no disclosure is provided pursuant to paragraph 28 of IFRS 7 and other related IAS/IFRS paragraphs.

Interim Financial Report

Fair value level 2 and 3: measurement techniques and inputs used

The following tables show, respectively, for Level 2 and 3 financial instruments, the accounting portfolio, a summary of the types of instruments in use at the Group, and evidence of the related valuation techniques and the inputs used.

![](tm2518026d1_ex99-7img002.jpg)

\*prices for identical financial instruments listed in non-active markets (IFRS 13 par. 82 lett. b).

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-7img003.jpg)

A description of Level 3 financial instruments that show significant sensitivity to changes in unobservable inputs is provided below.

The column "Other financial assets mandatorily measured at fair value" in the category "Debt securities" measured using the Discount Cash Flow method includes both mezzanine and junior tranches referring to the securitisation of a portfolio of loans classified as non-performing loans called "Siena NPL" for EUR 21.5 mln. For this position, the change in the discount rate (+/-1%) and in the flows of expected distributions (+/-10%), would determine a range of values of EUR 20.8-21.8 mln and EUR 22.4-20.1 mln, respectively.

Also worth mentioning in this category are approximately EUR 18.6 mln relating to some equity investments acquired by the Group under credit restructuring agreements which the sensitivity analysis was not carried out as the unit value of the individual exposures is below the minimum materiality threshold established by the Group.

The column "Other Financial assets mandatorily measured at fair value" also includes loans (EUR 212.1 mln) that are mandatorily measured at fair value. The unobservable parameters are Probability of Default (PD), Loss Given Default (LGD) and the different spreads for performing and non-performing assets. The change in these parameters, of 10%, 5%, 1% and 1%, respectively, would have an impact on fair value of approximately EUR -9.2 mln.

The majority of the UCITS units refers, for EUR 118.6 mln, to units of funds received in exchange for the sale of non-performing loans (Back2bonis, IDEA CCR I, II and Nuova Finanza, Clessidra and Efesto). The change in the discount rate (+/-1%) and forecasted distributions (+/-10%) would result in the following range of values: EUR 116.6 - 120.8 mln and EUR 130.2 - 107.1 mln respectively.

The category of UCITS units also contains the total contributions made from June 2016 onwards to the Italia Recovery Fund (formerly Atlante due) for a carrying amount of EUR 5.4 mln calculated on the basis of the latest available NAV.

Interim Financial Report

Finally, the UCITS category also includes private equity funds and closed-end real estate funds amounting to EUR 128.4 mln, of which EUR 88.0 mln correspond to the positions of Fondo Etrusco Distribuzione (EUR 82.9 mln) and Fondo Democrito (EUR 5.1 mln). The change in default probability (+/-1%) and recovery rates (+/-10%) for these positions would result in a range of values of EUR 88.2-87.9 mln, respectively. With regard to the remaining positions, it was not possible to carry out any quantitative analysis of the sensitivity of the fair value with respect to the change in unobservable inputs, as the fair value is the result of a model whose inputs are specific to the entity being measured and for which the information necessary for a sensitivity analysis is not available.

The "Financial assets measured at fair value through other comprehensive income" accounting portfolio includes the equity investment in Bank of Italy (EUR 137.5 mln), measured using the Discounted Cash Flow method. The equity investment was measured with the methodology identified by the Committee of Experts in the document "Revaluation of shareholdings in the Bank of Italy". This document not only details the valuation techniques adopted to reach the end result, but identified the following entity-specific parameters: the market beta, equity risk premium, and the cash flow base. The valuation of that equity investment is also confirmed in market transactions carried out in recent years by certain banks. The range of possible values that can be assigned to these parameters cause the following changes in value: roughly EUR -8 mln for every 100 bps increase in the equity risk premium, roughly EUR -18 mln for every 10 pp increase in the market beta, and roughly EUR -18 mln for every 10 pp increase in the cash flow base.

This category also includes equity securities representing all equity investments designated at fair value that could not be measured according to a market-based model. These positions amount to approximately EUR 35.6 mln. A sensitivity analysis was not conducted for these positions for the same reasons as above with reference to the UCITs.

Financial liabilities held for trading include financial derivatives (approximately EUR 1.3 mln) included for the correct management of the lapse risk inherent in commission flows deriving from the placement of certain unit-linked policies. A sensitivity analysis was not carried out for these positions as they were not considered material for the Group.

Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **31 03 2025** | **31 03 2025** | **31 12 2024** | **31 12 2024** |
| **Financial asset/liabilities not measured at fair value or measured** |  | **Total Fair** |  | **Total Fair** |
| **at fair value on a non-recurring basis** | **Book value** | **value** | **Book value** | **value** |
| 1. Financial assets measured at amortised cost | 91494.5 | 90295.4 | 90525.9 | 89901.3 |
| 3. Non-current assets held for sale and disposal groups | 1105.0 | 1103.6 | 1128.7 | 1128.7 |
| **Total Assets** | **92599.5** | **91399.0** | **91654.6** | **91029.9** |
| 1. Financial liabilities measured at amortised costs | 103436.8 | 103724.8 | 102751.4 | 103074.2 |
| 2. Liabilities associated to disposal groups held for sale | 975.6 | 975.6 | 976.7 | 976.7 |
| **Total Liabilities** | **104412.4** | **104700.4** | **103728.1** | **104050.9** |

---

With reference to paragraph 93 letter (i) of IFRS 13, the Group does not hold any non-financial assets measured at fair value whose current use does not represent its best possible use.

With reference to paragraph 96 of IFRS 13, the Group does not apply the portfolio exception provided for in paragraph 48 of IFRS 13.

In regard to assets under disposal, only the assets measured at fair value or at fair value less disposal costs were indicated.

BANCA MONTE DEI PASCHI DI SIENA

**Capital adequacy**

**Regulatory capital and statutory requirements**

As a result of the conclusion of the SREP conducted with reference to the figures as at 31 December 2023 and also taking into account the information received after that date, with the submission in December 2024 of the 2024 SREP Decision, the ECB asked the Parent Company to maintain, effective 1 January 2025, a consolidated TSCR level of 10.50%, which includes 8% as a Pillar 1 minimum requirement ("P1R") pursuant to Article 92 of the CRR and 2.50% as Pillar II additional requirement ("P2R"), which must be respected at least for 56.25% with CET1 and at least 75% with Tier 1.

With regard to *Pillar II Capital Guidance* (P2G), the ECB expects the Parent Company to adapt, on a consolidated basis, to a requirement of 1.15%, to be fully met from Common Equity Tier 1 capital in addition to the overall capital requirement (OCR). Failing to comply with this capital guideline is not, at any rate, equivalent to failing to comply with the capital requirements.

Lastly, it should be noted that as of 1 January 2019, the *Capital Conservation Buffer* (CCB) is 2.5%, and that as of 1 January 2024, the Group is no longer required to comply with the *O-SII* Buffer as it has not been identified for the year 2024 and 2025 by the Bank of Italy as a systemically important institution authorised in Italy. In addition, as at 31 December 2024, the Group has to comply with the Systemic Risk Buffer (SyRB) of 1% of credit and counterparty risk-weighted exposures to Italian residents, which is to be achieved gradually by building up a buffer of 0.5% of material exposures by 31 December 2024 and the remaining 0.5% by 30 June 2025.

Accordingly, the Group must meet the following requirements at consolidated level as at 31 March 2025:

- CET1 Ratio of 8.81%;

- Tier 1 Ratio of 10.78%;

- Total Capital Ratio of 13.40%.

These ratios include, in addition to the P2R, 2.5% for the Capital Conservation Buffer, 0.025% for the Countercyclical Capital Buffer (CCyB)<sup>12</sup> and 0.38% for the Systemic Risk Buffer.

<sup>12</sup> Calculated considering the exposure as at 31 March 2025 in the various countries in which the MPS Group operates and the requirements established by the competent national authorities.

Interim Financial Report

As at **31 March 2025**, the Group's level of capital on a transitional basis was as shown in the following table:

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. 31 12 2024** | **Chg. 31 12 2024** |
| <br>**Categories / Values** | **31 03 2025** | **31 12 2024** | **Abs.** | **%** |
| **OWN FUNDS** |  |  |  |  |
| Common Equity Tier 1 (CET1) | 8908.2 | 8847.4 | 60.8 | 0.69% |
| Tier 1 (T1) | 8908.2 | 8847.4 | 60.8 | 0.69% |
| Tier 2 (T2) | 1061.0 | 1112.1 | (51.1) | -4.59% |
| **Total capital (TC)** | 9969.2 | 9959.5 | 9.7 | 0.10% |
| **RISK-WEIGHTED ASSETS** |  |  |  |  |
| Credit and Counterparty Risk | 35777.0 | 36675.0 | (898.0) | -2.45% |
| Credit valuation adjustment risk | 592.3 | 261.6 | 330.7 | 126.41% |
| Market risks | 1978.3 | 1840.2 | 138.1 | 7.50% |
| Operational risk | 6832.7 | 9613.4 | (2780.7) | -28.93% |
| **Total risk-weighted assets** | **45180.3** | **48390.2** | **(3209.9)** | **-6.63%** |
| **CAPITAL RATIOS** |  |  |  |  |
| CET1 capital ratio | **19.72%** | **18.28%** | **1.43%** |  |
| Tier1 capital ratio | **19.72%** | **18.28%** | **1.43%** |  |
| Total capital ratio | **22.07%** | **20.58%** | **1.48%** |  |

---

Compared to 31 December 2024, the CET1 recorded an increase of EUR +61 mln.

This change is mainly due to the inclusion in CET1 of the result for the period ended 31 March 2025, net of the dividend accrued in the first quarter assuming a payout ratio of 75% of pre-tax profit, partly offset by the increase in deductions relating to DTAs (deferred tax assets based on future profitability and not arising from temporary differences).

Tier 2 fell by EUR -51 mln compared to the end of December 2024, due for EUR -45 mln to the amortisation of Tier 2 subordinated instruments and for EUR +5 mln to the decrease in the contribution to Tier 2 of the excess value adjustments over expected losses.

The Total Capital Ratio therefore reflects an overall increase in own funds of EUR +10 mln.

RWAs decreased by EUR 3.2 bn, mainly due to the introduction of the new provisions of Regulation (EU) 2024/1623 ("CRR3"). In particular, there was a significant reduction in RWA for operational risks (EUR -2.8 bn) attributable to the use of the standardised approach instead of the Advanced Measurement Approach (the application of internal models is no longer permitted under prudential rules). Furthermore, always as a result of the introduction of CRR3, there was a decrease in AIRB RWAs linked to the elimination of the application of the scaling factor, partly offset by the new credits granted in the first three months of the year. An increase in CVA risk (EUR +0.3 bn) was also recorded, determined by the application of the new "basic approach" method introduced by CRR3, while standard credit risk and market risks remain substantially stable.<sup>13</sup> (EUR +0.1 bn).

As at 31 March 2025, the Parent Company, on a consolidated basis, meets all capital requirements, including those related to the P2G.

As at 31 March 2025 the Group, on a transitional basis, has a 6.94% leverage ratio, higher than the regulatory minimum of 3%.

<sup>13</sup> With regard to the new market risk framework, it should be noted that the application of the Fundamental Review of the Trading Book (FRTB), until now introduced in Europe only for reporting purposes, has been postponed to 1 January 2026 by Delegated Regulation (EU) 2024/2795.

BANCA MONTE DEI PASCHI DI SIENA

**MREL capacity**

Pursuant to Article 45 of Directive 2014/59/EU, as amended, banks must at all times respect a minimum own funds and eligible liabilities (MREL) requirement in order to ensure that, in the event of application of the bail-in, they have sufficient liabilities to absorb losses and to ensure compliance with the Tier 1 Capital requirement envisaged for authorisation to carry out banking activities, as well as to generate sufficient trust in the market.

With the letter of 29 November 2024, the Parent Company received from the Bank of Italy, in its capacity as Resolution Authority, the decision SRB/EES/2024RPC/57 of the Single Resolution Committee on the calculation of the minimum requirement for own funds and eligible liabilities.

As from 29 November 2024, the Parent Company must comply, on a consolidated basis, with an MREL for 23.59% in terms of TREA, to which the Combined Capital Reserve Requirement (CBR) of 2.89% must be added, as well as 6.43% in terms of LRE. To these must be added the additional subordinated MREL requirements, to be met with own funds and subordinated instruments, equal to 13.99% of TREA, to which the CBR must be added, and 6.43% of LRE.

As at 31 March 2025, the Group had values higher than the set out requirements:

&nbsp;&nbsp;&nbsp;&nbsp;· an MREL capacity of 27.35% in terms of TREA and 9.63% in terms of LRE ("Leverage ratio exposure measure"); and

&nbsp;&nbsp;&nbsp;&nbsp;· an MREL subordination capacity of 22.89% in terms of TREA and 8.06% in terms of LRE.

In this regard, please note that the Group's funding strategies aim to guarantee - as concerns public bond issue plans in particular - the constant fulfilment of MREL requirements.

Interim Financial Report

Disclosure on risks

Risk Governance

Risk governance strategies are defined in line with the Group Business Model, medium-term 2024-2028 Business Plan objectives and external regulatory and legal requirements.

Policies relating to the assumption, management, coverage, monitoring and control of risks are defined by the Board of Directors of the Parent Company. Specifically, the Board of Directors periodically defines and approves strategic risk management guidelines and quantitatively expresses the Group's overall risk appetite.

In fact, the Parent Company's Board of Directors defines the overall Risk Appetite Framework (RAF) for the Group and approves the "Group Risk Appetite Statement" (RAS) at least once per year.

The RAF Governance process is centralised within the Parent Company, which outlines its relevant perimeter at Group level and defines its structure in Group companies, according to the risks assumed, size and operational complexity of each legal entity. The RAF defines the roles of corporate bodies and functions involved in defining the "risk appetite" and the procedures to be implemented if it becomes necessary to restore the level of risk to the objective or within the pre-established limits.

The RAS represents an essential element in defining the Group's risk strategy. The RAS is the formal document that contains the explicit declaration of the risk/return objectives/limits (overall, by type and broken down by individual companies/business units) that the Bank intends to assume to pursue its strategies. Therefore, with the RAS, the risk objectives/restrictions are identified and the indicators are broken down by Business Unit/Legal Entity (known as "cascading down" of the Risk Appetite). The objective is to increase the Group's Risk Culture and fully instil accountability in all relevant business units with regard to achievement of the risk appetite objectives, as required by the regulations and recommended by best practices.

The Risk Appetite Process is structured so as to ensure consistency with the ICAAP and ILAAP as well as with Planning and Budget and Recovery processes, in terms of governance, roles, responsibilities, metrics, stress testing methods and monitoring of key risk indicators.

For additional information, see the Consolidated Financial Statements as at 31 December 2024, available in the Investor Relations section of the website www.mps.it.

Internal Capital

**Risk assessment models**

The Overall Internal Capital (or Overall Absorbed Internal Capital) is the minimum amount of capital resources required to cover economic losses resulting from unforeseen events caused by the simultaneous exposure to different types of risk.

With regard to the methods used to measure Internal Capital, compared to what is noted in the Explanatory Notes to the Consolidated Financial Statements as at 31 December 2024, there are no significant methodological changes to report.

The approach used to quantify and supplement the risks-to-capital with regard to which the Group is exposed is known as Pillar 1 Plus. This approach envisages that the Pillar 1 requirements for Credit and Counterparty Risk (which already include those relating to Issuer Risk on the Banking Book, Equity Investment Risk and Real Estate Risk) and Operational Risk, be increased (avoiding double counting) by the requirements from internal models relating to Market Risks, of both Trading Book and Banking Book, Banking Book Interest Rate Risk (Financial Risk), Credit Spread Risk and Issuer Risk of the Banking Book, Concentration Risk, and Business/Strategic and Model Risk.

Overall Internal Capital is calculated without considering inter-risk diversification, therefore by directly adding together the internal capital contributions of the individual risks (Building Block approach). This approach aims to incorporate the indications in the SREP (Supervisory Review and Evaluation Process) Guidelines published by the EBA.

BANCA MONTE DEI PASCHI DI SIENA

**Risk exposure**

![](tm2518026d1_ex99-7img004.jpg)

The Group also manages and quantifies Liquidity Risk on an ongoing basis (risk-to-liquidity, as defined in the SREP Guidelines) through internal organisational methodologies and policies.

Interim Financial Report

Credit risk

Credit risk management

The advanced internal rating-based (AIRB) approach, based on internal ratings, have been used for some time as part of the internal capital adequacy assessment process (ICAAP). Specifically, the Group adopts internal estimates for PD, LGD and EAD on the business portfolio and retail exposures of Banca MPS and Widiba. In general, these internal models, as well as for reporting purposes, are used in various management processes for the Group's operating purposes.

Credit quality is part of a monthly monitoring process aimed at ensuring compliance with the thresholds established both in the Risk Appetite Framework (RAF) and in the Credit Policies in order to ensure consistency on an ongoing basis between the Group's actual risk profile and the risk appetite decided ex-ante by the Board of Directors.

The Group has always been committed to the acquisition of instruments for greater credit protection involving a reduction in credit risk. To this end, the guarantees typical of banking activity are acquired, when deemed necessary.

The chart below provides a credit quality breakdown of the Group portfolio as at 31 March 2025 by Exposure to Risk (REG EAD) and Regulatory Capital (REG CAP). It should be noted that about 59% (59% as at 31 December 2024) of risk exposure relates to high- and good-quality customers (positions in financial assets are excluded). It should be noted that the ranking below also includes exposure to banks, government agencies and non-regulated financial and banking institutions, which are not included in the AIRB approaches. The quality is measured in terms of probability of default assigned to customers through the AIRB models of the MPS Group. Non-AIRB counterparties are nevertheless subject to a credit standing assessment using official ratings where available or appropriate internally determined benchmark values.

![](tm2518026d1_ex99-7img005.jpg)

BANCA MONTE DEI PASCHI DI SIENA

**Risk exposure**

The charts below provide a credit quality breakdown of the MPS Group's portfolio (BMPS and Widiba) as at 31 March 2025 compared to the end of 2024 for Regulatory Exposure at Default (REG EAD) and Regulatory Capital (REG CAP) of the performing Corporate and Retail portfolios.

![](tm2518026d1_ex99-7img006.jpg)

The charts below show the distribution of the MPS Group's REG EAD and REG CAP by type of customer as at 31 March 2025 compared to the end of 2024.

![](tm2518026d1_ex99-7img007.jpg)

Counterparty credit risk

Risk assessment model

With regard to Counterparty Risk measurement methods, there are some significant changes to report compared to 2024:

&nbsp;&nbsp;&nbsp;&nbsp;▪ The Group, as required by supervisory regulations, for the purposes of measuring exposure to Counterparty
Risk uses the regulatory approach defined by Regulation (EU) 575/2013 in force, taking into account its amendments and corrections. The
determination of the Exposure at Default (EAD) for derivatives and LST (Long Settlement Transactions) transactions is carried out using
the "standardised method for counterparty risk" (SA CCR approach) and the "comprehensive method for the treatment of
financial collateral" for SFT (Securities Financing Transactions) transactions. For the purposes of defining RWA (Risk-weighted
asset) levels, the reference legislation has undergone a series of changes with amendments introduced starting from the beginning of 2025
with the new "CRR3" regulation. For management purposes, the MPS Group maintains the "market value method" for
the Potential Future Exposure component and the SA CCR method for the Replacement Cost component in identifying EAD levels for the Derivatives
and LST sectors, while for the SFT sector it uses the "comprehensive method for the treatment of Financial Collateral".

&nbsp;&nbsp;&nbsp;&nbsp;▪ The counterparty risk measurement perimeter comprises all Group banks and subsidiaries, with regard to
positions held in the Supervisory Banking Book and Trading Book.

&nbsp;&nbsp;&nbsp;&nbsp;▪ The capital requirement for Credit Value Adjustment (CVA) is added to the insolvency requirement to cover unexpected losses recorded
on positions within the scope taking into account the counterparty's asset category and the related creditworthiness level with the exclusion
of central counterparties and non-financial counterparties below the EMIR clearing threshold and intragroup. The Group calculates the
CVA requirement using the "standardised approach" from Regulation (EU) 575/2013 considering its amendments and corrections
in this regard provided for by CRR3 (BA CVA method or Basic Approach). To calculate this requirement, the input EAD value follows what
is indicated in the first point of this paragraph.

Interim Financial Report

Exposure to sovereign debt risk

Below is a breakdown of the Group's exposure to sovereign debt risk in government bonds, loans and credit derivatives as at 31 March 2025.

The exposure is broken down by accounting categories.

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| | **DEBT SECURITIES** | **DEBT SECURITIES** | **DEBT SECURITIES** | **DEBT SECURITIES** | **DEBT SECURITIES** | **LOANS** | **CREDIT<br> DERIVATIVES** |
| | **Financial assets<br> measured at fair value<br> through profit or loss** | **Financial assets<br> measured at fair value<br> through profit or loss** | **Financial assets <br> measured at fair value <br> through other <br> comprehensive income** | **Financial assets <br> measured at fair value <br> through other <br> comprehensive income** | **Financial<br> assets <br> measured at <br> amortised <br> cost** | **Financial <br> assets <br> measured at <br> amortised cost** | **Financial <br> assets held <br> for trading** |
| <br>**COUNTRY** | **Nominal** | **Fair<br> value=book<br> value** | **Nominal** | **Fair<br> value=book<br> value** | **Book value** | **Book value** | **Nominal** |
| Argentine | 0.5 |  |  |  |  |  |  |
| Belgium |  |  | 8.0 | 2.7 |  |  |  |
| France |  |  | 138.0 | 128.5 | 10.5 |  |  |
| Italy | 3224.9 | 2931.3 | 1122.0 | 1090.8 | 8248.7 | 1564.6 | 1484.7 |
| Mexico | 0.1 |  | 15.0 | 11.6 |  |  |  |
| Peru |  |  | 2.0 | 1.6 |  |  |  |
| Portugal | 0.3 | 0.2 | 19.6 | 10.5 | 2.8 |  |  |
| Romania |  |  | 30.0 | 25.5 |  |  |  |
| Spain |  |  |  |  | 655.0 |  |  |
| United States | 277.5 | 268.9 | 46.3 | 36.1 |  |  |  |
| South Africa | - | - | 5.0 | 5.1 | - | - | - |
| **Total 31 03 2025** | **3503.3** | **3200.4** | **1385.9** | **1312.4** | **8917.0** | **1564.6** | **1484.7** |
| **Total 31 12 2024** | **1841.2** | **1573.2** | **1691.7** | **1589.7** | **9087.5** | **1528.1** | **1475.9** |

---

As at 31 March 2025, the residual duration of the exposure to the most significant component of sovereign debt (Italian government bonds) was 6.27 years. The overall exposure on loans and debt securities amounted to EUR 14,994.4 mln, almost entirely in Italian debt. Exposures to Italy are almost entirely classified in level 1 of the fair value hierarchy, less EUR 427.6 mln classified in level 2 and mainly attributable to government securities.

Market risks

The Group's Regulatory Trading Book consists of the set of Trading Books managed by the Parent Company (BMPS), in particular by the Chief Financial Officer (CFO) Division and the Chief Commercial Officer Large Corporate & Investment Banking (CCO LCIB or LCIB) Department. The subsidiaries' portfolio are immune to market risk. Trading in derivatives, which are brokered on behalf of customers, is centralised at LCIB Department.

The market risks in the trading book are monitored in terms of Value-at-Risk (VaR) for operational purposes. The Group's Finance and Liquidity Committee is responsible for directing and coordinating the overall process of managing the Group's proprietary finance thereby ensuring that the management strategies of the various business units are consistent.

The Group's Regulatory Trading Book is subject to daily monitoring and reporting by the Risk Management function of the Parent Company on the basis of proprietary systems. VaR for management purposes is calculated separately from the operating units, using the internal risk measurement model implemented by the aforementioned function, in line with leading international best practices. The Group uses the standardised methodology in the area of market risks solely for reporting purposes.

Operating limits defined for trading activities are expressed by level of delegated authority in terms of VaR, which is diversified by risk factors and portfolios, monthly and annual stop losses, and stress. Furthermore, the trading book's credit risk, in addition to being included in VaR computations and in the respective limits for the credit spread risk component, is also subject to specific operating limits for issuer and bond concentration risk which specify maximum notional amounts by type of guarantor and rating class.

BANCA MONTE DEI PASCHI DI SIENA

Periodically, information on market risks is transmitted to the Risk Management Committee and to the Top Bodies as part of the information flows with which Top Management and the Governing Bodies are informed about the Group's overall risk profile.

For methodological details regarding the internal model, please refer to the Notes to the Consolidated Financial Statements as at 31 December 2024 (Part E – Information on risks and related hedging policies – Section 2 – Market Risks).

\*\*\*

During the first quarter of 2025, the market risks of the Group's Regulatory Trading Portfolio showed, in terms of VaR, a trend determined by the operations of the Parent Company's LCIB department, mainly for primary dealer activities on Italian government bonds (credit spread and interest rate segments, with hedging through swaps and long futures), for client driven activities connected to the structuring of bancassurance products (equity segment) and to derivatives traded with corporate and institutional customers (interest rate, forex and commodity segments). The CFO Department's portfolio contribution to total VaR was negligible.

The Group VaR remained at lower average levels than the previous year, due to the maintenance of a general risk containment process, with very limited volatility in the first quarter of the year.

As of 31 March 2025, the entire portfolio of securities valued at amortised cost, with related accounting hedges, has an interest rate sensitivity of approximately EUR -3.67 mln per bps, of which EUR -2.80 mln per bps for the Italian government portfolio alone, in addition to this, a sensitivity to the Italian credit spread of approximately EUR -5.28 mln per bps. As of the same date, the entire government portfolio has an implicit capital loss of EUR 542 mln, of which EUR 324 mln for the Italian government portfolio alone. For positions in FVOCI securities, with related accounting hedges, there is an interest rate sensitivity of approximately EUR -0.59 mln per bps, of which EUR -0.18 mln per bps for the Italian government segment. The sensitivity to the Italian credit spread for this accounting category amounts to approximately EUR -0.24 mln per bps.

The average holding of Italian sovereign securities in the Group's trading portfolios is growing (average in the first quarter of the year of EUR 2.98 bn in nominal terms), above the 2024 average (EUR 1.08 bn), with some temporary increases in exposure in conjunction with the auctions for primary dealer activities mentioned above.

![](tm2518026d1_ex99-7img008.jpg)

Interim Financial Report

---

| | | | |
|:---|:---|:---|:---|
| **VaR MPS Group**<br> Trading Book<br> *VaR Breakdown per management: 31/03/2025* | **VaR MPS Group**<br> Trading Book<br> *VaR Breakdown per management: 31/03/2025* | **VaR MPS Group**<br> Trading Book<br> *VaR Breakdown per management: 31/03/2025* | &nbsp;&nbsp;&nbsp;With reference to the Parent Company management, LCIB CCO contributed 93% to the overall risk as at 31 March 2025, while the CFO contributed 7%. |
| **VaR MPS Group**<br> Trading Book<br> *VaR Breakdown per Risk Factor: 31.03.2025* | **VaR MPS Group**<br> Trading Book<br> *VaR Breakdown per Risk Factor: 31.03.2025* | **VaR MPS Group**<br> Trading Book<br> *VaR Breakdown per Risk Factor: 31.03.2025* | &nbsp;&nbsp;&nbsp;A breakdown of VaR by risk factors shows that 37.7% of the Group's portfolio consists of interest rate risk factors (IR VaR), 24.1% of credit spread risk factors (CS VaR), 18.2% of equity risk factors (EQ VaR), 17.3% of foreign exchange risk factors (FX VaR) and the remaining 2.7% of commodity risk factors (CO VaR). |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_ex99-7img049.jpg) **Group MPS**<br> **VaR PNV 99% 1 day in EUR/mln** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_ex99-7img049.jpg) **Group MPS**<br> **VaR PNV 99% 1 day in EUR/mln** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;![](tm2518026d1_ex99-7img049.jpg) **Group MPS**<br> **VaR PNV 99% 1 day in EUR/mln** | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |
|  | VaR | &nbsp;&nbsp;Data | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |
| End Period | 170 | 31/03/2025 | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |
| Min | 142 | 03/02/2025 | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |
| Max | 215 | 27/03/2025 | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |
| Average | 172 |  | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |
|  |  |  | &nbsp;&nbsp;&nbsp; In 2025, the Group's VaR in the Regulatory Trading Book ranged between a minimum of EUR 1.42 mln on 3 February 2025 and a maximum of EUR 2.15 mln on 27 March 2025, recording an average value of EUR 1.72 mln, down compared to the previous year. The Regulatory Trading Book VaR as at 31 March 2025 amounted to EUR 1.70 mln. |

---

VaR model backtesting

The Group has implemented a back testing procedure compliant with current regulations governing Market Risk as part of its own risk management system.

Based on current supervisory instructions, the Risk Management Function considered it appropriate to apply the actual back testing methods, integrating these into the Group's management reporting system.

For methodological details regarding the backtesting of the VaR model, please refer to the Consolidated Notes to the Financial Statements as at 31 December 2024 (Part E – Information on risks and related hedging policies – Section 2 – Market risks).

The chart below shows the actual backtesting results of the internal Market Risks model in relation to the Group's Regulatory Trading Book for the first quarter of 2025:

BANCA MONTE DEI PASCHI DI SIENA

![](tm2518026d1_ex99-7img011.jpg)

The backtesting shows no exceptions in the first quarter of 2025.

Structured credit product

As at 31 March 2025, the securities positions on structured credit products other than own securitisations had a book value of EUR 31.0 mln, compared to EUR 25.7 mln as at 31 December 2024.

With regard to the regulatory classification, the positions in securities on structured credit products are allocated mainly to the Regulatory Trading Book (95.7% of the total, held by the LCIB Department - Large Corporate & Investment Banking). The main accounting classification refers to the category "Financial assets measured at fair value through profit or loss" (95.7%), followed by the category "Financial assets measured at fair value through other comprehensive income" (4.3%).

In terms of the type of underlying asset transferred, commercial mortgages predominate (68.7%) compared to utilities (16.1%) and non-performing loans (15.2%).

Geographically speaking, the loans transferred mainly originated in Italy (83.9%).

In terms of risk of structured credit products, it is noted that 52.7% of exposures in terms of nominal value are made up of Investment Grade securities (with ratings up to and including BBB-); senior tranches are the most prevalent (63.7%) followed by mezzanine tranches (36.3%), there are no junior tranches.

Interim Financial Report

Financial risks of investment services

Banca MPS and Banca Widiba adopt customer profiling methods and rules to determine the indicators underlying the customer's risk profile, using the MiFID questionnaire in line with MiFID II (Directive 2014/65/EU) which, together with the MiFIR o Markets in Financial Instruments Regulation (Regulation (EU) 600/2014), regulate the financial products market.

Within the framework of the regulatory guidance contained in EU Delegated Regulation 2021/1253, which provides for amendments to Delegated Regulation (EU) 2017/565 supplementing MiFID II, intermediaries carry out an assessment of their customers' sustainability preferences. The customer profiling questionnaire captures the degree of customer preference with respect to environmental, social and governance (ESG) sustainability preferences.

The graphs below show the distribution as at 31 March 2025 of the Investment Objective, Time Horizon and Interest in Sustainability indicators issued by Retail customers of the group who have fully completed the MiFID questionnaire and who hold positions in investment products.

![](tm2518026d1_ex99-7img012.jpg)

At the end of March 2025, the portfolios held by Consumer/Retail customers on the basis of formalised "advanced" advisory proposals to obtain optimum asset allocation, were mainly distributed into the recommended long-term Asset Allocation (AA) macro-classes.

![](tm2518026d1_ex99-7img013.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Liquidity risk

Liquidity risk management

Liquidity risk is the risk that the Group may not be able to meet its payment commitments, certain or expected with reasonable certainty. Two manifestations of liquidity risk are normally identified: (i) the risk that the Group will not be able, in the short term (liquidity) and/or in the long term (funding), to meet its payment commitments and obligations efficiently; (ii) the risk that the Group may not be able to liquidate an asset without incurring capital losses due to the shallowness of the relevant market and/or as a result of the timing of the transaction.

Liquidity risk is managed and monitored as part of the Internal Liquidity Adequacy Assessment Process (ILAAP), which represents the process by which the Group identifies, measures, monitors, mitigates and reports its liquidity risk profile. As part of this process, the Group carries out an annual self-assessment of the adequacy of the overall liquidity risk management and measurement framework, which also includes governance, methodologies, information systems, measurement and reporting tools. The results of the assessment of the adequacy of the risk profile and the overall self-assessment are reported, at least annually, to the corporate bodies and brought to the attention of the Supervisory Authority.

The management of liquidity is centralised at the Parent Company. The monitoring and control of liquidity risk is carried out on a daily/weekly basis (short-term liquidity) and monthly (structural liquidity) and has the objective of monitoring the evolution of the risk profile by verifying its adequacy with respect to the Risk Appetite Framework and operating limits. In particular, the Group uses a monitoring system that includes both short-term and long-term liquidity indicators. To this end, both regulatory metrics (LCR, NSFR) and metrics developed internally are used, including the use of behavioural and/or optional parameter estimation models.

Risk assessment model

The Group has used a **Liquidity Risk Framework** for many years now, intended as the set of tools, methodologies, organisational and governance setups which ensures both compliance with national and international regulations and adequate liquidity risk governance in the short (Operating Liquidity) and medium/long (Structural Liquidity) term, under business as usual and stress conditions. The reference Liquidity Risk model for the Montepaschi Group is "centralised" and calls for the management of short-term liquidity reserves and medium/long-term financial balance at Bank level, guaranteeing solvency on a consolidated and individual basis for the Subsidiaries.

The management of the Group's **Operating Liquidity** aims at ensuring the capacity of the Group to meet the cash payment obligations within a short-term time frame. The essential condition for a normal course of business in banking is the maintenance of a sustainable imbalance between cash inflows and outflows in the short term. From the operational perspective, the benchmark metric in this respect is the difference between net cumulative cash flows and Counterbalancing Capacity, i.e. the reserve of liquidity in response to stress conditions over a short time horizon, in addition to the Liquidity Coverage Ratio (LCR) regulatory measure - Delegated Act. From the extremely short-term perspective, the Group adopts a system for the analysis and monitoring of intraday liquidity, with the goal of ensuring normal development during the day of the bank's treasury and its capacity to meet its intraday payment commitments.

Management of the Group's **Structural Liquidity** is intended to ensure the structural financial balance by maturity buckets over a time horizon of more than one year, both at Group and individual company level. Maintenance of an adequate dynamic ratio between medium/long-term assets and liabilities is aimed at preventing current and prospective short-term funding sources from being under pressure. The benchmark metrics are gap ratios which measure both the ratio between deposits and loans over more-than-1-year and the ratio between deposits and retail loans (regardless of their maturities or for maturities exceeding 3 years), in addition to the regulatory measurement of the Net Stable Funding Ratio (NSFR) in accordance with the CRR2, starting June 2021. The Group also defined and formalised the asset encumbrance management and monitoring framework with the goal of analysing:

&nbsp;&nbsp;&nbsp;&nbsp;· the overall degree of encumbrance of total assets;

&nbsp;&nbsp;&nbsp;&nbsp;· the existence of a sufficient quantity of assets that may be encumbered but which are free;

&nbsp;&nbsp;&nbsp;&nbsp;· the Group's capacity to transform bank assets into eligible assets (or in an equivalent manner, to encumber non-eligible assets
in bilateral transactions).

The liquidity position is monitored under business-as-usual conditions and under specific and/or system-wide stress scenarios based on the Liquidity Stress Test Framework. The exercises have the twofold objective of promptly reporting the Bank's major vulnerabilities in exposure to liquidity risk and allowing for prudential determination of surveillance levels, to be applied to the Liquidity Risk measurement metrics within the scope of the annual Risk Appetite Statement.

Interim Financial Report

Risk exposure

During the first quarter of 2025, the Group's liquidity and funding profile was higher than the regulatory and internal risk limits.

As at 31 March 2025, the Group was adequate in terms of both Operating Liquidity, with an LCR equal to 156.4%, and Structural Liquidity, with an NSFR equal to 129.8%. It should also be noted that the one-month net liquidity position relative to the Group's consolidated assets is 24.5%.

Management of interest rate risk of the banking book

The interest rate risk relating to the banking book derives mainly from the core activities carried out as an intermediary engaged in the process of transforming maturities. In particular, the issue of fixed-rate bonds, the disbursement of mortgages and commercial loans at a fixed rate and the funding through demand current accounts constitute a source of fair value interest rate risk, while floating-rate financial assets/liabilities constitute a source of cash flow interest rate risk.

The Group adopts an interest rate risk governance and management system known as the IRRBB Framework which avails itself of:

&nbsp;&nbsp;&nbsp;&nbsp;· a quantitative model, which provides the basis for monthly calculation of the exposure of the Group and
the individual companies to interest rate risk in terms of risk indicators;

&nbsp;&nbsp;&nbsp;&nbsp;· risk monitoring processes, aimed at periodically verifying compliance with the operational limits (risk
limits and risk tolerance) assigned to the Group overall and to the individual legal entities within the Risk Appetite Statement;

&nbsp;&nbsp;&nbsp;&nbsp;· risk control and management processes, geared toward carrying out adequate initiatives for optimising
the risk profile and activating any necessary corrective actions in the case of exceptions from and/or misalignments with the IRRBB Strategy.

Within the defined model, the Finance, Treasury and Capital Management unit (FTCM) of the Parent Company has centralised responsibility for the operational management of the Group's overall interest rate and liquidity risks.

With reference to the monitoring of interest rate risk, as of the reporting date, the internal risk measures used are specifically the change in the expected interest margin over one year and the change in the economic value of equity.

The sensitivity of the economic value of Gruppo Italia in the first quarter of 2025 indicates a risk exposure profile due to a rise in interest rates. The negative sensitivity of the economic value at risk, for a parallel shift in the interest rate curves of +100 bps, recorded an average value of EUR -414.2 mln in Q1 2025, with a minimum value of EUR -369.2 mln and a maximum value of EUR -471.0 mln, coinciding with the quarter-end level. The increase in negative sensitivity between the figure at the end of Q1 2025 and the end-2024 figure, amounting to EUR -82.9 mln, is mainly related to the increase in fixed-rate lending exposures.

The 1-year interest margin sensitivity of Gruppo Italia during the first quarter of 2025 shows exposure to risk in the event of a downward shift in the interest rate curve. The negative sensitivity of net interest income, due to a parallel shift in the interest rate curves of -100 bps, averaged EUR -126.2 mln in Q1 2025, with a high of EUR -135.5 mln and a low of EUR - 120.9 mln, coinciding with the end-January 2025 level. The increase in negative sensitivity between the end of Q1 2025 and the end of 2024, amounting to EUR -21.3 mln, is primarily related to the time value effect on variable rate loans.

BANCA MONTE DEI PASCHI DI SIENA

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **IRRBB Sensitivity (EUR mln)** | **IRRBB Sensitivity (EUR mln)** | **IRRBB Sensitivity (EUR mln)** | **IRRBB Sensitivity (EUR mln)** | **IRRBB Sensitivity (EUR mln)** | **IRRBB Sensitivity (EUR mln)** | **IRRBB Sensitivity (EUR mln)** |
| | | | | **[Jan-25; Mar-25]** | **[Jan-25; Mar-25]** | **[Jan-25; Mar-25]** |
| <br>**Metrics** | <br>**Shock <br> scenario** | **31 03 2025** | **31 12 2024** | **Min.** | **Max.** | **Average** |
| **EVE** | **+100 bps** | **-471** | -388 | -369 | -471 | -414 |
| **EVE** | **-100 bps** | **373** | 294 | 257 | 373 | 307 |
| **NII** | **+25 bps** | **32** | 28 | 31 | 32 | 32 |
| **NII** | **-25 bps** | **-34** | -28 | -29 | -34 | -31 |
| **NII** | **+100 bps** | **116** | 104 | 106 | 116 | 110 |
| **NII** | **-100 bps** | **-136** | -114 | -121 | -136 | -126 |

---

*Note: Min and Max are always to be understood as referring to the absolute value*

As at 31 March 2025, the regulatory limits in terms of Supervisory Outlier Test for EVE and NII were met. Note that the risk measures in question do not consider the contribution of the subsidiary Monte Paschi Banque S.A., which is classified as discontinued operations under IFRS 5.

The internal measurement system is independently developed by the Risk Management function of the Parent Company, which periodically reports on the extent of portfolio risks and their changes over time. The results are regularly brought to the attention of the Parent Company's Risk Management Committee and governing bodies.

Operational risks

**Risk assessment model**

The Group, authorised since 2008 to use the AMA internal model to determine the related capital requirement, from 1 January 2025 determines the Supervisory Capital Requirement for Operational Risk according to the new standard model that came into force with the modification of the Basel framework and more specifically with the publication of Regulation (EU) 2024/1623 in the Official Journal of the European Union in June 2024. The new rules modify the calculation methods, as well as the criteria for representing the main aggregates of the sector.

The MPS Group maintains the operational risk management system already in place, consisting of a set of regulations and procedures for the identification, assessment and measurement, management and mitigation, monitoring and reporting of operational risks in the Group and its subsidiaries. Furthermore, it regularly carries out stress analyses for operational risks, including the stress test exercise for the entire Group, aimed at verifying, through the use of a statistical-econometric model, the impact in terms of operational losses, as well as the consequent repercussions on capital at risk, of changes in the underlying macroeconomic factors, or changes in the idiosyncratic components of operational risk.

**Risk exposure**

As of 31 March 2025, operating losses recognised in the first quarter are slightly higher than those observed in the same period of 2024. The Regulatory Requirement, however, is decreasing compared to December 2024 (-29%) following the new standard calculation methodology, which came into force on 1 January 2025.

BANCA MONTE DEI PASCHI DI SIENA

Main types of legal, employment and tax risks

As at 31 March 2025, the following were pending:

legal proceedings with *relief sought,* where quantified, totalling EUR 3,165.1 mln

out-of-court claims with *relief sought,* where quantified, totalling EUR 55.9 mln.

- risks associated with contractual guarantees with *relief sought,* where quantified, of EUR 271.3 mln.

These amounts, in accordance with IAS 37, include all disputes, out-of-court claims and contractual risks for which the risk of disbursement of economic resources deriving from potential loss has been assessed as likely or possible and, therefore, does not include disputes for which the risk has been assessed as remote. The aforementioned risks were specifically and carefully analysed by the Group, particularly in the presence of a likely risk gradient and if a reliable estimate of the relative amount could be made, specific and appropriate provisions were allocated to the Provision for Risks and Charges. Without prejudice to the risk of uncertainty that characterises every dispute, the estimate of the obligations that could emerge from the disputes - and therefore the amount of any provisions made - derives from the forecast assessments regarding the outcome of the proceedings. These forward-looking assessments are in any case carried out on the basis of the information available at the time of the estimate. The complexity of the situations and corporate transactions forming the basis of the disputes imply significant elements of proceedings that could affect the if, how much and related materialisation timing of the liability. In this regard, therefore, although the Group's estimates are considered robust, reliable and compliant with the dictates of reference accounting standards, it cannot be excluded that charges arising on final settlement of the disputes may prove different, even significantly, from those allocated.

The above aggregate includes:

1. <u>Legal disputes and out-of-court claims</u> 

As at 31 March 2025, the following were pending:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o legal disputes with a total relief sought, where quantified, of EUR 3,091.4 mln, of which approximately
EUR 1,581.9 mln as relief sought relating to disputes classified as a " likely " risk, for which provisions for EUR 458.4 mln are recognised and approximately EUR 1,509.5 mln as relief sought attributed to disputes
classified as having " possible " risk;

&nbsp;&nbsp;&nbsp;&nbsp;o out-of-court claims for a total relief sought, where quantified, of approximately EUR 55.9 mln, of which
approximately EUR 42.0 mln classified with a " likely " risk and approximately EUR 13.9 mln with a " possible " risk.

The change in the scope of the main disputes pending as of 31 March 2025, compared to what was reported in the information provided in the Consolidated Financial Statements as of 31 December 2024, is attributable to the dispute initiated in the first quarter of 2025 by Unieco Società Cooperativa in Compulsory Administrative Liquidation. For details, please refer to the relevant paragraph.

The main information of the cases that have the greatest relevance by macro-category and the significant developments that occurred in the first quarter of 2025 in the individually significant disputes is illustrated below, with reference made to the Notes to the Consolidated Financial Statements as at 31 December 2024 for previous periods and the precise indication of the individual relevant cases.

*Disputes regarding compound interest, interest rates and conditions*

The total relief sought in these disputes as at 31 March 2025 was EUR 170.8 mln (EUR 209.0 mln as at 31 December 2024), while allocated provisions totalled EUR 73.3 mln (a decrease of EUR 79.7 mln compared to the provisions as at 31 December 2024).

*Dispute regarding claw-back actions in insolvency proceedings*

The total relief sought in these disputes as at 31 March 2025 was EUR 24.2 mln (EUR 64.9 mln as at 31 December 2024), while allocated provisions totalled EUR 11.8 mln (a decrease of EUR 13.9 mln compared to 31 December 2024).

BANCA MONTE DEI PASCHI DI SIENA

*Dispute with purchasers of subordinated bonds issued by Group companies*

The total relief sought in these disputes as at 31 March 2025 was EUR 31.3 mln (EUR 32.4 mln as at 31 December 2024), whilst allocated provisions totalled EUR 16.4 mln (an increase of EUR 0.4 mln compared to 31 December 2024).

*Derivatives litigation*

The total relief sought in these disputes as at 31 March 2025 was EUR 66.0 mln (EUR 134.7 mln as at 31 December 2024), whilst allocated provisions totalled EUR 41.4 mln (up compared to a provision of EUR 40.8 mln as at 31 December 2024).

*Disputes and out-of-court claims related to financial information*

As at 31 March 2025, the Parent Company was exposed to civil actions, to the consequences of decisions arising from criminal proceedings (33714/16 and 29877/22) with regard to the financial information disclosed during the past periods. The total relief sought at the same date for this type of dispute was equal to approx. EUR 1,183 mln, broken down as follows (data in EUR mln):

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| | | |
|:---|:---|:---|
| **Type** | **31/03/2025** | **31/12/2024** |
| Civil dispute | 674 | 674 |
| Filed civil claim cp 955/16 |  | 160 |
| Filed civil claim cp 33714/16 and cp 29877/22 | 509 | 509 |
| **Total legal proceedings** | **1183** | **1343** |

---

With regard to criminal proceedings, reference is made to the definition in criminal proceeding no. 955/16. Specifically, the relief sought for EUR 160 mln referred to therein was extinguished following the ruling of the Fifth Chamber of the Court of Cassation on 20 February 2025, which rejected the appeals of the Attorney General and the civil party Bluebell Capital Partners, confirming the ruling of the Milan Court of Appeal of 11 December 2023 acquitting the defendants and the Parent Company.

Below are the main updates for disputes pending as of 31 March 2025.

<u>Criminal Proceedings no. 33714/16 and no. 29877/2022, Court of Milan</u>

At the hearing of 20 January 2025, criminal proceeding no. 33714/16 were joined with criminal proceedings no. 29877/22. At the same hearing, the Judge for Preliminary Hearing ordered a supplement to investigations with regard to alleged fraud against the State with reference to the precautionary recapitalisation transaction. The investigation is still ongoing. At the following hearing of 28 February 2025, the Public Prosecutor requested that a "ruling not to proceed" be issued for all the natural persons in relation to the charges in both criminal proceedings 33714/16 and in the joined criminal proceedings 29877/22, with the exception of the charge relating to false corporate communications, with reference to the financial statements relating to the financial year 2015 and to the half-yearly financial report as at 30 June 2016, for which the Public Prosecutor requested the indictment of the former Chairman of the Board of Directors, of the former Chief Executive Officer and of the former Financial Reporting Officer.

As a result of the hearing on 8 May 2025, at which the parent company's defence and the defences of certain natural persons proceeded to the discussion, the Judge for Preliminary Hearings scheduled two additional hearings for 4 and 6 June 2025.

*Banca Monte dei Paschi di Siena S.p.A. vs. Fresh 2008 bondholders*

The Luxembourg Court, at the hearing on 4 April 2025 of the appeal brought by the holders of the Fresh Securities and the Parent Company, suspended its decision, requesting the parties involved to further elaborate on their claims.

Interim Financial Report

<u>Other proceedings</u>

*Banca Monte dei Paschi di Siena S.p.A. vs. Italtrading*

The case is pending before the Court of Appeal of Milan. At the hearing of 7 April 2025, after hearing a witness, the Court adjourned the case until 15 July 2025.

*Banca Monte dei Paschi di Siena S.p.A. vs. Renova Red SpA*

At the first hearing of the parties scheduled for 29 April 2025, the Judge took the issue under advisement.

*Banca Monte dei Paschi di Siena S.p.A. vs. Privilege Yard Spa in bankruptcy – Appeal*

In agreement with the other banks, which were originally part of a pool, it was decided to proceed with the spontaneous payment, although subject to repetition at the outcome of the appeal, by paying the agreed amount of one fifth for each bank, of the amount (increased by expenses, fees and charges) under the conviction for joint and several liability pursuant to art. 2055 of the Italian Civil Code in the mismanagement of the directors of Privilege Yard SpA pursuant to art. 2393 of the Italian Civil Code.

All the banks, including the former subsidiary MPS Capital Services SpA (now merged into the parent company), have independently filed an appeal. The first appearance hearing held in February 2024 was postponed for closing arguments to November 2025.

On 15 April 2025, a proposal for composition in bankruptcy with an official assignee was submitted, which is under analysis by the lawyers assisting the banks of the pool, subject to the definition of an agreement with the banks for the closure of the pending appeal proceedings.

*Banca Monte dei Paschi di Siena S.p.A. vs. Barbero Metalli S.p.A.*

On 4 December 2024, the court-appointed expert was sworn in and the Parent Company appointed its own technical expert. The next hearing is scheduled for 8 October 2025 to examine the expert report.

*Banca Monte dei Paschi di Siena S.p.A. vs. Isoldi S.p.A.*

On 13 February 2025, the Parent Company paid the agreed sum net of the court-appointed expert's fee, for which payment remains outstanding and the exclusion from the proceedings was formalised.

*Banca Monte dei Paschi di Siena S.p.A. vs. Parrini S.p.a.*

The court-appointed expert was appointed last February, the Parent Company appointed its own technical expert. The next hearing is scheduled for 20 October 2025 to examine the expert report.

*Banca Monte dei Paschi di Siena S.p.A. vs. Berloni Immobiliare Srl*

On 12 March 2025, the judgment was published rejecting all the plaintiff's claims in full and ordering the opposing party to pay the costs in favor of each defendant. The parent company's legal counsel notified the judgment on 13 March 2025 and is verifying that the judgment has become final, following notification of the same by all the other defendants.

*Banca Monte dei Paschi di Siena S.p.A./Unieco Societ à Cooperativa*

With a deed notified on 11 February 2025, Unieco Società Cooperativa under compulsory winding up, in the person of the Liquidator, cited the directors and former directors of the company, the statutory auditors and the banks financing the debt restructuring agreement pursuant to art. 182 bis Italian Bankruptcy Law of 2013. The central point of the opposing action is based on the concrete feasibility of the restructuring plan presented by UNIECO, requesting: (a) to ascertain and declare the joint and several liability pursuant to Article 2055 of the Italian Civil Code of the defendants for

BANCA MONTE DEI PASCHI DI SIENA

having caused Unieco Società Cooperativa, now under compulsory winding up, and its creditors damage currently quantifiable at EUR 55.51 mln, or such greater or lesser amount as may be determined at the end of the proceedings; (b) consequently, to order the defendants, jointly and severally, to pay Unieco Società Cooperativa under compulsory winding up, the aforementioned sum, plus interest and monetary revaluation. Furthermore, the reimbursement of the fees and legal costs is requested, in addition to the reimbursement of general expenses in the amount of 15% of the fees, and additional costs.

The first hearing is scheduled for 21 July 2025 at the Court of Bologna, Business Section.

2. <u>Employment law disputes</u> 

As at 31 March 2025, tax disputes were pending for which the total relief sought, where quantified, was equal to approximately EUR 38.3 mln. Specifically:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o approx. EUR 29.4 mln in relief sought for disputes for which there is a " likely " risk of losing the case, for which provisions of about EUR 12.3 mln have been recognised;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o approx. EUR 8.9 mln as relief sought for disputes for which there is a " possible " risk of disbursing financial resources.

Information on the most significant disputes pending as at 31 March 2025 is provided below.

3. <u>Tax disputes</u> 

As at 31 March 2025, tax disputes were pending for which the total relief sought, where quantified, was equal to approximately EUR 35.5 mln. Specifically:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o approx. EUR 12.1 mln as relief sought for disputes for which there is a " likely " risk of disbursing financial resources, for which provisions of approx. EUR 12.0 mln have been allocated;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o approx. EUR 23.3 mln as relief sought for disputes for which there is a " possible " risk of disbursing financial resources.

<u>Risk linked to representations and warranties given in the transfer and demerger of Non-performing loans</u>

In previous years, the Group launched an important destocking plan for non-performing loans with the aim of significantly reducing its NPE ratio. As part of these transfers of non-performing loan portfolios, indemnities are envisaged to be paid to the transferee counterparties if the representations and warranties (R&W) issued prove untrue.

In this regard, note the securitisation transaction carried out by the Group in December 2017 in favour of Siena NPL which resulted in the cancellation of bad loans for a gross exposure of over EUR 22 bn, whose R&W expired on 31 July 2021. At the reporting date of this report, all claims received by the deadline were reviewed, of which a small percentage were assessed as well-founded and were paid.

Also noteworthy are, (i) the "Hydra-M" demerger transaction in the 2020 financial year concerning EUR 7.2 bn of gross non-performing loans whose R&W matured on 1 December 2022 and for which all claims received were analysed and paid where deemed justified; (ii) the 2022 "Fantino" sale transaction concerning EUR 0.9 bn of non-performing loans whose representations and warranties expired between 28 October 2023 (Intrum Spa) and 20 May 2024 (Amco Spa and Illimity Spa); all claims received were analysed and paid where deemed justified; (iii) the 2023 "Mugello" sale transaction concerning EUR 0.2 bn of non-performing loans, whose representations expired in the first quarter of 2025; to date, a small number of claims have been notified; all claims received were analysed and paid where deemed justified; (iv) the 2024 'Bricks' sale transaction finalised through the signing of three sale agreements with different assignees and concerning a total of EUR 0.3 bn of non-performing loans, whose representations and warranties will expire between December 2025 and the first quarter of 2026. To date, no claims have been notified.

The total relief sought for these transactions as at 31 March 2025 amounted to EUR 271.3 mln, of which around EUR 63.5 mln classified as "likely" risk of losing and around EUR 207.8 mln as "possible" risk of losing.

For all the aforementioned transactions, a risk remains limited to that part of the claims already analysed and considered non-indemnifiable by the Group in addition, where present, to the residual component of claims to be analysed.

In general, the risk provisions for this type of transactions, if the claims are not fully analysed and/or the expiry date has not yet matured, are also determined through the use of statistical techniques to take into account the overall expected risk.

Interim Financial Report

ESG Risks

In light of the growing importance of ESG risk factors in regulation, government policies, stakeholder awareness and also following specific initiatives promoted by the ECB, particularly on Climate related and Environmental Risks – C&E Risks, the Group is carrying out a series of activities relating to the integration of C&E risk factors into the risk management framework and into the Group's governance and strategic processes.

The process of identifying, verifying the materiality and relevance of E-climate risks in the short, medium and long term, preparatory to the definition of the Group's Risk Appetite Statement, was carried out in substantial continuity with the assumptions adopted for the Consolidated Financial Statement at 31 December 2024 and for the details of which please refer to paragraph. "ESG Risks" contained in "Part E - Information on risks and related coverage policies" of the Consolidated Financial Statements as at 31 December 2024 of the MPS Group.

As regards E-non climate risks - i.e. risks relating to "Water Resources", "Circular Economy", "Pollution" and "Biodiversity and Ecosystems" - the identification and materiality verification process has been integrated for the RAS 2025 with the analysis of non-climate environmental risk factors, in the two perspectives of physical risk and transition risk based on the Group's primary financial risks (credit, operational, market and liquidity risk). The summary indicators, transition risk E-non climate (Water resources, Circular Economy, Pollution and Biodiversity and Ecosystems) and physical risk E-non climate (Water resources and Biodiversity and Ecosystems), are overall material for credit risks and, as such, have been proposed and approved as KRI RAS 2025 for the Non-Financial Companies perimeter. Respective operational limits have been applied to the organisational structures most involved in the operations/perimeter concerned.

The following is a summary of the analysis activities performed by the Group during the year, aimed at identifying the exposure of credit portfolios to environmental/climate factors, for risk factors found to be material and regularly monitored as KRI RAS during the first quarter 2025.

<u>Climate transition risk Non-financial companies</u>

With regard to **climate transition risk** - understood as the financial loss that a company may incur, directly or indirectly, as a result of the adjustment process towards a low-carbon and more environmentally sustainable economy - with regard to corporate customers, the Group quantifies the exposure of counterparties (or of their individual credit exposures) to this risk by means of an internally calculated sector indicator, which expresses the transition risk of the financed entity and the respective production activity. A higher value of the indicator therefore corresponds to a smaller distance from the full environmental sustainability of the activity and its financing and, consequently, a lower transition risk for the counterparty or portfolio considered.

Among the aspects most affecting the transition/credit risk of production companies, particularly relevant are the objectives and related risks linked to climate change, deriving from the impact that human activities (production and otherwise) have on the phenomenon, mainly through GHG (Greenhouse Gases) emissions released into the atmosphere.

To better understand the specific scope of risk and strategic aspects related to climate change and its mitigation through the process of energy transition and reduction of GHG emissions, the Group has used a specific "emissions" transition risk indicator, defined as Transition Exposure Coefficient or TEC CCM (Climate Change Mitigation).

The indicator focuses on risk factors specifically related to the reduction of GHG emissions and thus to the energy transition; and is therefore representative of the share of an exposure exposed to transition risk. To calculate the TEC CCM, the Group combines elements assessed at the level of a company's business sector with customer-specific elements collected through a questionnaire administered to business customers. Exposures are also classified into transition risk classes<sup>14</sup>.

The KRI RAS is based on the TEC CCM, on which the respective operating limits are defined and adapted to the responsible units. The objectives in terms of the containment of the average portfolio TEC will be more suitable to address the "financed" GHG emission reduction plans incorporated in the strategies of the Net Zero Banking Alliance initiative and, in general, to the path towards making the Bank's assets sustainable from a CCM perspective.

As at 31 March 2025, the overall measure at Group level of exposure to transition risk, (measure entered as KRI in the 2025 RAS context), was 42.8%, as shown in the table and graph below, which show the distribution of loans within the scope (EUR 39.05 bn) on the classes of TEC CCM.

<sup>14</sup> The TEC CCM is divided into five qualitative ranges in order to classify the positions of a given scope into separate risk classes: Very High, High, Medium, Low and Very Low.

BANCA MONTE DEI PASCHI DI SIENA

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| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img049.jpg) | **Montepaschi Group** |

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| | | | |
|:---|:---|:---|:---|
| Eurg/mln |  |  |  |
| Climate Transition Risk Level (TEC) | Credit GCA | Trans.<br> Risk Exp. | Avg TEC |
| 0 - Null TEC | 4338 |  | 0.0% |
| 1 - Very Low | 2110 | 202 | 9.6% |
| 2 - Low | 3560 | 797 | 22.4% |
| 3 - Medium | 15709 | 6458 | 41.1% |
| 4 - High | 10503 | 6873 | 65.4% |
| 5 - Very High | 2832 | 2369 | 83.6% |
| Total Non Fin. CTP Loans & Adv. | 39051 | 16699 | 42.8% |

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![](tm2518026d1_ex99-7img014.jpg)

<u>Climate transition risk residential mortgages to private individuals</u>

For private customers, the energy performance labels (APE in Italy, EPC in the European context) of mortgaged properties are the most significant indicator approximating the emission impact and more generally the attitude towards climate change mitigation for mortgage loans. In order to identify transition risk, the Group is currently placing this risk in direct relation to the characteristics of the properties offered as mortgage security, providing a first proxy of alignment to the transition, through characteristics of energy efficiency.

The level of energy performance of residential mortgage properties, and the related information on consumption and GHG emissions, will be compulsorily collected at underwriting for new mortgages from April 2023.

As at 31 March 2025, approximately 49.7% of the residual debt on residential mortgages secured by real estate was covered by the effective energy label (47.4% at the end of 2024).

At the same date, the component of mortgages covered by the energy label was broken down by APE levels according to the table and graph below.

Interim Financial Report

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| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img049.jpg) | **MPS Group** |

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| | | |
|:---|:---|:---|
| EUR/mln |  |  |
| EPC label level | outstanding | % |
| A | 1120.2 | 3.5% |
| B | 485.8 | 1.5% |
| C | 706.5 | 2.2% |
| D | 1413.2 | 4.4% |
| E | 2479.4 | 7.8% |
| F | 4005.2 | 12.6% |
| G | 5586.0 | 17.6% |
| Total mortgages covered by actual EPC | 15796.3 | 49.7% |
| Without/Unknown EPC | 15969.0 | 50.3% |
| Total residential mortgages | 31765.3 | 100.0% |

---

![](tm2518026d1_ex99-7img015.jpg)

<u>Climate physical risk non-financial companies</u>

The "transmission channel" of the impacts of **physical climate risk** on **companies** consists of the damages that events of **acute physical risk** (landslides, floods, atmospheric precipitation, hurricanes, fire) may cause to the company's production assets, possibly resulting in prolonged business interruptions that may compromise the company's regular operation with consequences of loss of profitability or even closure and bankruptcy.

There is also another way of transmitting physical/climatic events to the prospective profitability and solvency of a production company, transitioning from the gradual but inexorable change in the conditions in which the production unit operates, which may compromise the context or the business model. In this case, we refer to a **chronic physical risk**, linked, for example, to increased temperatures or the frequency of precipitation, conditions that could compromise the production process especially in those sectors of activity that are more dependent or exposed to such conditions (e.g. agriculture or activities carried out outdoors, such as construction, etc.).

As at 31 March 2025, 21.4% of deposits and unsecured loans to non-financial companies, (a portfolio totalling approximately EUR 39.05 bn) were exposed to "high" or "very high" physical risk (acute or chronic).

BANCA MONTE DEI PASCHI DI SIENA

The following graphs show the distribution on loans to non-financial companies of the levels of physical risk in general and then of the main acute physical risk factors (landslide and flood) and finally the seismic risk<sup>15</sup> (earthquake).

---

| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img016.jpg) | ![](tm2518026d1_ex99-7img017.jpg) |
| ![](tm2518026d1_ex99-7img018.jpg) | ![](tm2518026d1_ex99-7img019.jpg) |

---

<u>Climate physical risk residential mortgages to private individuals</u>

With regard to physical risk, the Group monitors the exposure of credit portfolios to physical risk factors. In particular, the focus was on the risk of private customers, with an analysis aimed at the properties guaranteeing residential mortgages, based on the location of the properties themselves. The perimeter exposure of loans was mapped by geolocating the real estate, and thus attaching the appropriate zone of the applicable risk factor mapping (based on point location by census cell for properties already in the systems, based on ISPRA maps for properties related to new loan transactions) for hydro-geological risks or specific grid for other risks.

The analysed risk factors that can cause acute physical damage to a property are Landslide, Flood, Wind Fire (widely considered as climate-related) in addition to the seismic risk that is monitored although not related to climate change. The data used to determine the short-, medium- and long-term risk maps and the corresponding RAS Key Risk Indicator (KRI) monitored quarterly during the year were retrieved from specialised data-providers and from ISPRA (Institute for Environmental Protection and Research) public databases.

As at 31 March 2025, 17.3% (17.6% at the end of 2024) of the total outstanding residential mortgage loans of EUR 31.76 bn had collateralised properties located in geographic areas (municipalities) at 'high' or 'very high' risk for at least one of the risks 'landslide' and 'flood', 'wind', 'fire'.

The graphs below show the breakdown of residential mortgage loans at the level of riskiness of the location of their collateral properties, as regards the monitored risk factors.

<sup>15</sup> Seismic risk is not considered as climate-related risk, but is nevertheless monitored alongside physical climate risk, as a further potential natural risk factor.

Interim Financial Report

---

| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img020.jpg) | ![](tm2518026d1_ex99-7img021.jpg) |
| ![](tm2518026d1_ex99-7img022.jpg) |  |

---

<u>Non-climate transition risk Non-financial companies</u>

The analyses and process followed for climate risks have also been extended to risks that may arise from the degradation of ecosystems and the loss of biodiversity (non-climate environmental risks).

In analogy with what was done for Climate risks, the MPS Group has estimated for each economic sector a TEC indicator or coefficient of exposure to non-climate transition risk, starting from the four non-climate environmental taxonomic themes: Protection and use of water and marine resources, Circular economy, Pollution and Ecosystems and Biodiversity.

As of 31 March 2025, the overall measure at Group level of exposure to non-climate environmental transition risk (measure included as KRI in the RAS 2025), is equal to 14.2% as can be seen from the following table, which reports for the investments in the scope (EUR 39.05 bn), in addition to the value of the overall KRI, the detail of the KRI on the monitored risk factors.

---

| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img049.jpg) | **Montepaschi Group** |

---

---

| | |
|:---|:---|
| Eur/mln |  |
| Exposure to E-nonCrisk |  |
| Total perimeter | 39051.2 |
| **KRI transition risks** | **14.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Water resources | 11.3% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Circula economy | 21.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pollution | 16.5% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Biodiversity | 10.8% |

---

<u>Non-climate physical risk non-financial companies</u>

With regard to the physical environmental risk of companies, which essentially derives from a high dependence on ecosystem services based on the economic activity carried out and the relative geographical area of location, an exposure indicator has been introduced which takes into account the items Water Resources and Biodiversity.

BANCA MONTE DEI PASCHI DI SIENA

As of 31 March 2025, 42.8% of cash and endorsement loans to non-financial companies, a portfolio that amounts to approximately EUR 39.05 bn, is exposed to "high" or "very high" non-climate environmental risk, as can be seen from the following table which reports for the loans in the scope (EUR 39.05 bn), in addition to the value of the overall KRI, the detail of the KRI on the monitored risk factors.

---

| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img049.jpg) | **Montepaschi Group** |

---

---

| | |
|:---|:---|
| Eur/mln | Eur/mln |
| Exposure to E-nonCrisk | Exposure to E-nonCrisk |
| Total perimeter | 39051.2 |
| **KRI physical eco-systemic risks** | **42.8%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Water resources | 52.1% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Other ecosystems and biodive | 24.1% |

---

Interim Financial Report

Results by Operating Segment

**Identification of Operating Segments**

In accordance with the provisions of IFRS 8, the operating segments have been identified based on the main business sectors in which the Group operates. As a result, by adopting the "business approach", consolidated income statement and balance sheet data are broken down and re-aggregated based on criteria including: business area concerned, operating structure of reference, relevance and strategic importance of activities carried out, and customer clusters served.

Note that from 30 June 2024, as described in more detail in the paragraph "Income statement and balance sheet reclassification principles", to which reference is made, the costs and revenues as well as the assets and liabilities referring to the consolidated contribution of the subsidiary MP Banque are included on a line-by-line basis in the individual income statement and balance sheet items within the *Corporate Center*. The comparative figures (balance sheet and income statement) were consequently restated in order to allow a homogeneous comparison.

Based on the Group's reporting criteria, which also take into account the organisational structures and the above, the following operating segments are defined:

&nbsp;&nbsp;&nbsp;&nbsp;· **Retail Banking**, which includes the income statement/balance sheet results of Retail customers (Value
and Premium segments) and Banca Widiba S.p.A. (Financial Advisor Network and Self-service channel);

&nbsp;&nbsp;&nbsp;&nbsp;· **Wealth Management**, which includes the income statement/balance sheet results of Private Banking
customers (Private Banking and Family Office segments) and the subsidiary MPS Fiduciaria;

&nbsp;&nbsp;&nbsp;&nbsp;· **Corporate Banking**, which includes the income statement/balance sheet results of corporate customers
(SME, Corporate Client and Small Business segments) and the Foreign Branches;

&nbsp;&nbsp;&nbsp;&nbsp;· **Large Corporate and Investment Banking**, which includes the economic/equity results of Large Corporate
customers, and of the Corporate Finance and Investment Banking and Global Markets Business Units;

&nbsp;&nbsp;&nbsp;&nbsp;· **Corporate Centre**, which in addition to the offsetting of intragroup entries, incorporates the results
of the following business centres:

- Non-Performing customers managed centrally by the Non-Performing Loans Unit;

- companies consolidated with the equity method and those held for sale;

- operating units, such as proprietary finance, treasury and capital management;

- service units supporting the Group's business, dedicated in particular to the management and development of IT systems.

The income statement and balance sheet results for each identified operating segment are shown in the following paragraphs.

BANCA MONTE DEI PASCHI DI SIENA

**Results in brief**

The following table reports the main income statement and balance sheet aggregates that characterised the Group's operating segments as at 31 March 2025:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SEGMENT REPORTING** | **Operating segments** | **Operating segments** | **Operating segments** | **Operating segments** | **Operating segments** | **Operating segments** | **Operating segments** | **Operating segments** | | | | |
| **Primary segment** | **Retail Banking** | **Retail Banking** | **Wealth<br> Management** | **Wealth<br> Management** | **Corporate Banking** | **Corporate Banking** | **Large Corporate &<br> Investment<br> Banking** | **Large Corporate &<br> Investment<br> Banking** | **Corporate<br> Center** | **Corporate<br> Center** | **Total<br> Montepaschi Group** | **Total<br> Montepaschi Group** |
| (mln of eur) | 31/03/25 | % Chg.<br> Y/Y | 31/03/25 | % Chg.<br> Y/Y | 31/03/25 | % Chg.<br> Y/Y | 31/03/25 | % Chg.<br> Y/Y | 31/03/25 | % Chg.<br> Y/Y | 31/03/25 | % Chg.<br> Y/Y |
| **ECONOMIC AGGREGATES** |  |  |  |  |  |  |  |  |  |  |  |  |
| Total Revenues | 526.5 | -12.9% | 47.5 | -0.8% | 297.3 | -9.0% | 84.3 | -10.2% | 51.8 | n.m. | 1007.3 | -0.5% |
| Operating expenses | (290.4) | 0.8% | (27.5) | -4.3% | (97.8) | 1.8% | (23.1) | 27.2% | (33.4) | 7.4% | (472.1) | 2.2% |
| Gross Operating Result | 236.1 | -25.4% | 20.0 | 4.6% | 199.5 | -13.5% | 61.2 | -19.1% | 18.5 | n.m. | 535.2 | -2.8% |
| Cost of customer credit/ Value adjustments for impairment to securities and loans to banks | (18.7) | -60.4% | 0.4 | 19.1% | (54.7) | 75.6% | 4.2 | n.m. | (18.6) | 32.2% | (87.4) | -17.9% |
| Net operating income | 217.4 | -19.3% | 20.4 | 4.8% | 144.8 | -27.4% | 65.4 | 6.6% | (0.1) | -99.9% | 447.7 | 0.8% |

---

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | 31/03/25 | % Chg.<br> 31/12 | 31/03/25 | % Chg.<br> 31/12 | 31/03/25 | % Chg.<br> 31/12 | 31/03/25 | % Chg.<br> 31/12 | 31/03/25 | % Chg.<br> 31/12 | 31/03/25 | % Chg. <br> 31/12 |
| **BALANCE SHEET AGGREGATES** |  |  |  |  |  |  |  |  |  |  |  |  |
| Gross interest-bearing loans to customers (\*) | 33380 | 3.0% | 520 | 6.3% | 30443 | 2.2% | 4372 | -2.1% | 10832 | -2.3% | 79547 | 1.7% |
| Direct funding | 44819 | 0.2% | 3131 | 3.1% | 20106 | -1.3% | 3721 | -16.9% | 22818 | 6.7% | 94594 | 0.7% |
| Indirect funding | 62166 | 0.6% | 16518 | 0.6% | 6264 | 3.5% | 8284 | 0.9% | 10366 | -3.8% | 103599 | 0.3% |
| Assets under management | 46811 | -0.6% | 11021 | -0.3% | 1155 | -0.1% | 38 | 0.3% | 600 | 0.3% | 59624 | -0.5% |
| Assets under custody | 15355 | 4.5% | 5498 | 2.3% | 5109 | 4.4% | 8247 | 0.9% | 9766 | -4.1% | 43975 | 1.5% |

---

(\*) The value shown in the Group as well as that in the operating segments is represented by gross interest-bearing loans to customers, therefore not including loss provisions.

Interim Financial Report

**Retail Banking**

---

| | |
|:---|:---|
| **Business areas** | &nbsp;&nbsp;**Customers** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail MPS**<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Funding and provision of insurance products.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Lending.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Financial advisory services.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Electronic payment services.<br>**Banca Widiba**<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Banking products and services, deposit accounts, cards and advanced payment<br> systems; customer operations in self-service mode through the bank's digital channels or in assisted mode with the support of a Financial Advisor.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Fully customisable online platform that relies on a network of 576 financial advisors present throughout the country.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Funding and Global advisory services and financial planning through the advanced WISE platform and the skills of the Financial Advisor Network.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Mortgage loans, credit facilities and personal loans.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Innovative interaction through computers, smartphones, tablets, watches and TV. | &nbsp;&nbsp;Retail Banking customers number approximately 3.4 mln and include approximately 240,700 exclusive customers of Banca Widiba. The total number of Banca Widiba customers, including those shared with the Parent Company, is approximately 263,600, of which approximately 114,000 on the financial advisor network channel, approximately 105,000 on the Self-service channel, and approximately 44,600 customers migrated from the MPS branch network. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail MPS**<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Funding and provision of insurance products.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Lending.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Financial advisory services.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Electronic payment services.<br>**Banca Widiba**<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Banking products and services, deposit accounts, cards and advanced payment<br> systems; customer operations in self-service mode through the bank's digital channels or in assisted mode with the support of a Financial Advisor.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Fully customisable online platform that relies on a network of 576 financial advisors present throughout the country.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Funding and Global advisory services and financial planning through the advanced WISE platform and the skills of the Financial Advisor Network.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Mortgage loans, credit facilities and personal loans.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Innovative interaction through computers, smartphones, tablets, watches and TV. | <br>![](tm2518026d1_ex99-7img023.jpg) <br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail MPS**<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Funding and provision of insurance products.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Lending.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Financial advisory services.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Electronic payment services.<br>**Banca Widiba**<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Banking products and services, deposit accounts, cards and advanced payment<br> systems; customer operations in self-service mode through the bank's digital channels or in assisted mode with the support of a Financial Advisor.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Fully customisable online platform that relies on a network of 576 financial advisors present throughout the country.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Funding and Global advisory services and financial planning through the advanced WISE platform and the skills of the Financial Advisor Network.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Mortgage loans, credit facilities and personal loans.<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Innovative interaction through computers, smartphones, tablets, watches and TV. | <br> ![](tm2518026d1_ex99-7img024.jpg)  |

---

**Income statement and balance sheet results**

As at 31 March 2025, **Total Funding** for Retail Banking amounted to approximately **EUR 107.0 bn**, up by EUR 0.5 bn from the end of 2024 and roughly EUR 4.4 bn compared to the levels at March 2024. More specifically:

· **Direct funding**, amounting to **EUR 44.8 bn**, increased by EUR 0.1 bn compared to 31 December
2024 due to the increase in short-term funding (EUR +0.3 bn), while medium/long-term funding decreased (EUR -0.2 bn); the visible component
is substantially stable. The aggregate was up by EUR 1.4 bn compared to 31 March 2024, with a decrease in demand deposits (EUR +1.2 bn)
and medium/long-term deposits (EUR +1.0 bn), while short-term deposits decreased (EUR -0.7 bn);

· **Indirect funding**, amounting to **EUR 62.2 bn**, increased by EUR 0.4 bn compared to December
2024, due to a EUR 0.7 bn increase in assets under custody, while assets under management decreased by EUR -0.3 bn. The aggregate was
also up compared to 31 March 2024 (EUR +3.0 bn), both on the asset management component (EUR +1.6 bn) and on the assets under custody
component (EUR +1.4 bn).

With regard to lending, **gross interest-bearing loans to Retail Banking customers** amounted to **EUR 33.4 bn**, up both compared to December 2024 (EUR +1.0 bn) and compared to 31 March 2024 (EUR +1.4 bn).

BANCA MONTE DEI PASCHI DI SIENA

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Retail Banking - Balance sheet aggregates** | **Retail Banking - Balance sheet aggregates** | **Retail Banking - Balance sheet aggregates** | | | | | |
| (Eur mln) | **31/03/25** | **31/12/24** | <br>**31/03/24** | <br>**Abs. <br> chg. Q/Q** | <br>**%<br> Chg. Q/Q** | <br>**Abs. <br> chg. Y/Y** | <br>**%<br> Chg. Y/Y** |
| **Direct funding** | **44819** | **44717** | **43411** | **102** | **0.2%** | **1408** | **3.2%** |
| Assets under management | 46811 | 47080 | 45251 | (270) | -0.6% | 1559 | 3.4% |
| Assets under custody | 15355 | 14693 | 13934 | 662 | 4.5% | 1421 | 10.2% |
| **Indirect funding from customers** | **62166** | **61773** | **59185** | **393** | **0.6%** | **2981** | **5.0%** |
| **Total funding** | **106984** | **106490** | **102596** | **495** | **0.5%** | **4388** | **4.3%** |
| **Gross interest-bearing loans to customers** | **33380** | **32409** | **32025** | **971** | **3.0%** | **1355** | **4.2%** |

---

---

| | | |
|:---|:---|:---|
| ![](tm2518026d1_ex99-7img025.jpg) | ![](tm2518026d1_ex99-7img026.jpg) | ![](tm2518026d1_ex99-7img027.jpg) |

---

In terms of financial results, at 31 March 2025, Retail Banking reported total **Revenues** of **EUR 526 mln**, down 12.9% compared to the first quarter of 2024, mainly due to the impact of lower interest rates on net interest income. A breakdown of the aggregate shows:

· Net interest income amounted to EUR 251 mln, down EUR 103 mln compared to 31 March 2024, mainly due to
the lower contribution from deposits and the decline in the yield on commercial assets;

· Net fee and commission income amounted to EUR 263 mln, up EUR 26 mln (+10.7%) compared to the same period
of the previous year, due to higher income from product placement, services and lending;

· Other income from banking and insurance business amounted to EUR 13 mln, stable compared to the corresponding
period of the previous year.

Considering the impact of Operating Expenses, which were up by 0.8% compared to the previous year, Retail Banking generated a **Gross Operating Income** of about **EUR 236 mln** (about EUR 316 mln at 31 March 2024). **Cost of Credit** totalled EUR **-19 mln** (EUR -47 mln as at 31 March 2024).

**Net Operating Income** as at 31 March 2025 was **positive, amounting to EUR 217 mln**.

The non-operating components amounted to EUR -3 mln, compared to EUR -5 mln as at 31 March 2024.

The **Profit (loss) before tax from continuing operations** was **EUR 215 mln** (EUR +265 mln as at 31 March 2024).

The **cost-income ratio** of the Operating Segment is **55.2%** (47.6% as at 31 March 2024).

Interim Financial Report

**RETAIL BANKING - PROFIT AND LOSS AGGREGATES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>**(EUR mln)** | <br>**31/03/25** | <br>**31/03/24** | **Abs.** | **%** |
| Net interest income | 251.5 | 354.6 | -103.1 | -29.1% |
| Net fee and commission income | 263.3 | 237.7 | 25.5 | 10.7% |
| Other Revenues from Banking and Insurance Business | 12.6 | 12.9 | -0.3 | -2.4% |
| Other operating expenses/income | (0.9) | (0.8) | -0.1 | 12.0% |
| **Total Revenues** | **526.5** | **604.4** | **-78.0** | **-12.9%** |
| Operating expenses | (290.4) | (288.0) | -2.4 | 0.8% |
| **Pre Provision Operating Profit** | **236.1** | **316.5** | **-80.4** | **-25.4%** |
| **Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks** | **(18.7)** | **(47.2)** | **28.5** | **-60.4%** |
| **Net Operating Income** | **217.4** | **269.2** | **-51.9** | **-19.3%** |
| **Non-operating components** | **(2.6)** | **(4.5)** | **2.0** | **-43.8%** |
| **Profit (loss) before tax from continuing operations** | **214.8** | **264.7** | **-49.9** | **-18.8%** |

---

![](tm2518026d1_ex99-7img028.jpg)

Results for the subsidiary

**Banca Widiba SpA:** as of 31 March 2025, Banca Widiba's **Total Funding** amounted to **EUR 11.1 bn**, substantially confirming the level at the beginning of the year (+0.7%); the aggregate grew by EUR +0.9 bn compared to 31 March 2024 (+8.5%), with increases in all sectors. The dynamics of the first quarter are affected by the unfavourable impacts due to the trends in the financial markets (a negative market effect of approximately EUR -131 bn is estimated, concentrated in the month of March); total net funding were particularly positive, amounting to EUR +224 mln, driven by indirect funding (EUR +125 mln in assets under custody and EUR +82 mln in assets under management), which showed a better commercial performance than in the first quarter of the previous year.

As for the financial results, as at 31 March 2025, Banca Widiba reported **total Revenues** of EUR 25.3 mln, down by EUR -8.2 mln (-24.5%) compared to the same period of the previous year, due to the decline in **Net interest income** (EUR -9.7 mln, -33.9%, of which EUR -11.9 mln was due to lower rates on intra-group assets with MPS – Treasury and IRS transactions hedging mortgages); **Net fee and commission income,** equal to **6.7 mln**, show an increase of EUR +1.6 mln (+31.8%) compared to the first quarter of 2024, highlighting a sharp increase in all segments of gross fee and commission income (in particular on Managed Savings), only partially offset by higher passive commissions on the Network of financial advisors, in line with the trend in gross income.

**Gross Operating income** stood at EUR 10.2 mln (down EUR -8.6 mln, -45.7% mainly due to the aforementioned dynamics on Net interest income), absorbing the Operating Expenses figure (EUR 15.1 mln, only slightly higher than the first quarter of 2024, EUR +0.4 mln, +2.6%).

BANCA MONTE DEI PASCHI DI SIENA

In relation to a cost of credit of EUR 1.0 mln, up by EUR 0.6 mln compared to the previous year, **Net Operating Income** amounted to **EUR 9.2 mln**, down by EUR 9.2 mln compared to 2024 (-50.0%).

Non-operating items include net provisions of EUR 0.08 mln on some items of the risk and charges fund, EUR 0.5 mln for charges relating to the Eurovita operation and a write-back of EUR 0.1 mln relating to the life branch guarantee fund.

**Profit (loss) before tax from continuing operations** was equal to EUR 8.7 mln, down compared to the previous year (EUR -4.3 mln, -33.2%).

**Wealth Management**

---

| | |
|:---|:---|
| &nbsp;&nbsp;**Business areas** | &nbsp;&nbsp;**Customers** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;· Funding, lending, provision of insurance products, financial and non-financial services to private customers.<br>&nbsp;&nbsp;&nbsp;&nbsp;· Services and products for high-standing customers in the areas of wealth management, financial planning, consultancy on not strictly financial services (tax planning, real estate, art & legal advisory).<br>&nbsp;&nbsp;&nbsp;&nbsp;· Fiduciary and trust services (through the subsidiary MPS Fiduciaria). | &nbsp;&nbsp;There are around 37,700 private customers. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;· Funding, lending, provision of insurance products, financial and non-financial services to private customers.<br>&nbsp;&nbsp;&nbsp;&nbsp;· Services and products for high-standing customers in the areas of wealth management, financial planning, consultancy on not strictly financial services (tax planning, real estate, art & legal advisory).<br>&nbsp;&nbsp;&nbsp;&nbsp;· Fiduciary and trust services (through the subsidiary MPS Fiduciaria). | &nbsp;&nbsp;<br>![](tm2518026d1_ex99-7img029.jpg)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;· Funding, lending, provision of insurance products, financial and non-financial services to private customers.<br>&nbsp;&nbsp;&nbsp;&nbsp;· Services and products for high-standing customers in the areas of wealth management, financial planning, consultancy on not strictly financial services (tax planning, real estate, art & legal advisory).<br>&nbsp;&nbsp;&nbsp;&nbsp;· Fiduciary and trust services (through the subsidiary MPS Fiduciaria). | &nbsp;&nbsp;![](tm2518026d1_ex99-7img030.jpg)  |

---

**Income statement and balance sheet results**

As at 31 March 2025, Total funding from Wealth Management amounted to **EUR 19.6 bn**, up compared to 31 December 2024 (EUR +0.2 bn) and up by EUR 1.2 bn compared to 31 March 2024. More specifically:

&nbsp;&nbsp;&nbsp;&nbsp;· **Direct Funding** was equal to **EUR 3.1 bn**, substantially in line with December 2024 levels
and up EUR 0.4 bn compared to 31 March 2024;

&nbsp;&nbsp;&nbsp;&nbsp;· **Indirect Funding**, amounting to **EUR 16.5 bn** remained stable compared to 31 December 2024
and grew by EUR 0.8 bn compared to the first quarter of 2024, thanks to growth in both assets under management (EUR +0.5 bn) and assets
under custody (EUR +0.3 bn);

With regard to lending, **Gross Interest-Bearing Loans to Customers** remained essentially stable compared to both 31 December 2024 and 31 March 2024, standing at **EUR 0.5 bn**.

Interim Financial Report

**WEALTH MANAGEMENT - BALANCE SHEET AGGREGATES**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **(EUR mln)** | **31/03/25** | **31/12/24** | **31/03/24** | **Chg Abs<br> Q/ Q** | **Chg % Q/Q** | **Chg Abs<br> Y/Y** | **Chg % Y/Y** |
| **Direct funding** | **3.131** | **3.037** | **2.747** | **93** | **31%** | **384** | **140%** |
| Assets under management | 11.021 | 11.052 | 10.556 | (32) | -03% | 465 | 44% |
| Assets under custody | 5.498 | 5.373 | 5.168 | 125 | 23% | 330 | 64% |
| **Indirect Funding** | **16.518** | **16.425** | **15.723** | **93** | **06%** | **795** | **51%** |
| **Total Funding** | **19.649** | **19.463** | **18.470** | **186** | **10%** | **1.179** | **64%** |
| **Gross Interest-bearing loans to customers** | **520** | **489** | **479** | **31** | **63%** | **42** | **87%** |

---

---

| | | |
|:---|:---|:---|
| ![](tm2518026d1_ex99-7img031.jpg) | ![](tm2518026d1_ex99-7img032.jpg) | ![](tm2518026d1_ex99-7img033.jpg) |

---

With regard to profit and loss, Wealth Management achieved total **Revenues** of **EUR 48 mln** as at 31 March 2025, in line with the same period of last year. A breakdown of the aggregate shows:

&nbsp;&nbsp;&nbsp;&nbsp;· Net Interest Income amounted to EUR 11 mln, down EUR 4 mln compared to the corresponding period of the previous year, due to the lower
contribution from direct funding;

&nbsp;&nbsp;&nbsp;&nbsp;· Net fee and commissions income amounted to EUR 34 mln, an increase of EUR 4 mln (+13%) compared to 31 March 2024, due to the higher
contribution of placement fees;

&nbsp;&nbsp;&nbsp;&nbsp;· Other Income from Banking and Insurance Business amounted to EUR 3 mln, stable on an annual basis.

Considering the impact of Operating Expenses, which were down by 4.3% compared to the previous year, Wealth Management generated **Gross Operating Income** of **EUR 20 mln** (EUR 19 mln at 31 March 2024). Including Cost of credit equal to EUR 0.4 mln, **Net Operating Income** totalled **EUR 20 mln**.

The non-operating components amounted to EUR -0.1 mln (EUR +0.1 mln as at 31 March 2024).

The **Profit (loss) before Tax from Continuing Operations** was **EUR 20 mln** (EUR 19 mln as at 31 March 2024).

The **cost-income ratio** of the Operating Segment is **57.9%** (60.1% in the first quarter of 2024).

BANCA MONTE DEI PASCHI DI SIENA

**WEALTH MANAGEMENT - PROFIT AND LOSS AGGREGATES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>(EUR mln) | <br>**31/03/25** | <br>**31/03/24** | **Abs.** | **%** |
| Net interest income | 11.0 | 15.1 | -4.1 | -26.9% |
| Net fee and commission income | 33.8 | 29.9 | 3.9 | 13.0% |
| Other Revenues from Banking and Insurance Business | 2.8 | 3.0 | -0.2 | -6.0% |
| Other operating expenses/income | (0.1) | (0.1) | 0.0 | 36.4% |
| **Total Revenues** | **47.5** | **47.9** | **-0.4** | **-0.8%** |
| Operating expenses | (27.5) | (28.8) | 1.2 | -4.3% |
| **Pre Provision Operating Profit** | **20.0** | **19.1** | **0.9** | **4.6%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks | 0.4 | 0.3 | 0.1 | 19.1% |
| **Net Operating Income** | **20.4** | **19.4** | **0.9** | **4.8%** |
| **Non-operating components** | **(0.1)** | **0.1** | **-0.2** | **n.m.** |
| **Profit (loss) before tax from continuing operations** | **20.2** | **19.5** | **0.7** | **3.8%** |

---

---

| | |
|:---|:---|
| ![](tm2518026d1_ex99-7img034.jpg) | ![](tm2518026d1_ex99-7img035.jpg) |

---

**Results for the subsidiary**

**MPS Fiduciaria**: as at 31 March 2025, the subsidiary achieved a profit of EUR 0.17 mln (approximately EUR 0.13 mln as at 31 March 2024).

Interim Financial Report

**Corporate Banking**

Corporate Banking includes the financial results of corporate customers (SME, corporate and small business segments) and foreign branches.

---

| | |
|:---|:---|
| **Business areas** | **Customers** |
| · Lending and offering financial products and services to businesses, including through strategic partnerships with trade associations and Confidi (credit guarantee consortia), with Guarantee Institutions (including public) and Institutional Entities, through which funding is acquired at favourable terms.<br> · Offering factoring for companies, artisans, professionals.<br> · Custody and deposit services for dairy products on behalf of third parties (through the subsidiary Magazzini Generali Fiduciari di Mantova S.p.A., which is also authorised to issue documents of title to the merchandise, providing for easier access to bank lending). | About 117,400 Corporate customers of the Parent Company, directly followed by Corporate Banking. |
| · Lending and offering financial products and services to businesses, including through strategic partnerships with trade associations and Confidi (credit guarantee consortia), with Guarantee Institutions (including public) and Institutional Entities, through which funding is acquired at favourable terms.<br> · Offering factoring for companies, artisans, professionals.<br> · Custody and deposit services for dairy products on behalf of third parties (through the subsidiary Magazzini Generali Fiduciari di Mantova S.p.A., which is also authorised to issue documents of title to the merchandise, providing for easier access to bank lending). | ![](tm2518026d1_ex99-7img036.jpg) |
| · Lending and offering financial products and services to businesses, including through strategic partnerships with trade associations and Confidi (credit guarantee consortia), with Guarantee Institutions (including public) and Institutional Entities, through which funding is acquired at favourable terms.<br> · Offering factoring for companies, artisans, professionals.<br> · Custody and deposit services for dairy products on behalf of third parties (through the subsidiary Magazzini Generali Fiduciari di Mantova S.p.A., which is also authorised to issue documents of title to the merchandise, providing for easier access to bank lending). | ![](tm2518026d1_ex99-7img037.jpg) |

---

Income statement and balance sheet results

**Total Funding** from *Corporate Banking* as at 31 March 2025 amounted to **EUR 26.4 bn**, in line with 31 December 2024, due to the increase in indirect funding (EUR +0.2 bn) offset by the decrease in direct funding (EUR -0.3 bn). Total Funding decreased by EUR 0.8 bn compared to the end of March 2024, due to the decline in direct funding (EUR -1.0 bn), only partially offset by the growth in indirect funding (EUR +0.2 bn).

With regard to lending, as at 31 March 2025, **Gross interest-bearing loans to Corporate Banking customers** stood at approximately **EUR 30.4 bn**, up compared to 31 December 2024 (EUR +0.7 bn) but down compared to 31 March 2024 (EUR -0.7 bn).

BANCA MONTE DEI PASCHI DI SIENA

**CORPORATE BANKING - BALANCE SHEET AGGREGATES**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| (EUR mln) | **31/03/25** | **31/12/24** | **31/03/24** | **Chg Abs<br> Q/Q** | **Chg %<br> Q/Q** | **Chg Abs<br> Y/Y** | **Chg %<br> Y/Y** |
| **Direct funding** | **20106** | **20364** | **21113** | **(258)** | **-1.3%** | **(1007)** | **-4.8%** |
| Assets under management | 1155 | 1156 | 1687 | (1) | -0.1% | (532) | -31.5% |
| Assets under custody | 5109 | 4896 | 4382 | 213 | 4.4% | 727 | 16.6% |
| **Indirect Funding** | **6264** | **6052** | **6069** | **212** | **3.5%** | **196** | **3.2%** |
| **Total Funding** | **26370** | **26416** | **27181** | **(46)** | **-0.2%** | **(811)** | **-3.0%** |
| **Gross Interest-bearing loans to customers** | **30443** | **29774** | **31192** | **670** | **2.2%** | **(749)** | **-2.4%** |

---

---

| | | |
|:---|:---|:---|
| ![](tm2518026d1_ex99-7img038.jpg) | ![](tm2518026d1_ex99-7img039.jpg) | ![](tm2518026d1_ex99-7img040.jpg) |

---

For profit and loss aggregates, as at 31 March 2025, Corporate Banking **Revenues** came to EUR 297 mln (-9.0% compared to the previous year). A breakdown of the aggregate shows:

&nbsp;&nbsp;&nbsp;&nbsp;· Net Interest Income was equal to EUR 190 mln, down EUR 34 mln year on year due to lower returns on commercial
assets and the lower contribution from direct funding;

&nbsp;&nbsp;&nbsp;&nbsp;· Net Fee and Commission Income equal to EUR 103 mln at 31 December 2024, up EUR 3 mln compared to the same
period of the previous year;

&nbsp;&nbsp;&nbsp;&nbsp;· Other Income from Banking and Insurance Business were equal to EUR 7 mln, up by EUR 1 mln compared to
the levels recorded in the first quarter of 2024.

Considering the impact of Operating Expenses, up by 1.8% compared to the same period of the previous year, **Gross Operating Income** amounted to **EUR 199 mln** (about EUR 231 mln at 31 March 2024).

**Net Operating Income** stood at **EUR 145 mln** (EUR 200 mln as at 31 March 2024) against a Cost of Credit of EUR -55 mln (compared to EUR -31 mln as at 31 March 2024).

The non-operating components amounted to EUR -6 mln, compared to EUR +3 mln as at 31 March 2024.

The **Profit (loss) before Tax from Continuing Operations** was **EUR 139 mln** (EUR 202 mln as at 31 March 2024).

The Corporate Banking **cost-income ratio** stood at **32.9%** (29.4% as at 31 March 2024).

Interim Financial Report

**CORPORATE BANKING - PROFIT AND LOSS AGGREGATES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>(EUR mln) |<br>**31/03/25** |<br>**31/03/24** | **Abs.** | **%** |
| Net interest income | 189.7 | 223.5 | -33.8 | -15.1% |
| Net fee and commission income | 102.7 | 99.7 | 2.9 | 3.0% |
| Other Revenues from Banking and Insurance Business | 6.5 | 5.4 | 1.1 | 20.7% |
| Other operating expenses/income | (1.6) | (1.8) | 0.2 | -10.9% |
| **Total Revenues** | **297.3** | **326.8** | **-29.5** | **-9.0%** |
| Operating expenses | (97.8) | (96.1) | -1.7 | 1.8% |
| **Pre Provision Operating Profit** | **199.5** | **230.7** | **-31.2** | **-13.5%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks | (54.7) | (31.1) | -23.5 | 75.6% |
| **Net Operating Income** | **144.8** | **199.5** | **-54.8** | **-27.4%** |
| **Non-operating components** | **(5.8)** | **2.9** | **-8.7** | **n.m.** |
| **Profit (loss) before tax from continuing operations** | **139.0** | **202.4** | **-63.5** | **-31.4%** |

---

![](tm2518026d1_ex99-7img041.jpg)

BANCA MONTE DEI PASCHI DI SIENA

**Large Corporate & Investment Banking**

Large Corporate and Investment Banking includes the economic and financial results of Large Corporate customers, the Corporate Finance and Investment Banking business units, and Global Markets.

---

| | |
|:---|:---|
| **Business areas** | &nbsp;&nbsp;**Customers** |
| · Credit brokerage aimed at specialised follow-up; provision of tailor-made products and services from a coverage team perspective; cross fertilisation of competencies between group resources and corporate financial products and services, including through strategic collaboration with institutional actors.<br> · Corporate finance: mid- and long-term lending, corporate finance and structured finance. | &nbsp;&nbsp;Approximately 1,050 Large Group customers of the Parent Company are directly supported by Large Corporate & Investment Banking. |

---

Income statement and balance sheet results

**Total funding** from Large Corporate & Investment Banking at 31 March 2025 amounted to **EUR 12.0 bn**, down EUR 0.7 bn compared to 31 December 2024, of which EUR -0.8 bn in direct funding, while indirect funding remained stable. The aggregate was up compared to March 2024 (EUR +0.3 bn), as a result of the increase in Direct Funding (EUR +0.5 bn) while indirect funding declined (EUR -0.2 bn).

With regard to lending, as at 31 March 2025, **Gross Interest-Bearing Loans** to Large Corporate & Investment Banking Customers stood at **EUR 4.4 bn**, unchanged compared to 31 December 2024 and up by EUR 0.4 bn compared to 31 March 2024.

**Large Corporate and Investment Banking**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| (EUR mln) | **31/03/25** | **31/12/24** | **31/03/24** | **Chg Abs<br> Q/ Q** | **Chg %<br> Q/Q** | **Chg Abs<br> Y/Y** | **Chg %<br> Y/Y** |
| **Direct funding** | **3721** | **4477** | **3197** | **(757)** | **-16.9%** | **524** | **16.4%** |
| Assets under management | 38 | 38 | 37 | 0 | 0.3% | 1 | 1.5% |
| Assets under custody | 8247 | 8173 | 8489 | 74 | 0.9% | (242) | -2.9% |
| **Indirect Funding** | **8284** | **8210** | **8526** | **74** | **0.9%** | **(242)** | **-2.8%** |
| **Total Funding** | **12005** | **12688** | **11723** | **(683)** | **-5.4%** | **282** | **2.4%** |
| **Gross Interest-bearing loans to customers** | **4372** | **4465** | **3955** | **(93)** | **-2.1%** | **417** | **10.5%** |

---

In terms of income, Large Corporate & Investment Banking realised **Revenue** in the amount of **EUR 84 mln** as at 31 March 2025 (-10.2% compared to 31 March 2024). A breakdown of the aggregate shows:

&nbsp;&nbsp;&nbsp;&nbsp;· Net Interest Income amounted to EUR 31 mln, down by EUR 12 mln YoY, penalised by the drop in interest
rates;

&nbsp;&nbsp;&nbsp;&nbsp;· Net Fee and Commission income were down EUR 1 mln compared to the first quarter of 2024 standing at EUR
22 mln;

Interim Financial Report

&nbsp;&nbsp;&nbsp;&nbsp;· Other revenues from banking and insurance business amounted to EUR 32 mln, up EUR 4 mln compared to the
same period of the previous year (EUR 28 mln), thanks to the positive performance of the Global Markets BU's financial activities.

Considering the impact of Operating Expenses, up by 27.2% compared to 31 March 2024, **Gross Operating Income** Amounted to **EUR 61 mln** (EUR 76 mln as at 31 March 2024).

**Net Operating Income** stood at **EUR 65 mln** (EUR 61 mln as at 31 March 2024) against a Cost of Credit of EUR 4 mln (EUR-14 mln as at 31 March 2024).

Non-operating components amounted to EUR -0.1 mln, compared to EUR 0.1 mln in the same period of 2024.

The **Profit (loss) before Tax from Continuing Operations** was **EUR 65 mln** (EUR +61 mln as at 31 March 2024).

The Large Corporate Banking & Investment **cost-income ratio** stood at **27.4%** (19.3% as at 31 March 2024).

**Large Corporate & Investment Banking - PROFIT AND LOSS AGGREGATES**

---

| | | | | |
|:---|:---|:---|:---|:---|
| | | | **Chg. Y/Y** | **Chg. Y/Y** |
| <br>(EUR mln) |<br>**31/03/25** |<br>**31/03/24** | **Abs.** | **%** |
| Net interest income | 31.1 | 43.1 | (12.0) | -27.8% |
| Net fee and commission income | 21.6 | 22.7 | (1.1) | -4.9% |
| Other Revenues from Banking and Insurance Business | 31.6 | 28.0 | 3.5 | 12.7% |
| Other operating expenses/income | (0.0) | (0.0) | 0.0 | -10.8% |
| **Total Revenues** | **84.3** | **93.8** | **(9.6)** | **-10.2%** |
| Operating expenses | (23.1) | (18.1) | (4.9) | 27.2% |
| **Pre Provision Operating Profit** | **61.2** | **75.7** | **(14.5)** | **-19.1%** |
| Cost of customer loans/Net impairment (losses)-reversals on securities and loans to banks | 4.2 | (14.4) | 18.5 | n.m. |
| **Net Operating Income** | **65.4** | **61.3** | **4.1** | **6.6%** |
| **Non-operating components** | **(0.1)** | **0.1** | **(0.2)** | **n.m.** |
| **Profit (loss) before tax from continuing operations** | **65.2** | **61.4** | **3.9** | **6.3%** |

---

**Corporate Centre**

The Corporate Centre includes:

&nbsp;&nbsp;&nbsp;&nbsp;· the income statement and balance sheet results of non-performing customers managed centrally by the Non-Performing
Loans Unit *;* 

&nbsp;&nbsp;&nbsp;&nbsp;· operating units, such as proprietary finance, treasury and capital management;

&nbsp;&nbsp;&nbsp;&nbsp;· business service and support units, particularly with regard to the development and management of information
systems;

&nbsp;&nbsp;&nbsp;&nbsp;· the offsetting of intragroup entries and the results of the companies consolidated under the equity method
and those held for sale, in particular MP Banque.

With regard to non-performing customers centrally managed by the Non-Performing Loans Unit, gross 'live' loans to customers amounted to EUR 1.5 bn as at 31 March 2025; the contribution to the Corporate Centre's financial results was EUR -2 mln in Revenues, EUR -13 mln in Operating Expenses and EUR -24 mln in Credit Costs.

As regards financial activities, securities sales in the first three months of 2025 amounted to EUR 534 mln on financial assets measured at fair value and EUR 400 mln on assets classified at amortised cost. On the other hand, securities classified at fair value amounting to approximately EUR 63 mln expired. As an offsetting measure, securities were repurchased for a nominal value of approximately EUR 328 mln, of which EUR 295 mln classified at amortised cost.

BANCA MONTE DEI PASCHI DI SIENA

Prospects and outlook on operations

In the coming quarters, in a context of high uncertainty linked to US tariff measures and modest economic growth, the reduction in interest rates, expected to continue in the short term, could increase the attractiveness of bank loans. Lending to households may continue to expand as demand for mortgages is supported by lower rates; Consumer credit is expected to grow at a slower pace due to the still high cost of borrowing. For businesses, credit demand may be affected by the repayment of pandemic loans, although the reduction in rates and the recovery of capital investments may mitigate the contraction. In the medium term, loans to businesses could also start growing again, driven by investments in machinery and equipment linked to the NRRP.

Greater uncertainty at a global level, also in terms of geopolitical risk, could determine a push for credit risk indicators, in particular for intermediaries most exposed to exporting companies, but at levels that will still remain historically modest and manageable for the sector.

Bank deposits are expected to grow moderately with the increase in bonds and foreign deposits, as well as time deposits supported by the increase in medium and long-term yields, while current account deposits may be affected by the reduction in the opportunity cost of the most liquid positions given the lower rates. In the coming years, investments in government bonds should remain positive, but families will tend to diversify towards managed savings products. Liquid assets will decrease in share, while debt securities, mutual funds and technical reserves will increase in the portfolio.

With the expected policy rate cuts and the narrowing of the banking spread, a decline in brokerage revenues is expected. In the current year, the contraction in the interest margin could be mitigated by a moderately revised upward revision in credit growth and by the higher contribution of coupon interests on the securities portfolio thanks to higher government yields; subsequently the margin may stabilise. The recovery of net fees and commissions in the short term will be affected by the greater volatility in the financial markets which will direct the investment choices of families towards products perceived as safer and government bonds; subsequently, a recomposition of portfolios towards Assets under management is expected, with positive effects on fees and commissions. In the short term, banking sector costs, net of non-recurring components, are expected to increase following the continuation of investments in ESG and human capital, and those in IT and artificial intelligence in order to improve process efficiency, respond to customer needs, and contribute to risk management. Despite the more difficult context, the ROE of the sector is still expected to be high, although decreasing from the very positive levels of recent years.

Against this backdrop, in 2025, the Group's revenue mix will benefit from the positive dynamics of commission income, which is expected to grow especially in the areas of asset management and protection, supported by the implementation of targeted commercial initiatives envisaged in the 2024-2028 Business Plan; the net interest income, in line with the dynamics of the system, will be affected by the market scenario and, in particular, by the fall in rates.

Operating expenses are expected to increase in 2025 mainly due to the renewal of the national collective bargaining agreement ('CCNL') for the credit and financial sector and to investments in technology to put in place to enable the Group's digital transformation.

Despite the continuing uncertainty in the economic cycle, no tensions are expected in the cost of credit.

The capital position is expected to remain at high levels.

It should be noted that the outlook for the MPS Group's operations presented above does not consider the impacts expected from the announced voluntary public exchange offer on Mediobanca's ordinary shares. For more information on the characteristics and objectives of the operations, please refer to the section "Significant events in the first three months of 2025" included in this Interim Report on Operations.

BANCA MONTE DEI PASCHI DI SIENA

Related-party transactions

In accordance with the provisions of Consob Resolution No. 17221 of 12 March 2010, as amended (hereinafter also referred to as the 'Consob Regulation' or 'Consob Regulation No. 17221/2010'), Article 53 of the Consolidated Law on Banking and its implementing provisions (Bank of Italy Circular No. 285/2013, Part Three, Chapter 11 'Risk activities and conflicts of interest with related parties'), the 'Committee for Related Party Transactions' was established, composed of between three and five independent directors, which performs the functions provided for in the Articles of Association and in the applicable laws and regulations governing transactions with related parties and related entities.

The "*Group Directive concerning Management of regulatory obligations on related parties, associated parties and obligations of bank representatives*" (hereinafter the "Group Directive"), accompanied by the "*Group Regulation concerning Management of regulatory obligations on related parties, associated parties and obligations of bank representatives*" (hereinafter the "Group Regulations"), approved by the Parent Company's Board of Directors, with the prior favourable opinions of the Committee for Related Party Transactions and the Board of Statutory Auditors, contains provisions and internal procedures on related parties, aligned with the provisions of the Consob Regulation in force. The Group Directive was most recently updated on 3 July 2024 to adapt to the current organisational structure of Banca MPS.

The Group Directive defines the organisational model adopted by the MPS Group (principles and responsibilities) for the management process of the provisions applicable to related parties, associated parties and obligations of the bank representatives, and in particular, governs, at the MPS Group level, the principles and rules for the control of risks arising from situations of possible conflicts of interest with some subjects close to the decision making centres of the Parent Company.

Within the Group Directive, the following is also defined:

- the formulation of the responsibilities assigned within the MPS Group (tasks and responsibilities of the top management bodies and corporate functions of the Parent Company and Subsidiaries);

- the scope of the related parties, associated parties ("Group Scope") and other subjects in a potential conflict of interest;

- the criteria for the identification of transactions, level of relevance of the transactions;

- the decision-making procedures and exemption cases;

- the internal policies in the area of control.

For the purpose of the Group Directive, significance is attributed to the transactions carried out with the subjects operating within the Group Scope which involve the performance of risk activities, the transfer of resources, services and obligations, regardless of the requirement of a consideration. With regard to the type of transactions, these are classified in detail in the aforementioned Group Regulations, as:

&nbsp;&nbsp;&nbsp;&nbsp;· **"most significant transactions":** transactions where at least one of the following relevance
indicators, applicable according to the specific transaction, exceeds the 5% threshold (greater relevance threshold):

*countervalue relevance index*: the ratio of the countervalue of the transaction to the total of the own funds resulting from the most recent published consolidated balance sheet;

*relevance index of the assets:* the ratio of the total assets of the entity to which the transaction refers, to the total assets of BMPS;

*relevance index of the liabilities:* the ratio of the total liabilities of the acquired entity to the total assets of BMPS;

&nbsp;&nbsp;&nbsp;&nbsp;· **"transaction of lesser relevance":** transactions above the small amount and up to the
large amount threshold; in the context of transactions of lesser significance, transactions in which the amount exceeds EUR 100.0 mln
and up to the threshold of **significant amount** (significance index of the equivalent value) are considered to be of lesser significance
as a "significant amount", or, in the case of acquisitions, mergers and demergers for an amount equal to or less than EUR
100.0 mln, the significance index of the assets and/or liabilities is equal to or greater than the ratio of EUR 100.0 mln and own funds
at a consolidated level;

&nbsp;&nbsp;&nbsp;&nbsp;· **"transactions of a negligible amount":** transactions of EUR 250.0 thousand or less where
the counterparty is a legal person; transactions of EUR 100,000 or less, where the counterparty is a natural person.

The provisions and procedures applicable to transactions with related parties, in the versions in force at the time, are published on the website www.gruppomps.it in the section "*Corporate Governance - Transactions with related parties*".

From 2016, the Parent Company's Board of Directors formally resolved to approve inclusion of the Ministry of Economy and Finance (MEF) and of the relevant directly and indirectly subsidiaries within the scope of related parties on a

BANCA MONTE DEI PASCHI DI SIENA

discretionary basis pursuant to the provisions of the Group Directive, excluding the prudential regulation. Following completion of the Parent Company's precautionary recapitalisation procedure, after which the MEF became the controlling shareholder from August 2017, the Parent Company received notification on 18 December 2017 from the Supervisory Authorities with regard to the methods for the resulting application of limits to risk assets laid out in prudential regulations, pursuant to art. 53 of the Consolidated Law on Banking (TUB) and its implementing provisions (Bank of Italy Circ. no. 263/06 Title V, Section 5), through application to the Parent Company of the "silo" approach for calculation of the reference limits.

As of 27 December 2024, the MEF acquired the status of shareholder with significant influence as a result of changes in the shareholding structure and composition of the Board of Directors of the Parent Company that took place in November and December 2024, respectively. The disclosure on related parties as of 31 March 2025 takes into account the scope relating to the new qualification of the MEF, therefore it includes the companies directly and indirectly controlled by the same, the companies subject to joint control, and does not take into account the companies directly and indirectly associated with the MEF. It should be noted that the latter were included in the scope as of 31 December 2024 by virtue of the existence of the control relationship for almost the entire 2024 financial year.

With reference to the MEF scope, the Parent Company has availed itself of the exemption provided by paragraph 25 of IAS 24 on the disclosure of transactions and balances of existing transactions with government-related entities. The main transactions carried out with the MEF and with its subsidiaries, in addition to financing transactions, include Italian government securities recorded in the portfolios "Financial assets measured at fair value through other comprehensive income" for a nominal amount of EUR 1,122.0 mln, "Financial assets measured at fair value through profit or loss" for a nominal amount of EUR 3,224.9 mln and "Financial assets measured at amortised cost" for a nominal amount of EUR 7,942.2 mln.

Information is provided below regarding the most significant transactions, in terms of amount, carried out by the Parent Company with related parties in the first quarter of 2025.

MEF related-party transactions

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) <u>Transactions with SACE S.p.A.</u> 

On 11 February 2025, the Credit Committee authorised, on behalf of customers of the Parent Company that are not related parties, the participation of the Parent Company, up to a maximum of USD 140.0 mln, as a share of participation in a *pool* transaction of a total of USD 1.7 bn, usable as *Buyer's Credit* and aimed at the partial financing of two cruise ships commissioned to FINCANTIERI SpA*,* with CDP SpA as co-financier, assisted, *inter alia*, by a SACE SpA insurance policy covering 100% of the financing and with the intervention of SIMEST SpA for the purposes of any stabilisation of the interest rate. The transaction falls within the application of Consob Regulation no. 17221/2010 due to the role of: (i) CDP S.p.A., a subsidiary of the MEF, as co-lender; (ii) SACE S.p.A., a wholly-owned subsidiary of the MEF, as guarantor in the insurance policy issuance; (iii) SIMEST S.p.A., a direct subsidiary of CDP S.p.A., which is in turn controlled by the MEF, as a participant for the purposes of any interest rate stabilisation, and (iv) FINCANTIERI S.p.A., a subsidiary of CDP Equity S.p.A., which is controlled by CDP S.p.A., in turn controlled by the MEF.

Also on 11 February 2025, the Credit Committee resolved to grant*, inter alia,* a loan to customers of the Parent Company that are not related parties, up to a maximum of EUR 50.0 mln, as the Parent Company's share of a *pool* loan for a total of EUR 355.0 mln, in which CDP SpA also participates and supported by a SACE guarantee with coverage of up to 70%, equal to EUR 20.3 mln for the Parent Company's share. The transactions fall within the scope of application of Consob Regulation No. 17221/2010, both because the MEF is the majority shareholder of CDP S.p.A. (a participant in the syndicated financing), and because SACE S.p.A. (the guarantor) is a wholly-owned subsidiary of the MEF.

On 27 March 2025, the Board of Directors, with the favourable opinion of the Related Party Transactions Committee, resolved to approve a major transaction relating to the approval of a framework resolution amounting to EUR 1.0 bn for the Parent Company's operations with SACE S.p.A. ('DQSACEFUTURO2025'), aimed at obtaining financial guarantees issued by SACE under the SACE Futuro 2025 Agreement (referred to by SACE as the 'Growth Standard Guarantee Agreement'). This agreement has unified the operations envisaged by the "SACE Green New Deal 2024" and "Garanzia Futuro 2024" agreements, which ended their accumulation period on 31 March 2025. The SACE Futuro 2025 Guarantee covers 70% of the financed amount as the maximum cumulative amount of the Futuro 2025 Guarantees issued by SACE, against the total amount of financing in the period of validity. The financing guaranteed by the SACE Futuro 2025 Convention is aimed at supporting the development of companies on global markets and of "made in Italy" in technological innovation and digitalisation processes, supporting investments in infrastructure, strategic supply chains and economically disadvantaged areas, in investment projects for the development of female entrepreneurship, with a

Interim Financial Report

particular focus on initiatives linked to the NRRP. The DQSACEFUTURO2025 is valid for a period of 12 months from the date of subscription by the parties of the special terms and conditions applicable to the loans. It applies only to Banca MPS, not at Group level. The transaction falls within the scope of Consob Regulation no. 17221/2010 as SACE SpA is a company wholly owned by the MEF and on 3 April 2025 the Information Document was published, drawn up pursuant to art. 5 of Consob Regulation no. 17221/2010, to which reference is made for further details.

In February and March 2025, SACE S.p.A. granted SACE Futuro guarantees at 70% in favour of customers of the Parent Company not related parties, securing medium/long-term credit lines for the respective maximum amounts guaranteed by SACE S.p. A., respectively of EUR 35.0 mln (with a guarantee of EUR 24.5 mln), EUR 30.0 mln (with a guarantee of EUR 21.0 mln) and EUR 30.0 mln (with a guarantee of EUR 21.0 mln). The transactions fall within the scope of application of Consob Regulation no. 17221/2010, since SACE S.p.A. is a wholly-owned subsidiary of the MEF.

During the first quarter of 2025, two insurance policies were finalised with SACE S.p.A. with coverage equal to 60% and 50% of the risk of non-payment, relating to documentary credit confirmation transactions in euros and US dollars, respectively, concluded by the Parent Company's customers with foreign banks, for a value of approximately EUR 10.2 mln and USD 11.3 mln, respectively. The transactions finalised with SACE S.p.A. fall within the scope of application of Consob Regulation no. 17221/2010, since SACE S.p.A. is a wholly-owned subsidiary of the MEF.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) <u>Transactions with other MEF related parties</u>

On 6 January 2025, the framework agreement was signed for the management of the medical expense reimbursement program for the year 2025 for the benefit of the Parent Company's staff in service and the staff registered with the Parent Company's Solidarity Fund, through an insurance policy with POSTE ASSICURA SpA, through CASPIE (Healthcare Fund registered in the Health Funds Registry), for a maximum total value of EUR 31.6 mln. The transaction falls within the scope of Consob Regulation no. 17221/2010 as POSTE ASSICURA SpA is controlled by Poste Italiane SpA, which in turn is controlled by the MEF.

On 5 February 2025, the Board of Directors resolved in favour of SAIPEM S.p.A., as part of the ordinary review of credit lines: i) the increase from EUR 135.0 mln to EUR 175.0 mln of the existing mixed revolving credit line, usable up to the entire amount for the issue of Italian/foreign unsecured loans and for the release of documentary credit commitments; (ii) confirmation of the syndicated unsecured credit line with other credit institutions of EUR 650.0 thousand; (iii) the confirmation of the risk limit line without recourse of EUR 2.5 mln; (iv) the participation of the Parent Company, with a maximum share of EUR 75.0 mln, in the syndicated revolving credit facility 2025 of a total of EUR 600.0 mln. Subsequently, on 4 March 2025, the Credit Committee authorised: (i) the increase from EUR 175.0 to 204.0 mln of the aforementioned revocable mixed credit line in place; (ii) the reduction from EUR 75.0 to 46.0 mln of the Parent Company's share in the aforementioned revolving credit facility 2025 for a total of EUR 600.0 mln. The transactions fall within the scope of Consob Regulation no. 17221/2010 as SAIPEM SpA is indirectly controlled by the MEF, through the companies ENI SpA and CDP Equity SpA, which in turn are controlled by the MEF.

On 11 February 2025, the Credit Committee authorised the Parent Company , in favour of ENEL SpA to join a syndicated multi-borrower sustainability linked revolving credit facility, for a total amount between EUR 10.0 and 13.5 mln, with a duration of 5 years. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, as ENEL S.p.A. is a subsidiary of the MEF.

On 25 February 2025, the Credit Committee authorised the ordinary review of the credit facilities in favour of FERROVIE DELLO STATO SpA for a total of EUR 170.0 mln, with confirmation of the following credit lines: (i) a revocable mixed credit line of EUR 20.0 mln; (ii) a risk limit credit line without recourse of EUR 125.0 mln, applicable to third-party assignors, backed by insurance coverage equal to 95%, and (iii) a notional limit credit line with recourse of EUR 25.0 mln, payable to assignors subject to positive assessment and resolution. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since FERROVIE DELLO STATO S.p.A. is a wholly-owned subsidiary of the MEF.

Also on 25 February 2025, the Credit Committee authorised the ordinary review of credit lines in favour of ANAS S.p.A. for a total amount of EUR 205.0 mln; the transaction involves the confirmation of the following existing credit lines: (i) EUR 120.0 mln usable through the opening of a current account credit; (ii) EUR 20.0 mln of unsecured credit facilities, used for the issuing of a foreign guarantee; (iii) EUR 40.0 mln of a without recourse risk limit credit line, usable against third-party assignors and suppliers, and (iv) EUR 25.0 mln of notional risk limit credit line with recourse. These transactions fall within the scope of application of Consob Regulation no. 17221/2010, since ANAS S.p.A. is a wholly-owned subsidiary of Ferrovie dello Stato S.p.A., in turn controlled by the MEF.

Also on 25 February 2025 the Credit Committee authorised the granting of a loan of up to EUR 30.0 mln to customers of the Parent Company who are not related parties, as the Parent Company's share of a syndicated loan totalling EUR 135.0

BANCA MONTE DEI PASCHI DI SIENA

mln, in which CDP S.p.A. and Mediocredito Centrale S.p.A. also participate. The granting of the syndicated loan is subject to the granting of a 50% SACE guarantee. The transaction falls within the scope of application of Consob Regulation No. 17221/2010, both because the MEF is the majority shareholder of CDP S.p.A. and the indirect parent company of Mediocredito Centrale S.p.A. (a participant in the syndicated loan), and because SACE S.p.A. (the guarantor) is a wholly-owned subsidiary of the MEF.

On 4 March 2025 , the Credit Committee authorised the granting of two mortgage loans for a total of up to EUR 30.0 mln to two companies belonging to the Parent Company's client group that are not related parties, as share of the Parent Company in two syndicated loans for a total of EUR 143.4 mln, in which AMCO ASSET MANAGEMENT COMPANY SpA also participates. The transaction falls within the scope of application of Consob Regulation no. 17221/2010 as AMCO ASSET MANAGEMENT COMPANY S.p.A. is a subsidiary of the MEF.

On 11 March 2025, the Credit Committee authorised the participation of the Parent Company, with a maximum share of EUR 125.0 mln, in a debt package of a total of EUR 675.0 mln, in favour of BIDCO SPARKLE SpA (a company to be established), structured along the following lines: (i) a term loan facility for a total of EUR 450.0 mln, with the Parent Company's share amounting to EUR 83.3 mln; (ii) a capex facility totalling EUR 200.0 mln, of which the Parent Company's share amounts to EUR 37.0 mln; (iii) a revolving credit facility for a total of EUR 25.0 mln, with the Parent Company's share amounting to EUR 4.6 mln. The transaction falls within the scope of application of Consob Regulation no. 17221/2010 as BIDCO SPARKLE SpA (a company to be incorporated) will be controlled with a share equal to 70% by the MEF.

On 18 March 2025, the Credit Committee authorised in favour of POSTE ITALIANE SpA, within the ordinary review of the credit facilities totalling EUR 120.0 mln: (i) confirmation of the mixed credit line for a total of EUR 20.0 mln that can be used for forward drawings and the issuing of guarantees in Italy; (ii) a new risk limit credit line without recourse of EUR 30.0 mln applicable to transferors subject to positive evaluation and resolution, backed by an insurance policy with coverage equal to 95% of the risk limit ceiling; (iii) a ceiling of EUR 70.0 mln for financial operations, as an internal operating limit. The transaction falls within the scope of application of Consob Regulation no. 17221/2010, since the MEF has a controlling interest in POSTE ITALIANE S.p.A.

On 27 March 2025, the Board of Directors authorised in favour of AUTOSTRADE PER L'ITALIA SpA, within the scope of the ordinary review of the credit lines, the confirmation, inter alia, of the following credit facilities: (i) a mixed credit line of EUR 20.0 mln that can be used as a current account credit facility; (ii) a notional limit credit line with recourse of EUR 20.0 mln, applicable to transferors subject to positive evaluation and resolution; (iii) a risk limit credit line without recourse of EUR 20.0 mln, applicable to transferors subject to positive evaluation and resolution, backed by full insurance coverage. The transaction falls within the scope of application of Consob Regulation no. 17221/2010 as AUTOSTRADE PER L'ITALIA SpA is indirectly controlled by CDP Equity SpA, which in turn is controlled by CDP SpA, the latter in turn controlled by the MEF.

The following tables summarise the balance sheet and income statement balances at the reference date of this Interim Financial Report in place with associated companies, managers with strategic responsibilities and other related parties.

Compared to the information included in the Financial Report as of 31 December 2024, the following is highlighted:

The "MEF Perimeter" refers to the qualification of shareholder with significant influence on the Bank assumed by the MEF on 27 December 2024 and therefore does not include the relationships and economic effects of transactions with direct and indirect associated companies of the MEF considered in the perimeter as of 31 December 2024 given of the existence of the control relationship for almost the entire 2024 financial year;

"Other related parties" include key managers, including the Directors co-opted by the Board of Directors on 27 December 2024 and confirmed by the Shareholders' Meeting on 17 April 2025, and their related parties; following the confirmation of the appointments, the balance sheets and income statement balances as of 31 March 2025 of the related parties of the new Directors are summarised below, including those already existing prior to the establishment of the relationship.

Interim Financial Report

Related-party transactions: balance sheet items

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** |
|  | **joint<br> venture** | **Associated<br> companies** | **key<br> management<br> personnel** | **Other<br> related<br> parties** | **MEF<br> Perimeter** | **Total** | **"% on FS<br> item** |
| Financial assets held for trading |  | 3.8 |  |  | 4567.5 | **4571.3** | 56.70% |
| Other financial assets mandatorily measured at fair value |  |  |  |  | 16 | **16.0** | 3.13% |
| Financial assets measured at fair value through other comprehensive income |  |  |  |  | 1110.3 | **1110.3** | 52.97% |
| Loans to banks measured at amortised cost |  |  |  |  | 8.3 | **8.3** | 0.25% |
| Loans to customers measured at amortised cost | 45.6 | 62.9 | 2.4 | 111.3 | 9557.8 | **9780.0** | 11.09% |
| Other assets |  |  |  |  | 1652.6 | **1652.6** | 44.79% |
| Total assets | **45.6** | **66.7** | **2.4** | **111.3** | **16912.5** | **17138.5** | **-** |
| Financial liabilities measured at amortised cost | 6 | 77.9 | 3.1 | 34.4 | 2690.3 | **2811.7** | 2.72% |
| Financial liabilities held for trading |  | 3.9 |  |  | 103.3 | **107.2** | 3.92% |
| Other liabilities | 0.1 | 1 | 0.1 |  | 4.1 | **5.3** | 0.13% |
| Total liabilities | **6.1** | **82.8** | **3.2** | **34.4** | **2797.7** | **2924.2** | **-** |
| Guaranties issued and Commitments | 41.1 | 26.1 | 0.2 | 15.3 | 1824.8 | **1907.5** | n.a. |

---

Related-party transactions: income statement items

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** | **Value as at 31 03 2025** |
|  | **joint <br> venture** | **Associated<br> companies** | **key<br> management<br> personnel** | **Other <br> related <br> parties** | **MEF<br> Perimeter** | **Total** | **% on FS<br> item** |
| Interest income and similar revenues | 0.4 | 0.6 |  | 1 | 113.8 | **115.8** | 11.47% |
| Interest costs and similar charges |  | (0.1) |  | (0.1) | (13.3) | **(13.5)** | 2.86% |
| Fee and commission income |  | 53.3 |  |  | 5.6 | **58.9** | 12.97% |
| Fee and commission expense |  | (0.1) |  |  | (5.7) | **(5.8)** | 10.02% |
| Dividends |  |  |  |  | 0.4 | **0.4** | 27.09% |
| Net profit (loss) from other assets and liabilities measured at fair value through profit or loss |  |  |  |  | 0.5 | **0.5** | -4.98% |
| Net adjustments/impairment | 3.3 |  |  |  | (0.1) | **3.2** | -4.38% |
| Operating costs |  | (0.3) | (1.8) |  | (4.2) | **(6.3)** | 1.23% |

---

BANCA MONTE DEI PASCHI DI SIENA

**Declaration of the Financial Reporting Officer**

Pursuant to para. 2, article 154-bis of the Consolidated Law on Finance, the Financial Reporting Officer, Mr Nicola Massimo Clarelli, declares that the accounting information contained in this Interim Financial Report as at 31 March 2025 corresponds to the underlying documentary evidence and accounting records.

Siena, 08 May 2025

---

| |
|:---|
| *Signed by* |
| *the Financial Reporting Officer* |
| **Nicola Massimo Clarelli** |

---

Interim Financial Report

**INDEPENDENT AUDITORS** **' REPORT**

![](tm2518026d1_ex99-pwclogo.jpg)

**REVIEW REPORT ON CONDENSED CONSOLIDATED INTERIM FINANCIAL STATEMENTS**

To the Board of Directors of

Banca Monte dei Paschi di Siena SpA

**Foreword**

We have reviewed the accompanying condensed consolidated interim financial statements of Banca Monte dei Paschi di Siena SpA and its subsidiaries ("Monte dei Paschi di Siena Group") as of 31 March 2025, comprising the consolidated balance sheet, the consolidated income statement, consolidated statement of comprehensive income, consolidated statement of changes in equity, consolidated cash flow statement and related notes. The Directors of the Monte dei Paschi di Siena Group are responsible for the preparation of the condensed consolidated interim financial statements in accordance with the International Accounting Standard applicable to interim financial reporting (IAS 34) as adopted by the European Union. Our responsibility is to express a conclusion on these condensed consolidated interim financial statements based on our review.

**Scope of Review**

We conducted our work in accordance with International Standard on Review Engagements 2410, *Review of Interim Financial Information Performed by the Independent Auditor of the Entity*. A review of condensed consolidated interim financial statements consists of making enquiries, primarily of persons responsible for financial and accounting matters, and applying analytical and other review procedures. A review is substantially less in scope than a full-scope audit conducted in accordance with International Standards on Auditing and, consequently, does not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion on the condensed consolidated interim financial statements.

**Conclusion**

Based on our review, nothing has come to our attention that causes us to believe that the condensed consolidated interim financial statements of the Monte dei Paschi di Siena Group as of 31 March 2025 are not prepared, in all material respects, in accordance with the International Accounting Standard applicable to interim financial reporting (IAS 34) as adopted by the European Union.

![](tm2518026d1_ex99-7img042.jpg)

![](tm2518026d1_ex99-pwclogo.jpg)

**Other Matters**

The condensed consolidated interim financial statements of the Monte dei Paschi di Siena Group present for comparative purposes the corresponding data for the period ended 31 March 2024, which were neither audited nor reviewed.

Florence, 9 May 2025

PricewaterhouseCoopers SpA

*Signed by*

Marco Palumbo <br> (Partner)

*This review report has been translated into the English language solely for the convenience of international readers. Accordingly, only the original text in Italian language is authoritative.*

 

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BANCA MONTE DEI PASCHI DI SIENA

**Annexes**

Interim Financial Report

**Reconciliation between the reclassified income statement and balance sheet and the related statutory accounts**

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified income statement as at 31 March 2025 and related statutory accounts

![](tm2518026d1_ex99-7img043.jpg)

Interim Financial Report

Reconciliation between the reclassified income statement as at 31 March 2024 and related statutory accounts

![](tm2518026d1_ex99-7img044.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified balance sheet and related statutory accounts March 2025

![](tm2518026d1_ex99-7img045.jpg)

Interim Financial Report

![](tm2518026d1_ex99-7img046.jpg)

BANCA MONTE DEI PASCHI DI SIENA

Reconciliation between the reclassified balance sheet and related statutory accounts as at December 2024

![](tm2518026d1_ex99-7img047.jpg)

Interim Financial Report

![](tm2518026d1_ex99-7img048.jpg)

![](tm2518026d1_ex99-7img050.jpg)

## Exhibit 99.8

**Exhibit 99.8**

![](tm2518026d1_ex99-8img001.jpg)

<u>Outstanding 9M results</u>:

Revenues €2.8bn, net profit approx. €1bn, ROTE 14%

Interim dividend €0.56 per share payable in May;

Balance to be paid in November 2025

<u>Mediobanca and Banca Generali</u>

The combination<sup>1</sup> creates a European leader in Wealth Management

TFAs >€210bn, NNM >€15bn

Revenues €4.4bn, 45% from WM

Net profit €1.5bn, 50% from WM

ROTE 20%

Distribution: confirmed at €4bn for FY 2023- 26\*

Mediobanca Board of Directors' Meeting

Milan, 8 May 2025

<sup>1</sup> Public exchange offer presented on 28 April 2025, Mediobanca data pro forma (as at 31/12/24, annualized)+ BG (data as at 31/12/24).

(\*) FY 2023-24, FY 2024-25, and FY 2025-26.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**<u>9M: RESULTS CONFIRM GROWTH TRAJECTORY</u>**

**Group revenues of €2,768m in 9M (up 5% <sup>2</sup>), with significant growth in all businesses**:

**WM up 5%<sup>2</sup>** (to €727m), **CIB up 26%<sup>2</sup>** (to €677m), **CF up 7%<sup>2</sup>** (to €954m), **INS stable<sup>2</sup>** (at €349m)

**Cost/income ratio < 43%**

**Cost of risk declining to 47 bps (down 3 bps<sup>2</sup>)**

**Net profit for 9M: €993m (up 5%<sup>2</sup>); EPS 9M €1.19 (up 7%<sup>2</sup>); ROTE 14% (up 60 bps<sup>2</sup>)**

**<u>3M: SOLID TREND</u>**

**Group revenues totalled €920m in 3Q (up 3% YoY<sup>2</sup>), driven by all banking divisions**

**WM up 6%** **<sup>2</sup>** (to €247m), **CIB up 17%** **<sup>2</sup>** (to €226m), **CF up 7%** **<sup>2</sup>** (to €326m), **INS down 16%** **<sup>2</sup>** (to €106m)

**Net interest income resilient (€497m in 3Q, stable YoY, up 1% QoQ** **<sup>3</sup>)**

driven by recovery in volumes and resilience of asset yields

**High fee income of €273m in 3Q (up 15% YoY, down 14% QoQ)**

following record results in IB advisory business in 2Q

**Cost of risk declining to 39 bps (down 11 bps QoQ)**

writebacks in CIB due to portfolio quality, CoR reducing in CF (to 169 bps)

**Net profit €334m (stable)**

**<u>HIGH CAPITAL GENERATION AND SHAREHOLDER REMUNERATION</u>**

**CET1 15.6% <sup>4</sup>, following Basel IV benefits of 55 bps**

**Interim dividend of €0.56 p.s, shares ex-rights on 19 May 2025, balance payable in November**

**€385m share buyback <sup>5</sup> in progress (71% already completed)**

**<u>FY 2024- 25 GUIDANCE CONFIRMED</u>**

**Growth in TFAs: NNM of** **€9-10bn**

**Net interest income resilient**

**Growth in fee income:** low double-digit

**Growth in Earnings Per Share (EPS):** 6-8% <sup>6</sup> YoY

**High distribution with low execution risk:** cash payout 70% + share buyback <sup>7</sup>

<sup>2</sup> YoY chg: 9M end-March 2025 vs 9M end-March 2024; or 3M end-March 2025 vs 3M end-March 2024.

<sup>3</sup> QoQ: 3M end-March 2025 vs 3M end-March 2024.

<sup>4</sup> Including approx. 75 bps in earnings for 9M net of the dividend (payout ratio 70%). The Corep CET1 ratio, net of retained earnings for 9M, is 14.8%, in line with the ECB guidance for banks with buybacks in progress for which the final amounts have not been fully defined. The CET1 ratio fully loaded is equal to approx. 15.3%, including the impacts of CRR III fully operative, but not including the impact of the FRTB regulations.

<sup>5</sup> Approved by ECB and by shareholders at the October 2024 AGM for a maximum amount of €385m, launched on 12 November 2024.

<sup>6</sup> Includes cancellation of shares acquired as part of the €385m buyback being implemented in FY 2024-25.

<sup>7</sup> Amount established at the end of the financial year in accordance with the regulations in force and subject to authorization by the ECB: cumulative distributions for FY 2023-24, FY 2024-25, and FY 2025-26.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**<u>WM:</u>** **EFFECTIVENESS OF PRIVATE & INVESTMENT BANKING MODEL AND STRENGTH OF MEDIOBANCA BRAND IN MB PREMIER REPOSITIONING DRIVE GROWTH**

***The development of MBWB is facilitated by Mediobanca's distinctive positioning in Italy as a Private & Investment Bank, able to seize market opportunities in an uncertain macro and geopolitical scenario. The division's growth is outperforming the system, on the back of an enhanced product offering within the Mediobanca ecosystem, plus the continued strengthening of the network which already ranks first in Italy by productivity ratios. These features will be bolstered by the industrial and financial rationale of the combination with Banca Generali, which will generate approx.*** ***€300m in synergies at the level of GOP.***

**In 9M:**

**Development of PIB model** (€0.9bn from liquidity events); Private Markets platform continues

to expand

**Franchise strengthened: in 9M 117 new bankers/FAs added, 54 of whom in 3Q**,

with high-end clients increasing

**TFAs up** **€12bn in 12M to €108bn, with NNM of €7.2bn in 9M**

(11% of TFAs on an annualized basis)

**Revenues up 5%** **<sup>2</sup> to €727m, with €247m generated in 3Q (up 6% YoY)**

**Fee income €413m (up 14%<sup>2</sup>), €143m of which in 3Q (up 16% YoY)**

**Net profit €169m (up 10%<sup>2</sup>), €58m of which in 2Q (up 10% YoY)**

**RORWA up 20 bps<sup>2</sup> to 3.8%**

**<u>CIB:</u>** **CAPITAL-LIGHT PLATFORM INCREASINGLY SYNERGISTIC WITH WM, INTERNATIONAL PRESENCE ENHANCED, AND HIGH ASSET QUALITY**

***Growth in CIB has been helped by the interest rates dynamics, and by the expectation that corporate activity will remain robust even in the current uncertain market scenario. Mediobanca has a competitive advantage in this macro scenario, deriving from its traditional leadership position in Italy and Southern Europe, with areas of excellence in specialist segments, its strong roots in the mid-corporate space, and the growing synergies with WM. The new initiatives unveiled in the 2023-26 Strategic Plan gradually coming to life have helped the business increase in profitability, with RORWA now up to 2.1%.***

**In 9M:**

**Robust IB activity: 72 deals announced, up 29% YoY <sup>8</sup>**

**Record results posted in tech/digital advisory services** (Arma Partners)**, strong Energy**

**Transition business, mid-cap presence launched in Frankfurt, and BTP Specialist operations**

**Revenues up 26%<sup>2</sup> to €677m, with fee income up 52%<sup>2</sup> to €341m (advisory component up<br> 86% to €243m) and NII up 2%<sup>2</sup> to €238m, due to recovery in volumes**

**High fee income levels in 3Q (€107m), following the record 2Q results due to the execution of<br> several major deals both in Italy and internationally**

**Loan writebacks (€11m) due to adoption of new IFRS9 PD model**

**RWAs down 16% YoY (€14.1bn), despite a resumption in volumes in last 6M;<br> €1.4bn reduction in 3Q due to Basel IV benefits (€1.3bn)**

<sup>8</sup> Including Arma Partners and Messier et Associés deals.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**Net profit up 33%<sup>2</sup> to €225m, €84m of which in 3Q**

**RORWA up 90 bps<sup>2</sup> to 2.1%**

**<u>CF:</u>** **RECORD RESULTS DUE TO VOLUMES AND MARGINS GROWTH, COST OF RISK REDUCING**

***Mediobanca, through Compass, is one of the leaders in consumer credit in Italy, a business which has appealing growth rates due to the demographical and behavioural changes being shown by Italians. In a decreasing interest rate scenario, the fixed rate loan book turnover coupled with strong risk governance have produced growing average yields. Against this backdrop, Compass has confirmed its position as the main driver of growth in net interest income for the Group, with a competitive advantage given its leadership position in digital/BNPL channels, the fact that 80% of its new business in personal loans is generated through its proprietary network, and having developed a sophisticated pricing and scoring systems in over 60 years of business, across all economic cycles.***

**In 9M:**

**New loans totalled** **€6.7bn in 9M, accelerating in 3Q with almost €2.4bn in new business,<br> focused on the most profitable segments (personal loans and direct distribution)**

**NII continues to grow, up 9%<sup>2</sup> to** **€845m (3Q €288m, up 2% QoQ), with profitability growing in a <br> declining interest rate scenario**

**CoR 174 bps (169 bps in 3Q, with** **€10m in overlays used)**

**Net profit at record high levels:** **€308m (up 6%<sup>2</sup>), €105m of which in 3Q<br> RoRWA up 20 bps<sup>2</sup> to 2.9%**

**<u>INSURANCE</u>**

**High contribution decorrelated from other businesses**

***The contribution of the Group*** ***'s investment in Assicurazioni Generali is positive, because of the stability and visibility of the company's earnings; the high return on the investment is also boosted by the favourable regulatory treatment introduced by the Danish Compromise.***

**In 9M:**

**Revenues stable<sup>2</sup> at** **€350m, €106m of which in 3Q**

**Net profit down 1%, to €350m**

**RORWA down 20 bps2 to 3.2%**

**\*\*\*\***

With Renato PAGLIARO in the Chair, the Directors of Mediobanca approved the individual and consolidated financial statements for the period ended 31 March 2025, as illustrated by Chief Executive Officer Alberto NAGEL and Group General Manager Francesco Saverio VINCI.

Alberto Nagel, CEO of Mediobanca, said: *" Mediobanca has delivered growth in all its divisions for the nine months, despite the uncertain scenario, consolidating the main initiatives provided in the 2023-26 Strategic Plan. All the physical and digital platforms have been enhanced by attracting the best talents: the service offering has been expanded and repositioned to increasingly reflect the Private and Investment Banking model, which has been welcomed enthusiastically by both* 

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

*clients and Financial Advisors. The combination between Banca Generali and Mediobanca we announced on 28 April 2025, which we will ask our shareholders to approve at the general meeting called to take place on 16 June 2025, completes the Mediobanca Group's transformation process to become a diversified player focused on high growth and low capital absorption businesses which excels for the value it creates for its stakeholders. With over 50% of the top line generated by Wealth Management, and TFAs of more than €210bn, Mediobanca will become a leader in the wealth management industry and a benchmark in the Italian and European financial panorama".*

**Consolidated results**

The Group delivered outstanding results in the first nine months of the financial year: **posting a net profit of** **€993.2m, on revenues of €2,767.9m (up 5.3%<sup>2</sup>), with the cost/income ratio falling to 42.5% and the cost of risk low at 47 bps (down 3 bps<sup>2</sup>). ROTE stood at 14% (up 60 bps<sup>2</sup>), and RORWA at 2.9% (up 20 bps<sup>2</sup>).**

**These results are underpinned by a healthy performance in 3Q with a net profit of** **€333.5m (up 1.2% QoQ, down 0.4% YoY) and revenues of €920m.**

Highlights of the nine months' performance were as follows:

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|:---|:---|
| ¨ | **The commercial performance was robust** by all divisions: |

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| ¨ | **TFAs were up 12%,<sup>2</sup> with €12bn added, reaching €108.3bn** (up €1.5bn QoQ), driven by NNM (€7.2bn in 9M, €2.3bn of which in 3Q) and AUM/AUA which totalled €79.4bn (up 13.3% YoY, up 1% QoQ), with deposits up 2% QoQ (up 9.3% YoY) to €28.9bn. During the nine months there were inflows of approx. **€** **0.9bn generated by liquidity events**, and the **mix reflects a share for AUM of 70%**. |

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|:---|:---|
| ¨ | **New loans in consumer credit reached €6.7bn (€2.4bn in 3Q)**, 80% of which were personal loans generated from direct new business, with higher spreads on lendings. |

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| ¨ | **Investment banking activity was again buoyant** (the number of deals announced was up 29%), following a solid performance in 3Q albeit below the outstanding results posted in the final quarter of 2024, with **strong corporate finance activity levels** (investment banking and debt divisions), **and an increase in the number of non-domestic transactions** (Arma Partners in particular). **The recovery in corporate lending volumes recorded in the last six months has also continued.** The Frankfurt branch office, which is focused on increasing Mediobanca's mid-corporate presence outside the domestic market, is now fully operative. |

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|:---|:---|
| ¨ | **Risk-Weighted Assets (RWAs) reduced by approx. 5% YoY and 3% QoQ** (to €46.3bn), due to the scrupulous lending policy adopted and to the positive effects of Basel IV in 3Q which reduced RWAs by around €1.6bn (due in particular to the introduction of the LGD floor at 40% and the removal of the scaling factor for the advanced models for the Large Corporate and Retail portfolios). |

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|:---|:---|
| ¨ | **Consolidated revenues rose by 5.3%, from €2,628.2m to €2,767.9m, with €920.2m posted in 3Q and all the banking businesses delivered year-on-year growth: WM up 5.3%<sup>2</sup>** (to €726.8m), **CIB up 26.4%<sup>2</sup>** (to €677.3m), **and CF up 7.4%<sup>2</sup>** (to €954.4m), with **INS stable<sup>2</sup>** (at €349.4m); the main income items performed as follows: |

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|:---|:---|
| ¨ | **Net interest income matched last year's levels**, at €1.476m (31/3/24: €1,492.4m), **while increasing slightly quarter-on-quarter** (€497.1m, vs €493.9m); this is the result of the significant reduction in market interest rates (Euribor 3M average: down 95 bps), which has |

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Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

also started to be reflected in a lower cost of funding in Wealth Management (down 10 bps in 3Q to 1.7% and down 20 bps in last 6M). By division: Consumer Finance NII rose from €778.4m to €845.2m (up 8.6% YoY; up 2.2% QoQ), due primarily to the higher lending volumes (on average up €910m); on the other hand, Wealth Management NII decreased from €319.9m to €304.8m (down 4.7% YoY and down 1.7% QoQ, with the loan stock flat but yields declining somewhat; CIB NII increased slightly, from €233.2m to €238.1m (up 2.1% YoY and up 5.9% QoQ), due to the recovery in volumes in the last six months; finally Treasury contribution fell from €114.2m to €42.7m, reflecting the centralized IRR management and a negative NII sensitivity to falling market interest rates, with the securities portfolio having a limited duration;

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|:---|:---|
| ¨ | **Net fee and commission income climbed to €819.4m** (up +24.1% YoY, from €660.2m), with €272.7m added in 3Q. At the individual business line level: fees earned by Wealth Management increased from €363.3m to €413.1m (up 13.7% YoY; down 2.3% QoQ); and those generated by CIB increased from €224.8m to €340.7m (up 51.6% YoY; down 28.7% QoQ), with Arma Partners contributing €119.2m (€38.4m in 3Q); while fee income in Consumer Finance was stable at €109.6m (flat YoY and QoQ), with Heylight contributing €16.3m (up 13% YoY; up 6% QoQ). The growth in WM was driven by management fees generated by the distribution networks, which totalled €241.6m (up 14.6% and 1.5% respectively) and by upfront placement fees which amounted to €82.8m (€32.8m in 3Q), up 12% QoQ. |

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|:---|:---|
| ¨ | **Net treasury income rose from €133.6m to €137.2m**, with €45.4m added in 3M; the improvement compared to last year was due to the CIB proprietary trading portfolio, which offset the reduction in profits from proxy hedge activity. Markets activity with clients matched last year's performance, generating revenues of €63m (€61.3m), €19.1m of which in 3Q, on significant growth in equity trading (which rose from €25.9m to €73.3m, €26.4m of which in 3Q). Dividends and other income from Principal Investing/Insurance business rose from €12m to €18.6m, €2.6m of which in 3Q. |

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|:---|:---|
| ¨ | **The contribution from Assicurazioni Generali, accounted for using the equity method,** decreased slightly, from €337.7m to €329.1m (€102.4m of which in 3Q); while the other IAS 28 investments contributed €6.3m (€2.6m in 3Q, compared to €4.4m last year). |

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|:---|:---|
| ¨ | **Operating costs rose from €1,124m to €1,177.2m**, €397.1m of which in 3Q, the increase compared to last year (up 4.7% YoY; down 3.4% QoQ) reflects the Group's growth in all its divisions, and remains aligned with the performance in terms of revenues; the cost/income ratio remains low at 42.5%. Labour costs rose from €586.9m to €628.8m (up 7.1% YoY; down 4.2% QoQ), because of the growth in headcount (from 5,387 to 5,508). Administrative expenses increased from €537.1m to €548.4m (up 2.1% YoY; down 2.4% QoQ), with a strong technology- related component (up 2% YoY to €193m, €66m of which in 3Q), and higher back office/operations costs (up 4% YoY to €155m, flat QoQ); credit recovery expenses totalled €31m (up 2% YoY; €11m in 3Q). At the individual business line level: costs in CIB totalled €296.6m (up 11.3% YoY; down 9.7% QoQ); in Wealth Management €474.1m (up 3.8% YoY; down 3% QoQ); and in Consumer Finance €291.3m (up 7.4% YoY; up 3% QoQ); while in the Holding Functions division operating costs totalled €127.7m (down 8.3% YoY; down 3.1% QoQ), with the share represented by the central units reducing from 7.4% of the Group total to 7.1%; |

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|:---|:---|
| ¨ | **Loan loss provisions reduced from €195.7m to €186.1m** (down 4.9% YoY), with the contribution for 3Q totalling €52.7m, the reduction being due to the implementation of the new IFRS9 Corporate PD model used to calculate impairment, which resulted in provisions of €11.3m being released (€10.8m of which in Corporate lending and €0.5m of which factoring business). The cost of risk is therefore positioned at 47 bps (approx. 50 bps net of the one-off effects). At the individual business line level: provisioning increased in Consumer Finance (from €184.1m to €201.9m) fully aligned with the performance in volumes, and reflecting a constant quarter-on- quarter trend (€66.3m in 3Q) coupled with careful use of overlays (the stock of which has |

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Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

reduced by €31.1m since the start of the financial year and which decreased by €10m in 3Q; the residual stock now totals €143.8m). The cost of risk stands at 174 bps (169 bps for 3M); while Wealth Management posted writebacks of €0.7m (€1.7m in 3M), as did Leasing (€2.9m and €0.6m respectively).

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|:---|:---|
| ¨ | **The value of holdings in investment funds** and banking book securities rose to €19.5m, €11.3m of which accrued during 3Q as a result of the majority of the private equity funds adopting the NAV as at year-end 2024; investments in the seed capital of the Group's product factories totalled €10.2m (€2.9m of which in 3Q). |

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The net profit result reflects one-off charges totalling €24.5m (€10.9m of which added in 3Q), approx. €15.4m of which regards the effects of the earn-out and put & call arrangements agreed as part of the Group's recent acquisitions (€8.5m of the amount accrued in 3M was attributable to Arma Partners), €3.6m in provisions for indemnities and litigation, and €5.5m in non-recurring costs (€1.5m of which in 3Q linked primarily to the new insurance fund).

**\* \* \***

On the balance-sheet side, total assets amounted to €100.8bn (31/12/24: €99.9bn; 30/6/24: €99.2bn), with the main items reflecting the following performances:

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|:---|:---|
| ¨ | **Customer loans grew by 3.9% YoY, flat at €54bn in 3Q**, helped by the positive trend in Consumer Finance (up 5.7% YoY, up 1.6% QoQ, to €15.8bn) on the back of high new business volumes; customer loans in Corporate and Investment Banking were up 5.3% YoY but down slightly QoQ (from €19.9bn to €19.7bn), following the reduction posted by factoring business (down 12.9% to €2.4bn) due to seasonal factors which was only partly offset by the rise in Large Corporate loans (up 1%, from €17.2bn to €17.4bn). Customer loans in Wealth Management rose slightly, to €17.2bn (€12.7bn of which in the mortgage lending), and in leasing business totalled €1.3bn. |

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|:---|:---|
| ¨ | **New loans in Consumer Finance rose by 9.1% in 9M** (from €6.1bn to €6.7bn; €2.4bn in 3Q), driven by personal loans which were up 9.9% (from €2.9bn to €3.1bn; €1.2bn in 3Q); the demand for new finance in Corporate Lending also recovered, impacting on the new business volumes in Lending and Structured Finance (which were up 55% to €6.3bn; €2.2bn in 3Q) and new mortgage loans (which closed at just over €1bn); |

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|:---|:---|
| ¨ | **Gross NPLs decreased from €1,378.9m to €1,130.1m,** and account for 2% of total gross loans; the reduction in 3Q (50 bps) regards all business lines: Consumer Finance reported a reduction in gross NPLs from €1,050m to €824.5m (in relative terms declining to below 5%), as a result of the approx. €260m write-off of certain items (almost entirely covered); while Wealth Management saw gross NPLs decrease from €225.7m to €211.2m, and leasing business from €70.1m to €61.3m; gross NPLs in Corporate and Investment Banking were stable at €33.1m (€6.6m in the Large Corporate segment); **net NPLs totalled €424.2m, representing 0.8% of total loans;** |

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|:---|:---|
| ¨ | **Stage 2 positions remained at €2,728.7m,** reflecting different trends for the various business lines: Corporate and Investment Banking posted a reduction in Stage 2 positions from €264.2m to €178.6m, following improvements (repayments and reclassifications to Stage 1); while there was a slight increase in Stage 2 positions in Consumer Finance (from €1,584.2m to €1,615m) and in Wealth Management (from € 801.2m to €857m); |

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|:---|:---|
| ¨ | **The coverage ratio for performing loans was basically stable, both at Group level (1.24%, compared with 1.26% at end-December 2024) and in Consumer Finance (3.52%, versus 3.57%).** The stock of overlays totalled €189m, €144m of which in Consumer Finance; the QoQ reduction (down €11m) was attributable to Consumer Finance (€10.2m) and mortgage lending (€1.5m). |

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|:---|:---|
| ¨ | **Banking book securities were up 6% YoY and virtually stable QoQ at approx. €12bn**, €5.4bn of which in the HTC portfolio, and €5.9bn in the HTC&S portfolio, with €0.5bn recognized at fair |

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Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

value (FVO); the position in Italian government securities totalled €6.1bn, with a duration of approx. 2.5 years. The OCI reserve for the HTC&S portfolio totalled €45.2m (31/12/24: €42.8m), while the unrealized losses on the Hold to Collect segment amounted to €3.9m (€7.9m plus).

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|:---|:---|
| ¨ | **Net treasury assets** rose for the three months, from €4.6bn to €6.6bn, reflecting turnover in the net trading assets in favour of the equity component (approx. €900m), and a reduction in repos. |

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|:---|:---|
| ¨ | **Funding totalled €66.1bn**, approx. €2bn higher in 3Q, helped by a diversified funding strategy, which involved strong primary bond market activity (with new issues of €4.4bn in 9M, €2.2bn of which in 3Q). Highlights for 3Q include the approx. €500m placed through the networks, the issue of approx. €300m in Tier 2 notes (the Group's first Tier 2 Sustainable issue), and €600m in medium-/long-term secure financing. The cost of the new issues was lower than twelve months previously (down from 135 bps to approx. 90 bps). The stock of debt securities rose from €28.7bn to €30bn, with €0.9bn expiring during the period. Wealth Management deposits increased from €28.2bn to €28.9bn, at an external cost of 1.71% (down 10 bps QoQ), in a scenario that remains competitive. Interbank funding remained virtually unchanged, at €7.2bn. |

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|:---|:---|
| ¨ | **Total Financial Assets (TFAs) climbed to €108.3bn (up +12.2% YoY, up 1.4% QoQ), on Net New Money (NNM) of €7.2bn, €2.3bn of which in 3Q;** AUM were up 15.5% YoY to €49.4bn (31/12/24: €48.2bn; 31/3/24: €42.8bn), with net AUM of €5bn gathered in 9M (€1.8bn of which in 3Q), equal to 70% of the Group's total NNM; AUA amounted to €30bn (31/12/24: €30.3bn; 31/3/24: €27.3bn). Deposits rose to €28.9bn (31/12/24: €28.2bn). Deposits in Private Banking totalled €46.9bn; in Premier Banking €46.2bn; and in Asset Management €32.2bn (€17.1bn of which placed by the Group's networks). The market effect for the nine months was equivalent to €1.7bn, reflecting the stock market volatility in the last days of March. |

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|:---|:---|
| ¨ | **The capital ratios (CET1: 15.6%<sup>9</sup>, Total Capital: 18.5%),** confirming the high buffers relative to the Maximum Distributable Amount<sup>10</sup> (buffer of approx. 420 bps) and the Overall Capital Requirement<sup>11</sup> of 8.77%. |

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|:---|:---|
| ¨ | **The CET1 ratio rose by approx. 40 bps in 3M,** due to the reduction in RWAs as a result of the positive impact of the new Basel IV rules introduced on 1 January 2025 with the publication of CRR III (adding a total of 55 bps, which corresponds to a reduction in RWAs in the region of €1.6bn, attributable in particular to the LGD floor being reduced to 40% (from 45% previously) and to the removal of the scaling factor for the advanced models for the Large Corporate and Retail portfolios); this benefit was in part offset by the growth in lendings during the three months (which added an extra 10 bps). Retained earnings for the period (which added 20 bps, net of the dividend with a payout ratio of 70%) were offset by the higher prudential deductions for the Assicurazioni Generali investment (25 bps). |

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|:---|:---|
| ¨ | **The Corep CET1 ratio stood at 14.8% net of the profit for the period.** This exposure reflects the ECB guidance not to include profits when a distribution policy is in progress in the form of buybacks, the amounts of which have not yet been finalized. It is also consistent with the completion of the Strategic Plan 2023-26 targets in terms of buybacks (with a cumulative €1bn to be bought back over the three years covered). |

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<sup>9</sup> Including approx. 75 bps in earnings for 9M net of the dividend (payout ratio 70%). The Corep CET1 ratio, net of retained earnings for 9M, is 14.8%. The CET1 ratio fully loaded is equal to approx. 15.3%, including the impacts of CRR III fully operative, but not including the impact of the FRTB regulations.

<sup>10</sup> Maximum Distributable Amount (MDA): minimum level of CET1 required, which includes the shortfall on AT1 capital (as at 31 March 2025, 1.83%).

<sup>11</sup> The Overall Capital Requirement for CET1 includes 56.25% of the P2R requirement of 1.75%, the Conservation Capital Buffer (2.50%), the Counter-Cyclical Buffer as of 31 December 2024 (0.14%), the O-SII requirement fully loaded (fully loaded from 2025 equal to 0.25%), and the system risk buffer which at 31 December 2024 was equal to 0.4% (1% of relevant exposures once fully-loaded, by end-June 2025).

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

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|:---|:---|
| ¨ | **The total capital ratio rose to 18.5%**, due to the new, nominal €300m Tier 2 issue; **the leverage ratio remained stable at 7%, and the MREL indicator stood at 46.3% of RWAs and 21.9% of LREs<sup>12</sup>**(compared to the minimum requirements set for 2025, which were 23.92% of RWAs and 5.91% of LREs). |

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|:---|:---|
| ¨ | **Mediobanca has launched the €385m share buyback programme** approved by the European Central Bank on 7 October and by shareholders in Annual General Meeting on 28 October 2024, which will entail cancellation of treasury shares. **As of 8 May 2025, a total of 18,3 million shares had been acquired, equal to 2.2% of the share capital and to 71% of the buyback programme's total value.** |

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|:---|:---|
| ¨ | **The BoD has adopted a resolution approving the distribution of an interim dividend, of €0.56 per share, for a total amount of €455m (ex-rights 19 May, record date 20 May, payment 21 May 2025).** |

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**Divisional results**

**1.**  **<u>Wealth Management:</u> <sup>13</sup> excellent commercial results, with NNM (** **€ 7.2bn) at best sector levels and improvement in the mix (70% AUM). Revenues up 5% and net profit up 10% YoY, driven by double-digit growth in fee income, with TFAs climbing to approx. € 108bn (up 12% YoY). RORWA at 3.8%.** 

**The division posted a net profit of** **€168.9m for the first nine months of FY 2024-25** (up 10.3% YoY), **on revenues totalling €726.8m** (up 5.3% YoY), driven by higher fees (up 13.7% YoY), and the reduction in the cost/income ratio (to 65.2%) and the cost of risk. **RORWA remained high at 3.8%. NNM totalled €7.2bn (up 42%, and equal to 11% of TFAs on an annualized basis), near the highest sector levels.**

**The division has confirmed its distinctive positioning in Private and Investment Banking, enhancing its franchise versus higher-bracket clients in particular, and accelerating the recruitment of senior commercial figures, with the launch of Mediobanca Premier. The operating structure has been adapted to the expanded product offering to support future growth and profitability.** This has been done to continue implementing the strategic pathway envisaged by the 2023-26 Strategic Plan "One Brand-One Culture":

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|:---|:---|
| ¨ | **Net New Money (NNM) totalled €7.2bn, with a significant improvement in the mix** (more than 70% AUM) **and a major share accounted for by inhouse products** (approx. 60% of the network's inflows); Polus Capital also contributed €1.6bn, €1.2bn of which from CLOs. There were also positive inflows of deposits (€970m), driven by promotional policies aimed at gathering assets, in a scenario featuring strong competition, **for future conversion.** |

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|:---|:---|
| ¨ | **The Private and Investment Banking model has been strengthened,** with approx. €0.9bn in liquidity events originated in 9M, approx. €77m of which in 3Q. |

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|:---|:---|
| ¨ | **The distribution structure has been expanded, with the addition of 117 new professionals in 12M** (85 FAs and 32 bankers), **54 of whom in 3Q.** Overall, since the launch of Mediobanca Premier, staff recruitment has been concentrated on **higher average portfolios and high bracket clientèle.** Throughout the WM Division, the programme for developing talented young staff as part of the Mediobanca Academy programme has also continued. **As at end-March 2025 the** |

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<sup>12</sup> Both ratios include retained earnings for the period (accounting for ~40 bps for LER and ~45 bps of MREL).

<sup>13</sup> Includes the Premier Banking segment (Mediobanca Premier), Private Banking (MBPB, CMB), Asset Management (MB SGR and MB Management Company, Polus Capital, and RAM AI), plus the activities of Spafid.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**network consisted of 1,373 professionals**, made up of 545 bankers and 680 FAs, working out of 97 branch offices and 111 points of sale.

The commercial initiatives developed in 3Q include the following:

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| ¨ | **Mediobanca Private Banking remains focused on its offering of portfolio management services, placement of certificates and Private Markets products.** With regard to the latter, MBPB has expanded its offering with the launch of gathering phase for two evergreen private credit funds, namely Blackstone European Private Credit (ECRED) and Morgan Stanley European Private Income Fund (EPIF), which will complement the Apollo Aligned Alternatives, KKR and Three Hills Impact Fund, a preferred capital themed fund; these products allow clients to subscribe to Private Markets strategies with more liquid capital (a total of €160m has been gathered). At end-March 2025, the first investment was launched by Mediobanca UBS Global Real Estate Co-Investment Opportunities, the international real estate co-investment programme, for an amount of approx. €45m (from the €480m soft commitment). As regards club deals with high-potential Italian SMEs as their target, following the completion of the soft commitment gathering process for TEC2, the first three investments have been made, for a combined total of approx. €270m (€80m of which in 3Q), against a total committed amount of €900m. |

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| ¨ | **Mediobanca Premier has continued its repositioning versus a more sophisticated clientèle** (with an increase in the number of clients with AUM of over €500,000) and the ongoing enhancement of its products and services offering. In particular, the placement of funds with delegated management has continued in partnership with leading international asset managers (in the nine months, the funds already included in the catalogue have been complemented by Mediobanca Schroders Diversified Income Bond, Mediobanca Candriam Global High Yield, and Mediobanca AB American Growth Portfolio), for a total of €549m. With net inflows of €206m in 9M (€137m of which in 3Q), the portfolios managed now have AUM worth approx. €600m. During the three months under review, the placement of a new Target Maturity bond fund, MB Selezione Cedola 2030 – Seconda edizione, was completed, for a total of €51m. Since the start of the year paper worth approx. €1bn has been placed, €339m of which in BTP Più (February 2025), approx. €193m of which in certificates (€81m in 3Q), and approx. €213m in Group bonds. |

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| ¨ | In **Asset Management**, Polus Capital has reached a total of €10.5bn in AUM, continuing its growth with the launch of CLO XIX during 3Q, which increased assets under management by €450m. There has been an overall increase of €1.2bn in the CLOs over the nine months, and two other CLOs (US CLO II and CLO XX) are currently at the warehouse phase. As regards distressed assets, Polus Capital continues to attract strong interest for its Master Fund which has reached assets of $1.5bn, after net inflows of $250m in nine months. At the same time, the Special Situations fund has continued its investment activity, reaching almost €390m of AUM out of over €600m in committed capital. RAM AI now has assets under management totalling €1.6bn, after net inflows of some €40m, and good performances by the Emerging Markets Equities, RAM Mediobanca Strata Credit UCITS and European Market Neutral funds. |

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| ¨ | **Assets managed on behalf of clients (TFAs) totalled €108.3bn** (30/6/24: €99.4bn; 31/12/24: €106.8bn), 12.2% higher than twelve months previously (€11.8bn), incorporating a market effect of €1.7bn (including a negative effect of €0.9bn in the first quarter of 2025); in particular, the high-quality component (AUM) rose to €49.4bn (up 15.5%, or €6.6bn, YoY and up 1.14% in 3Q, driven by Mediobanca Premier); while AUA totalled €30bn (up 9.8% YoY, or €2.7bn), recording a slight QoQ reduction in 3M (of €0.3bn). Deposits totalled €28.9bn (up 9.3% YoY, up 2.3% QoQ). Private Banking posted TFAs of €46.9bn (up 8.8% YoY and stable QoQ), including AUM/AUA of €36bn (up 7.8% YoY and down 2.3% QoQ), and deposits of €11bn (up 12.1% YoY and up 6.2% QoQ), while Mediobanca Premier reported TFAs of €46.2bn (up 14% YoY and up 3.1% QoQ), including AUM/AUA of €28.3bn (up 18.4% YoY and up 5% QoQ), and deposits of €17.9bn (up 7.7% YoY and flat QoQ). TFAs in Asset Management rose to €32.2bn (up 14.2% YoY and up 1.7% QoQ), €17bn of which placed within the Group. |

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**Total revenues generated by the Wealth Management division rose during the nine months from €690.1m to €726.8m (up 5.3% YoY),** with a modest QoQ reduction of 2% (€246.7m), reflecting seasonal factors affecting performance fees which totalled €2.8m (versus €10.1m); the main income items performed as follows:

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| ¨ | **Net interest income totalled €304.8m (down 4.7% YoY),** €100.6m of which in 3Q (down 1.7% QoQ), due to lower returns on loans, in line with the reduction in market interest rates, compounded by weak volumes. |

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| ¨ | **Net fee and commission income grew from €363.3m to €413.1m (up 13.7% YoY),** with €142.7m added in 3Q (down 2.3% QoQ); management fees from franchising were higher than last year, up from €210.9m to €241.6m, with the ROA stable at 99 bps; while upfront and advisory fees totalled €82.8m (versus €70.1m last year); banking fees were basically stable at €78m (€26.4m of which in 3Q). The Private Banking segment remains the main contributor to fee income, increasing its contribution from €160m to €177.4m (up 10.9% YoY; up 1.7% QoQ), while the Premier segment generated €159.3m (up 14.6% YoY; up 3.7% QoQ); recurring asset management fees increased from €43.9m to €51.1m (up 16.4% YoY; up 11% QoQ), with the share attributable to Polus Capital equal to €40.4m (up 17% YoY), whereas performance fees contributed €19.2m (€2.8m in 3Q). |

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**Operating costs rose from** **€456.7m to €474.1m** (up 3.8% YoY), including €159m in 3Q (down 3% QoQ); labour costs rose to €250.9m (up 2.8% YoY; down 3.4% QoQ), reflecting the strengthening of the headcount, much of which has revolved around the distribution network in the Premier Banking segment. Administrative costs increased from €212.7m to €223.2m, a YoY increase of 4.9%, including €75.6m in 3Q (down 2.6% QoQ), with the Private Banking area in particular making substantial investments in technology.

**Net profit totalled** **€168.9m**, €58.3m of which in 3Q, including net writebacks of €0.7m (versus €8.6m in writedowns last year) and €5m in non-recurring charges (€1m of which for 3Q).

**Customer loans totalled** **€17.2bn** (up 0.5% QoQ), with the mortgage loan share stable at €12.7bn, with the repayments outweighed by new loans (€1bn, compared with €758m, in 9M; €0.4bn in 3Q).

**Gross NPLs amounted to** **€211.2m**, after declining in 3Q (down €14.5m) due mainly to an improvement in the Private Banking segment (with one position being closed plus a partial repayment); gross NPLs account for 1.2% of total loans, with a coverage ratio of 40.7%, and the net NPL loan stock totals €125.3m.

**2.**  **<u>Corporate & Investment Banking</u>: double-digit growth in revenues to** **€ 677m, following a solid 3Q performance coming after the record performance in 2Q driven by advisory services. RoRWA increasing to 2.1%, ahead of the Strategic Plan objective, after net profit increased to € 225m, with RWAs under strict control (down 14% YoY).** 

The Corporate and Investment Banking Division posted **revenues of** **€677.3m (up 26% YoY), with a solid performance in 3Q, reporting a top line of €225.9m (up 17% YoY but down 16% QoQ, compared to the previous record quarterly performance).** Fee income, which was up 52% YoY, was driven by buoyant activity in Advisory business (up 86.6%). There were also signs of recovery in Corporate Lending volumes during the quarter, even though spreads are still low, which is in part due to the lending policies being focused primarily on investment-grade borrowers. **Net profit totalled €225m (up 33.1% YoY),** with revenues absorbing the growth in costs (which were up 11.3% YoY), and a cost/income ratio which remains low at 44%. **RoRWA rose to 2.1%,** ahead of the Strategic Plan objective (1.6% by end-June 2026).

**The impressive results for the six months**, and the second quarter in particular, **reflect the main drivers contained in the 2023-26 Strategic Plan "One Brand-One Culture"**, which envisaged the

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

Corporate and Investment Banking division evolving progressively towards **an increasingly advisory-driven/capital light, international platform operating in synergy with Wealth Management**:

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| ¨ | **Arma Partners has strengthened its leadership position in the Digital/Tech space,** with 24 deals announced worth more than €50bn in 9M. **In nine months Arma Partners has generated revenues of €119m, almost €40m of which in 3Q.** |

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| ¨ | **The dedicated Energy Transition team**, set up last year, continues to successfully support clients in their energy transition strategies, with **five major deals announced in Italy in the nine months.** |

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| ¨ | **The excellent results achieved from the synergistic co-operation with Mediobanca Private Banking** to develop operations in the Mid-Cap segment **are reflected in the M&A league tables in Italy, where Mediobanca has confirmed its position as a reference advisor for the market by number of deals** (78 in 9M); the Mid-Cap platform was further strengthened by the opening of the Frankfurt branch office in July 2024; |

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¨ BTP specialist activities also continue, now fully operative, after specialist status was obtained in June 2024.

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| ¨ | **RWAs were down 5% YoY** due to the **selective approach to lending, higher volumes and the positive impact of Basel IV (RWA savings of approx. €1.3bn).** |

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The European M&A market recorded an increase of 20% in announced deal volumes in 1Q 2025 compared to the same period in 2024, despite the fact that the global macroeconomic scenario continues to reflect many areas of uncertainty. The growth has been driven by increased activity from private equity operators (whose volumes were up 127%), which offset the reduction in strategic activity by corporates (down 5%), and by large deals (over $500m in value), volumes of which rose by 30%. At the same time, there was a decline in the number of deals announced, which reduced by 27%, driven by a 28% drop in the number of medium-/small-sized transactions (less than $500m in value); while the number of large deals was up 14%.

The Italian market has seen the positive trend of recent quarters continue with an increase of 100% in deals announced. Volumes were also higher in Germany and in Spain, up 45% and 14% respectively, while in France and the United Kingdom there were reductions, of 14% and 35% respectively.

In this market scenario, **the Bank has confirmed its position as advisor of choice in Italy, taking part in the most important deals announced, and completing a total of 78 deals over the course of the nine months.**

Some of the **main deals in Italy** include: in the TMT sector, KKR's acquisition of assets belonging to the TIM fixed-line network; in the Retail sector, the sale of a 40% stake in K-Way by BasicNet to Permira, the sale of Acqua & Sapone to TDR Capital by H.I.G., and the voluntary public tender and exchange offer for Unieuro by Fnac Darty; in the Infrastructure sector, the acquisition of Grandi Stazioni Retail by OMERS Infrastructure and DWS Infrastructure, and the sale by Ardian and Crédit Agricole Assurances of their stake in 2i Aeroporti to Asterion; in the Industrials sector, the acquisition by Investindustrial of a controlling interest in Piovan and the subsequent launch of a mandatory public tender offer in order to have the company delisted; plus several deals in the mid-cap segment, including the sale of Quid Informatica to the Fibonacci group by Equinox, and the disposal of a minority interest in Sicer to Ardian by the Azimut group.

As regards **Advisory business at the European level,** the Bank was also involved in the voluntary public tender offer for Greenvolt launched by KKR, and the acquisition of a majority share in Terna Energy by Masdar in the Energy Transition sector, the sale of OnTower Austria by Cellnex Telecom to a consortium of investors consisting of Vauban Infrastructure Partners, EDF Invest and MEAG in the TMT sector, while in the French market, the acquisition of 48% of the share capital of Santos Brasil by CMA CGM, and the subsequent launch of a public tender offer for the remaining shares,

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

in the Infrastructure sector was worthy of note, as was the disposal of a majority interest in Olifan Group to Seven2 in the Financial Institutions sector.

In the **Digital Economy** sector, Arma Partners confirmed its position as one of the leading advisors in Europe, with 24 deals completed in the nine months. The software segment has been particularly active, with some the most important deals covered by the company including the sale of Aareon to TPG and CDPQ by Advent International and Aareal Bank, the acquisition of Zellis Group by Apax Partners, the disposal of 1E to TeamViewer, the acquisition of Anaqua by Nordic Capital, and the investment in team.blue by CPP Investments and Sofina.

In **Equity Capital Markets**, investors continue to be highly selective with regard to IPOs in particular; against this backdrop, the Bank has taken part in some of the largest deals completed on the domestic market, acting as Joint Global Co-ordinator in the rights issue launched by Fincantieri, and the rights issue implemented by doValue.

In **Debt Capital Markets**, where the market activity has been very strong due to the abundant liquidity, the Bank remains at the forefront in the placement of new and innovative Green, Social and Sustainability-Linked bonds, including the first EU Green Bond in the history of A2A, the inaugural green bond of Iccrea Banca, and the dual-tranche Sustainability-Linked Bond for ASPI. At the same time, in the nine months Mediobanca has also taken part in some of the largest senior and subordinated bond issues for both corporates and financial institutions in Italy (including Assicurazioni Generali, Cassa Depositi e Prestiti, doValue, Crédit Agricole Italia, Leasys, ENI, SEA, Iren, MCC, Banca Sella Holding, Terna, and UniCredit), and in its other core markets (including Banco Comercial Portugues, Commerzbank, Criteria Caixa and Inmobiliaria Colonial).

In **Lending**, in a market scenario with low volumes, strong competitions between banks, and shrinking margins, Mediobanca has supplemented fee income from underwriting activities, an area which has become challenging due to the limited number of acquisition financing deals, with co-ordination and debt advisory mandates. In this scenario, the Bank has confirmed its position as market leader in Italy and consolidated its European footprint, assisting its clients in their ordinary operations, by helping them raise finance and refinancing operations (including Enel, Nexi, IGT, Telefonica, APRR/Eiffarie and Volkswagen), and in their extraordinary operations as well (including financing the public tender offer launched by MFE-MEDIAFOREUROPE for ProSiebenSat.1 Media and the leveraged buyout of Piovan by Investindustrial). In its Lending activities, the Bank has also continued its growing trend in granting ESG loans, including by participating in revolving sustainability-linked credit lines (for instance Snam) and the largest ESG line in Euros (Enel).

In **Markets** activity, the Bank has continued to play a significant role in the placement of Italian government securities, participating in 41 auction sessions as specialist (it has brokered more than 4% of the total amount placed by the Italian Ministry of Finance), and has taken the role of Co- Lead Manager in five syndicated deals also executed by the Ministry, with a healthy flow in bespoke activities for government securities with domestic and international clients, in addition to its brokerage activity (with a total of more than €12bn traded). The Bank has also maintained its footprint in the European Union Allowances ("EUAs") market, recorded a volume of €1bn traded in EUAs in 9M. Activities have also been stepped up in support of WM (private and professional clients), continually searching out high-yield investment instruments for customers with substantial liquidity positions exposed to inflation. Overall Markets activity contributed revenues of €144.7m to the division's top line (up 10% YoY), €51m of which generated in 3Q.

**Revenues increased to** **€677.3m, up 27% YoY, declining in 3Q (€225.9m, down 16% QoQ on account of the unfavourable comparison base relative to the record quarter posted in 2Q),** with the contribution from Wholesale Banking totalling €618.5m (up 29.2% YoY; down 17.4% QoQ), while Specialty Finance revenues totalled €58.8m (up 2.6% YoY, and up 5.9% QoQ):

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| ¨ | **Net interest income rose by 2.1% compared to last year (from €233.2m to €238.1m) and by 6% QoQ (from €80.7m to €85.5m),** on a positive contribution from the Markets division, helped by the performance of the fixed-income component, while Lending recovered somewhat quarter-on-quarter (up 4.5% QoQ) despite new loans being increasingly geared towards the investment-grade sector; |

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| ¨ | **Net fee and commission income rose by 51.6% YoY to €340.7m, on the back of the record performance in 2Q (€150m) with a solid third quarter (fees of €107m, up 17% YoY);** fees from Advisory business in particular soared from €129m to €242m, on an impressive contribution from Arma Partners (€119m), plus a healthy performance in the Large Corporate segment in Italy (fees up from €29m to €63m) and a solid contribution from the Mid Corp segment (€29m). The contribution from ECM activity was again limited, with fees of €4.5m (in line with the market), while DCM was stable (€19.4m), and fees from Lending increased (from €42m to €51m); the contribution from Specialty Finance was basically in line with last year (at €25m); |

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| ¨ | **Net treasury income totalled €98.5m, 26.4% higher than last year,** with a good performance in 3Q (€33.4m, vs €37.3m); the growth was concentrated in trading, with client activity by the Markets Division stable. |

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**Operating costs grew from** **€266.5m to €296.6m (down 9.7% QoQ).** The higher labour costs (which were up 18%, to €173.7m) reflect the three additional months in which Arma Partners has been consolidated compared to last year, plus the strengthening of the headcount, with the opening of the new Mid-Cap office in Frankfurt, plus higher accruals for variable remuneration in 2Q in line with performances. Administrative expenses were up 3% YoY, from €119.3m to €122.9m (down 9% QoQ).

**Net writebacks of** **€11.8m were credited for the nine months**, compared with €2.8m last year, with no overlays released in the period, **mostly attributable to implementation of the new IFRS9 PD Corporate model.**

In the nine months **customer loans increased from** **€19bn to €19.7bn**, driven by Wholesale Banking (up from €16bn to €17.3bn), which more than offset the reduction in Factoring (from €3m to €2.4m).

**Gross NPLs decreased from** **€51.2m to €33.1m;** the gross NPL ratio remained extremely low, at just 0.2% of the stock, while the coverage ratio improved to 81.3%.

**3.**  **<u>Consumer Finance</u>: record revenues in both 9M and 3M (** **€ 954m and € 326m respectively), driven by a solid performance in net interest income (up 9% to € 845m). Excellent commercial results (new loans € 6.7bn, up 9% YoY), with the increase in profitability on loans complementing the disciplined cost of risk, which stood at 174 bps (167 bps last year), improving in 3Q (to 169 bps). The strategy to enhance direct and digital distribution continues, with rapidly increasing commercial penetration in BNPL segment. RORWA 2.9%.** 

**In 9M Compass delivered a record net profit of** **€308m (up 5.6%), €104.6m of which in 3Q (up 3.5% QoQ), and revenues of €954.4m (up 7.4% and up 2% respectively), new record levels, with profitability remaining high (RORWA 2.9%, 10 bps higher than last year).** The increase in new business (€6.7bn) enabled growth in customer loans, which now total €15.8bn (up +5.5% YoY). **Net interest income was buoyed by the consolidation of the margins on new loans and higher average volumes**, and the growth in NII more than offset the increase in the cost base. The cost of risk rose from 167 bps last year to 174 bps, as a result of the different mix of the new business plus an increase in risk in line with the Strategic Plan expectations. The initiatives intended to realize the vision and trajectory outlined in the 2023-26 Strategic Plan "One Brand-One Culture" have continued, based on the following factors:

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| ¨ | **Multi-channel approach targeting growth in direct and digital distribution in particular:** |

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| ¨ | **Expansion of the distribution network** (with seven new agencies opened in 9M, three in 3M), **with focus on enhancement of the proprietary network** (approx. **80% of new business in personal loans generated by the proprietary channels) and variable cost solutions**. At |

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end-March 2025, Compass's distribution platform consisted of 334 points of sale: 183 branch offices, 89 agencies, and 62 Compass Quinto-branded POS (specializing in the sale of salary-backed finance products). Compass Link, which is focused on offering off- site products, has a total of 220 collaborators (stable).

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| ¨ | **Enhancement of the digital channels, which increased their share of personal loans through the direct channel to 40%** (vs 33% in FY 2023-24), **helped by the introduction of new easier methods for identifying new clients** (including use of the SPID digital identity), **speed of approval** (more than 80% of applications are approved in one hour and 90% in two hours); |

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| ¨ | **Valuable new business**, in terms of risk profile and high and sustainable profitability: |

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| ¨ | **Customer loans totalled €15.8bn, on higher yields, which drove an increase in net interest income, of 8.6% YoY and 2.3% QoQ.** |

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| ¨ | **Cost of risk under close control** (174 bps), on the back of Compass's proven risk assessment capability, **with modest use of overlays (€31m in 9M and €10m in 3M).** |

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| ¨ | **RORWA 2.9%, due to growth in net profit with RWAs compressed** (following the first SRT securitization carried out in June 2024, which generated a savings in terms of RWAs of €500m, a further €200m in savings were recorded in 1Q FY 2024-25 following the revision of the AIRB models, plus another €500m benefit in 3Q after Basel IV came into force); |

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| ¨ | **Development and growth of BNPL as consumer credit product, managed by leveraging on Compass's distinctive capabilities:** September 2024 saw the launch of **HeyLight, the new integrated platform featuring innovative Buy Now Pay Later services,** which developed out of the merger between Pagolight and HeidiPay in Switzerland. HeyLight now has a broad base in terms of commercial agreements, with more than 1,900 digital stores and more than 35,000 POS. |

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**The Italian consumer credit market reported significant growth in flows financed in the first quarter of 2025, with an increase of 7.9% compared to the previous year, for a total of** **€14.9bn financed.** The sector's positive performance was driven by personal loans (up 12.6%) and by salary-/pension- backed finance (up 7.6%). **Compass in the first three months of the 2025 calendar year reported 5.5% growth, with a market share of 13.8%.**

In the nine months under review, **Compass granted loans of** **€6.7bn (up 9.1% YoY and up 5% QoQ)**, with all products contributing positively. **Personal loans rose by 9.9%, from €2,857m to €3,140m, helped by the growth of the direct channel (up 8.2%, from €2,238m to €2,422m), and a good performance for the quarter by the Poste Italiane channel (up 84%).** There was robust growth in new loans both in BNPL (up 41%, from €358m to €506m) and salary-backed finance (up 28%, from €283m to €363m). Automotive finance was virtually stable (up 1%, from €1,051m to €1,064m), as were special-purpose loans (up 3%, from €875m to €899m).

**The growth in revenues (up 7.4%, from** **€888.3m to €954.4m, up 1.9% QoQ)** was higher than the growth in average lending volumes (which rose by 6%). The main income items performed as follows:

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| ¨ | **Net interest income posted a record total of €845.2m, 8.6% higher than last year** (€778.4m), reflecting quarter-on-quarter growth; an excellent performance, which reflects the growth in lending increasingly focused on direct personal loans, the higher profitability of which has enabled the yield on loans to reverse the trend in market interest rates, thus absorbing the increase in the cost of funding; |

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| ¨ | **Fee income was stable, decreasing from €110.1m to €109.6m**, with an increasing contribution from HeyLight's activities (up 13%, from €14.5m to €16.4m), and a good performance in |

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revenues from credit recovery operations (up 8%), which offset the reduction in fees from insurance activities (down 7%) and the rise in *rappel* fees.

**Operating costs, which reflect the strong development activity in terms of products and channels, totalled** **€291.3m, higher than last year** (€271.3m) and higher also on a quarterly basis (up 3%). **Of this increase, €5.7m is attributable to labour costs** (up 6.4%, from €88.6m to €94.3m), **due to the growth in headcount** and the remuneration policies. **Administrative expenses rose by €14.3m (from €182.7m to €197m), primarily due to the technology component** (to support the resilience and security of the systems used for digital sales), **followed by the growth in management costs linked to volumes and recoveries. The cost/income ratio was in line with last year, at 30.5%.**

**Loan loss provisions rose by 9.7%, from** **€184.1m to €201.9m (down 2% QoQ), most of which due to the different product mix, with a higher share of personal loans** (which require a higher level of provisioning from the time at which they are granted), **plus the risk indicators gradually realigning with pre-Covid levels as expected. The cost of risk stood at 174 bps (compared with 167 bps last year), decreasing to 169 bps in 3Q** (reflecting the modest use of overlays in an amount of €10m). **The overlays at end-March 2025 amounted to €144m.** The management cost of risk<sup>14</sup> increased by approx. 8 bps in 3Q (to 195 bps).

**Gross NPLs totalled** **€854.5m** (31/12/24: €1,050.0m), and reduced in relative terms from 6.21% of total loans to 4.9% as an effect of the write-off of positions in the final stages of the recovery process and fully covered, for a total amount of approx. €260m, made to reduce the percentage of non- performing exposures to below 5%. **The coverage level remains excellent** (the ratio declining from 74.3% to 66.2%), and **net NPLs** (€278.8m) continue to be low in relative terms at just 1.76% of total loans (compared with 1.73% at end-December 2024). Net bad debts, virtually unchanged, totalled €5m, reflecting a coverage ratio of 94.2%. The coverage ratio for performing loans was basically

stable, at 3.52%.

**4.**  **<u>Insurance</u>: high contribution to Group earnings (** **€ 350m) – RORWA 3.2%** 

**This division delivered a net profit for the nine months of** **€350m** (€109.7m of which in 3Q), virtually in line with last year (€353m) on equity method valuations of €336.6m, deriving primarily from Assicurazioni Generali, and upward adjustments to reflect current fair value for holdings in funds, which at €17.7m were slightly lower than last year (€19.7m); the RoRWA for the division was down 20 bps to 3.2%.

The equity method results in a slight reduction of 2% (from €342.4m to €336.6m), with the contribution from Assicurazioni Generali down 2.5% (from €337.7m to €329m), due to gains realized on disposal last year. The book value of the Assicurazioni Generali investment rose from €4,000.7m to €4,076.7m, due primarily to the profit for the period (€102.4m), offset in part by the reduction in reserves (€26.3m). More than half the Assicurazioni Generali investment (€2,294m) is deducted from CET1, while the remainder (€1,783m) is weighted at 370% (in accordance with the Danish Compromise).

The other banking book securities totalled €811.8m (31/12/24: €793.6m). Holdings in funds increased from €546m to €561.4m, while the equity component increased from €247.7m to €250.4m.

<sup>14</sup> Management cost of risk effectively observed net of overlays, without factoring in provisions due exclusively to revisions of the IFRS9 model (PD and LGD unchanged).

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**5.**  **<u>Holding Functions:</u> results declining due to the reduction in interest rates. Proactive funding and treasury management serves the growth of the business divisions.** 

**The net loss posted by the Holding Functions division in the nine months totalled** **€49.7m (approx. €20m of which in 3Q), impacted primarily by the decline in market interest rates** (Euribor 3M: down 95 bps versus twelve months previously, NII down from €138.9m to €61.1m, €13m of which in 3Q) and the performance in net trading income (which decreased from €33.4m to €12.5m, €6.9m of which in 3Q): against this backdrop the regulatory ratios remain high (LCR: 160%; NSFR: 116%; MREL: up 46.3%). Operating costs decreased from €139.2m to €127.7m (down 8.3% YoY and down 3.3% QoQ), including the central cost component, stable at €83.1m, which represents 7.1% of the Group's total costs (7.4% last year).

The main areas performed as follows:

---

| | |
|:---|:---|
| ¨ | Leasing: a net profit of €3.5m was earned (vs €2.8m last year; up 3% QoQ), reflecting the reduction in revenues (down 15.2% YoY; down 3.6% QoQ) which was offset by net writebacks to credit assets (with €2.9m credited) in relation to the lower stock (which decreased from €1,172.7m to €1,145.6m); equally, gross NPLs declined from €70.1m to €61.3m, with net NPLs totalling approx. €14m; |

---

---

| | |
|:---|:---|
| ¨ | Funding: launch of the first securitization of factoring receivables, which involved the sale of approx. €725m in receivables, against which the sale of senior notes in an amount of €600m has been completed. Placement of the first €300m Mediobanca Sustainability 10.5NC5.5 Tier 2 bond issue. |

---

\*\*\*\*

**Group Sustainability Roadmap**

The Group, which has always been very sensitive to Environmental, Social and Governance (ESG) issues, has stepped up its efforts in the sustainability area.

The increasing integration of these principles into the company's processes has been recognized by the leading ESG rating agencies. These include **ISS, which has raised the Group** **'s ESG Corporate Rating from C to C+**, the highest score in the banking sector, whereas **S&P has included Mediobanca in its Global Sustainability Yearbook for 2025**. Furthermore, Compass Banca and Mediobanca Premier have also obtained UNI/PdR 125:2022 gender parity certification, which had already been granted to Mediobanca and MBCS.

With regard to the need to address climate change, the Group has consolidated its progress towards decarbonization by confirming its commitment to use 100% energy from renewable sources and offsetting its greenhouse gas emissions (Scope 1 and Scope 2, market-based).

As for the Social pillar, the Group has confirmed its commitment to the communities in which it operates by taking part in charitable initiatives, which include renewing its partnership with UNHCR to support its programme for protecting underage refugees in Italy.

In March 2024, Mediobanca successfully completed its first €300m Tier 2 Sustainable issue, thus achieving the ESG objective to issue two sustainability bonds set in the 2023-26 Strategic Plan, well ahead of schedule.

With reference to the other Strategic Plan targets, the ESG product and services offering as of 31 March 2025 comprises:

---

| | |
|:---|:---|
| ¨ | **Lending activity reflects an ESG stock of some €5.9bn**, 74% of which attributable to CIB, 16% to WM, and 11% to Consumer Finance. |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

---

| | |
|:---|:---|
| ¨ | **DCM activity** has again seen Mediobanca confirm its position as one of the leading players in the ESG space, closing a total of 15 deals for nearly €8bn since July 2024. |

---

---

| | |
|:---|:---|
| ¨ | **The share of ESG funds** (SFDR Article 8 and 9 funds) in WM division clients' portfolios is equal to 48%. |

---

\*\*\*\*

**Mediobanca S.p.A.**

The Parent Company delivered a net profit of €683.6m in the nine months (up 14% YoY), including €89m in the third quarter. Revenues totalled €1,191.4m (up 8.5% YoY), €260m of which in 3Q, on a good performance in fees (up 26.3% YoY) and dividends from Group Legal Entities (up €91.1m YoY), which offset the anticipated reduction in net interest income (down 20.5% YoY).

At the same time, operating costs rose by 4.2% YoY (from €390.4m to €406.8m, €137m of which in 3Q), with the cost/income ratio decreasing to 34%.

Net writebacks to receivables were credited in the nine months for a total of €10.6m, following the adjustment to the Large Corporate PD made during the quarter (the stock of overlays was stable at €17m).

The Bank's total assets rose during the three months, from €88.9bn to €89.1bn, with net customer loans increasing from €42.5bn to €42.9bn, comprising €14.8bn in corporate loans, €1.4bn in loans to Private Banking clients, and €26.7bn in loans to Group Legal Entities; funding totalled €72.4bn, with strong debt security market activity (including €2bn in new issues, stock €26bn) and an increase in Wealth Management deposits (+€1bn, stock €24bn).

\*\*\*\*

**Outlook**

The European scenario for the coming months will continue to reflect the uncertainty deriving from the geopolitical risks and from the first initiatives implemented by the new US administration: the imposition of tariffs on international markets could weaken the leading EU economies despite the accommodative measures put in place by the European Commission and the individual countries.

**The Mediobanca Group**, on the back of the results thus far achieved and the potential embedded in its business model, **confirms its end-of-year objectives** (for FY 2024-25):

---

| | |
|:---|:---|
| ¨ | **NNM of €9-10bn**. |

---

---

| | |
|:---|:---|
| ¨ | **Revenues growing,** with fees set to grow at a low double-digit rate, and net interest income resilient (despite the anticipated reduction in interest rates) due to the strength of Consumer Finance operations, which are able to absorb the reduction in yields on other assets. |

---

¨ Cost/income ratio and cost of risk under control.

---

| | |
|:---|:---|
| ¨ | **Growth in Earnings Per Share (EPS) expected in the 6-8% range;<sup>15</sup>** |

---

<sup>15</sup> Calculated including the cancellation of shares acquired as part of the €385m buyback in the process of being executed.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

---

| | |
|:---|:---|
| ¨ | Shareholder remuneration, including completion of the share buyback currently in progress (€385m, 71% of which already complete), plus a 70% cash payout (with an interim dividend payable in May 2025 and the balance due in November 2025), as well as decisions on possible further buybacks which will be disclosed by end-June 2025. |

---

\*\*\*

**Public exchange offer for Banca Generali<sup>16</sup>**

At a BoD meeting held on 27 April 2025, the BoD of Mediobanca approved a public exchange offer for Banca Generali shares, subject, inter alia, to approval by shareholders at an ordinary general meeting called to take place on 16 June 2025.

The transaction, which aims to merge Banca Generali into the Mediobanca Group Wealth Management Division, will **strongly accelerate the Mediobanca Group** **'s transformation, fulfilling the objective stated in the "One Brand-One Culture" Strategic Plan** for the Group to establish itself definitively as a leading wealth manager, distinctive for its positioning (as a Private & Investment Bank, or "PIB"), brand, ability to attract talented professionals, and guarantee remuneration for its shareholders. The proposed combination will create a **market leader**, ranking second in Italy by assets (TFAs of €210bn) and distribution network (approx. 3,700 professionals), with the highest performance in terms of organic growth (NNM of over €15bn per annum) at the high end of the Italian wealth management market.

**The transaction will result in the creation of a Group which is unique in terms of its business model: capital-light, with limited sensitivity to interest rates and credit risk, attractive profit mix** (net profit of €1.5bn, 50% of which from WM, 20% from CIB, and 30% from CF), and **distinctive for its brand and quality of human capital:**

---

| | |
|:---|:---|
| ¨ | **Wealth Management** will become the Mediobanca Group's core business, as well as its strategic priority, with revenues to increase by 2x (45% of consolidated revenues, equal to €4.4bn) and net profit by 4x to €0.8bn (50% of the Group's net profit). |

---

---

| | |
|:---|:---|
| ¨ | **Corporate and Investment Banking** will become increasingly synergistic with Wealth Management, at the same time continuing to pursue its increasing international focus and emphasis on capital-lighter and fee-generating businesses. |

---

---

| | |
|:---|:---|
| ¨ | **Consumer Finance** will confirm its ongoing ability to generate growth in volumes, revenues and net profit, confirming its position as the driver of the Group's net interest income, and its anti- cyclical and risk diversification role within the Group. |

---

---

| | |
|:---|:---|
| ¨ | **Assicurazioni Generali** from financial investment for Mediobanca will become an industrial partner. |

---

**The combination between Mediobanca and Banca Generali will create value for all stakeholders:**

---

| | |
|:---|:---|
| ¨ | **Italian system**: creation of a domestic leader in wealth management which stands out for its unique brand, capital and reputational solidity, best practice in terms of governance, and growth prospects. |

---

---

| | |
|:---|:---|
| ¨ | **Shareholders:** for Mediobanca, to exchange the AG investment for ownership of BG represents an efficient reallocation of capital in favour of an industrial business which is highly synergistic and offers appealing growth prospects; the company's revenues and earnings profiles will be |

---

<sup>16</sup> This section (regarding the public exchange offer for Banca Generali, and the public exchange offer launched by MPS for Mediobanca) was approved by the Board with Directors Sandro Panizza and Sabrina Pucci abstaining.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

enhanced by the deal, as will its capability to generate capital and so offer its shareholders a best-in-class remuneration policy. BG shareholders will have an opportunity to exchange their investment at high levels, increasing the liquidity of their investment in a stock that will offer them considerable upside potential.

---

| | |
|:---|:---|
| ¨ | **Customers:** the clients of Mediobanca and Banca Generali (savers, entrepreneurs, and companies) will be able to access an expanded range of excellent Private & Investment Banking products, mortgages and private loans. |

---

---

| | |
|:---|:---|
| ¨ | **Professionals:** the professionals of both groups will be able to offer their clients a broad and distinctive range of products and services; the pooling of the two groups' finest management and professional capabilities will also enable the combined entity to significantly enhance its leadership position, making it a highly attractive proposition for talented new staff; |

---

**The combination will strengthen Mediobanca** **'s earnings and capital profile, and through the significant reallocation of capital, will rebalance the mix of revenues and profits, proving to be accretive in terms of profitability, earnings, and shareholder remuneration.**

---

| | |
|:---|:---|
| ¨ | **Capital reallocation:** exchanging the Assicurazioni Generali investment for Banca Generali means that Mediobanca's capital will be entirely allocated to three synergistic businesses (WM, CIB, CF) expected to see attractive growth rates in future years. The AG investment will be sold for €6.3bn, generating a gain on disposal of €2.2bn. |

---

---

| | |
|:---|:---|
| ¨ | **Change in relation between Mediobanca/AG from financial to industrial:** Mediobanca intends to continue the existing partnership between AG and BG in *bancassurance* and asset management, extending it to the new scope of MBWM. |

---

---

| | |
|:---|:---|
| ¨ | **Generation of €300m in synergies** (Gross Operating Profit), 50% costs, 28% revenues, 22% funding, **with low execution risk in view of the shared DNA of excellence and high levels of complementarity between the two groups in terms of management and competences**, prerequisites that further strengthen the clear industrial rationale for the deal. |

---

---

| | |
|:---|:---|
| ¨ | **Group enhanced and more efficient<sup>17</sup>:** |

---

&nbsp;&nbsp;&nbsp;&nbsp;o € 4.4bn
 in revenues (growth of over 15%), € 1.8bn
 of which in fee income (up 65%).

&nbsp;&nbsp;&nbsp;&nbsp;o € 1.5bn
 in net profit, € 0.8bn
 of which from WM (50%).

&nbsp;&nbsp;&nbsp;&nbsp;o Over € 210bn
in TFAs (€ 110bn of which in AUM), € 56bn
in customer loans, € 76bn in funding, of which € 40bn
in deposits, L/D ratio of 1.4x (vs 1.9x).

&nbsp;&nbsp;&nbsp;&nbsp;o Cost/income
 ratio 40% (vs 42%), RWAs € 44bn,
 with density of 40% (vs 48%).

---

| | |
|:---|:---|
| ¨ | **Value creation** |

---

&nbsp;&nbsp;&nbsp;&nbsp;o ROTE:
 from 14% to over 20%.

&nbsp;&nbsp;&nbsp;&nbsp;o EPS
 accretive: mid single-digit stated, double-digit banking.<sup>2</sup>

&nbsp;&nbsp;&nbsp;&nbsp;o CET1
 14% (after CTA and PPA), with enhanced capital generation capability (up 20% to 270 bps per
 annum<sup>18</sup>).

&nbsp;&nbsp;&nbsp;&nbsp;o Cumulative
 yield of 22%<sup>19</sup> in next 18M (dividends and share buybacks), confirming the objectives
 of the current Strategic Plan.

<sup>17</sup> Mediobanca data pro forma (as at 31/12/24, annualized)+ BG (data as at 31/12/24).

<sup>18</sup> Average capital creation in the 2023-26 three-year period: 250 bps (cf. Strategic Plan "One Brand-One Culture".

<sup>19</sup> Including dividends and share buybacks and calculated based on the average MB stock market price in the last month at deal announcement.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**Conversely, the MPS offer for Mediobanca presents numerous risk factors:**

---

| | |
|:---|:---|
| ¨ | **The combined entity could be an undifferentiated mid-size commercial bank** (aggregated earnings: 63% from retail/SMEs, 14% WM, 12% CIB, other), **with high capital absorption, highly sensitive to the macroeconomic scenario, with no strengthening in any of the business segments, and the risks inherent in the MPS balance sheet unchanged;** |

---

---

| | |
|:---|:---|
| ¨ | **MPS has no management track record in WM and CIB,** making execution risk particularly high, not least because of the differences in corporate culture and the lack of an industrial rationale for the deal; |

---

---

| | |
|:---|:---|
| ¨ | **Double-digit reduction in EPS due to limited funding synergies** because of the different positioning of the retail clients**, material revenues dis-synergies** due to clients and professionals leaving in Wealth Management (high-end in particular – Premier/Private) and Investment Banking, who do not see the MPS group as "the bank of choice", plus the **basic absence of real cost synergies,** given the lack of overlap between the commercial networks, the different business models and related information systems; it is more likely that substantial retention costs will emerge in order to retain FAs and private and investment bankers; |

---

---

| | |
|:---|:---|
| ¨ | **Difficulty of estimating ROTE and CET1 levels for the new entity and hence of it making sustainable payouts,** due to issues regarding the resilience of the franchise, the non-recurring items recorded in the MPS balance sheet (tax and legal risks), and the high sensitivity to interest rates and credit risk, in a scenario in which interest rates are expected to reduce significantly, and a macro scenario which penalizes SMEs in particular; |

---

---

| | |
|:---|:---|
| ¨ | **Negative impact on credit rating**, already emphasized by all rating agencies, and the reason for the Outlook downgrade by Moody's (rating Baa1, Outlook revised from Stable to Negative on 31 January 2025); |

---

---

| | |
|:---|:---|
| ¨ | **Likely dilution of Mediobanca valuation multiples,** due to change in strategic positioning, plus the fact that the expected revenues and profit composition and growth will cease to apply; |

---

---

| | |
|:---|:---|
| ¨ | **Strong discount implied in the Offer price** relative to the intrinsic value of the Mediobanca stock, its businesses and expectations in terms of growth and value creation. |

---

**These risk factors would be further amplified with the combination Mediobanca-Banca Generali.**

---

| | |
|:---|:---|
| Milan, 9 May 2025 |  |
| **Investor Relations** | **Media Relations** |
| Tel. no.: (0039) 02-8829.860 | Tel. no.: (0039) 02-8829.319 |
| investor.relations@mediobanca.com | media.relations@mediobanca.com |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;**1.** **Restated consolidated profit and loss accounts** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| <br>**Mediobanca Group (€m)** | **31/03/2024** | **31/03/2025** |<br>**Chg. %** |
| Net interest income | 1492.4 | 1476.0 | -1.1% |
| Net treasury income | 133.6 | 137.2 | 2.7% |
| Net fee and commission income | 660.2 | 819.4 | 24.1% |
| Equity-accounted companies | 342.0 | 335.3 | -2.0% |
| **Total income** | **2628.2** | **2767.9** | **5.3%** |
| Labour costs | (586.9) | (628.8) | 7.1% |
| Administrative expenses | (537.1) | (548.4) | 2.1% |
| **Operating costs** | **(1124.0)** | **(1177.2)** | **4.7%** |
| Loan loss provisions | (195.7) | (186.1) | -4.9% |
| Provisions for other financial assets | 15.2 | 19.5 | 28.3% |
| Other income (losses) | (26.1) | (24.5) | -6.1% |
| **Profit before tax** | **1297.6** | **1399.6** | **7.9%** |
| Income tax for the period | (331.4) | (347.7) | 4.9% |
| Minority interest \* | (20.1) | (58.7) | n.m. |
| **Net profit** | **946.1** | **993.2** | **5.0%** |

---

\* This item includes the provision for the interests (interest B) attributable to minority partners in the Arma Partnership.

&nbsp;&nbsp;&nbsp;&nbsp;**2.** **Quarterly profit and loss accounts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Mediobanca Group**  | **FY 23/24** | **FY 23/24** | **FY 23/24** | **FY 23/24** | **FY 24/25** | **FY 24/25** | **FY 24/25** |
| | **I Q** | **II Q** | **III Q** | **IV Q** | **I Q** | **II Q** | **III Q** |
| <br>**(€m)** | **30/09/23** | **31/12/23** | **31/03/24** | **30/06/24** | **30/09/24** | **31/12/24** | **31/03/25** |
| Net interest income | 495.7 | 500.8 | 495.9 | 492.4 | 485.0 | 493.9 | 497.1 |
| Net treasury income | 47.5 | 45.9 | 40.2 | 38.6 | 39.2 | 52.6 | 45.4 |
| Net commission income | 179.8 | 242.3 | 238.1 | 279.2 | 231.2 | 315.5 | 272.7 |
| Equity-accounted companies | 140.7 | 77.9 | 123.4 | 168.4 | 109.2 | 121.1 | 105.0 |
| **Total income** | **863.7** | **866.9** | **897.6** | **978.6** | **864.6** | **983.1** | **920.2** |
| Labour costs | (179.7) | (202.5) | (204.7) | (217.6) | (200.1) | (219.0) | (209.7) |
| Administrative expenses | (164.2) | (189.0) | (183.9) | (200.6) | (168.9) | (192.1) | (187.4) |
| **Operating costs** | **(343.9)** | **(391.5)** | **(388.6)** | **(418.2)** | **(369.0)** | **(411.1)** | **(397.1)** |
| Loan loss provisions | (60.0) | (72.9) | (62.8) | (56.4) | (67.2) | (66.2) | (52.7) |
| Provisions for other fin. assets | (0.4) | 5.5 | 10.1 | (1.3) | 12.1 | (1.4) | 8.8 |
| Other income (losses) |  | (25.2) | (0.9) | (64.1) | (2.3) | (11.3) | (10.9) |
| **Profit before tax** | **459.4** | **382.8** | **455.4** | **438.6** | **438.2** | **493.1** | **468.3** |
| Income tax for the period | (107.4) | (113.3) | (110.7) | (105.3) | (100.8) | (130.6) | (116.3) |
| Minority interest | (0.7) | (9.6) | (9.8) | (6.0) | (7.4) | (32.8) | (18.5) |
| **Net profit** | **351.3** | **259.9** | **334.9** | **327.3** | **330.0** | **329.7** | **333.5** |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;**3.** **Restated balance sheet** 

---

| | | | |
|:---|:---|:---|:---|
| **Mediobanca Group (€m)** | **30/06/2024** | **31/12/2024** | **31/03/2025** |
| **Assets** |  |  |  |
| Financial assets held for trading | 15409.5 | 15171.8 | 16561.0 |
| Treasury financial assets | 11102.6 | 10386.4 | 9487.1 |
| Banking book securities | 11340.7 | 12063.4 | 11895.1 |
| Customer loans | 52447.4 | 53858.5 | 54021.6 |
| &nbsp;&nbsp;&nbsp;Corporate | 16042.9 | 17170.4 | 17346.9 |
| &nbsp;&nbsp;&nbsp;Specialty Finance | 2950.4 | 2706.6 | 2376.6 |
| &nbsp;&nbsp;&nbsp;Consumer credit | 15197.6 | 15563.7 | 15820.5 |
| &nbsp;&nbsp;&nbsp;Mortgages | 12568.0 | 12615.3 | 12675.2 |
| &nbsp;&nbsp;&nbsp;Private banking | 4285.2 | 4473.7 | 4505.6 |
| &nbsp;&nbsp;&nbsp;Leasing | 1403.3 | 1328.9 | 1296.8 |
| Equity investments | 4702.7 | 4991.7 | 5111.5 |
| Tangible and intangible assets | 1595.0 | 1639.2 | 1696.5 |
| Other assets | 2628.4 | 1800.7 | 1997.1 |
| **Total assets** | **99226.3** | **99911.7** | **100769.9** |
| **Liabilities** |  |  |  |
| Funding | 63669.9 | 64210.7 | 66130.7 |
| &nbsp;&nbsp;&nbsp;MB bonds | 27619.2 | 28727.7 | 30003.3 |
| &nbsp;&nbsp;&nbsp;Retail deposits | 16888.0 | 17903.9 | 17922.1 |
| &nbsp;&nbsp;&nbsp;Private Banking deposits | 11010.6 | 10292.1 | 10929.3 |
| &nbsp;&nbsp;&nbsp;ECB | 1313.2 |  |  |
| &nbsp;&nbsp;&nbsp;Banks and other | 6838.9 | 7287.0 | 7276.0 |
| Treasury financial liabilities | 10584.1 | 11840.5 | 9861.2 |
| Financial liabilities held for trading | 9504.7 | 9095.4 | 9538.8 |
| Other liabilities | 4066.3 | 3295.1 | 3635.9 |
| Provisions | 158.1 | 148.8 | 139.5 |
| Net equity | 11243.2 | 11321.2 | 11463.8 |
| &nbsp;&nbsp;&nbsp;Minority interest | 86.1 | 86.2 | 14.1 |
| &nbsp;&nbsp;&nbsp;Profit for the period | 1273.4 | 659.7 | 993.2 |
| **Total liabilities** | **99226.3** | **99911.7** | **100769.9** |
| CET 1 capital | 7222.5 | 7248.1 | 7209.7 |
| Total capital | 8438.0 | 8380.8 | 8581.9 |
| RWA | 47622.0 | 47561.2 | 46343.7 |

---

&nbsp;&nbsp;&nbsp;&nbsp;**4.** **Consolidated shareholders ' equity** 

---

| | | | |
|:---|:---|:---|:---|
| **Net equity (€m)** | **30/06/2024** | **31/12/2024** | **31/03/2025** |
| Share capital | 444.5 | 444.7 | 444.7 |
| Other reserves | 9929.0 | 10282.9 | 10185.2 |
| Interim dividend | (421.2) |  |  |
| Valuation reserves | (68.6) | (152.3) | (173.4) |
| - of which: Other Comprehensive Income | 116.5 | 143.8 | 143.2 |
| &nbsp;&nbsp;&nbsp;cash flow hedge | 113.7 | (36.6) | (42.9) |
| &nbsp;&nbsp;&nbsp;equity investments | (274.4) | (247.0) | (264.6) |
| Minority interest | 86.1 | 86.2 | 14.1 |
| Profit for the period | 1273.4 | 659.7 | 993.2 |
| **Total Group net equity** | **11243.2** | **11321.2** | **11463.8** |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

&nbsp;&nbsp;&nbsp;&nbsp;**5.** **Ratios and per share data** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Financial year 23/24** |  | **Financial year 24/25** | **Financial year 24/25** | **Financial year 24/25** |
| <br>**MB Group** | **30/06/2024** |  | **31/12/2024** |  | **31/03/2025** |
| Total assets / Net equity | 8.8 |  | 8.8 |  | 8.8 |
| Loans / Funding | 0.82 |  | 0.84 |  | 0.82 |
| RWA density | 48 | % | 47.6 | % | 46% |
| CET1 ratio phase-in | 152 | % | 15.2 | % | 15.6% |
| Total capital phase-in | 17.7 | % | 17.6 | % | 18.5% |
| S&P Rating | BBB |  | BBB |  | BBB+ |
| Fitch Rating | BBB |  | BBB |  | BBB |
| Moody's Rating | Baa1 |  | Baa1 |  | Baa1 |
| Cost / Income (%) | 42.8 |  | 42.2 |  | 42.5 |
| Gross NPLs/Loans ratio (%) | 2.5 |  | 2.5 |  | 2 |
| Net NPLs/Loans ratio (%) | 0.8 |  | 0.8 |  | 0.8 |
| EPS (€) | 1.53 |  | 0.79 |  | 1.19 |
| EPS adj. (€) | 1.64 |  | 0.81 |  | 1.22 |
| BVPS (€) | 12.8 |  | 12.9 |  | 12.9 |
| TBVPS (€) | 11.6 |  | 11.7 |  | 11.6 |
| DPS (€) | 1.07 | (\*) | 0.56 | (\*\*) |  |
| ROTE adj. (%) | 14 |  | 14 |  | 14 |
| RORWA adj. (%) | 2.8 |  | 2.8 |  | 2.9 |
| No. shares (m) | 832.9 |  | 833.3 |  | 833.3 |

---

(\*) interim + balance; (\*\*) interim dividend

**6.** **Profit-and-loss figures/balance-sheet data by division** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **9m – Mar 25 (€m)** | **WM** | **CIB** | **CF** | **INS** | **Holding<br> Functions** | **Group** |
| Net interest income | 304.8 | 238.1 | 845.2 | (5.3) | 61.1 | 1476.0 |
| Net treasury income | 8.9 | 98.5 |  | 18.6 | 12.5 | 137.2 |
| Net fee and commission income | 413.1 | 340.7 | 109.6 | (0.5) | 4.0 | 819.4 |
| Equity-accounted companies |  |  | (0.4) | 336.6 | (0.8) | 335.3 |
| **Total income** | **726.8** | **677.3** | **954.4** | **349.4** | **76.8** | **2767.9** |
| Labour costs | (250.9) | (173.7) | (94.3) | (3.2) | (106.6) | (628.8) |
| Administrative expenses | (223.2) | (122.9) | (197.0) | (1.0) | (21.1) | (548.4) |
| **Operating costs** | **(474.1)** | **(296.6)** | **(291.3)** | **(4.2)** | **(127.7)** | **(1177.2)** |
| Loan loss provisions | 0.7 | 11.8 | (201.9) |  | 3.3 | (186.1) |
| Provisions for other financial assets | 0.3 |  |  | 17.7 | 1.5 | 19.5 |
| Other income (losses) | (5.0) | (3.4) |  |  | (1.5) | (24.5) |
| **Profit before tax** | **248.7** | **389.1** | **461.2** | **362.9** | **(47.6)** | **1399.6** |
| Income tax for the period | (78.2) | (108.6) | (153.2) | (12.9) | (0.7) | (347.7) |
| Minority interest | (1.6) | (55.5) |  |  | (1.4) | (58.7) |
| **Net profit** | **168.9** | **225.0** | **308.0** | **350.0** | **(49.7)** | **993.2** |
| Loans and advances to Customers | 17180.8 | 19723.5 | 15820.5 |  | 1296.8 | 54021.6 |
| RWAs | 6333.9 | 14057.6 | 13956.0 | 8016.1 | 3980.2 | 46343.7 |
| No. of staff | 2267 | 767 | 1583 | 9 | 882 | 5508 |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**Profit-and-loss figures/balance-sheet data by division**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **9m – Mar 24 (€m)** | **WM** | **CIB** | **CF** | **INS** | **Holding<br> Functions** | **Group** |
| Net interest income | 319.9 | 233.2 | 778.4 | (5.3) | 138.9 | 1492.4 |
| Net treasury income | 6.9 | 77.9 | 0.2 | 12.0 | 33.4 | 133.6 |
| Net fee and commission income | 363.3 | 224.8 | 110.1 |  | 7.7 | 660.2 |
| Equity-accounted companies |  |  | (0.4) | 342.4 |  | 342.0 |
| **Total income** | **690.1** | **535.9** | **888.3** | **349.1** | **180.0** | **2628.2** |
| Labour costs | (244.0) | (147.2) | (88.6) | (3.1) | (104.0) | (586.9) |
| Administrative expenses | (212.7) | (119.3) | (182.7) | (0.9) | (35.2) | (537.1) |
| **Operating costs** | **(456.7)** | **(266.5)** | **(271.3)** | **(4.0)** | **(139.2)** | **(1124.0)** |
| Loan loss provisions | (8.6) | 2.8 | (184.1) |  | (5.8) | (195.7) |
| Provisions for other financial assets | 1.4 | (2.9) |  | 19.7 | (3.0) | 15.2 |
| Other income (losses) | (3.4) | 1.1 | 0.1 |  | (24.0) | (26.1) |
| **Profit before tax** | **222.8** | **270.4** | **433.0** | **364.8** | **8.0** | **1297.6** |
| Income tax for the period | (68.7) | (84.2) | (141.4) | (11.8) | (23.9) | (331.4) |
| Minority interest | (1.0) | (17.2) |  |  | (1.9) | (20.1) |
| **Net profit** | **153.1** | **169.0** | **291.6** | **353.0** | **(17.8)** | **946.1** |
| Loans and advances to Customers | 16911.2 | 18729.2 | 14961.6 |  | 1399.2 | 52001.2 |
| RWAs | 5765.0 | 16277.4 | 14747.8 | 8067.6 | 3916.0 | 48773.8 |
| No. of staff | 2243 | 727 | 1542 | 9 | 866 | 5387 |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**7.** **Wealth Management** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| <br>**Wealth Management (€m)** | **31/03/2024** | **31/03/2025** | <br>**Chg.%** |
| Net interest income | 319.9 | 304.8 | -4.7% |
| Net trading income | 6.9 | 8.9 | 29.0% |
| Net fee and commission income | 363.3 | 413.1 | 13.7% |
| **Total income** | **690.1** | **726.8** | **5.3%** |
| Labour costs | (244.0) | (250.9) | 2.8% |
| Administrative expenses | (212.7) | (223.2) | 4.9% |
| **Operating costs** | **(456.7)** | **(474.1)** | **3.8%** |
| Loan loss provisions | (8.6) | 0.7 | n.m. |
| Provisions for other financial assets | 1.4 | 0.3 | -78.6% |
| Other income (losses) | (3.4) | (5.0) | 47.1% |
| **Profit before tax** | **222.8** | **248.7** | **11.6%** |
| Income tax for the period | (68.7) | (78.2) | 13.8% |
| Minority interest | (1.0) | (1.6) | 60.0% |
| **Net profit** | **153.1** | **168.9** | **10.3%** |
| Loans and advances to customers | 16911.2 | 17180.8 | 1.6% |
| New loans (mortgages) | 758.1 | 1024.1 | 35.1% |
| <u>TFA (Stock, € bn)</u> | 96.5 | 108.3 | 12.2% |
| &nbsp;&nbsp;&nbsp;-AUM/AUA | 70.1 | 79.4 | 13.2% |
| &nbsp;&nbsp;&nbsp;-Deposits | 26.4 | 28.9 | 9.4% |
| TFA (Net New Money, € bn) | 5.1 | 7.2 | 40.4% |
| &nbsp;&nbsp;&nbsp;-AUM/AUA | 6.8 | 6.2 | -8.9% |
| &nbsp;&nbsp;&nbsp;-Deposits | (1.8) | 1 | n.m. |
| No. of staff | 2243 | 2267 | 1.1% |
| RWAs | 5765 | 6333.9 | 9.9% |
| Cost / income ratio (%) | 66.2% | 65.2% |  |
| Gross NPL / Gross loans ratio (%) | 1.3% | 1.2% |  |
| Net NPL / Net loans ratio (%) | 0.8% | 0.7% |  |
| RORWA adj | 3.6% | 3.8% |  |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**8.** **Corporate & Investment Banking** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| <br>**Corporate & Investment Banking (€m)** | **31/03/2024** | **31/03/2025** | <br>**Chg.%** |
| Net interest income | 233.2 | 238.1 | 2.1% |
| Net treasury income | 77.9 | 98.5 | 26.4% |
| Net fee and commission income | 224.8 | 340.7 | 51.6% |
| **Total income** | **535.9** | **677.3** | **26.4%** |
| Labour costs | (147.2) | (173.7) | 18.0% |
| Administrative expenses | (119.3) | (122.9) | 3.0% |
| **Operating costs** | **(266.5)** | **(296.6)** | **11.3%** |
| Loan loss provisions | 2.8 | 11.8 | n.m. |
| Provisions for other financial assets | (2.9) |  | n.m. |
| Other income (losses) | 1.1 | (3.4) | n.m. |
| **Profit before tax** | **270.4** | **389.1** | **43.9%** |
| Income tax for the period | (84.2) | (108.6) | 29.0% |
| Minority interest | (17.2) | (55.5) | n.m. |
| **Net profit** | **169.0** | **225.0** | **33.1%** |
| Loans and advances to customers | 18729.2 | 19723.5 | 5.3% |
| No. of staff | 727 | 767 | 5.5% |
| RWAs | 16277.4 | 14057.6 | -13.6% |
| Cost / income ratio (%) | 49.7% | 43.8% | -11.9% |
| Gross NPL / Gross loans ratio (%) | 0.3% | 0.2% |  |
| Net NPL / Net loans ratio (%) | 0.1% | 0.03% |  |
| RORWA adj | 1.3% | 2.1% |  |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**9.** **Consumer Finance** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| <br>**Consumer Finance (€m)** | **31/03/2024** | **31/03/2025** | <br>**Chg.%** |
| Net interest income | 778.4 | 845.2 | 8.6% |
| Net trading income | 0.2 |  | n.m. |
| Net fee and commission income | 110.1 | 109.6 | -0.5% |
| Equity-accounted companies | (0.4) | (0.4) | n.m. |
| **Total income** | **888.3** | **954.4** | **7.4%** |
| Labour costs | (88.6) | (94.3) | 6.4% |
| Administrative expenses | (182.7) | (197.0) | 7.8% |
| **Operating costs** | **(271.3)** | **(291.3)** | **7.4%** |
| Loan loss provisions | (184.1) | (201.9) | 9.7% |
| Provisions for other financial assets |  |  | n.m. |
| Other income (losses) | 0.1 |  | n.m. |
| **Profit before tax** | **433.0** | **461.2** | **6.5%** |
| Income tax for the period | (141.4) | (153.2) | 8.3% |
| **Net profit** | **291.6** | **308.0** | **5.6%** |
| Loans and advances to customers | 14961.6 | 15820.5 | 5.7% |
| New loans | 6134.4 | 6692.0 | 9.1% |
| No. of branches | 181 | 183 | 1.1% |
| No. of agencies | 80 | 89 | 11.3% |
| No. of staff | 1542 | 1583 | 2.7% |
| RWAs | 14747.8 | 13956.0 | -5.4% |
| Cost / income ratio (%) | 30.5% | 30.5% |  |
| Gross NPL / Gross loans ratio (%) | 6.0% | 4.9% |  |
| Net NPL / Net loans ratio (%) | 1.5% | 1.8% |  |
| RORWA adj | 2.7% | 2.9% |  |

---

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

**10.** **Insurance** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| <br>**Insurance - PI (€m)** | **31/03/2024** | **31/03/2025** | <br>**Chg. %** |
| Net interest income | (5.3) | (5.3) | n.m. |
| Net treasury income | 12.0 | 18.6 | 55.0% |
| Net fee and commission income |  | (0.5) | n.m. |
| Equity-accounted companies | 342.4 | 336.6 | -1.7% |
| **Total income** | **349.1** | **349.4** | **0.1%** |
| Labour costs | (3.1) | (3.2) | 3.2% |
| Administrative expenses | (0.9) | (1.0) | 11.1% |
| **Operating costs** | **(4.0)** | **(4.2)** | **5.0%** |
| Loan loss provisions |  |  | n.m. |
| Provisions for other financial assets | 19.7 | 17.7 | -10.2% |
| Other income (losses) |  |  | n.m. |
| **Profit before tax** | **364.8** | **362.9** | **-0.5%** |
| Income tax for the period | (11.8) | (12.9) | 9.3% |
| Minority interest |  |  | n.m. |
| **Net profit** | **353.0** | **350.0** | **-0.8%** |
| Equity investments | 3917.2 | 4158.7 | 6.2% |
| Other investments | 782.4 | 811.8 | 3.8% |
| RWAs | 8067.6 | 8016.1 | -0.6% |
| RORWA adj | 3.4% | 3.2% |  |
| No. of staff | 9 | 9 | n.m. |

---

**11.** **Holding Functions** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| <br>**Holding Functions (€m)** | **31/03/2024** | **31/03/2025** |<br>**Chg. %** |
| Net interest income | 138.9 | 61.1 | -56.0% |
| Net treasury income | 33.4 | 12.5 | -62.6% |
| Net fee and commission income | 7.7 | 4.0 | -48.1% |
| Equity-accounted companies |  | (0.8) | n.m. |
| **Total income** | **180.0** | **76.8** | **-57.3%** |
| Labour costs | (104.0) | (106.6) | 2.5% |
| Administrative expenses | (35.2) | (21.1) | -40.1% |
| **Operating costs** | **(139.2)** | **(127.7)** | **-8.3%** |
| Loan loss provisions | (5.8) | 3.3 | n.m. |
| Provisions for other financial assets | (3.0) | 1.5 | n.m. |
| Other income (losses) | (24.0) | (1.5) | n.m. |
| **Profit before tax** | **8.0** | **(47.6)** | **n.m.** |
| Income tax for the period | (23.9) | (0.7) | n.m. |
| Minority interest | (1.9) | (1.4) | -26.3% |
| **Net profit** | **(17.8)** | **(49.7)** | **n.m.** |
| Loans and advances to customers | 1399.2 | 1296.8 | -7.3% |
| Banking book securities | 9094.7 | 8828.7 | -2.9% |
| RWAs | 3916.0 | 3980.2 | 1.6% |
| No. of staff | 866 (432\*) | 882 (450\*) |  |

---

\* HF staff excluding those who work for the support/control units whose cost is charged back to the business lines as "administrative expenses"; the FTEs properly attributable to the HF refer to Group Treasury/ ALM, Leasing and other noncore activities, General Management, plus approx. 40% of the support/control units.

Not for release, publication or distribution, directly on indirectly, in whole or in part, in or into or from the United States of America, Australia, Canada, Japan, or any other jurisdiction where to do so constitute a violation of the relevant laws of such jurisdiction.

![](tm2518026d1_ex99-8img001.jpg)

**12.** **Statement of comprehensive income** 

---

| | | | |
|:---|:---|:---|:---|
|  |  | **9 mths** | **9 mths** |
|  |  | **31/03/2024** | **31/03/2025** |
| **10** | **Gain (loss) for the period** | **948.9** | **995.4** |
|  | **Other income items net of tax without passing through profit and loss** | (16.8) | 3.5 |
| 20. | Equity instruments designated at fair value through other comprehensive income | 23.2 | (7.8) |
| 30. | Financial liabilities designated at fair value through profit or loss (own creditworthiness changes) | (19.6) | 12.8 |
| 40. | Hedge accounting of equity instruments designated at fair value through other comprehensive income |  |  |
| 50. | Property. plant and equipment |  |  |
| 60. | Intangible assets |  |  |
| 70. | Defined-benefit plans | (1.0) | (0.9) |
| 80. | Non-current assets and disposal groups classified as held for sale |  |  |
| 90. | Portion of valuation reserves from investments valued at equity method | (19.4) | (0.6) |
| 100. | Financial income or costs relating to insurance contracts issued |  |  |
|  | **Other income items net of tax passing through profit and loss** | (43.6) | (106.5) |
| 110. | Foreign investment hedges |  |  |
| 120. | Exchange rate differences | 3.8 | 3.5 |
| 130. | Cash flow hedges | (156.1) | (156.7) |
| 140. | Hedging instruments (non-designated items) |  |  |
| 150. | Financial assets (different from equity instruments) at fair value through other comprehensive Income | 55.1 | 36.4 |
| 160. | Non-current assets and disposal groups classified as held for sale |  |  |
| 170. | Part of valuation reserves from investments valued at equity method | 53.6 | 10.3 |
| 180. | Financial income or costs relating to insurance contracts issued |  |  |
| 190. | Income or costs of a financial nature relating to reinsurance disposals |  |  |
| **200.** | **Total other income items net of tax** | **(60.4)** | **(102.9)** |
| **210.** | **Comprehensive income (Item 10+200)** | **888.5** | **892.5** |
| 220. | Minority interest in consolidated comprehensive income | 2.8 | 2.2 |
| **230.** | **Consolidated comprehensive inc. attributable to Mediobanca S.p.A.** | **885.7** | **890.3** |

---

**13.** **Parent company restated financial statements (P&L, balance sheet)** 

---

| | | | |
|:---|:---|:---|:---|
| | **9 mths** | **9 mths** | |
| **Mediobanca S.p.A.**<br>**(€m)** | **31/03/2024** | **31/03/2025** | <br>**Chg.%** |
| Net interest income | 308.0 | 244.9 | -20.5% |
| Net treasury income | 134.2 | 138.0 | 2.8% |
| Net fee and commission income | 234.2 | 295.7 | 26.3% |
| Dividends on investments | 421.7 | 512.8 | 21.6% |
| **Total income** | **1098.1** | **1191.4** | **8.5%** |
| Labour costs | (223.7) | (240.6) | 7.6% |
| Administrative expenses | (166.7) | (166.2) | -0.3% |
| **Operating costs** | **(390.4)** | **(406.8)** | **4.2%** |
| Loan loss provisions | (3.2) | 10.6 | n.m. |
| Provisions for other financial assets | 14.0 | 17.4 | 24.3% |
| Impairment on investments |  |  | n.m. |
| Other income (losses) | (0.5) | (17.5) | n.m. |
| **Profit before tax** | **718.0** | **795.1** | **10.7%** |
| Income tax for the period | (119.0) | (111.5) | -6.3% |
| **Net profit** | **599.0** | **683.6** | **14.1%** |

---

---

| | | | |
|:---|:---|:---|:---|
| **Mediobanca S.p.A.<br> (€m)** | **30/06/2024** | **31/12/2024** | **31/03/2025** |
| **Assets** |  |  |  |
| Financial assets held for trading | 15437.9 | 15130.9 | 16548.6 |
| Treasury financial assets | 13949.5 | 13285.1 | 11886.3 |
| Banking book securities | 11231.6 | 11947.8 | 11723.6 |
| Customer loans | 40282.0 | 42533.2 | 42863.6 |
| Equity Investments | 4836.2 | 4905.4 | 4949.4 |
| Tangible and intangible assets | 170.8 | 171.1 | 170.3 |
| Other assets | 1387.3 | 912.2 | 1001.0 |
| **Total assets** | **87295.3** | **88885.7** | **89142.8** |
| **Liabilities and net equity** |  |  |  |
| Funding | 58292.2 | 58874.0 | 60885.9 |
| Treasury financial liabilities | 11588.1 | 13624.7 | 11548.4 |
| Financial liabilities held for trading | 9666.7 | 9291.5 | 9429.9 |
| Other liabilities | 2637.1 | 1899.3 | 2122.9 |
| Provisions | 79.4 | 79.2 | 71.2 |
| Net equity | 3787.8 | 4522.8 | 4400.9 |
| Profit of the period | 1244.0 | 594.2 | 683.6 |
| **Total liabilities and net equity** | **87295.3** | **88885.7** | **89142.8** |

---

As required by Article154-bis, paragraph 2 of Italian Legislative Decree 58/98, the undersigned hereby declares that the stated accounting information contained in the report conforms to the documents, account ledgers and book entries of the company.

Head of company financial reporting

Emanuele Flappini

## Exhibit 99.9

**Exhibit 99.9**

---

| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

---

**English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail**

**BANCA MONTE DEI PASCHI DI SIENA S.P.A.**

EXTRAORDINARY SHAREHOLDERS' MEETING

17 April 2025 (single call)

EXPLANATORY REPORT OF THE BOARD OF DIRECTORS

ON ITEM 1) ON THE AGENDA

prepared pursuant to Article *125-ter* of Legislative Decree No. 58 of 24 February 1998 as subsequently amended ("**TUF**") and pursuant to Article 70 of the regulation adopted by Consob by resolution No. 11971 of 14 May 1999 as subsequently amended ("**Issuers' Regulation**").

**PROPOSAL TO GRANT THE BOARD OF DIRECTORS, PURSUANT TO ARTICLE 2443 OF THE ITALIAN CIVIL CODE, THE POWER, TO BE EXERCISED BY 31 DECEMBER 2025, TO INCREASE THE SHARE CAPITAL IN ONE OR MORE TRANCHES, IN DIVISIBLE FORM, WITH THE EXCLUSION OF THE OPTION RIGHT PURSUANT TO ARTICLE 2441, PARAGRAPH FOUR, FIRST SENTENCE, OF THE ITALIAN CIVIL CODE, TO BE PAID IN BY CONTRIBUTION IN KIND, TO SERVE A VOLUNTARY PUBLIC OFFER BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. RELATING ALL THE ORDINARY SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI; SUBSEQUENT AMENDMENT TO ARTICLE 6 OF THE BY-LAWS; RELATED AND CONSEQUENT RESOLUTIONS.**

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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**EXPLANATORY REPORT OF THE BOARD OF DIRECTORS PREPARED PURSUANT TO ARTICLE 125-*TER* OF THE CONSOLIDATED LAW ON FINANCE (TUF) AND PURSUANT TO ARTICLE 70 OF THE ISSUERS' REGULATION**

Dear Shareholders,

the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. (the "**Bank**" or the "**Company**", or the "**Offeror**" or "**BMPS**") has convened an Extraordinary Shareholders' Meeting on 17 April 2025 at 10:00 a.m., in a single call, to submit for Your approval the above matter, placed under **item 1** of the agenda, concerning the proposal to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Bank's share capital in one or more tranches, in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code and with the issuance of a maximum number of 2,230,000,000 ordinary shares (the "**Maximum Share Amount**"), with regular dividend rights and having the same features as those outstanding at the issue date, whose issue price will be determined by the board of directors in accordance with the law, to be paid in through contribution in kind, to service the voluntary public exchange offer by BMPS for all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni (the "**Capital Increase Reserved to the Offer**"), announced on 24 January 2025 with the communication issued pursuant to articles 102, paragraph 1, of the Consolidated Law on Finance and 37 of the Issuers' Regulation (the "**Offeror's Communication**"), available on the Bank's institutional website at the following link (*<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public- exchange-offer.html</u>*) *and* promoted on 13 February 2025 through the submission - pursuant to article 37-*ter* of the Issuers' Regulation - to Consob, *inter alia*, of the offer document prepared on the basis of scheme 2A of Annex 2 of the Issuers' Regulation which will be made available in the manner and within the timeframe prescribed by the applicable regulations, as per the subsequent press release published by BMPS on the same date, pursuant to article 37-*ter*, paragraph 3, of the Issuers' Regulation (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*)*.*

The proposal to amend the By-laws concerning the granting of the delegation to the Board of Directors of BMPS, pursuant to Article 2443 of the Italian Civil Code, to increase the share capital of the Bank (the "**Delegation**") is described in this explanatory report (the "**Report**") in accordance with the provisions of Article 2441, paragraph 6, of the Italian Civil Code, Article *125-ter* of the TUF, Article 70 of the Issuers' Regulation and Annex 3A, Schedule No. 3 of the Issuers' Regulation. This Report, for the Shareholders' information, also includes some information on the proposed Capital Increase Reserved to the Offer, which is expected to be executed upon exercise of the Delegation, taking into account the provisions of Schedule 3A, scheme No. 2 of the Issuers' Regulation.

\* \* \* \* \*

**1.** **DESCRIPTION OF THE TRANSACTION AND RATIONALE OF THE PROPOSAL TO GRANT THE DELEGATION** 

The Board of Directors of the Bank, on 23 January 2025 (having obtained the favourable, reasoned and binding opinion of the Committee for Related Party Transactions, issued on the same date and made available by in the manner and within the timeframe prescribed by applicable laws), resolved to promote a voluntary public exchange offer (the "**VEO**" or the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of the TUF, concerning all the ordinary shares

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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issued by Mediobanca - Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), a company with shares listed on Euronext Milan ("**Euronext Milan**"), a regulated market organised and managed by Borsa Italiana S.p.A., including the treasury shares held by Mediobanca. The Offer was announced to the market and to Consob on 24 January 2025 by means of the Offeror's Communication and by means of a specific press release disseminated pursuant to article 17 of Regulation (EU) No. 596/2014 (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*<u>)</u>.

As explained in greater detail in the Offeror's Communication (to which full reference is made and, in particular, to paragraphs 1.2 and 1.3), BMPS decided to launch the Offer for the acquisition of Mediobanca with the aim of creating a new Italian banking champion through the union of two of the most distinctive brands in the financial services market.

BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and presents significant value creation for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets and a highly diversified player, resilient, with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full development of existing human capital.

In a market currently experiencing a phase with a high level of consolidation, BMPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in specific areas and key sectors, as well as to better seize future growth options. This will increase support to households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

The new group will be able to rely on the distinctive skills of Mediobanca in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance, and of BMPS in the areas of Retail and Commercial Banking. Furthermore, the stake held in Assicurazioni Generali will also positively contribute to the diversification of the new Group's revenues and will be managed in the same way as the other lines of business*,* according to a careful discipline for capital optimization and a strong risk-adjusted profitability approach.

The combination will offer employees of each institution the opportunity to develop their careers within a larger organization, enhancing their talent through opportunities for mutual enrichment and integration. At the same time, it will help attracting new high-profile resources, enhancing their skills and professionalism with the aim of consolidating a sustainable and competitive growth model.

The combination is entirely consistent with BMPS' strategic guidelines as defined in the 2024-2028 business plan and will enable significant revenue growth and major cost and funding synergies, to be achieved by means of a smooth implementation process.

In terms of revenues, the transaction will allow for the generation of synergies of approximately Euro 0.3 billion per year, thanks to the enrichment of the range of products and services for families and businesses, the development of an integrated offer to the respective customer bases, and an increase in penetration and expansion of the target markets. In particular, by:

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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· Retail Banking – introducing BMPS' products to the customer base of Compass Banca S.p.A. ()"**Compass** ")
and Mediobanca Premier S.p.A. ()"**Premier** "), with the support of the BMPS branch network, to facilitate a scalable provision
of services and deeper market penetration. By way of example, the growth levers include:

o Accounts and Cards – with respect to the so-called daily
banking;

o Mortgages – by leveraging the proven commercial capability of the BMPS network, also in meeting
the needs of customers with respect to the relevant insurance products;

o Bancassurance – by extending the insurance offer to Premier
customers;

o Consumer Finance – by expanding the distribution activity leveraging on the BMPS branch network,
enriching the offer with insurance products and by expanding the value proposition cross-border towards new markets;

· Private Banking – extending Mediobanca's best practice to BMPS customers, also through Mediobanca's
asset management products (*e.g.*, alternative investments);

· Asset Gathering – integrating Mediobanca Premier and Widiba to create a network of financial advisors
at scale to compete with the key players, supported by a distinctive digital platform, with the introduction of an integrated range of
asset management products and enhancing BMPS capabilities in insurance;

· Corporate & Investment Banking – combining BMPS' balance sheet potential with
 Mediobanca's Investment Banking activity and by initiating a development program to support the growth of companies throughout
 the country. Similarly, by leveraging Mediobanca's specialized experience in Advisory and Markets for widespread distribution
 to BMPS' corporate customers.

At the same time, the transaction will generate significant cost synergies in terms of administrative expenses, and will allow for the targeted optimization of overlapping functions. In addition, savings will be derived from the rationalization of the combined investment plan of the two banks, thus avoiding duplication of investments in the areas subject to the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

· the centralization of procurement from large suppliers and the extension of best practice in terms of
cost governance;

· the optimization of IT investments and digital transformation for shared areas, for example for the BMPS
consumer finance platform;

· the optimization of wealth management support activities for both Private Banking and Asset Gathering;

· the combined development of the platform for Corporates as well as optimization of the product factories
(*e.g.*, MBFACTA and MPS Factoring);

· the deletion of duplications in central functions, both in operational and resource terms.

Furthermore, the combination will allow synergies in funding to be realized for approximately Euro 0.1 billion per year due to a more balanced funding mix, leveraging BMPS' commercial funding capacity and optimizing the combined entity's wholesale funding position.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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The industrial project, characterized by the significant complementarity of the two business models (which significantly reduces the execution risk), will be carried out with a straightforward integration and one-off integration costs estimated at approximately Euro 0.6 billion before taxes, expensable in the first year.

The transaction also aims to accelerate the utilization of Deferred Tax Assets ("**DTA**") held by BMPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTA (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTA will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

The combined group will be strengthened, with a diversified revenue stream and a strong resilience capable of successfully competing in different scenarios, while also enabling significant value creation for all shareholders, supported by higher profitability compared to the standalone businesses and able to generate a double-digit growth in earnings per share.

Shareholders will benefit from a dividend policy that is sustainable over time, with growth in the dividend per share, while confirming BMPS' solid capital position (pro-forma Common Equity Tier 1 ratio of approximately 16% upon completion of the transaction).

Finally, the sustainability strategies of the two banks will be consolidated, by leveraging their respective ESG capabilities to strengthen the positioning of the combined entity and promote commitment to the communities and regions where they operate.

BMPS' high governance standards will be maintained throughout the entire combination process and beyond, ensuring transparency, accountability, and a balanced approach that respects all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

Subject to the following, the Offer envisages that, for each share of Mediobanca tendered to the Offer, BMPS will offer a unitary consideration represented by 2.300 newly issued ordinary shares of BMPS (the "**Consideration**") deriving from the Capital Increase Reserved to the Offer.

As indicated in the Offeror's Communication, the Offer's Consideration may be subject to adjustment. In particular*,* it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed*". In addition, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any operation on the share capital of the Issuer and/or on the Mediobanca shares, while in any case the Offeror retains the right to avail itself (or to waive its right to avail itself) of the relevant condition of effectiveness, where applicable, in relation to such individual event.

In light of the above, it should be noted that, on 6 March 2025, the Board of Directors of BMPS resolved to propose to the ordinary Shareholders' Meeting of the Bank the allocation of a total of Euro 1,083 million deriving from the net profit resulting from the draft financial statements as of 31 December 2024 (equal to Euro 1,923 million), to its Shareholders, as a dividend corresponding to Euro 0.86 per share. The dividend, subject to its approval by the shareholders' meeting, will be paid on 21 May 2025, with an ex-dividend date on 19 May 2025 (record date 20 May 2025).

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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Furthermore it should be noted that, on 10 February 2025, Mediobanca's Board of Directors announced to the market - on the occasion of the approval of Mediobanca's half-yearly report as of 31 December 2024 - the distribution of an interim dividend to its shareholders in May 2025 (and the corresponding balance in November 2025). In the event that the coupon of the aforesaid interim dividend (and the corresponding balance) is actually detached or the interim dividend (and the corresponding balance) is paid before the payment date of the Offer, the Offer's Consideration will be consequently and consistently adjusted to take this circumstance into account.

Separately, and in any event, the Offer's Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above.

Finally, in the event that the Board of Directors of Mediobanca, in execution of the delegation granted by the extraordinary Shareholders' Meeting of the Issuer on 28 October 2024, proceeds - prior to the payment date of the Offer - with the cancellation of the treasury shares purchased in execution of the authorization from the same ordinary Shareholders' Meeting of Mediobanca on 28 October 2024, and/or any transactions to reduce the number of outstanding Mediobanca shares and/or the payment of the interim dividend or the related balance thereof, and subject to adjustments and/or modifications relating to the content and/or structure of the Offer, it will not be necessary to issue the entire Maximum Share Amount.

The Capital Increase Reserved to the Offer to which the Delegation proposal refers is therefore aimed at the issuance of BMPS ordinary shares to be offered as consideration for the Mediobanca shares tendered in acceptance of the Offer even if potentially adjusted and/or amended. In fact, the acceptance of the Offer by the Mediobanca's shareholders entails, from a technical-legal point of view, the contribution in kind of ordinary shares of Mediobanca in favour of BMPS, in exchange for the subscription of the Capital Increase Reserved to the Offer, which is, therefore, an essential prerequisite of the Offer.

The proposal to grant the Delegation to the Board of Directors of BMPS, which is the subject matter of this Report, is therefore functional and instrumental to the Offer announced by BMPS with the Offeror's Communication and promoted on 13 February 2025 through the filing of the offer document with Consob.

As described in the Offeror's Communication, the VEO may only commence, *inter alia*, subject to and following: *(i)* the approval by the extraordinary Shareholders' Meeting of BMPS of the proposal of Delegation (to which this Report refers) and *(ii)* the resolution, by the Board of Directors, of the aforesaid Capital Increase Reserved to the Offer in the context of the exercise of the Delegation; all subject to the obtaining of the authorisations described in Paragraph 1.4 of the Offeror's Communication (see also Paragraph 15 below).

The proposal to grant the Board of Directors with the Delegation is justified by the fact that this instrument is more suitable to ensure flexibility, compared to the capital increase resolution directly passed by the Shareholders' Meeting, necessary to determine the terms and conditions of the capital increase transaction for the purpose of a public exchange offer and, consequently, to respond to and adapt to the features of the Offer, even if potentially adjusted and/or amended. As confirmed in previous cases with structures comparable to the Offer, as well as in similar ongoing transactions, the Delegation instrument also allows to more efficiently coordinate the requirements provided for by the regulations laid down in the Italian Civil Code on the execution of the capital increase to be paid in kind, with the rules provided for by the TUF and the Consob implementing regulations for the promotion, the execution and the completion of a voluntary public exchange offer; this with particular reference to the possible use of the Delegation, upon completion of the Offer, also for the purpose of fulfilling the sell-out pursuant to article 108, paragraphs 1 and

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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2, of the TUF and/or the potential exercise of the squeeze-out right in connection with the remaining shares of BMPS pursuant to Article 111 of the TUF, where applicable.

Based on the contents of the Offer and taking into account: (i) the amount of the dividend proposed by BMPS, although not yet approved by the Shareholders' Meeting (equal to Euro 0.86 per share), (ii) a maximum amount of No. 16,178,862 additional shares (the "**Additional Shares**") that may be issued by Mediobanca to serve long-term share-based incentive plans (the "**Incentive Plans**" or the "**Plans**")<sup>1</sup> (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, and provided that some of them include the possibility to use Mediobanca's treasury shares in portfolio instead of the Additional Shares, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans), and (iii) the fact that, as of the date of this Report, Mediobanca's Board of Directors has not yet resolved upon the distribution of the interim dividend to its shareholders (as already announced by Mediobanca on 10 February 2025) and the cancellation of the treasury shares in portfolio, the Board of Directors of BMPS, based on the contents of the Offer, for the sake of utmost caution, and according to a highly conservative approach, resolved that the maximum number of BMPS shares to be issued to serve the Offer will be equal to No. 2,230,000,000.

Therefore, in light of the foregoing, it should be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors, pursuant to this Report, may be reduced as a result of the distribution of the interim dividend (and the corresponding balance), the potential cancellation of treasury shares by Mediobanca, and the allotment of treasury shares to the beneficiaries of the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans), in lieu of the Additional Shares (without prejudice to the applicable legal and regulatory provisions governing the aforementioned Plans), if these events occur before the Offer payment date.

The Delegation proposal, therefore, provides that the Capital Increase Reserved to the Offer may be resolved upon by the Board of Directors by 31 December 2025, also in one or more tranches and in divisible form, for an amount equal to Euro 5.917 for each newly issued share (amount corresponding to the implied nominal value, rounded to the third decimal number, of BMPS shares currently issued, as recorded on the date of this Report)<sup>2</sup> and, therefore, subject to the following paragraphs, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and for an amount of share capital equal to maximum amount of Euro 13,194,910,000*,* plus any share premium.

The proposed Delegation entails by law the exclusion of the option right pursuant to Article 2441, paragraph four, first sentence of the Italian Civil Code (in the event of a share capital increase to be paid up through contributions in

<sup>1</sup> Based on publicly available information, the following long-term share-based Incentive Plans approved by and which could be served, in whole or in part, by newly issued Mediobanca shares approved by the Issuer itself are currently in place:

1. 2015 Performance Shares Plan, approved by the ordinary Shareholders' Meeting of Mediobanca on 28
October 2015 (and updated by the ordinary shareholders' meeting on 28 October 2019);

2. Long Term Incentive Plan 2019-2023, approved by the ordinary Shareholders' Meeting of Mediobanca
on 28 October 2019;

3. Long Term Incentive Plan 2023-2026, approved by the ordinary shareholders' meeting of Mediobanca
on 28 October 2023; and

4. 2023-2026 Broad-Based Share Ownership and Co-investment Plan, approved by the ordinary shareholders'
meeting of Mediobanca on 28 October 2023.

<sup>2</sup> The implied nominal value is calculated as the ratio of the current share capital of BMPS to the number of currently issued shares.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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kind), as the newly issued shares of BMPS will be subscribed and paid up through the contribution to BMPS of the shares of Mediobanca tendered to the Offer and will therefore be reserved to the participants to the Offer.

Without prejudice to all the powers and prerogatives of the Board of Directors regarding the transaction (including, for the sake of clarity only, the ability to adjust and/or amend the content and/or structure of the Offer and/or identify different and/or additional methods for its execution), it is hereby acknowledged that, the number of new shares to be issued upon the exercise of this Delegation will depend on the level of actual acceptances collected during the Offer and/or, subject to compliance with the above-mentioned maximum amount, also due to any above-mentioned changes that may be made to the Offer in accordance with applicable regulations.

Finally, it should be noted that, in relation to the proposed Capital Increase Reserved to the Offer, the measures and safeguards set forth in the "*Regulation of Related Party Transactions*", adopted by Consob resolution No. 17221 of 12 March 2010, as amended and supplemented (the "**RPT Regulation**"), and in the "*Group Regulation on the management of prescriptive compliance with related parties, related subjects and Bank officers' obligations*" (the "**BMPS Regulation**"), adopted by the Board of Directors of BMPS in compliance with the RPT Regulation, as well as with the Bank of Italy Circular No. 285/13, Part Three, Chapter 11 and subsequent amendments and additions, on the subject of risk activities and conflicts of interest with respect to connected parties. This is because certain persons with shareholdings, over 3%, in Mediobanca also hold significant shareholdings (*i.e.,* higher than 3%) in BMPS and, therefore, fall under the definition of "discretionary" related parties. The procedure provided for in the RPT Regulation and the BMPS Regulation was duly carried out and concluded with the issue of a favourable opinion on the fairness and substantive and procedural correctness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, issued by the BMPS Related-Party Transactions Committee, composed of independent directors. For a complete disclosure of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the RPT Regulation, published on the Bank's institutional website *<u>https://www.gruppomps.it/en/</u>*.

The Related Party Transactions Committee, in addition to the aforementioned opinion, was then once again involved with reference to the capital increase proposal to be submitted to the Shareholders' Meeting convened for 17 April 2025 in order, among other things, to verify its consistency with the terms and conditions of the Offeror's Communication. During this discussion, having pointed out that, as of the date of this report, no changes had occurred with respect to what had already been set forth in the opinion issued on 23 January 2025. The Committee for Related Party Transactions will therefore continue to monitor the progress of the overall transaction.

**2.** **CRITERIA FOR THE DETERMINATION OF THE EXCHANGE RATIO BETWEEN BMPS SHARES AND MEDIOBANCA SHARES AND FOR THE CONSEQUENT DETERMINATION OF THE MAXIMUM NUMBER OF NEWLY ISSUED BMPS SHARES** 

**2.1.** **Preamble** 

The Offeror's Communication provides that BMPS shall offer to the participants to the VEO, for each 10 Mediobanca shares tendered to the Offer, as the Offer's Consideration, No. 23 newly issued BMPS ordinary shares having the same features as the currently outstanding BMPS ordinary shares: this is equivalent to a ratio of No. 2,300 newly issued BMPS ordinary shares for each Mediobanca share tendered to the VEO, subject to the provisions of paragraph 5 below with reference to the treatment of fractional shares deriving from the exchange.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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The aforementioned exchange ratio was determined by the Board of Directors of BMPS based on their own assessments and considerations, carried out with the advice and support of its financial advisors, and as indicated in the Offeror's Communication, the Consideration has been determined on the assumption that, prior to the payment date of the Offer: (x) neither the Issuer nor the Offeror will approve or give effect to any ordinary (including interim dividends) or extraordinary distribution of dividends drawn from profits and/or other reserves; and (y) the Issuer will not approve or give effect to any transaction involving its share capital and/or Mediobanca shares.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

**2.2.** **Valuation criteria selected by the Directors to determine the exchange ratio** 

For the purposes of the Offer, in light of the nature of the Consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Issuer tendered in acceptance of the Offer, the Board of Directors of BMPS proceeded to carry out a valuation of the shares of Mediobanca and of BMPS with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. The considerations and estimates made are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors in order to determine the exchange ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the valuation methodologies applied.

The valuation methodologies and the resulting economic values of the shares of Mediobanca and of BMPS were identified for the purpose of determining the number of BMPS shares to be issued to service the VEO, based on its outcome. Under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under consideration.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the announcement of the VEO (the "**Reference Date**") and to the patrimonial-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In particular, the BMPS Board of Directors decided to use, for the purpose of the determination of the Consideration:

- the Stock Market Price Method;

- the market multiples method in the variant of the stock market price of comparable listed companies on their prospective earnings; and

- the target price methodology highlighted by research analysts.

The choice of the methodologies and the results of the valuation analyses carried out by BMPS as at the Reference Date for the purpose of determining the exchange ratio must be interpreted in light of the ratio presented the following main limitations and difficulties:

(i) the
 Bank used exclusively public data and information for the purposes of its analyses;

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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(ii) the Bank has did not perform any financial, legal, commercial, tax, industrial or any other due diligence
activities on Mediobanca;

(iii) as at the reference date, an updated business plan for Mediobanca with a time horizon consistent with
that of BMPS was not publicly available. Accordingly, where relevant to the application of the valuation methods, the projections of future
economic performance used for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while, for Mediobanca, were
derived on the basis of the estimates provided by research analysts;

(iv) the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

The following is a summary description of each of the methodologies used to determine the Offer's consideration:

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| (a) | <u>Stock Market Price Method</u>: the Stock Market Price Method uses market prices as the relevant information for estimating the economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals of time deemed significant and on the assumption that there is a correlation between the prices expressed by the market for the shares of the companies being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing in relative terms the relationship existing between the values of the companies in question as perceived by the market. |
|  | In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the announcement date (*i.e.*, 24 January 2025). |
|  | The following table shows (i) the implied exchange rates and (ii) the premiums that the Consideration incorporates based on the BMPS and Mediobanca Weighted Average Prices recorded on the Reference Date and in the periods indicated below prior to the Reference Date (included). |

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| | **Weighted Average Price (Euro)** | **Weighted Average Price (Euro)** | | |
| <br>**Reference Period** | **BMPS** | **Mediobanca** | **Implied Exchange**<br>**Ratio (x)** | **Implied Premium vs.**<br>**Market Prices** |
| Values based on the prices as of 23 January 2025 | 6.953 | 15.227 | 2.190 | 5.03% |
| Values based on the weighted average prices over 1 month (including 23 January 2025) | 6.954 | 14.795 | 2.127 | 8.11% |
| Values based on the weighted average prices over 2 months (including 23 January 2025) | 6.547 | 14.363 | 2.194 | 4.84% |
| Values based on the weighted average prices over 3 months (including 23 January 2025) | 6.099 | 14.508 | 2.379 | (3.31)% |

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Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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| | | | | |
|:---|:---|:---|:---|:---|
| Values based on the weighted average prices over 6 months (including 23 January 2025) | 5.567 | 14.703 | 2.641 | (12.91)% |
| Values based on the weighted average prices over 12 months (including 23 January 2025) | 4.724 | 13.928 | 2.948 | (21.99)% |

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(b) <u>Market Multiples Method</u>: according to the Market Multiples Method, the value of a company is determined
by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company
being valued.

---

| |
|:---|
| The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time). |
| The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations. |
| It should be noted that, given the differences between the business models of BMPS and Mediobanca, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purpose of the evaluation of BMPS, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purpose of the evaluation of Mediobanca, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration. |
| The market multiples were applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date). |
| The following table shows the Price/Projected Earnings multiples for 2025 and 2026 of the selected companies as of the Reference Date, based on the consensus estimates of research analysts for 2025 and 2026, as provided by the information provider FactSet as of the Reference Date. For illustrative purposes and |

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Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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completeness, the table also shows the multiples of Mediobanca based on the prices as of the Reference Date and on the implied valuation of the Consideration based on the BMPS price as of the Reference Date.<sup>3</sup>

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| | | |
|:---|:---|:---|
| | **Projected Price/ Earnings** | **Projected Price/ Earnings** |
| <br>**Comparable Companies** | **2025** | **2026** |
| Intesa Sanpaolo | 8.2x | 8.1x |
| UniCredit | 7.5x | 7.6x |
| Banco BPM | 8.4x | 8.6x |
| BPER | 7.2x | 7.1x |
| Credito Emiliano | 7.8x | 8.1x |
| Banca Popolare di Sondrio | 8.8x | 9.3x |
| FinecoBank | 18.6x | 17.8x |
| Banca Generali | 15.3x | 14.7x |
| Banca Mediolanum | 10.7x | 10.7x |
| **Mediobanca** | **9.6x** | **9.2x** |
| **Mediobanca at the Offer's Consideration** | **10.0x** | **9.7x** |

---

---

| | |
|:---|:---|
|  | For the purposes of the valuation analysis of the Issuer, in light of the fact that a significant portion of the Issuer's profitability is generated by the qualified shareholding in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company is listed, the market valuation has been used in this regard. |
| (c) | <u>Research analysts' target price method</u>: the target price method determines the value of a company based on the target prices that financial analysts publish on the company. Target prices are indications of value that express an assumption about the price that a share can reach on the stock market and are derived from multiple valuation methodologies used at the discretion of the individual research analyst. |
|  | For the purpose of applying the target price methodology, the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September |

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<sup>3</sup> The content of the above table does not imply any judgment by BMPS on any of the banking companies listed therein, except for Mediobanca, nor does it represent any opinion regarding investment or divestment evaluations related to any financial instrument or security.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used.

The valuation methodologies described above have been applied on an individual and business continuity basis for both the Bank and Mediobanca and also taking into account the specific features of the Offer.

In order to determine the exchange ratio, ranges of values were identified for each valuation method, *i.e.*: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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| | | |
|:---|:---|:---|
| | **Implied exchange ratio** | **Implied exchange ratio** |
| <br>**Methodology** | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market Multiples Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price method highlighted by research analysts</u> | 2.046x | 2.433x |

---

Finally, it should be noted that, the Board of Directors of BMPS has mandated the firm appointed for the statutory audit of BMPS' accounts, PricewaterhouseCoopers S.p.A. ("**PwC**"), to prepare, on a voluntary basis and according to the criteria indicated in the ISAE "*3000 revised*" – *limited assurance appointment*, a report regarding the adequacy, in so far as is reasonable and nondiscretionary, of the criteria adopted by the same Board for determining the exchange ratio in the context of the VEO, in accordance with the national and international valuation practice and professional techniques applicable to transactions of this nature.

Concurrently with the publication of this Report, the aforementioned PwC report, prepared on a voluntary basis, will also be made available to the public, for the purpose of providing more complete and accurate information to BMPS' shareholders, in view of their extraordinary Meeting. Therefore, reference is made to the aforementioned report for any further information on this matter.

**3.** **DETERMINATION OF THE ISSUE PRICE OF THE NEWLY ISSUED SHARES, ENVISAGED ALLOTMENT RATIO** 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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The issue price of the BMPS shares to be issued in the context of the Capital Increase Reserved to the Offer will be determined by the Board of Directors when exercising the Delegation, pursuant to and in accordance with article 2441, paragraph 6 of the Italian Civil Code.

Furthermore, when exercising the Delegation, whether it is granted, and subject to the limitation constituted by the value that the Independent Expert, in its appraisal or updates thereto, has attributed or will attribute to the Mediobanca shares to be contributed pursuant to Articles 2440, paragraph 2 and 2343-*ter* of the Italian Civil Code, the Board of Directors of BMPS will determine the portion of the issue price that will be allocated to the share capital and the portion of the issue price that will be allocated to the share premium reserve, with the clarifying note that, as indicated in Paragraph 1: (i) in connection with the portion of the issue price to be allocated to share capital, it will be equal to Euro 5.917 for each newly issued BMPS share (an amount corresponding to the implied nominal value, rounded to the third decimal place, of the currently issued BMPS shares as recorded on the date of this Report), and therefore, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and a share capital amount of up to Euro 13,194,910,000, in addition to any share premium, and (ii) the remaining portion of the issue price will be allocated to the share premium reserve.

It should be noted that, in accordance with the applicable international accounting standards, the increase in BMPS' net equity, which will be recorded in accounting terms, will not be based on the issue price determined by the Board of Directors when exercising the Delegation; instead, it will correspond to the fair value of BMPS shares that will be assigned to those who accept the Offer; this fair value will correspond to the stock market price of BMPS shares on the date the exchange is made with Mediobanca shares tendered in acceptance of the Offer.

It should be noted that PwC, as the company entrusted with the statutory audit of BMPS' accounts, has been appointed and will issue its fairness opinion on the issue price of the BMPS shares to be offered in the Offer, pursuant to Article 2441, paragraph six, of the Italian Civil Code and Article 158 of the TUF. Therefore, on the occasion of exercising the Delegation for the Capital Increase Reserved to the Offer, PwC will issue the aforementioned fairness opinion on the issue price of the BMPS shares to be offered in exchange as part of the Offer.

Pursuant to Article 70, paragraph 7 of the Issuers' Regulation, the mentioned PwC opinion will be made available to the public within the terms and in the manner prescribed by law.

**4.** **VALUATION OF THE CONTRIBUTED ASSETS REFERRED TO IN THE APPRAISAL PURSUANT TO ARTICLES 2440, PARAGRAPH 2, 2343- *TER*, PARAGRAPH 2, LETTER B) AND 2343- *TER*, PARAGRAPH 2, LETTER B) OF THE ITALIAN CIVIL CODE. B), AND 2343- *QUATER*, OF THE ITALIAN CIVIL CODE.** 

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an expert. In this regard, with a view to the exercise of the Delegation, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter* (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4) of the Italian Civil Code for the purpose of the valuation of the Mediobanca shares subject to the contributions in kind.

These rules make it possible not to require a sworn appraisal of the assets transferred to be prepared by an expert, appointed by the Court in the district where the transferee company has its registered office, in the event that, pursuant

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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to article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to transferred is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is endowed with adequate and proven professionalism*".

The Bank has entrusted this task to KPMG Corporate Finance, a division of KPMG Advisory S.p.A. (the "**Independent Expert**"), which, on 14 March 2025, issued its report on the valuation of Mediobanca's shares, which was made available to the public at the same time of this Report, and according to the procedures provided for by the laws and regulations in force, for the purpose of providing more complete and timely information to BMPS members in view of the Shareholders' Meeting (available on the Bank's website, in the Corporate Governance – Shareholders' Meetings and BoD section, at *<u>https://www.gruppomps.it/en/</u>* as well as at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*)*.*

The decision to use, in line with market practice in the case of public exchange offers, a valuation carried out by an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, was also justified by the need to evaluate the contribution of a significant block of Mediobanca shares and not of individual listed securities.

In the appraisal of the Independent Expert, to which full reference is made, he concluded that as of 14 March 2025, based on the financial position as of 31 December 2024, and on the elements and methods outlined in such document, the fair value of Mediobanca shares was not less than Euro 16,406 for each Mediobanca shares *cum dividend*, or equal to Euro 15,852 per each Mediobanca share, *ex dividend*.

That being said, also in order to ensure that the Independent Expert's report refers to a date no more than six months prior to the contribution, in compliance with Article 2343*-ter*, second paragraph, letter b), of the Italian Civil Code, it cannot be ruled out that, close in time to the execution of the Delegation, BMPS' Board of Directors may request an update to the aforesaid report that reflects, in its assessment, updated information on Mediobanca and on the economic and market situation.

For all other aspects relating to the manner in which the contributions in kind were made and the Independent Expert's report, please refer to the applicable legal provisions and, in particular, Articles 2343-*ter*, 2343-*quater* and 2443, paragraph 4, of the Italian Civil Code.

**5.** **INDICATION OF THE NUMBER, DIVIDEND ENTITLEMENT DATE AND ISSUE PRICE OF THE NEW SHARES SUBJECT TO THE CAPITAL INCREASE IN KIND** 

As illustrated in Paragraph 1 above, upon the exercise of the Delegation by the Board of Directors, whether it is granted, the Capital Increase Reserved to the Offer will cover the Maximum Share Amount and, therefore, an amount of BMPS share equal to maximum No. of 2,230,000,000 to be issued and paid up by means of a contribution in kind to BMPS of the shares of Mediobanca tendered in acceptance of the Offer; in accordance with the above, based on the exchange ratio indicated in the Offeror's Communication, the newly issued BMPS shares to be issued through the contribution in kind of Mediobanca shares correspond to 23 BMPS shares for each 10 Mediobanca shares tendered to the Offer.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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If the result of the application of the exchange ratio for the Mediobanca shares tendered to the Offer is not a whole number of newly issued BMPS shares, it is expected that the intermediary in charge of coordinating the collection of acceptances of the Offer will aggregate the fractional units of BMPS shares pertaining to the accepting parties and will subsequently sale on Euronext Milan the whole amount of BMPS shares resulting from such aggregation, for the purpose of the overall balancing of the transaction. Further information on the treatment of the fractional unit will be provided in the offer document, which will be made available to the public following Consob's approval, in the manner and within the terms provided by applicable laws and regulations.

It should also be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors referred to in this Report has been increased from No. 1,916,543,285 (as reported in the Offeror's Communication) to No. 2,230,000,000, also for the purpose of ensuring coverage for all the following possible scenarios, according to a highly conservative approach: (i) the proposed distribution of the BMPS' dividend (equal to Euro 0.86 per share) for the fiscal year ended 31 December 2024, recently approved by the BMPS' Board of Directors and not yet approved by the BMPS Shareholders' Meeting, and (ii) the hypothetical issuance of a maximum amount of No. 16,178,862 Additional Shares (in the event that the Incentive Plans are revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although certain Plans provide the possibility of using – instead of the Additional Shares – Mediobanca treasury shares in portfolio, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans).

Lastly, it is important to mention that, the aforementioned Maximum Share Amount does not take into account, by way of example, the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the relevant balance and/or the possible cancellation by Mediobanca of treasury shares. The occurrence of such circumstances would not make it necessary to issue the entire Maximum Share Amount.

The ordinary shares of BMPS, which will be issued following the exercise of the Delegation, will have the same dividend entitlement as the ordinary shares of BMPS outstanding as of the date of the relevant issue and, therefore, will grant their holders the same rights as the shares of BMPS already outstanding at the time of the issue and will be admitted to trading on Euronext Milan as of the date of payment of the consideration under the Offer. The issue price of the BMPS shares that will be offered in the context of the Offer (including the relevant share premium) will be determined by the Board of Directors when exercising the Delegation, pursuant to Article 2441, paragraph 6 of the Italian Civil Code.

**6.** **STRUCTURE OF THE COMPANY'S INDEBTEDNESS** 

The contribution of the shares of Mediobanca subject to the Offer is not expected to have any impact on the structure of BMPS' financial indebtedness.

**7.** **INFORMATION ON THE RESULTS OF THE LAST FINANCIAL YEAR AND GENERAL INDICATIONS ON THE DEVELOPMENT OF OPERATIONS AND THE FORESEEABLE CLOSURE OF THE CURRENT FINANCIAL YEAR** 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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On 17 April 2025, the ordinary Shareholders' Meeting of BMPS is called upon to approve the financial statements for the year ending 31 December 2024 and the distribution of the dividend. Please refer to the report of the Board of Directors with reference to items 1.1 and 1.2 on the agenda of the Shareholders' Meeting (Ordinary part), and to the related annexes - made available to the public in accordance with applicable regulations - for complete information on the results (including consolidated results) of BMPS for the year ended 31 December 2024, as well as for information on the operating performance for the current year, the foreseeable closure of the latter and the proposed dividend distribution.

**8.** **UNDERWRITING AND/OR PLACEMENT SYNDICATES** 

In relation to the Capital Increase Reserved to the Offer, since it is a share capital serving a public exchange offer, no underwriting and/or placement syndicates are envisaged.

**9.** **ANY OTHER FORMS OF PLACEMENT ENVISAGED** 

No other forms of placement are envisaged.

**10.** **SHAREHOLDERS WHO HAVE EXPRESSED THEIR WILLINGNESS TO SUBSCRIBE TO THE NEWLY ISSUED SHARES** 

The subscription of the Capital Increase Reserved to the Offer may only occur as a result of the acceptance of the Offer itself, once the acceptance period has commenced, which, pursuant to Article 40, paragraph 2, letter b), of the Issuers' Regulation, will be agreed upon with Borsa Italiana and will last between a minimum of 15 and a maximum of 40 trading days, unless extended.

As of the date of this Report, there are no Mediobanca shareholders who have expressed their willingness to subscribe to BMPS shares as a result of their acceptance of the Offer.

**11.** **TAX IMPLICATIONS OF THE TRANSACTION ON THE COMPANY** 

The contribution of the shares of Mediobanca subject to the Offer does not entail any tax burden whatsoever on BMPS as the contributing issuer.

**12.** **SHAREHOLDING STRUCTURE OF THE COMPANY FOLLOWING THE CAPITAL INCREASE IN KIND** 

In light of the nature of the Capital Increase Reserved to the Offer and of the variables connected to the results of the VEO itself, it is not possible to predict the composition of BMPS' shareholding structure at the end of the execution of such capital increase.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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The percentage of dilution of existing shareholders in the share capital of BMPS will depend on the outcome of the Offer, as the number of new BMPS shares to be issued as part of the Capital Increase Reserved to the Offer will depend – as well as any adjustments to the Offer consideration (as illustrated below) – on the number of Mediobanca shares that will be tendered to the VEO itself.

In the event of (i) full acceptance of the VEO by all Mediobanca shareholders targeted by the same VEO for all their shares held, (ii) revision of the Incentive Plans to provide for the acceleration and issuance in favour of the beneficiaries of the Incentive Plans of all No. 16,178,862 Additional Shares, and (iii) non-payment by Mediobanca of the interim dividend, the related balance, and the non-cancellation of treasury shares in Mediobanca's portfolio, the Capital Increase Reserved to the Offer will be fully subscribed (on a fully diluted basis) and BMPS will issue 2,230,000,000 new shares to be allotted in exchange to all those accepting the Offer. These shares will represent approximately 64% of BMPS' share capital, calculated on the basis of the number of BMPS shares issued as of the date of this Report.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of issuance of the entire Maximum Share Amount.

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| | |
|:---|:---|
| Shareholder | Shareholding |
| Delfin S.a.r.l. | 15.7% |
| Caltagirone Francesco Gaetano | 5.3% |
| Ministero dell'Economia e delle Finanze | 4.2% |
| Banca Mediolanum S.p.A. | 2.1% |
| Banco BPM S.p.A. | 1.8% |
| Anima Holding S.p.A. | 1.4% |
| Other shareholders | 69.5% |
| **Total** | **100%** |

---

As of the date of this Report, to the best of BMPS' knowledge, there are no shareholders' agreements among BMPS shareholders, nor is there any individual or legal entity exercising control over the Bank pursuant to Article 93 of the Consolidated Law on Finance.

**13.** **PRO-FORMA ECONOMIC AND FINANCIAL EFFECTS OF THE CAPITAL INCREASE ON THE COMPANY'S PERFORMANCE AND FINANCIAL POSITION** 

This section displays the main pro-forma economic and financial figures resulting from the aggregation of the data deriving from the BMPS group (the "**MPS Group**") and from the Mediobanca group (the "**Mediobanca Group**") as of 31 December 2024, as well as some explanatory notes.

The pro-forma effects of the business combination with the Mediobanca Group on the MPS Group's financial and economic position have been determined based on Consob Communication No. DEM/1052803 of 5 July 2001, and have been prepared to simulate, according to certain evaluation criteria consistent with historical data and compliant with applicable regulations, the effects of the transaction on the economic performance and financial position of the MPS Group, as if it had virtually taken place on 31 December 2024, for the effects on the pro-forma consolidated balance sheet and on 1 January 2024, for the effects on the pro-forma consolidated income statement.

The pro-forma figures were prepared starting from the 2024 Consolidated Financial Statements of the MPS Group prepared in accordance with IAS/IFRS accounting principles, and from the Half-Yearly Report as of 31 December

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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2024, the Financial Statements as of 30 June 2024, and the Half-Yearly Report as of 31 December 2023, of the Mediobanca Group, prepared in accordance with IAS/IFRS accounting principles, and applying the pro-forma adjustments determined by simulating the application of IFRS 3 for business combination transactions.

Specifically, for the Mediobanca Group, the income statement for the 12-month period ended 31 December 2024, has been defined as the sum of: (i) the income statement for the 6-month period ended 30 June 2024, determined as the difference between the income statement for the fiscal year ended 30 June 2024, extracted from the Financial Statements as of 30 June 2024, and the income statement for the half-year ended 31 December 2023, extracted from the Half-Yearly Report as of 31 December 2023, and (ii) the income statement for the half-year ended 31 December 2024, extracted from the Half-Yearly Report as of 31 December 2024.

For the purpose of determining the pro-forma adjustments, the total cost of the aggregation has been calculated assuming a unit value of BMPS shares of Euro 6.953, as represented by the price recorded at the close of the market on 23 January 2025, which corresponds to the last trading day prior to the date on which BMPS announced the Offer (*i.e.*, 24 January 2025) and assuming full acceptance of the Offer by Mediobanca shareholders, *i.e.*, considering 833,279,689 Mediobanca shares tendered to the Offer, equal to total number of Mediobanca shares (including the No. 11,277,075 treasury shares held by Mediobanca) as of 23 January 2025, corresponding to the No. 1,916,543,285 newly issued BMPS shares based on the Consideration determined for the Offer.

In this regard, it should be noted that, for the purposes of this pro-forma exercise, the calculation of the preliminary acquisition cost does not take into account any adjustments to the Consideration as provided by the Offeror's Communication.

The acquisition cost represented by the fair value of the new BMPS shares to be issued to service the Offer is considered as preliminary, as the elements necessary for its definitive quantification are not known yet. Specifically, under IFRS 3, the fair value of the new shares issued by BMPS will be determined based on the BMPS share price on the trading day immediately prior to the completion date of the transaction.

The preliminary acquisition cost thus determined, amounting to Euro 13,326 million, has been compared with the consolidated net equity of the Mediobanca Group as of 31 December 2024, inclusive of the net income for the relevant period. It should be noted that, for the purpose of determining the pro-forma adjustments, no fair value assessment process has been carried out for the identifiable assets (except as indicated below regarding the stake in Assicurazioni Generali S.p.A. held by the Mediobanca Group), liabilities, and contingent liabilities of the acquired entity, as such fair values will need to be determined as of the acquisition date and upon obtaining detailed information about the accounting items of the Mediobanca Group. For the purpose of determining the pro-forma adjustments, the only adjustments made were (i) the write-off of the intangible assets of the Mediobanca Group, in line with what will be done as part of the Purchase Price Allocation (PPA) process, and (ii) the fair value assessment of the stake held by the Mediobanca Group in Assicurazioni Generali S.p.A. based on the unit value of the relevant share as recorded at the close of market on 23 January 2025.

The net equity of the Mediobanca Group thus determined amounted to a total of Euro 12,178 million. The difference that resulting from the comparison between the preliminary acquisition cost and the pro-forma consolidated net equity of the Mediobanca Group was Euro 1,148 million.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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As previously stated, one of the factors that will result in a difference between the final goodwill and the provisional amount indicated in the pro-forma financial information as of 31 December 2024 is the BMPS share price on the trading day immediately prior to the completion of the transaction.

In addition, it should be noted that, in the event that the Offer is not fully accepted, without prejudice to the conditions of effectiveness of the Offer, given the possibility provided by IFRS 3 to measure at the fair value any minority interest in the acquired entity – in this specific case representing any remaining Mediobanca shares which has not been exchanged for BMPS shares – the amount of goodwill recorded in the consolidated financial statements of the MPS Group could still be determined with reference to the entirety of Mediobanca shares, therefore resulting in the same amount as in the case of full acceptance of the Offer. Alternatively, also in the event that the Offer is not fully accepted, the amount of goodwill could be determined as the difference between the cost of the Acquisition and the amount of the percentage of Mediobanca Group's net assets acquired, and consequently vary on the basis of the number of Mediobanca shares tendered to the Offer and therefore exchanged for BMPS shares.

The pro-forma data also take into account the deletion of the most significant reciprocal balance sheet and income statement items between the MPS Group and the Mediobanca Group, referring exclusively to the data reported by the MPS Group.

Finally, it should be noted that, the pro-forma adjustments take into account the ancillary expenses inherent to the execution of the transaction, estimated at a maximum of approximately Euro 80 million excluding VAT, based on the amount authorized by the BMPS Board of Directors on 23 January 2025, assuming the full success of the transaction. Of the total amount mentioned above, based on preliminary information currently available, approximately Euro 60 million, excluding VAT, has been considered directly attributable to the issuance of shares to serve the Offer and, as provided by IAS 32, has been deducted, net of the related tax effect, from the capital increase. The remaining portion of the estimated ancillary costs, amounting to approximately Euro 20 million excluding VAT, has been recorded in the income statement, as required by IFRS 3, among the pro-forma Operating Costs.

The table below shows the main pro-forma balance sheet and income statement figures resulting from the aggregation of the MPS Group and Mediobanca Group data as of 31 December 2024.

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| | | | |
|:---|:---|:---|:---|
| | | | €/mld |
| <br>**Balance Sheet Figures** |<br>**MPS Group**<br>**31.12.2024** |<br>**Mediobanca**<br>**Group**<br>**31.12.2024** | **Pro-forma <br> BMPS-**<br>**Mediobanca**<br>**31.12.24** |
| Net Loans to Customers | 77.3 | 56.7 | 134.0 |
| Net Impaired Loans to Customers | 1.9 | 0.4 | 2.3 |
| Securities Holdings | 17.4 | 24.8 | 42.2 |
| Gross NPL Ratio | 3.8% | 2.1% | 3.1% |

---

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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| | | | |
|:---|:---|:---|:---|
| NPE Coverage Ratio | 48.5% | 69.4% | 54.2% |
| Direct Bank Funding | 94.0 | 64.7 | 158.7 |
| Indirect Customer Funding | 103.2 | 78.6 | 181.8 |
| **Income Statement Figures** |  |  |  |
| Interest margin | 2.3 | 1.9 | 4.2 |
| Net Commissions | 1.5 | 0.9 | 2.4 |
| Gross operating margin | 3.9 | 3.0 | 6.9 |
| Operating Costs | (2.1) | (1.6) | (3.7)<sup>(1)</sup> |
| Profit (Loss) from current operations before taxes | 1.5 | 1.8 | 3.2<sup>(1)</sup> |
| Operating Profit (Loss) pertaining to the Parent Company | 2.0 | 1.3 | 3.2<sup>(1)(2)</sup> |
| **Goodwill** | **n.a.** | **n.a.** | **1.1** |

---

(1) The pro-forma figure takes into account Euro 20 million excluding VAT relating to ancillary expenses associated
with the acquisition, to be recorded in the income statement based on the information currently available.

(2) The pro-forma figure takes into account Euro 20 million excluding VAT relating to ancillary expenses associated
with the acquisition, to be recorded in the income statement based on the information currently available, and the consequent pertinent
tax effect.

It should be mentioned that the aforementioned pro-forma data do not reflect the effects of any transactions involving the sale of branches or lines of business that may occur in the context of the investigation carried out by the competent antitrust authority regarding the merger with the Mediobanca Group. As of today, these transactions have not even been preliminarily defined, and it is therefore impossible to identify and quantify their economic and financial impacts, in a timely, objective and auditable manner, it being understood that the reasonable expectation of the MPS Group is that any corrective measures will not have a significant impact on the transaction.

It should be noted that, the pro-forma data represent a simulation, provided for illustrative purposes only, of the possible effects that may result from the acquisition. Specifically, since the pro-forma data are prepared to retroactively reflect the effects of subsequent transactions, notwithstanding the observance of commonly accepted rules and the use of reasonable assumptions, there are inherent limitations associated with the very nature of pro-forma data, which are by their very nature not capable of providing a representation of the prospective economic and financial situation

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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of the MPS Group. Therefore, for a correct interpretation of the information provided by the pro-forma data, the following aspects must be considered:

· since
 these representations are based on assumptions, if the acquisition had actually occurred
 on the dates used as references for the preparation of the pro-forma data, the same results
 represented in the pro-forma data would not necessarily have been achieved;

· the
 pro-forma data are not in any way intended to represent a forecast of future results and
 should therefore not be used as such; the pro-forma data do not reflect prospective data
 as they are prepared solely to represent the separable and objectively measurable effects
 of the acquisition, without taking into account the potential effects due to changes in market
 conditions, management policies, and operational decisions of BMPS following the outcome
 of such a transaction. Therefore, the pro-forma representations are not intended to depict
 the current or prospective financial and economic situation of the effects relating to the
 acquisition;

· considering
 the different purposes of the pro-forma data compared to those of a regular financial statement
 and since the effects are calculated differently with reference to the pro-forma consolidated
 balance sheet and the pro-forma consolidated income statement, they should be read and interpreted
 separately, without seeking accounting connections between them.

It should be noted that, in accordance with Consob Communication No. DEM/1052803 of 5 July 2001, the pro-forma Consolidated Prospectus do not reflect either the charges or the synergies that will result from the proposed transaction for the entity resulting from the merger of the MPS Group and the Mediobanca Group. Specifically, the costs of integrating the Mediobanca Group within the MPS Group, estimated at approximately Euro 0.6 billion (pre-tax and one-off), have not been subject to pro-forma adjustments as they pertain to hypothetical future actions that are expected to be undertaken only upon completion of the acquisition through the Offer, in order to achieve the objectives of the transaction (which also include the aforementioned synergies), based on the agreements and contracts that will be entered into only upon completion of the said acquisition. Similarly, the tax benefits expected as a result of post-combination tax planning are not represented in accordance with the aforementioned regulations. In other words, the pro-forma Consolidated Prospectus do not include the acceleration in the utilization of deferred tax assets associated with the past tax losses of the MPS Group, resulting from the Mediobanca Group joining the tax consolidation of BMPS.

The pro-forma data have not been reviewed by the auditing firm.

**14.** **STATUTORY AMENDMENTS** 

The granting of the Delegation for the Capital Increase Reserved to the Offer entails the amendment of Article 6 of BMPS' By-laws which, as specified below, is subject to the successful conclusion of the assessment procedure with the European Central Bank pursuant to Articles 56 and 61 of the TUB (as defined below).

The following is a comparison of the aforesaid Article 6 in its current text and the text proposed with this Report, assuming the approval of the resolutions covered by this Report (the text proposed is highlighted in bold type).

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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It should be noted that the execution of the Capital Increase Reserved to the Offer will entail further amendments to the By-laws in order to (i) update the Bank's share capital and the number of shares with respect to the acceptances made, and (ii) delete the description of the shareholders' meeting resolution referred to in Article 6, paragraph 4.

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| | | | |
|:---|:---|:---|:---|
| **Current text** | **Current text** | **Proposed text** | **Proposed text** |
| **Article 6** | **Article 6** | **Article 6** | **Article 6** |
| 1. | The share capital of the Company is Euro 7,453,450,788.44 (seven billion, four hundred fifty-three million, four hundred fifty thousand, seven hundred eighty-eight and forty-four cents) and is fully paid up. | *1.* | *(Unchanged)* |
| 2. | It is represented by 1,259,689,706 (one billion, two hundred fifty-nine million, six hundred eighty-nine thousand, seven hundred six) ordinary shares with no par value. All shares are issued in dematerialised form. The procedures for the circulation and legitimation of the shares are regulated by law.<br>Shareholders who did not participate in the approval of resolutions concerning the introduction or removal of restrictions on the circulation of shares do not have the right of withdrawal. | 2. | *(Unchanged)* |
| 3. | Shares are registered and indivisible. Each share gives the right to one vote. | 3. | *(Unchanged)* |
|  |  | **4.** | **The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro** |

---

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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 **13,194,910,000 plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding on the issue date, to be paid up by contribution in kind as they serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with a communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting.**

The amendments to the By-laws described above do not give rise to any right of withdrawal for BMPS shareholders who did not take part in the resolutions covered by this Report.

**15.** **AUTHORISATIONS** 

The amendments to the By-laws referred to in Paragraph 14 above and the execution of the Capital Increase Reserved to the Offer are subject to the required authorisations by the competent Supervisory Authorities and in particular, respectively: (i) to the verification that they do not conflict with the sound and prudent management of the Bank pursuant to and for the purposes of Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993 as subsequently amended ("**TUB**"), and (ii) to the eligibility of the new shares issued in the context of the Capital Increase Reserved to the Offer among BMPS' own funds as primary tier 1 capital, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013.

BMPS filed the application for the aforementioned regulatory authorisations with the European Central Bank and the Bank of Italy on 13 February 2025.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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It should be noted that, in the event that the assessment order by the European Central Bank regarding the proposed statutory amendments is not issued before the date on which the Shareholders' Meeting will adopt the resolution, the effectiveness of the latter will be subject to the issuance of such assessment order, as it cannot be registered in the Companies Register until that date. However, if the order is issued before the date of the Shareholders' Meeting, a press release will be issued to provide the shareholders with the necessary additional information.

**16.** **FORMALITIES AND TIMING** 

Subject to the granting of the authorisations referred to in Paragraph 15 above (as well as the other authorisations required in connection with the VEO, as detailed in Paragraph 1.4 of the Offeror's Communication), the exercise of the Delegation by the Board of Directors will take place prior to the publication of the offer document, filed with Consob on 13 February 2025.

Also taking into account the requirements of the regulations applicable to public exchange offers, it is expected that the Capital Increase Reserved to the Offer will be executed by 31 December 2025, subject to the fulfilment of the conditions for the effectiveness of the VEO indicated in paragraph 1.5 of the Offeror's Communication, as well as in the offer document submitted to Consob for approval.

Since this is a divisible capital increase, which may also be carried out in one or more tranches, pursuant to article 2439, paragraph 2, of the Italian Civil Code: (i) the share capital will be deemed to be increased from time to time in proportion to the amount of the acceptances collected in the context of the Offer, without prejudice to the terms and conditions set forth therein; and (ii) the Capital Increase Reserved to the Offer, if not fully subscribed by 31 December 2025, will be deemed to be limited to the amount resulting from the total acceptances collected by the aforesaid deadline.

In particular, the Capital Increase Reserved to the Offer will be executed by the previously mentioned deadline of 31 December 2025, on the payment date of the Consideration, and, if applicable, on the payment dates that may be determined in relation to the execution of the purchase Sell-out and Squeeze-out rights, pursuant to Articles 108 and 111 of the TUF.

\* \* \*

**Proposed resolution**

Dear Shareholders, in light of the above, we invite you to adopt the following resolution:

"*The Shareholders' Meeting of Banca Monte dei Paschi di Siena S.p.A., in extraordinary session, having examined the Report of the Board of Directors (which, to the extent necessary, is hereby approved in its entirety) and the proposal formulated therein*

***NOTED***

*that the maximum number of shares to be issued in execution of the Capital Increase Reserved to the Offer has been calculated, for the sake of utmost caution and according to a highly conservative approach, by factoring in (i) the proposed distribution of the BMPS' dividend for the fiscal year ending on 31 December 2024, recently approved by the Board of Directors of BMPS and not yet approved by the BMPS Shareholders' Meeting, and (ii) the maximum No. of 16,178,862 Additional Shares to service the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although some Plans provide for the possibility of using Mediobanca's treasury shares in portfolio instead of the Additional*

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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*Shares), without taking into account any further circumstances that might lead to a reduction in the number of BMPS shares to be issued to service the Offer (including, by way of example, any adjustment due to the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the related balance and/or the possible cancellation of treasury shares held by Mediobanca);*

- *the appraisal prepared by the independent expert KPMG Corporate Finance, a division of KPMG Advisory S.p.A., pursuant to Articles 2440, paragraph 2 and 2343-ter, paragraph 2, letter b) of the Italian Civil Code;*

- *the report of PricewaterhouseCoopers S.p.A. concerning the criteria adopted by the Board for the determination of the exchange ratio in the VEO;*

- *the favourable opinion on the Capital Increase Reserved to the Offer expressed by the Company*'*s Related Party Transactions Committee;*

***RESOLVES***

*1.* *to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total maximum amount of Euro 13,194,910,000 plus any share premium, with the issue of a maximum number of 2,230,000,000 ordinary shares of the Company, without nominal value, with regular dividend rights and the same features as the Company's ordinary shares outstanding at the issue date, to be paid in kind as they serve the public exchange offer for all of the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by the Company in a communication pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, on 24 January 2025 and promoted by means of the filing of the offer document with Consob on 13 February 2025 (including the formalities pursuant to articles 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, where applicable);* 

*2.* *to grant the Board of Directors the power to determine from time to time, in exercising the above delegated power and in compliance with the applicable laws and regulations: (i) the amount of the capital increase to be resolved upon, also in divisible form, in its entirety, and the number of shares to be issued within the overall limits set forth in point 1) above; (ii) the issue price of the new shares, including any share premium, taking into account the provisions of Article 2441, sixth paragraph, of the Italian Civil Code; and (iii) any other terms and conditions of the delegated capital increase, as well as any other necessary element, within the limits set forth by the applicable laws and regulations and by this delegation resolution, with the power of the Board of Directors to exercise the delegation – within the aforementioned limits – consistent with any adjustments and/or amendments to the content and / or to the structure of the public offer, while complying with the outcomes of the evaluation pursuant to Article 2343-ter of the Italian Civil Code and any necessary updates; furthermore, the Board of Directors is authorized to make statutory adjustments resulting from the exercise of the delegation, as outlined in the Report of the Directors;* 

*3.* *to set 31 December 2025 as the deadline to implement the Capital Increase Reserved to the Offer - subject, if necessary, to the updating of the valuation made by the independent expert pursuant to Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code, to a date no more than six months prior to the date of the contribution - and to establish that, pursuant to Article 2439, paragraph 2, of the Italian Civil Code, (i) the share capital shall be deemed to be increased from time to time based on the amount of the acceptances collected in the above-mentioned public exchange offer (including within the scope of the procedures for the fulfilments set forth by Article 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, if the requirements are met), always without prejudice to the terms and conditions of the offer itself; and (ii) the Capital Increase Reserved to the Offer,* 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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*if not fully subscribed by 31 December 2025, shall be deemed to be limited to the amount resulting from the total acceptances made by the aforesaid deadline;*

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| | |
|:---|:---|
| *4.* | *to amend Article 6 of the By-laws accordingly by including the following temporary paragraph:* |
|  | ***"The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro 13,194,910,000, plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding at the issue date, to be paid up by contribution in kind to serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting";*** |

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*5.* *to declare that the effectiveness of the resolutions mentioned in the previous points 1, 2, and 3, as well as the amendment to the By-laws referred to in point 4, is subject to the successful outcome of the assessment initiated pursuant to Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993, if such a positive outcome has not been achieved prior to the date of this resolution;* 

*6.* *without prejudice to the collective nature of the resolutions to exercise the delegation of powers as conferred above, to grant the Chairman of the Board of Directors currently in charge and on the Chief Executive Officer the Company currently in charge, severally and with the right to sub-delegate, within the limits set out by the law, all power and authority to provide for all that is necessary or even just appropriate for the implementation, in full and in part, of the resolutions adopted, as well as to perform all the acts and transactions necessary or appropriate for the fulfilment of the formalities required by the laws currently in force, including, by way of example but not limited to, the powers to:* 

*(i)* *prepare and submit any document required for the purposes of the execution of the capital increase, as well as to fulfil the formalities necessary to proceed with the admission to listing on Euronext Milan of the newly issued shares, including the power to prepare and submit to the competent Italian and foreign authorities any application, petition, document or prospectus necessary or appropriate for the purpose of and to proceed with the filing and publication of the certificate provided for by Article 2444 of the Italian Civil Code;* 

*(ii)* *proceed to the formalities required by Article 2343-quater of the Italian Civil Code;* 

*(iii)* *manage relations with any Italian or foreign competent body and/or authority for the purpose of obtaining all authorisations and approvals necessary for the successful outcome of the transaction, as well as the preparation, amendment, integration and/or signing and/or completion of any contract, agreement, deed, declaration or document necessary to that end;* 

*(iv)* *make the necessary amendments to Article 6 of the By-laws as a result of the partial and/or total execution of the capital *increase, and to file with the Company Registry pursuant to Article 2436 of the Italian Civil Code the text of the By-laws** 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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*updated in the amount of the share capital and the number of shares and following the expiry of the delegation in relation to the removal of the temporary paragraph 4;* 

 

*(v)* *make any amendments and/or additions to the adopted resolutions that may be necessary and/or appropriate, including at the request of any competent authority or at the time of registration, and* 

*(vi)* *in general, do all that is necessary for the complete execution of the said resolutions, with any and all powers necessary and appropriate for that purpose, none excluded and excepted."* 

\* \* \*

Siena, 18 March 2025

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| |
|:---|
| For the Board of Directors |
| Mr. Nicola Maione |
| Chairman of the Board of Directors |

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\* \* \*

*The voluntary public exchange offer referred to in this Report shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*This Report does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.*

*The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.*

*The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").*

*Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.*

*Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.*

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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*This Report, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.*

*Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.*

*IMPORTANT INFORMATION*

*In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information.** If and when filed, investors may obtain free copies of the offer document and of the exemption document, at Banca Monte dei Paschi di Siena S.p.A.'s website at <u>www.gruppomps.it/en/</u> and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.*

*This Report does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this Report may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.*

*The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.*

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

**Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.**

March 14, 2025

KPMG Advisory S.p.A.

Corporate Finance

March 14, 2025

*This report consists of 25 pages*

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Contents**

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| | | |
|:---|:---|:---|
| **1** | **Introduction** | **2** |
| 1.1 | Purpose of the Report and Terms of the Engagement | 2 |
| 1.2 | Summary of the terms and rationale of the Offer | 3 |
| 1.3 | Documentation used | 4 |
| 1.4 | Limitations | 5 |
| 1.5 | Work performed | 7 |
| 1.6 | Restrictions on the Use of this Fairness | 7 |
| 1.7 | Main assumptions and difficulties of the valuation | 7 |
| **2** | **Description of the asset to be contributed** | **9** |
| 2.1 | Identification of the contributing company | 9 |
| 2.2 | Object of the Contribution | 9 |
| **3** | **Mediobanca** | **10** |
| 3.1 | Profile | 10 |
| 3.2 | Financial and economic position of Mediobanca as of June 30, 2024 and December 31, 2024 | 11 |
| 3.3 | Projections of Mediobanca's 2023-2026 Business Plan | 16 |
| **4** | **Valuation of Mediobanca Shares** | **18** |
| 4.1 | Introduction | 18 |
| 4.2 | Selection of Valuation Methodologies | 18 |
| 4.3 | The Sum of the Parts Method | 19 |
| 4.4 | Dividend Discount Model Method | 22 |
| 4.5 | Stock Market prices method | 23 |
| 4.6 | Target Prices method | 24 |
| **5** | **Conclusions** | **25** |

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*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>1</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

 ****

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

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| | |
|:---|:---|
| **1** | **Introduction** |

---

**1.1** **Purpose of the Report and Terms of the Engagement** 

On January 24, 2025, Banca Monte dei Paschi di Siena S.p.A. ("**BMPS**" or the "**Offeror**") announced, pursuant to and for the purposes of Article 102, paragraph 1, of Legislative Decree No. 58 of February 24, 1998, as subsequently amended and integrated ()"**TUF**"), and Article 37 of the regulation adopted by CONSOB with resolution No. 11971 of May 14, 1999, as subsequently amended and integrated (the "**Issuers' Regulation**"), that on January 23, 2025, it had resolved to promote a voluntary public exchange offer pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF (the "**Offer**"). The Offer pertains to the entire share capital represented by all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni (the "**Issuer**" or "**Mediobanca**") which are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. ("**Borsa Italiana**" or the "**Stock Market**"), including the treasury shares held by the Issuer (the "**Offeror's Communication**").

The Offer concerns the entirety of the Issuer's ordinary shares, including treasury shares held by the Issuer, as well as any newly issued shares to serve the long-term equity-based incentive plans (the "**Mediobanca Shares**" or the "**Issuer's Shares**").

As of the date of the Offer and this Report, the total number of Mediobanca Shares amounts to 833,279,689 ordinary shares. The number of the Issuer's Shares subject to the Offer may increase should Mediobanca issue additional new shares to serve long-term share-based incentive plans.

For each Mediobanca Share tendered in acceptance of the Offer, BMPS will offer a consideration per share, not subject to adjustment (except as indicated in paragraph 1.2), equal to 2.300 newly issued ordinary shares of the Offeror (the "**Consideration**"). Accordingly, for every 10 Mediobanca Shares tendered in acceptance of the Offer, 23 newly issued ordinary shares of the Offeror will be offered in exchange.

If all the shares subject to the Offer issued as of the date of the Offeror's Communication and this Report should be tendered, a maximum of 1,916,543,285 newly issued BMPS shares, arising from a capital increase to service the Offer (the "**Capital Increase in Service of the Offer**"), would be issued to the tendering shareholders of Mediobanca.

The newly issued shares will have regular dividend rights and will have the same characteristics as those outstanding at the date of issuance.

With regard to the Capital Increase in Service of the Offer, on January 23, 2025, the Board of Directors of BMPS resolved to submit to the Extraordinary Shareholders' Meeting of the Offeror, convened for April 17, 2025, the proposal to delegate the Board of Directors, pursuant to Article 2433 of the Italian Civil Code, the power, to be exercised by December 31, 2025, to increase BMPS share capital in one or more tranches, in divisible form, with the exclusion of pre- emptive rights pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, to be paid in by a contribution in kind of the Issuer's Shares tendered in acceptance of the Offer (the "**Contribution**").

The Board of Directors also resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to avail itself of the provisions set forth in Article 2343-ter (also for the purposes of Articles 2343-quater and 2443, paragraph 4) of the Italian Civil Code. This provision allows the company not to require a sworn valuation report from an expert appointed by the court in whose jurisdiction the acquiring company is based, provided that, pursuant to Article 2343- ter of the Italian Civil Code, "*the value attributed, for the purposes of determining share capital and any share premium, to the contributed assets is equal to or lower than the value resulting from an appraisal dated no more than six months prior to the contribution*

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>2</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

 ****

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

*and compliant with generally accepted principles and criteria for the valuation of the contributed assets, provided that such appraisal is issued by an expert independent of the contributor, the company, and shareholders who individually or jointly exercise control over the contributor or the company itself, possessing adequate and proven professional expertise."*

In this context, BMPS engaged KPMG Corporate Finance, a division of KPMG Advisory S.p.A. ("**KPMG**"), to issue an independent opinion (the "**Engagement**") on the value attributable to the Mediobanca Shares subject to the potential in-kind contribution following the execution of the Offer pursuant to Article 2343-ter, letter b), of the Italian Civil Code (the "**Report**" or the "**Opinion**").

Our Opinion, therefore, concerns the fair value attributable to the Mediobanca Shares subject to the Contribution, as estimated on the date of issuance of this Report, representing the threshold value to be assigned for the determination of the share capital and any share premium related to the Capital Increase in Service of the Offer. The value of the Capital Increase in Service of the Offer will, in fact, only be determinable closer to its execution, based on the issuance price of BMPS shares and the actual number of newly issued shares.

KPMG Advisory S.p.A. declares that it meets the requirements of (i) independence from the entities identified under Article 2343-ter, paragraph 2, letter b) of the Italian Civil Code and (ii) adequate and proven professional expertise, as required by the same provision, in relation to the content and purpose of the requested valuation.

**1.2** **Summary of the terms and rationale of the Offer** 

As highlighted in the previous paragraph, the Offer is related to the entirety of the Issuer's ordinary shares, amounting to 833,279,689 shares as of March 13, 2025.

The Consideration has been set at 2.300 newly issued BMPS shares for each Mediobanca share tendered in acceptance of the Offer. Based on the official closing price of BMPS shares on January 23, 2025 (the last trading day prior to the date of the Offeror's Communication), amounting to Euro 6.953 (Source: FactSet VWAP), the Consideration represents a value of Euro 15.992 per Mediobanca share, reflecting a premium of 5.03% over the official closing price of Mediobanca shares on January 23, 2025 (Euro 15.227 - Source: FactSet VWAP).

Based on the official price of the Offeror's shares as of January 23, 2025, in the event of full acceptance of the Offer by the shareholders of the Issuer holding the 833,279,689 ordinary shares of Mediobanca, the total value of the Offer would amount to approximately Euro 13.3 billion, representing the "monetary" valuation of the Consideration (Euro 15.992 per Issuer's Share).

The Consideration has been determined under the assumption that, prior to the Payment Date (as defined in the Offeror's Communication):

i. neither the Issuer nor the Offeror approves or initiates any ordinary (including interim dividends) or
extraordinary distribution of dividends taken from profits and/or other reserves; and

ii. the Issuer does not approve or initiate any share capital-related transactions (including, by way of example, capital increases or
reductions) and/or any operations affecting Mediobanca Shares (including, by way of example, amalgamation or cancellation of shares).

Should the Issuer and/or the Offeror, prior to the Payment Date, distribute dividends (including interim dividends) and/or reserves to their respective shareholders, or should dividend coupons resolved but not yet paid be detached from the Mediobanca and/or BMPS shares, as the case may be, the Consideration will be adjusted to account for the distributed dividend (or interim dividend) or the distributed reserve.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>3</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

Without prejudice to the Conditions of Effectiveness (as defined in the Offeror's Communication), if the Issuer approves or carries out any capital-related transaction (including, by way of example, capital increases or reductions) and/or operations affecting Mediobanca shares (including, by way of example, amalgamation or cancellation of shares), such events will trigger an adjustment to the Consideration, should the Offeror choose to waive the relevant Effectiveness Condition, where applicable, for the specific event.

On March 6, 2025, the Board of Directors of BMPS resolved to propose to the Ordinary Shareholders' Meeting the distribution of Euro 1,083 million, derived from the net profit reported in the draft financial statements as of December 31, 2024 (Euro 1,923 million), to its shareholders as a dividend of Euro 0.86 per share.

In light of the above, if the aforementioned distribution is approved by the BMPS Shareholders' Meeting and the dividend coupon is detached or the dividend is paid before the Payment Date (each, individually, "**Adjustment Condition**"), the Consideration will be adjusted accordingly (the "**Adjusted Consideration**").

It is noted that, on February 10, 2025, the Mediobanca Board of Directors resolved — during the approval of the semi-annual report as of December 31, 2024 — to distribute an interim dividend (the "**2025 Mediobanca Interim Dividend**") to its shareholders in May 2025 (with the balance payable in November 2025). If the coupon for such interim dividend is detached or the interim dividend is paid before the Payment Date, the Consideration or, as the case may be, the Adjusted Consideration, will be adjusted again to reflect this circumstance.

The Offer is subject to obtaining the necessary authorizations from the competent authorities, as set forth in Section 1.4 of the Offeror's Communication.

On February 13, 2025, BMPS announced to the market that it had filed, on the same date, with the Italian Securities and Exchange Commission ("**CONSOB**"), pursuant to Article 102, Paragraph 3, of the Italian Consolidated Law on Finance ("**TUF**") and Article 37-ter of the Issuers' Regulation, the offer document (the "**Offer Document**") for publication.

With respect to the Offer conditions, it is noted that the effectiveness of the Offer is subject to the acquisition, following the Offer, of a stake representing at least 66.67% of the voting rights exercisable at the Issuer's shareholders' meetings (the "**Threshold Condition**").

**1.3** **Documentation used** 

The Offeror does not possess any non- public information regarding Mediobanca; consequently, the Offer has been formulated exclusively based on publicly available information. In carrying out its Engagement, KPMG also did not have access to any private information regarding the Issuer, and therefore, the analyses conducted were based solely on publicly available data.

This aspect influences the content and outcomes of this Report, including the methodologies used, the sensitivity analyses carried out, and the results obtained.

For the purposes of this Report, the primary information used to conduct our analyses included the following:

· Press release pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the Issuers'
Regulation, published by BMPS on January 24, 2025.

· Press release pursuant to Article 37-ter, paragraph 3, of the Issuers' Regulation, published by BMPS
on February 13, 2025.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>4</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

· Document titled "*The New Italian Banking Champion – Voluntary Public Exchange Offer launched by Banca Monte dei Paschi di Siena on the ordinary shares of Mediobanca*," presented to the financial community by BMPS on January 24, 2025.

· Draft Explanatory Report of the Board of Directors of BMPS on Item 1 of the Agenda of the Extraordinary
Shareholders' Meeting convened on April 17, 2025, regarding the Offer.

· Press release including the financial statements as of September 30, 2024, and the presentation of
quarterly results as of the same date for Mediobanca.

· Mediobanca's half-year financial report as of December 31, 2024, subject to limited audit by
EY S.p.A., which issued its report on February 11, 2025.

· Press release including the financial statements as of December 31, 2024, and the presentation of
half-year results, including an update on target indicators for the 2026 fiscal year under the 2023– 2026 Business Plan (as defined
below).

· Consolidated and individual financial statements of Mediobanca as of June 30, 2024, subject to full
audit by EY S.p.A., with the audit report issued on September 25, 2024.

· Document titled "*Mediobanca One Brand – One Culture, Strategic Guidelines FY 2023–26*,"
released to the financial community by Mediobanca on May 24, 2023, outlining expected forward-looking data for the reference period
(" **Prospective Data of the 2023–2026 Business Plan** ").

· Estimates provided by investment firms regarding the latest expectations for Mediobanca's prospective
financial and economic results ()"**Analysts' Forecasted Data** ").

Additionally, we have relied on other publicly available documents and information necessary for the development of the valuation process.

**1.4** **Limitations** 

The Engagement and the results achieved in this Opinion are subject, in addition to the limitations indicated in paragraph 1.3 above, to the following additional limitations.

The analysis is based on publicly available information and documents relating to Mediobanca, for which no verification, audits, reviews, and/or certifications have been conducted by us, in line with the Engagement and the nature of the documentation available.

During the analyses and in preparing this Report, it was assumed and relied upon the correctness, completeness, and accuracy of all publicly available information and economic-financial and other assumptions. The documents and information used for the analyses under our Engagement were analyzed solely in terms of overall reasonableness and consistency; no verifications or investigations were carried out to identify errors, inaccuracies, latent liabilities of any kind not reflected in the documentation and information available.

The valuation analyses are based on Mediobanca's consolidated semi-annual financial position as of December 31, 2024, communicated to the financial community on February 11, 2025; within the scope of our Engagement, we did not have access to the Management and/or the independent auditors of the Issuer. Moreover, no independent audit procedures were conducted on Mediobanca's financial data, nor were verifications or investigations carried out regarding the potential existence of tax, contractual, and social security liabilities or risks of any kind not reported in the financial statements and balance sheet of the Issuer.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>5</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

KPMG conducted its analyses on the assumption that no substantial changes occurred in the economic and financial position of the Issuer between December 31, 2024, and the date of the Opinion.

The valuation analyses of the Issuer's Shares subject to potential Contribution were conducted under the assumption of normal operations (excluding extraordinary and non-recurring management events) and business continuity.

The valuations underlying our Opinion were also developed on a stand- alone basis; therefore, the analysis results do not take into account any potential synergies and/or fiscal, accounting, financial, and/or operational impacts related to the transaction in question. In the stand-alone valuation of Mediobanca, the economic-financial effects or potential synergies resulting from the completion of the Offer were not considered.

For our valuations, we used Mediobanca's financial forecast data as reflected in the Prospective Data of the 2023-2026 Business Plan and/or estimates derived from analyst research reports referring to the Issuer. With regard to such prospective data and the other data and information used in the scope of the Engagement, we disclaim any responsibility for their accuracy and completeness; however, we have conducted an analysis of their overall reasonableness, , also considering the public disclosures released by the Issuer on the presentation of the semi-annual results as of December 31, 2024. Forecasts are inherently uncertain and variable, reflecting the company's future strategies. This Report contains no explicit or implicit statements or guarantees regarding the execution and implementation of those strategies and/or the achievement of future results.

It should be noted that these are prospective data, whose assumptions about the future evolution of the Issuer's activities are based on an extended time horizon in a sector (banking) closely tied to macroeconomic and financial market conditions. This situation is further intensified by the current context, characterized by high volatility in Stock Market values, exacerbated by the broader emergency situation linked to international geopolitical instability. Consequently, forecasts made based on these assumptions are subject to a certain degree of uncertainty and may not materialize or may materialize in ways that result in outcomes different from those underlying our estimate.

This Opinion was prepared considering reasonably foreseeable factors, and therefore the valuations did not consider the occurrence of extraordinary and/or unforeseeable events (e.g., new sector regulations, changes in tax law, political and social scenarios, etc.). We also based our Opinion on economic and market conditions and publicly available information as of the date of the Opinion.

The content of the Report should be interpreted as an estimate of listed shares constituting the entire share capital of Mediobanca, based on generally accepted valuation assumptions and criteria applied in this specific case through valuation methodologies deemed appropriate, in compliance with the received Engagement.

Accordingly, and based on the foregoing, this estimate constitutes an independent Opinion regarding the value attributable to the 833,279,689 ordinary shares representing the entirety of the Issuer's share capital as of the date of the Report.

Considering the purpose of our Engagement, which is solely that provided for in Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code, this Report is not intended to replace the independent judgment of Mediobanca shareholders regarding the conditions of the Offer promoted by BMPS, nor does it in any way constitute a recommendation to accept the Offer itself.

Finally, we have obtained confirmation from BMPS Management that they are not aware of any additional significant elements for our work that have not been presented and discussed with us.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>6</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**1.5** **Work performed** 

For the purpose of fulfilling our Engagement, we have carried out the following activities:

· examination of the information and documents collected;

· analysis of Mediobanca's half-year financial position as of December 31, 2024, the Prospective
Data of the 2023-2026 Business Plan, and the Analysts' Forecasted Data;

· analysis of the relevant sector;

· identification of the valuation methodologies deemed applicable, taking into account the distinctive characteristics of Mediobanca,
as well as the indications provided by academic literature and valuation practices in the relevant sector;

· definition of the metrics and parameters necessary for the application of the selected valuation methodologies;

· development of the valuation methodologies and sensitivity analysis of the results based on variations
in the key valuation parameters adopted;

· analysis of the results obtained.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.6** **Restrictions on the Use of this Fairness** 

This Report may not be used for purposes other than those indicated in paragraph 1.1 "Purpose of the Report and Terms of the Engagement" and as provided for under Article 2343-ter of the Italian Civil Code. We therefore accept no liability for damages resulting from unauthorized or improper use of this Fairness.

**1.7** **Main assumptions and difficulties of the valuation** 

The Engagement was carried out with the following main limitations and difficulties:

· KPMG did not have access to private information concerning the
Issuer and/or the Management of Mediobanca. The analyses conducted were therefore based exclusively on publicly available information.
This limitation has been reflected in the approach adopted and in the determination of the parameters supporting the valuation process.
It cannot be excluded that access to non-public information of the Issuer, all other conditions being equal, could have had a significant
impact on the analyses and conclusions set forth in this Report;

· the valuation analyses were based on prospective financial data, which by their nature involve elements of uncertainty and subjectivity
and depend on the actual realization of the assumptions and hypotheses underlying the projections. These assumptions include, *inter alia*, hypothetical scenarios dependent on factors entirely or partially beyond the control of the management and inherently characterized
by uncertainty, including potential structural market changes;

· due to the inherent uncertainty of future events, both regarding their occurrence and the timing and magnitude
of their manifestation, deviations between prospective data and actual results could be significant, even if the key events underlying
the prospective data occur;

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>7</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

· the valuation methodologies employed required the implementation of a complex and structured evaluation
process, involving, in particular, the selection of various market financial parameters, which by their nature are subject to potentially
significant fluctuations;

· the recent volatility in financial markets, driven by uncertainties related to the ongoing war between the Russian Federation and
Ukraine, as well as the Israel-Palestine conflict, could impact the valuation assumptions adopted in our analyses and, consequently, the
results obtained. As geopolitical tensions persist, it is not currently possible to predict the medium- and long-term impacts of these
events on the real economy and financial markets.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>8</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

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| | |
|:---|:---|
| **2** | **Description of the asset to be contributed** |

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**2.1** **Identification of the contributing company** 

The contributing company is Banca Monte dei Paschi di Siena S.p.A., a joint-stock company incorporated under the laws of Italy, with registered office in Piazza Salimbeni, 3, Siena, registration number with the Companies Register of Arezzo - Siena and Tax Code no. 00884060526. The Contributing Company is also registered in the Bank Register held by the Bank of Italy under number 5274 and, as the parent company of the Monte dei Paschi di Siena Banking Group (the "**BMPS Group**"), in the Register of Banking Groups under number 1030, as well as a member of the Interbank Fund for Deposit Protection (Fondo Interbancario di Tutela dei Depositi) and the National Guarantee Fund (Fondo Nazionale di Garanzia).

**2.2** **Object of the Contribution** 

As part of the Offer under examination, the object of the Contribution consists of a maximum of 833,279,689 ordinary shares of Mediobanca, representing the entire share capital of the Issuer, including treasury shares. The Issuer's shares are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana, with ISIN code IT0000062957, and are dematerialized pursuant to Article 83-bis of the TUF.

Mediobanca has its registered office in Milan, Piazzetta Enrico Cuccia, 1, registration number with the Milan Companies' Register and tax code no. 00714490158. Mediobanca is registered in the Bank Register held by the Bank of Italy and, as the parent company of the Mediobanca Banking Group, in the Register of Banking Groups under number 10631, as well as a member of the Interbank Fund for Deposit Protection (Fondo Interbancario di Tutela dei Depositi) and the National Guarantee Fund (Fondo Nazionale di Garanzia).

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>9</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

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| | |
|:---|:---|
| **3** | **Mediobanca** |

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**3.1** **Profile** 

Mediobanca is a specialized financial group, active in Consumer Finance, Wealth Management, and Corporate & Investment Banking. The Issuer is listed on the Mercato Telematico Azionario organized and managed by Borsa Italiana S.p.A. and is included in the FTSE/MIB index.

Mediobanca operates through four main business units:

1) *Consumer Finance* ("**CF**"): Mediobanca operates in consumer credit through Compass, a company that has been active in Italy for over 70 years, offering personal loans. In this segment, the bank also offers services such as purpose loans, credit cards, salary-backed loans, and *buy-now-pay-later*, the latter through the development of Pagolight (a proprietary solution) and participation in HeidiPay.

2) *Wealth Management* ("**WM**"): including three main lines of business related to:

&nbsp;&nbsp;&nbsp;&nbsp;(i) *Private Banking,* Business unit that serves approximately 11,000 High Net Worth and Ultra High Net Worth individuals, through
Mediobanca Private Banking (founded in 2017 from the integration of Banca Esperia into Mediobanca) and CMB Monaco for the clientele. As
of June 30, 2024, the segment has 155 advisors and approximately Euro 45 billion in assets under management.

&nbsp;&nbsp;&nbsp;&nbsp;(ii) *Premier Banking*, services offered to *Affluent* clients, through Mediobanca Premier (formerly CheBanca!). As of June 30,
2024, the bank has over 770,000 clients, 615 financial advisors, 536 managers, and approximately Euro 42 billion in assets under management.

&nbsp;&nbsp;&nbsp;&nbsp;(iii) *Asset Management*, with the presence of proprietary product factories such as Mediobanca Sgr, Polus
Capital, and RAM.

3) *Corporate & Investment Banking* ("**CIB**"): such division offers *capital markets*, *lending*, *trading*, *specialty finance services*, and advisory in *Merger & Acquisition* transactions, company or asset valuations, and *restructuring*.

4) *Insurance* ("**INS**"): The activity in recent years has focused on the active management of Mediobanca's portfolio of investments. The current portfolio essentially includes the investment in Assicurazioni Generali S.p.A. ("**Generali**"), an investment with a significant contribution to Mediobanca's results.

The Issuer's share capital as of March 13, 2025 consists of 833,279,689 ordinary shares with no nominal value, of which 814,459,551 are outstanding shares and 18,820,138 treasury shares are held in the portfolio, as stated in the Issuer's press release dated March 10, 2025.

It is also specified that the Issuer's Extraordinary Shareholders' Meeting, held on October 28, 2024, resolved to cancel up to a maximum of 30,000,000 treasury shares that may be acquired (and not used) pursuant to the resolution passed at the ordinary shareholders' meeting held on the same date. Pursuant to the resolution passed, the cancellation may be carried out in several instalments or in one lump sum, however, within 18 months from the date of the shareholders' resolution. The share buyback and cancellation program have a value of approximately Euro 385 million. The operation has been authorized by the European Central Bank.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>10</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

The following table shows the persons who, as of the date of this Notice - based on the notifications pursuant to Article 120 of the TUF, as published on Consob's website - hold shares of the Issuer's share capital or voting rights exceeding 3% of the Issuer's ordinary share capital<sup>1</sup>:

· Francesco Gaetano Caltagirone: 5.499%;

· Delfin SARL: 19.390%;

· Banca Mediolanum S.p.A.: 3.343%.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**3.2** **Financial and economic position of Mediobanca as of June 30, 2024 and December 31, 2024** 

The financial and economic position of Mediobanca as of December 31, 2024 is reported below. Mediobanca adopts a fiscal year ending on June 30, each year; therefore, the data for the month of December corresponds to the results of the semi-annual financial report.

**Table 1. Income statement of the Mediobanca Group**

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Income Statements Mediobanca Group**<br>**€ mn** | **30/06/2023**<br>**FY** | **30/06/2024**<br>**FY** | **31/12/2023**<br>**6m** | **31/12/2024**<br>**6m** | **YoY%**<br>**6m** |
| **Net interest income** | **1801** | **1985** | **997** | **979** | (1.8)% |
| Net treasury income | 206 | 172 | 93 | 92 | (1.7)% |
| **Net fee and commission income** | **843** | **939** | **422** | **547** | 29.5% |
| Equity-accounted companies | 454 | 510 | 219 | 230 | 5.4% |
| **Total income** | **3303** | **3607** | **1731** | **1848** | **6.8%** |
| &nbsp;&nbsp;&nbsp;Labour costs | (728) | (805) | (382) | (419) | 9.7% |
| &nbsp;&nbsp;&nbsp;Administrative expenses | (685) | (738) | (353) | (361) | 2.2% |
| **Operating costs** | **(1413)** | **(1542)** | **(735)** | **(780)** | **6.1%** |
| &nbsp;&nbsp;&nbsp;Loan loss provisions | (270) | (252) | (133) | (133) | 0.4% |
| &nbsp;&nbsp;&nbsp;Provisions for other financial assets | (7) | 14 | 5 | 11 | 109.8% |
| &nbsp;&nbsp;&nbsp;Other income (losses) | (186) | (90) | (25) | (14) | (46.0)% |
| **Profit before tax** | **1427** | **1736** | **842** | **931** | **10.6%** |
| &nbsp;&nbsp;&nbsp;Income tax for the period | (394) | (437) | (221) | (231) | 4.8% |
| &nbsp;&nbsp;&nbsp;Minority interest | (7) | (26) | (10) | (40) | 290.3% |
| **Net Profit** | **1026** | **1273** | **611** | **660** | **7.9%** |

---

*Source: Financial statements and semi-annual reports of Mediobanca.*

1 Quotes refer to the entirety of shares related to the declarant or the entity at the top of the ownership chain.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>11</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Table 2. Divisional income statement of the Mediobanca Group as of December 31, 2024**

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Income Statements by Business Unit** | **CF** | **WM** | **CIB** | **INS** | **Holding<br> Functions** | **Group<sup>1</sup>** |
| **6 months 31/12/2024 (€ mn)** | | | | | | |
| **Net interest income** | **557** | **204** | **153** | **(4)** | **48** | **979** |
| Net treasury income |  | 6 | 65 | 16 | 6 | 92 |
| **Net fee and commission income** | **72** | **270** | **234** | **(0)** | **3** | **547** |
| Equity-accounted companies | (0) |  |  | 231 | (0) | 230 |
| **Total income** | **629** | **480** | **451** | **243** | **56** | **1848** |
| &nbsp;&nbsp;&nbsp;Labour costs | (62) | (168) | (118) | (2) | (70) | (419) |
| &nbsp;&nbsp;&nbsp;Administrative expenses | (127) | (148) | (83) | (1) | (14) | (361) |
| **Operating costs** | **(189)** | **(315)** | **(200)** | **(3)** | **(84)** | **(780)** |
| &nbsp;&nbsp;&nbsp;Loan loss provisions | (136) | (1) | 1 |  | 3 | (133) |
| &nbsp;&nbsp;&nbsp;Provisions for other financial assets |  | 0 | (1) | 9 | 2 | 11 |
| &nbsp;&nbsp;&nbsp;Other income (losses) |  | (4) | (4) |  | (1) | (14) |
| **Profit before tax** | **304** | **160** | **248** | **250** | **(24)** | **931** |
| &nbsp;&nbsp;&nbsp;Income tax for the period | (101) | (49) | (68) | (9) | (5) | (231) |
| &nbsp;&nbsp;&nbsp;Minority interest |  | (1) | (38) |  | (1) | (40) |
| **Net Profit** | **203** | **111** | **142** | **241** | **(30)** | **660** |
| **RWA** | **14409** | **6201** | **15019** | **8080** | **3852** | **47561** |

---

*Source: Semi-annual report as of December 31, 2024 of Mediobanca.*

· The consolidated semi-annual revenues grew by 6.8%, from Euro 1,731 million to Euro 1,848 million.

· The net interest margin reached Euro 979 million. The increase was supported by the expansion of the CF segment, which recorded an
8.6% year-on-year increase. However, the return on assets was impacted by the reduction in market rates (Euribor 3m: -67bps), which moderated
the positive effect of the increase in volumes by Euro 1.4 billion. The CIB segment remained stable at Euro 153 million, with a decline
in the large corporate segment offset by growth in the markets.

· Net fees recorded growth equal to 29.5% in a year, reaching Euro 547 million. WM fees increased by 12.5% year-on-year, totaling Euro
270 million, while CIB division fees rose to Euro 234 million, up 75.2% compared to the previous year, also thanks to the inclusion of
Arma Partners.

· The contribution of Assicurazioni Generali to the *equity method* increased by 5.4%, from Euro 215
million to Euro 227 million.

· Operating costs increased by 6.1%, reaching Euro 780 million. Despite the increase, the cost-to-income ratio remained virtually unchanged
at 42.2% (compared to 42.5% the previous year). The rise in costs affected all the main components:

Personnel costs increased by 9.7%, from Euro 382 million to Euro 419 million. The increase was driven by the rise in the number of employees (FTE +2.6%, from 5,369 to 5,510) and adjustments to variable components in the CIB segment in line with the results achieved.

<sup>1</sup> The sum of the data by business area differs from the total Group figure due to net consolidation adjustments/differences between the business areas (Euro 1.1 million) and the effects related to acquisitions (mainly on put & call agreements and earn-out), which are not attributed to any Business Unit (Euro 5.3 million).

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>12</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

Administrative expenses increased by 2.2%, reaching Euro 361 million. The increase was mainly driven by technology expenses (+2.5% to Euro 127 million), *back office* and *operations costs* (+5% to Euro 103 million), costs related to branches and offices (+8% to Euro 50 million), and credit recovery expenses (+5% to Euro 21 million).

**Table 3. Divisional Income Statement of the Mediobanca Group as of June 30, 2024<sup>1</sup>**

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Income Statements by Business Unit** | **CF** | **WM** | **CIB** | **INS** | **Holding<br> Functions** | **Group<sup>1</sup>** |
| **FY 30/06/2024 (€ mn)** | | | | | | |
| **Net interest income** | **1044** | **425** | **307** | **(7)** | **178** | **1985** |
| Net treasury income | 0 | 9 | 95 | 27 | 39 | 172 |
| **Net fee and commission income** | **145** | **489** | **361** | **-** | **6** | **939** |
| Equity-accounted companies | (0) |  |  | 511 |  | 510 |
| **Total income** | **1189** | **924** | **763** | **530** | **224** | **3607** |
| &nbsp;&nbsp;&nbsp;Labour costs | (121) | (325) | (215) | (4) | (140) | (805) |
| &nbsp;&nbsp;&nbsp;Administrative expenses | (249) | (288) | (165) | (1) | (53) | (738) |
| **Operating costs** | **(370)** | **(614)** | **(380)** | **(5)** | **(192)** | **(1542)** |
| &nbsp;&nbsp;&nbsp;Loan loss provisions | (250) | (7) | 11 |  | (6) | (252) |
| &nbsp;&nbsp;&nbsp;Provisions for other financial assets |  | 1 | (3) | 20 | (4) | 14 |
| &nbsp;&nbsp;&nbsp;Other income (losses) | 0 | (4) | (3) |  | (49) | (90) |
| **Profit before tax** | **570** | **300** | **387** | **545** | **(28)** | **1736** |
| &nbsp;&nbsp;&nbsp;Income tax for the period | (187) | (91) | (121) | (23) | (13) | (437) |
| &nbsp;&nbsp;&nbsp;Minority interest |  | (1) | (23) |  | (3) | (26) |
| **Net Profit** | **383** | **209** | **244** | **522** | **(44)** | **1273** |
| **RWA** | **14493** | **6051** | **14857** | **8066** | **4153** | **47622** |

---

*Source: Financial Statements as of June 30, 2024 of Mediobanca.*

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| | |
|:---|:---|
| <sup>1</sup> | The sum of the divisional data differs from the Group total due to adjustments/differences arising on consolidation between business areas (equal to Euro 4.9 million), the RAM brand impairment charge (Euro 31.7 million), and other effects attributable to acquisitions (in particular in respect of put-and-call arrangements) that have not been allocated to any business line in particular (Euro 3.1 million). |

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*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>13</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Table 4. Statement of Financial Position of the Mediobanca Group as of June 30, 2024 and December 31, 2024**

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| | | | |
|:---|:---|:---|:---|
| **Balance Sheet Mediobanca Group** | **30/06/2024** | **31/12/2024** | **%** |
| **€ mn** | | | |
| Financial assets held for trading | 15410 | 15172 | (1.5)% |
| Treasury financial assets | 11103 | 10386 | (6.5)% |
| **Equity Holdings** | **4703** | **4992** | **6.1%** |
| &nbsp;&nbsp;&nbsp;Equity Investments | 3789 | 4092 | 8.0% |
| &nbsp;&nbsp;&nbsp;Other Investments | 914 | 900 | (1.5)% |
| Banking book securities | 11341 | 12063 | 6.4% |
| **Customer loans** | **52447** | **53859** | **2.7%** |
| &nbsp;&nbsp;&nbsp;Corporate | 16043 | 17170 | 7.0% |
| &nbsp;&nbsp;&nbsp;Specialty Finance | 2950 | 2707 | (8.3)% |
| &nbsp;&nbsp;&nbsp;Consumer Finance | 15198 | 15564 | 2.4% |
| &nbsp;&nbsp;&nbsp;Mortgages | 12568 | 12615 | 0.4% |
| &nbsp;&nbsp;&nbsp;Private banking | 4285 | 4474 | 4.4% |
| &nbsp;&nbsp;&nbsp;Leasing e Gestione NPL | 1403 | 1329 | (5.3)% |
| Tangible and intangible assets | 1595 | 1639 | 2.8% |
| Other assets | 2628 | 1801 | (31.5)% |
| **Total assets** | **99226** | **99912** | **0.7%** |
| **Funding** | **63670** | **64211** | **0.8%** |
| &nbsp;&nbsp;&nbsp;MB bonds | 27619 | 28728 | 4.0% |
| &nbsp;&nbsp;&nbsp;Premier Banking deposits | 16888 | 17904 | 6.0% |
| &nbsp;&nbsp;&nbsp;Private Banking deposits | 11011 | 10292 | (6.5)% |
| &nbsp;&nbsp;&nbsp;ECB | 1313 |  | (100.0)% |
| &nbsp;&nbsp;&nbsp;Banks and other | 6839 | 7287 | 6.6% |
| Treasury financial liabilities | 10584 | 11841 | 11.9% |
| Financial liabilities held for trading | 9505 | 9095 | (4.3)% |
| Other liabilities | 4066 | 3295 | (19.0)% |
| Provisions | 158 | 149 | (5.9)% |
| **Net equity** | **11243** | **11321** | **0.7%** |
| &nbsp;&nbsp;&nbsp;Minority interest | 86 | 86 | 0.1% |
| &nbsp;&nbsp;&nbsp;Profit for the period | 1273 | 660 | (48.2)% |
| **Total liabilities** | **99226** | **99912** | **0.7%** |
| **Net TFA** | **99431** | **106824** | **7.4%** |
| Premier | 41820 | 44826 | 7.2% |
| Private/HNWI | 44867 | 47167 | 5.1% |
| Asset Management | 28239 | 31686 | 12.2% |
| Intercompany | (15495) | (16854) | 8.8% |
| **Regulatory Capital** |  |  |  |
| CET 1 capital | 7222 | 7248 | 0.4% |
| Total capital | 8438 | 8381 | (0.7)% |
| RWA | 47622 | 47561 | (0.1)% |

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*Source: Financial Statements and Semi-Annual Reports of Mediobanca.*

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>14</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

· The total assets as of December 31, 2024 show a slight increase in the
 semester, rising from Euro 99.2 billion to Euro 99.9 billion.

· Customer loans increased from Euro 52.4 billion to Euro 53.9 billion, driven by the CIB, which rose from Euro 19.0 billion to Euro
19.9 billion. In particular, the *large corporate* segment grew by 7%, reaching Euro 17.2 billion, while *factoring* recorded
a decline of 8.3%, falling from Euro 3.0 billion to Euro 2.7 billion, affected by the crisis in the automotive sector. The CF maintained
a quarterly growth *trend* of 2.4%, rising from Euro 15.2 billion to Euro 15.6 billion. The WM also recorded an increase of 1.4%,
reaching Euro 17.1 billion.

· The securities in the *banking book* increased from Euro 11.3 billion to Euro 12.1 billion, divided into Euro 5.2 billion in
the *HTC* portfolio, Euro 6.4 billion in the *HTC&S* portfolio, and Euro 0.4 billion designated at *fair value*. The
position in Italian government bonds grew from Euro 5.4 billion to Euro 6.1 billion, with an average *duration* of approximately 2 years.

· Total funding increased from Euro 63.7 billion to Euro 64.2 billion, with a securitized component of Euro 28.7 billion, after new
issuances of Euro 3.1 billion and repayments of Euro 2.0 billion. WM deposits rose from Euro 27.9 billion to Euro 28.2 billion, thanks
to the strong performance of the *Premier* channel, while interbank borrowings amounted to Euro 7.3 billion.

· Total Financial Assets (TFA) rise to Euro 106.8 billion (+14.2% compared to the previous semester, +3.6% in the quarter), with a net
growth of Euro 4.5 billion and a market effect estimated at Euro 2.6 billion. *Assets under management* increase to Euro 48.2 billion,
growing by Euro 4.9 billion in the semester and by Euro 7.4 billion compared to 12 months ago. *Assets under administration* remain
stable at Euro 30.3 billion, while deposits increase to Euro 28.2 billion, of which Euro 17.9 billion are excluding Premier.

The consolidated net equity of Mediobanca as of December 31, 2024 amounted to Euro 11,321.2 million, including the equity attributable to non-controlling interests of Euro 86.2 million. The net equity attributable to the parent company therefore totals Euro 11,235.0 million and is primarily composed of:

· Share capital of Euro 444.7 million;

· Share premium of Euro 2,080.8 million;

· Retained earnings and other reserves of Euro 8,347.9 million;

· Negative valuation reserve of Euro 152.3 million;

· Treasury shares for Euro 145.8 million;

· Net profit for the period amounting to Euro 659.7 million.

Finally, as of December 31, 2024, Mediobanca's CET1 Ratio stands at 15.2%, with the application of the Danish Compromise, and the Total Capital Ratio is 17.6%, including the half- year result net of the distribution of an interim dividend to Mediobanca shareholders scheduled for May 2025 (with the balance in November 2025), based on a payout assumption of 70%. The Corep CET1 ratio, without earnings for the period, is 14.8%.

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 15 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**3.3** **Projections of Mediobanca's 2023-2026 Business Plan** 

Projections of Mediobanca's 2023-2026 Business Plan, illustrated below, were disclosed to the financial community on May 24, 2023, and confirmed on August 1, 2024, during the communication of the annual results as of June 30, 2024. On February 11, 2025, as part of the presentation of the semi-annual results as of December 31, 2024, Mediobanca updated, revising upwards, the targets set for certain performance indicators related to *fiscal year* 2026.

Mediobanca has outlined a strategic plan for the FY23-26 period with defined objectives for each business unit, as represented below:

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Consumer Finance*** , Mediobanca intends to expand its network by strengthening its presence in emerging markets and exploring
new customer segments through its digital channels. The goal is to consolidate the *Consumer Finance* revenue streams within the
Mediobanca group.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Wealth Management*** , Mediobanca aims to close the size gap with the main Italian competitors by leveraging the potential
of the HNWI/UHNWI clients (clients with net worth exceeding Euro 5 million and Euro 20 million, respectively) and repositioning the Premier
segment. The goal is to achieve double-digit growth in TFAs, revenues, and profits.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Corporate & Investment Banking*** , Mediobanca aims to create a *capital light* European platform by primarily
investing in low capital absorbing activities and leveraging potential synergies with *Wealth Management*, with the goal of significantly
reducing RWAs over the course of the plan and consolidating revenue streams.

&nbsp;&nbsp;&nbsp;&nbsp;·  ***Insurance*** , the goal is to make this business area a significant source of revenue within
the Group, while simultaneously limiting the capital absorption of its assets.

Below are the main economic and financial figures expected for the fiscal year 2023 and for the last year of projection (i.e., 2026), compared with the same figures derived from the actual data as of June 30, 2023 and June 30, 2024. Also included are the *revised data*, relating to certain targets for the year 2026, as communicated on February 11, 2025, during the presentation of the semi-annual data as of December 31, 2024 to the financial community.

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 16 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Table 5. Projections of the 2023-2026 Business Plan and revised 2026 targets**

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Mediobanca Group** | **30/06/2023 E** | **30/06/2026 E** | **30/06/2023 A** | **30/06/2024 A** | **30/06/2026<br> Revised** |
| **€ bn / %** | | | | | |
| **Main financial data** |  |  |  |  |  |
| **Total income** | **3.2** | **3.8** | **3.3** | **3.6** | **~4** |
| Cost/income | ~44% | ~44% | 42.8% | 42.8% | n.a. |
| **Net profit** | **~1.1** | **~1.4** | **1.0** | **1.3** | **>1.4** |
| **KPIs** |  |  |  |  |  |
| **RoRWA** | **~2.1%** | **~2.7%** | **2.1%** | **2.7%** | n.a. |
| &nbsp;&nbsp;&nbsp;o/w WM | *~2.9*% | *~4.0*% | 3.1% | 3.6% | n.a. |
| &nbsp;&nbsp;&nbsp;o/w CF | *~2.7*% | *~2.9*% | 2.9% | 2.7% | n.a. |
| &nbsp;&nbsp;&nbsp;o/w CIB | *~1.0*% | *~1.6*% | 1.2% | 1.5% | n.a. |
| **ROTE** | **~12%** | **~15%** | **12.7%** | **14.0%** | n.a. |
| EPS | 1.15 | 1.80 | 1.21 | 1.53 | n.a. |
| **Main capital financial data** |  |  |  |  |  |
| **TFA** | **>85** | **~115** | **88.0** | **99.4** | n.a. |
| &nbsp;&nbsp;&nbsp;o/w direct banking funding | *~30*% | *~25*% | 32% | 28% | n.a. |
| &nbsp;&nbsp;&nbsp;o/w AUM / AUA | *~70*% | *~75*% | 68% | 72% | n.a. |
| **RWA** | **~52** | **~51** | **51.4** | **47.6** | n.a. |
| &nbsp;&nbsp;&nbsp;RWA Density | *~57*% | *~52*% | 56.1% | 48.0% | n.a. |
| **CET1 Ratio** | **15.4%** | **14.5%** | **15.9%** | **15.2%** | n.a. |
| FTE (#k) | 5.3 | 5.8 | 5.4 | 5.4 | n.a. |

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| | |
|:---|:---|
| *Source:* | *Document "Mediobanca One Brand – One Culture, Strategic Guidelines FY 2023-26", financial statements as of June 30, 2023, and June 30, 2024, Mediobanca's Half-Year Report and Results Presentation as of December 31, 2024.* |

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 17 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

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|:---|:---|
| **4** | **Valuation of Mediobanca Shares** |

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**4.1** **Introduction** 

The subject of this Report is the evaluation of the 833,279,689 ordinary shares of Mediobanca (including treasury shares), which are the subject of the Offer and constitute, as of today, the entire share capital of the Issuer. Therefore:

· the subject of the valuation is represented by the total number of shares that collectively considered
constitute the entire share capital of Mediobanca;

· the perspective to be adopted in the valuation is that of a party acquiring the entire ordinary share capital of Mediobanca. This
perspective must consider the company being valued from a going concern and *stand alone* basis, thus excluding any specific synergies
or other economic-financial effects resulting from a potential integration.

Based on the Engagement, the purpose of this report is to provide an independent and autonomous Opinion, in accordance with the provisions of Article 2343-ter of the Civil Code, aimed at verifying that the fair value of the asset subject to the Contribution is not lower than the value attributed to it for the purposes of the Capital Increase in Service of the Offer, including any share premium.

The estimation methodologies and their application in the valuation are based on the general principle of prudence and consider the objective that the legal provision, which is to prevent in-kind contributions from being overvalued and artificially inflating the assets of the receiving company.

It should be noted that, given the timing of the transaction, our Opinion concerns the fair value attributable to the Mediobanca Shares subject to the Contribution, as estimated on the date of issuance of our Report. This value serves as a threshold reference for determining the share capital and any share premium of the Capital Increase in support of the Offer. The final value of the Capital Increase in support of the Offer will only be determinable closer to its execution, based on the issue price of BMPS shares and the actual number of newly issued shares.

**4.2** **Selection of Valuation Methodologies** 

The valuation methods for Mediobanca shares have been selected from those generally accepted in the market, considering not only the available information but also the conditions of the Offer, the sector in which the Issuer operates, the distinctive characteristics of the Mediobanca Group, and the contribution of the individual business units to the overall profitability of the Group. Additionally, the evaluation practices align with national and international standards.

The reference date for our valuations is December 31, 2024. The valuations are based on the economic and financial data, as well as the capital requirements and supervisory ratios of the Mediobanca Group as of that date. The issuer's share price data refers to information prior to the announcement of the Offer (January 24, 2025), while market parameters and Target Prices have been determined close to the issuance date of this report.

The analyses were developed exclusively based on publicly available information. The historical economic and financial results achieved by Mediobanca were considered, along with the Prospective Data of the 2023- 2026 Business Plan, the Analysts' Forecasted Data, and the Target Prices from financial analysts regarding the future performance of Mediobanca, as well as the Stock Market quotations.

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 18 |

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***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

Based on this information, we developed an evaluation opinion through a variety of methods. In particular, the following methods were considered:

· The *Sum of the Parts* approach, to separately value: (i) the business units related to the CF, WM and CIB segments of Mediobanca,
using the *Gordon* method, the *Trading Multiples* method, and *Regression Analysis* method; (ii) Mediobanca's stake
in Generali, using the *Market Quotations* of the listed insurance company; (iii) other investments apart from Generali, valued
at book value;

· The *Stock Market Prices* method;

· The *Target Prices* method;

· The *Dividend Discount Model* in the variant of *Excess Capital*.

The determination of the fair value of the Issuer's shares was carried out on a "cum dividend" basis, meaning that it includes the value of the interim dividend distribution to be paid to Mediobanca shareholders in May 2025 (with the final payment in November 2025), as announced on February 10, 2025, in connection with the approval of Mediobanca's half-year financial report as of December 31, 2024. However, the final results of our analyses are also presented on an "ex dividend" basis, meaning the dividend per share of Mediobanca related to the aforementioned interim dividend, estimated at approximately Euro 0.55, is deducted.

In the course of the valuation analyses, a regulatory capital position was assumed, with the permanent application of the Danish Compromise to Mediobanca's stake in Generali, in line with the information provided in the consolidated and individual financial statements of the Issuer as of June 30, 2024. It is reported that "*following the conclusion of the process to define the new Basel regulatory framework, on April 24, 2024, the final version of the European regulation (so-called CRR3) was approved, making permanent, for the calculation of capital ratios (in particular CET1), the current treatment applied to the participations (so-called Danish Compromise), which would otherwise have expired on January 1, 2025*."

The following provides a brief description of the valuation methodologies used, as well as their application.

**4.3** **The Sum of the Parts Method** 

The "Sum of the Parts" ("**SoP**") approach determines the economic value of a company as the sum of the economic values attributable to the different business units operating within the same legal entity. This methodology applies both to holding companies that own equity interests in operating companies active in heterogeneous business sectors and to companies conducting diversified business activities within the same corporate structure. In this context, the company's economic value is determined as the aggregation of the economic values attributable to each business unit based on its specific risk profile, the corresponding expected return, and the capital allocated to each.

As previously stated, the economic value of Mediobanca's business units, CF, WM and CIB has been determined by applying the following valuation methodologies, each consistently and homogeneously applied to all three business units: (i) the Gordon method; (ii) the trading multiples method; (iii) the regression analysis method.

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|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 19 |

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***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

In applying these methodologies, the following values have been separately determined:

· the value of the Holding function, considering the implied multiple derived
from the valuation of the three business units;

· the
value of the participation in Generali;

· other
participations, valued at their carrying values.

**4.3.1** **Gordon method** 

The Gordon growth method estimates the economic value of a company or a business unit based on the present value of the projected profitability deemed sustainable in the long term, capitalized in perpetuity, taking into account a sustainable expected growth rate of *net income* (g-rate) and the rate of return required by investors for investments with a similar risk profile (Ke).

In this specific case, to determine the fair value of the individual business units (CF, WM and CIB), the equivalent variant of the method has been applied using the following formula:

![](tm2518026d1_ex99-9sp2img001.jpg)

where:

*W* = Economic value of the individual business unit.

*RORAC* = Sustainable future profitability in the long term, considering the allocated capital, estimated under two different scenarios: (i) historical profitability and (ii) projected profitability.

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| | | |
|:---|:---|:---|
| *g* | = | Expected long-term growth rate of the sustainable average expected result, assumed to be equal to the expected long-term inflation rate for Italy, set at 2.0% (Source: *International Monetary Fund*). |

---

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| | | |
|:---|:---|:---|
| *k<sub>e</sub>* | = | Cost of equity, determined based on the application of the Capital Asset Pricing Model ("**CAPM**") formula, and differentiated for each business unit (CF: 11.8%, WM: 11.2%, CIB: 11.3%). |

---

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| | | |
|:---|:---|:---|
| *CA* | = | Capital allocated to individual business units, based on their specific Risk-Weighted Assets (RWA) and a CET1 Ratio Target equal to 13.5%, corresponding to the minimum CET1 level indicated by Mediobanca's Management in the Prospective Data of the 2023- 2026 Business Plan. |

---

For the determination of the fair value of Mediobanca shares, the value attributable to the following elements was also considered: (i) the holding function, (ii) the participation in Generali, based on the three-month average price, (iii) participations in other companies, and (iv) excess capital relative to the identified target capital requirement.

The valuations obtained were subject to sensitivity analysis, where applicable, with respect to the cost of equity, the expected growth rate, and the sustainable long-term future profitability.

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 20 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4.3.2** **Trading multiples method** 

The trading multiples method is based on the analysis of Stock Market quotations for a selected sample of companies with characteristics similar to those of the entity under evaluation (comparable publicly traded companies) and the subsequent application of the multiples derived from this analysis to the corresponding financial metrics of the company being valued.

This approach relies on determining multipliers obtained by relating the Stock Market capitalization to economic, financial, or operational indicators of the companies.

One of the fundamental assumptions underlying the trading multiples method is the comparability between the entity being valued and the companies selected as the peer group. The reliability of the results is therefore strictly dependent on the comparability of the sample. The choice of multiples is based on the characteristics of the sector in which the company operates.

In this specific case, given the heterogeneous nature of Mediobanca's three business units, CF, WM and CIB three separate peer groups of comparable publicly traded companies operating in the Italian and international markets have been selected.

For the application of this methodology, the Price-to-Earnings ratio ("**P/E**") has been selected as the reference multiple. This multiple is widely recognized and used both nationally and internationally and aligns with professional valuation practices for companies operating in Mediobanca's business units.

The average P/E multiples identified for the individual business units were applied to their respective estimates of expected net income under two different scenarios, measured over a twelve-month horizon for the year 2025, based on (i) the Prospective Data of the 2023-2026 Business Plan, and (ii) the Analysts' Forecasted Data.

These valuations also considered actual results as of December 31, 2024.

As with the Gordon method, the application was carried out using a Sum of the Parts approach, valuing separately the holding function, the participation in Generali valued on the average market price over the past three months and participations in other companies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4.3.3** **Regression analysis method** 

The regression analysis method is based on the examination of Stock Market quotations of listed companies deemed comparable to the company or business unit under valuation. This approach involves the identification of specific multiples, determined by relating market capitalizations to economic, equity, financial, or operational metrics of the reference companies.

In this specific case, this empirical methodology allows for the determination of the economic value of the company or business unit under valuation based on the statistical correlation between the expected return on tangible net asset value for the year 2026 (Return on Net Asset Value, hereinafter "**RONAV**") and the ratio between market capitalization and expected tangible net asset value for the year 2025 (the "**P/NAV**" multiple), calculated based on a sample of comparable publicly traded companies.

With specific reference to the valuation of Mediobanca's business units, considering their operational characteristics, the analysis was conducted using a "Sum of the Parts" approach, distinguishing:

(i) the banking division and other equity investments, based on the application of the regression analysis method, considering Mediobanca's
expected RONAV and tangible net asset value for 2025, adjusted for the contribution and carrying value of the stake in Generali;

(ii) the participation in Generali, valued under two distinct scenarios, based respectively on the average
market price over the past three months and the average market price over the past month.

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|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 21 |

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***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**4.4** **Dividend Discount Model Method** 

The Dividend Discount Model ("**DDM**") determines the value of a company based on the projected dividends flows it is expected to generate over time. In this specific case, has been applied the excess capital variant methodology of the DDM, according to which the economic value of a company is equal to the sum of the following components:

· the present value of future cash flows generated over a defined explicit planning horizon and distributable to shareholders, while
maintaining a target capitalization level consistent with the guidelines set forth by the Supervisory Authority or with the company's
specific medium-long term targets, and in any case, compatible with the nature and expected evolution of its activities;

· the present value of a perpetuity, defined based on a sustainable dividend for the periods following the explicit planning horizon,
consistent with a pay-out ratio (dividend/net income ratio) that reflects a sustainable long-term profitability. This value is hereinafter
also referred to as the Terminal Value ()"**Terminal Value** ").

The methodology described above is independent of the actual dividend distribution policies adopted within the planning period under consideration.

The formula underlying the DDM methodology is as follows:

![](tm2518026d1_ex99-9sp2img002.jpg)

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| | | |
|:---|:---|:---|
| where: | where: |  |
| *W* | *=* | Economic value of the company under valuation. |
| *k<sub>e</sub>* | *=* | Cost of equity. |
| *D<sub>i</sub>* | *=* | Expected dividends during the explicit projection period while maintaining a target capitalization level. |
| *n* | *=* | Explicit planning period (expressed in number of years). |
| *TV* | = | Terminal Value, assumed as the present value of the perpetuity estimated based on the sustainable dividend for the years following the explicit planning period. |

---

For the purpose of determining future economic flows, reference was made to the Prospective Data of Mediobanca's 2023-2026 Business Plan, also compared with Analysts' Forecasted Data and the Issuer's recent public communications to the financial community, which highlighted an upward revision of the targets compared to the Prospective Data of the 2023-2026 Business Plan presented on May 24, 2023. However, given the nature of our Report, which is based on the principle of prudence, the latter has been used as the baseline scenario for the determination of the value of Mediobanca Shares.

Furthermore, for the estimation of maximum distributable cash flows, a minimum capitalization level was assumed, corresponding to a CET 1 Ratio Target equal to 13.5%, which represents the minimum CET 1 level indicated by Mediobanca's Management in the Prospective Data of the 2023-2026 Business Plan.

For the determination of the Terminal Value, a long-term growth rate equal to 2.0% was considered, in line with long-term inflation forecasts for Italy (Source: International Monetary Fund).

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 22 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

The resulting cash flows were discounted based on a cost of equity equal to 11.1%, resulting from the average of (i) the Ke obtained from the application of the CAPM model, equal to 10.2%, and (ii) the Ke estimated by analysts covering Mediobanca's stock, equal to 12.0%.

The cost of equity obtained from the CAPM model was calculated based on the following formula and on parameters updated close to the date of issuance of this Report, 2025:

![](tm2518026d1_ex99-9sp2img003.jpg)

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| | | |
|:---|:---|:---|
| where: |  |  |
| *R<sub>f</sub>* | = | Risk-free rate, identified based on the average gross yield recorded of the 10-year Italian government bond (BTP Italia) over the past month, equal to 3.7%. (Source: Information data provider). |

---

---

| | | |
|:---|:---|:---|
| β | *=* | Beta coefficient, which measures the risk of a specific stock relative to the overall stock market. In this case, the weekly beta observed over the past two years for Mediobanca was adopted, equal to 1.01. (Source: Information data provider). |
| *R<sub>m</sub> - R<sub>f</sub>* | = | Equity risk premium, which represents the additional return investors require for investing in equities rather than risk-free assets. In this case, the premium was determined to be 5.5%, consistent with long-term observations for an advanced economy. |
| *SRP* | = | Specific Risk Premium ("**SRP**"), an additional risk premium factor of 1.0%, related to the nature of the Engagement, which has been based on publicly available information without direct access to Mediobanca's *Management*. |

---

The valuations obtained were subjected to a sensitivity analysis concerning the cost of equity and the CET 1 Ratio Target*.*

**4.5** **Stock Market prices method** 

The Stock Market prices method estimates the fair value of a listed company by using market prices and market capitalization as key information. This approach relies on stock prices recorded over time periods deemed significant, assuming a strong correlation between the market prices of the shares under evaluation and their economic value.

According to this method, the stock prices of liquid shares listed on efficient markets serve as a reliable indicator of a company's value, as they tend to reflect all publicly available information about the company. The stock price levels result from a systematic market negotiation process that incorporates investors' expectations regarding the company's profitability, financial strength, risk profile, and growth prospects.

In this context, a company's stock prices are considered reliable when the reference markets exhibit a high level of efficiency, the stock is highly liquid, and the selected period is long enough to offset the impact of extraordinary events causing short-term fluctuations or speculative pressures. While Stock Market quotations represent market-driven values, they are subject to fluctuations—sometimes significant—due to market volatility.

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|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 23 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

For the specific case, this methodology was applied by referencing:

· the official closing price of Mediobanca shares as of January 23, 2025, which was the last trading
day before the date of the Announcement;

· the average closing price of Mediobanca shares over the three months preceding January 23, 2025 (included).

The selection of these time horizons aims to incorporate sufficiently updated information on the Issuer's market conditions and broader financial market trends while mitigating potential short-term fluctuations by considering a sufficiently extended reference period.

**4.6** **Target Prices method** 

The Target Prices method determines the value of a company based on the price targets published by financial analysts covering the company. These values are obtained from research reports issued by specialized market analysts.

Target Prices represent value estimates based on assumptions regarding the future stock price performance on the market. They are obtained through various valuation methodologies, applied at the discretion of each research analyst.

In this case, the Target Prices for Mediobanca shares were considered as indicated by research analysts covering the Issuer and published after the release of Mediobanca's financial results as of September 30, 2024 (disclosed on November 11, 2024), and up to a date close to the issuance of this Report.

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 24 |

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![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

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| | |
|:---|:---|
| **5** | **Conclusions** |

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Based on the considerations set out in our Report, taking into account the limitations and the main valuation difficulties outlined, and in light of the purpose of the Engagement, as of the date of this Opinion, based on the financial position as of December 31, 2024, and the elements and methodologies referenced above, we believe that the fair value of the Mediobanca Shares subject to potential Contribution within the framework of the Capital Increase to Service the Offer is no less than Euro 16.406 per share, *cum dividend*, or Euro 15.852 per share, *ex dividend*, the latter net of the estimated value of the Mediobanca 2025 Interim Dividend.

Milan, March 14, 2025

KPMG Advisory S.p.A.

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| | |
|:---|:---|
| /s/ Dario Maria Spoto | /s/ Salvatore Giugliano |
| Dario Maria Spoto | Salvatore Giugliano |
| Partner | Partner |

---

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 25 |

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**INDEPENDENT AUDITOR'S REPORT NOT ISSUED PURSUANT TO ANY LEGAL REQUIREMENTS ON THE VALUATION CRITERIA ADOPTED BY THE DIRECTORS OF BANCA MONTE DEI PASCHI DI SIENA SPA TO DETERMINE THE EXCHANGE RATIO IN CONNECTION WITH THE PUBLIC EXCHANGE OFFER LAUNCHED BY BANCA MONTE DEI PASCHI DI SIENA SPA FOR ALL THE SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SPA**

To the Board of Directors of

Banca Monte dei Paschi di Siena SpA

We have been engaged by the Board of Directors of Banca Monte dei Paschi di Siena SpA (hereinafter also the "Bank", "BMPS" or the "Offeror" or the "Company"), in connection with the voluntary public exchange offer (hereinafter also "VEO" or "Offer") launched on 24 January 2025 by the Bank and concerning all the ordinary shares of Mediobanca – Banca di Credito Finanziario SpA (hereinafter also "Mediobanca"), to perform a limited assurance engagement on the valuation criteria (hereinafter also the "Criteria") adopted by the Board of Directors (hereinafter also the "Directors") of BMPS to determine the exchange ratio and related application methods.

The Criteria are set out by the Directors in the explanatory report hereto enclosed approved by the Board of Directors (hereinafter the "Directors' Report" or the "Report"), in paragraph 2 titled "Criteria for the determination of the exchange ratio between BMPS shares and Mediobanca shares and for the consequent determination of the maximum number of newly issued BMPS shares" and drawn up in accordance with Article 2441, para. 6, of the Italian Civil Code and with Article 125-ter of Italian Legislative Decree no. 58 of 24 February 1998 as subsequently amended (hereinafter also the Italian Consolidated Law on Financial Intermediation or "TUF") and with Article 70 of the Regulation adopted with Consob resolution no. 11971 of 14 May 1999 as subsequently amended (hereinafter the "Issuers' Regulation").

For each Mediobanca share tendered in the Offer, BMPS shall offer a consideration equal to no. 2.300 newly issued ordinary shares of BMPS arising from the share capital increase to serve the Offer (hereinafter the "Exchange Ratio").

The Exchange Ratio was determined by the Board of Directors of BMPS on the basis of their own analyses and considerations conducted with the support of their financial advisors.

As reported by the Directors in their Report, the Exchange Ratio could be subject to adjustments.

The valuation of the assets being tendered was performed, pursuant to Article 2343-*ter*, para. 2 letter b), by KPMG Advisory SpA, which issued its valuation report on 14 March 2025.

![](tm2518026d1_ex99-9img001.jpg)

![](tm2518026d1_ex99-4imgpwc.jpg)

**Directors' responsibilities**

The Directors of BMPS are responsible for the drafting of the abovementioned paragraph 2 of the Report, which identifies the Criteria they selected to determine the Exchange Ratio and the related application methodologies. They are also responsible for such internal control as they determine is necessary to calculate an Exchange Ratio that is free from material misstatement, whether due to fraud or error.

**Auditors' independence and quality management**

We have complied with the independence and other ethical requirements in the International Code of Ethics for Professional Accountants (including International Independence Standards, the IESBA Code) issued by the International Ethics Standards Board for Accountants, which is founded on fundamental principles of integrity, objectivity, professional competence and due care, confidentiality and professional behaviour.

Our company applies International Standard on Quality Management 1 (ISQM Italia 1) and, accordingly, is required to design, implement and operate a system of quality management including policies or procedures regarding compliance with ethical requirements, professional standards and applicable legal and regulatory requirements.

**Our responsibilities**

Our responsibility is to express an independent conclusion, based on the procedures we performed, as to whether the Criteria adopted by the Directors to determine the Exchange Ratio are suitable, i.e., they are reasonable and not arbitrary in the circumstances, as well as on the application of such Criteria in accordance with national and international professional and valuation practices usually adopted in similar transactions.

We carried out our work in accordance with the criteria established by "International Standard on Assurance Engagements 3000 (revised) - Assurance Engagements other than Audits or Reviews of Historical Financial Information" ("ISAE 3000 revised"), issued by the International Auditing and Assurance Standards Board applicable to limited assurance engagements. This standard requires that we plan and perform the engagement to obtain limited assurance about whether the Criteria adopted by the Directors are suitable, i.e., they are reasonable and not arbitrary in the circumstances, and have been correctly applied to determine the Exchange Ratio under the VEO. A limited assurance engagement is less in scope than a reasonable assurance engagement carried out in accordance with ISAE 3000 revised, and consequently does not enable us to obtain assurance that we would become aware of all significant matters and events that might be identified in a reasonable assurance engagement.

This report is not issued pursuant to any legal requirements and shall not be considered as the report required by article 2441, para. 4, first sentence, and para. 6 of the Italian Civil Code and Article 158 of TUF, whose subject-matter is the issue price of the new shares of BMPS as part of the share capital increase to serve the VEO.

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**Criteria used by the Directors to determine the Exchange Ratio and related results**

For the purposes of the Offer, in light of the nature of the consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Mediobanca tendered in acceptance of the Offer, the Board of Directors of BMPS reports that it proceeded to carry out a valuation of the shares of Mediobanca and BMPS with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. As set out in the Report, the considerations and estimates made by the Directors are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors to determine the Exchange Ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the applied valuation methodologies.

The valuation methodologies and resulting economic values of the shares of Mediobanca and of BMPS were identified by the Directors to determine the number of shares of BMPS to be issued to serve the VEO, on the basis of the outcome of the Offer. Therefore, according to the Report, under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under assessment.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the announcement of the VEO (the "Reference Date") and to the equity-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In order to define the Exchange Ratio, the Board of Directors of BMPS considered to use:

1. the Stock Market Price Method;

2. the market multiples method in the variant of the stock market price of comparable listed companies on
their prospective earnings; and

3. the target price methodology highlighted by research analysts.

As set out by the Directors, the stock market price method uses market prices as the information relevant for estimating the economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals of time deemed significant and on the assumption that there is a correlation between the prices expressed by the market for the shares of the companies being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing in relative terms the relationship existing between the values of the companies in question as perceived by the market.

Specifically, the Board of Directors of BMPS deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with a reference period of 1 month, 2 months, 3 months, 6 months and 1 year preceding the announcement date (*i.e.*, 24 January 2025).

The second method used by the Directors is the market multiples method, according to which the enterprise value of a company is determined by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company being valued.

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The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial measures of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding measures of the company being evaluated, in order to estimate a range of values. As can be read in the Directors' Report, for the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected. The multiples for the years following 2026 have been deemed by the Directors to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for more distant future years. Specifically, the market multiples have been applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the info provider FactSet as of the Reference Date). As can be inferred from the Directors' Report, the reliability degree of the assessment of the market multiples method depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies being valued is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not regard companies whose prices could be influenced by particular contingent situations.

In their Report the Directors specified that given the existing differences between the business models of BMPS and Mediobanca, they used a specific sample for each of them, in order to better reflect the characteristic business of each company being valued. Specifically, Intesa Sanpaolo SpA., UniCredit SpA, Banco BPM SpA, BPER Banca SpA, Credito Emiliano SpA and Banca Popolare di Sondrio SpA were used in order to evaluate BMPS while Intesa Sanpaolo SpA, UniCredit SpA, FinecoBank SpA, Banca Generali SpA and Banca Mediolanum SpA were used to evaluate Mediobanca.

For the purposes of the valuation analysis of Mediobanca, given that a considerable part of its profits is generated by the qualified investment in Assicurazioni Generali SpA (equal to 13.02% at 30 June 2024), and considering that the latter is a listed company, the Directors made reference to the market valuation of this company.

The last valuation method chosen by the Directors referred to in their Report is the target price methodology highlighted by the research analysts, which determines the value of a company based on the target prices that financial analysts publish on the company. Target prices are indications of value that express an assumption about the price that a share can reach on the stock market and are derived from multiple valuation methodologies used at the discretion of the individual research analyst. For the purpose of applying the target price methodology, the Directors used the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September 2024 (announced on 8 November 2024 and 12 November 2024, respectively).

The Directors report that they applied the Criteria on an individual basis and under the going-concern assumption for both BMPS and Mediobanca, also taking into account the peculiarity of the Offer.

In order to determine the Exchange Ratio, the Directors report to have identified ranges of values for each valuation method, that are: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price methodology highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS

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and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

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| | | |
|:---|:---|:---|
| | **Implicit Exchange<br> Ratio** | **Implicit Exchange<br> Ratio** |
| <br>**Method** | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;Spot | 2.190 x | 2.190 x |
| &nbsp;&nbsp;&nbsp;1 month | 2.127 x | 2.127 x |
| &nbsp;&nbsp;&nbsp;2 months | 2.194 x | 2.194 x |
| &nbsp;&nbsp;&nbsp;3 months | 2.379 x | 2.379 x |
| &nbsp;&nbsp;&nbsp;6 months | 2.641 x | 2.641 x |
| &nbsp;&nbsp;&nbsp;12 months | 2.948 x | 2.948 x |
| <u>Market multiples method</u> |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price methodology highlighted by the research analysts</u> | 2.046x | 2.433x |

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As described in the Report, the choice of the valuation methodologies adopted by the Directors for the purposes of determining the Exchange Ratio and the related results obtained must be read considering the following main limitations and valuation difficulties:

· for the purposes of its analyses, the Bank used exclusively public data and information;

· the Bank did not perform on Mediobanca any due diligence activity of financial, legal, commercial, tax,
industrial or other nature;

· as of the reference date, an updated business plan for Mediobanca with a time horizon consistent with that of BMPS is not publicly
available. Therefore, where relevant to the application of the valuation methods, the projections of future economic trends used for BMPS
were derived on the basis of the estimates of the 2024-28 Business Plan (the "MPS Plan") while, for Mediobanca, were derived
on the basis of the estimates provided by research analysts (the "Mediobanca Estimates" and, together with the MPS Plan, the
 "Forecasts");

· the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

Considering the foregoing, as largely detailed in para. 2 of the Report, the Board of Directors of BMPS identified, within the ranges identified by applying the methodologies highlighted above, an Exchange Ratio equal to 2.300.

**Procedures performed by the auditors**

The procedures we performed are based on our professional judgement and include inquiries, primarily of BMPS' personnel responsible for the determination of the Exchange Ratio and of the Company's financial advisors, documental analyses, recalculations, and other evidence gathering procedures, as appropriate.

Specifically, we planned and performed the following main procedures:

· examination of the Directors' Report approved by the Board of Directors, with specific regard to
the paragraph 2 related to the Criteria to determine the Exchange Ratio;

· examination of the Criteria selected to determine the Exchange Ratio;

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· examination of the documentation drawn up for the Board of Directors' meeting of 23 January 2025 which passed resolutions
as to the VEO including the documentation prepared by the financial advisors;

· discussion with the Company's management and financial advisors on the overall work performed to
identify the valuation Criteria to determine the Exchange Ratio;

· corroboration of the completeness and consistency of the Directors' reasons on the Criteria they
selected to determine the Exchange Ratio;

· analysis of the reasonableness and non-arbitrary nature of the valuation Criteria selected by the Directors to estimate the economic
values of BMPS and Mediobanca for the purpose of determining the Exchange Ratio and their consistent application;

· analysis, for the purposes of the engagement, of the valuation of Mediobanca shares being contributed as referred to in the valuation
report under article 2343- *ter*, para. 2, letter b) of the Italian Civil Code prepared by the expert appointed for that specific
aim;

· checks of the consistency of the measures and financial figures used by the Directors in applying the
Criteria with the reference sources;

· recalculation of the results deriving from the application of the Criteria selected by the Directors in
order to verify the substantial algebraic correctness of such results;

· development of sensitivity analyses, within the Criteria selected by the Directors to determine the Exchange
Ratio and of independent valuation insights, with the aim of verifying how much these results could be affected by changes in the valuation
assumptions and in the parameters assumed;

· obtainment of a specific representation letter signed by the legal representative of the Company.

As part of our engagement, we did not perform any economic assessment of the companies involved in the VEO. Such assessment was exclusively carried out by the Board of Directors with the support of their financial advisors.

**Inherent limitations encountered by the independent auditors in performing the procedures**

In addition to the limitations encountered by the Directors in determining the exchange ratio as indicated in paragraph 2 of their Report, we highlight the following:

· with reference to market methodologies, although market prices reflect values expressed by market, they are subject to significant
fluctuations due to market volatility and extraordinary or speculative events. Specifically, the current market context is characterised
by a considerable uncertainty due to significant geo-political tensions, together with the announcement of important transactions to consolidate
and reorganise the Italian banking sector. To date, the development of such context cannot be foreseeable, nor can any economic, financial,
political and social consequence be estimated. Within the context of a share exchange, such valuation difficulty is mitigated by the relative
estimate between the two securities being exchanged. Furthermore, during the performance of our activities, we conducted sensitivity analyses
referring to financial and market parameters updated to the Reference Date and to the average of the stock prices recorded over different
time horizons deemed appropriate in light of the abovesaid context;

· the results of the application of the market multiples method although being based on a statistically representative sample of comparable
companies, are affected by a different market positioning and a different competitive level between the comparable companies of the selected
sample, as well as a different corporate size. In order to mitigate such valuation difficulty, independent sensitivity analyses were developed;

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· since an updated industrial plan of Mediobanca seemed to be unavailable at the Reference Date with a time horizon in line with that
of BMPS, the Directors made reference exclusively to market methodologies. Moreover, for the purposes of applying the market multiples
method, the Directors referred to a different information base for the two companies being valued. In particular, for Mediobanca the Directors
referred to the Mediobanca estimates inferred from the consensus of the research analysts, while as concerns BMPS they considered the
estimates taken from the MPS Plan. Such difficulties were mitigated through the development of independent valuation insights;

· Forecasts, even when taken from economic-financial plans as well as from the consensus of the research analysts, are based by their
nature on a set of realization assumptions of future events and actions that the companies being estimated must undertake; such assumptions
include, *inter alia*, certain hypothetical assumptions which depend on factors that are, in whole or in part, beyond the control
of such companies and that have, by their nature, uncertain features linked also to possible structural changes in the market. Because
of the uncertainty related to the occurrence of any future events, as to whether and when such events will occur and to what extent, the
difference between the estimates and the related actual values could be significant;

· the valuation performed by the Board of Directors of BMPS refer to the economic and market conditions as at 23 January 2025 (also
taking into account the stock performance in the previous months) which is the trading day prior to the VEO announcement date.

**Conclusion**

Based on the documentation examined and the procedures described above, taking into account the nature and the scope of our work showed in this report, without prejudice to what highlighted in the paragraph above "*Inherent limitations encountered by the independent auditors in performing the procedures*", nothing has come to our attention that causes us to believe that the Criteria adopted by the Directors of Banca Monte dei Paschi di Siena SpA to determine the Exchange Ratio, as set out in paragraph 2 of the Directors' Report, are not adequate, as they are reasonable and not arbitrary in the circumstances, and that they were not correctly applied, for the purposes of the determination of the Exchange Ratio, identified in 2.300 newly issued ordinary shares of BMPS for each share of Mediobanca tendered in the Offer.

**Restriction on use**

This report has not been prepared pursuant to any legal requirements and is for the exclusive benefit of the Board of Directors of Banca Monte dei Paschi di Siena SpA in connection with the VEO. Therefore, this report cannot be used for any other purposes, in whole or in part. We have not undertaken to update this report for events or circumstances that may occur after its issue.

Florence, 18 March 2025

PricewaterhouseCoopers SpA

*Signed by*

Marco Palumbo

(Partner)

*This independent auditors' report has been translated into English solely for the convenience of international readers. Accordingly, only the original Italian version is authoritative.*

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***English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail***

**BANCA MONTE DEI PASCHI DI SIENA S.P.A.**

EXTRAORDINARY SHAREHOLDERS' MEETING

17 April 2025 (single call)

EXPLANATORY REPORT OF THE BOARD OF DIRECTORS

ON ITEM 1) ON THE AGENDA

prepared pursuant to Article *125-ter* of Legislative Decree No. 58 of 24 February 1998 as subsequently amended ("**TUF**") and pursuant to Article 70 of the regulation adopted by Consob by resolution No. 11971 of 14 May 1999 as subsequently amended ("**Issuers' Regulation**").

**PROPOSAL TO GRANT THE BOARD OF DIRECTORS, PURSUANT TO ARTICLE 2443 OF THE ITALIAN CIVIL CODE, THE POWER, TO BE EXERCISED BY 31 DECEMBER 2025, TO INCREASE THE SHARE CAPITAL IN ONE OR MORE TRANCHES, IN DIVISIBLE FORM, WITH THE EXCLUSION OF THE OPTION RIGHT PURSUANT TO ARTICLE 2441, PARAGRAPH FOUR, FIRST SENTENCE, OF THE ITALIAN CIVIL CODE, TO BE PAID IN BY CONTRIBUTION IN KIND, TO SERVE A VOLUNTARY PUBLIC OFFER BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. RELATING ALL THE ORDINARY SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI; SUBSEQUENT AMENDMENT TO ARTICLE 6 OF THE BY-LAWS; RELATED AND CONSEQUENT RESOLUTIONS.**

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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**EXPLANATORY REPORT OF THE BOARD OF DIRECTORS PREPARED PURSUANT TO ARTICLE 125-*TER* OF THE CONSOLIDATED LAW ON FINANCE (TUF) AND PURSUANT TO ARTICLE 70 OF THE ISSUERS' REGULATION**

Dear Shareholders,

the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. (the "**Bank**" or the "**Company**", or the "**Offeror**" or "**BMPS**") has convened an Extraordinary Shareholders' Meeting on 17 April 2025 at 10:00 a.m., in a single call, to submit for Your approval the above matter, placed under **item 1** of the agenda, concerning the proposal to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Bank's share capital in one or more tranches, in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code and with the issuance of a maximum number of 2,230,000,000 ordinary shares (the "**Maximum Share Amount**"), with regular dividend rights and having the same features as those outstanding at the issue date, whose issue price will be determined by the board of directors in accordance with the law, to be paid in through contribution in kind, to service the voluntary public exchange offer by BMPS for all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni (the "**Capital Increase Reserved to the Offer**"), announced on 24 January 2025 with the communication issued pursuant to articles 102, paragraph 1, of the Consolidated Law on Finance and 37 of the Issuers' Regulation (the "**Offeror's Communication**"), available on the Bank's institutional website at the following link (*<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public- exchange-offer.html</u>*) *and* promoted on 13 February 2025 through the submission - pursuant to article 37-*ter* of the Issuers' Regulation - to Consob, *inter alia*, of the offer document prepared on the basis of scheme 2A of Annex 2 of the Issuers' Regulation which will be made available in the manner and within the timeframe prescribed by the applicable regulations, as per the subsequent press release published by BMPS on the same date, pursuant to article 37-*ter*, paragraph 3, of the Issuers' Regulation (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*)*.*

The proposal to amend the By-laws concerning the granting of the delegation to the Board of Directors of BMPS, pursuant to Article 2443 of the Italian Civil Code, to increase the share capital of the Bank (the "**Delegation**") is described in this explanatory report (the "**Report**") in accordance with the provisions of Article 2441, paragraph 6, of the Italian Civil Code, Article *125-ter* of the TUF, Article 70 of the Issuers' Regulation and Annex 3A, Schedule No. 3 of the Issuers' Regulation. This Report, for the Shareholders' information, also includes some information on the proposed Capital Increase Reserved to the Offer, which is expected to be executed upon exercise of the Delegation, taking into account the provisions of Schedule 3A, scheme No. 2 of the Issuers' Regulation.

\* \* \* \* \*

**1.** **DESCRIPTION OF THE TRANSACTION AND RATIONALE OF THE PROPOSAL TO GRANT THE DELEGATION** 

The Board of Directors of the Bank, on 23 January 2025 (having obtained the favourable, reasoned and binding opinion of the Committee for Related Party Transactions, issued on the same date and made available by in the manner and within the timeframe prescribed by applicable laws), resolved to promote a voluntary public exchange offer (the "**VEO**" or the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of the TUF, concerning all the ordinary shares

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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issued by Mediobanca - Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), a company with shares listed on Euronext Milan ("**Euronext Milan**"), a regulated market organised and managed by Borsa Italiana S.p.A., including the treasury shares held by Mediobanca. The Offer was announced to the market and to Consob on 24 January 2025 by means of the Offeror's Communication and by means of a specific press release disseminated pursuant to article 17 of Regulation (EU) No. 596/2014 (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

As explained in greater detail in the Offeror's Communication (to which full reference is made and, in particular, to paragraphs 1.2 and 1.3), BMPS decided to launch the Offer for the acquisition of Mediobanca with the aim of creating a new Italian banking champion through the union of two of the most distinctive brands in the financial services market.

BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and presents significant value creation for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets and a highly diversified player, resilient, with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full development of existing human capital.

In a market currently experiencing a phase with a high level of consolidation, BMPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in specific areas and key sectors, as well as to better seize future growth options. This will increase support to households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

The new group will be able to rely on the distinctive skills of Mediobanca in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance, and of BMPS in the areas of Retail and Commercial Banking. Furthermore, the stake held in Assicurazioni Generali will also positively contribute to the diversification of the new Group's revenues and will be managed in the same way as the other lines of business*,* according to a careful discipline for capital optimization and a strong risk-adjusted profitability approach.

The combination will offer employees of each institution the opportunity to develop their careers within a larger organization, enhancing their talent through opportunities for mutual enrichment and integration. At the same time, it will help attracting new high-profile resources, enhancing their skills and professionalism with the aim of consolidating a sustainable and competitive growth model.

The combination is entirely consistent with BMPS' strategic guidelines as defined in the 2024-2028 business plan and will enable significant revenue growth and major cost and funding synergies, to be achieved by means of a smooth implementation process.

In terms of revenues, the transaction will allow for the generation of synergies of approximately Euro 0.3 billion per year, thanks to the enrichment of the range of products and services for families and businesses, the development of an integrated offer to the respective customer bases, and an increase in penetration and expansion of the target markets. In particular, by:

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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&nbsp;&nbsp;&nbsp;&nbsp;· Retail Banking – introducing BMPS' products to the customer base of Compass Banca S.p.A. ()"**Compass** ")
and Mediobanca Premier S.p.A. ()"**Premier** "), with the support of the BMPS branch network, to facilitate a scalable provision
of services and deeper market penetration. By way of example, the growth levers include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Accounts and Cards – with respect to the so-called daily
banking;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Mortgages – by leveraging the proven commercial capability of the BMPS network, also in meeting
the needs of customers with respect to the relevant insurance products;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Bancassurance – by extending the insurance offer to Premier
customers;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Consumer Finance – by expanding the distribution activity leveraging on the BMPS branch network,
enriching the offer with insurance products and by expanding the value proposition cross-border towards new markets;

&nbsp;&nbsp;&nbsp;&nbsp;· Private Banking – extending Mediobanca's best practice to BMPS customers, also through Mediobanca's
asset management products (*e.g.*, alternative investments);

&nbsp;&nbsp;&nbsp;&nbsp;· Asset Gathering – integrating Mediobanca Premier and Widiba to create a network of financial advisors
at scale to compete with the key players, supported by a distinctive digital platform, with the introduction of an integrated range of
asset management products and enhancing BMPS capabilities in insurance;

&nbsp;&nbsp;&nbsp;&nbsp;· Corporate & Investment Banking – combining BMPS' balance sheet potential with Mediobanca's
Investment Banking activity and by initiating a development program to support the growth of companies throughout the country. Similarly,
by leveraging Mediobanca's specialized experience in Advisory and Markets for widespread distribution to BMPS' corporate customers.

At the same time, the transaction will generate significant cost synergies in terms of administrative expenses, and will allow for the targeted optimization of overlapping functions. In addition, savings will be derived from the rationalization of the combined investment plan of the two banks, thus avoiding duplication of investments in the areas subject to the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

&nbsp;&nbsp;&nbsp;&nbsp;· the centralization of procurement from large suppliers and the extension of best practice in terms of
cost governance;

&nbsp;&nbsp;&nbsp;&nbsp;· the optimization of IT investments and digital transformation for shared areas, for example for the BMPS
consumer finance platform;

&nbsp;&nbsp;&nbsp;&nbsp;· the optimization of wealth management support activities for both Private Banking and Asset Gathering;

&nbsp;&nbsp;&nbsp;&nbsp;· the combined development of the platform for Corporates as well as optimization of the product factories
(*e.g.*, MBFACTA and MPS Factoring);

&nbsp;&nbsp;&nbsp;&nbsp;· the deletion of duplications in central functions, both in operational and resource terms.

Furthermore, the combination will allow synergies in funding to be realized for approximately Euro 0.1 billion per year due to a more balanced funding mix, leveraging BMPS' commercial funding capacity and optimizing the combined entity's wholesale funding position.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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The industrial project, characterized by the significant complementarity of the two business models (which significantly reduces the execution risk), will be carried out with a straightforward integration and one-off integration costs estimated at approximately Euro 0.6 billion before taxes, expensable in the first year.

The transaction also aims to accelerate the utilization of Deferred Tax Assets ("**DTA**") held by BMPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTA (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTA will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

The combined group will be strengthened, with a diversified revenue stream and a strong resilience capable of successfully competing in different scenarios, while also enabling significant value creation for all shareholders, supported by higher profitability compared to the standalone businesses and able to generate a double-digit growth in earnings per share.

Shareholders will benefit from a dividend policy that is sustainable over time, with growth in the dividend per share, while confirming BMPS' solid capital position (pro-forma Common Equity Tier 1 ratio of approximately 16% upon completion of the transaction).

Finally, the sustainability strategies of the two banks will be consolidated, by leveraging their respective ESG capabilities to strengthen the positioning of the combined entity and promote commitment to the communities and regions where they operate.

BMPS' high governance standards will be maintained throughout the entire combination process and beyond, ensuring transparency, accountability, and a balanced approach that respects all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

Subject to the following, the Offer envisages that, for each share of Mediobanca tendered to the Offer, BMPS will offer a unitary consideration represented by 2.300 newly issued ordinary shares of BMPS (the "**Consideration**") deriving from the Capital Increase Reserved to the Offer.

As indicated in the Offeror's Communication, the Offer's Consideration may be subject to adjustment. In particular*,* it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed*". In addition, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any operation on the share capital of the Issuer and/or on the Mediobanca shares, while in any case the Offeror retains the right to avail itself (or to waive its right to avail itself) of the relevant condition of effectiveness, where applicable, in relation to such individual event.

In light of the above, it should be noted that, on 6 March 2025, the Board of Directors of BMPS resolved to propose to the ordinary Shareholders' Meeting of the Bank the allocation of a total of Euro 1,083 million deriving from the net profit resulting from the draft financial statements as of 31 December 2024 (equal to Euro 1,923 million), to its Shareholders, as a dividend corresponding to Euro 0.86 per share. The dividend, subject to its approval by the shareholders' meeting, will be paid on 21 May 2025, with an ex-dividend date on 19 May 2025 (record date 20 May 2025).

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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Furthermore it should be noted that, on 10 February 2025, Mediobanca's Board of Directors announced to the market - on the occasion of the approval of Mediobanca's half-yearly report as of 31 December 2024 - the distribution of an interim dividend to its shareholders in May 2025 (and the corresponding balance in November 2025). In the event that the coupon of the aforesaid interim dividend (and the corresponding balance) is actually detached or the interim dividend (and the corresponding balance) is paid before the payment date of the Offer, the Offer's Consideration will be consequently and consistently adjusted to take this circumstance into account.

Separately, and in any event, the Offer's Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above.

Finally, in the event that the Board of Directors of Mediobanca, in execution of the delegation granted by the extraordinary Shareholders' Meeting of the Issuer on 28 October 2024, proceeds - prior to the payment date of the Offer - with the cancellation of the treasury shares purchased in execution of the authorization from the same ordinary Shareholders' Meeting of Mediobanca on 28 October 2024, and/or any transactions to reduce the number of outstanding Mediobanca shares and/or the payment of the interim dividend or the related balance thereof, and subject to adjustments and/or modifications relating to the content and/or structure of the Offer, it will not be necessary to issue the entire Maximum Share Amount.

The Capital Increase Reserved to the Offer to which the Delegation proposal refers is therefore aimed at the issuance of BMPS ordinary shares to be offered as consideration for the Mediobanca shares tendered in acceptance of the Offer even if potentially adjusted and/or amended. In fact, the acceptance of the Offer by the Mediobanca's shareholders entails, from a technical-legal point of view, the contribution in kind of ordinary shares of Mediobanca in favour of BMPS, in exchange for the subscription of the Capital Increase Reserved to the Offer, which is, therefore, an essential prerequisite of the Offer.

The proposal to grant the Delegation to the Board of Directors of BMPS, which is the subject matter of this Report, is therefore functional and instrumental to the Offer announced by BMPS with the Offeror's Communication and promoted on 13 February 2025 through the filing of the offer document with Consob.

As described in the Offeror's Communication, the VEO may only commence, *inter alia*, subject to and following: *(i)* the approval by the extraordinary Shareholders' Meeting of BMPS of the proposal of Delegation (to which this Report refers) and *(ii)* the resolution, by the Board of Directors, of the aforesaid Capital Increase Reserved to the Offer in the context of the exercise of the Delegation; all subject to the obtaining of the authorisations described in Paragraph 1.4 of the Offeror's Communication (see also Paragraph 15 below).

The proposal to grant the Board of Directors with the Delegation is justified by the fact that this instrument is more suitable to ensure flexibility, compared to the capital increase resolution directly passed by the Shareholders' Meeting, necessary to determine the terms and conditions of the capital increase transaction for the purpose of a public exchange offer and, consequently, to respond to and adapt to the features of the Offer, even if potentially adjusted and/or amended. As confirmed in previous cases with structures comparable to the Offer, as well as in similar ongoing transactions, the Delegation instrument also allows to more efficiently coordinate the requirements provided for by the regulations laid down in the Italian Civil Code on the execution of the capital increase to be paid in kind, with the rules provided for by the TUF and the Consob implementing regulations for the promotion, the execution and the completion of a voluntary public exchange offer; this with particular reference to the possible use of the Delegation, upon completion of the Offer, also for the purpose of fulfilling the sell-out pursuant to article 108, paragraphs 1 and

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2, of the TUF and/or the potential exercise of the squeeze-out right in connection with the remaining shares of BMPS pursuant to Article 111 of the TUF, where applicable.

Based on the contents of the Offer and taking into account: (i) the amount of the dividend proposed by BMPS, although not yet approved by the Shareholders' Meeting (equal to Euro 0.86 per share), (ii) a maximum amount of No. 16,178,862 additional shares (the "**Additional Shares**") that may be issued by Mediobanca to serve long-term share-based incentive plans (the "**Incentive Plans**" or the "**Plans**")<sup>1</sup> (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, and provided that some of them include the possibility to use Mediobanca's treasury shares in portfolio instead of the Additional Shares, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans), and (iii) the fact that, as of the date of this Report, Mediobanca's Board of Directors has not yet resolved upon the distribution of the interim dividend to its shareholders (as already announced by Mediobanca on 10 February 2025) and the cancellation of the treasury shares in portfolio, the Board of Directors of BMPS, based on the contents of the Offer, for the sake of utmost caution, and according to a highly conservative approach, resolved that the maximum number of BMPS shares to be issued to serve the Offer will be equal to No. 2,230,000,000.

Therefore, in light of the foregoing, it should be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors, pursuant to this Report, may be reduced as a result of the distribution of the interim dividend (and the corresponding balance), the potential cancellation of treasury shares by Mediobanca, and the allotment of treasury shares to the beneficiaries of the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans), in lieu of the Additional Shares (without prejudice to the applicable legal and regulatory provisions governing the aforementioned Plans), if these events occur before the Offer payment date.

The Delegation proposal, therefore, provides that the Capital Increase Reserved to the Offer may be resolved upon by the Board of Directors by 31 December 2025, also in one or more tranches and in divisible form, for an amount equal to Euro 5.917 for each newly issued share (amount corresponding to the implied nominal value, rounded to the third decimal number, of BMPS shares currently issued, as recorded on the date of this Report) <sup>2</sup> and, therefore, subject to the following paragraphs, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and for an amount of share capital equal to maximum amount of Euro 13,194,910,000*,* plus any share premium.

The proposed Delegation entails by law the exclusion of the option right pursuant to Article 2441, paragraph four, first sentence of the Italian Civil Code (in the event of a share capital increase to be paid up through contributions in

<sup>1</sup> Based on publicly available information, the following long-term share-based Incentive Plans approved by and which could be served, in whole or in part, by newly issued Mediobanca shares approved by the Issuer itself are currently in place:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. 2015 Performance Shares Plan, approved by the ordinary Shareholders' Meeting of Mediobanca on 28
October 2015 (and updated by the ordinary shareholders' meeting on 28 October 2019);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Long Term Incentive Plan 2019-2023, approved by the ordinary Shareholders' Meeting of Mediobanca
on 28 October 2019;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Long Term Incentive Plan 2023-2026, approved by the ordinary shareholders' meeting of Mediobanca
on 28 October 2023; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. 2023-2026 Broad-Based Share Ownership and Co-investment Plan, approved by the ordinary shareholders'
meeting of Mediobanca on 28 October 2023.

<sup>2</sup> The implied nominal value is calculated as the ratio of the current share capital of BMPS to the number of currently issued shares.

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kind), as the newly issued shares of BMPS will be subscribed and paid up through the contribution to BMPS of the shares of Mediobanca tendered to the Offer and will therefore be reserved to the participants to the Offer.

Without prejudice to all the powers and prerogatives of the Board of Directors regarding the transaction (including, for the sake of clarity only, the ability to adjust and/or amend the content and/or structure of the Offer and/or identify different and/or additional methods for its execution), it is hereby acknowledged that, the number of new shares to be issued upon the exercise of this Delegation will depend on the level of actual acceptances collected during the Offer and/or, subject to compliance with the above-mentioned maximum amount, also due to any above-mentioned changes that may be made to the Offer in accordance with applicable regulations.

Finally, it should be noted that, in relation to the proposed Capital Increase Reserved to the Offer, the measures and safeguards set forth in the "*Regulation of Related Party Transactions*", adopted by Consob resolution No. 17221 of 12 March 2010, as amended and supplemented (the "**RPT Regulation**"), and in the "*Group Regulation on the management of prescriptive compliance with related parties, related subjects and Bank officers' obligations*" (the "**BMPS Regulation**"), adopted by the Board of Directors of BMPS in compliance with the RPT Regulation, as well as with the Bank of Italy Circular No. 285/13, Part Three, Chapter 11 and subsequent amendments and additions, on the subject of risk activities and conflicts of interest with respect to connected parties. This is because certain persons with shareholdings, over 3%, in Mediobanca also hold significant shareholdings (*i.e.,* higher than 3%) in BMPS and, therefore, fall under the definition of "discretionary" related parties. The procedure provided for in the RPT Regulation and the BMPS Regulation was duly carried out and concluded with the issue of a favourable opinion on the fairness and substantive and procedural correctness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, issued by the BMPS Related-Party Transactions Committee, composed of independent directors. For a complete disclosure of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the RPT Regulation, published on the Bank's institutional website *<u>https://www.gruppomps.it/en/</u>*.

The Related Party Transactions Committee, in addition to the aforementioned opinion, was then once again involved with reference to the capital increase proposal to be submitted to the Shareholders' Meeting convened for 17 April 2025 in order, among other things, to verify its consistency with the terms and conditions of the Offeror's Communication. During this discussion, having pointed out that, as of the date of this report, no changes had occurred with respect to what had already been set forth in the opinion issued on 23 January 2025. The Committee for Related Party Transactions will therefore continue to monitor the progress of the overall transaction.

**2.** **CRITERIA FOR THE DETERMINATION OF THE EXCHANGE RATIO BETWEEN BMPS SHARES AND MEDIOBANCA SHARES AND FOR THE CONSEQUENT DETERMINATION OF THE MAXIMUM NUMBER OF NEWLY ISSUED BMPS SHARES** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.1. Preamble**

The Offeror's Communication provides that BMPS shall offer to the participants to the VEO, for each 10 Mediobanca shares tendered to the Offer, as the Offer's Consideration, No. 23 newly issued BMPS ordinary shares having the same features as the currently outstanding BMPS ordinary shares: this is equivalent to a ratio of No. 2,300 newly issued BMPS ordinary shares for each Mediobanca share tendered to the VEO, subject to the provisions of paragraph 5 below with reference to the treatment of fractional shares deriving from the exchange.

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The aforementioned exchange ratio was determined by the Board of Directors of BMPS based on their own assessments and considerations, carried out with the advice and support of its financial advisors, and as indicated in the Offeror's Communication, the Consideration has been determined on the assumption that, prior to the payment date of the Offer: (x) neither the Issuer nor the Offeror will approve or give effect to any ordinary (including interim dividends) or extraordinary distribution of dividends drawn from profits and/or other reserves; and (y) the Issuer will not approve or give effect to any transaction involving its share capital and/or Mediobanca shares.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.2. Valuation criteria selected by the Directors to determine the exchange ratio**

For the purposes of the Offer, in light of the nature of the Consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Issuer tendered in acceptance of the Offer, the Board of Directors of BMPS proceeded to carry out a valuation of the shares of Mediobanca and of BMPS with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. The considerations and estimates made are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors in order to determine the exchange ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the valuation methodologies applied.

The valuation methodologies and the resulting economic values of the shares of Mediobanca and of BMPS were identified for the purpose of determining the number of BMPS shares to be issued to service the VEO, based on its outcome. Under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under consideration.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the announcement of the VEO (the "**Reference Date**") and to the patrimonial-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In particular, the BMPS Board of Directors decided to use, for the purpose of the determination of the Consideration:

- the Stock Market Price Method;

- the market multiples method in the variant of the stock market price of comparable listed companies on their prospective earnings; and

- the target price methodology highlighted by research analysts.

The choice of the methodologies and the results of the valuation analyses carried out by BMPS as at the Reference Date for the purpose of determining the exchange ratio must be interpreted in light of the ratio presented the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the
Bank used exclusively public data and information for the purposes of its analyses;

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&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Bank has did not perform any financial, legal, commercial, tax, industrial or any other due diligence
activities on Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) as at the reference date, an updated business plan for Mediobanca with a time horizon consistent with
that of BMPS was not publicly available. Accordingly, where relevant to the application of the valuation methods, the projections of future
economic performance used for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while, for Mediobanca, were
derived on the basis of the estimates provided by research analysts;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

The following is a summary description of each of the methodologies used to determine the Offer's consideration:

&nbsp;&nbsp;&nbsp;&nbsp;(a) <u>Stock Market Price Method</u>: the Stock Market Price Method uses market prices as the relevant information
for estimating the economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals
of time deemed significant and on the assumption that there is a correlation between the prices expressed by the market for the shares
of the companies being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing
in relative terms the relationship existing between the values of the companies in question as perceived by the market.

In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the announcement date (*i.e.*, 24 January 2025).

The following table shows (i) the implied exchange rates and (ii) the premiums that the Consideration incorporates based on the BMPS and Mediobanca Weighted Average Prices recorded on the Reference Date and in the periods indicated below prior to the Reference Date (included).

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|:---|:---|:---|:---|:---|
| | **Weighted Average Price (Euro)** | **Weighted Average Price (Euro)** | | |
| <br>**Reference Period** | **BMPS** | **Mediobanca** | **Implied Exchange**<br>**Ratio (x)** | **Implied Premium vs.**<br>**Market Prices** |
| Values based on the prices as of 23 January 2025 | 6.953 | 15.227 | 2.190 | 5.03% |
| Values based on the weighted average prices over 1 month (including 23 January 2025) | 6.954 | 14.795 | 2.127 | 8.11% |
| Values based on the weighted average prices over 2 months (including 23 January 2025) | 6.547 | 14.363 | 2.194 | 4.84% |
| Values based on the weighted average prices over 3 months (including 23 January 2025) | 6.099 | 14.508 | 2.379 | (3.31)% |

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| Values based on the weighted average prices over 6 months (including 23 January 2025) | 5.567 | 14.703 | 2.641 | (12.91)% |
| Values based on the weighted average prices over 12 months (including 23 January 2025) | 4.724 | 13.928 | 2.948 | (21.99)% |

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&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Market Multiples Method</u>: according to the Market Multiples Method, the value of a company is determined
by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company
being valued.

The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time).

The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations.

It should be noted that, given the differences between the business models of BMPS and Mediobanca, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purpose of the evaluation of BMPS, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purpose of the evaluation of Mediobanca, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration.

The market multiples were applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date).

The following table shows the Price/Projected Earnings multiples for 2025 and 2026 of the selected companies as of the Reference Date, based on the consensus estimates of research analysts for 2025 and 2026, as provided by the information provider FactSet as of the Reference Date. For illustrative purposes and

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completeness, the table also shows the multiples of Mediobanca based on the prices as of the Reference Date and on the implied valuation of the Consideration based on the BMPS price as of the Reference Date.<sup>3</sup>

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|:---|:---|:---|
| | **Projected Price/ Earnings** | **Projected Price/ Earnings** |
| <br>**Comparable Companies** | **2025** | **2026** |
| Intesa Sanpaolo | 8.2x | 8.1x |
| UniCredit | 7.5x | 7.6x |
| Banco BPM | 8.4x | 8.6x |
| BPER | 7.2x | 7.1x |
| Credito Emiliano | 7.8x | 8.1x |
| Banca Popolare di Sondrio | 8.8x | 9.3x |
| FinecoBank | 18.6x | 17.8x |
| Banca Generali | 15.3x | 14.7x |
| Banca Mediolanum | 10.7x | 10.7x |
| **Mediobanca** | **9.6x** | **9.2x** |
| **Mediobanca at the Offer's Consideration** | **10.0x** | **9.7x** |

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For the purposes of the valuation analysis of the Issuer, in light of the fact that a significant portion of the Issuer's profitability is generated by the qualified shareholding in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company is listed, the market valuation has been used in this regard.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Research analysts' target price method</u>: the target price method determines the value of a
company based on the target prices that financial analysts publish on the company. Target prices are indications of value that express
an assumption about the price that a share can reach on the stock market and are derived from multiple valuation methodologies used at
the discretion of the individual research analyst.

For the purpose of applying the target price methodology, the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September

<sup>3</sup> The content of the above table does not imply any judgment by BMPS on any of the banking companies listed therein, except for Mediobanca, nor does it represent any opinion regarding investment or divestment evaluations related to any financial instrument or security.

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2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used.

The valuation methodologies described above have been applied on an individual and business continuity basis for both the Bank and Mediobanca and also taking into account the specific features of the Offer.

In order to determine the exchange ratio, ranges of values were identified for each valuation method, *i.e.*: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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|:---|:---|:---|
| | **Implied exchange ratio** | **Implied exchange ratio** |
| <br>**Methodology** | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market Multiples Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price method highlighted by research analysts</u> | 2.046x | 2.433x |

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Finally, it should be noted that, the Board of Directors of BMPS has mandated the firm appointed for the statutory audit of BMPS' accounts, PricewaterhouseCoopers S.p.A. ("**PwC**"), to prepare, on a voluntary basis and according to the criteria indicated in the ISAE "*3000 revised*" – *limited assurance appointment*, a report regarding the adequacy, in so far as is reasonable and nondiscretionary, of the criteria adopted by the same Board for determining the exchange ratio in the context of the VEO, in accordance with the national and international valuation practice and professional techniques applicable to transactions of this nature.

Concurrently with the publication of this Report, the aforementioned PwC report, prepared on a voluntary basis, will also be made available to the public, for the purpose of providing more complete and accurate information to BMPS' shareholders, in view of their extraordinary Meeting. Therefore, reference is made to the aforementioned report for any further information on this matter.

**3.** **DETERMINATION OF THE ISSUE PRICE OF THE NEWLY ISSUED SHARES, ENVISAGED ALLOTMENT RATIO** 

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The issue price of the BMPS shares to be issued in the context of the Capital Increase Reserved to the Offer will be determined by the Board of Directors when exercising the Delegation, pursuant to and in accordance with article 2441, paragraph 6 of the Italian Civil Code.

Furthermore, when exercising the Delegation, whether it is granted, and subject to the limitation constituted by the value that the Independent Expert, in its appraisal or updates thereto, has attributed or will attribute to the Mediobanca shares to be contributed pursuant to Articles 2440, paragraph 2 and 2343-*ter* of the Italian Civil Code, the Board of Directors of BMPS will determine the portion of the issue price that will be allocated to the share capital and the portion of the issue price that will be allocated to the share premium reserve, with the clarifying note that, as indicated in Paragraph 1: (i) in connection with the portion of the issue price to be allocated to share capital, it will be equal to Euro 5.917 for each newly issued BMPS share (an amount corresponding to the implied nominal value, rounded to the third decimal place, of the currently issued BMPS shares as recorded on the date of this Report), and therefore, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and a share capital amount of up to Euro 13,194,910,000, in addition to any share premium, and (ii) the remaining portion of the issue price will be allocated to the share premium reserve.

It should be noted that, in accordance with the applicable international accounting standards, the increase in BMPS' net equity, which will be recorded in accounting terms, will not be based on the issue price determined by the Board of Directors when exercising the Delegation; instead, it will correspond to the fair value of BMPS shares that will be assigned to those who accept the Offer; this fair value will correspond to the stock market price of BMPS shares on the date the exchange is made with Mediobanca shares tendered in acceptance of the Offer.

It should be noted that PwC, as the company entrusted with the statutory audit of BMPS' accounts, has been appointed and will issue its fairness opinion on the issue price of the BMPS shares to be offered in the Offer, pursuant to Article 2441, paragraph six, of the Italian Civil Code and Article 158 of the TUF. Therefore, on the occasion of exercising the Delegation for the Capital Increase Reserved to the Offer, PwC will issue the aforementioned fairness opinion on the issue price of the BMPS shares to be offered in exchange as part of the Offer.

Pursuant to Article 70, paragraph 7 of the Issuers' Regulation, the mentioned PwC opinion will be made available to the public within the terms and in the manner prescribed by law.

**4.** **VALUATION OF THE CONTRIBUTED ASSETS REFERRED TO IN THE APPRAISAL PURSUANT TO ARTICLES 2440, PARAGRAPH 2, 2343- *TER*, PARAGRAPH 2, LETTER B) AND 2343- *TER*, PARAGRAPH 2, LETTER B) OF THE ITALIAN CIVIL CODE. B), AND 2343- *QUATER*, OF THE ITALIAN CIVIL CODE.** 

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an expert. In this regard, with a view to the exercise of the Delegation, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter* (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4) of the Italian Civil Code for the purpose of the valuation of the Mediobanca shares subject to the contributions in kind.

These rules make it possible not to require a sworn appraisal of the assets transferred to be prepared by an expert, appointed by the Court in the district where the transferee company has its registered office, in the event that, pursuant

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to article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to transferred is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is endowed with adequate and proven professionalism*".

The Bank has entrusted this task to KPMG Corporate Finance, a division of KPMG Advisory S.p.A. (the "**Independent Expert**"), which, on 14 March 2025, issued its report on the valuation of Mediobanca's shares, which was made available to the public at the same time of this Report, and according to the procedures provided for by the laws and regulations in force, for the purpose of providing more complete and timely information to BMPS members in view of the Shareholders' Meeting (available on the Bank's website, in the Corporate Governance – Shareholders' Meetings and BoD section, at *<u>https://www.gruppomps.it/en/</u>* as well as at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*)*.*

The decision to use, in line with market practice in the case of public exchange offers, a valuation carried out by an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, was also justified by the need to evaluate the contribution of a significant block of Mediobanca shares and not of individual listed securities.

In the appraisal of the Independent Expert, to which full reference is made, he concluded that as of 14 March 2025, based on the financial position as of 31 December 2024, and on the elements and methods outlined in such document, the fair value of Mediobanca shares was not less than Euro 16,406 for each Mediobanca shares *cum dividend*, or equal to Euro 15,852 per each Mediobanca share, *ex dividend*.

That being said, also in order to ensure that the Independent Expert's report refers to a date no more than six months prior to the contribution, in compliance with Article 2343*-ter*, second paragraph, letter b), of the Italian Civil Code, it cannot be ruled out that, close in time to the execution of the Delegation, BMPS' Board of Directors may request an update to the aforesaid report that reflects, in its assessment, updated information on Mediobanca and on the economic and market situation.

For all other aspects relating to the manner in which the contributions in kind were made and the Independent Expert's report, please refer to the applicable legal provisions and, in particular, Articles 2343-*ter*, 2343-*quater* and 2443, paragraph 4, of the Italian Civil Code.

**5.** **INDICATION OF THE NUMBER, DIVIDEND ENTITLEMENT DATE AND ISSUE PRICE OF THE NEW SHARES SUBJECT TO THE CAPITAL INCREASE IN KIND** 

As illustrated in Paragraph 1 above, upon the exercise of the Delegation by the Board of Directors, whether it is granted, the Capital Increase Reserved to the Offer will cover the Maximum Share Amount and, therefore, an amount of BMPS share equal to maximum No. of 2,230,000,000 to be issued and paid up by means of a contribution in kind to BMPS of the shares of Mediobanca tendered in acceptance of the Offer; in accordance with the above, based on the exchange ratio indicated in the Offeror's Communication, the newly issued BMPS shares to be issued through the contribution in kind of Mediobanca shares correspond to 23 BMPS shares for each 10 Mediobanca shares tendered to the Offer.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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If the result of the application of the exchange ratio for the Mediobanca shares tendered to the Offer is not a whole number of newly issued BMPS shares, it is expected that the intermediary in charge of coordinating the collection of acceptances of the Offer will aggregate the fractional units of BMPS shares pertaining to the accepting parties and will subsequently sale on Euronext Milan the whole amount of BMPS shares resulting from such aggregation, for the purpose of the overall balancing of the transaction. Further information on the treatment of the fractional unit will be provided in the offer document, which will be made available to the public following Consob's approval, in the manner and within the terms provided by applicable laws and regulations.

It should also be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors referred to in this Report has been increased from No. 1,916,543,285 (as reported in the Offeror's Communication) to No. 2,230,000,000, also for the purpose of ensuring coverage for all the following possible scenarios, according to a highly conservative approach: (i) the proposed distribution of the BMPS' dividend (equal to Euro 0.86 per share) for the fiscal year ended 31 December 2024, recently approved by the BMPS' Board of Directors and not yet approved by the BMPS Shareholders' Meeting, and (ii) the hypothetical issuance of a maximum amount of No. 16,178,862 Additional Shares (in the event that the Incentive Plans are revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although certain Plans provide the possibility of using – instead of the Additional Shares – Mediobanca treasury shares in portfolio, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans).

Lastly, it is important to mention that, the aforementioned Maximum Share Amount does not take into account, by way of example, the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the relevant balance and/or the possible cancellation by Mediobanca of treasury shares. The occurrence of such circumstances would not make it necessary to issue the entire Maximum Share Amount.

The ordinary shares of BMPS, which will be issued following the exercise of the Delegation, will have the same dividend entitlement as the ordinary shares of BMPS outstanding as of the date of the relevant issue and, therefore, will grant their holders the same rights as the shares of BMPS already outstanding at the time of the issue and will be admitted to trading on Euronext Milan as of the date of payment of the consideration under the Offer. The issue price of the BMPS shares that will be offered in the context of the Offer (including the relevant share premium) will be determined by the Board of Directors when exercising the Delegation, pursuant to Article 2441, paragraph 6 of the Italian Civil Code.

**6.** **STRUCTURE OF THE COMPANY'S INDEBTEDNESS** 

The contribution of the shares of Mediobanca subject to the Offer is not expected to have any impact on the structure of BMPS' financial indebtedness.

**7.** **INFORMATION ON THE RESULTS OF THE LAST FINANCIAL YEAR AND GENERAL INDICATIONS ON THE DEVELOPMENT OF OPERATIONS AND THE FORESEEABLE CLOSURE OF THE CURRENT FINANCIAL YEAR** 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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On 17 April 2025, the ordinary Shareholders' Meeting of BMPS is called upon to approve the financial statements for the year ending 31 December 2024 and the distribution of the dividend. Please refer to the report of the Board of Directors with reference to items 1.1 and 1.2 on the agenda of the Shareholders' Meeting (Ordinary part), and to the related annexes - made available to the public in accordance with applicable regulations - for complete information on the results (including consolidated results) of BMPS for the year ended 31 December 2024, as well as for information on the operating performance for the current year, the foreseeable closure of the latter and the proposed dividend distribution.

**8.** **UNDERWRITING AND/OR PLACEMENT SYNDICATES** 

In relation to the Capital Increase Reserved to the Offer, since it is a share capital serving a public exchange offer, no underwriting and/or placement syndicates are envisaged.

**9.** **ANY OTHER FORMS OF PLACEMENT ENVISAGED** 

No other forms of placement are envisaged.

**10.** **SHAREHOLDERS WHO HAVE EXPRESSED THEIR WILLINGNESS TO SUBSCRIBE TO THE NEWLY ISSUED SHARES** 

The subscription of the Capital Increase Reserved to the Offer may only occur as a result of the acceptance of the Offer itself, once the acceptance period has commenced, which, pursuant to Article 40, paragraph 2, letter b), of the Issuers' Regulation, will be agreed upon with Borsa Italiana and will last between a minimum of 15 and a maximum of 40 trading days, unless extended.

As of the date of this Report, there are no Mediobanca shareholders who have expressed their willingness to subscribe to BMPS shares as a result of their acceptance of the Offer.

**11.** **TAX IMPLICATIONS OF THE TRANSACTION ON THE COMPANY** 

The contribution of the shares of Mediobanca subject to the Offer does not entail any tax burden whatsoever on BMPS as the contributing issuer.

**12.** **SHAREHOLDING STRUCTURE OF THE COMPANY FOLLOWING THE CAPITAL INCREASE IN KIND** 

In light of the nature of the Capital Increase Reserved to the Offer and of the variables connected to the results of the VEO itself, it is not possible to predict the composition of BMPS' shareholding structure at the end of the execution of such capital increase.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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The percentage of dilution of existing shareholders in the share capital of BMPS will depend on the outcome of the Offer, as the number of new BMPS shares to be issued as part of the Capital Increase Reserved to the Offer will depend – as well as any adjustments to the Offer consideration (as illustrated below) – on the number of Mediobanca shares that will be tendered to the VEO itself.

In the event of (i) full acceptance of the VEO by all Mediobanca shareholders targeted by the same VEO for all their shares held, (ii) revision of the Incentive Plans to provide for the acceleration and issuance in favour of the beneficiaries of the Incentive Plans of all No. 16,178,862 Additional Shares, and (iii) non-payment by Mediobanca of the interim dividend, the related balance, and the non-cancellation of treasury shares in Mediobanca's portfolio, the Capital Increase Reserved to the Offer will be fully subscribed (on a fully diluted basis) and BMPS will issue 2,230,000,000 new shares to be allotted in exchange to all those accepting the Offer. These shares will represent approximately 64% of BMPS' share capital, calculated on the basis of the number of BMPS shares issued as of the date of this Report.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of issuance of the entire Maximum Share Amount.

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| | |
|:---|:---|
| Shareholder | Shareholding |
| Delfin S.a.r.l. | 15.7% |
| Caltagirone Francesco Gaetano | 5.3% |
| Ministero dell'Economia e delle Finanze | 4.2% |
| Banca Mediolanum S.p.A. | 2.1% |
| Banco BPM S.p.A. | 1.8% |
| Anima Holding S.p.A. | 1.4% |
| Other shareholders | 69.5% |
| **Total** | **100%** |

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As of the date of this Report, to the best of BMPS' knowledge, there are no shareholders' agreements among BMPS shareholders, nor is there any individual or legal entity exercising control over the Bank pursuant to Article 93 of the Consolidated Law on Finance.

**13.** **PRO-FORMA ECONOMIC AND FINANCIAL EFFECTS OF THE CAPITAL INCREASE ON THE COMPANY'S PERFORMANCE AND FINANCIAL POSITION** 

This section displays the main pro-forma economic and financial figures resulting from the aggregation of the data deriving from the BMPS group (the "**MPS Group**") and from the Mediobanca group (the "**Mediobanca Group**") as of 31 December 2024, as well as some explanatory notes.

The pro-forma effects of the business combination with the Mediobanca Group on the MPS Group's financial and economic position have been determined based on Consob Communication No. DEM/1052803 of 5 July 2001, and have been prepared to simulate, according to certain evaluation criteria consistent with historical data and compliant with applicable regulations, the effects of the transaction on the economic performance and financial position of the MPS Group, as if it had virtually taken place on 31 December 2024, for the effects on the pro-forma consolidated balance sheet and on 1 January 2024, for the effects on the pro-forma consolidated income statement.

The pro-forma figures were prepared starting from the 2024 Consolidated Financial Statements of the MPS Group prepared in accordance with IAS/IFRS accounting principles, and from the Half-Yearly Report as of 31 December

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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2024, the Financial Statements as of 30 June 2024, and the Half-Yearly Report as of 31 December 2023, of the Mediobanca Group, prepared in accordance with IAS/IFRS accounting principles, and applying the pro-forma adjustments determined by simulating the application of IFRS 3 for business combination transactions.

Specifically, for the Mediobanca Group, the income statement for the 12-month period ended 31 December 2024, has been defined as the sum of: (i) the income statement for the 6-month period ended 30 June 2024, determined as the difference between the income statement for the fiscal year ended 30 June 2024, extracted from the Financial Statements as of 30 June 2024, and the income statement for the half-year ended 31 December 2023, extracted from the Half-Yearly Report as of 31 December 2023, and (ii) the income statement for the half-year ended 31 December 2024, extracted from the Half-Yearly Report as of 31 December 2024.

For the purpose of determining the pro-forma adjustments, the total cost of the aggregation has been calculated assuming a unit value of BMPS shares of Euro 6.953, as represented by the price recorded at the close of the market on 23 January 2025, which corresponds to the last trading day prior to the date on which BMPS announced the Offer (*i.e.*, 24 January 2025) and assuming full acceptance of the Offer by Mediobanca shareholders, *i.e.*, considering 833,279,689 Mediobanca shares tendered to the Offer, equal to total number of Mediobanca shares (including the No. 11,277,075 treasury shares held by Mediobanca) as of 23 January 2025, corresponding to the No. 1,916,543,285 newly issued BMPS shares based on the Consideration determined for the Offer.

In this regard, it should be noted that, for the purposes of this pro-forma exercise, the calculation of the preliminary acquisition cost does not take into account any adjustments to the Consideration as provided by the Offeror's Communication.

The acquisition cost represented by the fair value of the new BMPS shares to be issued to service the Offer is considered as preliminary, as the elements necessary for its definitive quantification are not known yet. Specifically, under IFRS 3, the fair value of the new shares issued by BMPS will be determined based on the BMPS share price on the trading day immediately prior to the completion date of the transaction.

The preliminary acquisition cost thus determined, amounting to Euro 13,326 million, has been compared with the consolidated net equity of the Mediobanca Group as of 31 December 2024, inclusive of the net income for the relevant period. It should be noted that, for the purpose of determining the pro-forma adjustments, no fair value assessment process has been carried out for the identifiable assets (except as indicated below regarding the stake in Assicurazioni Generali S.p.A. held by the Mediobanca Group), liabilities, and contingent liabilities of the acquired entity, as such fair values will need to be determined as of the acquisition date and upon obtaining detailed information about the accounting items of the Mediobanca Group. For the purpose of determining the pro-forma adjustments, the only adjustments made were (i) the write-off of the intangible assets of the Mediobanca Group, in line with what will be done as part of the Purchase Price Allocation (PPA) process, and (ii) the fair value assessment of the stake held by the Mediobanca Group in Assicurazioni Generali S.p.A. based on the unit value of the relevant share as recorded at the close of market on 23 January 2025.

The net equity of the Mediobanca Group thus determined amounted to a total of Euro 12,178 million. The difference that resulting from the comparison between the preliminary acquisition cost and the pro-forma consolidated net equity of the Mediobanca Group was Euro 1,148 million.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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As previously stated, one of the factors that will result in a difference between the final goodwill and the provisional amount indicated in the pro-forma financial information as of 31 December 2024 is the BMPS share price on the trading day immediately prior to the completion of the transaction.

In addition, it should be noted that, in the event that the Offer is not fully accepted, without prejudice to the conditions of effectiveness of the Offer, given the possibility provided by IFRS 3 to measure at the fair value any minority interest in the acquired entity – in this specific case representing any remaining Mediobanca shares which has not been exchanged for BMPS shares – the amount of goodwill recorded in the consolidated financial statements of the MPS Group could still be determined with reference to the entirety of Mediobanca shares, therefore resulting in the same amount as in the case of full acceptance of the Offer. Alternatively, also in the event that the Offer is not fully accepted, the amount of goodwill could be determined as the difference between the cost of the Acquisition and the amount of the percentage of Mediobanca Group's net assets acquired, and consequently vary on the basis of the number of Mediobanca shares tendered to the Offer and therefore exchanged for BMPS shares.

The pro-forma data also take into account the deletion of the most significant reciprocal balance sheet and income statement items between the MPS Group and the Mediobanca Group, referring exclusively to the data reported by the MPS Group.

Finally, it should be noted that, the pro-forma adjustments take into account the ancillary expenses inherent to the execution of the transaction, estimated at a maximum of approximately Euro 80 million excluding VAT, based on the amount authorized by the BMPS Board of Directors on 23 January 2025, assuming the full success of the transaction. Of the total amount mentioned above, based on preliminary information currently available, approximately Euro 60 million, excluding VAT, has been considered directly attributable to the issuance of shares to serve the Offer and, as provided by IAS 32, has been deducted, net of the related tax effect, from the capital increase. The remaining portion of the estimated ancillary costs, amounting to approximately Euro 20 million excluding VAT, has been recorded in the income statement, as required by IFRS 3, among the pro-forma Operating Costs.

The table below shows the main pro-forma balance sheet and income statement figures resulting from the aggregation of the MPS Group and Mediobanca Group data as of 31 December 2024.

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| | | | |
|:---|:---|:---|:---|
| | | | €/mld |
| <br>**Balance Sheet Figures** |<br>**MPS Group**<br>**31.12.2024** |<br>**Mediobanca**<br>**Group**<br>**31.12.2024** | **Pro-forma BMPS-**<br>**Mediobanca**<br>**31.12.24** |
| Net Loans to Customers | 77.3 | 56.7 | 134.0 |
| Net Impaired Loans to Customers | 1.9 | 0.4 | 2.3 |
| Securities Holdings | 17.4 | 24.8 | 42.2 |
| Gross NPL Ratio | 3.8% | 2.1% | 3.1% |

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Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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| | | | |
|:---|:---|:---|:---|
| NPE Coverage Ratio | 48.5% | 69.4% | 54.2% |
| Direct Bank Funding | 94.0 | 64.7 | 158.7 |
| Indirect Customer Funding | 103.2 | 78.6 | 181.8 |
| **Income Statement Figures** |  |  |  |
| Interest margin | 2.3 | 1.9 | 4.2 |
| Net Commissions | 1.5 | 0.9 | 2.4 |
| Gross operating margin | 3.9 | 3.0 | 6.9 |
| Operating Costs | (2.1) | (1.6) | (3.7)<sup>(1)</sup> |
| Profit (Loss) from current operations before taxes | 1.5 | 1.8 | 3.2<sup>(1)</sup> |
| Operating Profit (Loss) pertaining to the Parent Company | 2.0 | 1.3 | 3.2<sup>(1)(2)</sup> |
| **Goodwill** | **n.a.** | **n.a.** | **1.1** |

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&nbsp;&nbsp;&nbsp;&nbsp;(1) The pro-forma figure takes into account Euro 20 million excluding VAT relating to ancillary expenses associated
with the acquisition, to be recorded in the income statement based on the information currently available.

&nbsp;&nbsp;&nbsp;&nbsp;(2) The pro-forma figure takes into account Euro 20 million excluding VAT relating to ancillary expenses associated
with the acquisition, to be recorded in the income statement based on the information currently available, and the consequent pertinent
tax effect.

It should be mentioned that the aforementioned pro-forma data do not reflect the effects of any transactions involving the sale of branches or lines of business that may occur in the context of the investigation carried out by the competent antitrust authority regarding the merger with the Mediobanca Group. As of today, these transactions have not even been preliminarily defined, and it is therefore impossible to identify and quantify their economic and financial impacts, in a timely, objective and auditable manner, it being understood that the reasonable expectation of the MPS Group is that any corrective measures will not have a significant impact on the transaction.

It should be noted that, the pro-forma data represent a simulation, provided for illustrative purposes only, of the possible effects that may result from the acquisition. Specifically, since the pro-forma data are prepared to retroactively reflect the effects of subsequent transactions, notwithstanding the observance of commonly accepted rules and the use of reasonable assumptions, there are inherent limitations associated with the very nature of pro-forma data, which are by their very nature not capable of providing a representation of the prospective economic and financial situation

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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of the MPS Group. Therefore, for a correct interpretation of the information provided by the pro-forma data, the following aspects must be considered:

· since these representations are based on assumptions, if the acquisition had actually occurred on the
dates used as references for the preparation of the pro-forma data, the same results represented in the pro-forma data would not necessarily
have been achieved;

· the pro-forma data are not in any way intended to represent a forecast of future results and should therefore
not be used as such; the pro-forma data do not reflect prospective data as they are prepared solely to represent the separable and objectively
measurable effects of the acquisition, without taking into account the potential effects due to changes in market conditions, management
policies, and operational decisions of BMPS following the outcome of such a transaction. Therefore, the pro-forma representations are
not intended to depict the current or prospective financial and economic situation of the effects relating to the acquisition;

· considering the different purposes of the pro-forma data compared to those of a regular financial statement
and since the effects are calculated differently with reference to the pro-forma consolidated balance sheet and the pro-forma consolidated
income statement, they should be read and interpreted separately, without seeking accounting connections between them.

It should be noted that, in accordance with Consob Communication No. DEM/1052803 of 5 July 2001, the pro-forma Consolidated Prospectus do not reflect either the charges or the synergies that will result from the proposed transaction for the entity resulting from the merger of the MPS Group and the Mediobanca Group. Specifically, the costs of integrating the Mediobanca Group within the MPS Group, estimated at approximately Euro 0.6 billion (pre-tax and one-off), have not been subject to pro-forma adjustments as they pertain to hypothetical future actions that are expected to be undertaken only upon completion of the acquisition through the Offer, in order to achieve the objectives of the transaction (which also include the aforementioned synergies), based on the agreements and contracts that will be entered into only upon completion of the said acquisition. Similarly, the tax benefits expected as a result of post-combination tax planning are not represented in accordance with the aforementioned regulations. In other words, the pro-forma Consolidated Prospectus do not include the acceleration in the utilization of deferred tax assets associated with the past tax losses of the MPS Group, resulting from the Mediobanca Group joining the tax consolidation of BMPS.

The pro-forma data have not been reviewed by the auditing firm.

**14. STATUTORY AMENDMENTS**

The granting of the Delegation for the Capital Increase Reserved to the Offer entails the amendment of Article 6 of BMPS' By-laws which, as specified below, is subject to the successful conclusion of the assessment procedure with the European Central Bank pursuant to Articles 56 and 61 of the TUB (as defined below).

The following is a comparison of the aforesaid Article 6 in its current text and the text proposed with this Report, assuming the approval of the resolutions covered by this Report (the text proposed is highlighted in bold type).

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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It should be noted that the execution of the Capital Increase Reserved to the Offer will entail further amendments to the By-laws in order to (i) update the Bank's share capital and the number of shares with respect to the acceptances made, and (ii) delete the description of the shareholders' meeting resolution referred to in Article 6, paragraph 4.

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| | | | |
|:---|:---|:---|:---|
| **Current text** | **Current text** | **Proposed text** | **Proposed text** |
| **Article 6** | **Article 6** | **Article 6** | **Article 6** |
| 1. | The share capital of the Company is Euro 7,453,450,788.44 (seven billion, four hundred fifty-three million, four hundred fifty thousand, seven hundred eighty-eight and forty-four cents) and is fully paid up. | *1.* | *(Unchanged)* |
| 2. | It is represented by 1,259,689,706 (one billion, two hundred fifty-nine million, six hundred eighty-nine thousand, seven hundred six) ordinary shares with no par value. All shares are issued in dematerialised form. The procedures for the circulation and legitimation of the shares are regulated by law.<br>Shareholders who did not participate in the approval of resolutions concerning the introduction or removal of restrictions on the circulation of shares do not have the right of withdrawal. | 2. | *(Unchanged)* |
| 3. | Shares are registered and indivisible. Each share gives the right to one vote. | 3. | *(Unchanged)* |
|  |  | **4.** | **The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro** |

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Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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**13,194,910,000 plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding on the issue date, to be paid up by contribution in kind as they serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with a communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting.**

The amendments to the By-laws described above do not give rise to any right of withdrawal for BMPS shareholders who did not take part in the resolutions covered by this Report.

**15. AUTHORISATIONS**

The amendments to the By-laws referred to in Paragraph 14 above and the execution of the Capital Increase Reserved to the Offer are subject to the required authorisations by the competent Supervisory Authorities and in particular, respectively: (i) to the verification that they do not conflict with the sound and prudent management of the Bank pursuant to and for the purposes of Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993 as subsequently amended ("**TUB**"), and (ii) to the eligibility of the new shares issued in the context of the Capital Increase Reserved to the Offer among BMPS' own funds as primary tier 1 capital, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013.

BMPS filed the application for the aforementioned regulatory authorisations with the European Central Bank and the Bank of Italy on 13 February 2025.

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

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It should be noted that, in the event that the assessment order by the European Central Bank regarding the proposed statutory amendments is not issued before the date on which the Shareholders' Meeting will adopt the resolution, the effectiveness of the latter will be subject to the issuance of such assessment order, as it cannot be registered in the Companies Register until that date. However, if the order is issued before the date of the Shareholders' Meeting, a press release will be issued to provide the shareholders with the necessary additional information.

**16. FORMALITIES AND TIMING**

Subject to the granting of the authorisations referred to in Paragraph 15 above (as well as the other authorisations required in connection with the VEO, as detailed in Paragraph 1.4 of the Offeror's Communication), the exercise of the Delegation by the Board of Directors will take place prior to the publication of the offer document, filed with Consob on 13 February 2025.

Also taking into account the requirements of the regulations applicable to public exchange offers, it is expected that the Capital Increase Reserved to the Offer will be executed by 31 December 2025, subject to the fulfilment of the conditions for the effectiveness of the VEO indicated in paragraph 1.5 of the Offeror's Communication, as well as in the offer document submitted to Consob for approval.

Since this is a divisible capital increase, which may also be carried out in one or more tranches, pursuant to article 2439, paragraph 2, of the Italian Civil Code: (i) the share capital will be deemed to be increased from time to time in proportion to the amount of the acceptances collected in the context of the Offer, without prejudice to the terms and conditions set forth therein; and (ii) the Capital Increase Reserved to the Offer, if not fully subscribed by 31 December 2025, will be deemed to be limited to the amount resulting from the total acceptances collected by the aforesaid deadline.

In particular, the Capital Increase Reserved to the Offer will be executed by the previously mentioned deadline of 31 December 2025, on the payment date of the Consideration, and, if applicable, on the payment dates that may be determined in relation to the execution of the purchase Sell-out and Squeeze-out rights, pursuant to Articles 108 and 111 of the TUF.

\* \* \*

**Proposed resolution**

Dear Shareholders, in light of the above, we invite you to adopt the following resolution:

"*The Shareholders' Meeting of Banca Monte dei Paschi di Siena S.p.A., in extraordinary session, having examined the Report of the Board of Directors (which, to the extent necessary, is hereby approved in its entirety) and the proposal formulated therein*

***NOTED***

*that the maximum number of shares to be issued in execution of the Capital Increase Reserved to the Offer has been calculated, for the sake of utmost caution and according to a highly conservative approach, by factoring in (i) the proposed distribution of the BMPS' dividend for the fiscal year ending on 31 December 2024, recently approved by the Board of Directors of BMPS and not yet approved by the BMPS Shareholders' Meeting, and (ii) the maximum No. of 16,178,862 Additional Shares to service the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although some Plans provide for the possibility of using Mediobanca's treasury shares in portfolio instead of the Additional*

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

---

*Shares), without taking into account any further circumstances that might lead to a reduction in the number of BMPS shares to be issued to service the Offer (including, by way of example, any adjustment due to the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the related balance and/or the possible cancellation of treasury shares held by Mediobanca);*

- *the appraisal prepared by the independent expert KPMG Corporate Finance, a division of KPMG Advisory S.p.A., pursuant to Articles 2440, paragraph 2 and 2343-ter, paragraph 2, letter b) of the Italian Civil Code;*

- *the report of PricewaterhouseCoopers S.p.A. concerning the criteria adopted by the Board for the determination of the exchange ratio in the VEO;*

- *the favourable opinion on the Capital Increase Reserved to the Offer expressed by the Company*'*s Related Party Transactions Committee;*

***RESOLVES***

*1.* *to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total maximum amount of Euro 13,194,910,000 plus any share premium, with the issue of a maximum number of 2,230,000,000 ordinary shares of the Company, without nominal value, with regular dividend rights and the same features as the Company's ordinary shares outstanding at the issue date, to be paid in kind as they serve the public exchange offer for all of the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by the Company in a communication pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, on 24 January 2025 and promoted by means of the filing of the offer document with Consob on 13 February 2025 (including the formalities pursuant to articles 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, where applicable);* 

*2.* *to grant the Board of Directors the power to determine from time to time, in exercising the above delegated power and in compliance with the applicable laws and regulations: (i) the amount of the capital increase to be resolved upon, also in divisible form, in its entirety, and the number of shares to be issued within the overall limits set forth in point 1) above; (ii) the issue price of the new shares, including any share premium, taking into account the provisions of Article 2441, sixth paragraph, of the Italian Civil Code; and (iii) any other terms and conditions of the delegated capital increase, as well as any other necessary element, within the limits set forth by the applicable laws and regulations and by this delegation resolution, with the power of the Board of Directors to exercise the delegation – within the aforementioned limits – consistent with any adjustments and/or amendments to the content and / or to the structure of the public offer, while complying with the outcomes of the evaluation pursuant to Article 2343-ter of the Italian Civil Code and any necessary updates; furthermore, the Board of Directors is authorized to make statutory adjustments resulting from the exercise of the delegation, as outlined in the Report of the Directors;* 

*3.* *to set 31 December 2025 as the deadline to implement the Capital Increase Reserved to the Offer - subject, if necessary, to the updating of the valuation made by the independent expert pursuant to Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code, to a date no more than six months prior to the date of the contribution - and to establish that, pursuant to Article 2439, paragraph 2, of the Italian Civil Code, (i) the share capital shall be deemed to be increased from time to time based on the amount of the acceptances collected in the above-mentioned public exchange offer (including within the scope of the procedures for the fulfilments set forth by Article 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, if the requirements are met), always without prejudice to the terms and conditions of the offer itself; and (ii) the Capital Increase Reserved to the Offer,* 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

---

*if not fully subscribed by 31 December 2025, shall be deemed to be limited to the amount resulting from the total acceptances made by the aforesaid deadline;*

*4.* *to amend Article 6 of the By-laws accordingly by including the following temporary paragraph:* 

***"The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to* Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro 13,194,910,000, plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding at the issue date, to be paid up by contribution in kind to serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting";***

*5.* *to declare that the effectiveness of the resolutions mentioned in the previous points 1, 2, and 3, as well as the amendment to the By-laws referred to in point 4, is subject to the successful outcome of the assessment initiated pursuant to Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993, if such a positive outcome has not been achieved prior to the date of this resolution;* 

*6.* *without prejudice to the collective nature of the resolutions to exercise the delegation of powers as conferred above, to grant the Chairman of the Board of Directors currently in charge and on the Chief Executive Officer the Company currently in charge, severally and with the right to sub-delegate, within the limits set out by the law, all power and authority to provide for all that is necessary or even just appropriate for the implementation, in full and in part, of the resolutions adopted, as well as to perform all the acts and transactions necessary or appropriate for the fulfilment of the formalities required by the laws currently in force, including, by way of example but not limited to, the powers to:* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(i)* *prepare and submit any document required for the purposes of the execution of the capital increase, as well as to fulfil the formalities necessary to proceed with the admission to listing on Euronext Milan of the newly issued shares, including the power to prepare and submit to the competent Italian and foreign authorities any application, petition, document or prospectus necessary or appropriate for the purpose of and to proceed with the filing and publication of the certificate provided for by Article 2444 of the Italian Civil Code;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(ii)* *proceed to the formalities required by Article 2343-quater of the Italian Civil Code;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(iii)* *manage relations with any Italian or foreign competent body and/or authority for the purpose of obtaining all authorisations and approvals necessary for the successful outcome of the transaction, as well as the preparation, amendment, integration and/or signing and/or completion of any contract, agreement, deed, declaration or document necessary to that end;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(iv)* *make the necessary amendments to Article 6 of the By-laws as a result of the partial and/or total execution of the capital increase, and to file with the Company Registry pursuant to Article 2436 of the Italian Civil Code the text of the By-laws* 

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

---

*updated in the amount of the share capital and the number of shares and following the expiry of the delegation in relation to the removal of the temporary paragraph 4;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(v)* *make any amendments and/or additions to the adopted resolutions that may be necessary and/or appropriate, including at the request of any competent authority or at the time of registration, and* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(vi)* *in general, do all that is necessary for the complete execution of the said resolutions, with any and all powers necessary and appropriate for that purpose, none excluded and excepted."* 

\* \* \*

Siena, 18 March 2025

---

| |
|:---|
| For the Board of Directors |
| Mr. Nicola Maione |
| Chairman of the Board of Directors |

---

\* \* \*

*The voluntary public exchange offer referred to in this Report shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*This Report does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.*

*The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.*

*The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").*

*Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.*

*Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.*

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part | ![](tm2518026d1_headerlogo.jpg) |

---

*This Report, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.*

*Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.*

*IMPORTANT INFORMATION*

*In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document, at Banca Monte dei Paschi di Siena S.p.A.'s website at <u>www.gruppomps.it/en/</u> and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.*

*This Report does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this Report may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.*

*The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.*

Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

## Exhibit 99.10

**Exhibit 99.10**

![](tm2518026d1_ex99-18img01.jpg)

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| | |
|:---|:---|
| ![](tm2518026d1_ex99-10img02.jpg) | &nbsp;&nbsp;<br> **SUPPLEMENTARY NOTE TO THE EXPLANATORY REPORT OF THE BOARD OF DIRECTORS OF BANCA MONTE DEI PASCHI DI SIENA S.P.A. ON ITEM 1 OF THE EXTRAORDINARY PART**<br>***Ordinary and extraordinary shareholders' meeting, on single call, of 17 April 2025<br>Information provided following a request for disclosure of information from Consob pursuant to Article 114, paragraph 5, of Legislative Decree No. 58 of 24 February 1998<br>*** <br>|

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NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

![](tm2518026d1_ex99-18img01.jpg)

**<u>Supplementary note to the Explanatory Report of the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. (the</u>** **<u>"Bank" or "BMPS") relating to the Shareholders' Meeting of 17 April 2025, on item 1 of the agenda, of the extraordinary part.</u>**

**"** ***Proposal to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the share capital in one or more tranches, in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph four, first sentence, of the Italian Civil Code, to be paid in by contribution in kind, to serve a voluntary public offer by Banca Monte dei Paschi di Siena S.p.A. relating all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni; subsequent amendment to Article 6 of the by-laws; related and consequent resolutions.*"**

Dear Shareholders,

the Board of Directors of the Bank convened the shareholders' meeting to resolve upon, *inter alia*:

in an extraordinary session, regarding the proposal to grant the delegation to the Board of Directors, pursuant to and for the purposes of Article 2343 of the Italian Civil Code (the "**Delegation**") to increase – in one or more tranches, in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph four, first sentence, of the Italian Civil Code – the Bank's share capital by issuing a maximum number of 2,230,000,000 ordinary shares, with no nominal value, with regular dividend rights and the same characteristics as the ordinary shares outstanding at the issue date (the "**Capital Increase Reserved to the Offer**"), functional and instrumental to the voluntary public exchange offer pursuant to and for the purposes of Articles 102 and 106, paragraph four, of the TUF (as defined below) and the applicable provisions implementing the Issuers' Regulations (as defined below), concerning all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**") announced on 24 January 2025 (the "**Offer**", including any and all amendments, supplements or permitted variations thereto).

For any information on the above item of the agenda, please refer to the following documentation in its entirety (including the annexes):

the Explanatory Report on item 1 of the agenda, extraordinary part, prepared by the Board of Directors pursuant to Article 125-*ter* of the TUF and Article 70 of the regulation adopted with Consob resolution No. 11971 of 14 May 1999 as subsequently amended (the "**Issuers' Regulation**"), made available to the public on 18 March 2025 (the "**Report**"); and

the information document prepared pursuant to Article 70, paragraph 6, of the Issuers' Regulations, in compliance with Scheme No. 3 of Annex 3B of the same Issuers' Regulations, made available to the public on 2 April 2025 (the "**Information Document**").

Terms used in this supplementary note that are not otherwise defined have the same meaning given to them in the Report or in the Information Document, where mentioned.

On 9 April 2025, the National Commission for Listed Companies and the Stock Exchange – Consob ("**Consob**") sent the Bank a request for disclosure of information pursuant to Article 114, paragraph 5, of the TUF, through which, for the purposes of a more complete evaluation of the aforementioned proposed

![](tm2518026d1_ex99-18img01.jpg)

resolution subject of the Shareholders' Meeting of 17 April 2025, has asked BMPS to publish, in the same manner as provided for the publication of the Report, by 9:00 a.m. on 14 April 2025, this supplementary note to the Report containing certain additional information.

The additional information requested by Consob is provided by the Bank in the order indicated by Consob in its request.

\* \* \* \*

**a)** **Threshold Condition and objectives of the integration** 

BMPS considers the potential transaction as a unique growth opportunity for both entities, capable of creating industrial value for all stakeholders to a greater extent than they could achieve by operating on an individual basis.

The objective of the Offer, in light of the Bank's future plans and programmes, is to acquire the entire share capital of Mediobanca favouring the objectives of full integration, growth and creation of synergies between BMPS and Mediobanca.

BMPS confirms the objective of holding a participation equal to at least 66.67% of the voting rights exercisable in the shareholders' meetings of Mediobanca, which also represents one of the conditions for the effectiveness of the Offer (the "**Threshold Condition**").

BMPS will make its own decisions regarding the fulfilment (or non-fulfilment) of the Threshold Condition under the terms that will be indicated in the offer document, without prejudice to BMPS' right to modify and/or waive – pursuant to the provisions of Article 43, paragraph 1, of the Issuers' Regulation – in whole or in part one or more of the Conditions of Effectiveness (including the Threshold Condition).

To this end, the authorization obtained from the Authorities<sup>1</sup> provides for the possibility to increase the share capital in one or more tranches for a total amount of Euro 13,194,910,000, in addition to any premium, with the issuance of a maximum number of 2,230,000,000 ordinary shares.

As of the date of this supplementary note, no circumstances have arisen that would alter the conditions expressed in the communication in accordance with Article 102 and consequently, no decision has been made by the competent bodies of BMPS in relation to the determination of a possible sub-threshold that cannot be waived for the purpose of the effectiveness of the Offer.

Also in light of the fact that, the acceptance period of the Offer will only commence following the obtaining of the Preliminary Authorisations (and the approval by Consob of the offer document), and therefore not immediately following the publication of this supplementary note, any decision regarding the identification of a possible sub-threshold will be made by the competent bodies of BMPS within the terms provided for in the communication pursuant to Article 102.

The cost and funding synergies, the expansion of revenue sources and related synergies, and the advantages deriving from the complementary nature of the business models of BMPS and Mediobanca, as well as the

<sup>1</sup> In this regard, it should be noted that, as communicated to the market on 8 April 2025, the Bank has received authorizations from the ECB (i) for the eligibility of the new shares issued as part of the Capital Increase Reserved to the Offer among BMPS' own funds as Common Equity Tier 1 capital, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, and (ii) for the amendments to the by-laws concerning the Delegation to the Board of Directors for the Capital Increase Reserved to the Offer, pursuant to Articles 56 and 61 of the TUB.

![](tm2518026d1_ex99-18img01.jpg)

strategic objectives of the Offer, will be achievable not only through the acquisition of legal control, but also in scenarios other than from the acquisition of legal control (*de facto* control), although with possible variations and delays in their implementation.

Reaching a threshold of at least 50% is what will enable the acceleration in the use of Deferred Tax Assets ("**DTA**") held by BMPS, leveraging a higher consolidated tax base, bringing the total of DTA to Euro 2.9 billion.

**b)** **Dilution of BMPS** **' share capital following the Capital Increase Reserved to the Offer** 

In the event that the Board of Directors fully exercise the Delegation, the Capital Increase Reserved to the Offer will consist of a maximum of 2,230,000,000 ordinary shares of BMPS (the "**Maximum Share Amount**") to be issued and paid up to BMPS by means of the contribution in kind of the shares of Mediobanca tendered in acceptance of the Offer.

For illustrative purposes only, it should be noted that, the Maximum Share Amount has been calculated according to a highly conservative approach which takes into account: (i) the proposed distribution of the BMPS' dividend for the financial year ended 31 December 2024, recently approved by the Board of Directors of BMPS and not yet approved by the BMPS' Shareholders' Meeting, and (ii) the maximum number of 16,178,862 Additional Shares to serve the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where provided for by the individual Plans, although some Plans provide for the possibility of using Mediobanca treasury shares in the portfolio instead of the Additional Shares). It should therefore be emphasized that, the Maximum Share Amount has been calculated without taking into account any additional circumstances that could lead to a reduction in the number of BMPS shares to be issued to serve the Offer (including, by way of example, any possible adjustments due to the detachment of the coupon and/or the payment of the interim dividend preannounced by Mediobanca on 10 February 2025, and/or the related balance and/or the possible cancellation of treasury shares by Mediobanca).

Upon completion of the Offer, and assuming that the Bank issues the entire Maximum Share Amount, estimated according to a highly conservative approach, the dilution for BMPS' shareholders would be equal to approximately 64%. Alternatively, in the event that the percentage of acceptances of the Offer is equal to the Threshold Condition (*i.e.*, 66.67% of Mediobanca's share capital), calculating the number of BMPS shares to be issued, always according to a highly conservative approach, the dilution for BMPS' shareholders would be equal to approximately 54%.

**c)** **BMPS** **' shareholding structure following the Capital Increase Reserved to the Offer** 

Based on the communications issued pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I of the Issuers' Regulation, as published on the Consob website, the shareholders who, as of today, hold more than 3% of the ordinary share capital with voting rights of BMPS are listed in the following tables.

![](tm2518026d1_ex99-18img01.jpg)

**BMPS** **' shareholding structure**

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| | | |
|:---|:---|:---|
| **Declarant or Subject at the Top<br> of the Ownership Chain** | **Direct Shareholder** | **% of Share Capital and Voting Rights<br> Participation** |
| &nbsp;&nbsp;Delfin S.A.R.L. | &nbsp;&nbsp;Delfin S.A.R.L. | &nbsp;&nbsp;9.780% |
| &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;Banco BPM S.p.A. | &nbsp;&nbsp;5.003% |
| &nbsp;&nbsp;Anima Holding S.p.A. | &nbsp;&nbsp;Anima Holding S.p.A. | &nbsp;&nbsp;3.992% |
| &nbsp;&nbsp;Ministero dell'Economia e delle Finanze | &nbsp;&nbsp;Ministero dell'Economia e delle Finanze | &nbsp;&nbsp;11.731% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Ausonia S.r.l. | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Esperia 15 S.r.l. | &nbsp;&nbsp;0.056% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;MK 87 S.r.l. | &nbsp;&nbsp;0.040% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Istituto Finanziario 2012 S.p.A. | &nbsp;&nbsp;0.556% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Gamma S.r.l. | &nbsp;&nbsp;0.992% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Azufin S.p.A. | &nbsp;&nbsp;1.191% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;VM 2006 S.r.l. | &nbsp;&nbsp;1.746% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Mantegna 87 S.r.l. | &nbsp;&nbsp;0.103% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Calt 2004 S.r.l. | &nbsp;&nbsp;0.127% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Finanziaria Italia 2005 S.r.l. | &nbsp;&nbsp;0.159% |
| &nbsp;&nbsp;Caltagirone Francesco Gaetano | &nbsp;&nbsp;Total | &nbsp;&nbsp;5.026% |

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**Mediobanca** **'s shareholding structure**

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| | | |
|:---|:---|:---|
| **Declarant or Subject at the<br> Top of the Ownership Chain** | **Direct Shareholder** | **% of Share Capital and Voting Rights<br> Participation** |
| Francesco Gaetano Caltagirone | Fincal S.p.A. | 1.880% |
| Francesco Gaetano Caltagirone | Istituto Finanziario 2012 S.p.A. | 3.203% |
| Francesco Gaetano Caltagirone | Gamma S.r.l. | 0.416% |
| Francesco Gaetano Caltagirone | Total | 5.499% |
| Delfin S.A.R.L. | Delfin S.A.R.L. | 19.390% |
| Banca Mediolanum S.p.A. | Mediolanum Vita S.p.A. | 0.741% |
| Banca Mediolanum S.p.A. | Banca Mediolanum S.p.A. | 2.602% |
| Banca Mediolanum S.p.A. | Total | 3.343% |

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![](tm2518026d1_ex99-18img01.jpg)

The percentages shown in the tables above, as published on the Consob's website and based on communications made by the shareholders pursuant to Article 120 of the TUF, may not be up to date and/or consistent with the data processed and published by other sources, in the event that subsequent changes in the shareholding have not triggered any disclosure obligations by the shareholders pursuant to Article 120 of the TUF.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of the issuance of the entire Maximum Share Amount and therefore in an extremely prudent scenario and according to a highly conservative approach that considers the items outlined in point b) above of this supplementary note. The table also shows the composition of BMPS' shareholding structure in the scenario where BMPS comes to hold a share capital interest of 66.67%, assuming that Mediobanca's major shareholders (those with interests exceeding 3% of the share capital) accept the Offer with all the shares held by them, directly or indirectly, in Mediobanca.

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| | | |
|:---|:---|:---|
| **Shareholder** | **Shareholding (assumption of 100%<br> acceptance)** | **Shareholding (assumption of<br> 66.67% acceptance)** |
| Delfin S.a.r.l. | 15.7% | 19.9% |
| Caltagirone Francesco Gaetano | 5.3% | 6.7% |
| Ministero dell'Economia e delle Finanze | 4.2% | 5.4% |
| Banca Mediolanum S.p.A. | 2.1% | 2.7% |
| Banco BPM S.p.A. | 1.8% | 2.3% |
| Anima Holding S.p.A. | 1.4% | 1.8% |
| Other shareholders | 69.5% | 61.2% |
| **Total** | **100%** | **100%** |

---

**d)** **Timing of cost and revenue synergies** 

The total synergies expected from the transaction, once fully operational, amount to approximately Euro 0.7 billion per year before tax, divided into revenue synergies (approximately Euro 0.3 billion), cost synergies (approximately Euro 0.3 billion), and funding synergies (approximately Euro 0.1 billion). The scaling-up process will follow a progressive logic, with the effect of synergies growing continuously until reaching full potential by 2028.

In particular, BMPS expects to achieve approximately 80% of the synergies in two years and to achieve the full benefits by the third year.

**e)** **Estimate of the economic impact connected to potential dyssynergies in the operational, organizational and governance areas concerned** 

The high level of complementarity of the two business models significantly reduces the transaction execution risks. The integration process is expected to proceed smoothly as it will require less effort than

![](tm2518026d1_ex99-18img01.jpg)

M&A transactions carried out between commercial banks involving highly overlapping business activities, where, for example, most of the expected synergies derive from the optimization of distribution networks.

The identity of each business will be preserved, allowing BMPS to promote an inclusive culture, offering managers and employees of each institution the opportunity to develop their careers within a larger and more competitive organization. BMPS believes it can retain and attract the best talent in all the markets where it operates, not only through ad hoc engagement actions, but also through initiatives to enhance talent and extensive opportunities for mutual enrichment, all in the interest of the new group that would report to BMPS, without cultural conflicts.

Also for this reason, the hypothetical "dyssynergies" resulting from the integration between the current MPS group and the current Mediobanca group will be minimal and in any case manageable. The relevant quantification, with particular reference to Mediobanca's Wealth Management and Corporate & Investment Banking divisions, which have relationship-based features, can be estimated in a range between Euro 15-20 million, equal to approximately 5%-7% of the expected revenue synergies, with therefore immaterial impacts on both profitability and prospective capital indicators.

**f)** **Effects of the acquisition of Mediobanca on the pro-forma Common Equity Tier 1 ratio as of 31 December** **2024** 

Below is an estimate of impacts of the envisaged transaction to acquire Mediobanca in different scenarios, based on public information and information made publicly available by Mediobanca.

The transaction would result in the following levels of fully loaded pro-forma consolidated CET1 ratio for the MPS Group as of 31 December 2024<sup>2</sup>:

16.2% in the event of acceptance of the Offer equal to 100%;

15.5% in the event of acceptance of the Offer equal to 66.67%.

The impact of the transaction on the CET1 ratio is mainly explained by the effect of (i) the capital increase, (ii) the goodwill relating to the transaction and to Mediobanca's investment in Generali, (iii) the intangibles identified in the preliminary PPA exercise, and (iv) the recognition of additional DTAs, bringing the total amount to approximately Euro 2.9 billion. In relation to the acceptance of the Offer scenario of 66.67%, the impact is also explained by the effect of minorities.

The above pro-forma CET1 ratios would benefit from a positive impact of over 50 bps if a treatment of the 13% investment in Generali were to be confirmed in line with the regulatory treatment currently adopted by Mediobanca.

For illustrative purposes only, BMPS expects the transaction to result in a level of fully loaded pro-forma consolidated CET1 ratio for the MPS Group as of 31 December 2024 of more than 15% also in the event of acceptance of the Offer equal to 50% +1.

**g)** **Impacts of the acquisition of Mediobanca on MREL ratios as of 31 December** **2024** 

<sup>2</sup> The pro-forma figures include the impacts of the preliminary Purchase Price Allocation (PPA) process, including any fair value adjustments.

![](tm2518026d1_ex99-18img01.jpg)

With regard to the impact on the MPS Group's MREL ratios (with reference to risk-weighted assets – RWA), considering a pro-forma scenario as of 31 December 2024, and assuming full computability of Mediobanca's eligible liabilities (for example through transactions to refinance maturing debt and appropriate liability management actions), in the 100% scenario, a positive impact of approximately 7 p.p. on the MREL TREA Overall coefficient, which would lead to a buffer of approximately 9 p.p.

One of the main characteristics of the aggregation between the current MPS group and the current group headed by Mediobanca is that the aggregation itself will lead to a single resolution group, with a Single Point of Entry<sup>3</sup>. In this regard, between the effective closing date of the transaction and the date of entry into force of the new combined MREL requirements, as defined by the Resolution Authorities (Single Resolution Board (SRB) and Bank of Italy) on the basis of the annual cycle of Resolution Planning<sup>4</sup>, the individual MREL requirements for each entity will continue to apply. The MPS Group will therefore initiate a dialogue with the Resolution Authority on the strategy to be adopted to ensure compliance with the new combined MREL requirements.

**h)** **Methods of using the market valuation of the investment in Assicurazioni Generali S.p.A. for the purposes of Mediobanca** **' s valuation analysis, and criteria for identifying the exchange ratio** 

<u>Market multiples method: market valuation for the investment in Assicurazioni Generali S.p.A.</u>

For the purposes of the Issuer's valuation analysis, since a significant part of the Issuer's profitability is generated by the qualified indirect investment in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company has its own market valuation, the following approach was adopted:

Mediobanca's prospective profit (based on the estimates of net profit from research analysts' consensus for 2025 and 2026, as provided by the info provider FactSet as of the Reference Date) was reduced by the amount relating to the contribution of Assicurazioni Generali (also based on the same source at the Reference Date), (the "**Prospective Profit Without Assicurazioni Generali**");

the average multiple of the companies belonging to the Mediobanca reference sample (Intesa Sanpaolo, UniCredit, Finecobank, Banca Generali and Banca Mediolanum) was applied to the Prospective Profit Without Assicurazioni Generali, obtaining a valuation of Mediobanca which thus excludes the valuation of the investment in Assicurazioni Generali (the "**Valuation Without Assicurazioni Generali**");

the market valuation of the investment in Assicurazioni Generali has been added to the Valuation Without Assicurazioni Generali (calculated by multiplying the market capitalization of Assicurazioni Generali as of 23 January 2025 by the stake held by Mediobanca, equal to 13.02% as of 30 June 2024), in order to obtain the overall valuation of Mediobanca (the "**Overall Valuation**").

<sup>3</sup> Resolution strategy managed by the Single Resolution Board (SRB) and defined by the guidelines of the Financial Stability Board (FSB) and EU law, in which only the entity subject to resolution, *i.e.*, the parent company, is directly subject to the resolution powers.

<sup>4</sup> Annual process divided into four stages that lead to the approval of the updated resolution plan for each bank under the responsibility of the SRB.

![](tm2518026d1_ex99-18img01.jpg)

<u>Market multiples method: use of a range of +/- 15% compared to the average value</u>

The interval used in relation to the market multiples method (P/E 2025 and P/E 2026), equal to +/- 15% with respect to the exchange ratio calculated on the Reference Date, was estimated taking into account the fluctuations of the ratio itself in the twelve months prior to the Reference Date.

In particular, in the aforementioned time period, the deviation from the average of the minimum/maximum of the exchange ratios is equal to +/- 12% using the P/E 2025 method and +/- 15% using the P/E 2026 method, respectively. Therefore, the interval applied in the methodology presented in the Illustrative Report of the Board of Directors (+/- 15%) reflects the wider value between the two aforementioned methods.

<u>Description of the criterion adopted to identify the exchange ratio</u>

The Board of Directors of MPS has identified an exchange ratio (MPS shares for each Mediobanca share) of 2.300x. This specific value was determined taking into account (i) the intervals identified through the application of the methodologies highlighted in the Explanatory Report of the Board of Directors, (ii) the overall characteristics of the transaction at stake, and (iii) the premium implicit in the exchange ratio that was chosen, even in light of points (i) and (ii) above, with respect to the official price of Mediobanca shares as of the Reference Date.

Lastly, it should be noted that, as already disclosed to the market, the company appointed to perform the statutory audit of MPS, PricewaterhouseCoopers S.p.A. ("**PwC**"), has prepared, on a voluntary basis and according to the criteria indicated in ISAE "3000 revised" – "limited assurance engagement", a report on the adequacy, in reasonable and non-arbitrary circumstances, in this case, of the criteria adopted by the Board of Directors itself to determine the exchange ratio in the voluntary exchange offer, compared to the evaluation practice and the applicable national and international professional technique for transactions of this nature. This report has been made available to the Shareholders' Meeting.

**i)** **Sensitivity analysis on scenarios of deviation of the unit price of BMPS shares** 

Sensitivity simulations were conducted to represent the effects of possible increases and decreases in the official price of BMPS shares recorded on 23 January 2025 (equal to Euro 6.953), in order to assess the impact on the amount of goodwill estimated in the pro-forma financial information.

The simulations<sup>5</sup>, developed on the basis of a preliminary purchase price allocation (PPA) exercise, show that an increase in the share price (+10%, corresponding to a price equal to Euro 7.648) would result in a corresponding increase in the value of the recorded goodwill (approximately Euro 1.6 billion), reflecting a greater differential between the cost of aggregation and the fair value of the net assets acquired.

On the contrary, in the event of a reduction in the share price (-10%, corresponding to a price equal to Euro 6.258), the cost of aggregation would be lower than the fair value of the net assets, resulting in badwill (approximately Euro 1.1 billion). In the scenario where the unit price of BMPS shares on 11 April 2025 is taken into account equal to Euro 6.128<sup>6</sup>, the badwill would be equal to approximately Euro 1.3 billion.

<sup>5</sup> The sensitivity simulations include the impacts of the preliminary Purchase Price Allocation (PPA) process, including any fair value adjustments.

<sup>6</sup> Source: FactSet VWAP.

![](tm2518026d1_ex99-18img01.jpg)

**j)** **Main financial and capital targets of the combined entity, with particular regard to the following indicators; CET1 ratio, MREL ratio, RoTE and payout ratio** 

The integration transaction between BMPS and Mediobanca represents an excellent accelerator for both companies, allowing them to anticipate the achievement of their industrial objectives by enhancing their respective complementarities.

With regard to the targets relating to the combined entity resulting from the possible acquisition of Mediobanca, it should be noted that, BMPS has not yet approved a new business plan that takes into account the acquisition of Mediobanca and that the plans for the combined entity resulting from the integration of the group headed by Mediobanca into the MPS Group will be approved only after completion of the Offer (following which BMPS will have greater visibility on the necessary elements) and according to a timeline yet to be defined.

Shareholders will benefit from an expected pro-forma RoTe of ~14%<sup>7</sup>, a sustainable dividend policy over time with a payout ratio of up to 100% of profit, while confirming BMPS' solid capital position (pro-forma Common Equity Tier 1 ratio higher than 16% upon completion of the transaction, compared to an appetite currently at 14%). In terms of MREL requirements of the combined entity, an adequate buffer will be defined with respect to the requirements defined by the Resolution Authority, equal to at least 3 percentage points.

**k)** **Considerations on the execution of the 2024-2028 Business Plan** 

The 2024-2028 Business Plan, prepared on a stand-alone basis, is currently being successfully implemented, but remains valid and achievable even in the absence of the completion of the Offer.

As with any Business Plan, the assumptions made are based on future scenarios, expectations, projections and estimates that are by their very nature subject to a certain degree of uncertainties, even beyond BMPS' control, and that, if adverse, could affect the achievement of certain objectives.

<sup>7</sup> Assuming run-rate synergies, tangible equity adjusted for DTAs and excess capital at a ratio of 14%.

![](tm2518026d1_ex99-18img01.jpg)

\* \* \*

The voluntary public exchange offer referred to in this supplementary note to the Report shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni.

This supplementary note to the Report does not constitute an offer to buy or sell the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni.

Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni shall carefully examine.

The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This supplementary note to the Report, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.

IMPORTANT INFORMATION

![](tm2518026d1_ex99-18img01.jpg)

In connection with the proposed voluntary public exchange offer, the required offer document will be sent to the National Commission for Listed Companies and the Stock Exchange – Consob ("**Consob**"). **Investors and shareholders of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document, at Banca Monte dei Paschi di Siena S.p.A.'s website at <u>www.gruppomps.it/en/</u> and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.

This Report does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this supplementary note to the Report may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.

The Banca Monte dei Paschi di Siena S.p.A. shares referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.

## Exhibit 99.11

**Exhibit 99.11**

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail***

![](tm2518026d1_ex99-11img001.jpg)

**INFORMATION DOCUMENT PURSUANT TO ARTICLE 70 OF THE ISSUERS'**

**REGULATION**

**Extraordinary Shareholders'** **Meeting of 17 April 2025**

(Delegation to the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. to increase the share capital, with the exclusion of the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code, to serve the voluntary totalitarian public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A. relating the ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni)

Prepared pursuant to Article 70, paragraph 6, of the Issuers' Regulation approved by Consob with

Resolution No. 11971 of 14 May 1999, and subsequent amendments, in accordance with Schedule No. 3

of Annex 3B to the same Issuers' Regulation.

This information document has been made available to the public at the registered office of Banca Monte dei Paschi di Siena S.p.A., on the company's website (*<u>https://www.gruppomps.it/en/</u>* in the "*Corporate Governance" – "Shareholders' Meeting and BoD"* section), as well as on the authorized storage mechanism "*eMarketSTORAGE*" at *<u>www.emarketstorage.com</u>*.

2 April 2025

**Table of Contents**

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| | | | | |
|:---|:---|:---|:---|:---|
| PRO-FORMA CONSOLIDATED FINANCIAL INFORMATION AND SUMMARY DATA PER BMPS SHARE AS OF 31 DECEMBER 2024 | PRO-FORMA CONSOLIDATED FINANCIAL INFORMATION AND SUMMARY DATA PER BMPS SHARE AS OF 31 DECEMBER 2024 | PRO-FORMA CONSOLIDATED FINANCIAL INFORMATION AND SUMMARY DATA PER BMPS SHARE AS OF 31 DECEMBER 2024 | PRO-FORMA CONSOLIDATED FINANCIAL INFORMATION AND SUMMARY DATA PER BMPS SHARE AS OF 31 DECEMBER 2024 | 4 |
| 1. | WARNINGS | WARNINGS | WARNINGS | 16 |
|  | A. | Risks related to the Transaction | Risks related to the Transaction | 16 |
| 2. | INFORMATION RELATED TO THE TRANSACTION | INFORMATION RELATED TO THE TRANSACTION | INFORMATION RELATED TO THE TRANSACTION | 31 |
|  | 2.1 | Description of the features, methods, terms, and conditions of the Transaction | Description of the features, methods, terms, and conditions of the Transaction | 31 |
|  |  | 2.1.1 | Description of the company subject of the Transaction | 31 |
|  |  | 2.1.2 | Description of the terms and conditions of the Transaction | 32 |
|  |  | 2.1.3 | Capital Increase Reserved to the Offer | 34 |
|  |  | 2.1.4 | Offer Consideration | 36 |
|  |  | 2.1.5 | Criteria Followed for Determining the Consideration | 37 |
|  |  | 2.1.6 | Funding methods for the Offer | 42 |
|  |  | 2.1.7 | BMPS' Shareholding Structure | 42 |
|  | 2.2 | Rationale and purpose of the Transaction | Rationale and purpose of the Transaction | 44 |
|  |  | 2.2.1 | Rationale and purpose of the Transaction and BMPS' management objectives | 44 |
|  |  | 2.2.2 | Programs developed by BMPS and business prospects related to the Potential Acquisition | 45 |
|  | 2.3 | Relations with the company subject to the Transaction and with the parties from/to whom activities have been acquired/disposed or received as contribution | Relations with the company subject to the Transaction and with the parties from/to whom activities have been acquired/disposed or received as contribution | 48 |
|  |  | 2.3.1 | Relevant relations maintained by BMPS, directly or indirectly through subsidiaries, with the company subject to the Transaction | 48 |
|  |  | 2.3.2 | Relevant relations and agreements between BMPS, its controlled companies, executives, and members of BMPS' board of directors, and the parties from/to whom activities have been acquired/disposed or received as contribution | 49 |
|  | 2.4 | Documents available to the public | Documents available to the public | 49 |
| 3. | RELEVANT EFFECTS OF THE TRANSACTION | RELEVANT EFFECTS OF THE TRANSACTION | RELEVANT EFFECTS OF THE TRANSACTION | 50 |
|  | 3.1 | Any relevant effects of the Transaction on the key factors that influence and characterize BMPS' activities, as well as on the nature of the business conducted by BMPS itself | Any relevant effects of the Transaction on the key factors that influence and characterize BMPS' activities, as well as on the nature of the business conducted by BMPS itself | 50 |
|  | 3.2 | Consequences of the Transaction on the strategic programs concerning commercial, financial, and centralized service relations between the companies of the MPS Group | Consequences of the Transaction on the strategic programs concerning commercial, financial, and centralized service relations between the companies of the MPS Group | 50 |
| 4. | CONSOLIDATED INCOME STATEMENT, BALANCE SHEET AND FINANCIAL DATA RELATING TO THE MEDIOBANCA GROUP | CONSOLIDATED INCOME STATEMENT, BALANCE SHEET AND FINANCIAL DATA RELATING TO THE MEDIOBANCA GROUP | CONSOLIDATED INCOME STATEMENT, BALANCE SHEET AND FINANCIAL DATA RELATING TO THE MEDIOBANCA GROUP | 51 |
|  | 4.1 | Income statement, balance sheet, and financial data relating to the Mediobanca Group | Income statement, balance sheet, and financial data relating to the Mediobanca Group | 51 |
|  |  | 4.1.1 | Comparative table of reclassified balance sheets and income statements for the last two financial years of the Mediobanca Group | 51 |

---

4.1.2 Comparative table of reclassified balance sheets and income statements for the first half of the current financial year of the Mediobanca Group 53

5. PRO-FORMA INCOME STATEMENT, BALANCE SHEET AND FINANCIAL DATA OF BMPS 57

5.1 Introduction 57

5.2 Pro-forma balance sheet and income statement 58

5.2.1 Preparation Criteria 58

5.2.2 Sources of the used data 60

5.2.3 Presentation of the Pro-Forma Consolidated Financial Information 61

5.2.4 Explanatory notes for the preparation of the Pro-Forma Consolidated Financial Information 67

5.3 Pro-Forma indicators for BMPS share 72

5.3.1 Historical and Pro-Forma data per share 72

5.3.2 Notes on significant changes in data per share 73

5.4 Auditor's report on pro-forma economic, financial, and asset data 73

6. PROSPECTS OF BMPS AND THE RELEVANT GROUP 75

6.1 General indications on the performance of BMPS from the end of the financial year to which the latest published financial statements refer 75

6.2 Information elements in relation to the reasonable forecast of the results of the current financial year 75

**PRO-FORMA CONSOLIDATED FINANCIAL INFORMATION AND SUMMARY DATA PER BMPS SHARE AS OF 31 DECEMBER 2024**

The tables below summarize the historical and pro-forma consolidated economic and financial data related to the Offer (as defined below).

Since these representations are based on assumptions, it is necessary to consider that, had the Offer actually been executed on the reference dates used for the preparation of the relevant Pro-Forma Consolidated Financial Information (as defined below), such figures might not match with the pro-forma data reported below. The Pro-Forma Consolidated Financial Information does not represent prospective data, nor is it intended to provide a forecast of future data for the MPS Group, as it has been prepared solely to represent the potentially separable and objectively measurable effects of the Potential Acquisition (as defined below) on the reference dates, without considering any changes in management policies or operational decisions resulting from the Transaction (as defined below).

In accordance with Annex 20 of Commission Delegated Regulation (EU) 2019/980, supplemented by the guidelines on disclosure requirements under the Prospectus Regulation (32-382-1138) published by ESMA, and considering Consob Communication No. DEM/1052803 of 5 July 2001, the pro-forma data do not include either the costs or the synergies arising from the Potential Acquisition, as such effects depend on future actions and potential agreements that will only be finalized after completion of the Transaction.

The summary information provided below has been extracted from the Pro-Forma Consolidated Financial Information of the MPS Group, prepared on the basis of:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the consolidated financial statements of the
MPS Group as of 31 December 2024, prepared in compliance with the IAS/IFRS accounting standards, approved by the Board of Directors of
BMPS on 6 March 2025 and audited by PricewaterhouseCoopers S.p.A. ()"**PwC** "),
which issued its audit report without modifications on 24 March 2024 (the "**2024 Consolidated Financial Statements** ");

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the consolidated financial statements of the Mediobanca Group as of 30 June 2024, prepared in compliance
with the IAS/IFRS international accounting standards, approved by the Board of Directors of Mediobanca on 19 September 2024 and audited
by EY S.p.A., which issued its audit report without modifications on 25 September 2024;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) the condensed consolidated half-year financial statements of the Mediobanca Group as of 31 December 2024
and 31 December 2023, prepared in accordance with IAS/IFRS international accounting standards, in particular IAS 34 relating to interim
financial statements, and approved by the Board of Directors of Mediobanca on 10 February 2025 and on 8 February 2024, respectively. The
condensed consolidated half-year financial statements were subject to a limited review by the auditing firm EY S.p.A., which issued its
review reports without modifications on 11 February 2025 and on 9 February 2024, respectively.

For a description of the methodological assumptions used for the preparation of the Pro-Forma Consolidated Financial Information of the Group, please refer to Paragraph 5.2.4 (Explanatory Notes for the Preparation of the Pro-Forma Consolidated Statements).

*(millions of Euros)*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Asset Items** | **MPS Group as of <br> 31 December <br> 2024** | **MPS Group as of <br> 31 December <br> 2024** | **Mediobanca Group as <br> of 31 December 2024** | **Mediobanca Group as <br> of 31 December 2024** | **Pro-Forma <br> BMPS- <br> Mediobanca** | **Pro-Forma <br> BMPS- <br> Mediobanca** |
| 10. Cash and cash equivalents |  | 13250 |  | 2086 |  | 15336 |

---

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| | | | |
|:---|:---|:---|:---|
| 20. Financial assets at fair value through profit or loss | 6533 | 16315 | 22829 |
| a) financial assets held for trading | 6077 | 14638 | 20696 |
| b) designated financial assets at fair value |  | 1022 | 1022 |
| c) other financial assets compulsorily measured at fair value | 456 | 655 | 1111 |
| 30. Financial assets measured at fair value through other comprehensive income | 2337 | 6636 | 8964 |
| 40. Financial assets measured at amortised cost | 90526 | 66810 | 157332 |
| a) loans to banks | 3366 | 5574 | 8936 |
| b) loans to customers | 87160 | 61236 | 148396 |
| 50. Hedging derivatives | 94 | 233 | 327 |
| 60. Value adjustment of financial assets subject to macro-hedging (+/-) | (412) |  | (412) |
| 70. Equity investments | 672 | 4092 | 6768 |
| 90. Tangible assets | 2109 | 578 | 2687 |
| 100. Intangible assets | 156 | 1061 | 156 |
| – of which: Goodwill | 8 | 834 | 8 |
| 110. Tax assets | 2537 | 452 | 2999 |
| a) current | 104 | 143 | 257 |
| b) deferred | 2433 | 309 | 2742 |
| 120. Non-current assets and groups of assets held for sale | 1129 |  | 1129 |
| 130. Other assets | 3671 | 1649 | 5311 |
| Goodwill from transaction | - | - | 1148 |
| **Total assets** | **122602** | **99912** | **224574** |

---

*(millions of Euros)*

---

| | | | |
|:---|:---|:---|:---|
| **Liabilities and net equity items / values** | **MPS Group as of <br> 31 December 2024** | **Mediobanca Group as <br> of 31 December 2024** | **Pro-Forma BMPS- <br> Mediobanca** |
| 10. Financial liabilities measured at amortised cost | 102751 | 71607 | 174326 |
| a) amounts due to banks | 9811 | 11596 | 21403 |
| b) amounts due to customers | 82632 | 33428 | 116060 |
| c) outstanding bonds | 10308 | 26583 | 36863 |
| 20. Financial liabilities held for trading | 2606 | 9095 | 11701 |

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| | | | |
|:---|:---|:---|:---|
| 30. Financial liabilities designated at fair value | 120 | 4719 | 4839 |
| 40. Hedging derivatives | 358 | 1111 | 1469 |
| 50. Value adjustment of financial liabilities subject to macro-hedging (+/-) | (1) |  | (1) |
| 60. Tax liabilities | 6 | 535 | 541 |
| a) current | 1 | 152 | 153 |
| b) deferred | 5 | 383 | 388 |
| 70. Liabilities associated with assets held for sale | 977 |  | 977 |
| 80. Other liabilities | 3132 | 1290 | 4511 |
| 90. Employees' severance indemnity | 70 | 20 | 90 |
| 100. Provisions for risks and charges: | 934 | 129 | 1063 |
| a) commitments and guarantees issued | 150 | 22 | 172 |
| b) retirement and similar obligations | 3 | 1 | 4 |
| c) other provisions for risks and charges | 781 | 106 | 887 |
| 110. Insurance liabilities |  | 85 | 85 |
| a) insurance contracts issued which constitute liabilities |  | 85 | 85 |
| b) reinsurance transfers that constitute liabilities |  |  |  |
| Group Net Equity (1) | 11649 | 11265 | 24887 |
| 190. Third-party assets (+/-) | - | 86 | 86 |
| **Total liabilities and net equity** | **122602** | **99912** | **224574** |

---

*(1)* *The item " Group net equity " is a combination of the following items: " 120. Valuation reserves " , " 130. Redeemable shares " , " 140. Equity instruments " , " 150. Reserves " , " 160. Share premium reserves " , " 170. Capital " , " 180. Treasury shares " and " 200. Profit (Loss) for the period (+/-) " .* 

*(millions of Euros)*

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| | | | |
|:---|:---|:---|:---|
| **Consolidated income statement** | **MPS Group year<br> ended on 31<br> December 2024** | **Mediobanca Group 12-<br> month period<br> ended on 31<br> December 2024<br> (\*)** | **Pro-Forma<br> BMPS-<br> Mediobanca** |
| 10. Interest receivable and similar income | 4678 | 4032 | 8709 |
| of which interest receivable calculated using the effective interest method | 3845 | 3328 | 7173 |
| 20. Interest payable and similar charges | (2357) | (2154) | (4510) |
| **30. Interest margin** | **2321** | **1878** | **4199** |
| 40. Commission income | 1688 | 1138 | 2791 |
| 50. Commission expense | (233) | (195) | (393) |

---

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| | | | |
|:---|:---|:---|:---|
| **60. Net commissions** | **1455** | **943** | **2398** |
| 70. Dividends and similar income | 23 | 162 | 185 |
| 80. Net trading income | 128 | 91 | 219 |
| 90. Net hedging income | (1) | 11 | 10 |
| 100. Profits (losses) from sale or repurchase of: | (9) | 18 | 9 |
| a) financial assets measured at amortised cost | (8) | (8) | (16) |
| b) financial assets measured at fair value through other comprehensive income |  | 27 | 27 |
| (c) financial liabilities | (1) | (1) | (2) |
| 110. Net result of other financial assets and liabilities measured at fair value through profit or loss | (10) | (70) | (80) |
| a) designated financial assets and liabilities at fair value | 1 | (89) | (88) |
| b) other financial assets compulsorily measured at fair value | (11) | 19 | 8 |
| **120. Gross operating margin** | **3907** | **3033** | **6940** |
| 130. Net value adjustments/write-backs for credit risk of: | (407) | (241) | (648) |
| a) financial assets measured at amortised cost | (406) | (243) | (649) |
| b) financial assets measured at fair value through other comprehensive income | (1) | 2 | 1 |
| 140. Profits/losses from contractual changes without cancellations | (10) |  | (10) |
| **150. Net financial result** | **3490** | **2792** | **6282** |
| 160. Result of insurance services | **-** | 21 | 21 |
| a) insurance revenues deriving from insurance contracts issued | **-** | 33 | 33 |
| b) costs for insurance services deriving from insurance contracts issued | **-** | (12) | (12) |
| c) insurance revenues deriving from reinsurance transfers | **-** | **-** | **-** |
| 170. Balance of revenues and financial costs related to insurance management | **-** | **-** | **-** |
| a) net financial costs/revenues relating to insurance contracts issued | **-** | **-** | **-** |
| b) net financial revenues/costs relating to reinsurance transfers | **-** | **-** | **-** |
| **180. Net result of financial and insurance operations** | **3490** | **2813** | **6303** |
| 190. Administrative expenses: | (2073) | (1616) | (3713) |
| a) personnel expenses | (1248) | (846) | (2094) |
| b) other administrative expenses | (825) | (770) | (1619) |

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| | | | |
|:---|:---|:---|:---|
| 200. Net provisions for risks and charges: | (64) | (11) | (75) |
| a) commitments and guarantees issued | 4 | (2) | 2 |
| b) other net provisions | (68) | (9) | (77) |
| 210. Net adjustments/write-backs on tangible assets | (101) | (76) | (177) |
| 220. Net adjustments/ write-backs on intangible assets | (68) | (80) | (148) |
| 230. Other operating income/expenses | 231 | 220 | 451 |
| **240. Operating costs** | **(2075)** | **(1563)** | **(3662)** |
| 250. Profits (Losses) on equity investments | 74 | 522 | 596 |
| 260. Net result from fair value evaluation of tangible and intangible assets | (27) |  | (27) |
| 270. Goodwill value adjustments |  |  |  |
| 280. Profits (Losses) on disposal of investments | 3 |  | 3 |
| **290. Profit (Loss) from current operations before tax** | **1465** | **1772** | **3213** |
| 300. Income taxes on profit from continuing operations | 508 | (448) | 46 |
| **310. Profit (Loss) from continuing operations net of taxes** | **1973** | **1324** | **3259** |
| 320. Profit (Loss) from discontinued operations net of taxes | (22) |  | (22) |
| **330. Operating Profit (Loss)** | **1951** | **1324** | **3237** |
| 340. Operating Profit (Loss) pertaining to third parties |  | 2 | 2 |
| **350. Parent Company Operating Profit (Loss)** | **1951** | **1322** | **3235** |

---

*(\*) Consolidated income statement of the Mediobanca Group for the 12-month period ended on 31 December 2024, determined on the basis of the consolidated income statements resulting from the consolidated financial statements as of 30 June 2024 and the condensed half-year financial statements as of 31 December 2023 and 2024, as the closing date of the Mediobanca' s financial year is 30 June.*

*(millions of Euros)*

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| | | | | |
|:---|:---|:---|:---|:---|
| **Pro-Forma Indicators per share** | **Historical data of<br> BMPS as of 31<br> December 2024** | **Historical data of<br> Mediobanca** |  | **Pro-Forma data of<br> BMPS- <br> Mediobanca as of <br> 31 December 2024** |
| Net profit per share | 1.549 | 1.540 | (\*) | 1.018 (a) |
| Diluted net profit per share | 1.549 | 1.528 | (\*) | 1.018 (a) |
| Net Equity per share | 9.247 | 13.665 | (\*\*) | 7.836 |

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*(\*) The data is extracted from the consolidated financial statements of Mediobanca Group as of 30 June 2024.*

*(\*\*) The data is calculated based on the information in Mediobanca Group' s condensed consolidated half-year financial statements as of 31 December 2024.*

*(a) The pro-forma data of the net economic results per share include a non-recurring component (Euro 987.5 million referring to the revaluation of BMPS deferred tax assets as of 31 December 2024) and do not factor in the synergies that will derive from the Potential Acquisition, therefore proving to be not particularly significant.*

**DEFINITIONS**

Below is a list of the definitions used within this Informational Document, in addition to those indicated in the text. These definitions, unless otherwise specified, have the meanings indicated below. It should be noted that, for the definitions listed below, whenever the context requires, the singular form includes the plural form and vice versa.

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| | |
|:---|:---|
| **Participants** | The holders of the Shares Subject to the Offer who are entitled to participate to the Offer and have validly tendered the Shares Subject to the Offer in accordance with the Offer Document. |
| **Maximum Share Amount** | The maximum 2,230,000,000 BMPS Shares, with regular dividend rights and having the same features as those outstanding at the issue date, which will be issued in the context of the Capital Increase Reserved to the Offer in exchange for the contribution in kind of the Shares Subject to the Offer tendered in acceptance of the Offer. |
| **BMPS Extraordinary Shareholders' Meeting** | The shareholders' meeting of the Bank convened on 17 April 2025 for the granting of the Delegation to the Board of Directors of BMPS for the execution of the Capital Increase Reserved to the Offer. |
| **Capital Increase Reserved to the Offer** | The paid share capital increase of BMPS reserved to the Offer, in divisible form and also in one or more tranches, to be paid-in through (and in exchange for) the contribution in kind of Mediobanca Shares (and any Additional Shares) tendered in acceptance of the Offer (or otherwise transferred to MPS in execution of the procedure for the fulfilment of the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, where applicable), therefore excluding the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code, which will be resolved by the Bank's Board of Directors in exercising the Delegation, whether granted by the BMPS Extraordinary Shareholders' Meeting on 17 April 2025, pursuant to Article 2443 of the Italian Civil Code – to be executed through the issuance of a maximum of 2,230,000,000 BMPS Shares, to be paid-in through the contribution in kind of the Shares Subject to the Offer tendered in acceptance of the Offer. |
| **Additional Shares** | No. 16,178,862 shares that may be issued by Mediobanca to serve the Incentive Plans in favour of the beneficiaries of the Incentive Plans themselves prior to completion of the Offer, in the event that they are revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Incentive Plans. |

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| | |
|:---|:---|
| **BMPS Shares** | The maximum of No. 2,230,000,000 newly issued ordinary shares of BMPS resulting from the Capital Increase Reserved to the Offer, without nominal value, with regular dividend rights, and having the same features as the ordinary BMPS Shares outstanding at the issue date, which will be listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A., offered in exchange to the Participants based on the Exchange Ratio. |
| **Mediobanca Shares** | The No. 833,279,689 ordinary shares, without nominal value and admitted to trading on Euronext Milan, representing, as of the date of the Information Document, the entirety of the share capital of Mediobanca. |
| **Treasury Shares** | The treasury shares of Mediobanca, which as of the Information Document Date amount to No. 18,820,138 treasury shares, equal to approximately 2.3% of the share capital of Mediobanca. |
| **Shares Subject to the Offer** | Each of the Mediobanca Shares (including the Treasury Shares) and the Additional Shares (in the event that they are issued), amounting to a total of No. 849,458,551 ordinary shares of Mediobanca, representing its entire share capital. |
| **Bank** or **BMPS** or **Offeror** | Banca Monte dei Paschi di Siena S.p.A., with registered office in Siena, Piazza Salimbeni No. 3, registration number at the Companies' Register of Arezzo – Siena and Tax Code no. 00884060526. |
| **European Central Bank** or **ECB** | The European Central Bank, with headquarters in Frankfurt (Germany), Sonnemannstrasse No. 20. |
| **Bank of Italy** | The Bank of Italy, with headquarters in Rome, Via Nazionale No. 91. |
| **Borsa Italiana** | Borsa Italiana S.p.A., the company that organizes and manages the regulated market Euronext Milan, with registered office in Milan, Piazza degli Affari No. 6. |
| **Italian Civil Code** | The Italian Civil Code, approved by Royal Decree No. 262 of March 1942, as subsequently amended and supplemented. |
| **Committee for Related Party Transactions** or **Committee** | The Committee for Related Party Transactions of BMPS. |
| **Offeror's Communication** | The notice by BMPS pursuant to Articles 102, paragraph 1, of the TUF, and 37, paragraph 1, of the Issuers' Regulation, disseminated on the Announcement Date and published on BMPS' website. |

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| | |
|:---|:---|
| **Conditions of Effectiveness** | The conditions described in Section 1, Paragraph A.1 of this Information Document, upon whose fulfilment (or waiver by BMPS, of all or some of them, if provided) completion of the Offer is conditional. |
| **Board of Directors** | The Board of Directors of BMPS in office as of the date of this Information Document. |
| **Consob** | The National Commission for Listed Companies and the Stock Exchange, with headquarters in Rome, Via G.B. Martini No. 3. |
| **Consideration** | The unitary consideration that will be paid by BMPS to the Participants for each Mediobanca Share (and/or Additional Share) tendered in acceptance of the Offer, equal to the Exchange Ratio. |
| **Full Cash Consideration** | The cash consideration referred to in Article 50-*ter* of the Issuers' Regulation, which will be offered by BMPS, as an alternative to the Consideration, in the event that, within the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF and/or the Joint Procedure, one or more shareholders of Mediobanca request, pursuant to Article 108, paragraph 5, of the TUF, the payment of a full cash consideration, which will be determined: (i) by valuing the BMPS Shares based on the weighted average of the official prices recorded in the five Open Market Days preceding the Consideration Payment Date, in the event that, within the Sell-Out pursuant to Article 108, paragraph 1, of the TUF or the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the purchase price of the Shares Subject to the Offer is equal to the Consideration pursuant to Article 108, paragraph 3, of the TUF and Article 50-*ter* of the Issuers' Regulation; or (ii) in an amount equal to the monetary valuation made by Consob, in the event that, within the Sell-Out pursuant to Article 108, paragraph 1, of the TUF or the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, the purchase price of the Shares Subject to the Offer is determined by Consob pursuant to Article 108, paragraph 4, of the TUF and Articles 50 and 50-*bis* of the Issuers' Regulation. |
| **Information Document Date** | 2 April 2025, *i.e.*, the date of publication of the Information Document. |
| **Announcement Date** | 24 January 2025, the date on which the Offeror's Communication was disseminated. |

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| | |
|:---|:---|
| **Payment Date** | The date on which the Consideration will be paid to the Participants for each Share Subject to the Offer tendered in acceptance of the Offer and on which the transfer of the Shares Subject to the Offer to BMPS will take place, subject to the provisions relating to any Fractional Share and the corresponding payment of the Cash Amount of the Fractional Share. |
| **Delegation** | The delegation for the Capital Increase Reserved to the Offer that will be granted to the Board of Directors of BMPS by the Extraordinary Shareholders' Meeting of BMPS on 17 April 2025, pursuant to Article 2443 of the Italian Civil Code. |
| **Delisting** | The delisting of the Shares Subject to the Offer from trading on Euronext Milan. |
| **Squeeze-Out** | The right of BMPS to purchase the remaining Shares Subject to the Offer, pursuant to Article 111, paragraph 1, of the TUF, in the event that BMPS were to hold – as a result of acceptances of the Offer and/or purchases potentially made outside the Offer itself in accordance with applicable regulations, during the Acceptance Period, as possibly extended, and/or during any reopening of the terms, as well as during, and/or following, the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF – a total participation of at least 95% of Mediobanca's share capital. |
| **Offer Document** | The document prepared by BMPS pursuant to Articles 102 et seq. of the TUF, as well as the applicable provisions of the Issuers' Regulation, in relation to the Offer, filed with Consob pursuant to Article 102, paragraph 3, of the TUF, for the purpose of obtaining Consob's approval. This document will be made available to the public in accordance with the terms and methods provided by the current regulations, once Consob's approval has been obtained. |
| **Information Document** | This information document prepared pursuant to Article 70, paragraph 6, of the Issuers' Regulation, in accordance with Schedule no. 3 of Annex 3B to the same Issuers' Regulation. |
| **Euronext Milan** | The Italian regulated market named Euronext Milan, organized and managed by Borsa Italiana S.p.A. |
| **Trading Day** | Each day on which the Italian regulated markets are open according to the trading calendar established annually by Borsa Italiana S.p.A. |

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| | |
|:---|:---|
| **Mediobanca Group** | The "Mediobanca Banking Group" registered in the Register of Banking Groups with the number 10631, headed by Mediobanca. |
| **MPS Group** | The "Monte dei Paschi di Siena Banking Group" registered in the Register of Banking Groups with the number 1030, headed by BMPS. |
| **Mediobanca** | MEDIOBANCA – Banca di Credito Finanziario Società per Azioni, an Italian joint-stock company, with registered office in Milan, Piazzetta Enrico Cuccia, 1, Registration number at the Milan Companies' Register of Milan and Tax Code No. 00714490158, listed in the Register of Banks held by the Bank of Italy under number 4753, mechanographic code 10631 and, as the parent company of the Mediobanca Banking Group, in the Register of Banking Groups under number 10631, and a member of the Interbank Deposit Protection Fund (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*). |
| **Sell-Out pursuant to Article 108, paragraph 1, of the TUF** | The obligation of BMPS to purchase the remaining Shares Subject to the Offer from those who request it, pursuant to Article 108, paragraph 1, of the TUF, in the event that BMPS were to hold – as a result of acceptances of the Offer, and/or purchases potentially made outside the Offer itself in accordance with applicable regulations during the Acceptance Period, as possibly extended, and/or during any reopening of the terms, as well as during, and/or as a result of, the procedure for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF – a total stake of at least 95% of Mediobanca's share capital. |
| **Sell-Out pursuant to Article 108, paragraph 2, of the TUF** | The obligation of BMPS to purchase the remaining Shares Subject to the Offer from those who request it, pursuant to Article 108, paragraph 2, of the TUF, in the event that BMPS were to hold – as a result of acceptances of the Offer and/or purchases potentially made outside the Offer itself in accordance with applicable regulations during the Acceptance Period, as possibly extended, and/or during any reopening of the terms – a total stake exceeding 90% but less than 95% of Mediobanca's share capital. |
| **Offer** or **Transaction** | The voluntary totalitarian public exchange offer concerning the Mediobanca Shares and any Additional Shares, promoted by BMPS pursuant to Articles 102 and 106, paragraph 4, of the TUF, as well as the applicable implementing provisions contained in the Issuers' Regulation. |

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| | |
|:---|:---|
| **Fractional Share** | The fractional share of decimal numbers resulting from the application of the Exchange Ratio to the Shares Subject to the Offer tendered in acceptance of the Offer by individual Participants. |
| **Acceptance Period** | The period for acceptance of the Offer, which will be agreed upon with Borsa Italiana and indicated in the Offer Document, as possibly extended in accordance with applicable regulations. |
| **Incentive Plans** | The following long-term share-based incentive plans – which may be served, in whole or in part, by newly issued Mediobanca shares – approved by Mediobanca and currently in place:<br>– 2015 Performance Shares Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2015 (and updated by the ordinary shareholders' meeting on 28 October 2019);<br>– 2019-2023 Long Term Incentive Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2019;<br>– 2023-2026 Long Term Incentive Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023; and<br>– 2023-2026 Broad-based Share Ownership and Co- investment Plan, approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023. |
| **Potential Acquisition** | The acquisition of Mediobanca by BMPS in the event of the success of the Offer. |
| **Joint Procedure** | The joint procedure for (i) complying with the Sell-Out pursuant to Article 108, paragraph 1, of the TUF and (ii) exercising the Squeeze-Out, agreed upon with Consob and Borsa Italiana pursuant to Article 50-*quinquies*, paragraph 1, of the Issuers' Regulation. |
| **Exchange Ratio** | The ratio of 2.300 BMPS Shares for each Share Subject to the Offer, as described in the Offeror's Communication. |
| **BMPS Regulation** | The "*Group Regulation on the management of prescriptive compliance with related parties, related subjects and Bank officers' obligations*" adopted by the Board of Directors of BMPS and in force as of the Information Document Date. |
| **Issuers' Regulation** | The Regulation adopted by Consob by resolution No. 11971 of 14 May 1999 as subsequently amended and integrated. |

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| | |
|:---|:---|
| **RPT Regulation** | The Regulation containing provisions on transactions with related parties adopted by Consob with resolution No. 17221 of 12 March 2010, as subsequently amended and supplemented. |
| **TUB** | The Legislative Decree No. 385 of 1 September 1993 as subsequently amended and supplemented. |
| **TUF** | The Legislative Decree No. 58 of 24 February 1998 as subsequently amended and supplemented. |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.** **WARNINGS** 

To ensure a proper assessment of the Capital Increase Reserved to the Offer, subject to Delegation to the Board of Directors of BMPS, recipients of this Information Document are advised to carefully evaluate the risk factors or uncertainties associated with the Offer.

Below is a summary of the main risk factors and uncertainties related to the Offer that, as of the Information Document Date, are significant for the Bank and its business.

The risk factors or uncertainties outlined below should be read together with the other information included in the Information Document.

**A. Risks related to the Transaction**

On 23 January 2025, the Board of Directors of BMPS (having obtained the favourable, reasoned and binding opinion of the Committee for Related Party Transactions, issued on the same date and made available by in the manner and within the timeframe prescribed by applicable laws), resolved to promote the Offer pursuant to Articles 102 and 106, paragraph 4, of the TUF, concerning all the ordinary shares issued by Mediobanca, including the Treasury Shares held by Mediobanca itself.

The Offer was announced to the market and to Consob on 24 January 2025 by means of the Offeror's Communication and by means of a specific press release disseminated pursuant to Article 17 of Regulation (EU) No. 596/2014 (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*<u>)</u>.

Subject to the specifications below, as Consideration for the Offer, the Offeror's Communication stipulates that BMPS will grant each Participant a consideration represented by 2.300 BMPS Shares for each Mediobanca share tendered in acceptance of the Offer.

The BMPS Shares offered as Consideration (equal to a maximum of 2,230,000,000 BMPS Shares, calculated using a highly conservative approach) will be issued as part of the Capital Increase Reserved to the Offer for a maximum total amount of Euro 13,194,910,000, plus any premium, which will be resolved by the Bank's Board of Directors in execution of the Delegation, if granted, by the Extraordinary Shareholders' Meeting.

It should be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors, may be reduced as a result of the distribution of the interim dividend (and the corresponding balance) and of the potential cancellation of Treasury Shares by Mediobanca and as a consequence of the allotment of Treasury Shares to the beneficiaries of the incentive plans, in lieu of the Additional Shares (without prejudice to the applicable legal and regulatory provisions governing the aforementioned plans), as specified below.

The objective of the Offer, in light of the rationale and future plans relating to the Bank, as further specified below, is to acquire the entire share capital of Mediobanca and achieve the Delisting of the Shares Subject to the Offer, fostering the objectives of integration, synergies' creation, and growth between BMPS and Mediobanca. As of the Information Document Date, the Bank has not yet made any decisions regarding potential extraordinary transactions and/or corporate and business reorganization of the MPS Group following the merger with the Mediobanca Group as a result of completion of the Offer.

The nature of the Offer entails that investors must consider a range of risks associated with any forecasts concerning the Bank's performance, in the context of its strategic objectives, of those of the Offer itself, and in the economic scenario when it was presented.

By way of example and not limited to, such risks include, as usual in operations of this kind:

any difficulties in the integration process between the Offeror and Mediobanca following completion of the Offer, including potential delays in the implementation of the activities relating to the integration, with negative impacts on the efficiency, reliability, continuity, and consistency of operational, administrative, and control functions;

the need to make significant unforeseen investments in equipment, information management, information technology ("**IT**") systems, as well as IT services and other critical business infrastructures, as well as the management of unforeseen technological challenges related to the integration of the IT systems of the two companies;

- the high workload required of BMPS and Mediobanca resources for the integration, which could impact the management's ability to effectively handle the ordinary activities of the entity resulting from the completion of the Offer;

- the ability to promptly respond to market changes and the business environment during and following the integration process between the Offeror and Mediobanca;

- the effective management of the personnel's adaptation process, including the need to ensure adequate time for the implementation of necessary organizational changes;

- the ability to retain and manage the most experienced management and key figures within the entity resulting from the completion of the Offer; and

- the ability to successfully manage and maintain business and contractual relationships with clients, suppliers, and business counterparts during the integration process.

Should BMPS fail to realize an effective integration, the forecasted synergies or other anticipated benefits following the Potential Acquisition of Mediobanca, or if the estimated costs for implementing the Transaction and integration measures prove significantly higher than forecasted, the objectives, benefits, and future results upon which the Offer is based may not be achieved.

The achievement of synergies from the acquisition is also subject to uncertainties, which can result from a deterioration of the macroeconomic context.

The existence of these risks largely stems from the fact that, as of the Information Document Date, BMPS has formulated its estimates on costs and synergies and its plans for the expansion of expected revenue sources based solely on publicly available data. If these estimates prove inaccurate or the anticipated synergies do not occur within the timeframe and to the extent expected by BMPS, the revenues and costs of the MPS Group may, in the future, differ from those estimated, potentially having negative impacts on the market value of BMPS Shares and the expected returns for investors.

**A.1 <u>Risks related to the information about Mediobanca contained in the Information Document</u>**

This Information Document contains information relating to the Mediobanca Group that has been exclusively extracted from publicly available data and information, mainly the audited consolidated financial statements as of 30 June 2024 and the condensed consolidated half-year financial statements as of 31 December 2024 and 31 December 2023, both subject to a limited review.

BMPS has not conducted any financial, legal, commercial, tax, industrial, or any other form of due diligence on Mediobanca prior to promoting the Offer, as typically occurs in public exchange offer transactions, and

therefore, as of the Information Document Date, it is not possible to guarantee that the analysis of the publicly available information from Mediobanca has allowed for the identification or assessment of all potential issues or risks associated with its acquisition. In this regard, it is noted that: (i) BMPS – given the structure of the Transaction (*i.e.*, acquisition through a public exchange offer) – does not benefit from any contractual warranty and indemnity commitments (*e.g.*, representations and warranties and related seller indemnity obligations); and (ii) the pre-acquisition analysis activities conducted by BMPS on Mediobanca have been carried out solely based on public information.

For this reason, BMPS may not be aware of current, potential, contingent or past liabilities and/or any operational problems of the Mediobanca Group, thus exposing itself to the risk that there may be greater liabilities and/or lower asset values than those reported in the financial statements of the Mediobanca Group, with consequent negative effects, potentially significant, on the benefits expected from the Offer and the related acquisition.

Similarly, the Offeror may be required to manage issues related to legal, regulatory, tax, environmental, or operational matters of the Mediobanca Group that have not been publicly disclosed and may have to handle unforeseen claims or litigation against Mediobanca or its subsidiaries, which could be brought by any administrative and/or regulatory authority.

Upon the occurrence of such risks, the Company may incur additional (possibly substantial) costs and expenses, not foreseeable at the Information Document Date, which could limit or undermine the achievement of the expected profit expansion estimates following the Transaction and, ultimately, negatively impact the activities, the prospects and the economic, equity and financial condition of BMPS and of the MPS Group.

**A.2 <u>Risks related to completion of the acquisition of Mediobanca: non-fulfilment of the conditions of effectiveness of the Offer</u>**

As indicated in paragraph 1.5 of the Offeror's Communication, the Offer shall be subject to the approval of the proposal of Delegation for the Capital Increase Reserved to the Offer by the BMPS shareholders' meeting and of the Offer Document by Consob, upon completion of the relevant preliminary investigation within the terms set forth by Article 102, paragraph 4, of the TUF, as well as the occurrence of each of the following conditions of effectiveness (the "**Conditions of Effectiveness**" and, each, a "**Condition of Effectiveness**"):

(i) the obtainment of the necessary authorizations as per the relevant sector regulations in relation to the
Offer;

(ii) the acquisition of control of Mediobanca by BMPS having obtained unconditional approval (*i.e.*,
without conditions, limitations, and prescriptions) from the competent antitrust authorities;

(iii) the issuance of additional authorizations required for the Transaction without prescriptions, conditions,
or limitations;

(iv) no competent authority, including any court or tribunal, shall issue any resolution or measures which
would preclude, restrict, or render more onerous the possibility for BMPS and/or Mediobanca to realise the Offer or its objectives;

(v) between the date of the Offeror' s
Communication and the Payment Date of the Consideration, no facts, events, or circumstances occurring that would prevent BMPS from carrying
out with the Offer in accordance with the authorizations received in respect to the Offer and the provisions contained therein;

(vi) the
Offeror holding, upon completion of the Offer – as a result of acceptances to the Offer and/or purchases made outside of
the Offer pursuant to applicable laws and regulations – a participation
equal to

at least 66.67% of the voting rights exercisable in Mediobanca's shareholders' meetings (the "**Threshold Condition**");

(vii) between the date of the Offeror' s
Communication and the Payment Date of the Consideration, Mediobanca ' s
corporate bodies (and/or one of its directly or indirectly controlled or affiliated companies) not resolving upon, not carrying out, even
if resolved upon prior to the date of the Offeror ' s Communication,
nor undertaking to carry out or otherwise causing the completion of (including through conditional agreements and/or partnerships with
third parties) acts or transactions: (*x*) that may result in a significant change, even prospectively, in the capital, assets, economic,
prudential, and/or financial situation and/or activities of Mediobanca (and/or one of its directly or indirectly controlled or affiliated
companies) as represented in Mediobanca ' s consolidated financial
statements for the 2023/2024 financial year; (*y*) that restrict the free operation of branches, subsidiaries, and networks in the
placement of products to customers (including through the renewal, extension – also due to lack of notice – or renegotiation of existing and/or
expiring distribution agreements); or (*z*) that are in any case inconsistent with the Offer and the underlying business and commercial
motivations, unless due to compliance with legal obligations and/or following a request from supervisory authorities, without prejudice
to what is provided for by the condition under point (viii) below.

(viii) between the date of the Offeror' s
Communication and the Payment Date of the Consideration, Mediobanca and/or its directly or indirectly controlled subsidiaries and/or affiliated
companies not resolving upon, and in any case nor carrying out, even if resolved before the date of the Offeror ' s
Communication, nor undertaking to carry out acts or transactions that may counteract the achievement of the Offer ' s
objectives pursuant to Article 104 of the TUF, even if such acts or transactions have been authorized by the shareholders ' meeting in ordinary or extraordinary session of Mediobanca or are decided and implemented independently by the shareholders ' meeting in ordinary or extraordinary session and/or by the management bodies of Mediobanca ' s
controlled subsidiaries and/or affiliated companies;

(ix) by the Payment Date of the Consideration: (*x*)
no extraordinary circumstances or events have occurred at the national and/or international level (a) that entail or may entail significant
adverse changes in the political, health, financial, economic, currency, regulatory (including accounting and supervisory), or market
situation or (b) that have or may have substantially adverse effects on the Offer and/or the financial, asset, economic, or income situation
of Mediobanca (and/or its controlled and/or affiliated companies) as represented in Mediobanca' s consolidated financial statements
for the 2023/2024 financial year and/or BMPS (and/or its controlled and/or affiliated companies); and/or (*y*) no facts or situations
regarding Mediobanca (and/or its controlled and/or affiliated companies), not known to the market at the date of publication of the Offeror ' s
Communication, having emerged that have the effect of adversely altering the operations or the financial, asset, income, or operational
situation of Mediobanca (and/or its controlled and/or affiliated companies) as represented in Mediobanca ' s
consolidated financial statements for the 2023/2024 financial year (the "**MAE Condition** ").

Notwithstanding the right of BMPS to modify and/or waive – in accordance with the provisions of Article 43, paragraph 1, of the Issuers' Regulation – any or all of the Conditions of Effectiveness, if for any reason one or more of the above Conditions of Effectiveness does not occur within the respective term, or if it does not occur within the respective terms in the manner initially forecasted, or if it is not waived, in whole or in part, by BMPS within the same term, the Offer shall be deemed definitively and automatically ineffective and, consequently, could not be completed.

**A.3 <u>Risks related to completion of Offer</u>**

The entire acquisition process involves numerous risks inherent to the process itself, particularly in relation to the integration and coordination of the management and personnel, IT systems, structures and services of the two banking groups.

Following a technical evaluation of potential improvements to the information systems, the Offeror may plan to integrate Mediobanca's IT systems into BMPS' architectural model. The potential integration will involve the transfer of a significant volume of data, activities and processes, which could temporarily delay the migration process and lead to additional costs for the entity resulting from the Transaction, require additional resources from management and personnel and result in the loss of future business opportunities.

The MPS Group may also incur significant additional legal, accounting and administrative costs in connection with the implementation of these measures, some of which will be due regardless of whether full integration is achieved.

The success of the acquisition of Mediobanca will depend to a large extent on the effectiveness of the integration process implemented by BMPS. If this integration is not properly planned, programmed and executed correctly, errors or delays in the management of customer requests, loss of visibility over certain functions, planning and management errors for BMPS, as well as incorrect accounting records, with the consequent need for subsequent corrections and/or reconciliations, could occur, in addition to the risk of operational and reputational losses deriving from processes and technologies not functioning correctly.

Furthermore, if the acquisition is completed as envisaged in the Offer, the Offeror would experience an increase in its exposure to the risks associated with the Corporate & Investment Banking and Consumer Finance activities, where Mediobanca operates, and those associated with the insurance business, through the direct investment held by Mediobanca in Assicurazioni Generali S.p.A.

The occurrence of the events described above, which were not foreseeable at the Information Document Date, could result in the Offeror incurring unforeseen charges, which could be significant, with consequent negative effects on the BMPS Group's economic, equity and financial situation.

**A.4 <u>Risks associated with the expansion of revenue sources and expected synergies</u>**

The Transaction will allow the Offeror (i) to significantly expand its revenue sources and (ii) to generate important revenue, cost and funding synergies.

(i) Given the intrinsic nature of the Transaction, two companies with highly complementary businesses (BMPS
focused on Retail and Commercial Banking, Mediobanca on Wealth Management, Corporate & Investment Banking and Consumer Finance) will
be combined with the aim of creating a highly diversified and resilient player with distinctive and complementary capabilities in each
business area and a significant degree of innovation and support for growth, with the potential to compete with the main Italian and European
banks, through the full optimization of existing human capital.

(ii) In terms of synergies, the Transaction will allow:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. a generation of revenue synergies for about Euro 0.3 billion per year, thanks to the expansion of the
product and service offering for families and businesses, the development of an integrated offering to the respective customer bases and
an increase in the penetration and expansion of the reference markets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. a generation of cost synergies for about Euro 0.3 billion per year, in particular in terms of administrative
expenses, and will allow for a targeted optimization of overlapping functions. This will be complemented by the savings deriving from
the rationalization of the combined investment plan of the two banks, so as to avoid duplication of investments in the areas subject to
the combination;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. the creation of funding synergies for approximately
Euro 0.1 billion per year due to a more balanced funding mix, leveraging BMPS' commercial funding capacity and optimizing
the combined entity ' s wholesale funding position;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. finally, the one-off costs of the integration process have been estimated at around Euro 0.6 billion before
taxes, expensable in the first year after the closing of the Transaction.

The achievement of the objectives of the Transaction, and of the aforementioned cost and revenue synergies, will depend, however, on various factors, including BMPS' ability to:

(i) respond to market changes and the corporate environment during the integration process of operational and support functions;

(ii) effectively manage the process of change and adaptation for the personnel, allocating sufficient time for the implementation of necessary
changes; and

(iii) successfully define and implement a new strategy and a new organizational and governance model for the entity resulting from the acquisition.

These forecasts are subject to risks that may impact the position of the Offeror, including potential inaccuracies and/or errors in the assessments made prior to the acquisition, which in turn may necessitate a revision of the estimated economic benefits or certain values such as the assets acquired within Mediobanca.

It should be noted that the cost and funding synergies expected, the expansion of revenue sources and the related synergies, and the benefits deriving from the complementarity of the BMPS and Mediobanca business models, as well as the strategic objectives of the Offer, will depend on the percentage of acceptance of the Offer. These, while remaining valid, could be subject to variations and delays, even significant ones, in their implementation, with negative effects on the achievement of the strategic objectives of the Offer.

Furthermore, events related to the corporate structure of Mediobanca, beyond the control of the Offeror, could potentially delay the achievement of the estimated synergies and negatively impact the results and performance of the MPS Group following the Transaction.

The occurrence of such events, which were not foreseeable at the Information Document Date, could result in the Offeror incurring unexpected charges, which could be significant, with consequent negative effects on the BMPS Group's economic, equity and financial situation following the Transaction.

**A.5 <u>Risks related with the dilution of the Bank'</u>** **<u>s share capital</u>**

In the event that the Board of Directors fully exercises the Delegation, the Capital Increase Reserved to the Offer will cover the Maximum Share Amount and, therefore, a maximum of 2,230,000,000 BMPS ordinary shares to be issued and paid up through the contribution in kind to BMPS of the Mediobanca shares tendered in acceptance of the Offer.

Therefore, the Capital Increase Reserved to the Offer has a significant dilutive effect on the stakes held by the current shareholders of BMPS. This effect derives from the exclusion of the option right pursuant to Article 2441, paragraph 4, of the Italian Civil Code.

In particular, in the event of: (i) participation to the public exchange offer of all the Participants for all the relevant shares held, (ii) payment of the dividend proposed by BMPS equal to Euro 0.86 per share, (iii) review of the Incentive Plans to provide for their acceleration and issuance in favour of the beneficiaries of the Incentive Plans of all 16,178, 862 Additional Shares, and (iv) failure by Mediobanca to pay the interim dividend, the related balance and failure to cancel the Treasury Shares in the portfolio, the Capital Increase Reserved to the Offer will be fully subscribed (on a fully diluted basis) and BMPS will issue 2,230,000,000 new shares to be assigned in exchange to all Participants.

It should be noted that, the Maximum Share Amount has been increased from 1,916,543,285 (as reported in the Offeror's Communication) to 2,230,000,000 also in order to ensure capacity for all possible aforementioned scenarios, according to a highly conservative approach. These shares will represent approximately 64% of BMPS' share capital calculated on the basis of the number of BMPS shares issued on the Information Document Date.

Considering a potential BMPS shareholder who, prior to the Capital Increase Reserved to the Offer, holds a stake in the Bank's share capital equal to 1% of the relative share capital, following completion of the Transaction and in the event that the Bank issues the entire Maximum Share Amount, estimated according to a highly conservative approach, this BMPS shareholder would hold a stake of 0.36% (with a dilution of approximately 64%). For more information, please refer to Paragraph 2.1.7.

In any case, it should be noted that, the percentage of dilution of the current shareholders in the BMPS share capital will depend on the outcome of the Offer, since the number of new BMPS Shares to be issued as part of the Capital Increase Reserved to the Offer will depend – in addition to any adjustments to the Offer consideration (as illustrated below) – on the number of Shares Subject to the Offer that will be tendered in the context of the public exchange offer itself by the Participants.

**A.6 <u>Risks related to the valuation methods used to determine the Consideration of the Offer</u>**

In accordance with the Offeror's Communication, BMPS will offer to the participants to the Offer, for every 10 Mediobanca shares tendered in acceptance of the Offer, 23 newly issued ordinary shares of BMPS with the same features as those currently outstanding ordinary shares of BMPS as Consideration for the Mediobanca shares. This amounts to a ratio of 2.300 newly issued BMPS Shares for each Mediobanca share tendered in the Offer.

The Consideration was set by the board of directors of the Offeror on 31 January 2025, based on publicly available data. It should be noted that, the valuations conducted to determine the Consideration have highlighted the typical limitations and difficulties inherent in this type of analysis, particularly due to the fact that the Offeror did not have access to detailed forecast information and data that would have enabled the preparation of detailed financial valuations in relation to the Mediobanca shares. For the purposes of determining the Exchange Ratio, the Offeror used a valuation approach based on a comparative perspective, prioritizing the principle of relative homogeneity and comparability of the applied valuations.

As indicated in the Offeror's Communication, the Offer's Consideration may be subject to adjustments. In particular, it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the*

 

*coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed*". In addition, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any transaction involving the share capital and/or on the Mediobanca shares, while in any case the Offeror retains the right to exercise (or to waive its right to exercise) the relevant Condition of Effectiveness, where applicable, in relation to such individual event.

Since the market prices of the ordinary shares of the Offeror and Mediobanca have been and are subject to volatility and fluctuations resulting from the general performance of the capital markets, there is a risk that, despite the Consideration remaining fair (according to the methods used for its determination), the number of shares issued as Consideration may not be adequate in relation to the fluctuations in the market prices of BMPS and/or Mediobanca shares. This could result in the value of the Consideration at the date of the completion of the Offer being either lower or higher than at the date when it was determined. It should be noted that market price variations can stem from a range of factors, including but not limited to future activities and prospects, market conditions, economic developments, geopolitical events, regulatory assessments, government actions, legal proceedings, and other similar occurrences, many of which are beyond BMPS' control.

Based on the official price of BMPS Shares recorded at the close of 23 January 2025 (equal to Euro 6.953), the Consideration represents a monetary valuation of Euro 15.992 (rounded to the third decimal digit) for each Mediobanca Share and thus incorporates a premium of 5.03% compared to the official price of the Shares Subject to the Offer recorded at the close of 23 January 2025 (equal to Euro 15.227).

The valuation analyses conducted by BMPS as of 23 January 2025, for the purpose of determining the Consideration should be understood to be subject to the following main limitations:

· BMPS used exclusively public data and information for its analyses;

· BMPS did not perform any financial, legal, commercial, tax, business or any other due diligence activities
on Mediobanca;

· as at the reference date, an updated business plan for Mediobanca with a time horizon consistent with
that of BMPS was not publicly available. Accordingly, where relevant for the purpose of the application of the valuation methods, the
projections of future economic performance used for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while,
for Mediobanca, were derived on the basis of the estimates provided by research analysts;

· the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

**A.7 <u>Risks related to the inclusion of pro-forma financial information concerning the acquisition of Mediobanca</u>**

The Information Document includes the pro-forma consolidated balance sheet as of 31 December 2024 and the pro-forma consolidated income statement for the year ended 31 December 2024 and the related explanatory notes of the MPS Group (the "**Pro-Forma Consolidated Financial Information**"). The Pro-Forma Consolidated Financial Information, prepared in order to retroactively reflect the effects of the Potential Acquisition on the historical data of the MPS Group, represents a simulation provided exclusively for illustrative

purposes and is not intended to represent the financial situation and economic performance of the MPS Group or to offer a representation of the balance sheet situation and prospective results.

The Pro-Forma Consolidated Financial Information has been prepared using accounting standards consistent with those used for the preparation of the consolidated financial statements of the MPS Group as of 31 December 2024. They aim to represent the hypothetical effects of the Potential Acquisition on the economic performance and financial position of the MPS Group, as if it had virtually taken place on 31 December 2024 for the effects on the pro-forma consolidated balance sheet and on 1 January 2024 for those on the pro-forma consolidated income statement.

The Pro-Forma Financial Information has not been prepared in accordance with the requirements of Regulation S-X of the U.S. Securities Act or any generally accepted accounting standards.

The Pro-Forma Consolidated Financial Information has been prepared to the best of BMPS' knowledge, based solely on publicly available data, which has been processed and treated without the support or collaboration of Mediobanca; BMPS has relied solely on information and data published by the Mediobanca Group, which has not been verified by the Bank.

As a result, any pro-forma information provided in the Information Document is inherently of very limited value to investors.

The data on which the Pro-Forma Consolidated Financial Information is based has been extracted from the following sources:

· consolidated financial statements as of 31 December 2024 of the MPS Group;

· consolidated financial statements as of 30 June 2024 of the Mediobanca Group;

· condensed consolidated half-year financial statements as of 31 December
2024 and 31 December 2023 of the Mediobanca Group.

In particular, it should be noted that, the consolidated financial statements of BMPS and Mediobanca have different financial year-end dates, respectively 31 December 2024 for the Bank and 30 June 2024 for Mediobanca, therefore it was necessary to reconstruct, on the basis of publicly available information, the economic accounting information of Mediobanca for the period of 12 months as of 31 December 2024 in order to align it with the closing date of BMPS.

The approach used in the processing of the above data was mainly hypothetical and entailed a simulation, provided for illustrative purposes only, of the possible effects that could result from the acquisition of Mediobanca. More specifically, a complete description of the assumptions made by BMPS in preparing the Pro- Forma Consolidated Financial Information is provided in Paragraph 5 (*Pro-Forma Income Statement, Balance Sheet and Financial Data of BMPS*) of the Information Document.

The pro-forma data have been prepared on the basis of the consolidated financial statements as of 31 December 2024 of the MPS Group prepared in accordance with IAS/IFRS, the consolidated financial statements as of 30 June 2024, the condensed half-year consolidated financial statements as of 31 December 2024 and 31 December 2023 of the Mediobanca Group, prepared in accordance with IAS/IFRS accounting standards, and applying the pro-forma adjustments determined by simulating the application of the provisions of IFRS 3 for business combination transactions.

The Pro-Forma Consolidated Financial Information and, in particular, the pro-forma adjustments relating to the aforementioned capital increase, and therefore relating to goodwill, have been determined based on the official closing price of BMPS shares on 23 January 2025 (Euro 6.953), *i.e.*, the date corresponding to the last trading day prior to the date on which BMPS announced the Offer, assuming that Mediobanca shareholders fully accept the Offer. On the other hand, in accordance with IFRS 3, which governs the accounting treatment of business combinations (such as the acquisition), BMPS will have to recognize the BMPS Shares issued in execution of the capital increase reserved for the Offer at *fair value*, corresponding to the stock market price of BMPS shares on the trading date immediately preceding the settlement date of the Offer.

Therefore, the increase in BMPS' net equity following the issuance of the new shares, and therefore the acquisition cost, will only be known on the day BMPS obtains control of Mediobanca. Likewise, the final value of the assets and liabilities that will be recognized in the consolidated financial statements of BMPS will be known only after BMPS has obtained control of Mediobanca, following the completion of the so-called *purchase price allocation* ("**PPA**") required by IFRS 3.

In light of the above, the final value of the goodwill or gain from a bargain purchase will be known only after the completion of the PPA required under IFRS 3.

A correct interpretation of the information provided in the Pro-Forma Consolidated Financial Information requires that investors consider the following aspects: (i) since these are representations based on hypotheses and assumptions, if the Offer had actually been completed on the dates taken as a reference for the preparation of the Pro-Forma Consolidated Financial Information, the same results represented therein would not necessarily have been obtained; (ii) the Pro-Forma Consolidated Financial Information is not intended in any way to represent a forecast of future results and should therefore not be interpreted as such; (iii) the Pro-Forma Consolidated Financial Information does not reflect prospective data as it is prepared in such a way as to represent only those effects of the acquisition that are able to be isolated and objectively measurable, without taking into account the potential effects caused by changes in market conditions, management policies and operational decisions of BMPS resulting from the outcome of this transaction and, as such, the pro-forma data are not intended to represent a current or prospective financial position of the effects related to the acquisition; and (iv) in consideration of the different purposes of the Pro-Forma Consolidated Financial Information compared to the historical financial information of the MPS Group and the Mediobanca Group, the pro-forma consolidated balance sheet and the pro-forma consolidated income statement should be read and interpreted separately, without seeking accounting links between them.

In light of the above, investors should not rely solely on the Pro-Forma Consolidated Financial Information to make their investment decisions. On 2 April 2025, the auditing firm PwC issued its report concerning the examination of the Pro-Forma Consolidated Financial Information as of 31 December 2024. A copy of this report is attached to this Information Document as <u>Annex B</u>.

**A.8 <u>Risks related to forecasts and estimates</u>**

This Information Document includes provisional data based on information drawn from: (a) market forecasts/estimates and internal forecasts/estimates at BMPS; and (b) further assessments by BMPS regarding the possible synergies and integration costs associated with the potential merger between BMPS and Mediobanca.

It should be noted that, these forecasts and estimates should be evaluated with due caution, considering that a business plan for the entity resulting from the Transaction will only be approved after the completion of the Offer (according to a timeline yet to be defined). The forecasts and estimates relating to BMPS' future standalone objectives for the period 2024-2028 ("**Business Plan 2024-28**") are subject to a series of uncertainties and additional factors, many of which are beyond BMPS' control, in addition to the complexities inherent in the implementation of the integration.

There are in fact several factors that could cause BMPS' actual results and *performance to* differ significantly, both in its current configuration and in its possible post-Transaction configuration, from what is explicitly or implicitly stated in any forward-looking statement. These factors include macroeconomic and geopolitical developments, and the possible domino effects such developments may have on global and regional growth and development. At the time of the presentation of the 2024-28 Business Plan, the economic outlook was — and still is — uncertain.

BMPS shareholders must also consider that the uncertainties described above also apply to the forecasts and estimates relating to the revenue growth targets and synergies expected from the Offer, including any estimated results as a consequence of the Mediobanca Offer, which may occur only in part or may not occur at all.

In light of these uncertainties that characterize, moreover, any forecast data, shareholders are advised not to rely exclusively on the forecasts and estimates contained in this Information Document.

Finally, it should be noted that, some of the assumptions and/or initiatives underlying the forecasts and estimates could prove to be inaccurate and, consequently, not take place or take place to a different extent and at different times than expected. In addition, events that were unpredictable at the time the forecasts were made could occur, with potentially significant impacts. Given the uncertainty associated with the outcome of future events, in terms of both their actual occurrence and their timing and scope, there may be substantial differences between the projected and actual values.

**A.9 <u>Risks related to the non-comparability of future results after 31 December 2024</u>**

In the event of completion of the Potential Acquisition, the sources of income and the consolidation perimeter of the MPS Group will be expanded, leading to risks related to the interpretation and comparison of the Bank's 2024 Consolidated Financial Statements with any future financial statements of the MPS Group.

It is appropriate for investors to consider the inevitable discontinuity and limitations on the comparability of the MPS Group's annual and interim reports following the Potential Acquisition with the financial information of the MPS Group as of 31 December 2024.

**A.10 <u>Risk related to the national and international macroeconomic context</u>**

As of the Information Document Date, the national and international macroeconomic context is characterized by significant instability and uncertainty which, should these conditions deteriorate further, could have a significant negative impact on the financial situation and assets of BMPS and Mediobanca and compromise the success of the Transaction.

As of the Information Document Date, the national and international macroeconomic context is particularly characterized by certain critical profiles attributable to:

the return to protectionist trade policies by the United States, with consequent negative impacts on global growth in the medium term. The extension by the new U.S. administration of tariffs on imports (mainly from China) and the consequent response from the economies affected by the tariffs could result in a "trade war" with negative impact on international trade, jeopardizing the continuity of the global expansion cycle and the process of rebalancing international commodity prices, as well as fuelling currency market volatility;

- the ongoing conflict between the Russian Federation and Ukraine and the considerable uncertainties about the evolution and effects following the adoption of economic sanctions applied against the Russian economy;

- the impact on the macroeconomic context of the Israeli Palestinian conflict, which has led to a situation of regional political and economic instability with global consequences, influencing financial markets, commodity prices, and international trade relations.

It should also be noted that, the occurrence of the events described in this risk factor could result in the non- fulfilment of the MAE Condition and, if not waived by BMPS, the non-completion of the Offer.

**A.11 <u>Risks related to potential conflicts of interest arising from related party transactions</u>**

To the knowledge of BMPS, as of the Information Document Date, certain persons with shareholdings, over 3%, in Mediobanca also hold significant shareholdings (*i.e.,* higher than 3%) in BMPS.

Notwithstanding the above, pursuant to the BMPS Regulation, considering that entities holding stakes exceeding 3% of the Bank's share capital shall be considered "related parties" of BMPS, identified on a discretionary basis as holders of "*a stake exceeding 3% of BMPS' capital, represented by voting shares and who have reported such stake pursuant to Article 120 of the TUF*" (Article 4.1.1 of the BMPS Regulations), the Capital Increase Reserved to the Offer qualifies as a related party transaction, since it is reserved for subscription to the Mediobanca shareholders (among whom are the aforementioned entities).

Related party transactions present typical risks associated with transactions between parties whose affiliation or proximity to the same decision-making centres could compromise the impartiality of corporate decisions and the exclusive pursuit of the interests of the companies involved in the Transaction with potential distortions in the resource allocation process, exposure to risks not adequately measured or managed, and potential damages to the companies and their respective stakeholders.

This being said, the procedure provided for in the RPT Regulation and the BMPS Regulation was duly carried out and concluded with the issue of a favourable opinion on the fairness and substantive and procedural correctness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, issued by the BMPS Related-Party Transactions Committee, composed of independent directors.

For a complete disclosure of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the RPT Regulation, published on the Bank's institutional website *<u>https://www.gruppomps.it/en/</u>*.

**A.12 <u>Risks related to the corporate procedure applicable to the Capital Increase Reserved to the Offer</u>**

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an independent expert. In this regard, with a view to the exercise of the Delegation, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter* (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4) of the Italian Civil Code for the purpose of the valuation of the Mediobanca shares subject to the contributions in kind.

These rules allow not to require a sworn appraisal of the assets transferred to be prepared by an expert, appointed by the Court in the district where the transferee company has its registered office, in the event that, pursuant to Article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to transfer is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised*

 

*principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is equipped with adequate and proven expertise*".

BMPS has therefore mandated KPMG Corporate Finance, a division of KPMG Advisory S.p.A., as an independent expert to conduct the valuation of the Shares Subject to the Offer. In this regard, KPMG Corporate Finance, a division of KPMG Advisory S.p.A., as an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code, issued its valuation report on the Shares Subject to the Offer on 14 March 2025. A copy of this report is attached to this Information Document as <u>Annex C</u>.

In this regard, it should be noted that:

(i) the aforementioned Article 2443, paragraph 4,
of the Italian Civil Code provides that, in cases where the opinion of an independent expert is used for the valuation referred to in
Article 2343, first paragraph of the Italian Civil Code, one or more shareholders representing, and who represented as of the date of
the board resolution for the capital increase (*i.e.*, the date of exercise of the Delegation), at least one-twentieth of the share
capital prior to the said increase, may request, within 30 days from the registration in the Companies' Register of the board
resolution for the Capital Increase Reserved to the Offer, that the directors initiate a new valuation of the contributed assets by means
of a sworn report from an expert appointed by the competent Court (in this case, the Court of Siena);

(ii) if, within 30 days from the registration in the
Companies' Register of Arezzo-Siena, no request has been made as per the previous point (i), the Board of Directors of BMPS,
if the relevant conditions are met, will, on the Payment Date of the Consideration, file for registration in the Companies ' Register of Arezzo-Siena, together with the certification referred to in Article 2444 of the Italian Civil Code, the additional declaration
provided for in Article 2343- *quater*, paragraph 3, letter d) of the Italian Civil Code, stating that no exceptional or new significant
events have occurred after the date of the valuation prepared by the independent expert that affect the value attributed to the Shares
Subject to the Offer for the purpose of the Capital Increase Reserved to the Offer;

(iii) until the moment of registration in the Companies' Register of Arezzo – Siena of all the declarations of the BMPS directors
referred to in Article 2343- *quater*, paragraph 3, of the Italian Civil Code – including therefore the declaration referred to in the previous point (ii) – the BMPS Shares issued in execution of the Capital Increase Reserved to the Offer and allocated to the Offer participants as Consideration,
will be unavailable, cannot be transferred, and must remain deposited at BMPS.

In light of the above, if (a) a qualified minority of shareholders exercises the right referred to in point (i) above; or (b) the Board of Directors of BMPS, at the time of registering the certification referred to in Article 2444 of the Italian Civil Code for the Capital Increase, deems that exceptional events or new significant circumstances have occurred that materially alter the value of the Shares Subject to the Offer in respect to what is represented in the opinion of the independent expert, the Board of Directors will be required to conduct a new valuation of the Shares Subject to the Offer and initiate the ordinary procedure for the valuation of contributions in kind. This would involve requesting the competent Court (*i.e.*, the Court of Siena) to appoint an expert, who will prepare, in compliance with the applicable regulations, a sworn valuation report of the contributed assets.

The occurrence of these circumstances, and particularly the need to resort to the appointment of an expert by the competent Court, would create significant uncertainties regarding the timing of the appointment of the expert and the issuance of the expert's valuation. This could potentially have a negative impact on the shareholders of Mediobanca accepting the Offer and the subscribers of the BMPS Shares in the context of the Offer.

For further information regarding the Capital Increase Reserved to the Offer, please refer to Section 2 of this Information Document.

**A.13 <u>Risks related to prominence statements</u>**

The Information Document contains prominence statements in relation to the MPS Group. These statements are made by the Bank based on its specific knowledge of the sector, available data, and its experience.

It is not possible to guarantee that such statements can be maintained or confirmed.

Furthermore, the characteristics of the business sector and the projected objectives may differ from those assumed in such statements due to known or unknown events, uncertainties, and other factors mentioned, among other things, in this Section.

**A.14 <u>Management of Fractional Share</u>**

Given that for each Mediobanca share tendered in acceptance of the Offer, 2.300 BMPS Shares will be attributed based on the Exchange Ratio, the result of applying the Exchange Ratio to the Shares Subject to the Offer tendered in acceptance of the Offer by a Participant may not be a whole number of BMPS Shares (*i.e.*, where a Participant does not tender at least 10 Shares Subject to the Offer, or a number of Shares Subject to the Offer that is an whole multiple of 10).

Therefore, if the result of the application of the Exchange Ratio for the Mediobanca Shares tendered in acceptance of the Offer is not a whole number of newly issued BMPS Shares, it is expected that the intermediary in charge of coordinating the collection of acceptances of the Offer will aggregate the fractional shares of BMPS Shares pertaining to the Participants and will subsequently sale on Euronext Milan the whole amount of BMPS Shares resulting from such aggregation, for the purpose of the overall Transaction.

Further information on the treatment of the Fractional Shares will be provided in the Offer Document, which will be made available to the public following Consob's approval, in the manner and within the terms provided by applicable laws and regulations.

**A.15 <u>Risks related with not achieving the Delisting</u>**

In the event of the Offer's success, BMPS intends to proceed with the Delisting, *i.e.,* the withdrawal of Mediobanca shares from listing on Euronext Milan.

Please note that, as indicated in Paragraph A.1 of this Information Document, the effectiveness of the Offer is subject, *inter alia*, to the Threshold Condition, *i.e.,* BMPS reaching a shareholding of at least 66.67% of Mediobanca's share capital upon completion of the Offer, without prejudice to BMPS' right to modify and/or waive – in accordance with the provisions of Article 43, paragraph 1, of the Issuer's Regulation – in whole or in part one or more of the Conditions of Effectiveness, as set forth in Paragraph A.2 of this Information Document.

Regardless of the potential Delisting of Mediobanca, BMPS does not exclude the option of evaluating in the future, at its discretion, the implementation of any other extraordinary transactions and/or corporate and business reorganizations that may be deemed appropriate, in line with the objectives and rationale of the Offer, also with a view to ensuring a better integration of the activities of the Bank and Mediobanca.

As of the Information Document Date, BMPS has not made any decision regarding any extraordinary transactions and/or corporate and business reorganization of the MPS Group following the combination with the Mediobanca Group, upon completion of the Offer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.** **INFORMATION RELATED TO THE TRANSACTION** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.1** **Description of the features, methods, terms, and conditions of the Transaction** 

The Transaction consists of the Offer announced by BMPS with the Offeror's Communication on the Announcement Date (*i.e.*, 24 January 2025), pursuant to Articles 102, first paragraph, of the TUF and 37 of the Issuers' Regulation, and promoted through the filing with Consob of the Offer Document, as per the subsequent press release of 13 February 2025, pursuant to Article 37-*ter*, third paragraph, of the Issuers' Regulation.

As Consideration for the Offer, the Offeror's Communication provides that BMPS will grant to each Participant a unitary Consideration represented by 2.300 ordinary BMPS Shares for each Mediobanca share tendered in acceptance of the Offer. Therefore, for every ten (10) Shares Subject to the Offer, 23 (twenty-three) new BMPS Shares will be issued.

The BMPS Shares offered as Consideration will be issued in the context of the Capital Increase Reserved to the Offer, which will be resolved by the Board of Directors of BMPS in execution of the Delegation, whether granted by the Extraordinary Shareholders' Meeting of BMPS to be held on 17 April 2025.

It is also expected that the Capital Increase Reserved to the Offer will be executed by 31 December 2025, subject to the approval of the Offer Document by Consob and the fulfilment (or waiver, where applicable) of the Conditions of Effectiveness.

In particular, the Capital Increase Reserved to the Offer will be executed by the previously mentioned deadline of 31 December 2025, on the Payment Date of the Consideration, and, if applicable, on the payment dates that may be determined in relation to the exercise of the Sell-Out and Squeeze-Out.

It should be noted that, in the event of (i) acceptance of the Offer by all Mediobanca shareholders targeted by the same Offer for all the Mediobanca Shares held, (ii) issuance in favour of the beneficiaries of the incentive plans of all 16,178,862 Additional Shares, and (iii) non-payment by Mediobanca of the interim dividend, the related balance, and non-cancellation of the Treasury Shares in the portfolio, the Capital Increase Reserved to the Offer will be fully subscribed (on a fully diluted basis), and BMPS will issue 2,230,000,000 new shares to be exchanged with all Participants to the Offer.

These shares will represent approximately 64% of BMPS' share capital calculated based on the number of BMPS Shares issued as of Information Document Date.

**2.1.1 Description of the company subject of the Transaction**

The corporate name of the company subject of the Transaction is "MEDIOBANCA – Banca di Credito Finanziario Società per Azioni."

Mediobanca is a joint-stock company under Italian law, with its registered office in Milan, Piazzetta Enrico Cuccia No. 1, tax code and registration number in the Milan Monza Brianza Lodi Companies' Register No. 00714490158.

Mediobanca is also registered in the Register of Banks held by the Bank of Italy under number 4753, Mechanographic code No. 10631, and, as the parent company of the Mediobanca Group, with the Register of Banking Groups with the parent company mechanographic code number 10631. It is also a member of the Interbank Deposit Protection Fund (*Fondo Interbancario di Tutela dei Depositi*) and the National Guarantee Fund (*Fondo Nazionale di Garanzia*).

As of the Information Document Date, Mediobanca's share capital amounts to Euro 444,680,575.00, fully subscribed and paid-in, divided into 833,279,689 ordinary shares without nominal value.

Mediobanca shares are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana with ISIN code IT0000062957 and are dematerialized pursuant to Article 83-*bis* of the TUF.

As of 28 February 2025, Mediobanca holds 18,820,138 Treasury Shares, representing 2.3% of its share capital.

As of the Information Document Date, to the best of BMPS' knowledge, Mediobanca did not issue shares other than ordinary shares, nor convertible bonds, nor is there any commitment for the issuance of convertible bonds.

As of the Information Document Date, based on the communications disclosed pursuant to Article 120 of the TUF and Part III, Title III, Chapter I, Section I of the Issuers' Regulation, as published on the Consob website, the shareholders holding a stake in Mediobanca's share capital or voting rights exceeding 3% of the ordinary share capital are indicated in the following table.

---

| | | |
|:---|:---|:---|
| **Declarant or Subject at the<br> Top of the Ownership<br> Chain** | **Direct Shareholder** | **% of Share Capital and Voting Rights of the Direct** <br> **Shareholder** |
| Francesco Gaetano Caltagirone | Fincal S.p.A. | 1.880% |
| Francesco Gaetano Caltagirone | Istituto Finanziario 2012 S.p.A. | 3.203% |
| Francesco Gaetano Caltagirone | Gamma S.r.l. | 0.416% |
| Francesco Gaetano Caltagirone | **Total** | **5.499%** |
| Delfin S.A.R.L. | Delfin S.A.R.L. | 19.390% |
| Banca Mediolanum S.p.A. | Mediolanum Vita S.p.A. | 0.741% |
| Banca Mediolanum S.p.A. | Banca Mediolanum S.p.A. | 2.602% |
| Banca Mediolanum S.p.A. | **Total** | **3.343%** |

---

The percentages listed in the table above, as published on Consob's website and resulting from the communications made by the shareholders pursuant to Article 120 of the TUF, may not be updated and/or consistent with the data processed and published by other sources (including Mediobanca's website), in cases where subsequent changes in the shareholding did not trigger any communication obligation under Article 120 of the TUF by the shareholders.

As of the Information Document Date, a consultation agreement is in force among certain Mediobanca shareholders, falling within the scope of Article 122, paragraph 5, letter a) of the TUF. The agreement does not appear to provide for any lock-up or voting commitments on the Mediobanca Shares contributed but regulates the modalities of meetings to share thoughts and considerations regarding the performance of the Mediobanca Group, in a context of equal information compared to the market. As of the Information Document Date, shareholders holding 98,937,468 Mediobanca shares, corresponding to 11.87% of the share capital (updated as of 24 February 2025), are part of the agreement.

**2.1.2 Description of the terms and conditions of the Transaction**

The Offer, as described in the previous Paragraph 2.1, is subject to the approval (i) of the proposal for the Delegation for the Capital Increase Reserved to the Offer by the Extraordinary Shareholders' Meeting of BMPS

and (ii) of the Offer Document by Consob, upon completion of the related assessment in accordance with Article 102, paragraph 4, of the TUF, which can only occur after obtaining the Preliminary Authorizations (as defined below) and the approval of the Capital Increase Reserved to the Offer by the BMPS Board of Directors, in execution of the Delegation.

Furthermore, as already highlighted in Paragraph A.1 of this Information Document, the effectiveness of the Offer is subject to the fulfilment of each of the Conditions of Effectiveness, as will be further detailed in the Offer Document.

It should also be noted that, BMPS has submitted the following applications to the competent authorities to obtain the preliminary authorizations required by the applicable and sector-specific regulations, pursuant to Article 102, paragraph 4, of the TUF in relation to the Offer (the "**Preliminary Authorizations**"):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) an application to the European Central Bank and
the Bank of Italy to obtain preliminary authorizations for the acquisition of a direct controlling shareholding in Mediobanca, as well
as for the acquisition of an indirect controlling shareholding in Mediobanca Premier S.p.A. ()"**Premier** ")
and Compass Banca S.p.A. ()"**Compass** "),
pursuant to Articles 19 and 22 of the TUB;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) a preliminary communication was submitted to the Bank of Italy to obtain preliminary authorizations/clearance
for the acquisition of an indirect controlling shareholding in Mediobanca SGR S.p.A., MBCredit Solutions S.p.A., MBFACTA S.p.A., SelmaBipiemme
Leasing S.p.A., and Spafid S.p.A., as well as a qualified indirect shareholding in Generali Asset Management S.p.A. SGR and Generali Real
Estate S.p.A. SGR, pursuant to, as applicable, Articles 19 and 22 of the TUB, as referred to in Article 110 of the TUB and Article 15
of the TUF;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) an application to the European Central Bank and
the Bank of Italy for (a) prior assessment that the amendments to the by-laws of the Offeror, concurrent with and related to the Capital
Increase Reserved to the Offer (and the related Delegation), do not conflict with the sound and prudent management of the Offeror, pursuant
to Articles 56 and 61 of the TUB, (b) prior authorization for the inclusion of the new shares issued as part of the aforementioned Capital
Increase Reserved to the Offer among the Offeror' s own funds as Common Equity Tier 1 instruments, pursuant to Articles 26
and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013, (c) authorization for the acquisition
by the Offeror of direct and indirect shareholdings that, in aggregate, exceed 10% of the consolidated own funds of the Offeror ' s
banking group, pursuant to Articles 53 and 67 of the TUB, as implemented in Part Three, Chapter I, Section V, of the Bank of Italy Circular
No. 285 of 17 December 2013, as subsequently amended and supplemented, (d) authorization for the acquisition of shareholdings entrusting
control or significant influence in financial or instrumental companies headquartered in non- EU countries (other than the United States,
Japan, Canada, and Switzerland);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) an application to IVASS for the authorization to acquire a qualified indirect interest in Assicurazioni
Generali S.p.A., pursuant to Articles 68 et seq. of Legislative Decree No. 209 of 7 September 2005;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;e) all other applications to obtain the necessary prior authorisations pursuant to the sector regulations
in relation to the Offer, including those requested from the competent foreign authorities; as well as the applications to the European
Central Bank and the Bank of Italy for prior authorisation for the (indirect) acquisition of a shareholding resulting in the exercise
of control or significant influence in financial, insurance or instrumental companies headquartered in a non-EU country.

It is also noted that BMPS has submitted the following additional filings for the authorizations required for the completion of the Transaction (the "**Other Authorizations**" and, together with the Preliminary Authorizations, the "**Authorizations**"). In particular:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) an antitrust authorization application was submitted to the AGCM, pursuant to and for the purposes of
Article 16 of Law No. 287 of 10 October 1990, as it constitutes a concentration transaction subject to the notification obligation under
Article 16, paragraph 5, of Law No. 287/90;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) a notification was submitted to the Presidency of the Council of Ministers pursuant to and for the purposes
of Article 2 of the Golden Power Decree;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) a notification was submitted to the European Commission pursuant to and for the purposes of Regulation
(EU) 2022/2560 on foreign subsidies distorting the internal market; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) the other applications for the authorisations required for the completion of the Offer.

For the sake of completeness, it should be noted that, on 20 March 2025, the European Commission issued its authorisation, without prescriptions, limitations or conditions, pursuant to Regulation (EU) 2022/2560 on foreign subsidies distorting the internal market.

**2.1.3** **Capital Increase Reserved to the Offer** 

As indicated above, the Offer Consideration consists of newly issued BMPS Shares pursuant to the Delegation, whether granted, in execution of the Capital Increase Reserved to the Offer.

The BMPS Shares will be issued only if all the Conditions of Effectiveness of the Offer are met or waived, in whole or in part, by BMPS.

As previously mentioned, BMPS has resolved, in accordance with Article 2440, paragraph 3, of the Italian Civil Code, to benefit from the provisions of Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code for the valuation of the Shares Subject to the Offer, subject to contribution. This regulation allows, in particular, not to require the sworn evaluation report of the assets contributed by an expert appointed by the Court in the district where the transferee company is based (*i.e.*, the Court of Siena), provided that the value attributed to the assets contributed in kind, for the purpose of determining the share capital and any premium, is equal to or less than the value resulting from an appraisal dated no more than six months before the contribution and in compliance with the principles and criteria generally recognized for the valuation of the assets contributed, provided that such appraisal is conducted by an expert who is independent from the party making the contribution, from the transferee company, and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is equipped with adequate and proven expertise (for further details, see Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code.

The decision to use, in line with market practice in the case of public exchange offers, a valuation carried out by an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, was also justified by the need to evaluate the contribution of a significant block of Mediobanca shares and not of individual listed securities.

BMPS has therefore mandated KPMG Corporate Finance, a division of KPMG Advisory S.p.A., pursuant to Articles 2440, paragraph 2, and 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, to prepare the valuation of the Shares Subject to the Offer.

On 14 March 2025, KPMG Corporate Finance, a division of KPMG Advisory S.p.A. issued its report on the valuation of Mediobanca's shares, which was made available to the public according to the terms and procedures provided for by the laws and regulations in force, to increase the shareholders' awareness (available on the Bank's website, in the Corporate Governance – Shareholders' Meetings and BoD section, at *<u>https://www.gruppomps.it/en/</u>* as well as at the following link *<u>https://www.gruppomps.it/en/corporate- governance/voluntary-public-exchange-offer.html</u>*).

In the appraisal, KPMG Corporate Finance, a division of KPMG Advisory S.p.A., to which full reference is made, concluded that as of 14 March 2025, based on the financial position as of 31 December 2024, and on the elements and methods outlined in its document, the fair value of Mediobanca shares was not less than Euro 16.406 for each Mediobanca shares cum dividend, or equal to Euro 15.852 per each Mediobanca share, ex dividend. A copy of this report is attached to this Information Document as <u>Annex C</u>.

It should be noted that, Article 2443, paragraph 4, of the Italian Civil Code provides that, in cases where the transferee company has opted for the valuation of the contributed assets pursuant to the special provisions of Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code, one or more shareholders representing, and who represented at the date of the board resolution for the capital increase, at least one-twentieth of the share capital prior to the increase, may request, within 30 days from the filing in the Companies' Register of the board resolution for the capital increase, that, on the initiative of the directors and pursuant to and for the purposes of Article 2343 of the Italian Civil Code, a new valuation of the contributed assets be carried out through a sworn report by an expert appointed by the competent Court (*i.e.*, the Court of Siena).

Furthermore, the aforementioned provisions of Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code, applied together with the rules governing the capital increase delegated by the Shareholders' Meeting to the Board of Directors (and, in particular, Article 2443, paragraph 4, first sentence, of the Italian Civil Code), provide that the Board of Directors of BMPS, pursuant to the combined provisions of Articles 2343-*quater* and 2440 of the Italian Civil Code, must issue, within 30 days from the execution of the contribution or, if later, from the date of filing in the Companies' Register of Arezzo – Siena of the board resolution for the Capital Increase Reserved to the Offer, a declaration containing the information referred to in letters a), b), c), and e) of Article 2343-*quater*, paragraph 3, of the Italian Civil Code; namely: a) the description of the contributed assets (in this case, the Shares Subject to the Offer) for which the report referred to in Article 2343, paragraph 1, of the Italian Civil Code has not been prepared; b) the value attributed to these assets, the source of such valuation, and, if applicable, the valuation method; c) the declaration that this value is at least equal to that attributed to them for the purpose of determining the share capital and any premium; and e) the declaration of the adequacy of the expertise and independence requirements of the expert referred to in Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code.

Regarding the declaration containing the information referred to in the aforementioned letters a), b), c), and e) of Article 2343-*quater*, paragraph 3, of the Italian Civil Code, it is expected that this declaration will be issued by the Board of Directors of BMPS, which will resolve on the Capital Increase Reserved to the Offer and be included in the related board resolution that will be registered with the Companies Register of Arezzo – Siena.

As for letter d) of Article 2343-*quater*, paragraph 3, of the Italian Civil Code, Article 2443, paragraph 4, last sentence, of the Italian Civil Code provides that "*the declaration that no exceptional or significant events have occurred that affect the valuation referred to in letter b)*" will be filed by the directors of the transferee company with the Companies' Register only after the 30-day period, described above, granted to the qualified minority of the transferee company to request a new valuation pursuant to Article 2343 of the Italian Civil Code, has elapsed.

Furthermore, it should be noted that, considering the provisions of Article 2343-*quater*, paragraph 4, of the Italian Civil Code, until the declaration by the directors of BMPS with the contents referred to in letter d) of that article is registered in the Companies Register of Arezzo-Siena, the BMPS Shares issued in execution of the Capital Increase Reserved to the Offer and that will be allocated to the Participants as the Offer Consideration will be unavailable (and therefore cannot be sold) and must remain deposited at BMPS.

It is also expected that, the registration of such a declaration by the BMPS directors with the competent Companies' Register will occur in a timely manner prior to the Payment Date to allow the BMPS Shares, which will be assigned to the Participants as the Offer Consideration, to be freely available to them on the Payment Date itself.

Therefore, it should be noted that, if:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) within 30 (thirty) days from the date of registration
in the Companies' Register of Arezzo – Siena of the
board resolution for the Capital Increase Reserved to the Offer, a qualified minority exercises the rights provided for in Article 2443,
paragraph 4, of the Italian Civil Code; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) by the Payment Date, the BMPS Board of Directors determines that exceptional events or significant new
facts have occurred that significantly alter the value of the contributed assets (*i.e.*, the value attributed to the Shares Subject
to the Offer for the purposes of the Capital Increase Reserved to the Offer) and therefore prevent the issuance of the aforementioned
declaration under letter d);

the BMPS Board of Directors will have to conduct a new valuation of the contributions in kind (*i.e.*, the Shares Subject to the Offer) pursuant to Article 2343 of the Italian Civil Code and thus initiate the ordinary valuation process for contributions in kind under Article 2343 of the Italian Civil Code. This will involve requesting the competent Court (*i.e.*, the Court of Siena) to appoint an expert who will prepare, in compliance with the applicable regulations, a sworn valuation report of the contributed assets. Furthermore, pursuant to Article 2343 of the Italian Civil Code, if the verification process of the sworn report by the Board of Directors reveals that the value of the contributed assets is less by over than one fifth of the value for which the contribution was made, BMPS will have to apply the relevant provisions provided for in Article 2343 of the Italian Civil Code.

That being said, also in order to ensure that the KPMG's report refers to a date no more than six months prior to the contribution, in compliance with Article 2343*-ter*, second paragraph, letter b), of the Italian Civil Code, it cannot be ruled out that, close in time to the execution of the Delegation, BMPS' Board of Directors may request an update to the aforesaid report that reflects, in its assessment, updated information on Mediobanca and on the economic and market situation.

For the sake of completeness, it should be noted that, the above-described provisions will apply, *mutatis mutandis*, in the event that the conditions for the reopening the terms and/or for complying with the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, and/or for complying with the Joint Procedure, are met.

It should be noted that PwC, as the company entrusted with the statutory audit of BMPS' accounts, has been appointed and will issue its fairness opinion on the issue price of the BMPS Shares to be offered in the Offer, pursuant to Article 2441, paragraph six, of the Italian Civil Code and Article 158 of the TUF. Therefore, on the occasion of exercising the Delegation for the Capital Increase Reserved to the Offer, PwC will issue the aforementioned fairness opinion on the issue price of the BMPS Shares to be offered in exchange as part of the Offer. Pursuant to Article 70, paragraph 7 of the Issuers' Regulation, this opinion will be made available to the public within the terms and in the manner prescribed by law.

**2.1.4** **Offer Consideration** 

The Offeror's Communication provides that BMPS shall offer to the participants to the voluntary exchange offer, for each 10 Mediobanca shares tendered in acceptance of the Offer, as Consideration, No. 23 newly issued BMPS ordinary shares having the same features as the currently outstanding BMPS ordinary shares: this is equivalent to a ratio of No. 2.300 newly issued BMPS ordinary shares for each Mediobanca share tendered in acceptance of the voluntary exchange offer, without prejudice to what is specified below, with reference to the treatment of Fractional Shares deriving from the exchange.

The aforementioned Exchange Ratio was determined by the Board of Directors of BMPS based on its own assessments and considerations, carried out with the advice and support of its financial advisors, and as indicated in the Offeror's Communication, the Consideration has been determined on the assumption that, prior to the Payment Date of the Offer: (*x*) neither Mediobanca nor the Offeror will approve or carry out any ordinary

(including interim dividends) or extraordinary distributions of dividends drawn from profits and/or other reserves; and (*y*) Mediobanca will not approve or carry out any transaction involving its share capital and/or Mediobanca shares.

As indicated in the Offeror's Communication, the Offer's Consideration may be subject to adjustment. In particular*,* it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed*". In addition, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any transaction involving the share capital and/or on the Mediobanca shares, while in any case the Offeror retains the right to exercise (or to waive its right to exercise) of the relevant Condition of Effectiveness, where applicable, in relation to such individual event.

In light of the above, it should be noted that, on 6 March 2025, the Board of Directors of BMPS resolved to propose to the ordinary Shareholders' Meeting of the Bank the allocation of a total of Euro 1,083 million deriving from the net profit resulting from the draft financial statements as of 31 December 2024 (equal to Euro 1,923 million), to its Shareholders, as a dividend corresponding to Euro 0.86 per share. The dividend, subject to its approval by the shareholders' meeting, will be paid on 21 May 2025, with an ex-dividend date on 19 May 2025 (record date being on 20 May 2025).

Furthermore, it should be noted that, on 10 February 2025, Mediobanca's Board of Directors announced to the market – on the occasion of the approval of Mediobanca's half-year report as of 31 December 2024 – the distribution of an interim dividend to its shareholders in May 2025 (and the corresponding balance in November 2025). In the event that the coupon of the aforesaid interim dividend (and the corresponding balance) is actually detached, or the interim dividend (and the corresponding balance) is paid before the Offer, the Offer's Consideration will be consequently and consistently adjusted to take this circumstance into account.

Separately, and in any event, the Offer's Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

Finally, in the event that the Board of Directors of Mediobanca, in execution of the delegation granted by the extraordinary Shareholders' Meeting of Mediobanca on 28 October 2024, proceeds – prior to the Payment Date of the Offer – with the cancellation of the Treasury Shares purchased in execution of the authorization from the same ordinary Shareholders' Meeting of Mediobanca on 28 October 2024, and/or any transactions to reduce the number of outstanding Mediobanca shares and/or the payment of the interim dividend or the related balance thereof, and subject to adjustments and/or modifications relating to the content and/or structure of the Offer, it will not be necessary to issue the entire Maximum Share Amount.

**2.1.5** **Criteria Followed for Determining the Consideration** 

The Offeror's Communication provides that BMPS shall offer to the participants to the voluntary exchange offer, for each 10 Mediobanca shares tendered in acceptance of the Offer, as Consideration, No. 23 newly issued BMPS ordinary shares having the same features as the currently outstanding BMPS ordinary shares: this is equivalent to a ratio of No. 2.300 newly issued BMPS ordinary shares for each Mediobanca share tendered in acceptance of the voluntary exchange offer, without prejudice to what is specified below, with reference to the treatment of Fractional Shares deriving from the exchange.

The aforementioned Exchange Ratio was determined by the Board of Directors of BMPS based on its own assessments and considerations, carried out with the advice and support of its financial advisors, and as indicated in the Offeror's Communication, the Consideration has been determined on the assumption that, prior to the Payment Date of the Offer: (x) neither Mediobanca nor the Offeror will approve or carry out any ordinary (including interim dividends) or extraordinary distributions of dividends drawn from profits and/or other reserves; and (y) Mediobanca will not approve or carry out any transaction involving its share capital and/or Mediobanca shares.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

For the purposes of the Offer, in light of the nature of the Consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of Mediobanca tendered in acceptance of the Offer, the Board of Directors of BMPS proceeded to carry out a valuation of the shares of Mediobanca and of BMPS, with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. The considerations and estimates made are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors in order to determine the Exchange Ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the valuation methodologies applied.

The valuation methodologies and the resulting economic values of the shares of Mediobanca and of BMPS were identified for the purpose of determining the number of BMPS Shares to be issued for the voluntary exchange offer, based on its outcome. Under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under consideration.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the Announcement Date and to the patrimonial-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In particular, the BMPS Board of Directors decided to use, for the purpose of the determination of the Consideration:

- the Stock Market Price Method;

- the market multiples method in the variant of the stock market price of comparable listed companies on their prospective earnings; and

- the target price methodology highlighted by research analysts.

The choice of the methodologies and the results of the valuation analyses carried out by BMPS as at the Reference Date for the purpose of determining the exchange ratio must be interpreted in light of the following main limitations and difficulties:

(i) the Bank used exclusively public data and information for the purposes of its analyses;

(ii) the Bank did not perform any financial, legal, commercial, tax, business or any other due diligence activities on Mediobanca;

(iii) as at the reference date, an updated business plan for Mediobanca with a time horizon consistent with that of BMPS was not publicly
available. Accordingly, where relevant to the application of the valuation

methods, the projections of future economic performance used for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while, for Mediobanca, were derived on the basis of the estimates provided by research analysts;

(iv) the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently limited by a number of
factors.

The following is a summary description of each of the methodologies used to determine the Offer's consideration:

(a) <u>Stock Market Price Method</u>: the Stock Market Price Method uses market prices as the relevant information for estimating the
economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals of time deemed
significant and on the assumption that there is a correlation between the prices expressed by the market for the shares of the companies
being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing in relative terms
the relationship existing between the values of the companies in question as perceived by the market.

In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so- called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the Announcement Date (*i.e.*, 24 January 2025).

The following table shows (i) the implied exchange rates and (ii) the premiums that the Consideration incorporates based on the BMPS and Mediobanca Weighted Average Prices recorded on the Reference Date and in the periods indicated below prior to the Reference Date (included).

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Weighted Average Price (Euro)** | **Weighted Average Price (Euro)** | | |
| <br>**Reference Period** | **BMPS** | **Mediobanca** |<br>**Implied Exchange<br> Ratio (x)** |<br>**Implied Premium <br> vs. Market Prices** |
| Values based on the prices as of 23 January 2025 | 6.953 | 15.227 | 2.190 | 5.03% |
| Values based on the weighted average prices over 1 month (including 23 January 2025) | 6.954 | 14.795 | 2.127 | 8.11% |
| Values based on the weighted average prices over 2 months (including 23 January 2025) | 6.547 | 14.363 | 2.194 | 4.84% |
| Values based on the weighted average prices over 3 months (including 23 January 2025) | 6.099 | 14.508 | 2.379 | (3.31)% |
| Values based on the weighted average prices over 6 months (including 23 January 2025) | 5.567 | 14.703 | 2.641 | (12.91)% |
| Values based on the weighted average prices over 12 months (including 23 January 2025) | 4.724 | 13.928 | 2.948 | (21.99)% |

---

(b) <u>Market Multiples Method</u>: according to the market multiples method, the value of a company is determined
by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company
being valued.

The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multipliers thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time).

The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations.

It should be noted that, given the differences between the business models of BMPS and Mediobanca, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purpose of the evaluation of BMPS, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purpose of the evaluation of Mediobanca, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration.

The market multiples were applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date).

The following table shows the Price/Projected Earnings multiples for 2025 and 2026 of the selected companies as of the Reference Date, based on the consensus estimates of research analysts for 2025 and 2026, as provided by the information provider FactSet as of the Reference Date. For illustrative purposes and completeness, the table also shows the multiples of Mediobanca based on the prices as of the Reference Date and on the implied valuation of the Consideration based on the BMPS price as of the Reference Date.<sup>1</sup>

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| | | |
|:---|:---|:---|
| | **Projected Price/ Earnings** | **Projected Price/ Earnings** |
| <br>**Comparable Companies** | **2025** | **2026** |
| Intesa Sanpaolo | 8.2 x | 8.1 x |
| UniCredit | 7.5 x | 7.6 x |
| Banco BPM | 8.4 x | 8.6 x |
| BPER | 7.2 x | 7.1 x |
| Credito Emiliano | 7.8 x | 8.1 x |
| Banca Popolare di Sondrio | 8.8 x | 9.3 x |
| FinecoBank | 18.6 x | 17.8 x |
| Banca Generali | 15.3 x | 14.7 x |
| Banca Mediolanum | 10.7 x | 10.7 x |
| **Mediobanca** | **9.6** **x** | **9.2** **x** |
| **Mediobanca at the Offer's Consideration** | **10.0** **x** | **9.7** **x** |

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<sup>1</sup> The content of the above table does not imply any judgment by BMPS on any of the banking companies listed therein, except for Mediobanca, nor does it represent any opinion regarding investment or divestment evaluations related to any financial instrument or security.

For the purposes of the valuation analysis of Mediobanca, in light of the fact that a significant portion of Mediobanca's profitability is generated by the qualified investment in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company is listed, the market valuation has been used in this regard.

(c) <u>Research analysts'</u> <u>target price method</u>: the target price method determines the value of a company based on the target prices that financial analysts publish
on the company. Target prices are indications of value that express an assumption about the price that a share can reach on the stock
market and are derived from multiple valuation methodologies used at the discretion of the individual research analyst.

For the purpose of applying the target price methodology, the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September 2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used.

The valuation methodologies described above have been applied on an individual and business continuity basis for both the Bank and Mediobanca and also taking into account the specific features of the Offer.

In order to determine the exchange ratio, ranges of values were identified for each valuation method, *i.e.*: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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| | | |
|:---|:---|:---|
| | **Implied exchange ratio** | **Implied exchange ratio** |
| <br>**Methodology** | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market Multiples Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price method highlighted by research analysts</u> | 2.046x | 2.433x |

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Finally, it should be noted that, the Board of Directors of BMPS has mandated the firm appointed for the statutory audit of BMPS' accounts, PwC, to prepare, on a voluntary basis and according to the criteria indicated in the ISAE "*3000 revised*" – *limited assurance appointment*, a report regarding the adequacy, in so far as is reasonable and nondiscretionary, of the criteria adopted by the same Board for determining the exchange ratio in the context of the voluntary exchange offer, in accordance with the national and international valuation practice and professional techniques applicable to transactions of this nature. Such report is attached to this Information Document as <u>Annex A</u>.

**2.1.6** **Funding methods for the Offer** 

In light of the nature of the Offer as a public exchange offer, the Consideration for the Offer consists of newly issued BMPS Shares.

BMPS has not taken on, and will not take on, any financing related to the payment of the Consideration for the Offer. Specifically, BMPS will meet the needs arising from the obligations to pay the Consideration for the Offer – calculated on the assumption of total acceptance of the Offer based on the maximum number of Shares Subject to the Offer – through the Capital Increase Reserved to the Offer.

If the completion of the Offer results in the legal conditions for the Sell-Out pursuant to Article 108, paragraph 2, of the TUF, and/or the Sell-Out pursuant to Article 108, paragraph 1, of the TUF, and the Squeeze-Out, the remaining Mediobanca shareholders have the right, within the relevant procedure for complying with the Sell- Out pursuant to Article 108, paragraph 2, of the TUF, and/or the Joint Procedure, if applicable, to request payment of the Full Cash Consideration in place of the Consideration.

In this regard, to cover any financial needs arising from the obligations to pay the Full Cash Consideration in place of the Consideration, BMPS plans to use its own resources.

**2.1.7** **BMPS'** **Shareholding Structure** 

As of the Information Document Date, based on the communications received pursuant to Article 120 of the TUF and other information available to BMPS, the shareholders holding more than 3% of the ordinary share capital or voting rights of BMPS are listed in the following table.

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| | | |
|:---|:---|:---|
| **Declarant or Subject at the Top <br> of the Ownership Chain** | **Direct Shareholder** | **% of Share Capital and Voting Rights<br> of the Direct Shareholder** |
| Delfin S.A.R.L. | Delfin S.A.R.L. | 9.780% |
| Banco BPM S.p.A. | Banco BPM S.p.A. | 5.003% |
| Anima Holding S.p.A. | Anima Holding S.p.A. | 3.992% |
| Ministero dell'Economia e delle Finanze | Ministero dell'Economia e delle Finanze | 11.731% |
| Caltagirone Francesco Gaetano | Ausonia S.r.l. | 0.056% |
| Caltagirone Francesco Gaetano | Esperia 15 S.r.l. | 0.056% |
| Caltagirone Francesco Gaetano | MK 87 S.r.l. | 0.040% |
| Caltagirone Francesco Gaetano | Istituto Finanziario 2012 S.p.A. | 0.556% |
| Caltagirone Francesco Gaetano | Gamma S.r.l. | 0.992% |
| Caltagirone Francesco Gaetano | Azufin S.p.A. | 1.191% |
| Caltagirone Francesco Gaetano | VM 2006 S.r.l. | 1.746% |
| Caltagirone Francesco Gaetano | Mantegna 87 S.r.l. | 0.103% |
| Caltagirone Francesco Gaetano | Calt 2004 S.r.l. | 0.127% |
| Caltagirone Francesco Gaetano | Finanziaria Italia 2005 S.r.l. | 0.159% |
| Caltagirone Francesco Gaetano | **Total** | **5.026%** |

---

The percentages shown in the previous table, as published on the Consob website and derived from communications made by shareholders pursuant to Article 120 of the TUF, may not be up-to-date and/or consistent with the data processed and published by other sources (including the BMPS website), in cases where subsequent changes in shareholding did not trigger any communication obligation by the shareholders.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of the issuance of the entire Maximum Share Amount and therefore in an extremely prudent scenario and according to a highly conservative approach that factors in (i) BMPS' proposed dividend distribution for the financial year as of 31 December 2024 recently approved by the Board of Directors of BMPS and not yet approved by the BMPS' Shareholders' Meeting, and (ii) the maximum number of 16,178,862 Additional Shares to serve the Incentive Plans (in the event that they are revised by the competent bodies of Mediobanca to provide for their acceleration, where provided for by the individual Plans, although some Plans provide for the possibility of using Mediobanca treasury shares in its portfolio, instead of the Additional Shares), without taking into account any further circumstances that could lead to a reduction in the number of BMPS shares to be issued to service the Offer (including, by way of example, any possible adjustments due to the ex-dividend date

and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the related balance and/or the possible cancellation of its treasury shares by Mediobanca).

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| | |
|:---|:---|
| **Shareholder** | **Shareholding** |
| Delfin S.a.r.l. | 15.7% |
| Caltagirone Francesco Gaetano | 5.3% |
| Ministero dell'Economia e delle Finanze | 4.2% |
| Banca Mediolanum S.p.A. | 2.1% |
| Banco BPM S.p.A. | 1.8% |
| Anima Holding S.p.A. | 1.4% |
| Other shareholders | 69.5% |
| **Total** | **100%** |

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As of the Information Document Date, the Bank has issued only ordinary shares and has not issued any shares granting special voting rights or other rights different from those of ordinary shares.

As of the Information Document Date, to the best of BMPS' knowledge, no entity exercises control over the Bank pursuant to Article 93 of the TUF, and there are no shareholders' agreements concerning BMPS that are significant pursuant to Article 122 of the TUF.

**2.2** **Rationale and purpose of the Transaction** 

**2.2.1** **Rationale and purpose of the Transaction and BMPS'** **management objectives** 

Without prejudice to BMPS' decisions regarding the fulfilment (or non-fulfilment) of the Threshold Condition under the terms specified in the Offer Document, the objective of the Offer, in light of the motivations and future plans related to Mediobanca, as further specified below, is to acquire the entire share capital of Mediobanca and achieve the Delisting of the Shares Subject to the Offer, thereby promoting the objectives of integration, synergy creation, and growth between BMPS and Mediobanca.

Over the past three years, BMPS has consistently strengthened its fundamentals, consolidated the sustainability of its business model and improved its risk profile, thereby achieving solid profitability levels. Additionally, the MPS Group has managed to exceed most of the targets of the 2022-2026 business plan two years ahead of schedule and has achieved one of the strongest capital positions in Europe, laying a solid foundation to play an active role in the broader consolidation landscape of the Italian banking sector.

The aggregation between BMPS and Mediobanca, which will be carried out in compliance with the principles of sound and prudent management, operational continuity, and risk control, aims to create a New National Champion by combining two prominent names in the financial services market. The objective is to strengthen the sustainability of the business model, ensuring solid profitability levels in the medium-long term.

BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and allows for a significant creation of value for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets, and a highly diversified, resilient player with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full optimisation of existing human capital.

In a market currently experiencing a phase of consolidation, BMPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in certain key areas and sectors, also to better seize future growth options. This will increase support for households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

The new group will be able to count on Mediobanca's distinctive expertise in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance and of BMPS' in the Retail and Commercial Banking. Furthermore, the investment in Assicurazioni Generali S.p.A. will also positively contribute to the diversification of revenues of the new MPS Group and will be managed in the same way as the other lines of business, according to a careful discipline for capital optimisation and a strong risk-adjusted profitability approach.

The combination will also offer employees of each institution the opportunity to develop their careers in a larger organisation, enhancing their talent through opportunities for mutual enrichment and integration. At the same time, it will help attracting new high-profile resources, enhancing their skills and professionalism with the aim of consolidating a sustainable and competitive growth model.

Furthermore, the Transaction, in line with an underlying medium/long-term logic, will make it possible to consolidate the sustainability strategies of the two banks, leveraging their respective ESG capabilities to strengthen the positioning of the combined entity and promote its commitment to the communities and territories where it is rooted.

BMPS' high standards of corporate governance will be maintained throughout the integration process and thereafter, ensuring transparency, accountability and a balanced approach that respects all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

**2.2.2** **Programs developed by BMPS and business prospects related to the Potential Acquisition** 

Below are the future programs developed by BMPS concerning Mediobanca in the event of completion of the Offer and the achievement of the Potential Acquisition, specifically: (i) a description of the strategic and business objectives of Mediobanca within the MPS Group following completion of the Offer; (ii) a description of the synergies resulting from the strategic and business objectives of Mediobanca within the MPS Group following completion of the Offer.

***A.***  ***<u>Strategic and business objectives of the integration of Mediobanca into the MPS Group</u>*** 

The acquisition of Mediobanca allows to accelerate the implementation of the strategic guidelines of BMPS' 2024-28 Business Plan, which focuses on: (i) the growth of specialized activities generating high fees; (ii) the development of new service models for value-added activities; (iii) the expansion of financing solutions for households and the development of new services for SMEs; (iv) the renewal and optimization of distribution platforms; and (v) the adoption of a zero-based risk approach for more effective risk management.

BMPS and Mediobanca operate with specialized business models and present multiple complementarities that will allow the creation of a New National Champion with a distinctive and resilient business model, capable of

meeting the needs of households and businesses. This new entity will be characterized by a wide range of banking products, a balanced funding mix, and a solid capital and liquidity position.

Specifically, for the various business lines covered by the two entities, the following strategic development guidelines are expected.

*<u>Retail Banking</u>*

The expertise gained by BMPS over the decades will enable the expansion of Mediobanca's Retail business, particularly the customer bases of Compass and Premier, through the offering of BMPS' core products such as accounts, credit cards, and mortgages.

Additionally, BMPS will be able to leverage its nationwide branch network, allowing Compass, Premier, and potentially all Mediobanca customers to benefit from its extensive presence to meet their financial needs.

*<u>Wealth & Asset Management</u>*

The Transaction will enable the creation of a leading player in Wealth Management, due to the combination of BMPS and Mediobanca's expertise in Private Banking, with the contribution from certain companies and product companies, as well as in asset gathering, through the integration of over 1,200 financial advisors active in Banca Widiba and Premier, and about 500 bankers, allowing:

· the strengthening of the distribution networks in the market, maintaining
the current portfolio size and profitability standards, thanks to accelerated growth facilitated by the immediate achievement of a critical
mass in the financial advisor networks;

· the increased profitability and customer penetration, through the promotion
of alternative products (*e.g.*, investment funds, OEIC) and alignment with Mediobanca ' s
best practices also to BMPS ' clients.

*<u>Corporate & Investment Banking</u>*

The Transaction will enable BMPS' balance sheet potential to be combined with Mediobanca's Investment Banking activities and to activate an intensive development programme to support the growth of companies throughout Italy.

The complementarity between the customer segments served (SMEs and Large Corporates) and the range of products offered by BMPS and Mediobanca to corporate clients will enable the creation of a leading operator in Corporate & Investment Banking (CIB). This will result in a broad and comprehensive offering, covering all major products, including the commercial banking services strictly linked to financial advisory, the Capital Markets, the Structured Finance CIB, the access and execution in financial markets, and the specialty finance services such as factoring.

The combined entity will assume a leadership position in Equity Capital Markets and M&A, allowing the MPS Group to capture growth opportunities in the mid-market segment, where BMPS has a consolidated presence and is experiencing significant development, through:

· the enhancement of the Mediobanca ' s
vertical expertise in the areas of M&A, Equity & Debt Capital Markets, improving penetration of the combined customer base through
cross-selling and up-selling strategies;

· the offering of Advisory services, particularly M&A, to medium and large
corporate clients;

· the strengthening of the offer of structured and specialty finance for the
corporate sector, also supported by a more balanced funding mix, leveraging BMPS ' commercial funding capacity;

· the access for the Premier clients to BMPS ' branch network across Italy.

*<u>Consumer Finance</u>*

The unique positioning of Compass in the consumer credit sector will benefit from a further boost through the enhancement of the existing partnership with BMPS and increased penetration in the retail customer base through:

· the leverage of the consolidated expertise of both banks – specifically Mediobanca – in providing consumer credit solutions,
expanding the range of available products and improving access to credit for a diversified clientele;

· the optimization of products ' offering such as personal loans, financing solutions, and salary-backed loans, promoting an efficient and competitive service model that
integrates the resources and distribution networks of both groups.

*<u>Insurance</u>*

Besides additional revenues in the core segments of both entities, BMPS will have the chance to expand its bancassurance offering through:

· the introduction of Credit Protection Insurance (CPI) policies on newly
issued personal loans, increasing penetration of Mediobanca ' s customer
base by capitalizing on BMPS ' existing offering;

· the enhancement of customer penetration, by integrating banking products
with existing insurance products in the portfolio.

***B.***  ***<u>Synergies resulting from the strategic and business objectives of Mediobanca within the MPS Group following completion of the Offer</u>*** 

The combination is entirely consistent with BMPS' strategic guidelines as defined in the 2024-28 business plan and will enable significant revenue growth and major cost and funding synergies, to be achieved by means of a smooth implementation process.

The total expected synergies from the Transaction, once fully operational, amount to approximately Euro 0.7 billion per year before taxes, divided into revenue synergies (Euro 0.3 billion), cost synergies (Euro 0.3 billion), and funding synergies (Euro 0.1 billion). The one-time integration costs necessary to achieve these synergies are estimated at around Euro 0.6 billion before taxes and will be accounted for in the first year.

In terms of revenues, the transaction will generate synergies of approximately Euro 0.3 billion per year, thanks to the expansion of the range of products and services for households and businesses, the development of an integrated offer to the respective customer bases, the strengthening of the capacities of the product factories and an increase in the penetration and expansion of the reference markets, according to the strategic and business objectives of the Transaction. In particular, a significant contribution is expected from the increased penetration of consumer credit and mortgage products, the integration of the investment value chain, the sharing of best practices in asset gathering, the provision of Advisory services to BMPS' corporate customers and the strengthening of the offering to small business and SMEs, leveraging the joint network of the new entity.

The transaction will also generate significant cost synergies in terms of administrative expenses and will allow for the targeted optimisation of overlapping functions. In addition, savings will be derived from the rationalization of the combined investment plan of the two banks, thus avoiding duplication of investments in the areas subject to the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

· the centralisation of procurement from large suppliers and the extension of best practice in terms of
cost governance;

· the optimisation of IT investments and digital
 transformation for shared areas, for example for the BMPS ' consumer finance platform;

· the optimisation of wealth management support activities for both Private Banking and Asset Gathering;

· the combined development and optimisation of the platform for Corporate companies;

· the optimisation of the duplications in central functions, both in operational and resource terms.

Furthermore, the combination will allow synergies in funding to be realized for approximately Euro 0.1 billion per year due to a more balanced funding mix, leveraging BMPS' commercial funding capacity and optimizing the combined entity's wholesale funding position.

The industrial project, characterized by the significant complementarity of the two business models (which significantly reduces the execution risk), will be carried out with a straightforward integration and one-off integration costs estimated at approximately Euro 0.6 billion before taxes, expensable in the first year.

The transaction also aims to accelerate the utilization of Deferred Tax Assets ("**DTA**") held by BMPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTA (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTA will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

The combined group will be strengthened, with a diversified revenue stream and a strong resilience capable of successfully competing in different scenarios, while also enabling significant value creation for all shareholders, supported by higher profitability compared to the standalone businesses and able to generate a double-digit growth in earnings per share adjusted for the tax rate.

Shareholders will benefit from a dividend policy that is sustainable over time, with growth in the dividend per share, while confirming BMPS' solid capital position (pro-forma Common Equity Tier 1 ratio of approximately 16% upon completion of the transaction).

It should be noted that, as of the Information Document Date, the Board of Directors of BMPS has not resolved any extraordinary transactions and/or corporate reorganizations following the successful outcome of the Offer.

In the event of completion of the Offer, and also following the Delisting of Mediobanca, BMPS does not rule out the possibility of evaluating the opportunity to carry out extraordinary transactions and/or corporate and business reorganizations in the future, in line with the objectives and motivations of the Transaction, which will be deemed appropriate to ensure the integration of BMPS and Mediobanca's activities, balancing the interests of all stakeholders involved.

**2.3** **Relations with the company subject to the Transaction and with the parties from/to whom activities have been acquired/disposed or received as contribution** 

**2.3.1** **Relevant relations maintained by BMPS, directly or indirectly through subsidiaries, with the company subject to the Transaction** 

As of the Information Document Date, there are no significant relations or agreements between BMPS, directly or indirectly through subsidiaries, and the Mediobanca Group, besides the existing distribution agreement with Compass, BMPS' partner in the consumer credit brokerage business.

**2.3.2** **Relevant relations and agreements between BMPS, its controlled companies, executives, and members of BMPS'** **board of directors, and the parties from/to whom activities have been acquired/disposed or received as contribution** 

As of the Information Document Date, there are no significant relations or agreements between BMPS, its controlled companies, executives, members of its board of directors, and the shareholders of Mediobanca.

For the sake of clarity, it is noted that certain entities holding stakes greater than 3% in Mediobanca also hold significant stakes (*i.e.*, greater than 3%) in BMPS. Furthermore, a BMPS' representative, appointed as a non- independent director, is a close relative of a significant shareholder of Mediobanca.

**2.4** **Documents available to the public** 

The following documents are made available to the public at the registered office of Banca Monte dei Paschi di Siena S.p.A., on the company's website (*<u>https://www.gruppomps.it/en/</u>* section "*Corporate Governance – Transactions with Related Parties*"), and on the authorized storage mechanism "eMarketSTORAGE" at *<u>www.emarketstorage.com</u>*:

- this Information Document;

- the Explanatory Report of the Board of Directors of BMPS, pursuant to Article 2441, paragraph 4, of the Italian Civil Code and Article 70 of the Issuers' Regulations;

- the voluntary report by PwC regarding the criteria used by the Board of Directors of BMPS for determining the Exchange Ratio within the Offer;

- the Expert's Report, drafted pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code;

- the Information Document pursuant to Article 5 of the Regulation on Related Party Transactions in relation to the Capital Increase Reserved to the Offer as a transaction with related parties.

**3.** **RELEVANT EFFECTS OF THE TRANSACTION** 

**3.1** **Any relevant effects of the Transaction on the key factors that influence and characterize BMPS'** **activities, as well as on the nature of the business conducted by BMPS itself** 

The Bank believes that the Transaction will not have relevant effects on the key factors of BMPS' activity and its business, considering that Mediobanca carries out complementary activities in similar and related sectors and areas.

Following the Transaction, the Bank will enhance its product and service offerings for households and businesses, developing an integrated offering for their respective customer bases, increasing market penetration, and expanding target markets. The aggregation between BMPS and Mediobanca, which will be carried out in compliance with the principles of sound and prudent management, operational continuity, and risk oversight, aims to create a New National Champion by combining two prominent brands in the financial services market, with the objective of strengthening the sustainability of the business model, ensuring solid profitability levels in the medium-long term. For further information in this regard, please refer to Paragraph 2.2.

Additionally, for more information on the financial, economic, and capital effects, please refer to the subsequent Paragraphs 4 and 5.

**3.2** **Consequences of the Transaction on the strategic programs concerning commercial, financial, and centralized service relations between the companies of the MPS Group** 

No significant consequences are expected on the strategic lines relating to commercial and financial relations and centralised services between the companies of the MPS Group.

**4.** **CONSOLIDATED INCOME STATEMENT, BALANCE SHEET AND FINANCIAL DATA RELATING TO THE MEDIOBANCA GROUP** 

**4.1** **Income statement, balance sheet, and financial data relating to the Mediobanca Group** 

**4.1.1** **Comparative table of reclassified balance sheets and income statements for the last two financial years of the Mediobanca Group** 

Below are the reclassified consolidated balance sheet and income statement of the Mediobanca Group for the financial years as of 30 June 2024 and 30 June 2023.

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| | | | | |
|:---|:---|:---|:---|:---|
| ***Reclassified consolidated balance sheet as of 30.06.2024 and 30.06.2023*** | ***Reclassified consolidated balance sheet as of 30.06.2024 and 30.06.2023*** | ***Reclassified consolidated balance sheet as of 30.06.2024 and 30.06.2023*** | ***Reclassified consolidated balance sheet as of 30.06.2024 and 30.06.2023*** | ***Reclassified consolidated balance sheet as of 30.06.2024 and 30.06.2023*** |
| **Reclassified consolidated Balance Sheet** | | | **in millions of Euros** | **in millions of Euros** |
| | |  | **Variations** | **Variations** |
| <br>**Assets** | **30 06 2024** | **30 06 2023** | **ass.** | **%** |
| Financial assets held for trading | 15409.5 | 9546.2 | 5863.3 | 61.4% |
| Treasury investments and cash | 11102.6 | 10378.5 | 724.1 | 7.0% |
| Debt securities in the banking book | 11340.7 | 10471.3 | 869.4 | 8.3% |
| Loans to customers | 52447.4 | 52549.2 | (101.8) | -0.2% |
| Investment securities | 4702.7 | 4367.7 | 335.0 | 7.7% |
| Tangible and intangible assets | 1595.0 | 1327.6 | 267.4 | 20.1% |
| Other assets | 2628.4 | 2983.3 | (354.9) | -11.9% |
| **Total Assets** | **99226.3** | **91623.8** | **7602.5** | **8.3%** |
|  |  |  | **Variations** | **Variations** |
| **Liabilities** | **30 06 2024** | **30 06 2023** | **ass.** | **%** |
| Collection | 63669.9 | 60506.2 | 3163.7 | 5.2% |
| Treasury collection | 10584.1 | 5470.0 | 5114.1 | 93.5% |
| Financial liabilities held for trading | 9504.7 | 9436.7 | 68.0 | 0.7% |
| Other liabilities | 4066.3 | 4598.7 | (532.4) | -11.6% |
| Funds from liabilities | 158.1 | 182.6 | (24.5) | -13.4% |
| Own funds | 9883.7 | 10299.5 | (415.8) | -4.0% |
| Third party assets | 86.1 | 104.1 | (18.0) | -17.3% |
| Operating result | 1273.4 | 1026.0 | 247.4 | 24.1% |
| **Total Liabilities and Net Equity** | **99226.3** | **91623.8** | **7602.5** | **8.3%** |

---

Below are some explanatory notes to the reclassified consolidated balance sheet items as of 30 June 2024, of the Mediobanca Group, extracted from the consolidated financial statements of the Mediobanca Group as of 30 June 2024.

The Group's total assets increased from Euro 91.6 billion to Euro 99.2 billion, largely due to increased treasury activities matched by short-term liabilities. The main balance sheet items show the following trend:

Net treasury investments, equal to the imbalance of the financial assets held for trading and Treasury investment and cash and Treasury collection and Financial liabilities held for trading, increased from Euro 5 billion to Euro 6.4 billion, due to greater investments in shares and bonds (as of 30 June 2024 equal to Euro 3.9 billion and Euro 3.5 billion, respectively) aimed at seizing market opportunities and improving results, supported by repurchase agreement and secured financing transactions (an increase of Euro 6.3 billion). Cash and cash equivalents deposited with the European Central Bank decreased from Euro 3.5 billion to Euro 2.6 billion.

Debt securities in the banking book amounted to Euro 11.3 billion (+8.3% compared to 30 June 2023), of which Euro 6.6 billion classified in the Hold to Collect & Sell (HTC&S) portfolio and Euro 4.6 billion in the Hold to Collect (HTC) portfolio, 78% of which are government bonds (Euro 8.9 billion), of which Euro 5.4 billion are Italian government bonds; the favourable market trend improves the valuation reserve from Euro - 73.2 million to Euro -9.2 million, reducing the unrecognised capital losses of HTC securities from Euro 85.4 million to Euro 44.2 million.

Loans to customers amount to Euro 52.4 billion, virtually unchanged compared to 30 June 2023, with growth in Consumer Finance (+5.1%, from Euro 14.5 billion to Euro 15.2 billion) – mainly driven by personal loans – which offset the decline in Corporate and Investment Banking (-3.2%, from Euro 19.6 billion to Euro 19 billion) which continues to suffer from weak demand in the Large Corporate segment (-4.3%, from Euro 16.7 billion to Euro 16 billion) despite the resilience of Factoring Services which stands at Euro 2.9 billion (+3.1% compared to June 2023). In the Wealth Management sector, the relevant figure recorded is Euro 16.8 billion, substantially unchanged compared to 30 June 2023.

Gross non-performing assets amount to Euro 1,336.7 million, showing a substantially stable trend compared to the previous year, accounting for 2.5% of total loans and with a hedging equal to 69%.

Investment securities increased from Euro 4.4 billion to Euro 4.7 billion, of which Euro 3.8 billion related to equity investments valued using the equity method, Euro 0.3 billion to investments in funds and Euro 0.6 billion to equity securities (including participatory instruments).

Funding as of 30 June 2024 amounted to Euro 63.7 billion, an increase of Euro 3.2 billion compared to last year, due to: (i) an increase in paper-based collection of Euro 5.3 billion as a result of new issuances of Euro 8.2 billion and repayments of Euro 2.9 billion, (ii) a reduction of Euro 4.3 billion in the T-LTRO quota (which went from Euro 5.6 billion to Euro 1.3 billion), and finally (iii) an increased in interbank funding of Euro 2.4 billion due to the inclusion of some non-recurring transactions.

Own funds amount to Euro 11.2 billion (Euro 11.3 billion as of 30 June 2023): the result for the year (Euro 1,273.4 million) is largely absorbed by the payment of dividends (of which the 2023 portion is equal to Euro 713.4 million and the 2024 interim dividend is equal to Euro 421.2 million); the decrease of Euro 158.7 million in the cash flow hedge valuation reserve is partially balanced by the increase (equal to Euro 40 million) of the reserve on financial assets with impact on overall profitability.

***Reclassified consolidated income statement as of 30.06.2024 and 30.06.2023***

 ****

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** |
|  | | | **Variations** | **Variations** |
|  | **30 06 2024** | **30 06 2023** | **ass.** | **%** |
| Interest margin | 1984.8 | 1801.0 | 183.8 | 10.2% |
| Treasury income | 172.2 | 205.7 | (33.5) | -16.3% |
| Commissions and other net income/charges | 939.4 | 842.8 | 96.6 | 11.5% |
| Equity method valuation | 510.4 | 453.9 | 56.5 | 12.4% |
| **Gross operating margin** | **3606.8** | **3303.4** | **303.4** | **9.2%** |
| Personnel costs | (804.5) | (728.3) | (76.2) | 10.5% |
| Administrative expenses: | (737.7) | (684.8) | (52.9) | 7.7% |
| **Structure costs** | **(1542.2)** | **(1413.1)** | **(129.1)** | **9.1%** |
| Net value adjustments/write-backs on loans to customers | (252.1) | (270.1) | 18.0 | -6.7% |
| Net value adjustments/write-backs on other financial assets | 13.9 | (7.3) | 21.2 | n.s. |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Other profit/losses | (90.2) | (185.8) | 95.6 | -51.5% |
| **Gross result** | **1736.2** | **1427.1** | **309.1** | **21.7%** |
| Income taxes | (436.7) | (394.4) | (42.3) | 10.7% |
| Result pertaining to third parties | (26.1) | (6.7) | (19.4) | n.s. |
| **Net profit** | **1273.4** | **1026.0** | **247.4** | **24.1%** |

---

Below are some explanatory notes to the reclassified consolidated income statement items as of 30 June 2024 of Mediobanca Group, extracted from the consolidated financial statements of the Mediobanca Group as of 30 June 2024.

The interest margin, equal to Euro 1,984.8 million, increased by 10.2% compared to the previous year, mainly due to the dynamics of Wealth Management.

Treasury income amount to Euro 172.2 million, down by 16.3% compared to last year.

Net commissions amounted to Euro 939.4 million (+11.5% compared to 30 June 2023) and mainly consisted of the following lines of business: Wealth Management amounted to Euro 489.4 million (+8.9% compared to last year), Corporate and Investment Banking amounted to Euro 360.6 million (+24.6% compared to 30 June 2023) and finally Consumer amounted to Euro 145.1 million (+5.7% compared to 30 June 2023).

Insurance valuations and other investments in accordance with the equity method are up 12.4% compared to the previous year due to the positive performance of Assicurazioni Generali (up from Euro 442.8 million to Euro 503 million).

Structure costs amounted to Euro 1,542.2 million (+9.1% compared to last year) with labour costs accounting for Euro 804.5 million (+10.5% compared to 30 June 2023) and administrative expenses for Euro 737.7 million (+7.7% compared to the previous year). The growth in the workforce (+216 resources) and the effects of contract renewals are reflected in the higher fixed component of remuneration, to which the variable portion is added. The trend in administrative costs remains linked to IT expenditure (+8.7%, from Euro 276 million to Euro 309 million). Marketing expenses also increased (+8%), as did travel and entertainment expenses.

Value adjustments on loans amounted to Euro 252.1 million (Euro 270.1 million recorded as of 30 June 2023), equal to a cost of risk of 48 bps, down by 4 bps compared to last year.

Value adjustments on other financial assets were positive for Euro 13.9 million (negative for Euro 7.3 million as of 30 June 2023) mainly due to write-backs of investment funds in the banking book portfolio.

Other profits/(losses) equal to Euro -90.2 million (Euro -185.8 million as of 30 June 2023) of which: (i) Euro 50.7 million for contributions to resolution funds, of which Euro 48.1 million for the Interbank Fund (Deposit Guarantee Schemes) and Euro 2.6 million for the Single Resolution Fund*;* (ii) Euro 31.7 million for the adaptation of the RAM brand; (iii) Euro 6.8 million of additional amortisation following the life recalculation of a large part of the IT software programs, and finally (iv) Euro 1 million relating to the Messier & Associés brand.

In light of these dynamics, the 2024 financial year closes with a net profit of Euro 1,273.4 million, with an increase of 24.1% compared to Euro 1,026.0 million recorded as of 30 June 2023.

**4.1.2** **Comparative table of reclassified balance sheets and income statements for the first half of the current financial year of the Mediobanca Group** 

Below are the reclassified consolidated balance sheet and income statement of the Mediobanca Group as of 31 December 2024, compared with the data as of 30 June 2024 as regards the balance sheet, and the data as of 31 December 2023 as regards the income statement.

***Reclassified consolidated balance sheet as of 31.12.2024 and 30.06.2024***

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified consolidated balance sheet** | | | | |
| | | | **Variations 30 06 24** | **Variations 30 06 24** |
| <br>**Assets** | **31 12 2024** | **30 06 2024** | **ass.** | **%** |
| Financial assets held for trading | 15171.8 | 15409.5 | (237.7) | -1.5% |
| Treasury investment and cash | 10386.4 | 11102.6 | (716.2) | -6.5% |
| Debt securities in the banking book | 12063.4 | 11340.7 | 722.7 | 6.4% |
| Loans to customers | 53858.5 | 52447.4 | 1411.1 | 2.7% |
| Investment securities | 4991.7 | 4702.7 | 289.0 | 6.1% |
| Tangible and intangible assets | 1639.2 | 1595.0 | 44.2 | 2.8% |
| Other assets | 1800.7 | 2628.4 | (827.7) | -31.5% |
| **Total Assets** | **99911.7** | **99226.3** | **685.4** | **0.7%** |
|  |  |  | **Variations** **30 06 24** | **Variations** **30 06 24** |
| **Liabilities** | **31 12 2024** | **30 06 2024** | **ass.** | **%** |
| Collection | 64210.7 | 63669.9 | 540.8 | 0.8% |
| Treasury collection | 11840.5 | 10584.1 | 1256.4 | 11.9% |
| Financial liabilities held for trading | 9095.4 | 9504.7 | (409.3) | -4.3% |
| Other liabilities | 3295.1 | 4066.3 | (771.2) | -19.0% |
| Funds from liabilities | 148.8 | 158.1 | (9.3) | -5.9% |
| Own funds | 10575.3 | 9883.7 | 691.6 | 7.0% |
| Third party assets | 86.2 | 86.1 | 0.1 | 0.1% |
| Operating result | 659.7 | 1273.4 | (613.7) | -48.2% |
| **Total Liabilities and Net Equity** | **99911.7** | **99226.3** | **685.4** | **0.7%** |

---

Below are some explanatory notes to the reclassified consolidated balance sheet items as of 31 December 2024 of the Mediobanca Group, extracted from the Mediobanca Group's financial report as of 31 December 2024.

The Group's total assets increased from Euro 99.2 billion to Euro 99.9 billion, and in detail:

Net treasury investment, equal to the imbalance of Financial assets held for trading and Treasury investments and cash and Treasury collection and Financial liabilities held for trading, went from Euro 6.4 billion to Euro 4.6 billion due to the use of part of the liquidity deposited with the ECB (Euro 1.5 billion) collected to cover the T-LTRO repayment; at the same time, deposit liabilities increased (from Euro 0.4 billion to Euro 1.1 billion).

Debt securities in the banking book increased from Euro 11.3 billion to Euro 12 billion, of which Euro 5.2 billion in the HTC portfolio, Euro 6.4 billion in the HTC&S portfolio and Euro 0.4 billion in the assets designated at fair value; the position in Italian government bonds increased from Euro 5.4 billion to Euro 6.1 billion, maintaining an average duration of approximately 2 years. The portfolio shows positive valuation reserves of Euro 42.8 million and unrealized capital gains in the HTC sector of Euro 7.9 million.

Customer loans increased from Euro 52.4 billion to Euro 53.9 billion, driven by the recovery of Corporate and Investment Banking (from Euro 19 billion to Euro 19.9 billion), while Factoring slightly declined (-8.3%, from Euro 3 billion to Euro 2.7 billion), penalised by the crisis in the automotive sector. Consumer Finance maintained a growth trend (+2.4% compared to 30 June 2024, from Euro 15.2 billion to Euro 15.6 billion) as did Wealth Management (+1.4% from Euro 16.9 billion to Euro 17.1 billion).

Gross non-performing assets amounted to Euro 1,379 million (Euro 1,336.7 million as of 30 June 2024), with a 2.5% incidence on loans and a 69.4% coverage.

Investment securities increased from Euro 4.7 billion to Euro 5 billion, of which Euro 4.1 billion related to equity investments valued using the equity method*,* Euro 651.2 million to investments in funds and Euro 248.3 million to equity securities (including participatory instruments)*.*

Funding increased from Euro 63.7 billion to Euro 64.2 billion, with debt securities accounting for Euro 28.7 billion (Euro 27.6 million as of 30 June 2024), after new issuances for Euro 3.1 billion and redemptions for Euro 2 billion. Wealth management deposits increased from Euro 27.9 billion to Euro 28.2 billion, while interbank borrowing increased from Euro 6.8 billion to Euro 7.3 billion.

Own funds remain unchanged at Euro 11.2 billion: the result for the period (Euro 660 million) is absorbed by the payment of the balance of the 2024 dividend (Euro 464 million), the trend in valuation reserves (which increase liabilities from Euro -68.6 million to Euro -152.3 million) due to the lower cash flow hedge reserve (from Euro 113.7 million to Euro -36.6 million) closely linked to the trend in market rates.

***Reclassified consolidated income statement as of 31.12.2024 and 31.12.2023***

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** | **Reclassified consolidated income statement based on management criteria** |
|  | | | **Variations** | **Variations** |
|  | **30 06 2024** | **30 06 2023** | **ass.** | **%** |
| Interest margin | 978.9 | 996.5 | (17.6) | -1.8% |
| Treasury income | 91.8 | 93.4 | (1.6) | -1.7% |
| Commissions and other net income/charges | 546.7 | 422.1 | 124.6 | 29.5% |
| Equity method valuation | 230.3 | 218.6 | 11.7 | 5.4% |
| **Gross operating margin** | **1847.7** | **1730.6** | **117.1** | **6.8%** |
| Personnel costs | (419.1) | (382.2) | (36.9) | 9.7% |
| Administrative expenses: | (361.0) | (353.2) | (7.8) | 2.2% |
| **Structure costs** | **(780.1)** | **(735.4)** | **(44.7)** | **6.1%** |
| Net value adjustments/write-backs on loans to customers | (133.4) | (132.9) | (0.5) | 0.4% |
| Net value adjustments/write-backs on other financial assets | 10.7 | 5.1 | 5.6 | n.s. |
| Other profit/losses | (13.6) | (25.2) | 11.6 | -46.0% |
| **Gross result** | **931.3** | **842.2** | **89.1** | **10.6%** |
| Income taxes | (231.4) | (220.7) | (10.7) | 4.8% |
| Result pertaining to third parties | (40.2) | (10.3) | (29.9) | n.s. |
| **Net profit** | **659.7** | **611.2** | **48.5** | **7.9%** |

---

Below are some explanatory notes to the reclassified consolidated income statement items as of 31 December 2024 of the Mediobanca Group, extracted from the Mediobanca Group's financial report as of 31 December 2024.

Interest margin stands at Euro 978.9 million, down by Euro 17.6 million compared to 31 December 2023 but with a recovering quarterly trend (Euro 493.9 million against 485 million).

Treasury income, equal to Euro 91.8 million, mirrors last year's levels (Euro 93.4 million).

Net commissions amount to Euro 546.7 million (+29.5% compared to 31 December 2023) and are mainly composed of the following business lines: Wealth Management totalled Euro 270.4 million (+12.5% compared to last year); Corporate and Investment Banking totalled Euro 233.7 million (+75.2% compared to December 2023) and finally Consumer totalled Euro 72.2 million (Euro 70.9 million in December 2023).

Insurance Valuations and other investments at equity method increased from Euro 218.6 million to Euro 230.3 million (+5.4%) due to the performance of Assicurazioni Generali (from Euro 215.1 million to Euro 226.7 million). Other investments contributed to Euro 3.6 million.

Structure costs, equal to Euro 780.1 million, increased by 6.1% compared to 31 December 2023; more specifically: labour costs stand at Euro 419.1 million (+9.7% compared to December 2023) and reflect an increase in resources (from 5,369 to 5,510) concentrated in the business areas, as well as the alignment with the performance of the Corporate and Investment Banking variable; administrative expenses rose from Euro 353.2 million to Euro 361.

Loan loss provisions remain stable at Euro 133.4 million with a cost of risk equal to 50bps (51 bps last year).

Value adjustments on other financial assets show write-backs of Euro 10.7 million (write-backs of Euro 5.1 million as of 31 December 2023), of which Euro 8.4 million related to the improvement in the fair value of investment funds and Euro 2.3 million related to HTC&S debt securities.

Other profits/(losses) with a negative balance of Euro 13.6 million (negative for Euro 25.2 million as of 31 December 2023) include costs for: i) Euro 6 million deriving from the effects of earn-outs in partnerships; ii) Euro 3.6 million for the adjustment of risk provisions mainly related to lawsuits and indemnities, and finally iii) Euro 4 million relating to non-recurring costs.

Considering these dynamics, the half-year ended 31 December 2024 closed with a net profit of Euro 659.7 million, with an increase of 7.9% compared to Euro 611.2 million recorded on 31 December 2023.

**5.** **PRO-FORMA INCOME STATEMENT, BALANCE SHEET AND FINANCIAL DATA OF BMPS** 

**5.1** **Introduction** 

This section presents the pro-forma consolidated balance sheet as of 31 December 2024, and the pro-forma consolidated income statement for the year ended 31 December 2024, along with the related explanatory notes of the MPS Group (the "**Pro-Forma Consolidated Financial Information**").

The Pro-Forma Consolidated Financial Information has been prepared for the purpose of being included in this Information Document to retroactively reflect on the historical data of the MPS Group, the effects of the Potential Acquisition.

The Potential Acquisition will be carried out through the Offer promoted by BMPS, pursuant to and for the purposes of Articles 102 and 106, fourth paragraph, of the TUF, as well as the applicable implementing provisions of the Issuers' Regulations, concerning all the ordinary shares of Mediobanca, for a maximum of 833,279,689 ordinary shares, representing all the ordinary shares issued by Mediobanca as of the Information Document Date (including the 18,820,138 treasury shares held by Mediobanca), as well as any Additional Shares (for a maximum amount of No. 16,178,862 ordinary shares).

Ordinary shares of Mediobanca may not be tendered in acceptance of the Offer if they are held, directly or indirectly (including through trust companies or third parties), by BMPS and, therefore, such shares will not be considered subject to the Offer.

If all Conditions of Effectiveness are met or waived, in whole or in part, and the Offer is finalized, pursuant to the Offeror's Communication, BMPS will provide, for each Mediobanca share tendered in acceptance of the Offer, a Consideration not subject to adjustment (except as indicated below), consisting of 2.300 newly issued shares of the Offeror resulting from the Capital Increase Reserved to the Offer.

Therefore, for every 10 (ten) Shares Subject to the Offer tendered in acceptance of the Offer, 23 (twenty-three) new BMPS Shares will be provided.

The Consideration has been determined by the BMPS Board of Directors under the assumption that, prior to the Payment Date of the Offer: (*x*) neither Mediobanca nor the Offeror will approve or carry out any ordinary (including interim dividends) or extraordinary distributions of dividends from profits and/or other reserves; and (*y*) Mediobanca will not approve or carry out any transaction involving its share capital and/or Mediobanca shares.

As indicated in the Offeror's Communication, the Offer Consideration may be subject to adjustments. In particular, it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed.*" In addition, the Offeror's Communication provides further cases for Consideration adjustment, specifically the case in which Mediobanca should approve or proceed with any action on Mediobanca's capital and/or Mediobanca Shares, while retaining the Offeror's right to invoke (or waive) the relevant Condition of Effectiveness, where applicable, related to such specific event.

In light of the above, it should be noted that, on 6 March 2025, the Board of Directors of BMPS resolved to propose to the ordinary Shareholders' Meeting of the Bank the allocation of a total of Euro 1,083 million deriving from the net profit resulting from the draft financial statements as of 31 December 2024 (equal to Euro 1,923 million), to its Shareholders, as a dividend corresponding to Euro 0.86 per share. The dividend, subject

to the approval of the shareholders' meeting, will be paid on 21 May 2025, with an ex-dividend date on 19 May 2025 (record date 20 May 2025).

Furthermore, it should be noted that, on 10 February 2025, Mediobanca's Board of Directors announced to the market – on the occasion of the approval of Mediobanca's half-year report as of 31 December 2024 – the distribution of an interim dividend to its shareholders in May 2025 (and the corresponding balance in November 2025). In the event that the coupon of the aforesaid interim dividend (and the corresponding balance) is actually detached, or the interim dividend (and the corresponding balance) is paid before the payment date of the Offer, the Consideration will be consequently and consistently adjusted to take this circumstance into account.

Separately, and in any event, the Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

Finally, in the event that the Board of Directors of Mediobanca, in execution of the delegation granted by the extraordinary Shareholders' Meeting of Mediobanca on 28 October 2024, proceeds – prior to the Payment Date of the Offer – with the cancellation of the Treasury Shares purchased in execution of the authorization from the same ordinary Shareholders' Meeting of Mediobanca on 28 October 2024, and/or any transactions to reduce the number of outstanding Mediobanca shares and/or the payment of the interim dividend or the related balance thereof, and subject to adjustments and/or modifications relating to the content and/or structure of the Offer, it will not be necessary to issue the entire Maximum Share Amount.

**5.2** **Pro-forma balance sheet and income statement** 

**5.2.1** **Preparation Criteria** 

The Pro-Forma Consolidated Financial Information prepared in accordance with Annex 20 of the Commission Delegated Regulation (EU) 2019/980, supplemented by the guidelines on disclosure requirements under the prospectus regulation (32-382-1138), published by ESMA (the "**ESMA Guidelines**") and considering Consob Communication No. DEM/1052803 of 5 July 2001, have been drawn up in order to simulate, according to certain valuation criteria consistent with historical data and in compliance with the applicable regulations, the effects of the Potential Acquisition on the economic performance and financial position of the MPS Group as if the acquisition had virtually occurred on 31 December 2024, for the pro-forma consolidated balance sheet and 1 January 2024, for the pro-forma consolidated income statement.

The Pro-Forma Consolidated Financial Information has not been prepared in accordance with the requirements of Regulation S-X under the U.S. Securities Act, nor according to any generally accepted accounting standards. Additionally, the assumptions underlying the Pro-Forma Consolidated Financial Information have not been subject to review or audit according to any generally accepted auditing standards.

The Pro-Forma Consolidated Financial Information has been prepared in accordance with the accounting standards adopted by the MPS Group for the preparation of the consolidated financial statements as of 31 December 2024 and should be read together with such financial statement. The information contained in the pro-forma consolidated financial information represents a simulation provided for illustrative purposes only of the possible effects resulting from the Potential Acquisition. Specifically, since the pro-forma data has been prepared to retrospectively reflect the effects of subsequent transactions, although following generally accepted rules and using reasonable assumptions, there are inherent limitations by virtue of the nature of such data. By their very nature, they cannot provide a representation of the financial position and prospective results of the

MPS Group. Therefore, to correctly interpret the information provided in the pro-forma consolidated financial information, it is necessary to consider the following aspects:

since these representations are built on assumptions, if the Potential Acquisition had actually been completed on the date taken as a reference for the preparation of the pro-forma consolidated financial information, the results shown in the pro-forma consolidated financial information would not necessarily match with those actually obtained;

the pro-forma data is not intended to represent a forecast of future results and should not be used for that purpose: the pro-forma data does not reflect forward-looking information, as they have been prepared solely to represent the isolable, objectively measurable and most significant effects of the Potential Acquisition, without taking into account the potential effects deriving from any changes in BMPS' management policies and operational decisions following completion of the Potential Acquisition. Therefore, the pro-forma representations are not intended to illustrate a current or prospective financial position or economic situation of the effects related to the Potential Acquisition;

given the different purpose of the pro-forma data compared to that of ordinary financial statements and since the effects are calculated differently between the pro-forma balance sheet and the pro-forma income statement, the two representations should be read and interpreted separately, without seeking accounting correlations between them.

It should be noted that, in accordance with the aforementioned regulation, the Pro-Forma Consolidated Financial Information does not reflect either the costs or the synergies that will derive from the envisaged transaction for the entity resulting from the integration of the Mediobanca Group into the MPS Group. In particular, the aforementioned charges for the integration of the Mediobanca Group within the MPS Group have not been subject to pro-forma adjustments as they concern hypothetical future actions that are expected to be implemented only in the event of completion of the Potential Acquisition through the Offer, in order to achieve the objectives of the transaction (which also include the aforementioned synergies), on the basis of agreements and contracts which will also be signed only in the event of completion of the Potential Acquisition. Likewise, the expected tax benefits following tax planning after the aggregation are not reflected. In other words, the pro-forma consolidated financial information does not include the acceleration in the use of deferred tax assets associated with the MPS Group's previous tax losses, consequent to the Mediobanca Group joining BMPS' tax consolidation.

The Pro-Forma Consolidated Financial Information has been prepared starting respectively from (i) the consolidated financial statements as of 31 December 2024 of the MPS Group, (ii) the consolidated financial statements as of 30 June 2024 and the condensed consolidated half-year financial statements as of 31 December 2024 and 31 December 2023 of the Mediobanca Group, prepared in accordance with the IAS/IFRS accounting standards adopted by the European Union, as well as applying the pro-forma adjustments as described in the following paragraphs. With regard to the accounting standards adopted by the MPS Group and the Mediobanca Group for the preparation of historical consolidated data, please refer to the contents of the respective financial statements mentioned above ("Part A – Accounting Policies"). In this regard, it should be noted that, based on the preliminary analyses carried out, the aforementioned standards are substantially aligned for the two banking groups. However, it should be noted that, there may be some differences deriving from the possibility of choosing between different options provided for by IAS/IFRS or deriving from different methods or parameters used for the valuation of assets and liabilities. In this regard, it should be noted that, in the consolidated financial statements as of 31 December 2024, with reference to properties for functional use, the MPS Group adopted the revaluation model, while the Mediobanca Group adopted the cost model, and with reference to properties held for investment purposes, the MPS Group adopted the fair value model, while the Mediobanca Group adopted the cost model. Furthermore, starting from 1 January 2018, the date when IFRS 9

came into force, the MPS Group has taken advantage of the possibility to continue to fully use the provisions of international accounting standard IAS 39 (in the carved out version approved by the European Commission) for "hedge accounting" for each type of hedge (both for specific and generic hedges); on the other hand, the Mediobanca Group has chosen to adopt the provisions of IFRS 9 for the accounting of specific hedges, with the exception of the specific cases provided for in IFRS 9 (par. 6.1.3) and not governed by the same and concerning generic hedges which, however, do not appear to be applied by the Mediobanca Group.

In any case, it should be noted that, the differences represented above will be cancelled when allocating the consideration transferred (so-called "Purchase Price Allocation") in accordance with IFRS 3, through a process of alignment with the options, permitted by IAS/IFRS, adopted by the MPS Group and through the recognition at fair value of the assets and liabilities of the acquired entity considering parameters and valuation techniques consistent with those used by the Bank.

The pro-forma data reported below does not reflect the effects of any transactions involving the sale of branches or business units that may take place as part of the investigation conducted by the competent antitrust authority in relation to the combination with the Mediobanca Group. To date, these transactions have not even been defined on a preliminary basis, making it impossible to identify and quantify the related economic and financial impacts in a timely, objective, and verifiable manner. However, it should be noted that, the MPS Group has a reasonable expectation that any corrective measures will not have a significant impact.

The tax effects on individual pro-forma adjustments have been calculated based on a nominal tax rate of 33%.

**5.2.2** **Sources of the used data** 

The Pro-Forma Consolidated Financial Information has been prepared based on financial information derived from:

consolidated financial statements of the MPS Group as of 31 December 2024, prepared in accordance with IAS/IFRS international accounting standards, in accordance with the instructions of the Bank of Italy contained in Circular No. 262 of 22 December 2005 (and subsequent updates). The consolidated financial statements of the MPS Group as of 31 December 2024 were approved by the Board of Directors of BMPS on 6 March 2025, and audited by the auditing firm PwC, which issued its audit report without modifications on 24 March 2025;

consolidated financial statements of the Mediobanca Group as of 30 June 2024, prepared in accordance with IAS/IFRS international accounting standards, in accordance with the instructions of the Bank of Italy contained in Circular No. 262 of 22 December 2005 (and subsequent updates). The consolidated financial statements of the Mediobanca Group as of 30 June 2024 were approved by the Board of Directors of Mediobanca on 19 September 2024, and audited by the auditing firm EY S.p.A., which issued its audit report without modifications on 25 September 2024;

condensed half-year consolidated financial statements of the Mediobanca Group as of 31 December 2024 and 31 December 2023, prepared in accordance with IAS/IFRS international accounting standards, in particular IAS 34 relating to interim financial statements, and taking into account the instructions of the Bank of Italy contained in Circular No. 262 of 22 December 2005 (and subsequent updates). The condensed consolidated half-year financial statements were approved by the Board of Directors of Mediobanca on 10 February 2025 and 8 February 2024 respectively, and were subject to a limited review by the auditing firm EY S.p.A. which issued their review reports without modifications on 11 February 2025 and 9 February 2024 respectively.

The financial information relating to the consolidated income statement of the Mediobanca Group for the 12- month period ended 31 December 2024 has been determined as the sum of: (i) the income statement for the 6- month period ended 30 June 2024 determined as the difference between the income statement for the year ended 30 June 2024, extracted from the consolidated financial statements of the Mediobanca Group as of 30 June 2024, and the income statement for the six-month period ended 31 December 2023, extracted from the condensed consolidated half-year financial statements of the Mediobanca Group as of 31 December 2023, and (ii) the income statement for the six-month period ended 31 December 2024, extracted from the Mediobanca Group's condensed consolidated half-year financial statements as of 31 December 2024. This is because the consolidated financial statements of BMPS and Mediobanca have different financial year-end dates, 31 December 2024 for the Bank and 30 June 2024 for Mediobanca, respectively.

**5.2.3** **Presentation of the Pro-Forma Consolidated Financial Information** 

The pro-forma consolidated financial information consists of the pro-forma consolidated balance sheet and the pro-forma consolidated income statement as of 31 December 2024, presented as follows:

- column A "MPS Group 31.12.2024": the financial information derived from the consolidated financial statements of the MPS Group as of 31 December 2024 is reported;

column B "Mediobanca Group 31.12.2024": the financial information derived from the condensed consolidated half-year financial statements of the Mediobanca Group as of 31 December 2024 is reported for the balance sheet, while for the income statement the financial information for the 12-month period ended 31 December 2024 of the Mediobanca Group is reported, calculated, as detailed below, based on the consolidated financial statements of the Mediobanca Group as of 30 June 2024 and the condensed consolidated half-year financial statements as of 31 December 2024 and 31 December 2023;

- column C "Pro-forma adjustments": the estimated accounting effects related to the Potential Acquisition through the Offer promoted by BMPS are reported;

- column D "Elisions": the effects of the elisions of the most significant balance sheet and income statement items between the MPS Group and the Mediobanca Group, as resulting from the MPS Group's accounting records, are reported;

column E "Pro-forma BMPS-Mediobanca 31.12.2024": the pro-forma amounts of the consolidated balance sheet as of 31 December 2024 and the consolidated income statement for the 2024 financial year, deriving from the sum of the previous columns, are reported.

The pro-forma adjustments, as illustrated below, have been made in accordance with the general principle that the transactions recognised in the balance sheet are considered to have taken place at the end of the reference period, while for the income statement it is assumed that the transactions took place at the beginning of the same period.

As indicated in the introduction, at the date of preparation of this Pro-Forma Consolidated Financial Information, some information that would ordinarily be available when preparing pro-forma data is not yet known, as the Offer has not yet commenced, the respective Conditions of Effectiveness have not yet been satisfied or waived, in whole or in part, and, therefore, the relative outcomes remain uncertain. In this regard, it should be noted that, this Pro-Forma Consolidated Financial Information has been prepared on the basis of assumptions, evaluations and valuations consistent with the information available at the date of the Offeror's Communication.

**5.2.3.1 Pro-forma consolidated balance sheet as of 31 December 2024**

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Asset Items** | **Asset Items** |<br><br>**MPS Group**<br>**31/12/2024**<br>**(A)** |<br><br>**Mediobanca**<br>**a Group**<br>**31/12/2024**<br>**(B)** |<br><br>**Pro-forma**<br>**adjustments**<br>**(C)** |<br><br><br>**Elisions**<br>**(D)** | (millions of Euros)<br>**Pro-Forma**<br>**BMPS-**<br>**Mediobanc**<br>**31/12/2024**<br>**(E)=(A)+(B)+**<br>**(C)+(D)** |
| 10. | Cash and cash equivalents | 13250 | 2086 |  |  | 15336 |
| 20. | Financial assets at fair value through profit or loss | 6533 | 16315 |  | (19) | 22829 |
|  | a) financial assets held for trading | 6077 | 14638 |  | (19) | 20696 |
|  | b) financial assets at fair value |  | 1022 |  |  | 1022 |
|  | c) other financial assets compulsorily measured at fair value | 456 | 655 |  |  | 1111 |
| 30. | Financial assets measured at fair value through other comprehensive income | 2337 | 6636 |  | (9) | 8964 |
| 40. | Financial assets measured at amortised cost: | 90526 | 66810 |  | (4) | 157332 |
|  | a) loans to banks | 3366 | 5574 |  | (4) | 8936 |
|  | b) loans to customers | 87160 | 61236 |  |  | 148396 |
| 50. | Hedging derivatives | 94 | 233 |  |  | 327 |
| 60. | Value adjustment of financial assets subject to macro hedging (+/-) | (412) |  |  |  | (412) |
| 70. | Equity investments | 672 | 4092 | 2004 |  | 6768 |
| 90. | Tangible assets | 2109 | 578 |  |  | 2687 |
| 100. | Intangible assets | 156 | 1061 | (1061) |  | 156 |
|  | – of which: Goodwill | 8 | 834 | (834) |  | 8 |
| 110. | Tax assets | 2537 | 452 | 10 |  | 2999 |
|  | a) current | 104 | 143 | 10 |  | 257 |
|  | b) deferred | 2433 | 309 |  |  | 2742 |
| 120. | Non-current assets and groups of assets held for sale | 1129 |  |  |  | 1129 |
| 130. | Other assets | 3671 | 1649 |  | (9) | 5311 |
|  | Goodwill from transaction | - | - | 1148 | - | 1148 |
|  | **Total assets** | **122602** | **99912** | **2101** | **(41)** | **224574** |

---

The item "Goodwill from transaction" represents the difference between the consideration transferred and the consolidated net equity of the Mediobanca Group as of 31 December 2024, adjusted as described in Paragraph 5.2.4.2. It should be noted that, as of the date of completion of the Potential Acquisition, if this difference is positive, it will give rise to goodwill, which will be presented in the balance sheet as an intangible asset; if it is negative, it will give rise to a gain from a bargain purchase that will be presented in the income statement.

In the case at hand, based on the assumptions and values used in the preparation of this Pro-Forma Consolidated Financial Information, since the Potential Acquisition would lead to goodwill, the related amount has been represented in the assets of the balance sheet.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | *(millions of Euros)* | *(millions of Euros)* |
| **Liabilities and net equity items/values** | **Liabilities and net equity items/values** | **MPS Group<br> 31/12/2024 <br> (A)** | **Mediobanca<br> Group<br> 31/12/2024 <br> (B)** | **Pro-forma<br> adjustments<br> (C)** | **Elisions <br> (D)** | **Pro-Forma<br> BMPS-<br> Mediobanca<br> 31/12/2024<br> (E)=(A)+(B)+<br> (C)+(D)** |
| 10. | Financial liabilities measured at amortised cost | 102751 | 71607 |  | (32) | 174326 |
|  | a) amounts due to banks | 9811 | 11596 |  | (4) | 21403 |
|  | b) amounts due to customers | 82632 | 33428 |  |  | 116060 |
|  | c) outstanding bonds | 10308 | 26583 |  | (28) | 36863 |
| 20. | Financial liabilities held for trading | 2606 | 9095 |  |  | 11701 |
| 30. | Financial liabilities designated at fair value | 120 | 4719 |  |  | 4839 |
| 40. | Hedging derivatives | 358 | 1111 |  |  | 1469 |
| 50. | Value adjustment of financial liabilities subject to macro-hedging (+/-) | (1) |  |  |  | (1) |
| 60. | Tax liabilities | 6 | 535 |  |  | 541 |
|  | a) current | 1 | 152 |  |  | 153 |
|  | b) deferred | 5 | 383 |  |  | 388 |
| 70. | Liabilities associated with assets held for sale | 977 |  |  |  | 977 |
| 80. | Other liabilities | 3132 | 1290 | 98 | (9) | 4511 |
| 90. | Employees' severance indemnity | 70 | 20 |  |  | 90 |
| 100. | Provisions for risks and charges: | 934 | 129 |  |  | 1063 |
|  | a) commitments and guarantees issued | 150 | 22 |  |  | 172 |
|  | b) retirement and similar obligations | 3 | 1 |  |  | 4 |
|  | c) other provisions for risks and charges | 781 | 106 |  |  | 887 |
| 110. | Insurance liabilities |  | 85 |  |  | 85 |
|  | a) insurance contracts issued which constitute liabilities |  | 85 |  |  | 85 |
|  | b) reinsurance transfers that constitute liabilities |  |  |  |  |  |
|  | Group Net Equity (1) | 11649 | 11235 | 2003 |  | 24887 |
| 190. | Third-party assets (+/-) | - | 86 | - | - | 86 |
|  | **Total liabilities and net equity** | **122602** | **99912** | **2101** | **(41)** | **224574** |

---

*(1) The item "Group net equity" is a combination of the following items: "120. Valuation reserves", "130. Redeemable shares", "140. Equity instruments","150. Reserves", "160. Share premium reserves", "170. Capital", "180. Treasury shares" and "200. Profit (Loss) for the period (+/-)".*

**5.2.3.2** **Pro-forma consolidated income statement for the year ended 31 December 2024**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | *(millions of Euros)* | *(millions of Euros)* |
|  |  | **MPS Group<br> 31/12/2024 <br> (A)** | **Mediobanca<br> Group<br> 31/12/2024 <br> (B)** | **Pro-forma<br> adjustments <br> (C)** | **Elisions <br> (D)** | **Pro-Forma<br> BMPS-<br> Mediobanca<br> 31/12/2024<br> (E)=(A)+(B)+<br> (C)+(D)** |
| 10. | Interest receivable and similar income | 4678 | 4032 |  | (1) | 8709 |
|  | *of which interest receivable calculated using the effective interest method* | *3845* | *3328* | *-* | *-* | *7173* |
| 20. | Interest payable and similar charges | (2357) | (2154) |  | 1 | (4510) |
| **30.** | **Interest margin** | **2321** | **1878** | **-** | **-** | **4199** |
| 40. | Commission income | 1688 | 1138 |  | (35) | 2791 |
| 50. | Commission expense | (233) | (195) |  | 35 | (393) |
| **60.** | **Net commissions** | **1455** | **943** | **-** |  | **2398** |
| 70. | Dividends and similar income | 23 | 162 |  |  | 185 |
| 80. | Net trading income | 128 | 91 |  |  | 219 |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| 90. | Net hedging income | (1) | 11 |  | 10 |
| 100. | Profits (losses) from sale or repurchase of: | (9) | 18 |  | 9 |
|  | *a) financial assets measured at amortised cost* | *(8)* | *(8)* | *-* | *(16)* |
|  | *b) financial assets measured at fair value through other comprehensive income* | *-* | *27* | *-* | *27* |
|  | *c) financial liabilities* | *(1)* | *(1)* | *-* | *(2)* |
| 110. | Net result of other financial assets and liabilities measured at fair value through profit or loss: | (10) | (70) |  | (80) |
|  | *a) designated financial assets and liabilities at fair value* | *1* | *(89)* | *-* | *(88)* |
|  | *b) other financial assets compulsorily measured at fair value* | *(11)* | *19* | *-* | *8* |
| **120.** | **Gross operating margin** | **3907** | **3033** | **-** | **6940** |
| 130. | Net value adjustments/write-backs for credit risk of: | (407) | (241) |  | (648) |
|  | *a) financial assets measured at amortised cost* | *(406)* | *(243)* | *-* | *(649)* |
|  | *b) financial assets measured at fair value through other comprehensive income* | *(1)* | *2* | *-* | *1* |
| 140. | Profits/losses from contractual changes without cancellation | (10) |  |  | (10) |
| **150.** | **Net financial result** | **3490** | **2792** | **-** | **6282** |
| 160. | Result of insurance services |  | 21 |  | 21 |
|  | *a) insurance revenues deriving from insurance contracts issued* | *-* | *33* | *-* | *33* |
|  | *b) costs for insurance services deriving from insurance contracts issued* | *-* | *(12)* | *-* | *(12)* |
|  | *c) insurance revenues deriving from reinsurance* | *-* | *-* | *-* | *-* |
|  | *d) costs for insurance services deriving from reinsurance* | *-* | *-* | *-* | *-* |
| 170. | Balance of revenues and financial costs relating to insurance management |  |  |  |  |
|  | *a) net financial costs/revenues relating to insurance contracts issued* | *-* | *-* | *-* |  |
|  | *b) net financial revenues/costs relating to reinsurance transfers* | *-* | *-* | *-* | *-* |
| **180.** | **Net result of financial and insurance operations** | **3490** | **2813** | **-** | **6303** |
| 190. | Administrative expenses: | (2073) | (1616) | (24) | (3713) |
|  | *a) personnel expenses* | *(1248)* | *(846)* | *-* | *(2094)* |
|  | *b) other administrative expenses* | *(825)* | *(770)* | *(24)* | *(1619)* |
| 200. | Net provisions for risks and charges | (64) | (11) |  | (75) |
|  | *a) commitments and guarantees issued* | *4* | *(2)* | *-* | *2* |
|  | *b) other net provisions* | *(68)* | *(9)* | *-* | *(77)* |
| 210. | Net adjustments/write-backs on tangible assets | (101) | (76) |  | (177) |
| 220. | Net adjustments/write-backs on intangible assets | (68) | (80) |  | (148) |
| 230. | Other operating income/expenses | 231 | 220 |  | 451 |
| **240.** | **Operating costs** | **(2075)** | **(1563)** | **(24)** | **(3662)** |
| 250. | Profits (Losses) on equity investments | 74 | 522 |  | 596 |
| 260. | Net result from fair value evaluation of tangible and intangible assets | (27) |  |  | (27) |
| 270. | Goodwill value adjustments |  |  |  |  |
| 280. | Profits (Losses) on disposal of investments | 3 |  |  | 3 |
| **290.** | **Profit (Loss) from current operations before taxes** | **1465** | **1772** | **(24)** | **3213** |
| 300. | Income taxes on profit from continuing operations | 508 | (448) | (14) | 46 |

---

**310.** **Profit (Loss) from continuing operations net of taxes** **1,973** **1,324** **(38)** **-** **3,259** 

320. Profit (Loss) from discontinued operations net of taxes (22) - - - (22)

**330.** **Operating Profit (Loss)** **1,951** **1,324** **(38)** **-** **3,237** 

340. Operating Profit (Loss) pertaining to third parties - 2 - - 2

**350.** **Parent Company Operating Profit (Loss)** **1,951** **1,322** **(38)** **-** **3,235** 

As indicated above, the consolidated income statement for the 12-month period ended 31 December 2024 of the Mediobanca Group has been calculated as the company's financial year ends on 30 June. The table below shows the details of how this consolidated income statement was calculated:

· column A " 01/07/23 – 30/06/24 " : the income statement data extracted from the consolidated
financial statements of the Mediobanca Group for the year ended 30 June 2024 are reported;

· column B " 01/07/23 – 31/12/23 " : the income statement data extracted from the Mediobanca
Group ' s condensed consolidated half-year financial statements for
the half-year ended 31 December 2023 are reported;

· column C " 01/01/24 – 30/06/24 " : the income statement figures for the six-month period
ended 30 June 2024 are reported, determined as the difference between columns A and B;

· column D " 01/07/24 – 31/12/24 " : the income statement data extracted from the Mediobanca
Group ' s condensed consolidated half-year financial statements for
the half-year ended 31 December 2024 are reported;

· column E " 01/01/24 – 31/12/24 " : the income statement figures for the 12-month period
ended 31 December 2024 are reported, determined as the sum of columns C and D, used to prepare the pro-forma consolidated income statement
for the year ended 31 December 2024.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  | *(millions of Euros)* | *(millions of Euros)* |
|  |  |  |  | **Mediobanca Group** | **Mediobanca Group** |  |
| **Items** | **Items** | **01/07/23-<br> 30/06/24 <br> (A)** | **01/07/23-<br> 31/12/23 <br> (B)** | **01/01/24-<br> 30/06/24 (C)=<br> (A)- (B)** | **01/07/24-<br> 31/12/24 <br> (D)** | **01/1/2024-<br> 31/12/2024<br> (E)=(C)+(D)** |
| 10. | Interest receivable and similar income | 3973 | 1956 | 2017 | 2015 | 4032 |
|  | of which interest receivable calculated using the effective interest method | 3237 | 1588 | 1649 | 1679 | 3328 |
| 20. | Interest payable and similar charges | (2025) | (964) | (1061) | (1093) | (2154) |
| **30.** | **Interest margin** | **1948** | **992** | **956** | **922** | **1878** |
| 40. | Commission income | 992 | 441 | 551 | 587 | 1138 |
| 50. | Commission expense | (181) | (86) | (95) | (100) | (195) |
| **60.** | **Net commissions** | **811** | **355** | **456** | **487** | **943** |
| 70. | Dividends and similar income | 138 | 28 | 110 | 52 | 162 |
| 80. | Net trading income | 40 | 37 | 3 | 88 | 91 |
| 90. | Net hedging income | 2 | (2) | 4 | 7 | 11 |
| 100. | Profits (losses) from sale or repurchase of: | 8 | 14 | (6) | 24 | 18 |
|  | a) financial assets measured at amortised cost | 1 | 9 | (8) |  | (8) |
|  | b) financial assets measured at fair value through other comprehensive income | 6 | 4 | 2 | 25 | 27 |
|  | c) financial liabilities | 1 | 1 |  | (1) | (1) |
| 110. | Net result of other financial assets and liabilities measured at fair value through profit or loss: | 34 | 37 | (3) | (67) | (70) |
|  | a) designated financial assets and liabilities at fair value | 12 | 25 | (13) | (76) | (89) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| | b) other financial assets compulsorily measured at fair value | 22 | 12 | 10 | 9 | 19 |
| **120.** | **Gross operating margin** | **2981** | **1461** | **1520** | **1513** | **3033** |
| 130. | Net value adjustments/write-backs for credit risk of: | (249) | (140) | (109) | (132) | (241) |
|  | a) financial assets measured at amortised cost | (247) | (138) | (109) | (134) | (243) |
|  | b) financial assets measured at fair value through other comprehensive income | (2) | (2) |  | 2 | 2 |
| 140. | Profits/losses from contractual changes without cancellation |  |  |  |  |  |
| **150.** | **Net financial result** | **2732** | **1321** | **1411** | **1381** | **2792** |
| 160. | Result of insurance services | 21 | 11 | 10 | 11 | 21 |
|  | a) insurance revenues deriving from insurance contracts issued | 31 | 13 | 18 | 15 | 33 |
|  | b) costs for insurance services deriving from insurance contracts issued | (10) | (2) | (8) | (4) | (12) |
|  | c) insurance revenues deriving from reinsurance |  |  |  |  |  |
|  | d) costs for insurance services deriving from reinsurance |  |  |  |  |  |
| 170. | Balance of revenues and financial costs relating to insurance management |  |  |  |  |  |
|  | a) net financial costs/revenues relating to insurance contracts issued |  |  |  |  |  |
|  | b) net financial revenues/costs relating to reinsurance transfers |  |  |  |  |  |
| **180.** | **Net result of financial and insurance operations** | **2753** | **1332** | **1421** | **1392** | **2813** |
| 190. | Administrative expenses: | (1593) | (755) | (838) | (778) | (1616) |
|  | a) personnel expenses | (807) | (382) | (425) | (421) | (846) |
|  | b) other administrative expenses | (786) | (373) | (413) | (357) | (770) |
| 200. | Net provisions for risks and charges | (3) | (2) | (1) | (10) | (11) |
|  | a) commitments and guarantees issued | 1 | 2 | (1) | (1) | (2) |
|  | b) other net provisions | (4) | (4) |  | (9) | (9) |
| 210. | Net adjustments/write-backs on tangible assets | (71) | (34) | (37) | (39) | (76) |
| 220. | Net adjustments/write-backs on intangible assets | (81) | (15) | (66) | (14) | (80) |
| 230. | Other operating income/expenses | 196 | 88 | 108 | 112 | 220 |
| **240.** | **Operating costs** | **(1552)** | **(718)** | **(834)** | **(729)** | **(1563)** |
| 250. | Profits (Losses) on equity investments | 511 | 219 | 292 | 230 | 522 |
| 260. | Net result from fair value evaluation of tangible and intangible assets | (2) | (2) |  |  |  |
| 270. | Goodwill value adjustments |  |  |  |  |  |
| 280. | Profits (Losses) on disposal of investments |  |  |  |  |  |
| **290.** | **Profit (Loss) from current operations before taxes** | **1710** | **831** | **879** | **893** | **1772** |
| 300. | Income taxes on profit from continuing operations | (434) | (218) | (216) | (232) | (448) |
| **310.** | **Profit (Loss) from continuing operations net of taxes** | **1276** | **613** | **663** | **661** | **1324** |
| 320. | Profit (Loss) from discontinued operations net of taxes |  |  |  |  |  |
| **330.** | **Operating Profit (Loss)** | **1276** | **613** | **663** | **661** | **1324** |
| 340. | Operating Profit (Loss) pertaining to third parties | 3 | 2 | 1 | 1 | 2 |
| **350.** | **Parent Company Operating Profit (Loss)** | **1273** | **611** | **662** | **660** | **1322** |

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**5.2.4** **Explanatory notes for the preparation of the Pro-Forma Consolidated Financial Information**

**5.2.4.1** **Introduction**

As indicated above, the purpose of presenting the Pro-Forma Consolidated Financial Information is to provide a retrospective representation – in accordance with the accounting standards adopted for the preparation of the financial statements – of the accounting effects on the income statement and balance sheet resulting from the Potential Acquisition.

In order to prepare the Pro-Forma Consolidated Financial Information, the following assumptions have been made:

· the success of the Offer and, more specifically, the acquisition of 100% of the share capital of Mediobanca
by the MPS Group;

· as a result of the above, the complete issuance, subscription, and release of the Capital Increase Reserved
to the Offer;

· to determine the consideration transferred, the calculation of a unit value of Euro 6.953 for each share
of BMPS, represented by the closing market price on 23 January 2025, which is the date corresponding to the last open market day prior
to the date on which BMPS announced the Offer.

In preparing the Pro-Forma Consolidated Financial Information, BMPS has assumed that all the Conditions of Effectiveness related to the Transaction are satisfied or waived, in whole or in part, and that all necessary authorizations have been obtained.

Furthermore, without prejudice to the aforementioned Conditions of Effectiveness, in the event that not all Mediobanca shares are tendered in acceptance of the Offer, a minority shareholding will remain representing the remaining Mediobanca shares not exchanged for BMPS Shares. In this regard, IFRS 3 establishes that, for each business combination, the acquirer must evaluate any minority interest in the acquired company at fair value or in proportion to the minority interest in the identifiable net assets of the acquired company.

The consideration transferred represented by the fair value of the new BMPS Shares to be issued for the Offer is to be considered preliminary, as the elements necessary for its final quantification are not yet known. In particular, in accordance with IFRS 3, the fair value of the new shares issued by BMPS will be determined on the basis of the BMPS share price on the trading day immediately preceding the date of completion of the Potential Acquisition.

**5.2.4.2** **Pro-Forma Adjustments**

5.2.4.2.1. <u>Potential Acquisition</u>

The Potential Acquisition through the Offer, with the aim of gaining control over Mediobanca, represents a "business combination" for BMPS according to the IAS/IFRS accounting standards. Within the scope of these principles, the recognition of business combinations is governed by IFRS 3 which, in light of the principle of prevalence of substance over form, does not distinguish the accounting treatment based on the different types of extraordinary finance transactions (mergers, demergers, contributions, etc.), but provides for a single accounting treatment, the so-called "acquisition method". This means that, from the point of view of IAS/IFRS accounting standards, the legal form of the transaction is irrelevant as far as the accounting treatment to be applied to such transaction is concerned. The "acquisition method" provided for by IFRS 3 involves the following phases.

***<u>Identification of the accounting acquirer</u>***

IAS/IFRS accounting standards require an accounting acquirer to be identified for any business combination transaction, regardless of the legal acquirer. In this specific case, the accounting acquirer is identified as BMPS.

***<u>Determination of the consideration transferred</u>***

IFRS 3 requires the consideration transferred in a business combination to be measured at fair value, which shall be calculated as the sum of the acquisition date fair values of: (i) the assets transferred, (ii) the liabilities incurred and (iii) the equity interests issued by the acquirer in exchange for control of the acquiree. Therefore, in relation to the Potential Acquisition, the consideration transferred will be represented by the fair value of the BMPS Shares issued by the Bank in exchange for the Shares Subject to the Offer. As these are listed shares, the fair value of the BMPS Shares issued will be represented by the stock market price on the trading day immediately preceding the date of completion of the Potential Acquisition.

***<u>Allocation of the consideration transferred ("</u>*** ***<u>Purchase Price Allocation")</u>***

In accordance with IFRS 3, the Potential Acquisition must be accounted for using the acquisition method; this method requires that the acquirer, at the acquisition date, allocates the consideration transferred (the so-called PPA, "Purchase Price Allocation") to the acquired entity's assets, liabilities and identifiable potential liabilities (including any intangible assets not previously recognised by the entity), recognising the related fair value at that date.

The residual difference between the fair value of the shares issued and the value, measured at fair value, of the assets net of liabilities and contingent liabilities, also considering the intangible assets not recorded in the financial statements of the acquired company:

- if positive, it must be recorded as goodwill in the assets of the balance sheet;

- if negative, it must be recorded as gain from a bargain purchase in the income statement.

Furthermore, without prejudice to the Conditions of Effectiveness, in the event that the Offer is not fully accepted, a minority shareholding will be representing the remaining Mediobanca shares not exchanged with the BMPS Shares. In this regard, IFRS 3 establishes that, for each business aggregation, the buyer must evaluate any minority investment in the acquired company at fair value or in proportion to the quota of the minority shareholding in the identifiable net assets of the acquired company.

In preparing this Pro-Forma Consolidated Financial Information, no valuation process has been carried out at fair value of the assets (except as indicated below in relation to the investment in Assicurazioni Generali S.p.A. of the Mediobanca Group), including any intangible assets not previously recorded, the liabilities and potential liabilities identifiable in the acquired entity. These fair values will be determined with reference to the acquisition date, having acquired detailed information about the Mediobanca Group's accounting entries, and considering valuation techniques and information sources consistent with those used by the MPS Group for the preparation of its consolidated financial statements. Furthermore, IFRS 3 allows the acquirer to take advantage of a period of 12 months from the effectiveness of the transaction to definitively determine these values.

For the purposes of the Pro-Forma Consolidated Financial Information, it has been assumed that the fair value of the assets and liabilities of the acquired entity is aligned with the book value of these elements, as reported in the Mediobanca Group's condensed consolidated half-year financial statements as of 31 December 2024, with the exception of the following. In particular, the Mediobanca Group's net equity has been adjusted to: (i) recognise the difference between the fair value, based on the unit value of the share recorded on the date corresponding to the last trading day prior to the date of the Offeror's Communication, and the book value of the investment in Assicurazioni Generali S.p.A., as resulting from the condensed consolidated half-year financial statements as of 31 December 2024, held by the Mediobanca Group; and (ii) to reverse the intangible assets of

the Mediobanca Group, in line with what will be done when accounting for the Potential Acquisition as part of the "Purchase Price Allocation" process, in accordance with IFRS 3.

The following table shows the elements used to quantify the difference between the fair value and the book value of the investment in Assicurazioni Generali S.p.A. held by the Mediobanca Group.

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| | |
|:---|:---|
| Investment in Assicurazioni Generali S.p.A. (f) (1) | 4001 |
| Share held by the Mediobanca Group (a) (2) | 13.02% |
| No. of shares 100% Share Capital Assicurazione Generali S.p.A. (b) | 1569420004 |
| No. of Assicurazioni Generali S.p.A. shares held by Mediobanca (c)=(a)x(b) | 204338485 |
| Official price of Assicurazioni Generali S.p.A. shares on Borsa Italiana as of 23/01/2025 (d) | 29.386 |
| Fair value of Assicurazioni Generali S.p.A. as of 23/01/2025 (e)=(c)x(d) | 6005 |
| **Fair value adjustment of the investment in Assicurazioni Generali S.p.A. (g)=(e)-(f)** | **2004** |

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All values in the table are expressed in millions, except for (a), (b), (c) and (d).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) Figure included in item "70. Equity investments" of the assets side of the condensed consolidated half-year financial statements of the Mediobanca Group as of 31 December 2024.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) Figure reported in table "7.1 Equity investments: information on shareholding relations" in the condensed consolidated half-year financial statements of the Mediobanca Group as of 31 December 2024.

It should be noted that, at the time of the effective allocation of the consideration transferred, to be carried out on the acquisition date, the fair value of the investment in Assicurazioni Generali S.p.A. may differ from that represented above, depending on its stock market price on the trading day on the actual day of completion of the Potential Acquisition.

Based on the information available at the Information Document Date, following the Potential Acquisition, goodwill will emerge and be recorded in the consolidated financial statements of the MPS Group. The goodwill amount shown in the pro-forma consolidated financial information conventionally represents the difference between the consolidated net equity of the Mediobanca Group, adjusted as specified below, and the provisional consideration transferred, determined as explained below.

Therefore, the definitive quantification of the goodwill/gain from a bargain purchase will be subject to revision linked to the following aspects:

1. the book value of the Mediobanca Group' s
net equity at the date of acquisition;

2. any need to align the accounting criteria for the classification and valuation of assets and liabilities
adopted by the Mediobanca Group with those of the MPS Group;

3. the determination, at the acquisition date, of the higher/lower value (fair value) of the assets and liabilities
of the Mediobanca Group (also in relation to the investment in Assicurazioni Generali S.p.A.), compared to the related book values, and
the valuation of additional intangible assets, liabilities and contingent liabilities that may not currently be recorded in the financial
statements, but whose recording is required in the PPA process;

4. the BMPS share price on the trading day immediately preceding the date of completion of the Potential
Acquisition, which will be used to determine the final value of the consideration transferred;

5. the percentage of participation to the Transaction.

In relation to the impacts connected to point 3), the main balance sheet items of the Mediobanca Group for which it will be necessary to determine the relative fair value to be compared with the book values are

represented by "Financial assets measured at amortised cost" (Loans to banks and Loans to customers), from "Equity investments", from "Tangible assets" (in particular, properties for functional use and properties held for investment purposes) and from "Securities outstanding". In addition to this, the values of any intangible assets not currently recognised (for example, intangibles relating to customers) and potential liabilities must be recognised. It is expected that all adjustments reflected in the Pro-Forma Consolidated Financial Information will have a permanent impact on the MPS Group following the completion of the Potential Acquisition, with the exception of the adjustment relating to the recognition of goodwill and ancillary expenses connected with the execution of the Transaction, which will be incurred as one-off charges for the completion of the Potential Acquisition.

For the purposes of determining the pro-forma adjustments, the total cost of the Potential Acquisition has been calculated assuming a unit value of BMPS shares equal to Euro 6.953, based on the closing price on 23 January 2025, being the date corresponding to the last trading day prior to the date on which BMPS announced the Offer (*i.e.*, 24 January 2025), and assuming full acceptance of the Offer by Mediobanca shareholders. It should be noted that, in accordance with IFRS 3, the final value of the cost of the Potential Acquisition will be determined based on the price of BMPS shares on the trading date immediately preceding the date of completion of the Potential Acquisition.

The provisional consideration transferred thus determined, equal to Euro 13,326 million, was compared with the consolidated net equity of the Mediobanca Group as of 31 December 2024, adjusted as described in the following table, including profit for the period.

The adjusted net equity of the Mediobanca Group totalled Euro 12,178 million. The difference between the provisional consideration transferred and the adjusted net equity of the Mediobanca Group was Euro 1,148 million.

---

| | |
|:---|:---|
| Mediobanca Shares (a) (1) | 833279689 |
| Consideration (b) | 2.30 |
| **No. of BMPS Shares deriving from the Capital Increase (c)=(a)\*(b)** | **1916543285** |
| Reference price as at 23.01.2025 (d) | 6.953 |
| Capital increase (including share premium) BMPS (e)=(d)\*(c) | 13326 |
| **Acquisition cost (f)= BMPS capital increase (including share premium) (e)** | **13326** |
| Mediobanca Group net equity at 31.12.24 (g)(2) | 11235 |
| Mediobanca Group intangible assets 31.12.24 (h) (3) | 1061 |
| Adjustment to Fair value of investment in Assicurazioni Generali S.p.A. (i) | 2004 |
| **Adjusted net equity Mediobanca Group 31.12.24 to be compared with acquisition cost (l)=(g)-(h)+(i)** | **12178** |
| **Goodwill (m) =(f)-(l)** | **1148** |

---

All the values in the table are expressed in millions, with the exception of (a), (b), (c) and (d), which are expressed in units.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) The amount includes the 18,820,138 treasury shares held by the Mediobanca Group on the Information Document Date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) Sum of items "120. Valuation reserves", "150. Reserves", "160. Share premium reserve", "170. Share capital", "180. Treasury shares", "200. Profit (Loss) for the year" in the liabilities section of the Mediobanca Group's balance sheet as of 31 December 2024. In particular, the amount of Euro 11,235 million includes Euro -146 million referring to the countervalue of treasury shares at the same date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) Item "100. Intangible assets" of the balance sheet assets of the Mediobanca Group as of 31 December 2024.

In the context of the pro-forma adjustments, the effect connected to the ancillary expenses inherent to the Offer was also considered, estimated at a total of Euro 80 million (excluding VAT) of a non-recurring nature as they were incurred exclusively for the execution of the Offer. Of the total amount mentioned above, based on the preliminary information currently available, Euro 60 million was considered directly attributable to the issue of BMPS Shares to service the Offer and, based on the provisions of IAS 32, recorded as a reduction in net equity, net of the related tax effect (equal to Euro 24 million). The remaining part of the estimated ancillary costs, equal to Euro 20 million, has been charged among the administrative expenses of the pro-forma consolidated income statement, as provided for by IFRS 3, with the related current tax benefits, calculated at a nominal rate of 33% (Euro 8 million), entered under the item "Income taxes for the year on current operations" together with the effects on the lower revaluation of deferred tax assets equal to Euro 22 million.

Consequently, the impact of the acquisition on pro-forma consolidated net equity, equal to Euro 2,003 million, is determined as follows:

BMPS share capital increase, plus share premium, totalling Euro 13,326 million;

- deletion of the Mediobanca Group's net equity equal to Euro 11,235 million;

- the effect of ancillary expenses connected to the above-mentioned transaction, estimated at Euro 98 million (including VAT), and the related tax effect (Euro 10 million).

As previously mentioned, among the factors that will determine a difference between the final goodwill figure and the provisional amount indicated in the Pro-Forma Consolidated Financial Information, is the price of BMPS shares on the trading date immediately preceding completion of the Potential Acquisition. In this regard, it should be noted that, a 10% change in the unit value of BMPS shares on the day prior to the legal effectiveness of the Offer, compared to the value of Euro 6.953 (used as a reference for determining the provisional consideration transferred), would result in a change in goodwill equal to Euro 1,333 million. The following table shows how the estimated amount changes in the different scenarios.

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) |
|  | **Price -10%** | **Price** | **Price +10%** | **Price +20%** | **Price +30%** |
| Reference price (a) | 6.258 | 6.953 | 7.648 | 8.344 | 9.039 |
| No. of shares to be issued (b) | 1916543285 | 1916543285 | 1916543285 | 1916543285 | 1916543285 |
| BMPS capital increase (including share premium) (c)= (a) x (b) | 11993 | 13326 | 14658 | 15991 | 17323 |
| **Acquisition cost (d)=(c)** | **11993** | **13326** | **14658** | **15991** | **17323** |
| **Adjusted Mediobanca Group net equity (e)** | **12178** | **12178** | **12178** | **12178** | **12178** |
| **Provisional Goodwill (d)-(e)** | **(185)** | **1148** | **2480** | **3813** | **5146** |
| variations | (1333) |  | 1333 | 2665 | 3998 |

---

A further element that will affect the difference between the definitive goodwill figure and the provisional amount reported in the Pro-Forma Consolidated Financial Information is the criterion that will be adopted for the valuation of non-controlling interests. In particular, as mentioned above, if the minority interests are valued in proportion to the share of the participation held by them in the identifiable net assets of the acquired company and the Offer is not fully subscribed, the final amount of the goodwill could change.

The table below shows how – in the event of the adoption of the aforementioned criterion for the evaluation of minority interests and whether the Offer is not fully subscribed – the provisional amount of goodwill may vary in the different scenarios of the success of the Offer, starting from the Threshold Condition.

---

| | | | | |
|:---|:---|:---|:---|:---|
| | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) | Amounts in millions of Euros (excluding listing and number of shares) |
| <br>**Participation Scenario** | **100%** | **90%** | **80%** | **66.67%** |
| Reference price (a) | 6.953 | 6.953 | 6.953 | 6.953 |
| No. of shares to be issued (b) | 1916543285 | 1724888957 | 1533234628 | 1.277759408 |
| BMPS capital increase (including share premium) (c)=(a) x (b) | 13326 | 11993 | 10661 | 8884 |
| **Acquisition cost (d)=(c)** | **13326** | **11993** | **10661** | **8884** |
| **Adjusted net equity Mediobanca Group (e)** | **12178** | **10960** | **9742** | **8119** |
| Provisional Goodwill (d)-(e) | 1148 | 1033 | 918 | 765 |
| Variations |  | (115) | (230) | (383) |

---

5.2.4.2.2. <u>Elisions</u>

With reference to the "Elisions" column, the most significant reciprocal items in the balance sheet and income statement between the MPS Group and the Mediobanca Group, as resulting from the MPS Group's accounting records, have been indicated. The elisions carried out are represented by:

- Financial assets measured at fair value through profit or loss for Euro 19 million, entirely relating to debt securities, subject to elision with "Financial liabilities measured at amortised cost" (represented exclusively by "Outstanding securities");

- Financial assets measured at fair value through other comprehensive income for Euro 9 million, entirely relating to debt securities subject to elision with "Financial liabilities measured at amortised cost" (exclusively represented by "Outstanding securities");

- "Financial assets measured at amortised cost" for Euro 4 million, entirely referring to receivables from banks, and specifically to repurchase transactions, subject to elision with "Financial liabilities measured at amortised cost" (represented exclusively by "payables to banks");

"Other assets" totalling Euro 9 million (represented by placement commissions) subject to elision with "Other liabilities";

- "Interest income" and "Interest expense" for Euro 1 million;

- "Commission income" and "Commission expense" for Euro 35 million.

It should be noted that the reciprocal relationships have been cancelled out on the basis of the balances and financial statement items resulting from the MPS Group's accounting records. It was not possible to precisely reconcile the corresponding balances for the Mediobanca Group because, as of the Information Document Date, the Offeror does not have access to the analytical accounting of the Mediobanca Group; the exact reconciliation of the reciprocal relations can only be carried out after the Potential Acquisition has been finalised.

**5.3** **Pro-Forma indicators for BMPS share** 

**5.3.1** **Historical and Pro-Forma data per share** 

The number of shares used to calculate historical data is determined as follows: for the "Net economic result per share", reference is made to the weighted average of the shares outstanding in the 2024 financial year ("average number of BMPS shares"), equal to 1,259,689,706 on 31 December 2024; for the "Diluted net economic result per share", the sum of the "average number of BMPS shares" and the average number of potentially dilutive shares is considered, a situation which is not present for the MPS Group as of 31 December 2024; finally, for the "Net equity per share", the exact number of outstanding shares as of 31 December 2024 is taken into consideration, equal to 1,259,689,706, as reported in the consolidated financial statements of the MPS Group as of 31 December 2024. With reference to the historical data of the Mediobanca Group, the calculation refers to 30 June 2024 for the "Net economic result per share" and for the "Diluted net economic

result per share", and to 31 December 2024 for the "Net equity per share". In detail: for the "Net economic result per share", reference is made to the weighted average of outstanding shares equal to 826,608,063 as of 30 June 2024 ("average number of Mediobanca shares"); for the "Diluted earnings per share", the sum of the "average number of Mediobanca shares" and the average number of potentially dilutive shares is considered, equal for the Mediobanca Group as of 30 June 2024 to 6,487,718, as reported in the consolidated financial statements of the Mediobanca Group as of 30 June 2024; finally, for the "Net equity per share", the exact number of outstanding shares is considered, equal to 822,151,614, as reported in the Mediobanca Group's condensed consolidated half-year financial statements as of 31 December 2024.

For the calculation of the pro-forma data, the number of reference shares is determined as follows: for the "Net economic result per share", the sum of the outstanding "average number of BMPS shares" as of 31 December 2024 and the number of BMPS Shares deriving from the Capital Increase Reserved to the Offer equal to 1,916,543,285 is considered, for the "Net economic result per diluted share", the sum of the "average number of BMPS shares" outstanding as of 31 December 2024 (equal to 1,259,689,706), the average number of potentially dilutive shares, a situation not present for the MPS Group as of 31 December 2024, and the number of BMPS Shares deriving from the Capital Increase Reserved to the Offer (equal to 1,916,543,285); finally, for the "Net equity per share", the sum of the exact number of BMPS shares outstanding as of 31 December 2024 and the number of BMPS Shares deriving from the Capital Increase Reserved to the Offer, as above, is taken into consideration.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Pro-Forma Indicators per share** | **BMPS Historical Data<br> 31.12.24** | **Mediobanca Historical<br> Data** |  | **BMPS-Mediobanca <br> Proforma Data 31.12.24** |
| Net profit per share | 1.549 | 1.540 | (\*) | 1.018 |
| Diluted net profit per share | 1.549 | 1.528 | (\*) | 1.018 |
| Net equity per share | 9.247 | 13.665 | (\*\*) | 7.836 |

---

(\*) Data taken from the consolidated financial statements of the Mediobanca Group as of 30 June 2024.

(\*\*) Data calculated based on the information in the condensed consolidated half-year financial statements of the Mediobanca Group as of 31 December 2024.

**5.3.2** **Notes on significant changes in data per share** 

The historical net economic result of the MPS Group is equal to Euro 1,951 million and includes a non-recurring component equal to Euro 987.5 million relating to the revaluation of deferred tax assets, as reported in the consolidated financial statements of the MPS Group as of 31 December 2024. The pro-forma data for net economic results per share vary compared to historical data due to the combined effect of the inclusion of the result of the Mediobanca Group and the increase in the number of BMPS shares.

The pro-forma data of the net economic results per share therefore include the aforementioned non-recurring component and do not factor in the synergies that will derive from the Potential Acquisition, thus resulting in little significance. As previously indicated, BMPS expects the combined group to enable significant value creation for all shareholders, supported by greater profitability compared to the businesses operating on a standalone basis and capable of generating a double-digit growth in earnings per share adjusted for the tax rate.

**5.4** **Auditor'** **s report on pro-forma economic, financial, and asset data** 

On 2 April 2025, the audit firm PwC issued its report on the examination of the Pro-Forma Consolidated Financial Information as of 31 December 2024. A copy of this report is attached to this Information Document as <u>Annex B</u>.

This report and the pro-forma financial information to which it relates are consistent with those filed at the registered office of BMPS, and subsequent to the date indicated therein, PwC has not performed any audit procedures aimed at updating the content of the aforementioned report.

**6.** **PROSPECTS OF BMPS AND THE RELEVANT GROUP** 

**6.1** **General indications on the performance of BMPS from the end of the financial year to which the latest published financial statements refer** 

As of the date of the Information Document, there are no elements that could determine a variation or change in the MPS Guidance disclosed in the Presentation of the MPS Group 2024 Results (as described in the following paragraph). The results for the first quarter of 2025 will be published according to the relevant financial calendar on the MPS website (*<u>https://www.gruppomps.it/en/</u>*).

**6.2** **Information elements in relation to the reasonable forecast of the results of the current financial year** 

Consistently with the MPS Guidance issued as part of the Presentation of the MPS Group Results 2024, in 2025, the combination of MPS Group revenues will benefit from growth in commissions, while a decline in the interest margin is expected, which, in line with the dynamics of the system, will be affected by decreasing interest rates.

Operating expenses are expected to increase in 2025, mainly due to the effects of the renewal of the National Collective Bargaining Agreement (so-called CCNL) for the credit and financial sector and the investments in technology to be implemented to enable the digital transformation of the MPS Group, as indicated in the 2024- 28 Business Plan.

The cost of credit is expected to be lower than in 2024, thanks to effective loan portfolio management processes.

In this context, profitability is expected to be at least at the same levels as the previous year, thanks to the operational soundness of the Group.

Furthermore, the MPS Group will continue to generate capital organically, maintaining a high level of capital, with a CET1 ratio that is expected to be over 18.5% in 2025, in line with the Guidance.

It should be noted that, the above-mentioned business outlook for the MPS Group does not take into account the expected impacts of the Transaction.

\* \* \*

**Attached documentation**

**Annex A**: Voluntary Report by PricewaterhouseCoopers S.p.A. on the methods used by the BMPS directors for determining the Exchange Ratio in the context of the Offer;

**Annex B**: Report by PricewaterhouseCoopers S.p.A. concerning the examination of the pro-forma economic, financial, and asset data;

**Annex C**: Report by KPMG Advisory S.p.A., as an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, regarding the valuation of the Shares Subject to the Offer that are the subject of the in-kind contribution;

**Annex D**: Explanatory Report pursuant to Article 2441, paragraph 6, of the Italian Civil Code, prepared by the members of the Board of Directors.

![](tm2518026d1_ex99-18img01.jpg)

**<u>Annex A</u>**

![](tm2518026d1_ex99-pwclogo.jpg)

**INDEPENDENT AUDITOR** **'S REPORT NOT ISSUED PURSUANT TO ANY LEGAL REQUIREMENTS ON THE VALUATION CRITERIA ADOPTED BY THE DIRECTORS OF BANCA MONTE DEI PASCHI DI SIENA SPA TO DETERMINE THE EXCHANGE RATIO IN CONNECTION WITH THE PUBLIC EXCHANGE OFFER LAUNCHED BY BANCA MONTE DEI PASCHI DI SIENA SPA FOR ALL THE SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SPA**

To the Board of Directors of

Banca Monte dei Paschi di Siena SpA

We have been engaged by the Board of Directors of Banca Monte dei Paschi di Siena SpA (hereinafter also the "Bank", "BMPS" or the "Offeror" or the "Company"), in connection with the voluntary public exchange offer (hereinafter also "VEO" or "Offer") launched on 24 January 2025 by the Bank and concerning all the ordinary shares of Mediobanca – Banca di Credito Finanziario SpA (hereinafter also "Mediobanca"), to perform a limited assurance engagement on the valuation criteria (hereinafter also the "Criteria") adopted by the Board of Directors (hereinafter also the "Directors") of BMPS to determine the exchange ratio and related application methods.

The Criteria are set out by the Directors in the explanatory report hereto enclosed approved by the Board of Directors (hereinafter the "Directors' Report" or the "Report"), in paragraph 2 titled "Criteria for the determination of the exchange ratio between BMPS shares and Mediobanca shares and for the consequent determination of the maximum number of newly issued BMPS shares" and drawn up in accordance with Article 2441, para. 6, of the Italian Civil Code and with Article 125-ter of Italian Legislative Decree no. 58 of 24 February 1998 as subsequently amended (hereinafter also the Italian Consolidated Law on Financial Intermediation or "TUF") and with Article 70 of the Regulation adopted with Consob resolution no. 11971 of 14 May 1999 as subsequently amended (hereinafter the "Issuers' Regulation").

For each Mediobanca share tendered in the Offer, BMPS shall offer a consideration equal to no. 2.300 newly issued ordinary shares of BMPS arising from the share capital increase to serve the Offer (hereinafter the "Exchange Ratio").

The Exchange Ratio was determined by the Board of Directors of BMPS on the basis of their own analyses and considerations conducted with the support of their financial advisors.

As reported by the Directors in their Report, the Exchange Ratio could be subject to adjustments.

The valuation of the assets being tendered was performed, pursuant to Article 2343-*ter*, para. 2 letter b), by KPMG Advisory SpA, which issued its valuation report on 14 March 2025.

![](tm2518026d1_ex99-11img03.jpg)

![](tm2518026d1_ex99-pwclogo.jpg)

**Directors** **' responsibilities**

The Directors of BMPS are responsible for the drafting of the abovementioned paragraph 2 of the Report, which identifies the Criteria they selected to determine the Exchange Ratio and the related application methodologies. They are also responsible for such internal control as they determine is necessary to calculate an Exchange Ratio that is free from material misstatement, whether due to fraud or error.

**Auditors** **' independence and quality management**

We have complied with the independence and other ethical requirements in the International Code of Ethics for Professional Accountants (including International Independence Standards, the IESBA Code) issued by the International Ethics Standards Board for Accountants, which is founded on fundamental principles of integrity, objectivity, professional competence and due care, confidentiality and professional behaviour.

Our company applies International Standard on Quality Management 1 (ISQM Italia 1) and, accordingly, is required to design, implement and operate a system of quality management including policies or procedures regarding compliance with ethical requirements, professional standards and applicable legal and regulatory requirements.

**Our responsibilities**

Our responsibility is to express an independent conclusion, based on the procedures we performed, as to whether the Criteria adopted by the Directors to determine the Exchange Ratio are suitable, i.e., they are reasonable and not arbitrary in the circumstances, as well as on the application of such Criteria in accordance with national and international professional and valuation practices usually adopted in similar transactions.

We carried out our work in accordance with the criteria established by "International Standard on Assurance Engagements 3000 (revised) - Assurance Engagements other than Audits or Reviews of Historical Financial Information" ("ISAE 3000 revised"), issued by the International Auditing and Assurance Standards Board applicable to limited assurance engagements. This standard requires that we plan and perform the engagement to obtain limited assurance about whether the Criteria adopted by the Directors are suitable, i.e., they are reasonable and not arbitrary in the circumstances, and have been correctly applied to determine the Exchange Ratio under the VEO. A limited assurance engagement is less in scope than a reasonable assurance engagement carried out in accordance with ISAE 3000 revised, and consequently does not enable us to obtain assurance that we would become aware of all significant matters and events that might be identified in a reasonable assurance engagement.

This report is not issued pursuant to any legal requirements and shall not be considered as the report required by article 2441, para. 4, first sentence, and para. 6 of the Italian Civil Code and Article 158 of TUF, whose subject-matter is the issue price of the new shares of BMPS as part of the share capital increase to serve the VEO.

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**Criteria used by the Directors to determine the Exchange Ratio and related results**

For the purposes of the Offer, in light of the nature of the consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Mediobanca tendered in acceptance of the Offer, the Board of Directors of BMPS reports that it proceeded to carry out a valuation of the shares of Mediobanca and BMPS with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. As set out in the Report, the considerations and estimates made by the Directors are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors to determine the Exchange Ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the applied valuation methodologies.

The valuation methodologies and resulting economic values of the shares of Mediobanca and of BMPS were identified by the Directors to determine the number of shares of BMPS to be issued to serve the VEO, on the basis of the outcome of the Offer. Therefore, according to the Report, under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under assessment.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the announcement of the VEO (the "Reference Date") and to the equity-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In order to define the Exchange Ratio, the Board of Directors of BMPS considered to use:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. the Stock Market Price Method;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. the market multiples method in the variant of the stock market price of comparable listed companies on
their prospective earnings; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. the target price methodology highlighted by research analysts.

As set out by the Directors, the stock market price method uses market prices as the information relevant for estimating the economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals of time deemed significant and on the assumption that there is a correlation between the prices expressed by the market for the shares of the companies being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing in relative terms the relationship existing between the values of the companies in question as perceived by the market.

Specifically, the Board of Directors of BMPS deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with a reference period of 1 month, 2 months, 3 months, 6 months and 1 year preceding the announcement date (*i.e.*, 24 January 2025).

The second method used by the Directors is the market multiples method, according to which the enterprise value of a company is determined by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company being valued.

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The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial measures of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding measures of the company being evaluated, in order to estimate a range of values. As can be read in the Directors' Report, for the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected. The multiples for the years following 2026 have been deemed by the Directors to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for more distant future years. Specifically, the market multiples have been applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the info provider FactSet as of the Reference Date). As can be inferred from the Directors' Report, the reliability degree of the assessment of the market multiples method depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies being valued is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not regard companies whose prices could be influenced by particular contingent situations.

In their Report the Directors specified that given the existing differences between the business models of BMPS and Mediobanca, they used a specific sample for each of them, in order to better reflect the characteristic business of each company being valued. Specifically, Intesa Sanpaolo SpA., UniCredit SpA, Banco BPM SpA, BPER Banca SpA, Credito Emiliano SpA and Banca Popolare di Sondrio SpA were used in order to evaluate BMPS while Intesa Sanpaolo SpA, UniCredit SpA, FinecoBank SpA, Banca Generali SpA and Banca Mediolanum SpA were used to evaluate Mediobanca.

For the purposes of the valuation analysis of Mediobanca, given that a considerable part of its profits is generated by the qualified investment in Assicurazioni Generali SpA (equal to 13.02% at 30 June 2024), and considering that the latter is a listed company, the Directors made reference to the market valuation of this company.

The last valuation method chosen by the Directors referred to in their Report is the target price methodology highlighted by the research analysts, which determines the value of a company based on the target prices that financial analysts publish on the company. Target prices are indications of value that express an assumption about the price that a share can reach on the stock market and are derived from multiple valuation methodologies used at the discretion of the individual research analyst. For the purpose of applying the target price methodology, the Directors used the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September 2024 (announced on 8 November 2024 and 12 November 2024, respectively).

The Directors report that they applied the Criteria on an individual basis and under the going-concern assumption for both BMPS and Mediobanca, also taking into account the peculiarity of the Offer.

In order to determine the Exchange Ratio, the Directors report to have identified ranges of values for each valuation method, that are: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price methodology highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS

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and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

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| | | |
|:---|:---|:---|
| **Method** | **Implicit Exchange<br> Ratio** | **Implicit Exchange<br> Ratio** |
|  | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market multiples method</u> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price methodology highlighted by the research analysts</u> | 2.046x | 2.433x |

---

As described in the Report, the choice of the valuation methodologies adopted by the Directors for the purposes of determining the Exchange Ratio and the related results obtained must be read considering the following main limitations and valuation difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;· for the purposes of its analyses, the Bank used exclusively public data and information;

&nbsp;&nbsp;&nbsp;&nbsp;· the Bank did not perform on Mediobanca any due diligence activity of financial, legal, commercial, tax,
industrial or other nature;

&nbsp;&nbsp;&nbsp;&nbsp;· as of the reference date, an updated business plan for Mediobanca with a time horizon consistent with
that of BMPS is not publicly available. Therefore, where relevant to the application of the valuation methods, the projections of future
economic trends used for BMPS were derived on the basis of the estimates of the 2024-28 Business Plan (the " MPS
Plan ") while, for Mediobanca, were derived on the basis of the estimates
provided by research analysts (the " Mediobanca Estimates " and, together with the MPS Plan, the " Forecasts ");

&nbsp;&nbsp;&nbsp;&nbsp;· the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

Considering the foregoing, as largely detailed in para. 2 of the Report, the Board of Directors of BMPS identified, within the ranges identified by applying the methodologies highlighted above, an Exchange Ratio equal to 2.300.

**Procedures performed by the auditors**

The procedures we performed are based on our professional judgement and include inquiries, primarily of BMPS' personnel responsible for the determination of the Exchange Ratio and of the Company's financial advisors, documental analyses, recalculations, and other evidence gathering procedures, as appropriate.

Specifically, we planned and performed the following main procedures:

&nbsp;&nbsp;&nbsp;&nbsp;· examination of the Directors ' Report
approved by the Board of Directors, with specific regard to the paragraph 2 related to the Criteria to determine the Exchange Ratio;

&nbsp;&nbsp;&nbsp;&nbsp;· examination of the Criteria selected to determine the Exchange Ratio;

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&nbsp;&nbsp;&nbsp;&nbsp;· examination of the documentation drawn up for the Board of Directors ' meeting of 23 January 2025 which passed resolutions as to the VEO including the documentation prepared by the financial advisors;

&nbsp;&nbsp;&nbsp;&nbsp;· discussion with the Company ' s management
and financial advisors on the overall work performed to identify the valuation Criteria to determine the Exchange Ratio;

&nbsp;&nbsp;&nbsp;&nbsp;· corroboration of the completeness and consistency of the Directors ' reasons on the Criteria they selected to determine the Exchange Ratio;

&nbsp;&nbsp;&nbsp;&nbsp;· analysis of the reasonableness and non-arbitrary nature of the valuation Criteria selected by the Directors
to estimate the economic values of BMPS and Mediobanca for the purpose of determining the Exchange Ratio and their consistent application;

&nbsp;&nbsp;&nbsp;&nbsp;· analysis, for the purposes of the engagement, of the valuation of Mediobanca shares being contributed
as referred to in the valuation report under article 2343- *ter*, para. 2, letter b) of the Italian Civil Code prepared by the expert
appointed for that specific aim;

&nbsp;&nbsp;&nbsp;&nbsp;· checks of the consistency of the measures and financial figures used by the Directors in applying the
Criteria with the reference sources;

&nbsp;&nbsp;&nbsp;&nbsp;· recalculation of the results deriving from the application of the Criteria selected by the Directors in
order to verify the substantial algebraic correctness of such results;

&nbsp;&nbsp;&nbsp;&nbsp;· development of sensitivity analyses, within the Criteria selected by the Directors to determine the Exchange
Ratio and of independent valuation insights, with the aim of verifying how much these results could be affected by changes in the valuation
assumptions and in the parameters assumed;

&nbsp;&nbsp;&nbsp;&nbsp;· obtainment of a specific representation letter signed by the legal representative of the Company.

As part of our engagement, we did not perform any economic assessment of the companies involved in the VEO. Such assessment was exclusively carried out by the Board of Directors with the support of their financial advisors.

**Inherent limitations encountered by the independent auditors in performing the procedures**

In addition to the limitations encountered by the Directors in determining the exchange ratio as indicated in paragraph 2 of their Report, we highlight the following:

&nbsp;&nbsp;&nbsp;&nbsp;· with reference to market methodologies, although market prices reflect values expressed by market, they
are subject to significant fluctuations due to market volatility and extraordinary or speculative events. Specifically, the current market
context is characterised by a considerable uncertainty due to significant geo-political tensions, together with the announcement of important
transactions to consolidate and reorganise the Italian banking sector. To date, the development of such context cannot be foreseeable,
nor can any economic, financial, political and social consequence be estimated. Within the context of a share exchange, such valuation
difficulty is mitigated by the relative estimate between the two securities being exchanged. Furthermore, during the performance of our
activities, we conducted sensitivity analyses referring to financial and market parameters updated to the Reference Date and to the average
of the stock prices recorded over different time horizons deemed appropriate in light of the abovesaid context;

&nbsp;&nbsp;&nbsp;&nbsp;· the results of the application of the market multiples method although being based on a
 statistically representative sample of comparable companies, are affected by a different market positioning and a different
 competitive level between the comparable companies of the selected sample, as well as a different corporate size. In order to
 mitigate such valuation difficulty, independent sensitivity analyses were developed;

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&nbsp;&nbsp;&nbsp;&nbsp;· since an updated industrial plan of Mediobanca seemed to be unavailable at the Reference Date with a time
horizon in line with that of BMPS, the Directors made reference exclusively to market methodologies. Moreover, for the purposes of applying
the market multiples method, the Directors referred to a different information base for the two companies being valued. In particular,
for Mediobanca the Directors referred to the Mediobanca estimates inferred from the consensus of the research analysts, while as concerns
BMPS they considered the estimates taken from the MPS Plan. Such difficulties were mitigated through the development of independent valuation
insights;

&nbsp;&nbsp;&nbsp;&nbsp;· Forecasts, even when taken from economic-financial plans as well as from the consensus of the research
analysts, are based by their nature on a set of realization assumptions of future events and actions that the companies being estimated
must undertake; such assumptions include, *inter alia*, certain hypothetical assumptions which depend on factors that are, in whole
or in part, beyond the control of such companies and that have, by their nature, uncertain features linked also to possible structural
changes in the market. Because of the uncertainty related to the occurrence of any future events, as to whether and when such events will
occur and to what extent, the difference between the estimates and the related actual values could be significant;

&nbsp;&nbsp;&nbsp;&nbsp;· the valuation performed by the Board of Directors of BMPS refer to the economic and market conditions
as at 23 January 2025 (also taking into account the stock performance in the previous months) which is the trading day prior to the VEO
announcement date.

**Conclusion**

Based on the documentation examined and the procedures described above, taking into account the nature and the scope of our work showed in this report, without prejudice to what highlighted in the paragraph above "*Inherent limitations encountered by the independent auditors in performing the procedures*", nothing has come to our attention that causes us to believe that the Criteria adopted by the Directors of Banca Monte dei Paschi di Siena SpA to determine the Exchange Ratio, as set out in paragraph 2 of the Directors' Report, are not adequate, as they are reasonable and not arbitrary in the circumstances, and that they were not correctly applied, for the purposes of the determination of the Exchange Ratio, identified in 2.300 newly issued ordinary shares of BMPS for each share of Mediobanca tendered in the Offer.

**Restriction on use**

This report has not been prepared pursuant to any legal requirements and is for the exclusive benefit of the Board of Directors of Banca Monte dei Paschi di Siena SpA in connection with the VEO. Therefore, this report cannot be used for any other purposes, in whole or in part. We have not undertaken to update this report for events or circumstances that may occur after its issue.

Florence, 18 March 2025

PricewaterhouseCoopers SpA

*Signed by* 

Marco Palumbo

(Partner)

*This independent auditors ' report has been translated into English solely for the convenience of international readers. Accordingly, only the original Italian version is authoritative.*

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;***English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail***

**BANCA MONTE DEI PASCHI DI SIENA S.P.A.**

EXTRAORDINARY SHAREHOLDERS' MEETING

17 April 2025 (single call)

EXPLANATORY REPORT OF THE BOARD OF DIRECTORS

ON ITEM 1) ON THE AGENDA

prepared pursuant to Article *125-ter* of Legislative Decree No. 58 of 24 February 1998 as subsequently amended ("**TUF**") and pursuant to Article 70 of the regulation adopted by Consob by resolution No. 11971 of 14 May 1999 as subsequently amended ("**Issuers' Regulation**").

**PROPOSAL TO GRANT THE BOARD OF DIRECTORS, PURSUANT TO ARTICLE 2443 OF THE ITALIAN CIVIL CODE, THE POWER, TO BE EXERCISED BY 31 DECEMBER 2025, TO INCREASE THE SHARE CAPITAL IN ONE OR MORE TRANCHES, IN DIVISIBLE FORM, WITH THE EXCLUSION OF THE OPTION RIGHT PURSUANT TO ARTICLE 2441, PARAGRAPH FOUR, FIRST SENTENCE, OF THE ITALIAN CIVIL CODE, TO BE PAID IN BY CONTRIBUTION IN KIND, TO SERVE A VOLUNTARY PUBLIC OFFER BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. RELATING ALL THE ORDINARY SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ** **PER AZIONI; SUBSEQUENT AMENDMENT TO ARTICLE 6 OF THE BY-LAWS; RELATED AND CONSEQUENT RESOLUTIONS.**

&nbsp;&nbsp;NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 1 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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**EXPLANATORY REPORT OF THE BOARD OF DIRECTORS PREPARED PURSUANT TO ARTICLE 125-** ***TER* OF THE CONSOLIDATED LAW ON FINANCE (TUF) AND PURSUANT TO ARTICLE 70 OF THE ISSUERS' REGULATION**

Dear Shareholders,

the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. (the "**Bank**" or the "**Company**", or the "**Offeror**" or "**BMPS**") has convened an Extraordinary Shareholders' Meeting on 17 April 2025 at 10:00 a.m., in a single call, to submit for Your approval the above matter, placed under **item 1** of the agenda, concerning the proposal to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Bank's share capital in one or more tranches, in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code and with the issuance of a maximum number of 2,230,000,000 ordinary shares (the "**Maximum Share Amount**"), with regular dividend rights and having the same features as those outstanding at the issue date, whose issue price will be determined by the board of directors in accordance with the law, to be paid in through contribution in kind, to service the voluntary public exchange offer by BMPS for all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni (the "**Capital Increase Reserved to the Offer**"), announced on 24 January 2025 with the communication issued pursuant to articles 102, paragraph 1, of the Consolidated Law on Finance and 37 of the Issuers' Regulation (the "**Offeror's Communication**"), available on the Bank's institutional website at the following link (*<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*) and promoted on 13 February 2025 through the submission - pursuant to article 37-*ter* of the Issuers' Regulation - to Consob, *inter alia*, of the offer document prepared on the basis of scheme 2A of Annex 2 of the Issuers' Regulation which will be made available in the manner and within the timeframe prescribed by the applicable regulations, as per the subsequent press release published by BMPS on the same date, pursuant to article 37-*ter*, paragraph 3, of the Issuers' Regulation (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

The proposal to amend the By-laws concerning the granting of the delegation to the Board of Directors of BMPS, pursuant to Article 2443 of the Italian Civil Code, to increase the share capital of the Bank (the "**Delegation**") is described in this explanatory report (the "**Report**") in accordance with the provisions of Article 2441, paragraph 6, of the Italian Civil Code, Article *125-ter* of the TUF, Article 70 of the Issuers' Regulation and Annex 3A, Schedule No. 3 of the Issuers' Regulation. This Report, for the Shareholders' information, also includes some information on the proposed Capital Increase Reserved to the Offer, which is expected to be executed upon exercise of the Delegation, taking into account the provisions of Schedule 3A, scheme No. 2 of the Issuers' Regulation.

\* \* \* \* \*

**1.** **DESCRIPTION OF THE TRANSACTION AND RATIONALE OF THE PROPOSAL TO GRANT THE DELEGATION** 

The Board of Directors of the Bank, on 23 January 2025 (having obtained the favourable, reasoned and binding opinion of the Committee for Related Party Transactions, issued on the same date and made available by in the manner and within the timeframe prescribed by applicable laws), resolved to promote a voluntary public exchange offer (the "**VEO**" or the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of the TUF, concerning all the ordinary shares

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 2 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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issued by Mediobanca - Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), a company with shares listed on Euronext Milan ("**Euronext Milan**"), a regulated market organised and managed by Borsa Italiana S.p.A., including the treasury shares held by Mediobanca. The Offer was announced to the market and to Consob on 24 January 2025 by means of the Offeror's Communication and by means of a specific press release disseminated pursuant to article 17 of Regulation (EU) No. 596/2014 (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

As explained in greater detail in the Offeror's Communication (to which full reference is made and, in particular, to paragraphs 1.2 and 1.3), BMPS decided to launch the Offer for the acquisition of Mediobanca with the aim of creating a new Italian banking champion through the union of two of the most distinctive brands in the financial services market.

BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and presents significant value creation for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets and a highly diversified player, resilient, with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full development of existing human capital.

In a market currently experiencing a phase with a high level of consolidation, BMPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in specific areas and key sectors, as well as to better seize future growth options. This will increase support to households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

The new group will be able to rely on the distinctive skills of Mediobanca in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance, and of BMPS in the areas of Retail and Commercial Banking. Furthermore, the stake held in Assicurazioni Generali will also positively contribute to the diversification of the new Group's revenues and will be managed in the same way as the other lines of business*,* according to a careful discipline for capital optimization and a strong risk-adjusted profitability approach.

The combination will offer employees of each institution the opportunity to develop their careers within a larger organization, enhancing their talent through opportunities for mutual enrichment and integration. At the same time, it will help attracting new high-profile resources, enhancing their skills and professionalism with the aim of consolidating a sustainable and competitive growth model.

The combination is entirely consistent with BMPS' strategic guidelines as defined in the 2024-2028 business plan and will enable significant revenue growth and major cost and funding synergies, to be achieved by means of a smooth implementation process.

In terms of revenues, the transaction will allow for the generation of synergies of approximately Euro 0.3 billion per year, thanks to the enrichment of the range of products and services for families and businesses, the development of an integrated offer to the respective customer bases, and an increase in penetration and expansion of the target markets. In particular, by:

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 3 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Retail Banking – introducing BMPS ' products to the customer base of Compass Banca
S.p.A. ()"**Compass** ")
and Mediobanca Premier S.p.A. ()"**Premier** "),
with the support of the BMPS branch network, to facilitate a scalable provision of services and deeper market penetration. By way of example,
the growth levers include:

○ Accounts and Cards – with respect to the so-called daily banking;

○ Mortgages – by leveraging the proven commercial capability of the BMPS network, also in meeting the needs of customers with respect to the relevant insurance products;

○ Bancassurance – by extending the insurance offer to Premier customers;

○ Consumer Finance – by expanding the distribution activity leveraging on the BMPS branch network, enriching the offer with insurance products and by expanding the value proposition cross-border towards new markets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Private Banking – extending Mediobanca ' s best practice to BMPS customers, also through
Mediobanca ' s asset management products (*e.g.*, alternative
investments);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Asset Gathering – integrating Mediobanca Premier and Widiba to create a network of financial advisors at scale to compete with the key players, supported
by a distinctive digital platform, with the introduction of an integrated range of asset management products and enhancing BMPS capabilities
in insurance;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Corporate & Investment Banking – combining BMPS ' balance sheet potential with Mediobanca ' s
Investment Banking activity and by initiating a development program to support the growth of companies throughout the country. Similarly,
by leveraging Mediobanca ' s specialized experience in Advisory and
Markets for widespread distribution to BMPS ' corporate customers.

At the same time, the transaction will generate significant cost synergies in terms of administrative expenses, and will allow for the targeted optimization of overlapping functions. In addition, savings will be derived from the rationalization of the combined investment plan of the two banks, thus avoiding duplication of investments in the areas subject to the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the centralization of procurement from large suppliers and the extension of best practice in terms of
cost governance;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the optimization of IT investments and digital transformation for shared areas, for example for the
BMPS consumer finance platform;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the optimization of wealth management support activities for both Private Banking and Asset Gathering;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the combined development of the platform for Corporates as well as optimization of the product factories
(*e.g.*, MBFACTA and MPS Factoring);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the deletion of duplications in central functions, both in operational and resource terms.

Furthermore, the combination will allow synergies in funding to be realized for approximately Euro 0.1 billion per year due to a more balanced funding mix, leveraging BMPS' commercial funding capacity and optimizing the combined entity's wholesale funding position.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 4 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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The industrial project, characterized by the significant complementarity of the two business models (which significantly reduces the execution risk), will be carried out with a straightforward integration and one-off integration costs estimated at approximately Euro 0.6 billion before taxes, expensable in the first year.

The transaction also aims to accelerate the utilization of Deferred Tax Assets ("**DTA**") held by BMPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTA (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTA will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

The combined group will be strengthened, with a diversified revenue stream and a strong resilience capable of successfully competing in different scenarios, while also enabling significant value creation for all shareholders, supported by higher profitability compared to the standalone businesses and able to generate a double-digit growth in earnings per share.

Shareholders will benefit from a dividend policy that is sustainable over time, with growth in the dividend per share, while confirming BMPS' solid capital position (pro-forma Common Equity Tier 1 ratio of approximately 16% upon completion of the transaction).

Finally, the sustainability strategies of the two banks will be consolidated, by leveraging their respective ESG capabilities to strengthen the positioning of the combined entity and promote commitment to the communities and regions where they operate.

BMPS' high governance standards will be maintained throughout the entire combination process and beyond, ensuring transparency, accountability, and a balanced approach that respects all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

Subject to the following, the Offer envisages that, for each share of Mediobanca tendered to the Offer, BMPS will offer a unitary consideration represented by 2.300 newly issued ordinary shares of BMPS (the "**Consideration**") deriving from the Capital Increase Reserved to the Offer.

As indicated in the Offeror's Communication, the Offer's Consideration may be subject to adjustment. In particular*,* it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed*". In addition, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any operation on the share capital of the Issuer and/or on the Mediobanca shares, while in any case the Offeror retains the right to avail itself (or to waive its right to avail itself) of the relevant condition of effectiveness, where applicable, in relation to such individual event.

In light of the above, it should be noted that, on 6 March 2025, the Board of Directors of BMPS resolved to propose to the ordinary Shareholders' Meeting of the Bank the allocation of a total of Euro 1,083 million deriving from the net profit resulting from the draft financial statements as of 31 December 2024 (equal to Euro 1,923 million), to its Shareholders, as a dividend corresponding to Euro 0.86 per share. The dividend, subject to its approval by the shareholders' meeting, will be paid on 21 May 2025, with an ex-dividend date on 19 May 2025 (record date 20 May 2025).

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 5 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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Furthermore it should be noted that, on 10 February 2025, Mediobanca's Board of Directors announced to the market - on the occasion of the approval of Mediobanca's half-yearly report as of 31 December 2024 - the distribution of an interim dividend to its shareholders in May 2025 (and the corresponding balance in November 2025). In the event that the coupon of the aforesaid interim dividend (and the corresponding balance) is actually detached or the interim dividend (and the corresponding balance) is paid before the payment date of the Offer, the Offer's Consideration will be consequently and consistently adjusted to take this circumstance into account.

Separately, and in any event, the Offer's Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above.

Finally, in the event that the Board of Directors of Mediobanca, in execution of the delegation granted by the extraordinary Shareholders' Meeting of the Issuer on 28 October 2024, proceeds - prior to the payment date of the Offer - with the cancellation of the treasury shares purchased in execution of the authorization from the same ordinary Shareholders' Meeting of Mediobanca on 28 October 2024, and/or any transactions to reduce the number of outstanding Mediobanca shares and/or the payment of the interim dividend or the related balance thereof, and subject to adjustments and/or modifications relating to the content and/or structure of the Offer, it will not be necessary to issue the entire Maximum Share Amount.

The Capital Increase Reserved to the Offer to which the Delegation proposal refers is therefore aimed at the issuance of BMPS ordinary shares to be offered as consideration for the Mediobanca shares tendered in acceptance of the Offer even if potentially adjusted and/or amended. In fact, the acceptance of the Offer by the Mediobanca's shareholders entails, from a technical-legal point of view, the contribution in kind of ordinary shares of Mediobanca in favour of BMPS, in exchange for the subscription of the Capital Increase Reserved to the Offer, which is, therefore, an essential prerequisite of the Offer.

The proposal to grant the Delegation to the Board of Directors of BMPS, which is the subject matter of this Report, is therefore functional and instrumental to the Offer announced by BMPS with the Offeror's Communication and promoted on 13 February 2025 through the filing of the offer document with Consob.

As described in the Offeror's Communication, the VEO may only commence, *inter alia*, subject to and following: *(i)* the approval by the extraordinary Shareholders' Meeting of BMPS of the proposal of Delegation (to which this Report refers) and *(ii)* the resolution, by the Board of Directors, of the aforesaid Capital Increase Reserved to the Offer in the context of the exercise of the Delegation; all subject to the obtaining of the authorisations described in Paragraph 1.4 of the Offeror's Communication (see also Paragraph 15 below).

The proposal to grant the Board of Directors with the Delegation is justified by the fact that this instrument is more suitable to ensure flexibility, compared to the capital increase resolution directly passed by the Shareholders' Meeting, necessary to determine the terms and conditions of the capital increase transaction for the purpose of a public exchange offer and, consequently, to respond to and adapt to the features of the Offer, even if potentially adjusted and/or amended. As confirmed in previous cases with structures comparable to the Offer, as well as in similar ongoing transactions, the Delegation instrument also allows to more efficiently coordinate the requirements provided for by the regulations laid down in the Italian Civil Code on the execution of the capital increase to be paid in kind, with the rules provided for by the TUF and the Consob implementing regulations for the promotion, the execution and the completion of a voluntary public exchange offer; this with particular reference to the possible use of the Delegation, upon completion of the Offer, also for the purpose of fulfilling the sell-out pursuant to article 108, paragraphs 1 and

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 6 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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2, of the TUF and/or the potential exercise of the squeeze-out right in connection with the remaining shares of BMPS pursuant to Article 111 of the TUF, where applicable.

Based on the contents of the Offer and taking into account: (i) the amount of the dividend proposed by BMPS, although not yet approved by the Shareholders' Meeting (equal to Euro 0.86 per share), (ii) a maximum amount of No. 16,178,862 additional shares (the "**Additional Shares**") that may be issued by Mediobanca to serve long-term share-based incentive plans (the "**Incentive Plans**" or the "**Plans**")<sup>1</sup> (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, and provided that some of them include the possibility to use Mediobanca's treasury shares in portfolio instead of the Additional Shares, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans), and (iii) the fact that, as of the date of this Report, Mediobanca's Board of Directors has not yet resolved upon the distribution of the interim dividend to its shareholders (as already announced by Mediobanca on 10 February 2025) and the cancellation of the treasury shares in portfolio, the Board of Directors of BMPS, based on the contents of the Offer, for the sake of utmost caution, and according to a highly conservative approach, resolved that the maximum number of BMPS shares to be issued to serve the Offer will be equal to No. 2,230,000,000.

Therefore, in light of the foregoing, it should be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors, pursuant to this Report, may be reduced as a result of the distribution of the interim dividend (and the corresponding balance), the potential cancellation of treasury shares by Mediobanca, and the allotment of treasury shares to the beneficiaries of the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans), in lieu of the Additional Shares (without prejudice to the applicable legal and regulatory provisions governing the aforementioned Plans), if these events occur before the Offer payment date.

The Delegation proposal, therefore, provides that the Capital Increase Reserved to the Offer may be resolved upon by the Board of Directors by 31 December 2025, also in one or more tranches and in divisible form, for an amount equal to Euro 5.917 for each newly issued share (amount corresponding to the implied nominal value, rounded to the third decimal number, of BMPS shares currently issued, as recorded on the date of this Report)<sup>2</sup> and, therefore, subject to the following paragraphs, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and for an amount of share capital equal to maximum amount of Euro 13,194,910,000*,* plus any share premium.

The proposed Delegation entails by law the exclusion of the option right pursuant to Article 2441, paragraph four, first sentence of the Italian Civil Code (in the event of a share capital increase to be paid up through contributions in

<sup>1</sup> Based on publicly available information, the following long-term share-based Incentive Plans approved by and which could be served, in whole or in part, by newly issued Mediobanca shares approved by the Issuer itself are currently in place:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. 2015 Performance Shares Plan, approved by the ordinary Shareholders ' Meeting of Mediobanca on 28 October 2015 (and updated by the ordinary shareholders ' meeting on 28 October 2019);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Long Term Incentive Plan 2019-2023, approved by the ordinary Shareholders ' Meeting of Mediobanca on 28 October 2019;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Long Term Incentive Plan 2023-2026, approved by the ordinary shareholders ' meeting of Mediobanca on 28 October 2023; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. 2023-2026 Broad-Based Share Ownership and Co-investment Plan, approved by the ordinary shareholders ' meeting of Mediobanca on 28 October 2023.

<sup>2</sup> The implied nominal value is calculated as the ratio of the current share capital of BMPS to the number of currently issued shares.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 7 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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kind), as the newly issued shares of BMPS will be subscribed and paid up through the contribution to BMPS of the shares of Mediobanca tendered to the Offer and will therefore be reserved to the participants to the Offer.

Without prejudice to all the powers and prerogatives of the Board of Directors regarding the transaction (including, for the sake of clarity only, the ability to adjust and/or amend the content and/or structure of the Offer and/or identify different and/or additional methods for its execution), it is hereby acknowledged that, the number of new shares to be issued upon the exercise of this Delegation will depend on the level of actual acceptances collected during the Offer and/or, subject to compliance with the above-mentioned maximum amount, also due to any above-mentioned changes that may be made to the Offer in accordance with applicable regulations.

Finally, it should be noted that, in relation to the proposed Capital Increase Reserved to the Offer, the measures and safeguards set forth in the "*Regulation of Related Party Transactions*", adopted by Consob resolution No. 17221 of 12 March 2010, as amended and supplemented (the "**RPT Regulation**"), and in the "*Group Regulation on the management of prescriptive compliance with related parties, related subjects and Bank officers' obligations*" (the "**BMPS Regulation**"), adopted by the Board of Directors of BMPS in compliance with the RPT Regulation, as well as with the Bank of Italy Circular No. 285/13, Part Three, Chapter 11 and subsequent amendments and additions, on the subject of risk activities and conflicts of interest with respect to connected parties. This is because certain persons with shareholdings, over 3%, in Mediobanca also hold significant shareholdings (*i.e.,* higher than 3%) in BMPS and, therefore, fall under the definition of "discretionary" related parties. The procedure provided for in the RPT Regulation and the BMPS Regulation was duly carried out and concluded with the issue of a favourable opinion on the fairness and substantive and procedural correctness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, issued by the BMPS Related- Party Transactions Committee, composed of independent directors. For a complete disclosure of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the RPT Regulation, published on the Bank's institutional website *<u>https://www.gruppomps.it/en/</u>*.

The Related Party Transactions Committee, in addition to the aforementioned opinion, was then once again involved with reference to the capital increase proposal to be submitted to the Shareholders' Meeting convened for 17 April 2025 in order, among other things, to verify its consistency with the terms and conditions of the Offeror's Communication. During this discussion, having pointed out that, as of the date of this report, no changes had occurred with respect to what had already been set forth in the opinion issued on 23 January 2025. The Committee for Related Party Transactions will therefore continue to monitor the progress of the overall transaction.

&nbsp;&nbsp;&nbsp;&nbsp;**2.** **CRITERIA FOR THE DETERMINATION OF THE EXCHANGE RATIO BETWEEN BMPS SHARES AND MEDIOBANCA SHARES AND FOR THE CONSEQUENT DETERMINATION OF THE MAXIMUM NUMBER OF NEWLY ISSUED BMPS SHARES** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.1.** **Preamble** 

The Offeror's Communication provides that BMPS shall offer to the participants to the VEO, for each 10 Mediobanca shares tendered to the Offer, as the Offer's Consideration, No. 23 newly issued BMPS ordinary shares having the same features as the currently outstanding BMPS ordinary shares: this is equivalent to a ratio of No. 2,300 newly issued BMPS ordinary shares for each Mediobanca share tendered to the VEO, subject to the provisions of paragraph 5 below with reference to the treatment of fractional shares deriving from the exchange.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 8 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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The aforementioned exchange ratio was determined by the Board of Directors of BMPS based on their own assessments and considerations, carried out with the advice and support of its financial advisors, and as indicated in the Offeror's Communication, the Consideration has been determined on the assumption that, prior to the payment date of the Offer: (x) neither the Issuer nor the Offeror will approve or give effect to any ordinary (including interim dividends) or extraordinary distribution of dividends drawn from profits and/or other reserves; and (y) the Issuer will not approve or give effect to any transaction involving its share capital and/or Mediobanca shares.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.2.** **Valuation criteria selected by the Directors to determine the exchange ratio** 

For the purposes of the Offer, in light of the nature of the Consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Issuer tendered in acceptance of the Offer, the Board of Directors of BMPS proceeded to carry out a valuation of the shares of Mediobanca and of BMPS with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. The considerations and estimates made are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors in order to determine the exchange ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the valuation methodologies applied.

The valuation methodologies and the resulting economic values of the shares of Mediobanca and of BMPS were identified for the purpose of determining the number of BMPS shares to be issued to service the VEO, based on its outcome. Under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under consideration.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the announcement of the VEO (the "**Reference Date**") and to the patrimonial-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In particular, the BMPS Board of Directors decided to use, for the purpose of the determination of the Consideration:

- the Stock Market Price Method;

- the market multiples method in the variant of the stock market price of comparable listed companies on their prospective earnings; and

- the target price methodology highlighted by research analysts.

The choice of the methodologies and the results of the valuation analyses carried out by BMPS as at the Reference Date for the purpose of determining the exchange ratio must be interpreted in light of the ratio presented the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the Bank used exclusively public data and information for the purposes of its analyses;

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 9 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Bank has did not perform any financial, legal, commercial, tax, industrial or any other due diligence
activities on Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) as at the reference date, an updated business plan for Mediobanca with a time horizon consistent with
that of BMPS was not publicly available. Accordingly, where relevant to the application of the valuation methods, the projections of future
economic performance used for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while, for Mediobanca, were
derived on the basis of the estimates provided by research analysts;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently
limited by a number of factors.

The following is a summary description of each of the methodologies used to determine the Offer's consideration:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) <u>Stock Market Price Method</u>: the Stock Market Price Method uses market prices as the relevant information
for estimating the economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals
of time deemed significant and on the assumption that there is a correlation between the prices expressed by the market for the shares
of the companies being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing
in relative terms the relationship existing between the values of the companies in question as perceived by the market.

In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the announcement date (*i.e.*, 24 January 2025).

The following table shows (i) the implied exchange rates and (ii) the premiums that the Consideration incorporates based on the BMPS and Mediobanca Weighted Average Prices recorded on the Reference Date and in the periods indicated below prior to the Reference Date (included).

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| | | | | |
|:---|:---|:---|:---|:---|
| | **Weighted Average Price (Euro)** | **Weighted Average Price (Euro)** | | |
| <br>**Reference Period** | **BMPS** | **Mediobanca** | **Implied Exchange**<br>**Ratio (x)** | **Implied Premium vs.**<br>**Market Prices** |
| Values based on the prices as of 23 January 2025 | 6.953 | 15.227 | 2.190 | 5.03% |
| Values based on the weighted average prices over 1 month (including 23 January 2025) | 6.954 | 14.795 | 2.127 | 8.11% |
| Values based on the weighted average prices over 2 months (including 23 January 2025) | 6.547 | 14.363 | 2.194 | 4.84% |
| Values based on the weighted average prices over 3 months (including 23 January 2025) | 6.099 | 14.508 | 2.379 | (3.31)% |

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*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 10 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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| | | | | |
|:---|:---|:---|:---|:---|
| Values based on the weighted average prices over 6 months (including 23 January 2025) | 5.567 | 14.703 | 2.641 | (12.91)% |
| Values based on the weighted average prices over 12 months (including 23 January 2025) | 4.724 | 13.928 | 2.948 | (21.99)% |

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(b) <u>Market Multiples Method</u>: according to the Market Multiples Method, the value of a company is determined
by taking as a reference the indications provided by the stock market with regard to companies with similar characteristics to the company
being valued.

The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time).

The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations.

It should be noted that, given the differences between the business models of BMPS and Mediobanca, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purpose of the evaluation of BMPS, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purpose of the evaluation of Mediobanca, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration.

The market multiples were applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date).

The following table shows the Price/Projected Earnings multiples for 2025 and 2026 of the selected companies as of the Reference Date, based on the consensus estimates of research analysts for 2025 and 2026, as provided by the information provider FactSet as of the Reference Date. For illustrative purposes and

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 11 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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completeness, the table also shows the multiples of Mediobanca based on the prices as of the Reference Date and on the implied valuation of the Consideration based on the BMPS price as of the Reference Date.<sup>3</sup>

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| | | |
|:---|:---|:---|
| | **Projected Price/ Earnings** | **Projected Price/ Earnings** |
| <br>**Comparable Companies** | **2025** | **2026** |
| Intesa Sanpaolo | 8.2 x | 8.1 x |
| UniCredit | 7.5 x | 7.6 x |
| Banco BPM | 8.4 x | 8.6 x |
| BPER | 7.2 x | 7.1 x |
| Credito Emiliano | 7.8 x | 8.1 x |
| Banca Popolare di Sondrio | 8.8 x | 9.3 x |
| FinecoBank | 18.6 x | 17.8 x |
| Banca Generali | 15.3 x | 14.7 x |
| Banca Mediolanum | 10.7 x | 10.7 x |
| **Mediobanca** | **9.6** **x** | **9.2** **x** |
| **Mediobanca at the Offer's Consideration** | **10.0** **x** | **9.7** **x** |

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For the purposes of the valuation analysis of the Issuer, in light of the fact that a significant portion of the Issuer's profitability is generated by the qualified shareholding in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company is listed, the market valuation has been used in this regard.

&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Research analysts'</u> <u>target price method</u>: the target price method determines the value of a company based on the target prices that financial analysts publish
on the company. Target prices are indications of value that express an assumption about the price that a share can reach on the stock
market and are derived from multiple valuation methodologies used at the discretion of the individual research analyst.

For the purpose of applying the target price methodology, the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September

<sup>3</sup> The content of the above table does not imply any judgment by BMPS on any of the banking companies listed therein, except for Mediobanca, nor does it represent any opinion regarding investment or divestment evaluations related to any financial instrument or security.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 12 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used.

The valuation methodologies described above have been applied on an individual and business continuity basis for both the Bank and Mediobanca and also taking into account the specific features of the Offer.

In order to determine the exchange ratio, ranges of values were identified for each valuation method, *i.e.*: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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| | | |
|:---|:---|:---|
| | **Implied exchange ratio** | **Implied exchange ratio** |
| <br>**Methodology** | **Minimum** | **Minimum** |
| <u>Stock Market Price Method</u>  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market Multiples Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price method highlighted by research analysts</u> | 2.046x | 2.433x |

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Finally, it should be noted that, the Board of Directors of BMPS has mandated the firm appointed for the statutory audit of BMPS' accounts, PricewaterhouseCoopers S.p.A. ("**PwC**"), to prepare, on a voluntary basis and according to the criteria indicated in the ISAE "*3000 revised*" – *limited assurance appointment*, a report regarding the adequacy, in so far as is reasonable and nondiscretionary, of the criteria adopted by the same Board for determining the exchange ratio in the context of the VEO, in accordance with the national and international valuation practice and professional techniques applicable to transactions of this nature.

Concurrently with the publication of this Report, the aforementioned PwC report, prepared on a voluntary basis, will also be made available to the public, for the purpose of providing more complete and accurate information to BMPS' shareholders, in view of their extraordinary Meeting. Therefore, reference is made to the aforementioned report for any further information on this matter.

**3. DETERMINATION OF THE ISSUE PRICE OF THE NEWLY ISSUED SHARES, ENVISAGED ALLOTMENT RATIO**

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 13 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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The issue price of the BMPS shares to be issued in the context of the Capital Increase Reserved to the Offer will be determined by the Board of Directors when exercising the Delegation, pursuant to and in accordance with article 2441, paragraph 6 of the Italian Civil Code.

Furthermore, when exercising the Delegation, whether it is granted, and subject to the limitation constituted by the value that the Independent Expert, in its appraisal or updates thereto, has attributed or will attribute to the Mediobanca shares to be contributed pursuant to Articles 2440, paragraph 2 and 2343-*ter* of the Italian Civil Code, the Board of Directors of BMPS will determine the portion of the issue price that will be allocated to the share capital and the portion of the issue price that will be allocated to the share premium reserve, with the clarifying note that, as indicated in Paragraph 1: (i) in connection with the portion of the issue price to be allocated to share capital, it will be equal to Euro 5.917 for each newly issued BMPS share (an amount corresponding to the implied nominal value, rounded to the third decimal place, of the currently issued BMPS shares as recorded on the date of this Report), and therefore, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and a share capital amount of up to Euro 13,194,910,000, in addition to any share premium, and (ii) the remaining portion of the issue price will be allocated to the share premium reserve.

It should be noted that, in accordance with the applicable international accounting standards, the increase in BMPS' net equity, which will be recorded in accounting terms, will not be based on the issue price determined by the Board of Directors when exercising the Delegation; instead, it will correspond to the fair value of BMPS shares that will be assigned to those who accept the Offer; this fair value will correspond to the stock market price of BMPS shares on the date the exchange is made with Mediobanca shares tendered in acceptance of the Offer.

It should be noted that PwC, as the company entrusted with the statutory audit of BMPS' accounts, has been appointed and will issue its fairness opinion on the issue price of the BMPS shares to be offered in the Offer, pursuant to Article 2441, paragraph six, of the Italian Civil Code and Article 158 of the TUF. Therefore, on the occasion of exercising the Delegation for the Capital Increase Reserved to the Offer, PwC will issue the aforementioned fairness opinion on the issue price of the BMPS shares to be offered in exchange as part of the Offer.

Pursuant to Article 70, paragraph 7 of the Issuers' Regulation, the mentioned PwC opinion will be made available to the public within the terms and in the manner prescribed by law.

**4.** **VALUATION OF THE CONTRIBUTED ASSETS REFERRED TO IN THE APPRAISAL PURSUANT TO ARTICLES 2440, PARAGRAPH 2, 2343- *TER*, PARAGRAPH 2, LETTER B) AND 2343- *TER*, PARAGRAPH 2, LETTER B) OF THE ITALIAN CIVIL CODE. B), AND 2343- *QUATER*, OF THE ITALIAN CIVIL CODE.** 

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an expert. In this regard, with a view to the exercise of the Delegation, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter* (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4) of the Italian Civil Code for the purpose of the valuation of the Mediobanca shares subject to the contributions in kind.

These rules make it possible not to require a sworn appraisal of the assets transferred to be prepared by an expert, appointed by the Court in the district where the transferee company has its registered office, in the event that, pursuant

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 14 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

to article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to transferred is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is endowed with adequate and proven professionalism*".

The Bank has entrusted this task to KPMG Corporate Finance, a division of KPMG Advisory S.p.A. (the "**Independent Expert**"), which, on 14 March 2025, issued its report on the valuation of Mediobanca's shares, which was made available to the public at the same time of this Report, and according to the procedures provided for by the laws and regulations in force, for the purpose of providing more complete and timely information to BMPS members in view of the Shareholders' Meeting (available on the Bank's website, in the Corporate Governance – Shareholders' Meetings and BoD section, at *<u>https://www.gruppomps.it/en/</u>* as well as at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

The decision to use, in line with market practice in the case of public exchange offers, a valuation carried out by an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, was also justified by the need to evaluate the contribution of a significant block of Mediobanca shares and not of individual listed securities.

In the appraisal of the Independent Expert, to which full reference is made, he concluded that as of 14 March 2025, based on the financial position as of 31 December 2024, and on the elements and methods outlined in such document, the fair value of Mediobanca shares was not less than Euro 16,406 for each Mediobanca shares *cum dividend*, or equal to Euro 15,852 per each Mediobanca share, *ex dividend*.

That being said, also in order to ensure that the Independent Expert's report refers to a date no more than six months prior to the contribution, in compliance with Article 2343*-ter*, second paragraph, letter b), of the Italian Civil Code, it cannot be ruled out that, close in time to the execution of the Delegation, BMPS' Board of Directors may request an update to the aforesaid report that reflects, in its assessment, updated information on Mediobanca and on the economic and market situation.

For all other aspects relating to the manner in which the contributions in kind were made and the Independent Expert's report, please refer to the applicable legal provisions and, in particular, Articles 2343-*ter*, 2343-*quater* and 2443, paragraph 4, of the Italian Civil Code.

**5.** **INDICATION OF THE NUMBER, DIVIDEND ENTITLEMENT DATE AND ISSUE PRICE OF THE NEW SHARES SUBJECT TO THE CAPITAL INCREASE IN KIND** 

As illustrated in Paragraph 1 above, upon the exercise of the Delegation by the Board of Directors, whether it is granted, the Capital Increase Reserved to the Offer will cover the Maximum Share Amount and, therefore, an amount of BMPS share equal to maximum No. of 2,230,000,000 to be issued and paid up by means of a contribution in kind to BMPS of the shares of Mediobanca tendered in acceptance of the Offer; in accordance with the above, based on the exchange ratio indicated in the Offeror's Communication, the newly issued BMPS shares to be issued through the contribution in kind of Mediobanca shares correspond to 23 BMPS shares for each 10 Mediobanca shares tendered to the Offer.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 15 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

If the result of the application of the exchange ratio for the Mediobanca shares tendered to the Offer is not a whole number of newly issued BMPS shares, it is expected that the intermediary in charge of coordinating the collection of acceptances of the Offer will aggregate the fractional units of BMPS shares pertaining to the accepting parties and will subsequently sale on Euronext Milan the whole amount of BMPS shares resulting from such aggregation, for the purpose of the overall balancing of the transaction. Further information on the treatment of the fractional unit will be provided in the offer document, which will be made available to the public following Consob's approval, in the manner and within the terms provided by applicable laws and regulations.

It should also be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors referred to in this Report has been increased from No. 1,916,543,285 (as reported in the Offeror's Communication) to No. 2,230,000,000, also for the purpose of ensuring coverage for all the following possible scenarios, according to a highly conservative approach: (i) the proposed distribution of the BMPS' dividend (equal to Euro 0.86 per share) for the fiscal year ended 31 December 2024, recently approved by the BMPS' Board of Directors and not yet approved by the BMPS Shareholders' Meeting, and (ii) the hypothetical issuance of a maximum amount of No. 16,178,862 Additional Shares (in the event that the Incentive Plans are revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although certain Plans provide the possibility of using – instead of the Additional Shares – Mediobanca treasury shares in portfolio, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans).

Lastly, it is important to mention that, the aforementioned Maximum Share Amount does not take into account, by way of example, the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the relevant balance and/or the possible cancellation by Mediobanca of treasury shares. The occurrence of such circumstances would not make it necessary to issue the entire Maximum Share Amount.

The ordinary shares of BMPS, which will be issued following the exercise of the Delegation, will have the same dividend entitlement as the ordinary shares of BMPS outstanding as of the date of the relevant issue and, therefore, will grant their holders the same rights as the shares of BMPS already outstanding at the time of the issue and will be admitted to trading on Euronext Milan as of the date of payment of the consideration under the Offer. The issue price of the BMPS shares that will be offered in the context of the Offer (including the relevant share premium) will be determined by the Board of Directors when exercising the Delegation, pursuant to Article 2441, paragraph 6 of the Italian Civil Code.

**6.** **STRUCTURE OF THE COMPANY'S INDEBTEDNESS** 

The contribution of the shares of Mediobanca subject to the Offer is not expected to have any impact on the structure of BMPS' financial indebtedness.

**7.** **INFORMATION ON THE RESULTS OF THE LAST FINANCIAL YEAR AND GENERAL INDICATIONS ON THE DEVELOPMENT OF OPERATIONS AND THE FORESEEABLE CLOSURE OF THE CURRENT FINANCIAL YEAR** 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 16 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

On 17 April 2025, the ordinary Shareholders' Meeting of BMPS is called upon to approve the financial statements for the year ending 31 December 2024 and the distribution of the dividend. Please refer to the report of the Board of Directors with reference to items 1.1 and 1.2 on the agenda of the Shareholders' Meeting (Ordinary part), and to the related annexes - made available to the public in accordance with applicable regulations - for complete information on the results (including consolidated results) of BMPS for the year ended 31 December 2024, as well as for information on the operating performance for the current year, the foreseeable closure of the latter and the proposed dividend distribution.

**8.** **UNDERWRITING AND/OR PLACEMENT SYNDICATES** 

In relation to the Capital Increase Reserved to the Offer, since it is a share capital serving a public exchange offer, no underwriting and/or placement syndicates are envisaged.

**9.** **ANY OTHER FORMS OF PLACEMENT ENVISAGED** 

No other forms of placement are envisaged.

**10.** **SHAREHOLDERS WHO HAVE EXPRESSED THEIR WILLINGNESS TO SUBSCRIBE TO THE NEWLY ISSUED SHARES** 

The subscription of the Capital Increase Reserved to the Offer may only occur as a result of the acceptance of the Offer itself, once the acceptance period has commenced, which, pursuant to Article 40, paragraph 2, letter b), of the Issuers' Regulation, will be agreed upon with Borsa Italiana and will last between a minimum of 15 and a maximum of 40 trading days, unless extended.

As of the date of this Report, there are no Mediobanca shareholders who have expressed their willingness to subscribe to BMPS shares as a result of their acceptance of the Offer.

**11.** **TAX IMPLICATIONS OF THE TRANSACTION ON THE COMPANY** 

The contribution of the shares of Mediobanca subject to the Offer does not entail any tax burden whatsoever on BMPS as the contributing issuer.

**12.** **SHAREHOLDING STRUCTURE OF THE COMPANY FOLLOWING THE CAPITAL INCREASE IN KIND** 

In light of the nature of the Capital Increase Reserved to the Offer and of the variables connected to the results of the VEO itself, it is not possible to predict the composition of BMPS' shareholding structure at the end of the execution of such capital increase.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 17 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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The percentage of dilution of existing shareholders in the share capital of BMPS will depend on the outcome of the Offer, as the number of new BMPS shares to be issued as part of the Capital Increase Reserved to the Offer will depend – as well as any adjustments to the Offer consideration (as illustrated below) – on the number of Mediobanca shares that will be tendered to the VEO itself.

In the event of (i) full acceptance of the VEO by all Mediobanca shareholders targeted by the same VEO for all their shares held, (ii) revision of the Incentive Plans to provide for the acceleration and issuance in favour of the beneficiaries of the Incentive Plans of all No. 16,178,862 Additional Shares, and (iii) non-payment by Mediobanca of the interim dividend, the related balance, and the non-cancellation of treasury shares in Mediobanca's portfolio, the Capital Increase Reserved to the Offer will be fully subscribed (on a fully diluted basis) and BMPS will issue 2,230,000,000 new shares to be allotted in exchange to all those accepting the Offer. These shares will represent approximately 64% of BMPS' share capital, calculated on the basis of the number of BMPS shares issued as of the date of this Report.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of issuance of the entire Maximum Share Amount.

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| | |
|:---|:---|
| Shareholder | Shareholding |
| Delfin S.a.r.l. | 15.7% |
| Caltagirone Francesco Gaetano | 5.3% |
| Ministero dell'Economia e delle Finanze | 4.2% |
| Banca Mediolanum S.p.A. | 2.1% |
| Banco BPM S.p.A. | 1.8% |
| Anima Holding S.p.A. | 1.4% |
| Other shareholders | 69.5% |
| **Total** | **100%** |

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As of the date of this Report, to the best of BMPS' knowledge, there are no shareholders' agreements among BMPS shareholders, nor is there any individual or legal entity exercising control over the Bank pursuant to Article 93 of the Consolidated Law on Finance.

**13.** **PRO-FORMA ECONOMIC AND FINANCIAL EFFECTS OF THE CAPITAL INCREASE ON THE COMPANY'S PERFORMANCE AND FINANCIAL POSITION** 

This section displays the main pro-forma economic and financial figures resulting from the aggregation of the data deriving from the BMPS group (the "**MPS Group**") and from the Mediobanca group (the "**Mediobanca Group**") as of 31 December 2024, as well as some explanatory notes.

The pro-forma effects of the business combination with the Mediobanca Group on the MPS Group's financial and economic position have been determined based on Consob Communication No. DEM/1052803 of 5 July 2001, and have been prepared to simulate, according to certain evaluation criteria consistent with historical data and compliant with applicable regulations, the effects of the transaction on the economic performance and financial position of the MPS Group, as if it had virtually taken place on 31 December 2024, for the effects on the pro-forma consolidated balance sheet and on 1 January 2024, for the effects on the pro-forma consolidated income statement.

The pro-forma figures were prepared starting from the 2024 Consolidated Financial Statements of the MPS Group prepared in accordance with IAS/IFRS accounting principles, and from the Half-Yearly Report as of 31 December

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 18 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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2024, the Financial Statements as of 30 June 2024, and the Half-Yearly Report as of 31 December 2023, of the Mediobanca Group, prepared in accordance with IAS/IFRS accounting principles, and applying the pro-forma adjustments determined by simulating the application of IFRS 3 for business combination transactions.

Specifically, for the Mediobanca Group, the income statement for the 12-month period ended 31 December 2024, has been defined as the sum of: (i) the income statement for the 6-month period ended 30 June 2024, determined as the difference between the income statement for the fiscal year ended 30 June 2024, extracted from the Financial Statements as of 30 June 2024, and the income statement for the half-year ended 31 December 2023, extracted from the Half-Yearly Report as of 31 December 2023, and (ii) the income statement for the half-year ended 31 December 2024, extracted from the Half-Yearly Report as of 31 December 2024.

For the purpose of determining the pro-forma adjustments, the total cost of the aggregation has been calculated assuming a unit value of BMPS shares of Euro 6.953, as represented by the price recorded at the close of the market on 23 January 2025, which corresponds to the last trading day prior to the date on which BMPS announced the Offer (*i.e.*, 24 January 2025) and assuming full acceptance of the Offer by Mediobanca shareholders, *i.e.*, considering 833,279,689 Mediobanca shares tendered to the Offer, equal to total number of Mediobanca shares (including the No. 11,277,075 treasury shares held by Mediobanca) as of 23 January 2025, corresponding to the No. 1,916,543,285 newly issued BMPS shares based on the Consideration determined for the Offer.

In this regard, it should be noted that, for the purposes of this pro-forma exercise, the calculation of the preliminary acquisition cost does not take into account any adjustments to the Consideration as provided by the Offeror's Communication.

The acquisition cost represented by the fair value of the new BMPS shares to be issued to service the Offer is considered as preliminary, as the elements necessary for its definitive quantification are not known yet. Specifically, under IFRS 3, the fair value of the new shares issued by BMPS will be determined based on the BMPS share price on the trading day immediately prior to the completion date of the transaction.

The preliminary acquisition cost thus determined, amounting to Euro 13,326 million, has been compared with the consolidated net equity of the Mediobanca Group as of 31 December 2024, inclusive of the net income for the relevant period. It should be noted that, for the purpose of determining the pro-forma adjustments, no fair value assessment process has been carried out for the identifiable assets (except as indicated below regarding the stake in Assicurazioni Generali S.p.A. held by the Mediobanca Group), liabilities, and contingent liabilities of the acquired entity, as such fair values will need to be determined as of the acquisition date and upon obtaining detailed information about the accounting items of the Mediobanca Group. For the purpose of determining the pro-forma adjustments, the only adjustments made were (i) the write-off of the intangible assets of the Mediobanca Group, in line with what will be done as part of the Purchase Price Allocation (PPA) process, and (ii) the fair value assessment of the stake held by the Mediobanca Group in Assicurazioni Generali S.p.A. based on the unit value of the relevant share as recorded at the close of market on 23 January 2025.

The net equity of the Mediobanca Group thus determined amounted to a total of Euro 12,178 million. The difference that resulting from the comparison between the preliminary acquisition cost and the pro-forma consolidated net equity of the Mediobanca Group was Euro 1,148 million.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 19 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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As previously stated, one of the factors that will result in a difference between the final goodwill and the provisional amount indicated in the pro-forma financial information as of 31 December 2024 is the BMPS share price on the trading day immediately prior to the completion of the transaction.

In addition, it should be noted that, in the event that the Offer is not fully accepted, without prejudice to the conditions of effectiveness of the Offer, given the possibility provided by IFRS 3 to measure at the fair value any minority interest in the acquired entity – in this specific case representing any remaining Mediobanca shares which has not been exchanged for BMPS shares – the amount of goodwill recorded in the consolidated financial statements of the MPS Group could still be determined with reference to the entirety of Mediobanca shares, therefore resulting in the same amount as in the case of full acceptance of the Offer. Alternatively, also in the event that the Offer is not fully accepted, the amount of goodwill could be determined as the difference between the cost of the Acquisition and the amount of the percentage of Mediobanca Group's net assets acquired, and consequently vary on the basis of the number of Mediobanca shares tendered to the Offer and therefore exchanged for BMPS shares.

The pro-forma data also take into account the deletion of the most significant reciprocal balance sheet and income statement items between the MPS Group and the Mediobanca Group, referring exclusively to the data reported by the MPS Group.

Finally, it should be noted that, the pro-forma adjustments take into account the ancillary expenses inherent to the execution of the transaction, estimated at a maximum of approximately Euro 80 million excluding VAT, based on the amount authorized by the BMPS Board of Directors on 23 January 2025, assuming the full success of the transaction. Of the total amount mentioned above, based on preliminary information currently available, approximately Euro 60 million, excluding VAT, has been considered directly attributable to the issuance of shares to serve the Offer and, as provided by IAS 32, has been deducted, net of the related tax effect, from the capital increase. The remaining portion of the estimated ancillary costs, amounting to approximately Euro 20 million excluding VAT, has been recorded in the income statement, as required by IFRS 3, among the pro-forma Operating Costs.

The table below shows the main pro-forma balance sheet and income statement figures resulting from the aggregation of the MPS Group and Mediobanca Group data as of 31 December 2024.

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| | | | |
|:---|:---|:---|:---|
| | | | €/mld |
| <br>**Balance Sheet Figures** |<br>**MPS Group<br> 31.12.2024** |<br>**Mediobanca <br> Group <br> 31.12.2024** | **Pro-forma BMPS-Mediobanca<br> 31.12.24** |
| Net Loans to Customers | 77.3 | 56.7 | 134.0 |
| Net Impaired Loans to Customers | 1.9 | 0.4 | 2.3 |
| Securities Holdings | 17.4 | 24.8 | 42.2 |
| Gross NPL Ratio | 3.8% | 2.1% | 3.1% |

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*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 20 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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| | | | |
|:---|:---|:---|:---|
| NPE Coverage Ratio | 48.5% | 69.4% | 54.2% |
| Direct Bank Funding | 94.0 | 64.7 | 158.7 |
| Indirect Customer Funding | 103.2 | 78.6 | 181.8 |
| **Income Statement Figures** |  |  |  |
| Interest margin | 2.3 | 1.9 | 4.2 |
| Net Commissions | 1.5 | 0.9 | 2.4 |
| Gross operating margin | 3.9 | 3.0 | 6.9 |
| Operating Costs | (2.1) | (1.6) | (3.7) <sup>(1)</sup> |
| Profit (Loss) from current operations before taxes | 1.5 | 1.8 | 3.2<sup>(1)</sup> |
| Operating Profit (Loss) pertaining to the Parent Company | 2.0 | 1.3 | 3.2<sup>(1)(2)</sup> |
| **Goodwill** | **n.a.** | **n.a.** | **1.1** |

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&nbsp;&nbsp;&nbsp;&nbsp;(1) The pro-forma figure takes into account
 Euro 20 million excluding VAT relating to ancillary expenses associated with the acquisition,
 to be recorded in the income statement based on the information currently available.

&nbsp;&nbsp;&nbsp;&nbsp;(2) The pro-forma figure takes into account
 Euro 20 million excluding VAT relating to ancillary expenses associated with the acquisition,
 to be recorded in the income statement based on the information currently available, and
 the consequent pertinent tax effect.

It should be mentioned that the aforementioned pro-forma data do not reflect the effects of any transactions involving the sale of branches or lines of business that may occur in the context of the investigation carried out by the competent antitrust authority regarding the merger with the Mediobanca Group. As of today, these transactions have not even been preliminarily defined, and it is therefore impossible to identify and quantify their economic and financial impacts, in a timely, objective and auditable manner, it being understood that the reasonable expectation of the MPS Group is that any corrective measures will not have a significant impact on the transaction.

It should be noted that, the pro-forma data represent a simulation, provided for illustrative purposes only, of the possible effects that may result from the acquisition. Specifically, since the pro-forma data are prepared to retroactively reflect the effects of subsequent transactions, notwithstanding the observance of commonly accepted rules and the use of reasonable assumptions, there are inherent limitations associated with the very nature of pro-forma data, which are by their very nature not capable of providing a representation of the prospective economic and financial situation

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 21 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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of the MPS Group. Therefore, for a correct interpretation of the information provided by the pro-forma data, the following aspects must be considered:

&nbsp;&nbsp;&nbsp;&nbsp;· since
 these representations are based on assumptions, if the acquisition had actually occurred
 on the dates used as references for the preparation of the pro-forma data, the same results
 represented in the pro-forma data would not necessarily have been achieved;

&nbsp;&nbsp;&nbsp;&nbsp;· the
 pro-forma data are not in any way intended to represent a forecast of future results and
 should therefore not be used as such; the pro-forma data do not reflect prospective data
 as they are prepared solely to represent the separable and objectively measurable effects
 of the acquisition, without taking into account the potential effects due to changes in market
 conditions, management policies, and operational decisions of BMPS following the outcome
 of such a transaction. Therefore, the pro-forma representations are not intended to depict
 the current or prospective financial and economic situation of the effects relating to the
 acquisition;

&nbsp;&nbsp;&nbsp;&nbsp;· considering
 the different purposes of the pro-forma data compared to those of a regular financial statement
 and since the effects are calculated differently with reference to the pro-forma consolidated
 balance sheet and the pro-forma consolidated income statement, they should be read and interpreted
 separately, without seeking accounting connections between them.

It should be noted that, in accordance with Consob Communication No. DEM/1052803 of 5 July 2001, the pro-forma Consolidated Prospectus do not reflect either the charges or the synergies that will result from the proposed transaction for the entity resulting from the merger of the MPS Group and the Mediobanca Group. Specifically, the costs of integrating the Mediobanca Group within the MPS Group, estimated at approximately Euro 0.6 billion (pre-tax and one-off), have not been subject to pro-forma adjustments as they pertain to hypothetical future actions that are expected to be undertaken only upon completion of the acquisition through the Offer, in order to achieve the objectives of the transaction (which also include the aforementioned synergies), based on the agreements and contracts that will be entered into only upon completion of the said acquisition. Similarly, the tax benefits expected as a result of post-combination tax planning are not represented in accordance with the aforementioned regulations. In other words, the pro-forma Consolidated Prospectus do not include the acceleration in the utilization of deferred tax assets associated with the past tax losses of the MPS Group, resulting from the Mediobanca Group joining the tax consolidation of BMPS.

The pro-forma data have not been reviewed by the auditing firm.

**14.** **STATUTORY AMENDMENTS** 

The granting of the Delegation for the Capital Increase Reserved to the Offer entails the amendment of Article 6 of BMPS' By-laws which, as specified below, is subject to the successful conclusion of the assessment procedure with the European Central Bank pursuant to Articles 56 and 61 of the TUB (as defined below).

The following is a comparison of the aforesaid Article 6 in its current text and the text proposed with this Report, assuming the approval of the resolutions covered by this Report (the text proposed is highlighted in bold type).

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 22 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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It should be noted that the execution of the Capital Increase Reserved to the Offer will entail further amendments to the By-laws in order to (i) update the Bank's share capital and the number of shares with respect to the acceptances made, and (ii) delete the description of the shareholders' meeting resolution referred to in Article 6, paragraph 4.

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| | |
|:---|:---|
| **Current text** | **Proposed text** |
| **Article 6** | **Article 6** |
| &nbsp;&nbsp;1. The share capital of the Company is Euro 7,453,450,788.44 (seven billion, four hundred fifty-three million, four hundred fifty thousand, seven hundred eighty-eight and forty-four cents) and is fully paid up. | &nbsp;&nbsp;*1. (Unchanged)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. It is represented by 1,259,689,706 (one billion, two hundred fifty-nine million, six hundred eighty-nine thousand, seven hundred six) ordinary shares with no par value. All shares are issued in dematerialised form. The procedures for the circulation and legitimation of the shares are regulated by law.<br>Shareholders who did not participate in the approval of resolutions concerning the introduction or removal of restrictions on the circulation of shares do not have the right of withdrawal. | &nbsp;&nbsp;2. *(Unchanged)* |
| &nbsp;&nbsp;3. Shares are registered and indivisible. Each share gives the right to one vote. | &nbsp;&nbsp;3. *(Unchanged)* |
|  | **4. The extraordinary Shareholders'** **Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro**<br>|

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*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 23 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**13,194,910,000 plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding on the issue date, to be paid up by contribution in kind as they serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società** **per Azioni, announced by the Company with a communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting.**

The amendments to the By-laws described above do not give rise to any right of withdrawal for BMPS shareholders who did not take part in the resolutions covered by this Report.

**15. AUTHORISATIONS**

The amendments to the By-laws referred to in Paragraph 14 above and the execution of the Capital Increase Reserved to the Offer are subject to the required authorisations by the competent Supervisory Authorities and in particular, respectively: (i) to the verification that they do not conflict with the sound and prudent management of the Bank pursuant to and for the purposes of Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993 as subsequently amended ("**TUB**"), and (ii) to the eligibility of the new shares issued in the context of the Capital Increase Reserved to the Offer among BMPS' own funds as primary tier 1 capital, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013.

BMPS filed the application for the aforementioned regulatory authorisations with the European Central Bank and the Bank of Italy on 13 February 2025.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 24 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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It should be noted that, in the event that the assessment order by the European Central Bank regarding the proposed statutory amendments is not issued before the date on which the Shareholders' Meeting will adopt the resolution, the effectiveness of the latter will be subject to the issuance of such assessment order, as it cannot be registered in the Companies Register until that date. However, if the order is issued before the date of the Shareholders' Meeting, a press release will be issued to provide the shareholders with the necessary additional information.

**16.** **FORMALITIES AND TIMING** 

Subject to the granting of the authorisations referred to in Paragraph 15 above (as well as the other authorisations required in connection with the VEO, as detailed in Paragraph 1.4 of the Offeror's Communication), the exercise of the Delegation by the Board of Directors will take place prior to the publication of the offer document, filed with Consob on 13 February 2025.

Also taking into account the requirements of the regulations applicable to public exchange offers, it is expected that the Capital Increase Reserved to the Offer will be executed by 31 December 2025, subject to the fulfilment of the conditions for the effectiveness of the VEO indicated in paragraph 1.5 of the Offeror's Communication, as well as in the offer document submitted to Consob for approval.

Since this is a divisible capital increase, which may also be carried out in one or more tranches, pursuant to article 2439, paragraph 2, of the Italian Civil Code: (i) the share capital will be deemed to be increased from time to time in proportion to the amount of the acceptances collected in the context of the Offer, without prejudice to the terms and conditions set forth therein; and (ii) the Capital Increase Reserved to the Offer, if not fully subscribed by 31 December 2025, will be deemed to be limited to the amount resulting from the total acceptances collected by the aforesaid deadline.

In particular, the Capital Increase Reserved to the Offer will be executed by the previously mentioned deadline of 31 December 2025, on the payment date of the Consideration, and, if applicable, on the payment dates that may be determined in relation to the execution of the purchase Sell-out and Squeeze-out rights, pursuant to Articles 108 and 111 of the TUF.

\* \* \*

**Proposed resolution**

Dear Shareholders, in light of the above, we invite you to adopt the following resolution:

"*The Shareholders' Meeting of Banca Monte dei Paschi di Siena S.p.A., in extraordinary session, having examined the Report of the Board of Directors (which, to the extent necessary, is hereby approved in its entirety) and the proposal formulated therein*

***NOTED***

*that the maximum number of shares to be issued in execution of the Capital Increase Reserved to the Offer has been calculated, for the sake of utmost caution and according to a highly conservative approach, by factoring in (i) the proposed distribution of the BMPS' dividend for the fiscal year ending on 31 December 2024, recently approved by the Board of Directors of BMPS and not yet approved by the BMPS Shareholders' Meeting, and (ii) the maximum No. of 16,178,862 Additional Shares to service the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although some Plans provide for the possibility of using* 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 25 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

*Mediobanca's treasury shares in portfolio instead of the Additional Shares), without taking into account any further circumstances that might lead to a reduction in the number of BMPS shares to be issued to service the Offer (including, by way of example, any adjustment due to the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the related balance and/or the possible cancellation of treasury shares held by Mediobanca);*

*the appraisal prepared by the independent expert KPMG Corporate Finance, a division of KPMG Advisory S.p.A., pursuant to Articles 2440, paragraph 2 and 2343-ter, paragraph 2, letter b) of the Italian Civil Code;*

- *the report of PricewaterhouseCoopers S.p.A. concerning the criteria adopted by the Board for the determination of the exchange ratio in the VEO;*

- *the favourable opinion on the Capital Increase Reserved to the Offer expressed by the Company*'*s Related Party Transactions Committee;*

***RESOLVES***

*1.* *to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total maximum amount of Euro 13,194,910,000 plus any share premium, with the issue of a maximum number of 2,230,000,000 ordinary shares of the Company, without nominal value, with regular dividend rights and the same features as the Company's ordinary shares outstanding at the issue date, to be paid in kind as they serve the public exchange offer for all of the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by the Company in a communication pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, on 24 January 2025 and promoted by means of the filing of the offer document with Consob on 13 February 2025 (including the formalities pursuant to articles 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, where applicable);* 

*2.* *to grant the Board of Directors the power to determine from time to time, in exercising the above delegated power and in compliance with the applicable laws and regulations: (i) the amount of the capital increase to be resolved upon, also in divisible form, in its entirety, and the number of shares to be issued within the overall limits set forth in point 1) above; (ii) the issue price of the new shares, including any share premium, taking into account the provisions of Article 2441, sixth paragraph, of the Italian Civil Code; and (iii) any other terms and conditions of the delegated capital increase, as well as any other necessary element, within the limits set forth by the applicable laws and regulations and by this delegation resolution, with the power of the Board of Directors to exercise the delegation – within the aforementioned limits – consistent with any adjustments and/or amendments to the content and / or to the structure of the public offer, while complying with the outcomes of the evaluation pursuant to Article 2343-ter of the Italian Civil Code and any necessary updates; furthermore, the Board of Directors is authorized to make statutory adjustments resulting from the exercise of the delegation, as outlined in the Report of the Directors;* 

*3.* *to set 31 December 2025 as the deadline to implement the Capital Increase Reserved to the Offer - subject, if necessary, to the updating of the valuation made by the independent expert pursuant to Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code, to a date no more than six months prior to the date of the contribution - and to establish that, pursuant to Article 2439, paragraph 2, of the Italian Civil Code, (i) the share capital shall be deemed to be increased from time to time based on the amount of the acceptances collected in the above-mentioned public exchange offer (including within the scope of the procedures for the fulfilments set forth by Article 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, if the requirements are met), always without prejudice to the terms and conditions of the offer itself; and (ii) the Capital Increase Reserved to the Offer,* 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 26 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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| | |
|:---|:---|
| | *if not fully subscribed by 31 December 2025, shall be deemed to be limited to the amount resulting from the total acceptances made by the aforesaid deadline;* |

---

*4.* *to amend Article 6 of the By-laws accordingly by including the following temporary paragraph:* 

***"The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro 13,194,910,000, plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding at the issue date, to be paid up by contribution in kind to serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting";***

*5.* *to declare that the effectiveness of the resolutions mentioned in the previous points 1, 2, and 3, as well as the amendment to the By-laws referred to in point 4, is subject to the successful outcome of the assessment initiated pursuant to Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993, if such a positive outcome has not been achieved prior to the date of this resolution;* 

*6.* *without prejudice to the collective nature of the resolutions to exercise the delegation of powers as conferred above, to grant the Chairman of the Board of Directors currently in charge and on the Chief Executive Officer the Company currently in charge, severally and with the right to sub-delegate, within the limits set out by the law, all power and authority to provide for all that is necessary or even just appropriate for the implementation, in full and in part, of the resolutions adopted, as well as to perform all the acts and transactions necessary or appropriate for the fulfilment of the formalities required by the laws currently in force, including, by way of example but not limited to, the powers to:* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(i)* *prepare and submit any document required for the purposes of the execution of the capital increase, as well as to fulfil the formalities necessary to proceed with the admission to listing on Euronext Milan of the newly issued shares, including the power to prepare and submit to the competent Italian and foreign authorities any application, petition, document or prospectus necessary or appropriate for the purpose of and to proceed with the filing and publication of the certificate provided for by Article 2444 of the Italian Civil Code;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(ii)* *proceed to the formalities required by Article 2343-quater of the Italian Civil Code;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(iii)* *manage relations with any Italian or foreign competent body and/or authority for the purpose of obtaining all authorisations and approvals necessary for the successful outcome of the transaction, as well as the preparation, amendment, integration and/or signing and/or completion of any contract, agreement, deed, declaration or document necessary to that end;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(iv)* *make the necessary amendments to Article 6 of the By-laws as a result of the partial and/or total execution of the capital increase, and to file with the Company Registry pursuant to Article 2436 of the Italian Civil Code the text of the By-laws* 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 27 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

*updated in the amount of the share capital and the number of shares and following the expiry of the delegation in relation to the removal of the temporary paragraph 4;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(v)* *make any amendments and/or additions to the adopted resolutions that may be necessary and/or appropriate, including at the request of any competent authority or at the time of registration, and* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(vi)* *in general, do all that is necessary for the complete execution of the said resolutions, with any and all powers necessary and appropriate for that purpose, none excluded and excepted."* 

\* \* \*

Siena, 18 March 2025

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| |
|:---|
| For the Board of Directors |
| Mr. Nicola Maione |
| Chairman of the Board of Directors |

---

\* \* \*

*The voluntary public exchange offer referred to in this Report shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*This Report does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.*

*The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.*

*The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").*

*Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.*

*Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.*

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 28 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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*This Report, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.*

*Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.*

*IMPORTANT INFORMATION*

*In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document, at Banca Monte dei Paschi di Siena S.p.A.'s website at <u>www.gruppomps.it/en/</u> and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.*

*This Report does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this Report may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.*

*The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.*

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 29 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

![](tm2518026d1_ex99-18img01.jpg)

**<u>Annex B</u>**

![](tm2518026d1_ex99-4imgpwc.jpg)

**INDEPENDENT AUDITORS' REPORT ON THE COMPILATION OF PRO-FORMA FINANCIAL INFORMATION OF BANCA MONTE DEI PASCHI DI SIENA SPA**

To the Board of Directors of Banca Monte dei Paschi di Siena SpA

We have completed our assurance engagement to report on the compilation of pro-forma financial information of Banca Monte dei Paschi di Siena SpA ("**BMPS**" and together with its subsidiaries the "**MPS Group**") by its Directors. The pro-forma financial information consists of the pro-forma consolidated balance sheet as of 31 December 2024, the pro-forma consolidated income statement for the year ended 31 December 2024 and explanatory notes thereto of the MPS Group (the "**Pro-Forma Consolidated Financial Information**") included in section 5.2 "Pro-forma balance sheet and income statement" of the information document prepared by BMPS' Directors pursuant to article 70, paragraph 6, of the Issuers' Regulation approved by Consob with Resolution no. 11971 of 14 May 1999, as amended (the "**Issuers' Regulation**"), in accordance with Annex 3B to the same Issuers' Regulation (the "**Information Document**"). BMPS' Directors have compiled the Pro-Forma Consolidated Financial Information in accordance with Annex 20 to Commission Delegated Regulation (EU) 2019/980, supplemented by ESMA's guidelines on disclosure requirements under the Prospectus Regulation (32-382-1138) and taking into account Consob Communication no. DEM/1052803 of 5 July 2001, and on the basis of the applicable criteria described in section 5.2.1 "Preparation Criteria" (the "**Preparation Criteria**") of the Information Document.

The Pro-Forma Consolidated Financial Information has been compiled by BMPS' Directors to retroactively reflect the accounting impact of the acquisition of Mediobanca - Banca di Credito Finanziario SpA ("**Mediobanca**" and together with its subsidiaries the "**Mediobanca Group**") by BMPS (the "**Potential Acquisition**") on the MPS Group's consolidated balance sheet as of 31 December 2024 and consolidated income statement for the year ended 31 December 2024 as if the Potential Acquisition had taken place as of 31 December 2024 and 1 January 2024, respectively.

As part of this process, historical financial information about the consolidated balance sheet as of 31 December 2024 and consolidated income statement for the year ended 31 December 2024 has been extracted from:

· MPS
 Group's consolidated financial statements as of 31 December 2024, audited by us,
 on which we issued an unqualified audit report dated 24 March 2025;

· Mediobanca
 Group's consolidated financial statements as of 30 June 2024 audited by the auditing
 firm EY SpA, which issued an unqualified audit report on 25 September 2024;

· Mediobanca
 Group's condensed half-year consolidated financial statements as of 31 December 2024
 and 2023 subject to a limited review by the auditing firm EY SpA which issued unqualified
 review reports on 11 February 2025 and 9 February 2024, respectively.

![](tm2518026d1_ex99-11img04.jpg)

![](tm2518026d1_ex99-4imgpwc.jpg)

***Director's responsibilities for the Pro-Forma Consolidated Financial Information***

BMPS' Directors are responsible for compiling the Pro-Forma Consolidated Financial Information on the basis of the Preparation Criteria and for the consistency of the Preparation Criteria with the accounting policies adopted by the MPS Group.

***Auditor's independence and quality management***

We have complied with the independence requirements and other ethical requirements of the International Code of Ethics for Professional Accountants (including International Independence Standards) (IESBA Code) issued by the International Ethics Standards Board for Accountants, which is founded on fundamental principles of integrity, objectivity, professional competence and due care, confidentiality, and professional behaviour.

Our firm applies International Standard on Quality Management 1 (ISQM Italia 1), which requires the firm to design, implement and operate a system of quality management including policies or procedures regarding compliance with ethical requirements, professional standards and applicable legal and regulatory requirements.

***Auditors' responsibilities***

Our responsibility is to express an opinion, as required by Annex 3B of the Issuers' Regulation, about whether the Pro-Forma Consolidated Financial Information has been compiled by BMPS' Directors on the basis of the Preparation Criteria and that the Preparation Criteria are consistent with the accounting policies adopted by the MPS Group.

We conducted our engagement in accordance with International Standard on Assurance Engagements (ISAE) 3420, *Assurance Engagements to Report on the Compilation of Pro Forma Financial Information Included in a Prospectus*, issued by the International Auditing and Assurance Standards Board. This standard requires that the practitioner plan and perform procedures to obtain reasonable assurance about whether BMPS' Directors have compiled the Pro-Forma Consolidated Financial Information on the basis of the Preparation Criteria.

For purposes of this engagement, we are not responsible for updating or reissuing any reports or opinions on any historical financial information used in compiling the Pro-Forma Consolidated Financial Information, nor have we, in the course of this engagement, performed an audit of the financial information used in compiling the Pro-Forma Consolidated Financial Information.

The purpose of pro-forma financial information included in an information document is solely to illustrate the impact of a significant event or transaction on unadjusted financial information of the entity as if the event had occurred or the transaction had been undertaken at an earlier date selected for purposes of the illustration. Accordingly, we do not provide any assurance that the actual outcome of the Potential Acquisition would have been the same as presented in the Pro-Forma Consolidated Financial Information.

2 of 3

![](tm2518026d1_ex99-4imgpwc.jpg)

A reasonable assurance engagement to report on whether the pro-forma financial information has been compiled on the basis of the applicable criteria and the applicable criteria are consistent with the accounting policies adopted by the company, involves performing procedures to assess whether the relevant applicable criteria used by company's directors in the compilation of the pro forma financial information provide a reasonable basis for presenting the significant effects directly attributable to the event or transaction, and to obtain sufficient appropriate evidence about whether:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 related pro-forma adjustments give appropriate effect to those criteria; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 pro-forma financial information reflects the proper application of those adjustments to the
 unadjusted financial information.

The procedures selected depend on our judgment, having regard to the practitioner's understanding of the nature of the company and its group, the event or transaction in respect of which the pro-forma financial information has been compiled, and other relevant engagement circumstances.

The engagement also involves evaluating the overall presentation of the pro-forma financial information.

We believe that the evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

***Opinion***

In our opinion, the Pro-Forma Consolidated Financial Information has been properly compiled on the basis of the Preparation Criteria and the Preparation Criteria are consistent with the accounting policies adopted by the MPS Group.

Milan, 2 April 2025

PricewaterhouseCoopers SpA

*Signed by*

Mara Biscaro<br> (Partner)

*This independent auditors' report has been translated into English solely for the convenience of international readers. Accordingly, only the original Italian version is authoritative.*

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![](tm2518026d1_ex99-18img01.jpg)

**<u>Annex C</u>**

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

**Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.**

March 14, 2025

KPMG Advisory S.p.A.

Corporate Finance

March 14, 2025

*This report consists of 25 pages*

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Contents**

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| | | |
|:---|:---|:---|
| **1** | &nbsp;&nbsp;&nbsp;&nbsp;**Introduction** | **2** |
| 1.1 | &nbsp;&nbsp;&nbsp;&nbsp;Purpose of the Report and Terms of the Engagement | 2 |
| 1.2 | &nbsp;&nbsp;&nbsp;&nbsp;Summary of the terms and rationale of the Offer | 3 |
| 1.3 | &nbsp;&nbsp;&nbsp;&nbsp;Documentation used | 4 |
| 1.4 | &nbsp;&nbsp;&nbsp;&nbsp;Limitations | 5 |
| 1.5 | &nbsp;&nbsp;&nbsp;&nbsp;Work performed | 7 |
| 1.6 | &nbsp;&nbsp;&nbsp;&nbsp;Restrictions on the Use of this Fairness | 7 |
| 1.7 | &nbsp;&nbsp;&nbsp;&nbsp;Main assumptions and difficulties of the valuation | 7 |
| **2** | &nbsp;&nbsp;&nbsp;&nbsp;**Description of the asset to be contributed** | **9** |
| 2.1 | &nbsp;&nbsp;&nbsp;&nbsp;Identification of the contributing company | 9 |
| 2.2 | &nbsp;&nbsp;&nbsp;&nbsp;Object of the Contribution | 9 |
| **3** | &nbsp;&nbsp;&nbsp;&nbsp;**Mediobanca** | **10** |
| 3.1 | &nbsp;&nbsp;&nbsp;&nbsp;Profile | 10 |
| 3.2 | &nbsp;&nbsp;&nbsp;&nbsp;Financial and economic position of Mediobanca as of June 30, 2024 and December 31, 2024 | 11 |
| 3.3 | &nbsp;&nbsp;&nbsp;&nbsp;Projections of Mediobanca's 2023-2026 Business Plan | 16 |
| **4** | &nbsp;&nbsp;&nbsp;&nbsp;**Valuation of Mediobanca Shares** | **18** |
| 4.1 | &nbsp;&nbsp;&nbsp;&nbsp;Introduction | 18 |
| 4.2 | &nbsp;&nbsp;&nbsp;&nbsp;Selection of Valuation Methodologies | 18 |
| 4.3 | &nbsp;&nbsp;&nbsp;&nbsp;The Sum of the Parts Method | 19 |
| 4.4 | &nbsp;&nbsp;&nbsp;&nbsp;Dividend Discount Model Method | 22 |
| 4.5 | &nbsp;&nbsp;&nbsp;&nbsp;Stock Market prices method | 23 |
| 4.6 | &nbsp;&nbsp;&nbsp;&nbsp;Target Prices method | 24 |
| **5** | &nbsp;&nbsp;&nbsp;&nbsp;**Conclusions** | **25** |

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*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>1</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

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| | |
|:---|:---|
| **1** | **Introduction** |

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**1.1** **Purpose of the Report and Terms of the Engagement** 

On January 24, 2025, Banca Monte dei Paschi di Siena S.p.A. ("**BMPS**" or the "**Offeror**") announced, pursuant to and for the purposes of Article 102, paragraph 1, of Legislative Decree No. 58 of February 24, 1998, as subsequently amended and integrated ()"**TUF**"), and Article 37 of the regulation adopted by CONSOB with resolution No. 11971 of May 14, 1999, as subsequently amended and integrated (the "**Issuers' Regulation**"), that on January 23, 2025, it had resolved to promote a voluntary public exchange offer pursuant to and for the purposes of Articles 102 and 106, paragraph 4, of the TUF (the "**Offer**"). The Offer pertains to the entire share capital represented by all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni (the "**Issuer**" or "**Mediobanca**") which are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. ("**Borsa Italiana**" or the "**Stock Market**"), including the treasury shares held by the Issuer (the "**Offeror's Communication**").

The Offer concerns the entirety of the Issuer's ordinary shares, including treasury shares held by the Issuer, as well as any newly issued shares to serve the long-term equity-based incentive plans (the "**Mediobanca Shares**" or the "**Issuer's Shares**").

As of the date of the Offer and this Report, the total number of Mediobanca Shares amounts to 833,279,689 ordinary shares. The number of the Issuer's Shares subject to the Offer may increase should Mediobanca issue additional new shares to serve long-term share-based incentive plans.

For each Mediobanca Share tendered in acceptance of the Offer, BMPS will offer a consideration per share, not subject to adjustment (except as indicated in paragraph 1.2), equal to 2.300 newly issued ordinary shares of the Offeror (the "**Consideration**"). Accordingly, for every 10 Mediobanca Shares tendered in acceptance of the Offer, 23 newly issued ordinary shares of the Offeror will be offered in exchange.

If all the shares subject to the Offer issued as of the date of the Offeror's Communication and this Report should be tendered, a maximum of 1,916,543,285 newly issued BMPS shares, arising from a capital increase to service the Offer (the "**Capital Increase in Service of the Offer**"), would be issued to the tendering shareholders of Mediobanca.

The newly issued shares will have regular dividend rights and will have the same characteristics as those outstanding at the date of issuance.

With regard to the Capital Increase in Service of the Offer, on January 23, 2025, the Board of Directors of BMPS resolved to submit to the Extraordinary Shareholders' Meeting of the Offeror, convened for April 17, 2025, the proposal to delegate the Board of Directors, pursuant to Article 2433 of the Italian Civil Code, the power, to be exercised by December 31, 2025, to increase BMPS share capital in one or more tranches, in divisible form, with the exclusion of pre- emptive rights pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, to be paid in by a contribution in kind of the Issuer's Shares tendered in acceptance of the Offer (the "**Contribution**").

The Board of Directors also resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to avail itself of the provisions set forth in Article 2343-ter (also for the purposes of Articles 2343-quater and 2443, paragraph 4) of the Italian Civil Code. This provision allows the company not to require a sworn valuation report from an expert appointed by the court in whose jurisdiction the acquiring company is based, provided that, pursuant to Article 2343- ter of the Italian Civil Code, "*the value attributed, for the purposes of determining share capital and any share premium, to the contributed assets is equal to or lower than the value resulting from an appraisal dated no more than six months prior to the contribution*

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>2</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

and compliant with generally accepted principles and criteria for the valuation of the contributed assets, provided that such appraisal is issued by an expert independent of the contributor, the company, and shareholders who individually or jointly exercise control over the contributor or the company itself, possessing adequate and proven professional expertise."

In this context, BMPS engaged KPMG Corporate Finance, a division of KPMG Advisory S.p.A. ("**KPMG**"), to issue an independent opinion (the "**Engagement**") on the value attributable to the Mediobanca Shares subject to the potential in-kind contribution following the execution of the Offer pursuant to Article 2343-ter, letter b), of the Italian Civil Code (the "**Report**" or the "**Opinion**").

Our Opinion, therefore, concerns the fair value attributable to the Mediobanca Shares subject to the Contribution, as estimated on the date of issuance of this Report, representing the threshold value to be assigned for the determination of the share capital and any share premium related to the Capital Increase in Service of the Offer. The value of the Capital Increase in Service of the Offer will, in fact, only be determinable closer to its execution, based on the issuance price of BMPS shares and the actual number of newly issued shares.

KPMG Advisory S.p.A. declares that it meets the requirements of (i) independence from the entities identified under Article 2343-ter, paragraph 2, letter b) of the Italian Civil Code and (ii) adequate and proven professional expertise, as required by the same provision, in relation to the content and purpose of the requested valuation.

**1.2** **Summary of the terms and rationale of the Offer** 

As highlighted in the previous paragraph, the Offer is related to the entirety of the Issuer's ordinary shares, amounting to 833,279,689 shares as of March 13, 2025.

The Consideration has been set at 2.300 newly issued BMPS shares for each Mediobanca share tendered in acceptance of the Offer. Based on the official closing price of BMPS shares on January 23, 2025 (the last trading day prior to the date of the Offeror's Communication), amounting to Euro 6.953 (Source: FactSet VWAP), the Consideration represents a value of Euro 15.992 per Mediobanca share, reflecting a premium of 5.03% over the official closing price of Mediobanca shares on January 23, 2025 (Euro 15.227 - Source: FactSet VWAP).

Based on the official price of the Offeror's shares as of January 23, 2025, in the event of full acceptance of the Offer by the shareholders of the Issuer holding the 833,279,689 ordinary shares of Mediobanca, the total value of the Offer would amount to approximately Euro 13.3 billion, representing the "monetary" valuation of the Consideration (Euro 15.992 per Issuer's Share).

The Consideration has been determined under the assumption that, prior to the Payment Date (as defined in the Offeror's Communication):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;i. neither
 the Issuer nor the Offeror approves or initiates any ordinary (including interim dividends)
 or extraordinary distribution of dividends taken from profits and/or other reserves; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ii. the
 Issuer does not approve or initiate any share capital-related transactions (including, by
 way of example, capital increases or reductions) and/or any operations affecting Mediobanca
 Shares (including, by way of example, amalgamation or cancellation of shares).

Should the Issuer and/or the Offeror, prior to the Payment Date, distribute dividends (including interim dividends) and/or reserves to their respective shareholders, or should dividend coupons resolved but not yet paid be detached from the Mediobanca and/or BMPS shares, as the case may be, the Consideration will be adjusted to account for the distributed dividend (or interim dividend) or the distributed reserve.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>3</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

Without prejudice to the Conditions of Effectiveness (as defined in the Offeror's Communication), if the Issuer approves or carries out any capital-related transaction (including, by way of example, capital increases or reductions) and/or operations affecting Mediobanca shares (including, by way of example, amalgamation or cancellation of shares), such events will trigger an adjustment to the Consideration, should the Offeror choose to waive the relevant Effectiveness Condition, where applicable, for the specific event.

On March 6, 2025, the Board of Directors of BMPS resolved to propose to the Ordinary Shareholders' Meeting the distribution of Euro 1,083 million, derived from the net profit reported in the draft financial statements as of December 31, 2024 (Euro 1,923 million), to its shareholders as a dividend of Euro 0.86 per share.

In light of the above, if the aforementioned distribution is approved by the BMPS Shareholders' Meeting and the dividend coupon is detached or the dividend is paid before the Payment Date (each, individually, "**Adjustment Condition**"), the Consideration will be adjusted accordingly (the "**Adjusted Consideration**").

It is noted that, on February 10, 2025, the Mediobanca Board of Directors resolved — during the approval of the semi-annual report as of December 31, 2024 — to distribute an interim dividend (the "**2025 Mediobanca Interim Dividend**") to its shareholders in May 2025 (with the balance payable in November 2025). If the coupon for such interim dividend is detached or the interim dividend is paid before the Payment Date, the Consideration or, as the case may be, the Adjusted Consideration, will be adjusted again to reflect this circumstance.

The Offer is subject to obtaining the necessary authorizations from the competent authorities, as set forth in Section 1.4 of the Offeror's Communication.

On February 13, 2025, BMPS announced to the market that it had filed, on the same date, with the Italian Securities and Exchange Commission ("**CONSOB**"), pursuant to Article 102, Paragraph 3, of the Italian Consolidated Law on Finance ("**TUF**") and Article 37-ter of the Issuers' Regulation, the offer document (the "**Offer Document**") for publication.

With respect to the Offer conditions, it is noted that the effectiveness of the Offer is subject to the acquisition, following the Offer, of a stake representing at least 66.67% of the voting rights exercisable at the Issuer's shareholders' meetings (the "**Threshold Condition**").

**1.3** **Documentation used** 

The Offeror does not possess any non- public information regarding Mediobanca; consequently, the Offer has been formulated exclusively based on publicly available information. In carrying out its Engagement, KPMG also did not have access to any private information regarding the Issuer, and therefore, the analyses conducted were based solely on publicly available data.

This aspect influences the content and outcomes of this Report, including the methodologies used, the sensitivity analyses carried out, and the results obtained.

For the purposes of this Report, the primary information used to conduct our analyses included the following:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Press
 release pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the
 Issuers' Regulation, published by BMPS on January 24, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Press
 release pursuant to Article 37-ter, paragraph 3, of the Issuers' Regulation, published
 by BMPS on February 13, 2025.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>4</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Document
 titled "*The New Italian Banking Champion – Voluntary Public Exchange Offer launched by Banca Monte dei Paschi di Siena on the ordinary shares of Mediobanca*,"
 presented to the financial community by BMPS on January 24, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Draft
 Explanatory Report of the Board of Directors of BMPS on Item 1 of the Agenda of the Extraordinary
 Shareholders' Meeting convened on April 17, 2025, regarding the Offer.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Press
 release including the financial statements as of September 30, 2024, and the presentation
 of quarterly results as of the same date for Mediobanca.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Mediobanca's
 half-year financial report as of December 31, 2024, subject to limited audit by EY S.p.A.,
 which issued its report on February 11, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Press
 release including the financial statements as of December 31, 2024, and the presentation
 of half-year results, including an update on target indicators for the 2026 fiscal year under
 the 2023– 2026 Business Plan (as defined below).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Consolidated
 and individual financial statements of Mediobanca as of June 30, 2024, subject to full
 audit by EY S.p.A., with the audit report issued on September 25, 2024.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Document
 titled "*Mediobanca One Brand – One Culture, Strategic Guidelines FY 2023–26*,"
 released to the financial community by Mediobanca on May 24, 2023, outlining expected
 forward-looking data for the reference period ()"**Prospective Data of the 2023–2026 Business Plan** ").

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Estimates
 provided by investment firms regarding the latest expectations for Mediobanca's prospective
 financial and economic results ()"**Analysts' Forecasted Data** ").

Additionally, we have relied on other publicly available documents and information necessary for the development of the valuation process.

**1.4** **Limitations** 

The Engagement and the results achieved in this Opinion are subject, in addition to the limitations indicated in paragraph 1.3 above, to the following additional limitations.

The analysis is based on publicly available information and documents relating to Mediobanca, for which no verification, audits, reviews, and/or certifications have been conducted by us, in line with the Engagement and the nature of the documentation available.

During the analyses and in preparing this Report, it was assumed and relied upon the correctness, completeness, and accuracy of all publicly available information and economic-financial and other assumptions. The documents and information used for the analyses under our Engagement were analyzed solely in terms of overall reasonableness and consistency; no verifications or investigations were carried out to identify errors, inaccuracies, latent liabilities of any kind not reflected in the documentation and information available.

The valuation analyses are based on Mediobanca's consolidated semi-annual financial position as of December 31, 2024, communicated to the financial community on February 11, 2025; within the scope of our Engagement, we did not have access to the Management and/or the independent auditors of the Issuer. Moreover, no independent audit procedures were conducted on Mediobanca's financial data, nor were verifications or investigations carried out regarding the potential existence of tax, contractual, and social security liabilities or risks of any kind not reported in the financial statements and balance sheet of the Issuer.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>5</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

KPMG conducted its analyses on the assumption that no substantial changes occurred in the economic and financial position of the Issuer between December 31, 2024, and the date of the Opinion.

The valuation analyses of the Issuer's Shares subject to potential Contribution were conducted under the assumption of normal operations (excluding extraordinary and non-recurring management events) and business continuity.

The valuations underlying our Opinion were also developed on a stand- alone basis; therefore, the analysis results do not take into account any potential synergies and/or fiscal, accounting, financial, and/or operational impacts related to the transaction in question. In the stand-alone valuation of Mediobanca, the economic-financial effects or potential synergies resulting from the completion of the Offer were not considered.

For our valuations, we used Mediobanca's financial forecast data as reflected in the Prospective Data of the 2023-2026 Business Plan and/or estimates derived from analyst research reports referring to the Issuer. With regard to such prospective data and the other data and information used in the scope of the Engagement, we disclaim any responsibility for their accuracy and completeness; however, we have conducted an analysis of their overall reasonableness, , also considering the public disclosures released by the Issuer on the presentation of the semi-annual results as of December 31, 2024. Forecasts are inherently uncertain and variable, reflecting the company's future strategies. This Report contains no explicit or implicit statements or guarantees regarding the execution and implementation of those strategies and/or the achievement of future results.

It should be noted that these are prospective data, whose assumptions about the future evolution of the Issuer's activities are based on an extended time horizon in a sector (banking) closely tied to macroeconomic and financial market conditions. This situation is further intensified by the current context, characterized by high volatility in Stock Market values, exacerbated by the broader emergency situation linked to international geopolitical instability. Consequently, forecasts made based on these assumptions are subject to a certain degree of uncertainty and may not materialize or may materialize in ways that result in outcomes different from those underlying our estimate.

This Opinion was prepared considering reasonably foreseeable factors, and therefore the valuations did not consider the occurrence of extraordinary and/or unforeseeable events (e.g., new sector regulations, changes in tax law, political and social scenarios, etc.). We also based our Opinion on economic and market conditions and publicly available information as of the date of the Opinion.

The content of the Report should be interpreted as an estimate of listed shares constituting the entire share capital of Mediobanca, based on generally accepted valuation assumptions and criteria applied in this specific case through valuation methodologies deemed appropriate, in compliance with the received Engagement.

Accordingly, and based on the foregoing, this estimate constitutes an independent Opinion regarding the value attributable to the 833,279,689 ordinary shares representing the entirety of the Issuer's share capital as of the date of the Report.

Considering the purpose of our Engagement, which is solely that provided for in Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code, this Report is not intended to replace the independent judgment of Mediobanca shareholders regarding the conditions of the Offer promoted by BMPS, nor does it in any way constitute a recommendation to accept the Offer itself.

Finally, we have obtained confirmation from BMPS Management that they are not aware of any additional significant elements for our work that have not been presented and discussed with us.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>6</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

**1.5** **Work performed** 

For the purpose of fulfilling our Engagement, we have carried out the following activities:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· examination
 of the information and documents collected;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· analysis
 of Mediobanca's half-year financial position as of December 31, 2024, the Prospective
 Data of the 2023-2026 Business Plan, and the Analysts' Forecasted Data;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· analysis
 of the relevant sector;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· identification
 of the valuation methodologies deemed applicable, taking into account the distinctive characteristics
 of Mediobanca, as well as the indications provided by academic literature and valuation practices
 in the relevant sector;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· definition
 of the metrics and parameters necessary for the application of the selected valuation methodologies;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· development
 of the valuation methodologies and sensitivity analysis of the results based on variations
 in the key valuation parameters adopted;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· analysis
 of the results obtained.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.6** **Restrictions on the Use of this Fairness** 

This Report may not be used for purposes other than those indicated in paragraph 1.1 "Purpose of the Report and Terms of the Engagement" and as provided for under Article 2343-ter of the Italian Civil Code. We therefore accept no liability for damages resulting from unauthorized or improper use of this Fairness.

**1.7** **Main assumptions and difficulties of the valuation** 

The Engagement was carried out with the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· KPMG
 did not have access to private information concerning the Issuer and/or the Management of
 Mediobanca. The analyses conducted were therefore based exclusively on publicly available
 information. This limitation has been reflected in the approach adopted and in the determination
 of the parameters supporting the valuation process. It cannot be excluded that access to
 non-public information of the Issuer, all other conditions being equal, could have had a
 significant impact on the analyses and conclusions set forth in this Report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 valuation analyses were based on prospective financial data, which by their nature involve
 elements of uncertainty and subjectivity and depend on the actual realization of the assumptions
 and hypotheses underlying the projections. These assumptions include, *inter alia*,
 hypothetical scenarios dependent on factors entirely or partially beyond the control of the
 management and inherently characterized by uncertainty, including potential structural market
 changes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· due
 to the inherent uncertainty of future events, both regarding their occurrence and the timing
 and magnitude of their manifestation, deviations between prospective data and actual results
 could be significant, even if the key events underlying the prospective data occur;

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>7</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

· the
 valuation methodologies employed required the implementation of a complex and structured
 evaluation process, involving, in particular, the selection of various market financial parameters,
 which by their nature are subject to potentially significant fluctuations;

· the
 recent volatility in financial markets, driven by uncertainties related to the ongoing war
 between the Russian Federation and Ukraine, as well as the Israel-Palestine conflict, could
 impact the valuation assumptions adopted in our analyses and, consequently, the results obtained.
 As geopolitical tensions persist, it is not currently possible to predict the medium- and
 long-term impacts of these events on the real economy and financial markets.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>8</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

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| | |
|:---|:---|
| **2** | **Description of the asset to be contributed** |

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**2.1** **Identification of the contributing company** 

The contributing company is Banca Monte dei Paschi di Siena S.p.A., a joint-stock company incorporated under the laws of Italy, with registered office in Piazza Salimbeni, 3, Siena, registration number with the Companies Register of Arezzo - Siena and Tax Code no. 00884060526. The Contributing Company is also registered in the Bank Register held by the Bank of Italy under number 5274 and, as the parent company of the Monte dei Paschi di Siena Banking Group (the "**BMPS Group**"), in the Register of Banking Groups under number 1030, as well as a member of the Interbank Fund for Deposit Protection (Fondo Interbancario di Tutela dei Depositi) and the National Guarantee Fund (Fondo Nazionale di Garanzia).

**2.2** **Object of the Contribution** 

As part of the Offer under examination, the object of the Contribution consists of a maximum of 833,279,689 ordinary shares of Mediobanca, representing the entire share capital of the Issuer, including treasury shares. The Issuer's shares are admitted to trading on Euronext Milan, a regulated market organized and managed by Borsa Italiana, with ISIN code IT0000062957, and are dematerialized pursuant to Article 83-bis of the TUF.

Mediobanca has its registered office in Milan, Piazzetta Enrico Cuccia, 1, registration number with the Milan Companies' Register and tax code no. 00714490158. Mediobanca is registered in the Bank Register held by the Bank of Italy and, as the parent company of the Mediobanca Banking Group, in the Register of Banking Groups under number 10631, as well as a member of the Interbank Fund for Deposit Protection (Fondo Interbancario di Tutela dei Depositi) and the National Guarantee Fund (Fondo Nazionale di Garanzia).

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>9</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

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| | |
|:---|:---|
| **3** | **Mediobanca** |

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**3.1** **Profile** 

Mediobanca is a specialized financial group, active in Consumer Finance, Wealth Management, and Corporate & Investment Banking. The Issuer is listed on the Mercato Telematico Azionario organized and managed by Borsa Italiana S.p.A. and is included in the FTSE/MIB index.

Mediobanca operates through four main business units:

1) *Consumer Finance* ("**CF**"): Mediobanca operates in consumer credit through Compass, a company that has been active in Italy for over 70 years, offering personal loans. In this segment, the bank also offers services such as purpose loans, credit cards, salary-backed loans, and *buy-now-pay-later*, the latter through the development of Pagolight (a proprietary solution) and participation in HeidiPay.

2) *Wealth Management* ("**WM**"): including three main lines of business related to:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) *Private Banking,* Business unit that serves approximately 11,000 High Net Worth and Ultra High
 Net Worth individuals, through Mediobanca Private Banking (founded in 2017 from the integration
 of Banca Esperia into Mediobanca) and CMB Monaco for the clientele. As of June 30, 2024,
 the segment has 155 advisors and approximately Euro 45 billion in assets under management.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) *Premier Banking*, services offered to *Affluent* clients, through Mediobanca Premier (formerly
 CheBanca!). As of June 30, 2024, the bank has over 770,000 clients, 615 financial advisors,
 536 managers, and approximately Euro 42 billion in assets under management.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) *Asset Management*, with the presence of proprietary product factories such as Mediobanca Sgr,
 Polus Capital, and RAM.

3) *Corporate & Investment Banking* ("**CIB**"): such division offers *capital markets*, *lending*, *trading*, *specialty finance services*, and advisory in *Merger & Acquisition* transactions, company or asset valuations, and *restructuring*.

4) *Insurance* ("**INS**"): The activity in recent years has focused on the active management of Mediobanca's portfolio of investments. The current portfolio essentially includes the investment in Assicurazioni Generali S.p.A. ("**Generali**"), an investment with a significant contribution to Mediobanca's results.

The Issuer's share capital as of March 13, 2025 consists of 833,279,689 ordinary shares with no nominal value, of which 814,459,551 are outstanding shares and 18,820,138 treasury shares are held in the portfolio, as stated in the Issuer's press release dated March 10, 2025.

It is also specified that the Issuer's Extraordinary Shareholders' Meeting, held on October 28, 2024, resolved to cancel up to a maximum of 30,000,000 treasury shares that may be acquired (and not used) pursuant to the resolution passed at the ordinary shareholders' meeting held on the same date. Pursuant to the resolution passed, the cancellation may be carried out in several instalments or in one lump sum, however, within 18 months from the date of the shareholders' resolution. The share buyback and cancellation program have a value of approximately Euro 385 million. The operation has been authorized by the European Central Bank.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>10</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

The following table shows the persons who, as of the date of this Notice - based on the notifications pursuant to Article 120 of the TUF, as published on Consob's website - hold shares of the Issuer's share capital or voting rights exceeding 3% of the Issuer's ordinary share capital<sup>1</sup>:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Francesco
 Gaetano Caltagirone: 5.499%;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Delfin
 SARL: 19.390%;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Banca
 Mediolanum S.p.A.: 3.343%.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**3.2** **Financial and economic position of Mediobanca as of June 30, 2024 and December 31, 2024** 

The financial and economic position of Mediobanca as of December 31, 2024 is reported below. Mediobanca adopts a fiscal year ending on June 30, each year; therefore, the data for the month of December corresponds to the results of the semi-annual financial report.

**Table 1. Income statement of the Mediobanca Group**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Income Statements Mediobanca Group**<br>**€ mn** | **30/06/2023**<br>**FY** | **30/06/2024**<br>**FY** | **31/12/2023**<br>**6m** | **31/12/2024**<br>**6m** | **YoY%**<br>**6m** |
| **Net interest income** | **1801** | **1985** | **997** | **979** | (1.8)% |
| Net treasury income | 206 | 172 | 93 | 92 | (1.7)% |
| **Net fee and commission income** | **843** | **939** | **422** | **547** | 29.5% |
| Equity-accounted companies | 454 | 510 | 219 | 230 | 5.4% |
| **Total income** | **3303** | **3607** | **1731** | **1848** | **6.8%** |
| &nbsp;&nbsp;&nbsp;Labour costs | (728) | (805) | (382) | (419) | 9.7% |
| &nbsp;&nbsp;&nbsp;Administrative expenses | (685) | (738) | (353) | (361) | 2.2% |
| **Operating costs** | **(1413)** | **(1542)** | **(735)** | **(780)** | **6.1%** |
| &nbsp;&nbsp;&nbsp;Loan loss provisions | (270) | (252) | (133) | (133) | 0.4% |
| &nbsp;&nbsp;&nbsp;Provisions for other financial assets | (7) | 14 | 5 | 11 | 109.8% |
| &nbsp;&nbsp;&nbsp;Other income (losses) | (186) | (90) | (25) | (14) | (46.0)% |
| **Profit before tax** | **1427** | **1736** | **842** | **931** | **10.6%** |
| &nbsp;&nbsp;&nbsp;Income tax for the period | (394) | (437) | (221) | (231) | 4.8% |
| &nbsp;&nbsp;&nbsp;Minority interest | (7) | (26) | (10) | (40) | 290.3% |
| **Net Profit** | **1026** | **1273** | **611** | **660** | **7.9%** |

---

*Source: Financial statements and semi-annual reports of Mediobanca.*

<sup>1</sup> Quotes refer to the entirety of shares related to the declarant or the entity at the top of the ownership chain.

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>11</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

**Table 2. Divisional income statement of the Mediobanca Group as of December 31, 2024**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Income Statements by Business Unit**<br>**6 months 31/12/2024 (€ mn)** |<br>**CF** |<br>**WM** |<br>**CIB** |<br>**INS** | **Holding**<br>**Functions** |<br>**Group<sup>1</sup>** |
| **Net interest income** | **557** | **204** | **153** | **(4)** | **48** | **979** |
| Net treasury income |  | 6 | 65 | 16 | 6 | 92 |
| **Net fee and commission income** | **72** | **270** | **234** | **(0)** | **3** | **547** |
| Equity-accounted companies | (0) |  |  | 231 | (0) | 230 |
| **Total income** | **629** | **480** | **451** | **243** | **56** | **1848** |
| &nbsp;&nbsp;&nbsp;Labour costs | (62) | (168) | (118) | (2) | (70) | (419) |
| &nbsp;&nbsp;&nbsp;Administrative expenses | (127) | (148) | (83) | (1) | (14) | (361) |
| **Operating costs** | **(189)** | **(315)** | **(200)** | **(3)** | **(84)** | **(780)** |
| &nbsp;&nbsp;&nbsp;Loan loss provisions | (136) | (1) | 1 |  | 3 | (133) |
| &nbsp;&nbsp;&nbsp;Provisions for other financial assets |  | 0 | (1) | 9 | 2 | 11 |
| &nbsp;&nbsp;&nbsp;Other income (losses) |  | (4) | (4) |  | (1) | (14) |
| **Profit before tax** | **304** | **160** | **248** | **250** | **(24)** | **931** |
| &nbsp;&nbsp;&nbsp;Income tax for the period | (101) | (49) | (68) | (9) | (5) | (231) |
| &nbsp;&nbsp;&nbsp;Minority interest |  | (1) | (38) |  | (1) | (40) |
| **Net Profit** | **203** | **111** | **142** | **241** | **(30)** | **660** |
| **RWA** | **14409** | **6201** | **15019** | **8080** | **3852** | **47561** |

---

*Source: Semi-annual report as of December 31, 2024 of Mediobanca.*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The
 consolidated semi-annual revenues grew by 6.8%, from Euro 1,731 million to Euro 1,848 million.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The
 net interest margin reached Euro 979 million. The increase was supported by the expansion
 of the CF segment, which recorded an 8.6% year-on-year increase. However, the return on assets
 was impacted by the reduction in market rates (Euribor 3m: -67bps), which moderated the positive
 effect of the increase in volumes by Euro 1.4 billion. The CIB segment remained stable at
 Euro 153 million, with a decline in the large corporate segment offset by growth in the markets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Net
 fees recorded growth equal to 29.5% in a year, reaching Euro 547 million. WM fees increased
 by 12.5% year-on-year, totaling Euro 270 million, while CIB division fees rose to Euro 234
 million, up 75.2% compared to the previous year, also thanks to the inclusion of Arma Partners.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The
 contribution of Assicurazioni Generali to the *equity method* increased by 5.4%, from
 Euro 215 million to Euro 227 million.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Operating
 costs increased by 6.1%, reaching Euro 780 million. Despite the increase, the cost-to-income
 ratio remained virtually unchanged at 42.2% (compared to 42.5% the previous year). The rise
 in costs affected all the main components:

Personnel costs increased by 9.7%, from Euro 382 million to Euro 419 million. The increase was driven by the rise in the number of employees (FTE +2.6%, from 5,369 to 5,510) and adjustments to variable components in the CIB segment in line with the results achieved.

<sup>1</sup> The sum of the data by business area differs from the total Group figure due to net consolidation adjustments/differences between the business areas (Euro 1.1 million) and the effects related to acquisitions (mainly on put & call agreements and earn-out), which are not attributed to any Business Unit (Euro 5.3 million).

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>12</sub>

![](tm2518026d1_kpmglogo.jpg)

**Banca Monte dei Paschi di Siena S.p.A.**

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

March 2025

Administrative expenses increased by 2.2%, reaching Euro 361 million. The increase was mainly driven by technology expenses (+2.5% to Euro 127 million), *back office* and *operations costs* (+5% to Euro 103 million), costs related to branches and offices (+8% to Euro 50 million), and credit recovery expenses (+5% to Euro 21 million).

**Table 3. Divisional Income Statement of the Mediobanca Group as of June 30, 2024<sup>1</sup>**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Income Statements by Business Unit**<br>**FY 30/06/2024 (€ mn)** |<br>**CF** |<br>**WM** |<br>**CIB** |<br>**INS** | **Holding**<br>**Functions** |<br>**Group<sup>1</sup>** |
| **Net interest income** | **1044** | **425** | **307** | **(7)** | **178** | **1985** |
| Net treasury income | 0 | 9 | 95 | 27 | 39 | 172 |
| **Net fee and commission income** | **145** | **489** | **361** | **-** | **6** | **939** |
| Equity-accounted companies | (0) |  |  | 511 |  | 510 |
| **Total income** | **1189** | **924** | **763** | **530** | **224** | **3607** |
| &nbsp;&nbsp;&nbsp;Labour costs | (121) | (325) | (215) | (4) | (140) | (805) |
| &nbsp;&nbsp;&nbsp;Administrative expenses | (249) | (288) | (165) | (1) | (53) | (738) |
| **Operating costs** | **(370)** | **(614)** | **(380)** | **(5)** | **(192)** | **(1542)** |
| &nbsp;&nbsp;&nbsp;Loan loss provisions | (250) | (7) | 11 |  | (6) | (252) |
| &nbsp;&nbsp;&nbsp;Provisions for other financial assets |  | 1 | (3) | 20 | (4) | 14 |
| &nbsp;&nbsp;&nbsp;Other income (losses) | 0 | (4) | (3) |  | (49) | (90) |
| **Profit before tax** | **570** | **300** | **387** | **545** | **(28)** | **1736** |
| &nbsp;&nbsp;&nbsp;Income tax for the period | (187) | (91) | (121) | (23) | (13) | (437) |
| &nbsp;&nbsp;&nbsp;Minority interest |  | (1) | (23) |  | (3) | (26) |
| **Net Profit** | **383** | **209** | **244** | **522** | **(44)** | **1273** |
| **RWA** | **14493** | **6051** | **14857** | **8066** | **4153** | **47622** |

---

*Source: Financial Statements as of June 30, 2024 of Mediobanca.*

<sup>1</sup> The sum of the divisional data differs from the Group total due to adjustments/differences arising on consolidation between business areas (equal to Euro 4.9 million), the RAM brand impairment charge (Euro 31.7 million), and other effects attributable to acquisitions (in particular in respect of put-and-call arrangements) that have not been allocated to any business line in particular (Euro 3.1 million).

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>13</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Table 4. Statement of Financial Position of the Mediobanca Group as of June 30, 2024 and December 31, 2024**

---

| | | | |
|:---|:---|:---|:---|
| **Balance Sheet Mediobanca Group<br> € mn** | **30/06/2024** | **31/12/2024** | **%** |
| Financial assets held for trading | 15410 | 15172 | (1.5)% |
| Treasury financial assets | 11103 | 10386 | (6.5)% |
| **Equity Holdings** | **4703** | **4992** | **6.1%** |
| &nbsp;&nbsp;&nbsp;Equity Investments | 3789 | 4092 | 8.0% |
| &nbsp;&nbsp;&nbsp;Other Investments | 914 | 900 | (1.5)% |
| Banking book securities | 11341 | 12063 | 6.4% |
| **Customer loans** | **52447** | **53859** | **2.7%** |
| &nbsp;&nbsp;&nbsp;Corporate | 16043 | 17170 | 7.0% |
| &nbsp;&nbsp;&nbsp;Specialty Finance | 2950 | 2707 | (8.3) |
| &nbsp;&nbsp;&nbsp;Consumer Finance | 15198 | 15564 | 2.4% |
| &nbsp;&nbsp;&nbsp;Mortgages | 12568 | 12615 | 0.4% |
| &nbsp;&nbsp;&nbsp;Private banking | 4285 | 4474 | 4.4% |
| &nbsp;&nbsp;&nbsp;Leasing e Gestione NPL | 1403 | 1329 | (5.3)% |
| Tangible and intangible assets | 1595 | 1639 | 2.8% |
| Other assets | 2628 | 1801 | (31.5)% |
| **Total assets** | **99226** | **99912** | **0.7%** |
| **Funding** | **63670** | **64211** | **0.8%** |
| &nbsp;&nbsp;&nbsp;MB bonds | 27619 | 28728 | 4.0% |
| &nbsp;&nbsp;&nbsp;Premier Banking deposits | 16888 | 17904 | 6.0% |
| &nbsp;&nbsp;&nbsp;Private Banking deposits | 11011 | 10292 | (6.5)% |
| &nbsp;&nbsp;&nbsp;ECB | 1313 |  | (100.0)% |
| &nbsp;&nbsp;&nbsp;Banks and other | 6839 | 7287 | 6.6% |
| Treasury financial liabilities | 10584 | 11841 | 11.9% |
| Financial liabilities held for trading | 9505 | 9095 | (4.3)% |
| Other liabilities | 4066 | 3295 | (19.0)% |
| Provisions | 158 | 149 | (5.9)% |
| **Net equity** | **11243** | **11321** | **0.7%** |
| &nbsp;&nbsp;&nbsp;Minority interest | 86 | 86 | 0.1% |
| &nbsp;&nbsp;&nbsp;Profit for the period | 1273 | 660 | (48.2)% |
| **Total liabilities** | **99226** | **99912** | **0.7%** |
| **Net TFA** | **99431** | **106824** | **7.4%** |
| Premier | 41820 | 44826 | 7.2% |
| Private/HNWI | 44867 | 47167 | 5.1% |
| Asset Management | 28239 | 31686 | 12.2% |
| Intercompany | (15495) | (16854) | 8.8% |
| **Regulatory Capital** |  |  |  |
| CET 1 capital | 7222 | 7248 | 0.4% |
| Total capital | 8438 | 8381 | (0.7)% |
| RWA | 47622 | 47561 | (0.1)% |

---

*Source: Financial Statements and Semi-Annual Reports of Mediobanca.*

*Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.*<sub>14</sub>

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

&nbsp;&nbsp;&nbsp;&nbsp;· The total assets as of December 31,
 2024 show a slight increase in the semester, rising from Euro 99.2 billion to Euro 99.9 billion.

&nbsp;&nbsp;&nbsp;&nbsp;· Customer loans increased from Euro 52.4 billion to Euro 53.9 billion,
 driven by the CIB, which rose from Euro 19.0 billion to Euro 19.9 billion. In particular,
 the *large corporate* segment grew by 7%, reaching Euro 17.2 billion, while *factoring* recorded a decline of 8.3%, falling from Euro 3.0 billion to Euro 2.7 billion, affected
 by the crisis in the automotive sector. The CF maintained a quarterly growth *trend* of
 2.4%, rising from Euro 15.2 billion to Euro 15.6 billion. The WM also recorded an increase
 of 1.4%, reaching Euro 17.1 billion.

&nbsp;&nbsp;&nbsp;&nbsp;· The securities in the *banking book* increased from Euro 11.3
 billion to Euro 12.1 billion, divided into Euro 5.2 billion in the *HTC* portfolio,
 Euro 6.4 billion in the *HTC&S* portfolio, and Euro 0.4 billion designated at *fair value*. The position in Italian government bonds grew from Euro 5.4 billion to Euro 6.1 billion, with an average *duration* of approximately 2 years.

&nbsp;&nbsp;&nbsp;&nbsp;· Total funding increased from Euro 63.7 billion to Euro 64.2 billion,
 with a securitized component of Euro 28.7 billion, after new issuances of Euro 3.1 billion
 and repayments of Euro 2.0 billion. WM deposits rose from Euro 27.9 billion to Euro 28.2
 billion, thanks to the strong performance of the *Premier* channel, while interbank
 borrowings amounted to Euro 7.3 billion.

&nbsp;&nbsp;&nbsp;&nbsp;· Total Financial Assets (TFA) rise to Euro 106.8 billion (+14.2%
 compared to the previous semester, +3.6% in the quarter), with a net growth of Euro 4.5 billion
 and a market effect estimated at Euro 2.6 billion. *Assets under management* increase
 to Euro 48.2 billion, growing by Euro 4.9 billion in the semester and by Euro 7.4 billion
 compared to 12 months ago. *Assets under administration* remain stable at Euro 30.3
 billion, while deposits increase to Euro 28.2 billion, of which Euro 17.9 billion are excluding
 Premier.

The consolidated net equity of Mediobanca as of December 31, 2024 amounted to Euro 11,321.2 million, including the equity attributable to non-controlling interests of Euro 86.2 million. The net equity attributable to the parent company therefore totals Euro 11,235.0 million and is primarily composed of:

&nbsp;&nbsp;&nbsp;&nbsp;· Share capital of Euro 444.7 million;

&nbsp;&nbsp;&nbsp;&nbsp;· Share premium of Euro 2,080.8 million;

&nbsp;&nbsp;&nbsp;&nbsp;· Retained earnings and other reserves
 of Euro 8,347.9 million;

&nbsp;&nbsp;&nbsp;&nbsp;· Negative valuation reserve of Euro 152.3
 million;

&nbsp;&nbsp;&nbsp;&nbsp;· Treasury shares for Euro 145.8 million;

&nbsp;&nbsp;&nbsp;&nbsp;· Net profit for the period amounting
 to Euro 659.7 million.

Finally, as of December 31, 2024, Mediobanca's CET1 Ratio stands at 15.2%, with the application of the Danish Compromise, and the Total Capital Ratio is 17.6%, including the half- year result net of the distribution of an interim dividend to Mediobanca shareholders scheduled for May 2025 (with the balance in November 2025), based on a payout assumption of 70%. The Corep CET1 ratio, without earnings for the period, is 14.8%.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 15 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**3.3** **Projections of Mediobanca's 2023-2026 Business Plan** 

Projections of Mediobanca's 2023-2026 Business Plan, illustrated below, were disclosed to the financial community on May 24, 2023, and confirmed on August 1, 2024, during the communication of the annual results as of June 30, 2024. On February 11, 2025, as part of the presentation of the semi-annual results as of December 31, 2024, Mediobanca updated, revising upwards, the targets set for certain performance indicators related to *fiscal year* 2026.

Mediobanca has outlined a strategic plan for the FY23-26 period with defined objectives for each business unit, as represented below:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;·  ***Consumer Finance*** , Mediobanca intends to expand its
 network by strengthening its presence in emerging markets and exploring new customer segments
 through its digital channels. The goal is to consolidate the *Consumer Finance* revenue
 streams within the Mediobanca group.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;·  ***Wealth Management*** , Mediobanca aims to close the size
 gap with the main Italian competitors by leveraging the potential of the HNWI/UHNWI clients
 (clients with net worth exceeding Euro 5 million and Euro 20 million, respectively) and repositioning
 the Premier segment. The goal is to achieve double-digit growth in TFAs, revenues, and profits.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;·  ***Corporate & Investment Banking*** , Mediobanca
 aims to create a *capital light* European platform by primarily investing in low capital
 absorbing activities and leveraging potential synergies with *Wealth Management*, with
 the goal of significantly reducing RWAs over the course of the plan and consolidating revenue
 streams.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;·  ***Insurance*** , the goal is
 to make this business area a significant source of revenue within the Group, while simultaneously
 limiting the capital absorption of its assets.

Below are the main economic and financial figures expected for the fiscal year 2023 and for the last year of projection (i.e., 2026), compared with the same figures derived from the actual data as of June 30, 2023 and June 30, 2024. Also included are the *revised data*, relating to certain targets for the year 2026, as communicated on February 11, 2025, during the presentation of the semi-annual data as of December 31, 2024 to the financial community.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 16 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**Table 5. Projections of the 2023-2026 Business Plan and revised 2026 targets**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Mediobanca Group**<br>**€ bn / %** | <br>**30/06/2023 E** | <br>**30/06/2026 E** | <br>**30/06/2023 A** | <br>**30/06/2024 A** | **30/06/2026**<br>**Revised** |
| **Main financial data** |  |  |  |  |  |
| **Total income** | **3.2** | **3.8** | **3.3** | **3.6** | **~4** |
| Cost/income | ~44% | ~44% | 42.8% | 42.8% | n.a. |
| **Net profit** | **~1.1** | **~1.4** | **1.0** | **1.3** | **> 1.4** |
| **KPIs** |  |  |  |  |  |
| **RoRWA** | **~2.1%** | **~2.7%** | **2.1%** | **2.7%** | n.a. |
| &nbsp;&nbsp;&nbsp;o/w WM | ~2.9% | ~4.0% | 3.1% | 3.6% | n.a. |
| &nbsp;&nbsp;&nbsp;o/w CF | ~2.7% | ~2.9% | 2.9% | 2.7% | n.a. |
| &nbsp;&nbsp;&nbsp;o/w CIB | ~1.0% | ~1.6% | 1.2% | 1.5% | n.a. |
| **ROTE** | **~12%** | **~15%** | **12.7%** | **14.0%** | n.a. |
| EPS | 1.15 | 1.80 | 1.21 | 1.53 | n.a. |
| **Main capital financial data** |  |  |  |  |  |
| **TFA** | **> 85** | **~115** | **88.0** | **99.4** | n.a. |
| &nbsp;&nbsp;&nbsp;o/w direct banking funding | ~30% | ~25% | 32% | 28% | n.a. |
| &nbsp;&nbsp;&nbsp;o/w AUM / AUA | ~70% | ~75% | 68% | 72% | n.a. |
| **RWA** | **~52** | **~51** | **51.4** | **47.6** | n.a. |
| &nbsp;&nbsp;&nbsp;RWA Density | ~57% | ~52% | 56.1% | 48.0% | n.a. |
| **CET1 Ratio** | **15.4%** | **14.5%** | **15.9%** | **15.2%** | n.a. |
| FTE (#k) | 5.3 | 5.8 | 5.4 | 5.4 | n.a. |

---

---

| | |
|:---|:---|
| *Source:* | *Document "Mediobanca One Brand – One Culture, Strategic Guidelines FY 2023-26", financial statements as of June 30, 2023, and June 30, 2024, Mediobanca's Half-Year Report and Results Presentation as of December 31, 2024.* |

---

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 17 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

---

| | |
|:---|:---|
| **4** | **Valuation of Mediobanca Shares** |

---

**4.1** **Introduction** 

The subject of this Report is the evaluation of the 833,279,689 ordinary shares of Mediobanca (including treasury shares), which are the subject of the Offer and constitute, as of today, the entire share capital of the Issuer. Therefore:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the subject of the valuation is represented
 by the total number of shares that collectively considered constitute the entire share capital
 of Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the perspective to be adopted in the valuation is that of a party
 acquiring the entire ordinary share capital of Mediobanca. This perspective must consider
 the company being valued from a going concern and *stand alone* basis, thus excluding
 any specific synergies or other economic-financial effects resulting from a potential integration.

Based on the Engagement, the purpose of this report is to provide an independent and autonomous Opinion, in accordance with the provisions of Article 2343-ter of the Civil Code, aimed at verifying that the fair value of the asset subject to the Contribution is not lower than the value attributed to it for the purposes of the Capital Increase in Service of the Offer, including any share premium.

The estimation methodologies and their application in the valuation are based on the general principle of prudence and consider the objective that the legal provision, which is to prevent in-kind contributions from being overvalued and artificially inflating the assets of the receiving company.

It should be noted that, given the timing of the transaction, our Opinion concerns the fair value attributable to the Mediobanca Shares subject to the Contribution, as estimated on the date of issuance of our Report. This value serves as a threshold reference for determining the share capital and any share premium of the Capital Increase in support of the Offer. The final value of the Capital Increase in support of the Offer will only be determinable closer to its execution, based on the issue price of BMPS shares and the actual number of newly issued shares.

**4.2** **Selection of Valuation Methodologies** 

The valuation methods for Mediobanca shares have been selected from those generally accepted in the market, considering not only the available information but also the conditions of the Offer, the sector in which the Issuer operates, the distinctive characteristics of the Mediobanca Group, and the contribution of the individual business units to the overall profitability of the Group. Additionally, the evaluation practices align with national and international standards.

The reference date for our valuations is December 31, 2024. The valuations are based on the economic and financial data, as well as the capital requirements and supervisory ratios of the Mediobanca Group as of that date. The issuer's share price data refers to information prior to the announcement of the Offer (January 24, 2025), while market parameters and Target Prices have been determined close to the issuance date of this report.

The analyses were developed exclusively based on publicly available information. The historical economic and financial results achieved by Mediobanca were considered, along with the Prospective Data of the 2023- 2026 Business Plan, the Analysts' Forecasted Data, and the Target Prices from financial analysts regarding the future performance of Mediobanca, as well as the Stock Market quotations.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 18 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

Based on this information, we developed an evaluation opinion through a variety of methods. In particular, the following methods were considered:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The *Sum of the Parts* approach, to separately value: (i) the
 business units related to the CF, WM and CIB segments of Mediobanca, using the *Gordon* method, the *Trading Multiples* method, and *Regression Analysis* method; (ii) Mediobanca's
 stake in Generali, using the *Market Quotations* of the listed insurance company; (iii) other
 investments apart from Generali, valued at book value;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The *Stock Market Prices* method;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The *Target Prices* method;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· The *Dividend Discount Model* in
 the variant of *Excess Capital*.

The determination of the fair value of the Issuer's shares was carried out on a "cum dividend" basis, meaning that it includes the value of the interim dividend distribution to be paid to Mediobanca shareholders in May 2025 (with the final payment in November 2025), as announced on February 10, 2025, in connection with the approval of Mediobanca's half-year financial report as of December 31, 2024. However, the final results of our analyses are also presented on an "ex dividend" basis, meaning the dividend per share of Mediobanca related to the aforementioned interim dividend, estimated at approximately Euro 0.55, is deducted.

In the course of the valuation analyses, a regulatory capital position was assumed, with the permanent application of the Danish Compromise to Mediobanca's stake in Generali, in line with the information provided in the consolidated and individual financial statements of the Issuer as of June 30, 2024. It is reported that "*following the conclusion of the process to define the new Basel regulatory framework, on April 24, 2024, the final version of the European regulation (so-called CRR3) was approved, making permanent, for the calculation of capital ratios (in particular CET1), the current treatment applied to the participations (so-called Danish Compromise), which would otherwise have expired on January 1, 2025*."

The following provides a brief description of the valuation methodologies used, as well as their application.

**4.3** **The Sum of the Parts Method** 

The "Sum of the Parts" ("**SoP**") approach determines the economic value of a company as the sum of the economic values attributable to the different business units operating within the same legal entity. This methodology applies both to holding companies that own equity interests in operating companies active in heterogeneous business sectors and to companies conducting diversified business activities within the same corporate structure. In this context, the company's economic value is determined as the aggregation of the economic values attributable to each business unit based on its specific risk profile, the corresponding expected return, and the capital allocated to each.

As previously stated, the economic value of Mediobanca's business units, CF, WM and CIB has been determined by applying the following valuation methodologies, each consistently and homogeneously applied to all three business units: (i) the Gordon method; (ii) the trading multiples method; (iii) the regression analysis method.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 19 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

In applying these methodologies, the following values have been separately determined:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 value of the Holding function, considering the implied multiple derived from the valuation
 of the three business units;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the
 value of the participation in Generali;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· other
 participations, valued at their carrying values.

**4.3.1 Gordon method**

The Gordon growth method estimates the economic value of a company or a business unit based on the present value of the projected profitability deemed sustainable in the long term, capitalized in perpetuity, taking into account a sustainable expected growth rate of *net income* (g-rate) and the rate of return required by investors for investments with a similar risk profile (Ke).

In this specific case, to determine the fair value of the individual business units (CF, WM and CIB), the equivalent variant of the method has been applied using the following formula:

*W =* <u>*RORAC – g*</u> *\* CA* <br> *k<sub>e </sub>– g*

where:

*W* = Economic value of the individual business unit.

---

| | | |
|:---|:---|:---|
| *RORAC* | = | Sustainable future profitability in the long term, considering the allocated capital, estimated under two different scenarios: (i) historical profitability and (ii) projected profitability. |

---

---

| | | |
|:---|:---|:---|
| *g* | = | Expected long-term growth rate of the sustainable average expected result, assumed to be equal to the expected long-term inflation rate for Italy, set at 2.0% (Source: *International Monetary Fund*). |

---

---

| | | |
|:---|:---|:---|
| *k<sub>e</sub>* | = | Cost of equity, determined based on the application of the Capital Asset Pricing Model ("**CAPM**") formula, and differentiated for each business unit (CF: 11.8%, WM: 11.2%, CIB: 11.3%). |

---

---

| | | |
|:---|:---|:---|
| *CA* | = | Capital allocated to individual business units, based on their specific Risk-Weighted Assets (RWA) and a CET1 Ratio Target equal to 13.5%, corresponding to the minimum CET1 level indicated by Mediobanca's Management in the Prospective Data of the 2023-2026 Business Plan. |

---

For the determination of the fair value of Mediobanca shares, the value attributable to the following elements was also considered: (i) the holding function, (ii) the participation in Generali, based on the three-month average price, (iii) participations in other companies, and (iv) excess capital relative to the identified target capital requirement.

The valuations obtained were subject to sensitivity analysis, where applicable, with respect to the cost of equity, the expected growth rate, and the sustainable long-term future profitability.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 20 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4.3.2** **Trading multiples method** 

The trading multiples method is based on the analysis of Stock Market quotations for a selected sample of companies with characteristics similar to those of the entity under evaluation (comparable publicly traded companies) and the subsequent application of the multiples derived from this analysis to the corresponding financial metrics of the company being valued.

This approach relies on determining multipliers obtained by relating the Stock Market capitalization to economic, financial, or operational indicators of the companies.

One of the fundamental assumptions underlying the trading multiples method is the comparability between the entity being valued and the companies selected as the peer group. The reliability of the results is therefore strictly dependent on the comparability of the sample. The choice of multiples is based on the characteristics of the sector in which the company operates.

In this specific case, given the heterogeneous nature of Mediobanca's three business units, CF, WM and CIB three separate peer groups of comparable publicly traded companies operating in the Italian and international markets have been selected.

For the application of this methodology, the Price-to-Earnings ratio ("**P/E**") has been selected as the reference multiple. This multiple is widely recognized and used both nationally and internationally and aligns with professional valuation practices for companies operating in Mediobanca's business units.

The average P/E multiples identified for the individual business units were applied to their respective estimates of expected net income under two different scenarios, measured over a twelve-month horizon for the year 2025, based on (i) the Prospective Data of the 2023-2026 Business Plan, and (ii) the Analysts' Forecasted Data.

These valuations also considered actual results as of December 31, 2024.

As with the Gordon method, the application was carried out using a Sum of the Parts approach, valuing separately the holding function, the participation in Generali valued on the average market price over the past three months and participations in other companies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4.3.3** **Regression analysis method** 

The regression analysis method is based on the examination of Stock Market quotations of listed companies deemed comparable to the company or business unit under valuation. This approach involves the identification of specific multiples, determined by relating market capitalizations to economic, equity, financial, or operational metrics of the reference companies.

In this specific case, this empirical methodology allows for the determination of the economic value of the company or business unit under valuation based on the statistical correlation between the expected return on tangible net asset value for the year 2026 (Return on Net Asset Value, hereinafter "**RONAV**") and the ratio between market capitalization and expected tangible net asset value for the year 2025 (the "**P/NAV**" multiple), calculated based on a sample of comparable publicly traded companies.

With specific reference to the valuation of Mediobanca's business units, considering their operational characteristics, the analysis was conducted using a "Sum of the Parts" approach, distinguishing:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the banking division and other equity investments, based on the application
 of the regression analysis method, considering Mediobanca's expected RONAV and tangible
 net asset value for 2025, adjusted for the contribution and carrying value of the stake in
 Generali;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the participation in Generali, valued
 under two distinct scenarios, based respectively on the average market price over the past
 three months and the average market price over the past month.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 21 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

**4.4** **Dividend Discount Model Method** 

The Dividend Discount Model ("**DDM**") determines the value of a company based on the projected dividends flows it is expected to generate over time. In this specific case, has been applied the excess capital variant methodology of the DDM, according to which the economic value of a company is equal to the sum of the following components:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the present value of future cash flows generated over a defined explicit
 planning horizon and distributable to shareholders, while maintaining a target capitalization
 level consistent with the guidelines set forth by the Supervisory Authority or with the company's
 specific medium-long term targets, and in any case, compatible with the nature and expected
 evolution of its activities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the present value of a perpetuity, defined based on a sustainable
 dividend for the periods following the explicit planning horizon, consistent with a pay-out
 ratio (dividend/net income ratio) that reflects a sustainable long-term profitability. This
 value is hereinafter also referred to as the Terminal Value ()"**Terminal Value** ").

The methodology described above is independent of the actual dividend distribution policies adopted within the planning period under consideration.

The formula underlying the DDM methodology is as follows:

![](tm2518026d1_ex99-11img01.jpg)

---

| | | |
|:---|:---|:---|
| where: | where: |  |
| *W* | *=* | Economic value of the company under valuation. |
| *ke* | *=* | Cost of equity. |
| *Di* | *=* | Expected dividends during the explicit projection period while maintaining a target capitalization level. |
| *n* | *=* | Explicit planning period (expressed in number of years). |
| *TV* | = | Terminal Value, assumed as the present value of the perpetuity estimated based on the sustainable dividend for the years following the explicit planning period. |

---

For the purpose of determining future economic flows, reference was made to the Prospective Data of Mediobanca's 2023-2026 Business Plan, also compared with Analysts' Forecasted Data and the Issuer's recent public communications to the financial community, which highlighted an upward revision of the targets compared to the Prospective Data of the 2023-2026 Business Plan presented on May 24, 2023. However, given the nature of our Report, which is based on the principle of prudence, the latter has been used as the baseline scenario for the determination of the value of Mediobanca Shares.

Furthermore, for the estimation of maximum distributable cash flows, a minimum capitalization level was assumed, corresponding to a CET 1 Ratio Target equal to 13.5%, which represents the minimum CET 1 level indicated by Mediobanca's Management in the Prospective Data of the 2023-2026 Business Plan.

For the determination of the Terminal Value, a long-term growth rate equal to 2.0% was considered, in line with long-term inflation forecasts for Italy (Source: International Monetary Fund).

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 22 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

The resulting cash flows were discounted based on a cost of equity equal to 11.1%, resulting from the average of (i) the Ke obtained from the application of the CAPM model, equal to 10.2%, and (ii) the Ke estimated by analysts covering Mediobanca's stock, equal to 12.0%.

The cost of equity obtained from the CAPM model was calculated based on the following formula and on parameters updated close to the date of issuance of this Report, 2025:

![](tm2518026d1_ex99-11img02.jpg)

where:

---

| | | |
|:---|:---|:---|
| *Rf* | = | Risk-free rate, identified based on the average gross yield recorded of the 10-year Italian government bond (BTP Italia) over the past month, equal to 3.7%. (Source: Information data provider). |

---

---

| | | |
|:---|:---|:---|
| β | *=* | Beta coefficient, which measures the risk of a specific stock relative to the overall stock market. In this case, the weekly beta observed over the past two years for Mediobanca was adopted, equal to 1.01. (Source: Information data provider). |

---

---

| | | |
|:---|:---|:---|
| *Rm -Rf* | *=* | Equity risk premium, which represents the additional return investors require for investing in equities rather than risk-free assets. In this case, the premium was determined to be 5.5%, consistent with long-term observations for an advanced economy. |

---

---

| | | |
|:---|:---|:---|
| *SRP* | *=* | Specific Risk Premium ("**SRP**"), an additional risk premium factor of 1.0%, related to the nature of the Engagement, which has been based on publicly available information without direct access to Mediobanca's *Management*. |

---

The valuations obtained were subjected to a sensitivity analysis concerning the cost of equity and the CET 1 Ratio Target*.*

**4.5** **Stock Market prices method** 

The Stock Market prices method estimates the fair value of a listed company by using market prices and market capitalization as key information. This approach relies on stock prices recorded over time periods deemed significant, assuming a strong correlation between the market prices of the shares under evaluation and their economic value.

According to this method, the stock prices of liquid shares listed on efficient markets serve as a reliable indicator of a company's value, as they tend to reflect all publicly available information about the company. The stock price levels result from a systematic market negotiation process that incorporates investors' expectations regarding the company's profitability, financial strength, risk profile, and growth prospects.

In this context, a company's stock prices are considered reliable when the reference markets exhibit a high level of efficiency, the stock is highly liquid, and the selected period is long enough to offset the impact of extraordinary events causing short-term fluctuations or speculative pressures. While Stock Market quotations represent market-driven values, they are subject to fluctuations—sometimes significant—due to market volatility.

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| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 23 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

For the specific case, this methodology was applied by referencing:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the official closing price of Mediobanca
 shares as of January 23, 2025, which was the last trading day before the date of the
 Announcement;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the average closing price of Mediobanca
 shares over the three months preceding January 23, 2025 (included).

The selection of these time horizons aims to incorporate sufficiently updated information on the Issuer's market conditions and broader financial market trends while mitigating potential short-term fluctuations by considering a sufficiently extended reference period.

**4.6** **Target Prices method** 

The Target Prices method determines the value of a company based on the price targets published by financial analysts covering the company. These values are obtained from research reports issued by specialized market analysts.

Target Prices represent value estimates based on assumptions regarding the future stock price performance on the market. They are obtained through various valuation methodologies, applied at the discretion of each research analyst.

In this case, the Target Prices for Mediobanca shares were considered as indicated by research analysts covering the Issuer and published after the release of Mediobanca's financial results as of September 30, 2024 (disclosed on November 11, 2024), and up to a date close to the issuance of this Report.

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 24 |

---

![](tm2518026d1_kpmglogo.jpg)

***Banca Monte dei Paschi di Siena S.p.A.***

*Report pursuant to Article 2343-ter, letter b) of the Italian Civil Code with reference to maximum no. 833,279,689 ordinary shares of Mediobanca – Banca di Credito Finanziario S.p.A. subject to possible contribution in kind within the framework of the voluntary total public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A.*

*March 2025*

---

| | |
|:---|:---|
| **5** | **Conclusions** |

---

Based on the considerations set out in our Report, taking into account the limitations and the main valuation difficulties outlined, and in light of the purpose of the Engagement, as of the date of this Opinion, based on the financial position as of December 31, 2024, and the elements and methodologies referenced above, we believe that the fair value of the Mediobanca Shares subject to potential Contribution within the framework of the Capital Increase to Service the Offer is no less than Euro 16.406 per share, *cum dividend*, or Euro 15.852 per share, *ex dividend*, the latter net of the estimated value of the Mediobanca 2025 Interim Dividend.

---

| | |
|:---|:---|
| Milan, March 14, 2025 |  |
| KPMG Advisory S.p.A. |  |
| /s/ Dario Maria Spoto | /s/ Salvatore Giugliano |
| Dario Maria Spoto | Salvatore Giugliano |
| Partner | Partner |

---

---

| | |
|:---|:---|
| *Translation from the Italian original which remains the definitive version. KPMG does not assume nor accept any responsibility for the correctness of the translation of the report. The Italian text shall prevail in the event of any differences or discrepancies with the English translation.* | 25 |

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![](tm2518026d1_ex99-18img01.jpg)

**<u>Annex D</u>**

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

***English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail***

**BANCA MONTE DEI PASCHI DI SIENA S.P.A.**

EXTRAORDINARY SHAREHOLDERS' MEETING

17 April 2025 (single call)

EXPLANATORY REPORT OF THE BOARD OF DIRECTORS

ON ITEM 1) ON THE AGENDA

prepared pursuant to Article *125-ter* of Legislative Decree No. 58 of 24 February 1998 as subsequently amended ("**TUF**") and pursuant to Article 70 of the regulation adopted by Consob by resolution No. 11971 of 14 May 1999 as subsequently amended ("**Issuers' Regulation**").

**PROPOSAL TO GRANT THE BOARD OF DIRECTORS, PURSUANT TO ARTICLE 2443 OF THE ITALIAN CIVIL CODE, THE POWER, TO BE EXERCISED BY 31 DECEMBER 2025, TO INCREASE THE SHARE CAPITAL IN ONE OR MORE TRANCHES, IN DIVISIBLE FORM, WITH THE EXCLUSION OF THE OPTION RIGHT PURSUANT TO ARTICLE 2441, PARAGRAPH FOUR, FIRST SENTENCE, OF THE ITALIAN CIVIL CODE, TO BE PAID IN BY CONTRIBUTION IN KIND, TO SERVE A VOLUNTARY PUBLIC OFFER BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. RELATING ALL THE ORDINARY SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI; SUBSEQUENT AMENDMENT TO ARTICLE 6 OF THE BY-LAWS; RELATED AND CONSEQUENT RESOLUTIONS.**

&nbsp;&nbsp;NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR I N ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 1 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

**EXPLANATORY REPORT OF THE BOARD OF DIRECTORS PREPARED PURSUANT TO ARTICLE 125-*TER* OF THE CONSOLIDATED LAW ON FINANCE (TUF) AND PURSUANT TO ARTICLE 70 OF THE ISSUERS' REGULATION**

Dear Shareholders,

the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. (the "**Bank**" or the "**Company**", or the "**Offeror**" or "**BMPS**") has convened an Extraordinary Shareholders' Meeting on 17 April 2025 at 10:00 a.m., in a single call, to submit for Your approval the above matter, placed under **item 1** of the agenda, concerning the proposal to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Bank's share capital in one or more tranches, in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code and with the issuance of a maximum number of 2,230,000,000 ordinary shares (the "**Maximum Share Amount**"), with regular dividend rights and having the same features as those outstanding at the issue date, whose issue price will be determined by the board of directors in accordance with the law, to be paid in through contribution in kind, to service the voluntary public exchange offer by BMPS for all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni (the "**Capital Increase Reserved to the Offer**"), announced on 24 January 2025 with the communication issued pursuant to articles 102, paragraph 1, of the Consolidated Law on Finance and 37 of the Issuers' Regulation (the "**Offeror's Communication**"), available on the Bank's institutional website at the following link (*<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*) and promoted on 13 February 2025 through the submission - pursuant to article 37-*ter* of the Issuers' Regulation - to Consob, *inter alia*, of the offer document prepared on the basis of scheme 2A of Annex 2 of the Issuers' Regulation which will be made available in the manner and within the timeframe prescribed by the applicable regulations, as per the subsequent press release published by BMPS on the same date, pursuant to article 37-*ter*, paragraph 3, of the Issuers' Regulation (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

The proposal to amend the By-laws concerning the granting of the delegation to the Board of Directors of BMPS, pursuant to Article 2443 of the Italian Civil Code, to increase the share capital of the Bank (the "**Delegation**") is described in this explanatory report (the "**Report**") in accordance with the provisions of Article 2441, paragraph 6, of the Italian Civil Code, Article *125-ter* of the TUF, Article 70 of the Issuers' Regulation and Annex 3A, Schedule No. 3 of the Issuers' Regulation. This Report, for the Shareholders' information, also includes some information on the proposed Capital Increase Reserved to the Offer, which is expected to be executed upon exercise of the Delegation, taking into account the provisions of Schedule 3A, scheme No. 2 of the Issuers' Regulation.

\* \* \* \* \*

**1.** **DESCRIPTION OF THE TRANSACTION AND RATIONALE OF THE PROPOSAL TO GRANT THE DELEGATION** 

The Board of Directors of the Bank, on 23 January 2025 (having obtained the favourable, reasoned and binding opinion of the Committee for Related Party Transactions, issued on the same date and made available by in the manner and within the timeframe prescribed by applicable laws), resolved to promote a voluntary public exchange offer (the "**VEO**" or the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of the TUF, concerning all the ordinary shares

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 2 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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issued by Mediobanca - Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), a company with shares listed on Euronext Milan ("**Euronext Milan**"), a regulated market organised and managed by Borsa Italiana S.p.A., including the treasury shares held by Mediobanca. The Offer was announced to the market and to Consob on 24 January 2025 by means of the Offeror's Communication and by means of a specific press release disseminated pursuant to article 17 of Regulation (EU) No. 596/2014 (available on the Bank's institutional website at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

As explained in greater detail in the Offeror's Communication (to which full reference is made and, in particular, to paragraphs 1.2 and 1.3), BMPS decided to launch the Offer for the acquisition of Mediobanca with the aim of creating a new Italian banking champion through the union of two of the most distinctive brands in the financial services market.

BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and presents significant value creation for the shareholders of both companies and for all stakeholders.

The combination with Mediobanca, to the extent that it is completed, will create the third largest national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets and a highly diversified player, resilient, with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the ability to compete with the main Italian and European banking institutions, through the full development of existing human capital.

In a market currently experiencing a phase with a high level of consolidation, BMPS intends to play an active role, and this potential combination represents a unique opportunity to strengthen its positioning in specific areas and key sectors, as well as to better seize future growth options. This will increase support to households and businesses, by strengthening overall support to the former, both in terms of financing needs and savings protection and management, and by supporting the latter to capture growth opportunities at domestic and international level. The resulting benefits will also be enjoyed by the territories and the entire Italian economy.

The new group will be able to rely on the distinctive skills of Mediobanca in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance, and of BMPS in the areas of Retail and Commercial Banking. Furthermore, the stake held in Assicurazioni Generali will also positively contribute to the diversification of the new Group's revenues and will be managed in the same way as the other lines of business*,* according to a careful discipline for capital optimization and a strong risk-adjusted profitability approach.

The combination will offer employees of each institution the opportunity to develop their careers within a larger organization, enhancing their talent through opportunities for mutual enrichment and integration. At the same time, it will help attracting new high-profile resources, enhancing their skills and professionalism with the aim of consolidating a sustainable and competitive growth model.

The combination is entirely consistent with BMPS' strategic guidelines as defined in the 2024-2028 business plan and will enable significant revenue growth and major cost and funding synergies, to be achieved by means of a smooth implementation process.

In terms of revenues, the transaction will allow for the generation of synergies of approximately Euro 0.3 billion per year, thanks to the enrichment of the range of products and services for families and businesses, the development of an integrated offer to the respective customer bases, and an increase in penetration and expansion of the target markets. In particular, by:

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 3 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;· Retail Banking – introducing
 BMPS' products to the customer base of Compass Banca S.p.A. ()"**Compass** ")
 and Mediobanca Premier S.p.A. ()"**Premier** "), with the support of the BMPS
 branch network, to facilitate a scalable provision of services and deeper market penetration.
 By way of example, the growth levers include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Accounts and Cards –
 with respect to the so-called daily banking;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Mortgages – by leveraging the proven
 commercial capability of the BMPS network, also in meeting the needs of customers with respect
 to the relevant insurance products;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Bancassurance –
 by extending the insurance offer to Premier customers;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;o Consumer Finance – by expanding
 the distribution activity leveraging on the BMPS branch network, enriching the offer with
 insurance products and by expanding the value proposition cross-border towards new markets;

&nbsp;&nbsp;&nbsp;&nbsp;· Private Banking – extending
 Mediobanca's best practice to BMPS customers, also through Mediobanca's asset
 management products (*e.g.*, alternative investments);

&nbsp;&nbsp;&nbsp;&nbsp;· Asset Gathering – integrating
 Mediobanca Premier and Widiba to create a network of financial advisors at scale to compete
 with the key players, supported by a distinctive digital platform, with the introduction
 of an integrated range of asset management products and enhancing BMPS capabilities in insurance;

&nbsp;&nbsp;&nbsp;&nbsp;· Corporate & Investment Banking
 – combining BMPS' balance sheet potential with Mediobanca's Investment
 Banking activity and by initiating a development program to support the growth of companies
 throughout the country. Similarly, by leveraging Mediobanca's specialized experience
 in Advisory and Markets for widespread distribution to BMPS' corporate customers.

At the same time, the transaction will generate significant cost synergies in terms of administrative expenses, and will allow for the targeted optimization of overlapping functions. In addition, savings will be derived from the rationalization of the combined investment plan of the two banks, thus avoiding duplication of investments in the areas subject to the combination.

The expected savings amount to approximately Euro 0.3 billion per year. By way of example, the levers include:

&nbsp;&nbsp;&nbsp;&nbsp;· the centralization of procurement
 from large suppliers and the extension of best practice in terms of cost governance;

&nbsp;&nbsp;&nbsp;&nbsp;· the optimization of IT investments
 and digital transformation for shared areas, for example for the BMPS consumer finance platform;

&nbsp;&nbsp;&nbsp;&nbsp;· the optimization of wealth management
 support activities for both Private Banking and Asset Gathering;

&nbsp;&nbsp;&nbsp;&nbsp;· the combined development of the platform
 for Corporates as well as optimization of the product factories (*e.g.*, MBFACTA and
 MPS Factoring);

&nbsp;&nbsp;&nbsp;&nbsp;· the deletion of duplications in central
 functions, both in operational and resource terms.

Furthermore, the combination will allow synergies in funding to be realized for approximately Euro 0.1 billion per year due to a more balanced funding mix, leveraging BMPS' commercial funding capacity and optimizing the combined entity's wholesale funding position.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 4 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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The industrial project, characterized by the significant complementarity of the two business models (which significantly reduces the execution risk), will be carried out with a straightforward integration and one-off integration costs estimated at approximately Euro 0.6 billion before taxes, expensable in the first year.

The transaction also aims to accelerate the utilization of Deferred Tax Assets ("**DTA**") held by BMPS, by leveraging a higher consolidated tax base and recording Euro 1.3 billion of DTA (currently off-balance sheet) on the balance sheet, bringing the total to Euro 2.9 billion. Over the next six years, the utilization of these DTA will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net result.

The combined group will be strengthened, with a diversified revenue stream and a strong resilience capable of successfully competing in different scenarios, while also enabling significant value creation for all shareholders, supported by higher profitability compared to the standalone businesses and able to generate a double-digit growth in earnings per share.

Shareholders will benefit from a dividend policy that is sustainable over time, with growth in the dividend per share, while confirming BMPS' solid capital position (pro-forma Common Equity Tier 1 ratio of approximately 16% upon completion of the transaction).

Finally, the sustainability strategies of the two banks will be consolidated, by leveraging their respective ESG capabilities to strengthen the positioning of the combined entity and promote commitment to the communities and regions where they operate.

BMPS' high governance standards will be maintained throughout the entire combination process and beyond, ensuring transparency, accountability, and a balanced approach that respects all stakeholders, thus contributing to the creation of a sustainable and competitive long-term model.

Subject to the following, the Offer envisages that, for each share of Mediobanca tendered to the Offer, BMPS will offer a unitary consideration represented by 2.300 newly issued ordinary shares of BMPS (the "**Consideration**") deriving from the Capital Increase Reserved to the Offer.

As indicated in the Offeror's Communication, the Offer's Consideration may be subject to adjustment. In particular*,* it is provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror were to pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders or, in any event, the coupon relating to dividends resolved but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the shares of MPS, the Consideration shall be adjusted to take account of the dividend distributed (or the related interim dividend) or the reserve distributed*". In addition, the Offeror's Communication provides for further scenarios for the adjustment of the Consideration and, specifically, any operation on the share capital of the Issuer and/or on the Mediobanca shares, while in any case the Offeror retains the right to avail itself (or to waive its right to avail itself) of the relevant condition of effectiveness, where applicable, in relation to such individual event.

In light of the above, it should be noted that, on 6 March 2025, the Board of Directors of BMPS resolved to propose to the ordinary Shareholders' Meeting of the Bank the allocation of a total of Euro 1,083 million deriving from the net profit resulting from the draft financial statements as of 31 December 2024 (equal to Euro 1,923 million), to its Shareholders, as a dividend corresponding to Euro 0.86 per share. The dividend, subject to its approval by the shareholders' meeting, will be paid on 21 May 2025, with an ex-dividend date on 19 May 2025 (record date 20 May 2025).

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 5 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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Furthermore it should be noted that, on 10 February 2025, Mediobanca's Board of Directors announced to the market - on the occasion of the approval of Mediobanca's half-yearly report as of 31 December 2024 - the distribution of an interim dividend to its shareholders in May 2025 (and the corresponding balance in November 2025). In the event that the coupon of the aforesaid interim dividend (and the corresponding balance) is actually detached or the interim dividend (and the corresponding balance) is paid before the payment date of the Offer, the Offer's Consideration will be consequently and consistently adjusted to take this circumstance into account.

Separately, and in any event, the Offer's Consideration may be further adjusted upon the occurrence of the other events indicated in the Offeror's Communication and mentioned above.

Finally, in the event that the Board of Directors of Mediobanca, in execution of the delegation granted by the extraordinary Shareholders' Meeting of the Issuer on 28 October 2024, proceeds - prior to the payment date of the Offer - with the cancellation of the treasury shares purchased in execution of the authorization from the same ordinary Shareholders' Meeting of Mediobanca on 28 October 2024, and/or any transactions to reduce the number of outstanding Mediobanca shares and/or the payment of the interim dividend or the related balance thereof, and subject to adjustments and/or modifications relating to the content and/or structure of the Offer, it will not be necessary to issue the entire Maximum Share Amount.

The Capital Increase Reserved to the Offer to which the Delegation proposal refers is therefore aimed at the issuance of BMPS ordinary shares to be offered as consideration for the Mediobanca shares tendered in acceptance of the Offer even if potentially adjusted and/or amended. In fact, the acceptance of the Offer by the Mediobanca's shareholders entails, from a technical-legal point of view, the contribution in kind of ordinary shares of Mediobanca in favour of BMPS, in exchange for the subscription of the Capital Increase Reserved to the Offer, which is, therefore, an essential prerequisite of the Offer.

The proposal to grant the Delegation to the Board of Directors of BMPS, which is the subject matter of this Report, is therefore functional and instrumental to the Offer announced by BMPS with the Offeror's Communication and promoted on 13 February 2025 through the filing of the offer document with Consob.

As described in the Offeror's Communication, the VEO may only commence, *inter alia*, subject to and following: *(i)* the approval by the extraordinary Shareholders' Meeting of BMPS of the proposal of Delegation (to which this Report refers) and *(ii)* the resolution, by the Board of Directors, of the aforesaid Capital Increase Reserved to the Offer in the context of the exercise of the Delegation; all subject to the obtaining of the authorisations described in Paragraph 1.4 of the Offeror's Communication (see also Paragraph 15 below).

The proposal to grant the Board of Directors with the Delegation is justified by the fact that this instrument is more suitable to ensure flexibility, compared to the capital increase resolution directly passed by the Shareholders' Meeting, necessary to determine the terms and conditions of the capital increase transaction for the purpose of a public exchange offer and, consequently, to respond to and adapt to the features of the Offer, even if potentially adjusted and/or amended. As confirmed in previous cases with structures comparable to the Offer, as well as in similar ongoing transactions, the Delegation instrument also allows to more efficiently coordinate the requirements provided for by the regulations laid down in the Italian Civil Code on the execution of the capital increase to be paid in kind, with the rules provided for by the TUF and the Consob implementing regulations for the promotion, the execution and the completion of a voluntary public exchange offer; this with particular reference to the possible use of the Delegation, upon completion of the Offer, also for the purpose of fulfilling the sell-out pursuant to article 108, paragraphs 1 and

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 6 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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2, of the TUF and/or the potential exercise of the squeeze-out right in connection with the remaining shares of BMPS pursuant to Article 111 of the TUF, where applicable.

Based on the contents of the Offer and taking into account: (i) the amount of the dividend proposed by BMPS, although not yet approved by the Shareholders' Meeting (equal to Euro 0.86 per share), (ii) a maximum amount of No. 16,178,862 additional shares (the "**Additional Shares**") that may be issued by Mediobanca to serve long-term share-based incentive plans (the "**Incentive Plans**" or the "**Plans**")<sup>1</sup> (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, and provided that some of them include the possibility to use Mediobanca's treasury shares in portfolio instead of the Additional Shares, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans), and (iii) the fact that, as of the date of this Report, Mediobanca's Board of Directors has not yet resolved upon the distribution of the interim dividend to its shareholders (as already announced by Mediobanca on 10 February 2025) and the cancellation of the treasury shares in portfolio, the Board of Directors of BMPS, based on the contents of the Offer, for the sake of utmost caution, and according to a highly conservative approach, resolved that the maximum number of BMPS shares to be issued to serve the Offer will be equal to No. 2,230,000,000.

Therefore, in light of the foregoing, it should be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors, pursuant to this Report, may be reduced as a result of the distribution of the interim dividend (and the corresponding balance), the potential cancellation of treasury shares by Mediobanca, and the allotment of treasury shares to the beneficiaries of the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans), in lieu of the Additional Shares (without prejudice to the applicable legal and regulatory provisions governing the aforementioned Plans), if these events occur before the Offer payment date.

The Delegation proposal, therefore, provides that the Capital Increase Reserved to the Offer may be resolved upon by the Board of Directors by 31 December 2025, also in one or more tranches and in divisible form, for an amount equal to Euro 5.917 for each newly issued share (amount corresponding to the implied nominal value, rounded to the third decimal number, of BMPS shares currently issued, as recorded on the date of this Report)<sup>2</sup> and, therefore, subject to the following paragraphs, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and for an amount of share capital equal to maximum amount of Euro 13,194,910,000*,* plus any share premium.

The proposed Delegation entails by law the exclusion of the option right pursuant to Article 2441, paragraph four, first sentence of the Italian Civil Code (in the event of a share capital increase to be paid up through contributions in

<sup>1</sup> Based on publicly available information, the following long-term share-based Incentive Plans approved by and which could be served, in whole or in part, by newly issued Mediobanca shares approved by the Issuer itself are currently in place:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. 2015 Performance Shares Plan, approved
 by the ordinary Shareholders' Meeting of Mediobanca on 28 October 2015 (and updated
 by the ordinary shareholders' meeting on 28 October 2019);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. Long Term Incentive Plan 2019-2023,
 approved by the ordinary Shareholders' Meeting of Mediobanca on 28 October 2019;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Long Term Incentive Plan 2023-2026,
 approved by the ordinary shareholders' meeting of Mediobanca on 28 October 2023;
 and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. 2023-2026 Broad-Based Share Ownership
 and Co-investment Plan, approved by the ordinary shareholders' meeting of Mediobanca
 on 28 October 2023.

<sup>2</sup> The implied nominal value is calculated as the ratio of the current share capital of BMPS to the number of currently issued shares.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 7 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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kind), as the newly issued shares of BMPS will be subscribed and paid up through the contribution to BMPS of the shares of Mediobanca tendered to the Offer and will therefore be reserved to the participants to the Offer.

Without prejudice to all the powers and prerogatives of the Board of Directors regarding the transaction (including, for the sake of clarity only, the ability to adjust and/or amend the content and/or structure of the Offer and/or identify different and/or additional methods for its execution), it is hereby acknowledged that, the number of new shares to be issued upon the exercise of this Delegation will depend on the level of actual acceptances collected during the Offer and/or, subject to compliance with the above-mentioned maximum amount, also due to any above-mentioned changes that may be made to the Offer in accordance with applicable regulations.

Finally, it should be noted that, in relation to the proposed Capital Increase Reserved to the Offer, the measures and safeguards set forth in the "*Regulation of Related Party Transactions*", adopted by Consob resolution No. 17221 of 12 March 2010, as amended and supplemented (the "**RPT Regulation**"), and in the "*Group Regulation on the management of prescriptive compliance with related parties, related subjects and Bank officers' obligations*" (the "**BMPS Regulation**"), adopted by the Board of Directors of BMPS in compliance with the RPT Regulation, as well as with the Bank of Italy Circular No. 285/13, Part Three, Chapter 11 and subsequent amendments and additions, on the subject of risk activities and conflicts of interest with respect to connected parties. This is because certain persons with shareholdings, over 3%, in Mediobanca also hold significant shareholdings (*i.e.,* higher than 3%) in BMPS and, therefore, fall under the definition of "discretionary" related parties. The procedure provided for in the RPT Regulation and the BMPS Regulation was duly carried out and concluded with the issue of a favourable opinion on the fairness and substantive and procedural correctness of the Offer and, in particular, of the Capital Increase Reserved to the Offer, issued by the BMPS Related-Party Transactions Committee, composed of independent directors. For a complete disclosure of the activities carried out, please refer to the information document prepared pursuant to Article 5 of the RPT Regulation, published on the Bank's institutional website *<u>https://www.gruppomps.it/en/</u>*.

The Related Party Transactions Committee, in addition to the aforementioned opinion, was then once again involved with reference to the capital increase proposal to be submitted to the Shareholders' Meeting convened for 17 April 2025 in order, among other things, to verify its consistency with the terms and conditions of the Offeror's Communication. During this discussion, having pointed out that, as of the date of this report, no changes had occurred with respect to what had already been set forth in the opinion issued on 23 January 2025. The Committee for Related Party Transactions will therefore continue to monitor the progress of the overall transaction.

**2.** **CRITERIA FOR THE DETERMINATION OF THE EXCHANGE RATIO BETWEEN BMPS SHARES AND MEDIOBANCA SHARES AND FOR THE CONSEQUENT DETERMINATION OF THE MAXIMUM NUMBER OF NEWLY ISSUED BMPS SHARES** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.1. Preamble**

The Offeror's Communication provides that BMPS shall offer to the participants to the VEO, for each 10 Mediobanca shares tendered to the Offer, as the Offer's Consideration, No. 23 newly issued BMPS ordinary shares having the same features as the currently outstanding BMPS ordinary shares: this is equivalent to a ratio of No. 2,300 newly issued BMPS ordinary shares for each Mediobanca share tendered to the VEO, subject to the provisions of paragraph 5 below with reference to the treatment of fractional shares deriving from the exchange.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 8 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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The aforementioned exchange ratio was determined by the Board of Directors of BMPS based on their own assessments and considerations, carried out with the advice and support of its financial advisors, and as indicated in the Offeror's Communication, the Consideration has been determined on the assumption that, prior to the payment date of the Offer: (x) neither the Issuer nor the Offeror will approve or give effect to any ordinary (including interim dividends) or extraordinary distribution of dividends drawn from profits and/or other reserves; and (y) the Issuer will not approve or give effect to any transaction involving its share capital and/or Mediobanca shares.

Any adjustment to the Consideration as a result of the foregoing will be disclosed in the manner and within the timeframes prescribed by the applicable law.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.2. Valuation criteria selected by the Directors to determine the exchange ratio**

For the purposes of the Offer, in light of the nature of the Consideration, represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Issuer tendered in acceptance of the Offer, the Board of Directors of BMPS proceeded to carry out a valuation of the shares of Mediobanca and of BMPS with a view to expressing an approximate estimate of their values, on the basis of publicly available data and information. The considerations and estimates made are therefore to be understood in general terms and with limited reference to the Offer. The valuation analyses performed by the Board of Directors in order to determine the exchange ratio were carried out from a comparative perspective and prioritising the principle of relative homogeneity and comparability of the valuation methodologies applied.

The valuation methodologies and the resulting economic values of the shares of Mediobanca and of BMPS were identified for the purpose of determining the number of BMPS shares to be issued to service the VEO, based on its outcome. Under no circumstances are such valuations to be considered as possible indications of market price or value, either current or prospective, in any context other than the one under consideration.

The evaluations conducted by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the date of the announcement of the VEO (the "**Reference Date**") and to the patrimonial-economic and financial situation of BMPS and Mediobanca as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results to the financial community.

In particular, the BMPS Board of Directors decided to use, for the purpose of the determination of the Consideration:

- the Stock Market Price Method;

- the market multiples method in the variant of the stock market price of comparable listed companies on their prospective earnings; and

- the target price methodology highlighted by research analysts.

The choice of the methodologies and the results of the valuation analyses carried out by BMPS as at the Reference Date for the purpose of determining the exchange ratio must be interpreted in light of the ratio presented the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the
 Bank used exclusively public data and information for the purposes of its analyses;

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 9 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Bank has did not perform any financial,
 legal, commercial, tax, industrial or any other due diligence activities on Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) as at the reference date, an updated
 business plan for Mediobanca with a time horizon consistent with that of BMPS was not publicly
 available. Accordingly, where relevant to the application of the valuation methods, the projections
 of future economic performance used for BMPS were inferred on the basis of the estimates
 of the 2024-28 Business Plan while, for Mediobanca, were derived on the basis of the estimates
 provided by research analysts;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) the analyses conducted reflect the peculiarities
 of valuation methodologies, whose reliability is inherently limited by a number of factors.

The following is a summary description of each of the methodologies used to determine the Offer's consideration:

&nbsp;&nbsp;&nbsp;&nbsp;(a) <u>Stock Market Price Method</u>: the
 Stock Market Price Method uses market prices as the relevant information for estimating the
 economic value of companies, using for this purpose the stock market prices expressed in
 share prices recorded in intervals of time deemed significant and on the assumption that
 there is a correlation between the prices expressed by the market for the shares of the companies
 being valued and their economic value. The main characteristic of this methodology lies in
 the possibility of expressing in relative terms the relationship existing between the values
 of the companies in question as perceived by the market.

In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the announcement date (*i.e.*, 24 January 2025).

The following table shows (i) the implied exchange rates and (ii) the premiums that the Consideration incorporates based on the BMPS and Mediobanca Weighted Average Prices recorded on the Reference Date and in the periods indicated below prior to the Reference Date (included).

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|:---|:---|:---|:---|:---|
| | **Weighted Average Price (Euro)** | **Weighted Average Price (Euro)** | | |
| <br>**Reference Period** | **BMPS** | **Mediobanca** | **Implied Exchange**<br>**Ratio (x)** | **Implied Premium vs.**<br>**Market Prices** |
| Values based on the prices as of 23 January 2025 | 6.953 | 15.227 | 2.190 | 5.03% |
| Values based on the weighted average prices over 1 month (including 23 January 2025) | 6.954 | 14.795 | 2.127 | 8.11% |
| Values based on the weighted average prices over 2 months (including 23 January 2025) | 6.547 | 14.363 | 2.194 | 4.84% |
| Values based on the weighted average prices over 3 months (including 23 January 2025) | 6.099 | 14.508 | 2.379 | (3.31)% |

---

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 10 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| Values based on the weighted average prices over 6 months (including 23 January 2025) | 5.567 | 14.703 | 2.641 | (12.91)% |
| Values based on the weighted average prices over 12 months (including 23 January 2025) | 4.724 | 13.928 | 2.948 | (21.99)% |

---

&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Market Multiples Method</u>: according
 to the Market Multiples Method, the value of a company is determined by taking as a reference
 the indications provided by the stock market with regard to companies with similar characteristics
 to the company being valued.

The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time).

The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations.

It should be noted that, given the differences between the business models of BMPS and Mediobanca, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purpose of the evaluation of BMPS, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purpose of the evaluation of Mediobanca, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration.

The market multiples were applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date).

The following table shows the Price/Projected Earnings multiples for 2025 and 2026 of the selected companies as of the Reference Date, based on the consensus estimates of research analysts for 2025 and 2026, as provided by the information provider FactSet as of the Reference Date. For illustrative purposes and

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 11 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

completeness, the table also shows the multiples of Mediobanca based on the prices as of the Reference Date and on the implied valuation of the Consideration based on the BMPS price as of the Reference Date.<sup>3</sup>

---

| | | |
|:---|:---|:---|
| | **Projected Price/ Earnings** | **Projected Price/ Earnings** |
| <br>**Comparable Companies** | **2025** | **2026** |
| Intesa Sanpaolo | 8.2 x | 8.1 x |
| UniCredit | 7.5 x | 7.6 x |
| Banco BPM | 8.4 x | 8.6 x |
| BPER | 7.2 x | 7.1 x |
| Credito Emiliano | 7.8 x | 8.1 x |
| Banca Popolare di Sondrio | 8.8 x | 9.3 x |
| FinecoBank | 18.6 x | 17.8 x |
| Banca Generali | 15.3 x | 14.7 x |
| Banca Mediolanum | 10.7 x | 10.7 x |
| **Mediobanca** | **9.6** **x** | **9.2** **x** |
| **Mediobanca at the Offer's Consideration** | **10.0** **x** | **9.7** **x** |

---

For the purposes of the valuation analysis of the Issuer, in light of the fact that a significant portion of the Issuer's profitability is generated by the qualified shareholding in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company is listed, the market valuation has been used in this regard.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Research analysts' target price method</u>: the target price method determines the value of a company based on the
 target prices that financial analysts publish on the company. Target prices are indications
 of value that express an assumption about the price that a share can reach on the stock market
 and are derived from multiple valuation methodologies used at the discretion of the individual
 research analyst.

For the purpose of applying the target price methodology, the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September

<sup>3</sup> The content of the above table does not imply any judgment by BMPS on any of the banking companies listed therein, except for Mediobanca, nor does it represent any opinion regarding investment or divestment evaluations related to any financial instrument or security.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 12 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used.

The valuation methodologies described above have been applied on an individual and business continuity basis for both the Bank and Mediobanca and also taking into account the specific features of the Offer.

In order to determine the exchange ratio, ranges of values were identified for each valuation method, *i.e.*: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, for (ii) the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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| | | |
|:---|:---|:---|
| | **Implied exchange ratio** | **Implied exchange ratio** |
| <br>**Methodology** | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market Multiples Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937x | 2.621x |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880x | 2.543x |
| <u>Target price method highlighted by research analysts</u> | 2.046x | 2.433x |

---

Finally, it should be noted that, the Board of Directors of BMPS has mandated the firm appointed for the statutory audit of BMPS' accounts, PricewaterhouseCoopers S.p.A. ("**PwC**"), to prepare, on a voluntary basis and according to the criteria indicated in the ISAE "*3000 revised*" – *limited assurance appointment*, a report regarding the adequacy, in so far as is reasonable and nondiscretionary, of the criteria adopted by the same Board for determining the exchange ratio in the context of the VEO, in accordance with the national and international valuation practice and professional techniques applicable to transactions of this nature.

Concurrently with the publication of this Report, the aforementioned PwC report, prepared on a voluntary basis, will also be made available to the public, for the purpose of providing more complete and accurate information to BMPS' shareholders, in view of their extraordinary Meeting. Therefore, reference is made to the aforementioned report for any further information on this matter.

**3.** **DETERMINATION OF THE ISSUE PRICE OF THE NEWLY ISSUED SHARES, ENVISAGED ALLOTMENT RATIO** 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 13 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

The issue price of the BMPS shares to be issued in the context of the Capital Increase Reserved to the Offer will be determined by the Board of Directors when exercising the Delegation, pursuant to and in accordance with article 2441, paragraph 6 of the Italian Civil Code.

Furthermore, when exercising the Delegation, whether it is granted, and subject to the limitation constituted by the value that the Independent Expert, in its appraisal or updates thereto, has attributed or will attribute to the Mediobanca shares to be contributed pursuant to Articles 2440, paragraph 2 and 2343-*ter* of the Italian Civil Code, the Board of Directors of BMPS will determine the portion of the issue price that will be allocated to the share capital and the portion of the issue price that will be allocated to the share premium reserve, with the clarifying note that, as indicated in Paragraph 1: (i) in connection with the portion of the issue price to be allocated to share capital, it will be equal to Euro 5.917 for each newly issued BMPS share (an amount corresponding to the implied nominal value, rounded to the third decimal place, of the currently issued BMPS shares as recorded on the date of this Report), and therefore, for the Maximum Share Amount (*i.e.*, a maximum amount of No. 2,230,000,000 BMPS shares) and a share capital amount of up to Euro 13,194,910,000, in addition to any share premium, and (ii) the remaining portion of the issue price will be allocated to the share premium reserve.

It should be noted that, in accordance with the applicable international accounting standards, the increase in BMPS' net equity, which will be recorded in accounting terms, will not be based on the issue price determined by the Board of Directors when exercising the Delegation; instead, it will correspond to the fair value of BMPS shares that will be assigned to those who accept the Offer; this fair value will correspond to the stock market price of BMPS shares on the date the exchange is made with Mediobanca shares tendered in acceptance of the Offer.

It should be noted that PwC, as the company entrusted with the statutory audit of BMPS' accounts, has been appointed and will issue its fairness opinion on the issue price of the BMPS shares to be offered in the Offer, pursuant to Article 2441, paragraph six, of the Italian Civil Code and Article 158 of the TUF. Therefore, on the occasion of exercising the Delegation for the Capital Increase Reserved to the Offer, PwC will issue the aforementioned fairness opinion on the issue price of the BMPS shares to be offered in exchange as part of the Offer.

Pursuant to Article 70, paragraph 7 of the Issuers' Regulation, the mentioned PwC opinion will be made available to the public within the terms and in the manner prescribed by law.

**4.** **VALUATION OF THE CONTRIBUTED ASSETS REFERRED TO IN THE APPRAISAL PURSUANT TO ARTICLES 2440, PARAGRAPH 2, 2343- *TER*, PARAGRAPH 2, LETTER B) AND 2343- *TER*, PARAGRAPH 2, LETTER B) OF THE ITALIAN CIVIL CODE. B), AND 2343- *QUATER*, OF THE ITALIAN CIVIL CODE.** 

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an expert. In this regard, with a view to the exercise of the Delegation, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter* (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4) of the Italian Civil Code for the purpose of the valuation of the Mediobanca shares subject to the contributions in kind.

These rules make it possible not to require a sworn appraisal of the assets transferred to be prepared by an expert, appointed by the Court in the district where the transferee company has its registered office, in the event that, pursuant

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 14 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

to article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to transferred is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the transferor or over the company itself, and is endowed with adequate and proven professionalism*".

The Bank has entrusted this task to KPMG Corporate Finance, a division of KPMG Advisory S.p.A. (the "**Independent Expert**"), which, on 14 March 2025, issued its report on the valuation of Mediobanca's shares, which was made available to the public at the same time of this Report, and according to the procedures provided for by the laws and regulations in force, for the purpose of providing more complete and timely information to BMPS members in view of the Shareholders' Meeting (available on the Bank's website, in the Corporate Governance – Shareholders' Meetings and BoD section, at *<u>https://www.gruppomps.it/en/</u>* as well as at the following link *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange-offer.html</u>*).

The decision to use, in line with market practice in the case of public exchange offers, a valuation carried out by an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b), of the Italian Civil Code, was also justified by the need to evaluate the contribution of a significant block of Mediobanca shares and not of individual listed securities.

In the appraisal of the Independent Expert, to which full reference is made, he concluded that as of 14 March 2025, based on the financial position as of 31 December 2024, and on the elements and methods outlined in such document, the fair value of Mediobanca shares was not less than Euro 16,406 for each Mediobanca shares *cum dividend*, or equal to Euro 15,852 per each Mediobanca share, *ex dividend*.

That being said, also in order to ensure that the Independent Expert's report refers to a date no more than six months prior to the contribution, in compliance with Article 2343*-ter*, second paragraph, letter b), of the Italian Civil Code, it cannot be ruled out that, close in time to the execution of the Delegation, BMPS' Board of Directors may request an update to the aforesaid report that reflects, in its assessment, updated information on Mediobanca and on the economic and market situation.

For all other aspects relating to the manner in which the contributions in kind were made and the Independent Expert's report, please refer to the applicable legal provisions and, in particular, Articles 2343-*ter*, 2343-*quater* and 2443, paragraph 4, of the Italian Civil Code.

**5.** **INDICATION OF THE NUMBER, DIVIDEND ENTITLEMENT DATE AND ISSUE PRICE OF THE NEW SHARES SUBJECT TO THE CAPITAL INCREASE IN KIND** 

As illustrated in Paragraph 1 above, upon the exercise of the Delegation by the Board of Directors, whether it is granted, the Capital Increase Reserved to the Offer will cover the Maximum Share Amount and, therefore, an amount of BMPS share equal to maximum No. of 2,230,000,000 to be issued and paid up by means of a contribution in kind to BMPS of the shares of Mediobanca tendered in acceptance of the Offer; in accordance with the above, based on the exchange ratio indicated in the Offeror's Communication, the newly issued BMPS shares to be issued through the contribution in kind of Mediobanca shares correspond to 23 BMPS shares for each 10 Mediobanca shares tendered to the Offer.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 15 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

If the result of the application of the exchange ratio for the Mediobanca shares tendered to the Offer is not a whole number of newly issued BMPS shares, it is expected that the intermediary in charge of coordinating the collection of acceptances of the Offer will aggregate the fractional units of BMPS shares pertaining to the accepting parties and will subsequently sale on Euronext Milan the whole amount of BMPS shares resulting from such aggregation, for the purpose of the overall balancing of the transaction. Further information on the treatment of the fractional unit will be provided in the offer document, which will be made available to the public following Consob's approval, in the manner and within the terms provided by applicable laws and regulations.

It should also be noted that, the Maximum Share Amount subject to the Delegation to the Board of Directors referred to in this Report has been increased from No. 1,916,543,285 (as reported in the Offeror's Communication) to No. 2,230,000,000, also for the purpose of ensuring coverage for all the following possible scenarios, according to a highly conservative approach: (i) the proposed distribution of the BMPS' dividend (equal to Euro 0.86 per share) for the fiscal year ended 31 December 2024, recently approved by the BMPS' Board of Directors and not yet approved by the BMPS Shareholders' Meeting, and (ii) the hypothetical issuance of a maximum amount of No. 16,178,862 Additional Shares (in the event that the Incentive Plans are revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although certain Plans provide the possibility of using – instead of the Additional Shares – Mediobanca treasury shares in portfolio, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans).

Lastly, it is important to mention that, the aforementioned Maximum Share Amount does not take into account, by way of example, the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the relevant balance and/or the possible cancellation by Mediobanca of treasury shares. The occurrence of such circumstances would not make it necessary to issue the entire Maximum Share Amount.

The ordinary shares of BMPS, which will be issued following the exercise of the Delegation, will have the same dividend entitlement as the ordinary shares of BMPS outstanding as of the date of the relevant issue and, therefore, will grant their holders the same rights as the shares of BMPS already outstanding at the time of the issue and will be admitted to trading on Euronext Milan as of the date of payment of the consideration under the Offer. The issue price of the BMPS shares that will be offered in the context of the Offer (including the relevant share premium) will be determined by the Board of Directors when exercising the Delegation, pursuant to Article 2441, paragraph 6 of the Italian Civil Code.

**6.** **STRUCTURE OF THE COMPANY'S INDEBTEDNESS** 

The contribution of the shares of Mediobanca subject to the Offer is not expected to have any impact on the structure of BMPS' financial indebtedness.

**7.** **INFORMATION ON THE RESULTS OF THE LAST FINANCIAL YEAR AND GENERAL INDICATIONS ON THE DEVELOPMENT OF OPERATIONS AND THE FORESEEABLE CLOSURE OF THE CURRENT FINANCIAL YEAR** 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 16 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

On 17 April 2025, the ordinary Shareholders' Meeting of BMPS is called upon to approve the financial statements for the year ending 31 December 2024 and the distribution of the dividend. Please refer to the report of the Board of Directors with reference to items 1.1 and 1.2 on the agenda of the Shareholders' Meeting (Ordinary part), and to the related annexes - made available to the public in accordance with applicable regulations - for complete information on the results (including consolidated results) of BMPS for the year ended 31 December 2024, as well as for information on the operating performance for the current year, the foreseeable closure of the latter and the proposed dividend distribution.

**8.** **UNDERWRITING AND/OR PLACEMENT SYNDICATES** 

In relation to the Capital Increase Reserved to the Offer, since it is a share capital serving a public exchange offer, no underwriting and/or placement syndicates are envisaged.

**9.** **ANY OTHER FORMS OF PLACEMENT ENVISAGED** 

No other forms of placement are envisaged.

**10.** **SHAREHOLDERS WHO HAVE EXPRESSED THEIR WILLINGNESS TO SUBSCRIBE TO THE NEWLY ISSUED SHARES** 

The subscription of the Capital Increase Reserved to the Offer may only occur as a result of the acceptance of the Offer itself, once the acceptance period has commenced, which, pursuant to Article 40, paragraph 2, letter b), of the Issuers' Regulation, will be agreed upon with Borsa Italiana and will last between a minimum of 15 and a maximum of 40 trading days, unless extended.

As of the date of this Report, there are no Mediobanca shareholders who have expressed their willingness to subscribe to BMPS shares as a result of their acceptance of the Offer.

**11.** **TAX IMPLICATIONS OF THE TRANSACTION ON THE COMPANY** 

The contribution of the shares of Mediobanca subject to the Offer does not entail any tax burden whatsoever on BMPS as the contributing issuer.

**12.** **SHAREHOLDING STRUCTURE OF THE COMPANY FOLLOWING THE CAPITAL INCREASE IN KIND** 

In light of the nature of the Capital Increase Reserved to the Offer and of the variables connected to the results of the VEO itself, it is not possible to predict the composition of BMPS' shareholding structure at the end of the execution of such capital increase.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 17 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

The percentage of dilution of existing shareholders in the share capital of BMPS will depend on the outcome of the Offer, as the number of new BMPS shares to be issued as part of the Capital Increase Reserved to the Offer will depend – as well as any adjustments to the Offer consideration (as illustrated below) – on the number of Mediobanca shares that will be tendered to the VEO itself.

In the event of (i) full acceptance of the VEO by all Mediobanca shareholders targeted by the same VEO for all their shares held, (ii) revision of the Incentive Plans to provide for the acceleration and issuance in favour of the beneficiaries of the Incentive Plans of all No. 16,178,862 Additional Shares, and (iii) non-payment by Mediobanca of the interim dividend, the related balance, and the non-cancellation of treasury shares in Mediobanca's portfolio, the Capital Increase Reserved to the Offer will be fully subscribed (on a fully diluted basis) and BMPS will issue 2,230,000,000 new shares to be allotted in exchange to all those accepting the Offer. These shares will represent approximately 64% of BMPS' share capital, calculated on the basis of the number of BMPS shares issued as of the date of this Report.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of issuance of the entire Maximum Share Amount.

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| | |
|:---|:---|
| Shareholder | Shareholding |
| Delfin S.a.r.l. | 15.7% |
| Caltagirone Francesco Gaetano | 5.3% |
| Ministero dell'Economia e delle Finanze | 4.2% |
| Banca Mediolanum S.p.A. | 2.1% |
| Banco BPM S.p.A. | 1.8% |
| Anima Holding S.p.A. | 1.4% |
| Other shareholders | 69.5% |
| **Total** | **100%** |

---

As of the date of this Report, to the best of BMPS' knowledge, there are no shareholders' agreements among BMPS shareholders, nor is there any individual or legal entity exercising control over the Bank pursuant to Article 93 of the Consolidated Law on Finance.

**13.** **PRO-FORMA ECONOMIC AND FINANCIAL EFFECTS OF THE CAPITAL INCREASE ON THE COMPANY'S PERFORMANCE AND FINANCIAL POSITION** 

This section displays the main pro-forma economic and financial figures resulting from the aggregation of the data deriving from the BMPS group (the "**MPS Group**") and from the Mediobanca group (the "**Mediobanca Group**") as of 31 December 2024, as well as some explanatory notes.

The pro-forma effects of the business combination with the Mediobanca Group on the MPS Group's financial and economic position have been determined based on Consob Communication No. DEM/1052803 of 5 July 2001, and have been prepared to simulate, according to certain evaluation criteria consistent with historical data and compliant with applicable regulations, the effects of the transaction on the economic performance and financial position of the MPS Group, as if it had virtually taken place on 31 December 2024, for the effects on the pro-forma consolidated balance sheet and on 1 January 2024, for the effects on the pro-forma consolidated income statement.

The pro-forma figures were prepared starting from the 2024 Consolidated Financial Statements of the MPS Group prepared in accordance with IAS/IFRS accounting principles, and from the Half-Yearly Report as of 31 December

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 18 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

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2024, the Financial Statements as of 30 June 2024, and the Half-Yearly Report as of 31 December 2023, of the Mediobanca Group, prepared in accordance with IAS/IFRS accounting principles, and applying the pro-forma adjustments determined by simulating the application of IFRS 3 for business combination transactions.

Specifically, for the Mediobanca Group, the income statement for the 12-month period ended 31 December 2024, has been defined as the sum of: (i) the income statement for the 6-month period ended 30 June 2024, determined as the difference between the income statement for the fiscal year ended 30 June 2024, extracted from the Financial Statements as of 30 June 2024, and the income statement for the half-year ended 31 December 2023, extracted from the Half-Yearly Report as of 31 December 2023, and (ii) the income statement for the half-year ended 31 December 2024, extracted from the Half-Yearly Report as of 31 December 2024.

For the purpose of determining the pro-forma adjustments, the total cost of the aggregation has been calculated assuming a unit value of BMPS shares of Euro 6.953, as represented by the price recorded at the close of the market on 23 January 2025, which corresponds to the last trading day prior to the date on which BMPS announced the Offer (*i.e.*, 24 January 2025) and assuming full acceptance of the Offer by Mediobanca shareholders, *i.e.*, considering 833,279,689 Mediobanca shares tendered to the Offer, equal to total number of Mediobanca shares (including the No. 11,277,075 treasury shares held by Mediobanca) as of 23 January 2025, corresponding to the No. 1,916,543,285 newly issued BMPS shares based on the Consideration determined for the Offer.

In this regard, it should be noted that, for the purposes of this pro-forma exercise, the calculation of the preliminary acquisition cost does not take into account any adjustments to the Consideration as provided by the Offeror's Communication.

The acquisition cost represented by the fair value of the new BMPS shares to be issued to service the Offer is considered as preliminary, as the elements necessary for its definitive quantification are not known yet. Specifically, under IFRS 3, the fair value of the new shares issued by BMPS will be determined based on the BMPS share price on the trading day immediately prior to the completion date of the transaction.

The preliminary acquisition cost thus determined, amounting to Euro 13,326 million, has been compared with the consolidated net equity of the Mediobanca Group as of 31 December 2024, inclusive of the net income for the relevant period. It should be noted that, for the purpose of determining the pro-forma adjustments, no fair value assessment process has been carried out for the identifiable assets (except as indicated below regarding the stake in Assicurazioni Generali S.p.A. held by the Mediobanca Group), liabilities, and contingent liabilities of the acquired entity, as such fair values will need to be determined as of the acquisition date and upon obtaining detailed information about the accounting items of the Mediobanca Group. For the purpose of determining the pro-forma adjustments, the only adjustments made were (i) the write-off of the intangible assets of the Mediobanca Group, in line with what will be done as part of the Purchase Price Allocation (PPA) process, and (ii) the fair value assessment of the stake held by the Mediobanca Group in Assicurazioni Generali S.p.A. based on the unit value of the relevant share as recorded at the close of market on 23 January 2025.

The net equity of the Mediobanca Group thus determined amounted to a total of Euro 12,178 million. The difference that resulting from the comparison between the preliminary acquisition cost and the pro-forma consolidated net equity of the Mediobanca Group was Euro 1,148 million.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 19 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

As previously stated, one of the factors that will result in a difference between the final goodwill and the provisional amount indicated in the pro-forma financial information as of 31 December 2024 is the BMPS share price on the trading day immediately prior to the completion of the transaction.

In addition, it should be noted that, in the event that the Offer is not fully accepted, without prejudice to the conditions of effectiveness of the Offer, given the possibility provided by IFRS 3 to measure at the fair value any minority interest in the acquired entity – in this specific case representing any remaining Mediobanca shares which has not been exchanged for BMPS shares – the amount of goodwill recorded in the consolidated financial statements of the MPS Group could still be determined with reference to the entirety of Mediobanca shares, therefore resulting in the same amount as in the case of full acceptance of the Offer. Alternatively, also in the event that the Offer is not fully accepted, the amount of goodwill could be determined as the difference between the cost of the Acquisition and the amount of the percentage of Mediobanca Group's net assets acquired, and consequently vary on the basis of the number of Mediobanca shares tendered to the Offer and therefore exchanged for BMPS shares.

The pro-forma data also take into account the deletion of the most significant reciprocal balance sheet and income statement items between the MPS Group and the Mediobanca Group, referring exclusively to the data reported by the MPS Group.

Finally, it should be noted that, the pro-forma adjustments take into account the ancillary expenses inherent to the execution of the transaction, estimated at a maximum of approximately Euro 80 million excluding VAT, based on the amount authorized by the BMPS Board of Directors on 23 January 2025, assuming the full success of the transaction. Of the total amount mentioned above, based on preliminary information currently available, approximately Euro 60 million, excluding VAT, has been considered directly attributable to the issuance of shares to serve the Offer and, as provided by IAS 32, has been deducted, net of the related tax effect, from the capital increase. The remaining portion of the estimated ancillary costs, amounting to approximately Euro 20 million excluding VAT, has been recorded in the income statement, as required by IFRS 3, among the pro-forma Operating Costs.

The table below shows the main pro-forma balance sheet and income statement figures resulting from the aggregation of the MPS Group and Mediobanca Group data as of 31 December 2024.

---

| | | | |
|:---|:---|:---|:---|
| | | | €/mld |
| <br>**Balance Sheet Figures** |<br>**MPS Group**<br>**31.12.2024** |<br>**Mediobanca**<br>**Group**<br>**31.12.2024** | **Pro-forma BMPS-**<br>**Mediobanca**<br>**31.12.24** |
| Net Loans to Customers | 77.3 | 56.7 | 134.0 |
| Net Impaired Loans to Customers | 1.9 | 0.4 | 2.3 |
| Securities Holdings | 17.4 | 24.8 | 42.2 |
| Gross NPL Ratio | 3.8% | 2.1% | 3.1% |

---

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 20 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

---

| | | | |
|:---|:---|:---|:---|
| NPE Coverage Ratio | 48.5% | 69.4% | 54.2% |
| Direct Bank Funding | 94.0 | 64.7 | 158.7 |
| Indirect Customer Funding | 103.2 | 78.6 | 181.8 |
| **Income Statement Figures** |  |  |  |
| Interest margin | 2.3 | 1.9 | 4.2 |
| Net Commissions | 1.5 | 0.9 | 2.4 |
| Gross operating margin | 3.9 | 3.0 | 6.9 |
| Operating Costs | (2.1) | (1.6) | (3.7) <sup>(1)</sup> |
| Profit (Loss) from current operations before taxes | 1.5 | 1.8 | 3.2<sup>(1)</sup> |
| Operating Profit (Loss) pertaining to the Parent Company | 2.0 | 1.3 | 3.2<sup>(1)(2)</sup> |
| **Goodwill** | **n.a.** | **n.a.** | **1.1** |

---

&nbsp;&nbsp;&nbsp;&nbsp;(1) The pro-forma figure takes into account
 Euro 20 million excluding VAT relating to ancillary expenses associated with the acquisition,
 to be recorded in the income statement based on the information currently available.

&nbsp;&nbsp;&nbsp;&nbsp;(2) The pro-forma figure takes into account
 Euro 20 million excluding VAT relating to ancillary expenses associated with the acquisition,
 to be recorded in the income statement based on the information currently available, and
 the consequent pertinent tax effect.

It should be mentioned that the aforementioned pro-forma data do not reflect the effects of any transactions involving the sale of branches or lines of business that may occur in the context of the investigation carried out by the competent antitrust authority regarding the merger with the Mediobanca Group. As of today, these transactions have not even been preliminarily defined, and it is therefore impossible to identify and quantify their economic and financial impacts, in a timely, objective and auditable manner, it being understood that the reasonable expectation of the MPS Group is that any corrective measures will not have a significant impact on the transaction.

It should be noted that, the pro-forma data represent a simulation, provided for illustrative purposes only, of the possible effects that may result from the acquisition. Specifically, since the pro-forma data are prepared to retroactively reflect the effects of subsequent transactions, notwithstanding the observance of commonly accepted rules and the use of reasonable assumptions, there are inherent limitations associated with the very nature of pro-forma data, which are by their very nature not capable of providing a representation of the prospective economic and financial situation

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 21 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

of the MPS Group. Therefore, for a correct interpretation of the information provided by the pro-forma data, the following aspects must be considered:

&nbsp;&nbsp;&nbsp;&nbsp;· since these representations are based
 on assumptions, if the acquisition had actually occurred on the dates used as references
 for the preparation of the pro-forma data, the same results represented in the pro-forma
 data would not necessarily have been achieved;

&nbsp;&nbsp;&nbsp;&nbsp;· the pro-forma data are not in any
 way intended to represent a forecast of future results and should therefore not be used as
 such; the pro-forma data do not reflect prospective data as they are prepared solely to represent
 the separable and objectively measurable effects of the acquisition, without taking into
 account the potential effects due to changes in market conditions, management policies, and
 operational decisions of BMPS following the outcome of such a transaction. Therefore, the
 pro-forma representations are not intended to depict the current or prospective financial
 and economic situation of the effects relating to the acquisition;

&nbsp;&nbsp;&nbsp;&nbsp;· considering the different purposes
 of the pro-forma data compared to those of a regular financial statement and since the effects
 are calculated differently with reference to the pro-forma consolidated balance sheet and
 the pro-forma consolidated income statement, they should be read and interpreted separately,
 without seeking accounting connections between them.

It should be noted that, in accordance with Consob Communication No. DEM/1052803 of 5 July 2001, the pro-forma Consolidated Prospectus do not reflect either the charges or the synergies that will result from the proposed transaction for the entity resulting from the merger of the MPS Group and the Mediobanca Group. Specifically, the costs of integrating the Mediobanca Group within the MPS Group, estimated at approximately Euro 0.6 billion (pre-tax and one-off), have not been subject to pro-forma adjustments as they pertain to hypothetical future actions that are expected to be undertaken only upon completion of the acquisition through the Offer, in order to achieve the objectives of the transaction (which also include the aforementioned synergies), based on the agreements and contracts that will be entered into only upon completion of the said acquisition. Similarly, the tax benefits expected as a result of post-combination tax planning are not represented in accordance with the aforementioned regulations. In other words, the pro-forma Consolidated Prospectus do not include the acceleration in the utilization of deferred tax assets associated with the past tax losses of the MPS Group, resulting from the Mediobanca Group joining the tax consolidation of BMPS.

The pro-forma data have not been reviewed by the auditing firm.

**14.** **STATUTORY AMENDMENTS** 

The granting of the Delegation for the Capital Increase Reserved to the Offer entails the amendment of Article 6 of BMPS' By-laws which, as specified below, is subject to the successful conclusion of the assessment procedure with the European Central Bank pursuant to Articles 56 and 61 of the TUB (as defined below).

The following is a comparison of the aforesaid Article 6 in its current text and the text proposed with this Report, assuming the approval of the resolutions covered by this Report (the text proposed is highlighted in bold type).

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 22 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

It should be noted that the execution of the Capital Increase Reserved to the Offer will entail further amendments to the By-laws in order to (i) update the Bank's share capital and the number of shares with respect to the acceptances made, and (ii) delete the description of the shareholders' meeting resolution referred to in Article 6, paragraph 4.

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Current text** | &nbsp;&nbsp;**Current text** | &nbsp;&nbsp;**Proposed text** | &nbsp;&nbsp;**Proposed text** |
| &nbsp;&nbsp;**Article 6** | &nbsp;&nbsp;**Article 6** | &nbsp;&nbsp;**Article 6** | &nbsp;&nbsp;**Article 6** |
| &nbsp;&nbsp;1. | The share capital of the Company is Euro 7,453,450,788.44 (seven billion, four hundred fifty-three million, four hundred fifty thousand, seven hundred eighty-eight and forty-four cents) and is fully paid up. | &nbsp;&nbsp;*1.* | *(Unchanged)* |
| &nbsp;&nbsp;2. | It is represented by 1,259,689,706 (one billion, two hundred fifty-nine million, six hundred eighty-nine thousand, seven hundred six) ordinary shares with no par value. All shares are issued in dematerialised form. The procedures for the circulation and legitimation of the shares are regulated by law. Shareholders who did not participate in the approval of resolutions concerning the introduction or removal of restrictions on the circulation of shares do not have the right of withdrawal. | &nbsp;&nbsp;2. | *(Unchanged)* |
| &nbsp;&nbsp;3. | Shares are registered and indivisible. Each share gives the right to one vote. | &nbsp;&nbsp;3. | *(Unchanged)* |
|  |  | &nbsp;&nbsp;**4.** | **The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro** |

---

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 23 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

**13,194,910,000 plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding on the issue date, to be paid up by contribution in kind as they serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with a communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting.**

The amendments to the By-laws described above do not give rise to any right of withdrawal for BMPS shareholders who did not take part in the resolutions covered by this Report.

**15. AUTHORISATIONS**

The amendments to the By-laws referred to in Paragraph 14 above and the execution of the Capital Increase Reserved to the Offer are subject to the required authorisations by the competent Supervisory Authorities and in particular, respectively: (i) to the verification that they do not conflict with the sound and prudent management of the Bank pursuant to and for the purposes of Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993 as subsequently amended ("**TUB**"), and (ii) to the eligibility of the new shares issued in the context of the Capital Increase Reserved to the Offer among BMPS' own funds as primary tier 1 capital, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013.

BMPS filed the application for the aforementioned regulatory authorisations with the European Central Bank and the Bank of Italy on 13 February 2025.

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 24 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

It should be noted that, in the event that the assessment order by the European Central Bank regarding the proposed statutory amendments is not issued before the date on which the Shareholders' Meeting will adopt the resolution, the effectiveness of the latter will be subject to the issuance of such assessment order, as it cannot be registered in the Companies Register until that date. However, if the order is issued before the date of the Shareholders' Meeting, a press release will be issued to provide the shareholders with the necessary additional information.

**16.** **FORMALITIES AND TIMING** 

Subject to the granting of the authorisations referred to in Paragraph 15 above (as well as the other authorisations required in connection with the VEO, as detailed in Paragraph 1.4 of the Offeror's Communication), the exercise of the Delegation by the Board of Directors will take place prior to the publication of the offer document, filed with Consob on 13 February 2025.

Also taking into account the requirements of the regulations applicable to public exchange offers, it is expected that the Capital Increase Reserved to the Offer will be executed by 31 December 2025, subject to the fulfilment of the conditions for the effectiveness of the VEO indicated in paragraph 1.5 of the Offeror's Communication, as well as in the offer document submitted to Consob for approval.

Since this is a divisible capital increase, which may also be carried out in one or more tranches, pursuant to article 2439, paragraph 2, of the Italian Civil Code: (i) the share capital will be deemed to be increased from time to time in proportion to the amount of the acceptances collected in the context of the Offer, without prejudice to the terms and conditions set forth therein; and (ii) the Capital Increase Reserved to the Offer, if not fully subscribed by 31 December 2025, will be deemed to be limited to the amount resulting from the total acceptances collected by the aforesaid deadline.

In particular, the Capital Increase Reserved to the Offer will be executed by the previously mentioned deadline of 31 December 2025, on the payment date of the Consideration, and, if applicable, on the payment dates that may be determined in relation to the execution of the purchase Sell-out and Squeeze-out rights, pursuant to Articles 108 and 111 of the TUF.

\* \* \*

**Proposed resolution**

Dear Shareholders, in light of the above, we invite you to adopt the following resolution:

"*The Shareholders' Meeting of Banca Monte dei Paschi di Siena S.p.A., in extraordinary session, having examined the Report of the Board of Directors (which, to the extent necessary, is hereby approved in its entirety) and the proposal formulated therein*

***NOTED***

*that the maximum number of shares to be issued in execution of the Capital Increase Reserved to the Offer has been calculated, for the sake of utmost caution and according to a highly conservative approach, by factoring in (i) the proposed distribution of the BMPS' dividend for the fiscal year ending on 31 December 2024, recently approved by the Board of Directors of BMPS and not yet approved by the BMPS Shareholders' Meeting, and (ii) the maximum No. of 16,178,862 Additional Shares to service the Incentive Plans (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, although some Plans provide for the possibility of using Mediobanca's treasury shares in portfolio instead of the Additional* 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 25 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

*Shares), without taking into account any further circumstances that might lead to a reduction in the number of BMPS shares to be issued to service the Offer (including, by way of example, any adjustment due to the detachment of the coupon and/or the payment of the interim dividend pre-announced by Mediobanca on 10 February 2025, and/or the related balance and/or the possible cancellation of treasury shares held by Mediobanca);*

*the appraisal prepared by the independent expert KPMG Corporate Finance, a division of KPMG Advisory S.p.A., pursuant to Articles 2440, paragraph 2 and 2343-ter, paragraph 2, letter b) of the Italian Civil Code;*

- *the report of PricewaterhouseCoopers S.p.A. concerning the criteria adopted by the Board for the determination of the exchange ratio in the VEO;*

- *the favourable opinion on the Capital Increase Reserved to the Offer expressed by the Company*'*s Related Party Transactions Committee;*

***RESOLVES***

*1.* *to grant the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total maximum amount of Euro 13,194,910,000 plus any share premium, with the issue of a maximum number of 2,230,000,000 ordinary shares of the Company, without nominal value, with regular dividend rights and the same features as the Company's ordinary shares outstanding at the issue date, to be paid in kind as they serve the public exchange offer for all of the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by the Company in a communication pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, on 24 January 2025 and promoted by means of the filing of the offer document with Consob on 13 February 2025 (including the formalities pursuant to articles 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, where applicable);* 

*2.* *to grant the Board of Directors the power to determine from time to time, in exercising the above delegated power and in compliance with the applicable laws and regulations: (i) the amount of the capital increase to be resolved upon, also in divisible form, in its entirety, and the number of shares to be issued within the overall limits set forth in point 1) above; (ii) the issue price of the new shares, including any share premium, taking into account the provisions of Article 2441, sixth paragraph, of the Italian Civil Code; and (iii) any other terms and conditions of the delegated capital increase, as well as any other necessary element, within the limits set forth by the applicable laws and regulations and by this delegation resolution, with the power of the Board of Directors to exercise the delegation – within the aforementioned limits – consistent with any adjustments and/or amendments to the content and / or to the structure of the public offer, while complying with the outcomes of the evaluation pursuant to Article 2343-ter of the Italian Civil Code and any necessary updates; furthermore, the Board of Directors is authorized to make statutory adjustments resulting from the exercise of the delegation, as outlined in the Report of the Directors;* 

*3.* *to set 31 December 2025 as the deadline to implement the Capital Increase Reserved to the Offer - subject, if necessary, to the updating of the valuation made by the independent expert pursuant to Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code, to a date no more than six months prior to the date of the contribution - and to establish that, pursuant to Article 2439, paragraph 2, of the Italian Civil Code, (i) the share capital shall be deemed to be increased from time to time based on the amount of the acceptances collected in the above-mentioned public exchange offer (including within the scope of the procedures for the fulfilments set forth by Article 108, paragraphs 1 and 2, and 111 of Legislative Decree No. 58 of 24 February 1998, if the requirements are met), always without prejudice to the terms and conditions of the offer itself; and (ii) the Capital Increase Reserved to the Offer,* 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 26 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

*if not fully subscribed by 31 December 2025, shall be deemed to be limited to the amount resulting from the total acceptances made by the aforesaid deadline;*

*4.* *to amend Article 6 of the By-laws accordingly by including the following temporary paragraph:* 

***"The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro 13,194,910,000, plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding at the issue date, to be paid up by contribution in kind to serve the public exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58, on 24 February 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting";***

*5.* *to declare that the effectiveness of the resolutions mentioned in the previous points 1, 2, and 3, as well as the amendment to the By-laws referred to in point 4, is subject to the successful outcome of the assessment initiated pursuant to Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993, if such a positive outcome has not been achieved prior to the date of this resolution;* 

*6.* *without prejudice to the collective nature of the resolutions to exercise the delegation of powers as conferred above, to grant the Chairman of the Board of Directors currently in charge and on the Chief Executive Officer the Company currently in charge, severally and with the right to sub-delegate, within the limits set out by the law, all power and authority to provide for all that is necessary or even just appropriate for the implementation, in full and in part, of the resolutions adopted, as well as to perform all the acts and transactions necessary or appropriate for the fulfilment of the formalities required by the laws currently in force, including, by way of example but not limited to, the powers to:* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(i)* *prepare and submit any document required for the purposes of the execution of the capital increase, as well as to fulfil the formalities necessary to proceed with the admission to listing on Euronext Milan of the newly issued shares, including the power to prepare and submit to the competent Italian and foreign authorities any application, petition, document or prospectus necessary or appropriate for the purpose of and to proceed with the filing and publication of the certificate provided for by Article 2444 of the Italian Civil Code;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(ii)* *proceed to the formalities required by Article 2343-quater of the Italian Civil Code;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(iii)* *manage relations with any Italian or foreign competent body and/or authority for the purpose of obtaining all authorisations and approvals necessary for the successful outcome of the transaction, as well as the preparation, amendment, integration and/or signing and/or completion of any contract, agreement, deed, declaration or document necessary to that end;* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(iv)* *make the necessary amendments to Article 6 of the By-laws as a result of the partial and/or total execution of the capital increase, and to file with the Company Registry pursuant to Article 2436 of the Italian Civil Code the text of the By-laws* 

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 27 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

 *updated in the amount of the share capital and the number of shares and following the expiry of the delegation in relation to the removal of the temporary paragraph 4;*

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(v)* *make any amendments and/or additions to the adopted resolutions that may be necessary and/or appropriate, including at the request of any competent authority or at the time of registration, and* 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*(vi)* *in general, do all that is necessary for the complete execution of the said resolutions, with any and all powers necessary and appropriate for that purpose, none excluded and excepted."* 

\* \* \*

Siena, 18 March 2025

---

| |
|:---|
| For the Board of Directors |
| Mr. Nicola Maione |
| Chairman of the Board of Directors |

---

\* \* \*

*The voluntary public exchange offer referred to in this Report shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*This Report does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.*

*Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.*

*The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.*

*The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").*

*Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.*

*Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.*

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 28 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors on Item 1 on the Agenda - Extraordinary Part* | ![](tm2518026d1_headerlogo.jpg) |

---

*This Report, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.*

*Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.*

*IMPORTANT INFORMATION*

*In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document, at Banca Monte dei Paschi di Siena S.p.A.'s website at <u>www.gruppomps.it/en/</u> and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.*

*This Report does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this Report may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.*

*The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.*

*Ordinary and Extraordinary Shareholders' Meeting of 17 April 2025* 29 BANCA MONTE DEI PASCHI DI SIENA S.P.A.

## Exhibit 99.12

**Exhibit 99.12**

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

![](tm2518026d1_ex99-20img001.jpg)

**INFORMATION DOCUMENT ON RELATED PARTY TRANSACTIONS OF MAJOR IMPORTANCE**

(Capital Increase of Banca Monte dei Paschi di Siena S.p.A., with exclusion of pre–emption right pursuant to Article 2441, paragraph 4, of the Italian Civil Code, serving the voluntary totalitarian public exchange offer promoted by Banca Monte dei Paschi di Siena S.p.A. concerning the ordinary shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni)

Prepared pursuant to Article 5 of the Regulation containing provisions on transactions with related parties adopted by Consob Resolution No. 17221 of 12 March 2010, as subsequently amended

and supplemented.

This information document has been made available to the public at the registered office of Banca Monte dei Paschi di Siena S.p.A., on the company's website (*www.gruppomps.it* section "*Corporate Governance*

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

– *Related Parties Transactions*"), as well as on the authorised storage mechanism "*eMarketSTORAGE*" at <u>www.emarketstorage.com</u>.

30 January 2025

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| | | | |
|:---|:---|:---|:---|
| **Index** | **Index** | **Index** |  |
| INTRODUCTION | INTRODUCTION | INTRODUCTION | 6.0 |
| 1. | Warnings | Warnings | 8.0 |
|  | 1.1 | Risks related to potential conflicts of interest arising from the transaction | 8.0 |
| 2. | Information on the transaction | Information on the transaction | 8.0 |
|  | 2.1 | Description of the features, terms and conditions of the transaction | 8.0 |
|  | 2.2 | Identification of the related parties with whom the transaction is performed, of the nature of the relationship and, if the board of directors is informed, the nature and extent of those parties' interests in the transaction | 10.0 |
|  | 2.3 | Identification of the economic rationale and convenience of the transaction for MPS | 10.0 |
|  | 2.4 | Method of determining the consideration for the transaction and assessment of its fairness in relation to the market values of similar transactions | 12.0 |
|  | 2.5 | Explanation of the economic, equity and financial effects of the transaction | 13.0 |
|  | 2.6 | Declaration whether the amount of the remuneration of the members of the Board of Directors of the Bank and/or of companies controlled by the Bank will vary as a result of the transaction | 14.0 |
|  | 2.7 | In the case of transactions where the related parties involved are members of the management and supervisory bodies, general managers and managers of the issuer, information regarding the financial instruments of the issuer held by the persons identified above and their interests in extraordinary transactions, as provided for in paragraphs 12.2 and 15.2 of Annex 1 to Commission Delegated Regulation (EU) 2019/980 of 14 March 2019. 14 | 14.0 |
|  | 2.8 | Indication of the bodies or directors who conducted or participated in the negotiations and/or instructed and/or approved the transaction, specifying their respective roles, with particular regard to the independent directors | 15.0 |
|  | 2.9 | If the relevance of the transaction arises from the pooling, pursuant to Article 5, paragraph 2, of several transactions carried out during the financial year with the same related party, or with parties related both to the latter and to the company, the information indicated in the preceding points must be provided with reference to all such transactions | 16.0 |

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THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

Annex A: Opinion of the Committee for Related Party Transactions.

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

**DEFINITIONS**

The following is a list of definitions used within the Information Document, in addition to those given in the text. These definitions, unless otherwise specified, have the meanings given below. It should be noted that for the definitions below, whenever the context so requires, the singular form includes the plural form and vice versa.

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| | |
|:---|:---|
| **Bank** or **MPS** | Banca Monte dei Paschi di Siena S.p.A. with registered office in Siena, Piazza Salimbeni No. 3, registration number with the Register of Companies of Arezzo - Siena and Tax Code No. 00884060526. |
| **Board of Directors** | The Board of Directors of the Bank in office at the date of this Information Document. |
| **Consob** | The *Commissione Nazionale per le Società e la Borsa*, with registered office in Rome, Via G.B. Martini No. 3. |
| **Consob RPT Regulation** | The Regulation containing provisions on related party transactions adopted by Consob with Resolution No. 17221 of 12 March 2010, as subsequently amended and supplemented. |
| **Information Document** | This Information Document. |
| **Issuer** or **Mediobanca** | MEDIOBANCA – Banca di Credito Finanziario Società per Azioni, a joint–stock company governed by Italian law, with registered office in Milan, Piazzetta Enrico Cuccia, 1, registration number with the Milan Companies' Register and tax code No. 00714490158. |
| **Issuers' Regulation** | The Regulation adopted by Consob with resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented. |

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THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

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| | |
|:---|:---|
| **Mediobanca Shares** | The No. 833,279,689 ordinary shares, without nominal value and admitted to trading on Euronext Milan, representing, as of the date of the Information Document, the entire share capital of the Issuer. |
| **MPS Regulation** | The "*Group Regulation on the management of prescriptive obligations with related parties, affiliated persons and obligations of bank executives"* adopted by the Board of Directors of MPS and in force as of the date of this Information Document. |
| **Notice 102** | The notice pursuant to Article 102 of the TUF concerning MPS' decision to promote the VEO on all the Mediobanca Shares. |
| **Related Party Transactions Committee** or **Committee** | The Related Party Transactions Committee established pursuant to the MPS Regulation. |
| **TUB** | Legislative Decree No. 385 of 1 September 1993, as amended and supplemented. |
| **TUF** | Legislative Decree No. 58 of 24 February 1998, as amended and supplemented. |

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THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

**INTRODUCTION**

This Information Document has been prepared by MPS pursuant to Article 5 of the Consob RPT Regulation and in compliance with Annex 4 of the same Consob RPT Regulation, as well as pursuant to paragraph 4.6.1 of the MPS Regulation, published on the Bank's website *<u>www.gruppomps.it/static/upload/ope/operazioni_con_parti_collegate_e_soggetti_collegati.pdf</u>,* and with the Bank of Italy's Circular No. 285/13, Part Three, Chapter 11, as subsequently amended and supplemented, on risk activities and conflicts of interest with respect to related parties.

This Information Document has been prepared to provide shareholders and the market with the information required pursuant to, and for the purposes of, the aforementioned regulations on related party transactions, concerning the capital increase transaction of MPS – serving the voluntary public exchange offer announced on 24 January 2025, through the notice prepared on the basis of applicable laws and regulations (the "**Notice 102**"), and to be launched in accordance with the timing and procedures provided for by applicable laws and regulations by MPS on Mediobanca Shares, pursuant to Articles 102 and 106, paragraph 4, of the TUF and the related implementing provisions contained in the Issuers' Regulations (the "**Offer**", the "**VEO**" or the "**Transaction**") – in divisible form and also in several tranches, to be paid up by means (and against) the contribution in kind of the Mediobanca Shares tendered in the context of the VEO (or however contributed to MPS in execution of the squeeze–out and/or sell–out right pursuant to Articles 108 and 111 of the TUF, where the requirements thereof are met) and, therefore, with the exclusion of the pre–emption right, pursuant to Article 2441, paragraph 4, of the Italian Civil Code (the "**Capital Increase**" or the "**Capital Increase Reserved to the Offer**"). The Related Party Transactions Committee deemed that it had competence regarding the Transaction, based on a prudent approach aimed at ensuring maximum transparency and fairness, given the significance of the Transaction per se. In particular, the shares of MPS (offered as consideration for the VEO) will be issued pursuant to a proxy to be granted by the shareholders' meeting of MPS to the Board of Directors of MPS for the Capital Increase pursuant to Article 2443 of the Italian Civil Code (the "**Delegation**"). On 23 January 2025, the Board of Directors of MPS resolved to submit to the extraordinary shareholders' meeting of the Offeror, convened for 17 April 2025, the proposal to delegate the administrative body of the Offeror in connection with the aforementioned Capital Increase Reserved to the Offer.

The Capital Increase is therefore reserved to the shareholders of Mediobanca who will adhere to the Offer and, consequently, the assessment regarding the application of the safeguards set forth in the Consob RPT Regulation and the MPS Regulation is a result of the fact that certain persons holding significant shareholdings in MPS, in excess of 3%, are also in the lawful position of holding significant shareholdings in Mediobanca.

 

 In particular, on the basis of the communications pursuant to Article 120 of the TUF, as published on the Consob's website, as of 28 January 2025 (last date of update of the Consob website<sup>1</sup>, as of the date of this

 

<sup>1</sup> As clarified by CONSOB on its website, the percentages published by the Authority derive from the communications made by each shareholder, pursuant to Article 120 of the TUF, based on the thresholds provided for in Article 117 of the Issuers' Regulations (3%, if the listed issuer is not an SME, 5%, 10%, 15%, 20%, 25%, 30%, 50%, 66.6̅% and 90%). Therefore, in the case of infra-threshold changes in shareholding that do not result in new shareholder disclosure requirements, the percentages reported may not be in line with more up-to-date data released by different sources.

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

Information Document):

Delfin S.a.r.l. ("**Delfin**") holds a 19.390% interest in the share capital of Mediobanca and a 9.780% interest in the share capital of MPS; as well as,

Mr. Francesco Gaetano Caltagirone ("**Caltagirone**") holds (indirectly, through a series of subsidiaries) an aggregate interest equal to 5.499% of the share capital of Mediobanca and a total interest equal to 5.026% of the share capital of MPS.

Notwithstanding the foregoing, pursuant to the MPS Regulation, and taking into account that Delfin and Caltagirone are to be considered CONSOB "related parties" of MPS, as identified on a discretionary basis, insofar as they hold "*an interest in excess of 3% of the capital of BMPS, represented by shares with voting rights and have reported such interest pursuant to Article 120 of the TUF"* (paragraph 4.1.1 of the MPS Regulation)*,* the Capital Increase is to be considered as a related party transaction, as it is reserved for subscription, *inter alia*, to the shareholders of Mediobanca (which include Delfin and Caltagirone). The right of the latter to be able to analyse the Transaction from different perspectives and at different moments, being simultaneously shareholders in MPS and, with even higher percentages, in Mediobanca, was a key element in the assessments carried out for the purpose of the application of all the safeguards required by the CONSOB RPT Regulation and the MPS Regulation.

Pursuant to Article 4.2.2 of the MPS Regulation, the Capital Increase Reserved to the Offer is to be qualified as a "transaction of major importance", as it exceeds all the materiality thresholds specified in Article 8.1 of the MPS Regulation (Annex 1).

For the sake of completeness, it should be noted, in any case, that all the assessments regarding the advisability of implementing the Transaction were carried out in full autonomy by the Bank's top management, taking into account that no party, having regard to the intrinsic structure of the Transaction, being a voluntary public exchange offer not previously agreed upon, could have been involved in any kind of negotiation. In addition, it should be added that the determination of the consideration for the Offer is - as is always the case in this type of transactions - a decision taken by the Board of Directors, with the support of the management and with the assistance of its financial advisors, in full autonomy and freedom of judgment, outside of any influence and in line with established financial practice for this type of transactions. Moreover, it is worth pointing out that all shareholders (indistinctly), whether or not they are related parties of the Bank, will be free to decide in the manner and timeframe they are due, on the one hand, in the MPS shareholders' meeting convened to evaluate and decide on the Capital Increase and, on the other hand, when evaluating regarding adherence to the Offer, on the basis of their own independent assessments, whether to adhere to the OPS and, if necessary, whether to adhere with all or part of their shares.

This Information Document is available to the public at the Bank's registered office at Piazza Salimbeni No. 3, Siena (Italy) and on the Bank's website *(<u>www.gruppomps.it</u>* section "*Corporate Governance* – *Related Parties Transactions*" Corporate Governance – Related parties transactions).

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

**1.** **Warnings** 

**1.1** **Risks related to potential conflicts of interest arising from the transaction** 

As highlighted in this Information Document, the Capital Increase does not expose the Bank to any particular risks related to potential conflicts of interest, other than those typically inherent in related parties transactions.

As explained in greater detail later in this Information Document, the Capital Increase is part of an overall and broader market transaction involving the promotion of a VEO that envisages absolute equality of treatment both among the shareholders (*i.e.,* Mediobanca's shareholders) – as it is addressed, on equal terms, to all holders of Mediobanca shares – and among MPS shareholders, as they are also called upon through the shareholders' meeting vote to express their opinion on a Transaction, which is capable of generating large-scale synergies and increasing the Bank's value.

On 23 January 2025, the Related Party Transactions Committee which is responsible to express its binding and reasoned opinion on the Bank's interest in the Capital Increase Reserved to the Offer, as well as on the convenience and substantive fairness of the applicable terms and conditions, unanimously expressed its prior favourable opinion in support of the preparatory activity which the Board of Directors is required to carry out, which is attached to this Information Document as "Annex A".

The Board of Directors of the Bank therefore approved the Transaction on 23 January 2025, unanimously of those present, with the clarification that the Directors - non-independent – Mrs. Elena De Simone and Mr. Alessandro Caltagirone, informed the Board of Directors about an interest pursuant to Article 2391 of the Italian Civil Code and, for reasons of expediency, did not take part in the vote on the item, as described in paragraph 2.8 of this Information Document, and therefore proceeded, on 24 January 2024, before the opening of the markets, to the publication of the Notice 102 regarding MPS' decision to promote the Offer to which the Capital Increase is serving.

**2.** **Information on the transaction** 

**2.1** **Description of the features, terms and conditions of the transaction** 

The Capital Increase is part of an overall and broader Transaction consisting in the promotion by MPS of a VEO relating to all Mediobanca Shares and is, therefore, reserved to all shareholders of Mediobanca who will subscribe to the Offer.

In particular, on 23 January 2025, the Board of Directors of the Bank resolved to submit to the extraordinary shareholders' meeting of MPS – by convening it for 17 April 2025 – the proposal to delegate to the administrative body of the Bank, pursuant to Article 2443 of the Italian Civil Code, the execution of the Capital Increase Reserved to the Offer.

As mentioned above, the Capital Increase Reserved to the Offer is in a divisible form and also in several tranches, to be paid up by means (and against) the contribution in kind of the Mediobanca Shares tendered to the Offer (or however contributed to MPS in execution of the squeeze–out and/or sell–out right pursuant to Articles 108 and 111 of the TUF, where the requirements thereof are met), and, therefore, with the exclusion of the pre–emption right pursuant to Article 2441 paragraph 4 of the Italian Civil Code.

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

It is, therefore, functional to the very nature of the Offer, which envisages, in fact, as consideration, the allocation of newly issued MPS shares to Mediobanca shareholders, who may subscribe to it, and is, therefore, reserved to their subscription.

The newly issued shares of MPS deriving from the Capital Increase and to be delivered to the participants in the Offer as consideration, will enjoy standard dividend rights and the same features as the MPS shares currently outstanding, and will be listed on Euronext Milan, a regulated market organised and managed by Borsa Italiana, as well as being subject to the dematerialisation and centralised management regime at Monte Titoli S.p.A., pursuant to Article 83–*bis* and subsequent articles of the TUF.

The maximum amount of the Capital Increase, taking into account the Mediobanca Shares currently issued and outstanding, is equal to 1,916,543,285 newly issued MPS shares, which will be issued to the participating Mediobanca shareholders, representing approximately 60% of the share capital of MPS following the execution of the Capital Increase Reserved to the Offer.

For the purposes of the Capital Increase Reserved to the Offer, the Board of Directors of MPS shall apply the rules of the Italian Civil Code for the valuation of the Mediobanca Shares to be contributed.

As anticipated, the Offer to which the Capital Increase is reserved, consists of a voluntary, totalitarian public exchange offer, promoted by MPS pursuant to Articles 102 and 106 paragraph 4 of the TUF and the relevant implementing provisions contained in the Issuers' Regulations, and will relate to all Mediobanca's Shares (including treasury shares held by the Issuer itself). Based on public information, the number of Mediobanca Shares subject to the Offer may increase if the Issuer issues additional Shares to fulfil its long– term share–based incentive plans.

The launch of the Offer is contingent upon obtaining prior authorisations and the effectiveness of the Offer is contingent upon certain conditions, as described below.

In particular, within the date of submission of the Offer document to Consob, MPS shall submit to the competent authorities the applications to obtain the prior authorisations required by the applicable laws and sector regulations in relation to the Offer (the "**Prior Authorizations**"), all as better described in the Notice 102, made available to the public on the Bank's website <u>www.gruppomps.it</u>, to which reference is made for further details.

Pursuant to Article 102, paragraph 4 of the TUF, Consob's approval of the Offer document may occur only after obtaining each of the Prior Authorisations.

The Bank shall also submit, within the date of submission of the Offer document to Consob, the further applications and notices for the obtainment of authorisations that shall be required by any authority for the purpose of completing the Offer ("**Other Authorisations**" and, together with the Prior Authorisations, the "**Authorisations**"). For more details, reference is made to the Notice 102, made available to the public on the Bank's website at <u>www.gruppomps.it</u>.

The Offer shall be subject to the approval of the proposal of the Delegation for the Capital Increase Reserved to the Offer by the shareholders' meeting of MPS and of the Offer document by Consob, upon completion of the relevant preliminary investigation within the terms set forth in Article 102, paragraph 4,

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

of the TUF.

In addition, as standard practice for this type of transactions, the Offer is also subject to the occurrence of the conditions of effectiveness (the "**Conditions of Effectiveness**"), as better described in the Notice 102, to which reference is made for further details.

MPS may only expressly waive, by notice to the market in accordance with applicable law, in whole or in part, one or more of the Conditions of Effectiveness or modify them, in whole or in part, in accordance with applicable law.

**2.2** **Identification of the related parties with whom the transaction is performed, of the nature of the relationship and, if the board of directors is informed, the nature and extent of those parties' interests in the transaction** 

As anticipated, the Capital Increase is reserved to all the shareholders of Mediobanca who will participate in the Offer and, consequently, the assessment regarding the application of the safeguards set forth in the Consob RPT Regulation and the MPS Regulation is a result of the fact that certain persons holding significant shareholdings in MPS, in excess of 3%, are also in the lawful position of holding significant shareholdings in Mediobanca (*i.e.*, Delfin and Caltagirone).

As indicated in the Introduction, on the basis of communications pursuant to Article 120 of the TUF, as published on Consob's website, as of the date of this Information Document:

&nbsp;&nbsp;&nbsp;&nbsp;(i) Delfin holds a 19.390% interest in the share capital of Mediobanca and a 9.780% interest in the share
capital of MPS; as well as,

&nbsp;&nbsp;&nbsp;&nbsp;(ii) Caltagirone holds (indirectly, through a series of subsidiaries) an aggregate interest equal to 5.499%
of the share capital of Mediobanca and a total interest equal to 5.026% of the share capital of MPS.

In light of the foregoing, pursuant to the MPS Regulation, and taking into account that Delfin and Caltagirone are to be considered "related parties" of the Bank, insofar as they hold "*an interest in excess of 3% of the capital of BMPS, represented by shares with voting rights and have reported such interest pursuant to Article 120 of the TUF*", the Capital Reserved to the Offer is to be considered as a related party transaction, as it is reserved for subscription, *inter alia*, to the shareholders of Mediobanca (which include Delfin and Caltagirone).

Moreover, as anticipated, again pursuant to the MPS Regulation, the Capital Increase is to be qualified as a "transaction of major importance", as the Transaction exceeds all the materiality thresholds specified in Article 8.1 of the MPS Regulations (Annex 1).

**2.3** **Identification of the economic rationale and convenience of the transaction for MPS** 

MPS has decided to launch the Offer for the acquisition of Mediobanca (which the Capital Increase is at the service of), with the aim of creating a new Italian banking champion through the union of two among the most distinctive brands in the financial services industry: MPS for Retail and Commercial Banking and Mediobanca for Wealth Management, Corporate & Investment Banking and Consumer Finance.

Over the past three years, MPS has steadily strengthened its fundamentals, consolidating the sustainability

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

of its business model and improving its risk profile to achieve solid levels of profitability. Moreover, MPS has exceeded most of the targets of the 2022–2026 business plan two years in advance and with one of the strongest capital positions in Europe.

MPS intends to play an active role in the ongoing consolidation scenario in the Italian banking sector.

The combination with Mediobanca, should it be accomplished, will create a new national champion ranking among the top three institutions in terms of total assets, loans to clients, direct deposits and total financial assets. The new group will be able to rely on Mediobanca's distinctive expertise in the areas of Wealth Management, Corporate & Investment Banking and Consumer Finance and of MPS in the sectors of Retail and Commercial Banking. This way, the global service offerings will be strengthened, the product base will be enhanced and market penetration will be improved. The combination will enable the assumption of a primary role in the asset gathering through the combination of Banca Widiba with Mediobanca Premier. The group will be financially strengthened, with a diversified revenue stream and strong resilience able to compete successfully in different scenarios.

MPS believes that the Offer represents the opportunity of a further development and ideal growth for both institutions and allows a significant value creation for the shareholders of both companies and for all stakeholders. The combination of the two banks will allow to:

- create the third national banking operator, with a distinctive, diversified and resilient business model, which can leverage the combination of two of the most prestigious brands in the Italian financial sector, with distinctive and complementary capabilities;

- expand the product offering by leveraging a full range of product factors and partnerships and the new entity's leadership position in key markets;

accelerate the utilisation of DTAs on MPS' past losses, leveraging a higher consolidated tax base and by budgeting Euro 1.3 billion of DTAs (currently off–balance sheet), bringing the total to Euro 2.9 billion. Over the next six years, the use of these DTAs will generate a significant capital benefit (Euro 0.5 billion per year), in addition to the net income;

- extract synergies deriving from the combination of the two entities, estimated at Euro 0.7 billion per year before tax, as described in section 2.5;

- create value for all shareholders through the distribution of sustainable dividend flows over time, while confirming MPS' solid capital position;

- realise a simple integration with limited employment impacts, while at the same time offering the employees of each institution the opportunity to develop their careers in a larger organisation;

- improve the positioning of all stakeholders, with a scale to serve them at European level;

increase support to households, businesses, territories and the Italian economy, by strengthening overall support to the former, both in financing needs and in the generation, preservation and protection of savings, and to businesses, by partnering with leading Italian companies to capture domestic and international growth opportunities; and

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

- consolidate the sustainability strategies of the two banks, leveraging their respective ESG capabilities, to strengthen the combined entity's positioning and promote its commitment to the communities and territories where it has its roots.

The combination with Mediobanca will create a new national champion, ready to support the country's households and businesses, with a distinctive business model, characterised by a balanced mix and a solid capital and liquidity position. The strong complementarity between the two banks represents an opportunity to evolve towards a single banking entity, by leveraging specialised and innovative activities:

- a best in class Wealth Management player, thanks to the combination of the capabilities of Mediobanca and MPS in private banking and Banca Widiba and Mediobanca Premier in asset gathering, including through approximately 1,200 promoters in aggregate;

a strong CIB player in all products (*e.g.*, consulting, capital markets, corporate lending), with a leading position in the Equity Capital Markets and M&A market and a strong complementary client base (SMEs and corporates), with a growth opportunity in the developing market segment of medium–sized companies;

- the leader in consumer financing through Compass, already MPS' chosen partner; and

- an operator who benefits from a sustainable cash flow from the insurance investment.

**2.4** **Method of determining the consideration for the transaction and assessment of its fairness in relation to the market values of similar transactions** 

Should the Conditions of Effectiveness occur (or be waived) and the VEO therefore be completed, MPS will pay, for each Mediobanca Share tendered in the Offer, a unitary consideration, not subject to adjustment (except as indicated below), consisting of No. 2,300 newly issued ordinary shares of MPS in execution of the Capital Increase Reserved to the Offer (the "**Offer Consideration**"). Therefore, for each No. 10 Mediobanca Shares tendered in the Offer, No. 23 newly issued ordinary shares of MPS will be offered in exchange.

On the basis of the official price of MPS shares recorded at the close of trading of 23 January 2025 (the last trading day preceding the date of the Notice 102) equal to Euro 6.953<sup>2</sup> , the Offer Consideration shows a valuation equal to Euro 15.992 for each Mediobanca Share and, therefore, incorporates a premium equal to 5.03% with respect to the official price of Mediobanca Shares recorded at the close of 23 January 2025 (equal to Euro 15.227).<sup>3</sup>

The Offer Consideration has been determined on the assumption that, prior to the payment date of the Offer Consideration: (i) Mediobanca and/or MPS do not approve or initiate any ordinary or extraordinary distribution of dividends taken from profits and/or other reserves; and (ii) Mediobanca does not approve or initiate any transaction on its share capital (including, by way of example, capital increases or reductions) and/or on Mediobanca Shares (including, but not limited to, the amalgamation or cancellation

<sup>2</sup> Source: FactSet VWAP

<sup>3</sup> Source: FactSet VWAP

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**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

of shares).

If, prior to the payment date of the Offer Consideration, Mediobanca and/or MPS should pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event should be detached from the Mediobanca Shares and/or the MPS Shares, as the case may be, the ex coupon (*cedola*) relating to dividends resolved upon, but not yet paid by Mediobanca and/or MPS, respectively, the Offer Consideration shall be adjusted to take into account the dividend distributed (or the relative interim dividend) or the reserve distributed (in the event that MPS waives the condition of effectiveness provided for in the Notice 102, where applicable, in relation to said individual event).

If all of the Mediobanca Shares subject to the Offer issued as of the date of this Information Document are tendered, a maximum of No. 1,916,543,285 newly issued shares of MPS, as the maximum total amount of the Offer Consideration, shall be issued to the tendering shareholders of Mediobanca, representing approximately 60% of the share capital of MPS following the execution of the Capital Increase Reserved to the Offer.

On the basis of the official price of MPS shares recorded at the close of trading of 23 January 2025 (the last trading day prior to the date of the Notice 102) equal to Euro 6.9534, the total countervalue of the Offer, again in the event of full acceptance, will be approximately Euro 13.3 billion, an amount, the latter, equal to the "monetary" valuation of the Offer Consideration (*i.e.*, Euro 15.992 per Issuer's Share).

Since, therefore, the Mediobanca Shares and the MPS Shares are listed on the regulated market Euronext Milan, the Offer Consideration was determined by reference to the aforesaid stock exchange values, incorporating a premium of 5.03% with respect to the official price of the Mediobanca Shares recorded at the close of 23 January 2025 (equal to Euro 15.227).<sup>4</sup>

For more details, please refer to the explanatory report and the opinion of the auditing firm as well as additional documentation required by applicable laws and regulations, which will be made available to the public in the manner and within the timeframe stipulated by the relevant regulations in force.

The consideration for the Offer was determined by MPS without any formal independent experts' opinions, it being understood that the Committee and the Board of Directors referred to the exhaustive supporting documentation, also for assessment purposes, made available by the management of MPS and including documentation prepared by the investment banks J.P. Morgan Securities plc and UBS Europe SE, MPS' financial advisors with respect to the VEO.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.5** **Explanation of the economic, equity and financial effects of the transaction** 

The combination of MPS and Mediobanca, upon the successful completion of the Transaction which the Capital Increase is serving, will generate:

significant revenues' synergies, preliminarily estimated at approximately Euro 0.3 billion per year, due to the expansion of the services' offering and the strengthening of factories' capacities, as well as increased penetration in key segments. A significant contribution to synergies is expected in

<sup>4</sup> Source: FactSet VWAP

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particular from the increased penetration of consumer finance and mortgage products, the integration of the value chain in the investment sector, the sharing of best practices in the asset gathering sector, the offering of Advisory services to MPS' corporate customers, and the enhancement of the offering to small businesses and small economic operators by leveraging the combined entity's network;

- a reduction in operating costs by minimising duplication with synergies estimated at approximately Euro 0.3 billion, through optimisation of central functions and IT and administrative expenses;

- a more balanced funding mix, due to MPS' commercial financing capacity, resulting in estimated synergies of approximately Euro 0.1 billion per year, optimising the wholesale funding position of the combined entity;

a combination from the two banks' strategic technology and digital investment initiatives, which have multiple areas of similarity. By way of example, reference is made to investment initiatives with the aim of developing distinctive digital platform in Wealth Management, CIB business and Consumer Finance;

- one–off integration costs are estimated at approximately Euro 0.6 billion before tax, to be spent in the first year.

The Transaction will also accelerate the utilisation of the DTAs held by MPS, with an estimated net present value for the benefit of Mediobanca's shareholders of Euro 1.2 billion, equal to approximately 10% of Mediobanca's current market capitalisation.

MPS expects to maintain a solid capital base (pro–forma Common Equity Tier 1 ratio equal to approximately 16%) upon completion of the Transaction, supported by increased organic capital generation.

For more information on the economic, equity and financial effects of the Transaction, please refer to the explanatory report and additional documentation required by applicable regulations, which will be made available to the public in the manner and within the timeframe prescribed by applicable regulations.

**2.6** **Declaration whether the amount of the remuneration of the members of the Board of Directors of the Bank and/or of companies controlled by the Bank will vary as a result of the transaction** 

No changes in the remuneration of the members of the boards of directors of MPS and its subsidiaries are expected as a result of the Capital Increase.

**2.7** **In the case of transactions where the related parties involved are members of the management and supervisory bodies, general managers and managers of the issuer, information regarding the financial instruments of the issuer held by the persons identified above and their interests in extraordinary transactions, as provided for in paragraphs 12.2 and 15.2 of Annex 1 to Commission Delegated Regulation (EU) 2019/980 of 14 March 2019.** 

No members of the management and supervisory bodies, general managers or executives of the Bank are

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involved in the Capital Increase Reserved to the Offer as related parties.

**2.8** **Indication of the bodies or directors who conducted or participated in the negotiations and/or instructed and/or approved the transaction, specifying their respective roles, with particular regard to the independent directors** 

The Transaction (which the Capital Increase serves), being a voluntary public offering, has not, by its very nature, evidently registered negotiations of any kind, being conceived in its specific and characteristic elements by the Bank's top management in total autonomy.

The Transaction was approved by the Board of Directors of the Bank on 23 January 2025, by unanimous vote of those present, with the clarification that the Directors - non-independent – Mrs. Elena De Simone and Mr. Alessandro Caltagirone, informed the Board of Directors about an interest pursuant to Article 2391 of the Italian Civil Code and, for reasons of expediency, did not participate in the vote on the point.

With regard to the involvement of the Related Party Transactions Committee, given the nature of the Transaction and the unavoidable confidentiality requirements inherent to the same, which, in the event of information leakage, could have been irreparably compromised, the Committee was informed of the Transaction on 23 January 2025 and immediately commenced the preparatory activities for its assessment, in the context of two separate meetings, held on the same date, after the aforementioned board meeting was adjourned. The meetings of the Committee were attended by all the directors who are members of the same Committee and, in particular, by Mrs. Paola De Martini (Chairman), Mrs. Alessandra Barzaghi e Mr. Renato Sala, as well as the independent director Mr. Raffaele Oriani, who was invited by the members of the Committee to attend its meetings.

Therefore, on the occasion of the involvement of the Board of Directors and of the Committee, the management of MPS ensured the timely delivery of complete and exhaustive documentation, drafted also with the assistance of the legal and financial advisors of the Board of Directors, in order to allow the Committee to analyse and evaluate, albeit with a duly restricted timeframe, the main terms and conditions of the Transaction in its entirety, the timing envisaged for its implementation, the proposed evaluation procedure and the underlying rationales of the Transaction itself.

In this context, the Committee exercised its right to request information and make observations, and received feedback from the management involved in the Transaction and, following its assessment, unanimously issued a favorable opinion on the Transaction.

In the course of its preliminary assessment, the Committee has noted the non-involvement of any relevant shareholder in the structuring of the Transaction, which is solely the result of management discretion and the assessments of the Board of Directors, recognizing no extraction of benefits, nor any attribution of particular advantages in favor of the parties that the MPS Regulations deem, on a discretionary basis, to be allegedly related.

The Committee assessed the Transaction as a whole and analyzed in detail, also with the support of management and with the assistance of the aforementioned financial advisors of the Bank, the Consideration offered in the context of the Transaction, considering that the same (which incorporates a premium equal to 5.03% with respect to the official price of Mediobanca's shares recorded as of the close

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**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

of trading of 23 January 2025) is consistent with the market values based on assessments illustrated by the advisors in the context of the presentation to the Board of Directors, and is justified by the benefits, which all MPS shareholders will be able to enjoy in the event of a successful outcome of the Transaction, generated by the synergies arising from the industrial and strategic project proposed by the Bank's management. Moreover, the Committee noted that the convenience of the Transaction is proven by reasons of an industrial, strategic, economic and financial nature, which confirm the suitability of the VEO to generate value for the shareholders of MPS and also of Mediobanca and therefore justify the consideration of the Offer and the recognition of the premium to the shareholders of Mediobanca who will adhere to the VEO.

Consequently, the Committee has positively assessed the existence of a strong industrial-strategic rationale for the Transaction as a whole and has found the Offer Consideration and the related premium to be appropriate. For any further details regarding the Committee's assessments and conclusions, please refer to the opinion attached to this Information Document as "Annex A".

**2.9** **If the relevance of the transaction arises from the pooling, pursuant to Article 5, paragraph 2, of several transactions carried out during the financial year with the same related party, or with parties related both to the latter and to the company, the information indicated in the preceding points must be provided with reference to all such transactions** 

The significance of the Transaction exists on a stand–alone basis and does not arise from the combination with other transactions.

\* \* \*

**Attached documentation**

– Annex 1: Committee Opinion

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**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

IMPORTANT INFORMATION

In connection with the proposed voluntary public exchange offer, the required Offer Document will be sent to Commissione Nazionale per le Società e la Borsa ("CONSOB") and, to the extent that the shares issued in connection with the proposed voluntary public exchange offer will be required to be registered in the United States, a registration statement on Form F–4, which will include the Exemption Document or, to the extent needed, a prospectus, may be filed with the United States Securities and Exchange Commission ("SEC"). If an exemption from the registration requirements of the U.S. Securities Act of 1933 (the "Securities Act") is available, the shares issued in connection with the proposed voluntary public exchange offer will be made available within the United Sates pursuant to such exemption and not pursuant to an effective registration statement on Form F–4. **Investors and shareholders of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni are strongly advised to read the documents that will be sent to CONSOB, the registration statement and the Exemption Document or prospectus, if and when available, and any other relevant documents sent to, or filed with, CONSOB and/or the SEC, as well as any amendments or supplements to those documents, because they will contain important information.** If and when filed, investors may obtain free copies of the registration statement, the Exemption Document or the prospectus as well as other relevant documents filed with the SEC, at the SEC's web site at www.sec.gov and will receive information at an appropriate time on how to obtain these transaction– related documents for free from the parties involved or a duly appointed agent.

This communication does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this communication may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.

The shares to be issued in connection with the proposed voluntary public exchange offer may not be offered or sold in the United States except pursuant to an effective registration statement under the Securities Act or pursuant to a valid exemption from registration.

To the extent permissible under applicable law or regulation in Italy and pursuant to exemptive relief granted by the SEC either from 14e-5 or under 14e-5(b)(12) under the U.S. Exchange Act, Banca Monte dei Paschi di Siena S.p.A. and its affiliates or brokers (acting as agents for Banca Monte dei Paschi di Siena S.p.A. or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the United States. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform

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U.S. shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni of such information. In addition, the financial advisors to Banca Monte dei Paschi di Siena S.p.A., may also engage in ordinary course trading activities in securities of MEDIOBANCA - Banca di Credito Finanziario Società, which may include purchases or arrangements to purchase such securities.

FORWARD–LOOKING STATEMENTS

This communication contains forward–looking information and statements about Banca Monte dei Paschi di Siena S.p.A. and its combined business after completion of the proposed voluntary public exchange offer. Forward–looking statements are statements that are not historical facts. These statements include financial projections and estimates and their underlying assumptions, statements regarding plans, objectives and expectations with respect to future operations, products and services, and statements regarding future performance. Forward–looking statements are generally identified by the words "expects," "anticipates," "believes," "intends," "estimates" and similar expressions. Although the management of Banca Monte dei Paschi di Siena S.p.A. believes that the expectations reflected in such forward–looking statements are reasonable, investors and holders of Banca Monte dei Paschi di Siena S.p.A. shares are cautioned that forward–looking information and statements are subject to various risks and uncertainties, many of which are difficult to predict and generally beyond the control of Banca Monte dei Paschi di Siena S.p.A., that could cause actual results and developments to differ materially from those expressed in, or implied or projected by, the forward–looking information and statements. These risks and uncertainties include those discussed or identified in the public documents sent by Banca Monte dei Paschi di Siena S.p.A. to CONSOB. Except as required by applicable law, Banca Monte dei Paschi di Siena S.p.A. does not undertake any obligation to update any forward–looking information or statements.

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**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

*To the kind attention of the Board of Directors*

 

*of Banca Monte dei Paschi di Siena S.p.A.*

*and with copy to the kind attention of the Board of Statutory Auditors*

 

*of Banca Monte dei Paschi di Siena S.p.A.*

Siena, 23 January 2025

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| | |
|:---|:---|
| **Subject:** | **Opinion of the Committee for Related Party Transactions of Banca Monte dei Paschi di Siena S.p.A. (the "Bank" or "MPS")** |

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Dear Sirs,

the Committee for Related Party Transactions of the Bank (the "**Committee**"), convened on two occasions, has prepared and submits this opinion drafted pursuant to the provisions of the "*Group Regulation on the management of prescriptive obligations with related parties, affiliated persons and obligations of bank executives*" (the "**MPS Regulation**"), adopted by the Board of Directors of MPS, in compliance with the CONSOB Regulation containing provisions on related party transactions adopted with CONSOB resolution No. 17221/2010, as subsequently amended and supplemented (the "**CONSOB RPT Regulation**"), as well as the Bank of Italy's Circular No. 285/13, Part Three, Chapter 11, as subsequently amended and supplemented, on risk activities and conflicts of interest with related parties (the "**Bankit Circular**").

&nbsp;&nbsp;&nbsp;&nbsp;**1.** **Background and delimitation of the subject of this opinion** 

It should be noted that pursuant to the MPS Regulation, holders of "*an interest higher than 3% of the capital of MPS, represented by shares with voting rights and who have reported such an interest pursuant to Article 120 TUF*" (Section 4.1.1 of the MPS Regulation) are considered related parties, on a discretionary basis.

The Board of Directors of MPS is about to pass a resolution to promote a voluntary totalitarian public exchange offer (the "**Offer**" or the **"VEO**" or the "**Transaction**") on the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni (the "**Issuer**" or "**Mediobanca**"). Should such resolution be passed, MPS shall make available to the public and to Consob, without delay, a notice drafted on the basis of the applicable laws and regulations (the "**Notice 102**"),

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**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

where the main details of the VEO will be disclosed.

Given the nature of the Transaction, which envisages as consideration, the allotment of MPS shares to the shareholders of Mediobanca that should subscribe to the VEO, the Board of Directors of MPS shall convene an extraordinary shareholders' meeting for the purpose of, among others, passing a resolution for *(i)* the capital increase of MPS, with the exclusion of pre-emption rights, pursuant to Article 2441, paragraphs 4, first part, and 6, of the Italian Civil Code, and *(ii)* simultaneous conferral of the proxy to the Board of Directors of MPS for the execution thereof, pursuant to Article 2443 of the Italian Civil Code (the "**Capital Increase**"). This is also for the purpose of being able to declare that, at the time of publication of the Notice 102, pursuant to article 37–*bis*, paragraph 1, of the regulation adopted by CONSOB with resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented (the "**Issuers' Regulation**"), it is in a position to fully meet any commitment to pay the consideration for the Offer.

\*\*\*\*

Also in light of the significance of the Transaction and its industrial and strategic rationale, in order to ensure maximum transparency and further guarantee fairness, with the aim of protecting the Bank's corporate interest, the Committee acknowledged the Transaction which was structured solely on the basis of evaluations independently conducted by MPS' top management, with the support of leading consultants and, considering its structure (and, in particular, the Capital Increase which, as mentioned, provides for the exclusion of the option right), deemed it to be within its powers to issue this opinion on the matter.

It should be noted, in any event, that the Capital Increase, is part of an overall and broader market transaction – the VEO – that assures absolute equality of treatment both among the shareholders (*i.e.* Mediobanca's shareholders) – as it is addressed, on equal terms, to all holders of Mediobanca shares – and among MPS shareholders, as they are also called upon through the shareholders' meeting vote to express their opinion on a Transaction, which is capable of generating large-scale synergies and increasing the Bank's value (all as better specified below).

The Capital Increase is reserved to the shareholders of Mediobanca who will participate to the Offer and, consequently, the principal assessment as to whether the Committee should be involved, for the purposes of issuing a reasoned binding opinion in relation to the Capital Increase, is a result of the fact that certain persons holding significant shareholdings in MPS, in excess of 3%, are also in the lawful position of holding significant shareholdings in Mediobanca.

In particular, on the basis of the communications pursuant to Article 120 of Legislative Decree No. 58/1998 and subsequent articles ("**TUF**"), as published on Consob's website, as of the date of this Opinion:

&nbsp;&nbsp;&nbsp;&nbsp;(iii) Delfin S.a.r.l. ()"**Delfin**") holds a 19.390% interest in the share capital of Mediobanca
and a 9.780% interest in the share capital of MPS; as well as,

&nbsp;&nbsp;&nbsp;&nbsp;(iv) Mr. Francesco Gaetano Caltagirone ()"**Caltagirone**") holds (indirectly, through a series
of subsidiaries) an aggregate interest equal to 5.499% of the share capital of Mediobanca and a total interest equal to 5.026% of the
share capital of MPS.

Notwithstanding to the foregoing, pursuant to the MPS Regulation, and taking into account that Delfin and Caltagirone are to be considered "related parties" of MPS, as identified on a discretionary basis, insofar as they hold

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"*an interest in excess of 3% of the capital of BMPS, represented by shares with voting rights and have reported such interest pursuant to Article 120 of the TUF"* (paragraph 4.1.1 of the MPS Regulation), the Capital Increase is to be considered as a related party transaction, as it is reserved for subscription, *inter alia*, to the shareholders of Mediobanca (which include Delfin and Caltagirone). The sole right of the latter to be able to analyse the Transaction from different perspectives and at different moments, being simultaneously shareholders in MPS and, with even higher percentages, in Mediobanca, was a key element in the assessments carried out by the Committee, which led to the application of all the safeguards required by the CONSOB RPT Regulation and the MPS Regulation.

In addition, pursuant to the MPS Regulation, the Capital Increase is to be qualified as a "transaction of major importance", as the Transaction exceeds all the materiality thresholds specified in Article 8.1 of the MPS Regulations (Annex 1).

Notwithstanding the foregoing, noted that all evaluations as to the advisability of implementing the Transaction were independently conducted by the Bank's top management, no party, being a voluntary public exchange offer not previously agreed upon, could have been involved in any kind of negotiations in relation to the same. Furthermore, the determination of the consideration of the Offer is – consistent with standard practice for this type of transactions – a decision taken by the Board of Directors, with the support of management and with the assistance of its financial advisors, in full autonomy and freedom of judgment and beyond any influence, and in line with established financial practice for this type of transactions. It is also worth noting that all shareholders (without distinction), whether or not they are related parties of the Bank, will be free to decide in appropriate ways and at appropriate times, both at the MPS shareholders' meeting convened to assess and resolve upon the Capital Increase and, on the other hand, in the context of the assessment concerning the Offer, on the basis of their own independent evaluations, whether to join the VEO and, if necessary, whether to join with all or part of their shares.

In light of the foregoing, the undersigned Committee formulates, in support of the preparatory activity which the Board of Directors is required to carry out, the following prior and reasoned binding opinion on the Bank's interest in the completion of the Transaction and, in particular, the Capital Increase, as well as on the convenience and substantive fairness of the conditions applied.

Reiterating the point about the lack of involvement of any shareholder in the structuring of the Transaction, which – as outlined – is solely the result of management discretion and the assessments of the Board of Directors, the Committee does not detect, with regard to the Transaction as a whole and, to the Capital Increase, any extraction of benefits, nor any allocation of particular advantages in favor of the parties that the MPS Regulations deem, on a discretionary basis, to be allegedly related. The latter parties, like all of those who may find themselves in the more than lawful position of being shareholders of both MPS and Mediobanca, will only have the right – as shareholders of both companies – to express their views on the advisability of the Transaction at two distinct times and, specifically, in the context of the decision regarding the position to be taken at the extraordinary shareholders' meeting of MPS convened to approve the proposal to delegate to the Board of Directors the execution of the Capital Increase serving the Offer, as well as during the acceptance period of the Offer, considering whether and to what extent to adhere to the Offer itself.

In this scenario, the Committee does not identify any misalignment that could potentially harm the interests -

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attributable solely to MPS per se - and that would favor only (or to a greater extent) the allegedly "related" parties, or in any case anyone who is a shareholder of both companies, nor any alteration in the equal treatment of shareholders. In other words, any party who is simultaneously a shareholder of MPS and Mediobanca, whether he or she will evaluate conveniently in his or her own right the industrial project on which the Transaction structured by management is based, will find himself or herself in the condition of having a dual voice at two moments that are not only temporally separate, but significantly different from a legal-formal point of view. However, this entirely legitimate twofold opportunity for expressing themselves has no impact whatsoever on the Committee's assessment, which must remain focused on the industrial rationale of the Transaction, on the autonomous interest of MPS in carrying it out, and above all on the substantive and procedural convenience and fairness of the same.

Ultimately, while on the one hand, among those designated to assess the Transaction, there are parties already allegedly deemed to be related, on the other hand, these parties would not have had the possibility to influence the structuring of the Transaction (noting that it was conceived in total autonomy by the management), nor are in a position to obtain advantages, not even mere additional benefits with respect to the entire shareholding structure of MPS itself. In any case, the Committee is fully aware that any significant changes resulting from the Transaction that could materially affect the ownership structures of the companies involved will, on the one hand, be subject to the authorizations meticulously required by regulators for transactions of this nature and, on the other hand, fall under the extensive oversight of the relevant supervisory authorities.

&nbsp;&nbsp;&nbsp;&nbsp;**2.** **Description of the Transaction** 

&nbsp;&nbsp;&nbsp;&nbsp;**2.1.** **Industrial Reasons for the Offer** 

Based on the information provided by the Bank's management and the documentary evidence submitted to the Committee, by means of the Offer, MPS intends to create a new Italian banking champion, through the union of two among the most distinctive brands in the financial services industry: MPS for Retail and Commercial Banking, and Mediobanca for Wealth Management, Corporate & Investment Banking and Consumer Finance.

MPS intends to play an active role in the ongoing consolidation scenario in the Italian banking sector. The aggregation with Mediobanca, should it be accomplished, will create a new national champion that will rank among the top three institutions in terms of total assets, loans to clients, direct deposits and total financial assets. This way, the global service offering will be strengthened, the product base will be enhanced and market penetration will be improved. The combination will also allow the group to assume a primary role in the asset gathering business through the combination of Banca Widiba with Mediobanca Premier. The resulting group will be financially strengthened, with a diversified revenue stream and a strong resilience able to compete successfully in different scenarios.

The Offer represents an ideal opportunity for further development and growth for both institutions and allows significant value creation for the shareholders of both companies and all stakeholders.

&nbsp;&nbsp;&nbsp;&nbsp;**2.2.** **Corporate Aspects of the Capital Increase** 

As mentioned in Paragraph 1., the consideration for the Offer consists of newly issued shares of MPS. In particular,

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

as represented by the Bank's management, MPS will pay, for each Mediobanca Share tendered in the Offer, a consideration, not subject to adjustment (except as indicated below), consisting of No. 2,300 newly issued ordinary shares of MPS in execution of the Capital Increase reserved to the Offer. Therefore, for each No. 10 Mediobanca Shares tendered in the context of the Offer, 23 newly issued ordinary shares of the Offeror will be offered in exchange.

On the basis of the official price of the Offeror's shares recorded at the close of trading of 23 January 2025 (the trading day prior to the date of the Notice 102) equal to Euro 6.953<sup>5</sup>, the Offer Consideration shows a valuation equal to Euro 15.992 for each Mediobanca Share and, therefore, incorporates a premium equal to 5.03% with respect to the official price of Mediobanca Shares recorded at the close of trading of 23 January 2025 (equal to Euro 15.227).<sup>6</sup>

For the purposes of the Capital Increase reserved to the Offer, the Board of Directors of MPS shall apply the civil law rules for the valuation of the Mediobanca shares to be contributed.

The Offer may be launched only subject to and following: (i) the approval by the extraordinary shareholders' meeting of MPS of the delegation proposal for the Capital Increase reserved to the Offer, as well as (ii) the resolution, by the Board of Directors of MPS, of the Capital Increase reserved to the Offer, in exercise of the above mentioned delegation. The effectiveness of such resolutions will be subject to obtaining the necessary prior regulatory authorizations.

In particular, within 20 calendar days from the publication of the Notice 102, MPS shall submit, *inter alia*, an application to the European Central Bank and the Bank of Italy for the prior assessment that the amendments to the by–laws simultaneous to, and in connection with, the Capital Increase reserved to the Offer (and the related delegation of powers to the Board for its execution) do not conflict with the sound and prudent management of MPS, pursuant to Articles 56 and 61 of Legislative Decree No. 385/1993, as amended and supplemented ("**TUB**"), and the prior authorisation to count the new shares issued in the context of the aforesaid Capital Increase reserved to the Offer to be included in MPS' common equity tier 1, pursuant to Articles 26 and 28 of Regulation (EU) 575/2013 of the European Parliament and of the Council of 26 June 2013.

In addition, it should be noted that, as it is standard practice for this type of transactions, the Offer is subject to certain conditions of effectiveness (which may be waived by MPS), such as, without limitation, the so–called threshold condition (*i.e.* the acquisition of a participation equal to at least 66.67% of the voting rights exercisable in the shareholders' meetings of the Issuer).

The maximum amount of the Capital Increase, taking into account the shares of Mediobanca currently issued and outstanding (and without taking into account any adjustments, as described in the Notice 102), is equal to No. 1,916,543,285 newly issued MPS shares, which will be issued to the tendering shareholders of Mediobanca, representing approximately 60% of the share capital of MPS following the execution of the Capital Increase reserved to the Offer.

 

<sup>5</sup> Source: FactSet VWAP

<sup>6</sup> Source: FactSet VWAP

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

&nbsp;&nbsp;&nbsp;&nbsp;**2.3.** **Summary of the Committee's activities** 

Having regard to: (i) the nature of the Transaction, and having acknowledged that we are in the presence of a voluntary public exchange offer structured in its specific and characteristic elements by the top management, acting in complete autonomy, which clearly cannot be the subject of negotiations of any kind with any counterparty (as anticipated in Paragraph 1 above), and (ii) the unavoidable confidentiality requirements inherent to the Transaction itself, which, in the event of information leakage, could be irreparably compromised, the Committee was informed of the Transaction on the present day and immediately started the preparatory activities for its examination, in the context of two separate meetings, held – following the suspension of the Board meeting – at 2:30 p.m. and at 4:45 p.m. The meetings of the Committee were attended by all the directors who are members of the same Committee: Mrs. Paola De Martini (Chairman), Mrs. Alessandra Barzaghi and Mr. Renato Sala, as well as the independent director Mr. Raffaele Oriani, who was invited by the Committee members to attend its meetings.

Therefore, on the occasion of the involvement of the Board of Directors and of the Committee, the management of MPS ensured the timely delivery of complete and exhaustive documentation, drafted also with the assistance of the financial and legal advisors of the Board of Directors, in order to allow the Committee to analyse and evaluate, albeit with a duly restricted timeframe, the main terms and conditions of the Transaction in its entirety, the timing envisaged for its implementation, the proposed evaluation procedure and the underlying rationales of the Transaction.

In this context, the Committee exercised its right to request information and make information requests, and received feedback from the management.

The Committee carried out its preliminary investigation and evaluation activities without the assistance of separate experts for the examination of the financial, economic and industrial aspects of the Transaction, making exclusive reference to the exhaustive documentation made available by the management of MPS, with the assistance of the financial advisors J.P. Morgan Securities plc and UBS Europe SE and relying on the contribution of McKinsey & Company. In particular, the Committee, by prioritizing substance over form, assessed the importance of considering primarily the context in which the Transaction takes place and its specific structure.

For the purposes of this opinion, the Committee received from the Bank (and acknowledged) the following documentation:

&nbsp;&nbsp;&nbsp;&nbsp;(v) a memorandum, prepared for the benefit of the Board of Directors, containing the management's presentation
in support of the Transaction and, in particular, the opinion of Prof. Avv. Emanuele Rimini, which highlights, *inter alia*, the
applicability of the regulations concerning related party transactions, in compliance with internal rules and regulations on the matter;

&nbsp;&nbsp;&nbsp;&nbsp;(vi) a document supporting the valuation of Mediobanca prepared by the investment banks J.P. Morgan Securities
plc and UBS Europe SE, financial advisors of MPS with reference to the VEO; and

&nbsp;&nbsp;&nbsp;&nbsp;(vii) a supplement to this documentation prepared, following questions raised during the meeting's debate,
during the break occurred at the board meetings held on 23 January 2025.

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

&nbsp;&nbsp;&nbsp;&nbsp;**3.** **MPS' interest in the completion of the Transaction and the substantial and procedural fairness of the Transaction** 

&nbsp;&nbsp;&nbsp;&nbsp;**3.1.** **Interest and economic convenience in the completion of the Transaction** 

On the basis of the documentation examined and the information and clarifications provided by the Bank's management, the Committee believes that the Offer and, consequently, the Capital Increase has a significant industrial and strategic value for MPS, as it may enable:

&nbsp;&nbsp;&nbsp;&nbsp;(viii) significant revenue synergies, preliminarily estimated at approximately Euro 0.3 billion per year, due
to the expansion of the services' offering and the strengthening of factory capacities, as well as increased penetration in key
segments. A significant contribution to synergies is expected in particular from the increased penetration of consumer finance and mortgage
products, the integration of the value chain in the investment sector, the sharing of best practices in the asset gathering sector, the
offering of Advisory services to MPS' corporate customers, and the enhancement of the offering to small businesses and small economic
operators by leveraging the combined entity's network;

&nbsp;&nbsp;&nbsp;&nbsp;(ix) a reduction in operating costs by minimising duplication with synergies estimated at approximately Euro
0.3 billion, through optimisation of central functions and IT and administrative expenses;

&nbsp;&nbsp;&nbsp;&nbsp;(x) a more balanced funding mix, due to MPS' commercial financing capacity, resulting in estimated synergies
of approximately Euro 0.1 billion per year, optimising the wholesale funding position of the combined entity;

&nbsp;&nbsp;&nbsp;&nbsp;(xi) a combination from the two banks' strategic technology and digital investment initiatives, which
have multiple areas of similarity. By way of example, reference is made to investment initiatives with the aim of developing distinctive
digital platform in Wealth Management, CIB business and Consumer Finance;

&nbsp;&nbsp;&nbsp;&nbsp;(xii) one–off integration costs are estimated at approximately Euro 0.6 billion before tax, to be spent
in the first year.

The Transaction will also accelerate the utilisation of the DTAs held by MPS, with an estimated net present value for the benefit of Mediobanca's shareholders of Euro 1.2 billion, equal to approximately 10% of Mediobanca's current market capitalisation.

MPS expects to maintain a solid capital base (pro–forma Common Equity Tier 1 ratio of around 16%) upon completion of the Transaction, supported by increased organic capital generation.

In this context, the Committee assessed the Transaction as a whole and analyded in detail, also with the support of the management and aforementioned advisors of the Bank, the consideration offered in the context of the Transaction. In this regard, the Committee determined that the consideration of the Offer, which includes a premium equal to 5.03% over the official price of Mediobanca's shares as of the close of trading of 23 January 2025, is consistent with the market values based on the assessments illustrated by the advisors in the context of the presentation made to the Board of Directors, and is justified by the benefits, which all MPS' shareholders will be able to benefit from in the event of a successful outcome of the Transaction, generated by the synergies arising from the industrial and strategic project proposed by the Bank's management. The Committee concluded that, despite the challenges of comparing this Transaction to similar ones, the consideration of the Offer, and thus, the premium offered to Mediobanca's shareholders who will accept the VEO, falls within a range deemed reasonable.

&nbsp;&nbsp;&nbsp;&nbsp;**3.2.** **Procedural and substantive Fairness of the Transaction** 

From the standpoint of the convenience and substantive fairness of the terms and conditions of the Transaction and,

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

in particular, of the Capital Increase, the Committee notices that the Board of Directors of MPS availed itself of the support of leading financial advisors of proven professionalism in determining the structural, economic and financial elements of the Transaction, and complied with the legal and regulatory obligations required for the purposes of the VEO and its ancillary documents.

As noted in the preceding paragraphs, the Committee then acknowledges that the convenience of the Transaction is proven by reasons of an industrial, strategic, economic and financial nature, which confirm the suitability of the VEO to generate value for the shareholders of MPS and also of Mediobanca, and thereby justifying the consideration of the Offer and the premium awarded to Mediobanca's shareholders who will accept the VEO. In this context, the Committee does not identify any misalignment that could potentially harm the interests of MPS per se, confer an advantage to related parties over other shareholders, or alter the principle of equal treatment among MPS shareholders.

The technical and legal modalities through which the Transaction will be executed ensure its substantive and procedural fairness, specifically:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the Capital Increase must be approved by MPS' extraordinary shareholders' meeting and, in
the context of such meeting, all shareholders with voting rights will have the chance to express themselves with respect to the proposal;
and

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the implementation procedures of the Offer, ensuring full equal treatment for all Mediobanca's shareholders,
will allow all shareholders full discretion as to whether or not to accept the Offer.

Ultimately, what is highlighted under (i) and (ii) above ensures that all parties involved will be able to appreciate the industrial rationale and "economic reason" of the Transaction.

&nbsp;&nbsp;&nbsp;&nbsp;**4.** **Conclusions** 

With the objective of pursuing the sound and prudent management of the Bank, the Committee, having examined and acknowledged the documentation made available by the management

**ACKNOWLEDGED THAT**

- all that is set forth in paragraph 3 above highlights the rationale of the Transaction – from an industrial, strategic and economic/financial point of view – as well as the relevant convenience;

- on the basis of the above documentation made available to the Committee, and in light of the purposes underlying the Transaction as a whole, it corresponds to an actual, present and concrete interest of the Bank;

the process followed to date, also with reference to the material terms and conditions of the Transaction, including the determination of the consideration of the VEO and, therefore, of the amount of the Capital Increase reserved to the Offer, appears to be correct and compliant with the applicable regulatory provisions and consistently reflects the existing relationship between the values of the economic capitals of MPS and Mediobanca;

**In light of all of the above**

The Committee unanimously resolves upon

&nbsp;&nbsp;&nbsp;&nbsp;(i) the clear existence of the strong industrial–strategic rationale of the Transaction as a whole and,

THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

therefore, of the Capital Increase reserved to the Offer;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) that the valuation range presented by J.P. Morgan Securities plc and UBS Europe SE includes reasonable
elements.

 ****

***AND GIVES ITS FAVOURABLE OPINION***

**to the transaction, considering the Offer Consideration (consisting of No. 2.300 newly issued shares of MPS in execution of the Capital Increase reserved to the Offer) and the related premium (equal to 5.03% compared to the official price of Mediobanca shares recorded at the close of trading of 23 January 2025) which, notwithstanding the difficulties of comparison with similar transactions, remains within a range characterised by criteria of reasonableness, recognising – having ascertained the requirements of economic convenience and substantial fairness of the terms of the Transaction – the existence of the Bank's interest in the completion of the Transaction.**

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|:---|:---|
| Siena, 23 January 2025 |  |
|  | **The Committee for Related Party Transactions** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**of Banca Monte dei Paschi di Siena S.p.A.** |  |
|  | The Chairman |
|  | *(Avv. Paola De Martini)* |
|  | /s/ Avv. Paola De Martini |

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THIS DOCUMENT MUST NOT BE DISCLOSED, PUBLISHED, OR DISTRIBUTED, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY, IN ANY COUNTRY WHERE SUCH DISCLOSURE, PUBLICATION, OR DISTRIBUTION WOULD CONSTITUTE A VIOLATION OF APPLICABLE LAWS OR REGULATIONS IN THAT JURISDICTION.

**[This English translation of the Information Document on related party transactions of mayor importance is for courtesy only and shall not be relied upon by the recipients. The Italian version of the Information Document on related party transactions of mayor importance is the only official version and shall prevail in case of any discrepancy with this English courtesy translation of it.]**

## Exhibit 99.13

**Exhibit 99.13**

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| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

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&nbsp;&nbsp;***English translation for courtesy purposes only. In case of discrepancies between the Italian version and the English version, the Italian version shall prevail***

**BANCA MONTE DEI PASCHI DI SIENA S.P.A.**

Board of Directors

26 June 2025

**Explanatory report of the Board of Directors of Banca Monte dei Paschi di Siena S.p.A., regarding the resolution proposed by the Board itself – in exercise of the delegation granted by the Shareholders' Meeting of Banca Monte dei Paschi di Siena S.p.A., in extraordinary session, on 17 April 2025 – of a paid share capital increase, in one or more tranches, in divisible form, for a maximum nominal amount of Euro 13,194,910,000.00, plus share premium, through the issuance of a maximum of No. 2,230,000,000 ordinary shares, with no nominal value, with regular dividend rights and the same characteristics as those outstanding as of the issue date, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, to be paid up by contribution in kind of the shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, tendered in acceptance of the public exchange offer relating to all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by Banca Monte dei Paschi di Siena S.p.A. on 24 January 2025 with notice pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, and launched on 13 February 2025 through the filing of the offer document with Consob.**

&nbsp;&nbsp;NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

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|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

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This explanatory report (the "**Report**") unanimously approved by the Board of Directors on 26 June 2025 and prepared pursuant to Articles 2441, paragraph 6, of the Italian Civil Code and 70, paragraph 7, letter a) of the issuers' regulation adopted by Consob Resolution No. 11971 of 14 May 1999 and subsequent amendments and additions (the "**Issuers' Regulation**"), sets out the terms, conditions and reasons for the capital increase that the Board of Directors of Banca Monte dei Paschi di Siena S.p.A. (the "**Bank**" or the "**Company**", or the "**Offeror**" or "**BMPS**") intends to resolve in the exercise of the delegation granted by the Shareholders' Meeting of BMPS, in extraordinary session, on 17 April 2025, pursuant to Article 2443 of the Italian Civil Code (the "**Delegation**").

**1.** **DESCRIPTION OF THE TRANSACTION. REASONS FOR AND ALLOCATION OF THE CAPITAL INCREASE** 

The exercise of the Delegation referred to in this Report is part of the broader context of the voluntary public exchange offer (the "**VEO**" or the "**Offer**", including any permitted amendments, additions or variations), promoted by the Bank's Board of Directors pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998 (the "**TUF**"), as well as the applicable implementing provisions set forth in the Issuers' Regulation, concerning all the ordinary shares issued by Mediobanca – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), a joint-stock company with shares listed on Euronext Milan ("**Euronext Milan**"), a regulated market organized and managed by Borsa Italiana S.p.A., including treasury shares held by Mediobanca.

The Offer was announced to the market and to Consob on 24 January 2025 (the "**Communication Date**") by means of a notice pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the Issuers' Regulation (the "**Offeror's Communication**", available on the Bank's website at *<u>https://www.gruppomps.it/en/corporate-governance/voluntary-public-exchange- offer.html</u>*) and launched on 13 February 2025 by submitting – pursuant to Article 37-*ter* of the Issuers' Regulation – to Consob, *inter alia*, the Offer document (the "**Offer Document**") prepared pursuant to Schedule 2A of Annex 2 of the Issuers' Regulation.

As better described in the Offeror's Communication and in the explanatory report on the first item on the agenda of the Shareholders' Meeting of BMPS, in extraordinary session, on 17 April 2025, made available to the public on 18 March 2025, as subsequently supplemented upon Consob's request (the "**Shareholders' Meeting Report**"), as well as the information document pursuant to Article 70 of the Issuers' Regulation, made available to the public on 2 April 2025 – whose publication was anticipated with respect to the deadlines set out in the applicable regulations, in order to allow BMPS' shareholders to receive as much information as possible before the BMPS Shareholders' Meeting of 17 April 2025 – (the "**Information Document**"), the acquisition of Mediobanca will create a new Italian banking champion through the combination of two of the most distinctive brands in the financial services market. BMPS believes that the Offer represents an ideal opportunity for further development and growth for both institutions and offers significant value creation for the shareholders of both companies and for all stakeholders. The aggregation with Mediobanca, if completed, will create the third national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets, and a highly diversified, resilient player with distinctive and complementary capabilities in each business area and a significant degree of innovation and support for growth, with the potential to compete with the leading Italian and European banks, by fully leveraging its existing human capital.

The Offeror's Communication provided that BMPS would have recognized, as consideration to the tendering shareholders in the context of the VEO, subject to any adjustments, No. 23 newly issued ordinary shares of BMPS with the same characteristics as the ordinary shares of BMPS currently outstanding for each No. 10 Mediobanca shares tendered in acceptance of the Offer (the "**Consideration**"): and therefore a ratio of No. 2.300 newly issued ordinary shares of BMPS for each Mediobanca share tendered in acceptance of the VEO.

On 17 April 2025, the Shareholders' Meeting of BMPS, in extraordinary session, approved the Delegation to increase the share capital of BMPS reserved to the Offer (the "**Capital Increase Reserved to the Offer**").

In particular, the shareholders' resolution granting the Delegation provides that the Capital Increase Reserved to the Offer may be resolved by the Board of Directors by 31 December 2025, even in one or more tranches and in divisible form, with the exclusion of the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for an amount equal to Euro 5.917 for each newly issued share (corresponding to the implied nominal value, rounded to the third decimal number, of the issued BMPS shares, as recorded on the date of the Shareholders' Meeting Report) and, therefore, for a

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|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

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maximum share capital of Euro 13,194,910,000.00, plus share premium, through the issuance of a maximum of No. 2,230,000,000 shares (the "**Maximum Share Amount**"), with no nominal value, with regular dividend rights and the same characteristics as the ordinary shares of BMPS already outstanding as of the issue date, and which will be listed on Euronext Milan (the "**BMPS Shares**"), to be paid up by contribution in kind as they are reserved to the VEO.

It should be noted that, based on the terms of the Offer, the Maximum Share Amount was calculated, for the sake of utmost caution, and according to a highly conservative approach, taking into account the following factors, and namely: (i) the amount of the dividend approved by the Shareholders' Meeting of BMPS (equal to Euro 0.86 per share), (ii) the maximum of No. 16,178,862 additional shares (the "**Additional Shares**") that could be issued by Mediobanca to serve certain long-term share- based incentive plans (the "**Incentive Plans**" or "**Plans**")1 (if revised by the competent bodies of Mediobanca to provide for their acceleration, where envisaged by the individual Plans, and provided that some of them include the possibility to use Mediobanca's treasury shares in portfolio instead of the Additional Shares, without prejudice to the limitations underlying the issuance of Additional Shares under the Plans), and (iii) the fact that, as of the date of the Shareholders' Meeting Report, the Mediobanca's Board of Directors had not yet resolved on the distribution of the interim dividend to its shareholders (as already announced by Mediobanca on 10 February 2025) and on the cancellation of treasury shares held in portfolio.

Without prejudice to the above, it should be noted that, the aforementioned Consideration (equal to No. 2.300 newly issued BMPS Shares for each Mediobanca share tendered in acceptance of the VEO) has been determined by the Board of Directors of BMPS on the basis of its own analysis and considerations, carried out with the advice and support of its financial advisors, on the assumption that, prior to the Offer payment date: *(x)* the Issuer and/or the Offeror did not approve or proceed with any ordinary distribution (including interim dividends) or extraordinary distribution of dividends drawn from profits and/or other reserves; and *(y)* the Issuer did not approve or proceed with any transaction on its share capital and/or on Mediobanca shares.

The Offeror's Communication also provided that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay(s) a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the ex-coupon (cedola) relating to dividends resolved upon but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca Shares and/or the MPS shares, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) or the reserve distributed*".

Therefore, on 20 May 2025, the Bank announced to the market, following the detachment of the coupons and the related payments of: (i) the dividend approved by the Shareholders' Meeting of BMPS on 17 April 2025 (equal to Euro 0.860 per BMPS share, the "**MPS Dividend**"), and (ii) the interim dividend (based on the results as of 31 December 2024) approved by the Board of Directors of Mediobanca on 8 May 2025 (equal to Euro 0.560 per Mediobanca share, the "**Mediobanca Interim Dividend**"), that it had made the resulting technical adjustment, equal to No. 0.233 BMPS shares. As of the date of this Report, the Consideration (following the said adjustment) is therefore equal to No. 2.533 BMPS Shares for each Mediobanca share tendered in acceptance of the Offer.

Therefore, as of the date of this Report, the Consideration (following the said adjustment) – subject to any further adjustments based on the information provided in the Offeror's Communication and/or any restructuring and/or changes to the content and/or structure of the Offer – is equal to No. 2.533 BMPS shares for each Mediobanca share tendered in acceptance of the Offer.

For information on the further scenarios which would trigger further adjustments, please refer to the Offeror's Communication.

It is acknowledged that, the number of new BMPS Shares to be issued will depend on the level of acceptances actually received during the Offer and may vary, subject to compliance with the maximum amount indicated above, also due to any changes

<sup>1</sup> Based on publicly available information, the following long-term share-based incentive plans, which may be served, in whole or in part, with newly issued shares of Mediobanca approved by the Issuer itself, are currently in place:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. 2015 Performance Share Plan, approved by Mediobanca's ordinary Shareholders' Meeting on 28 October 2015 (and updated
by the Ordinary Shareholders' Meeting on 28 October 2019);

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. 2019-2023 Long Term Incentive Plan, approved by Mediobanca's ordinary Shareholders' Meeting on 28 October 2019;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. Long Term Incentive Plan 2023-2026, approved by Mediobanca's ordinary Shareholders' Meeting on 28 October 2023; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. Share Ownership and Co-Investment Plan 2023-2026, approved by Mediobanca's ordinary Shareholders' Meeting on 28 October 2023.

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| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

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that may be made to the Offer in accordance with applicable regulations.

With reference to the prior authorizations required by applicable law and sector regulations pursuant to Article 102, paragraph 4, of the TUF in relation to the Offer, the following are reported, among others:

(i) the authorization from the European Central Bank relating to the classification of the new shares issued in the context of the Capital
Increase Reserved to the Offer as Common Equity Tier 1 (CET 1) capital, as well as the related and consequent amendments to the By-laws;

(ii) the authorization from the Italian Insurance Supervisory Authority (IVASS) relating to the acquisition, through Mediobanca, of an
indirect qualifying holding in Assicurazioni Generali S.p.A.; and

(iii) authorizations from the European Central Bank relating to the acquisition of a direct controlling shareholding in Mediobanca and an
indirect shareholding in Mediobanca Premier S.p.A. and Compass Banca S.p.A., as well as the acquisition of a shareholding in Mediobanca
whose value exceeds 10% of the Group's regulatory capital and in the relevant indirect shareholdings; for further details in this
regard, reference should be made to the press release issued by the Bank on 25 June 2025.

The Board of Directors is now called upon to resolve, in exercise of the Delegation, the Capital Increase Reserved to the Offer – so that the Offer may commence – subject to: (i) the approval by Consob of the Offer Document, and (ii) the fulfilment (or waiver, in whole or in part, where applicable) of the "Conditions for the Effectiveness of the Offer" set forth in Paragraph 1.5 of the Offeror's Communication, as well as in the Offer Document to be published and submitted for approval to Consob.

As anticipated, it should be noted that, the Capital Increase Reserved to the Offer may also be carried out in several tranches, and, in particular, on the payment date of the Consideration or, if the conditions are met, on the payment dates of the reopening of the acceptance period and/or the payment dates relating to the sell-out and/or the squeeze-out pursuant to Articles 108 and 111 of the TUF.

In any case, all the powers and prerogatives of the Board of Directors with regard to the transaction (including, for the sake of clarity, the possibility of restructuring and/or modifying the content and/or structure of the Offer and/or identifying different and/or additional methods for executing it) remain unaffected in accordance with applicable law.

**2.** **NUMBER, CATEGORY, LISTING AND DATE OF ENTITLEMENT OF THE SHARES TO BE ISSUED RESERVED TO THE CONTRIBUTION** 

As anticipated, the Capital Increase Reserved to the Offer will amount to a maximum of No. 2,230,000,000 BMPS Shares (*i.e.*, the Maximum Share Amount) to be issued and paid up by contribution in kind to BMPS of the Mediobanca shares tendered in acceptance of the Offer, and/or, in the context of the voluntary reopening of the acceptance period, and/or in execution of the sell-out pursuant to Article 108 of the TUF, and/or the squeeze-out pursuant to Article 111 of the TUF, if applicable.

In this context, based on the exchange ratio indicated in the Offeror's Communication, as amended following the technical adjustment related to the payment of the MPS Dividend and the Mediobanca Interim Dividend announced to the market on 20 May 2025, and subject to any further adjustments indicated in the Offeror's Communication, the BMPS Shares (newly issued) to be paid up by the contribution in kind of Mediobanca shares correspond to, by way of example, No. 2.533 BMPS shares for every No. 1.000 Mediobanca shares tendered in acceptance of the Offer.

If the result of applying the exchange ratio to the Mediobanca shares tendered in acceptance of the Offer is not a whole number of newly issued BMPS Shares, the intermediary responsible for coordinating the collection of acceptances shall aggregate the fractional units of BMPS Shares pertaining to the tendering shareholders and subsequently sell on Euronext Milan the whole number of BMPS Shares resulting from such aggregation, for the purpose of balancing the transaction, at no expense to Mediobanca shareholders. The cash proceeds from such sales will be transferred to each intermediary responsible for the collection of acceptances of the Offer, which will then credit the relevant tendering shareholders in proportion to their fractional shares. Further information on the handling of fractional shares will be provided in the Offer Document to be published and submitted for approval to Consob.

It should be noted that, as indicated in the Shareholders' Meeting Report, the Maximum Share Amount has been increased from No. 1,916,543,285 (the amount disclosed in the Offeror's Communication) to No. 2,230,000,000, for the sole purpose of ensuring coverage in all possible hypothetical scenarios of adjustment of the Consideration (in accordance with the

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Offeror's Communication and the Shareholders' Meeting Report), according to a highly conservative approach.

Also in light of the fact that the exchange ratio was subject to a technical adjustment of a purely numerical nature, as a result of the payments of the MPS Dividend and the Mediobanca Interim Dividend, without prejudice to any further adjustments based on the Offeror's Communication and/or any restructuring and/or changes to the content and/or structure of the Offer, it may not be necessary to issue the entire Maximum Share Amount.

In any case, the newly issued BMPS Shares – which will be issued following: (i) the resolution of the Capital Increase Reserved to the Offer by the Board of Directors of BMPS, and (ii) the fulfilment (or any waiver, in whole or in part, by BMPS) of the "Conditions for the Effectiveness of the Offer" indicated in Paragraph 1.5 of the Offeror's Communication, as well as in the Offer Document to be published and submitted for approval to Consob – will have the same dividend rights as the BMPS ordinary shares outstanding as of the issue date and, therefore, will confer to their holders the same rights as the BMPS shares already outstanding at the time of issuance and will be admitted to trading on Euronext Milan from the payment date of the Consideration.

**3.** **CRITERIA FOR DETERMINING THE EXCHANGE RATIO BETWEEN BMPS SHARES AND MEDIOBANCA SHARES AND FOR THE SUBSEQUENT DETERMINATION OF THE NUMBER OF NEWLY ISSUED BMPS SHARES** 

**3.1.** **Background** 

As anticipated, based on the information provided in the Offeror's Communication, BMPS would recognize as consideration to the tendering shareholders in the context of the VEO, for every No. 10 Mediobanca shares tendered in acceptance of the Offer, No. 23 newly issued BMPS ordinary shares with the same characteristics as the BMPS ordinary shares currently outstanding. This was equivalent to a ratio of No. 2.300 newly issued BMPS ordinary shares for each Mediobanca share tendered in acceptance to the VEO, subject to any adjustments indicated in the Offeror's Communication.

On 20 May 2025, the Bank announced to the market that, following the payment of the MPS Dividend (equal to Euro 0.86 per BMPS share) and the Mediobanca Interim Dividend (equal to Euro 0.56 per Mediobanca share) on 21 May 2025, the exchange ratio had been technically adjusted to 0.233 BMPS shares.

Therefore, the current exchange ratio, subject to any further adjustments based on the Offeror's Communication and/or any restructuring and/or changes to the content and/or structure of the Offer, is equal to No. 2.533 BMPS shares for each Mediobanca share tendered in acceptance of the VEO.

**3.2.** **Valuation criteria selected by the Directors for the determination of the exchange ratio** 

For the purposes of the Offer, and given the nature of the Consideration represented by newly issued ordinary shares of the Offeror offered in exchange for ordinary shares of the Issuer tendered in acceptance of the Offer, the Board of Directors of BMPS has carried out a valuation of the shares of Mediobanca and BMPS, in order to express a relative estimate of their values, based on publicly available data and information. The assumptions and estimates made should therefore be understood in relative terms and with limited reference to the Offer. The valuation analyses carried out by the Board of Directors to determine the exchange ratio were carried out on a comparative basis, giving priority to the principle of relative homogeneity and comparability of the valuation methods applied.

It should be noted that the valuation criteria set out below were applied prior to the payment of the MPS Dividend and the Mediobanca Interim Dividend and, therefore, the adjustment of the Consideration, as announced to the market on 20 May 2025, is a technical adjustment aimed at maintaining the economic terms of the Offer unchanged.

The valuation methodologies and the resulting economic values of the Mediobanca and BMPS shares were identified for the purpose of determining the number of BMPS shares to be issued reserved to the VEO, based on the outcome of the Offer. Under no circumstances should these valuations be considered as possible indications of the market price or value, current or prospective, in a context other than that under review.

The valuations carried out by the Board of Directors of BMPS refer to the economic and market conditions as of 23 January 2025, corresponding to the trading day prior to the communication date of the VEO (the "**Reference Date**") and to the economic, financial and equity position of BMPS and Mediobanca, as reported in the consolidated interim financial statements as of 30 September 2024, in the consolidated financial statements as of 31 December 2023 for BMPS, in the consolidated

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financial statements as of 30 June 2024 for Mediobanca, and in the related press releases and presentations of the results addressed to the financial community.

In particular, for the purpose of the determination of the Consideration, the Board of Directors of BMPS decided to use: the following valuation methods, all with equal significance:

- the Stock Market Price Method;

- the market multiples method in the variant of the stock market price of comparable listed companies on their prospective earnings; and

- the target price methodology highlighted by research analysts.

The choice of the methodologies and the results of the valuation analyses carried out by BMPS as at the Reference Date for the purpose of determining the exchange ratio must be interpreted in light of the ratio presented the following main limitations and difficulties:

&nbsp;&nbsp;&nbsp;&nbsp;(i) the Bank used exclusively public data and information for Mediobanca for the purposes of its analyses;

&nbsp;&nbsp;&nbsp;&nbsp;(ii) the Bank did not perform any financial, legal, commercial, tax, industrial or any other due diligence activities on Mediobanca;

&nbsp;&nbsp;&nbsp;&nbsp;(iii) as at the reference date, an updated business plan for Mediobanca with a time horizon consistent with that of BMPS was not publicly
available. Accordingly, where relevant to the application of the valuation methods, the projections of future economic performance used
for BMPS were inferred on the basis of the estimates of the 2024-28 Business Plan while, for Mediobanca, were derived on the basis of
the estimates provided by research analysts;

&nbsp;&nbsp;&nbsp;&nbsp;(iv) the analyses conducted reflect the peculiarities of valuation methodologies, whose reliability is inherently limited by a number of
factors.

The following is a summary description of each of the methodologies used to determine the Consideration:

&nbsp;&nbsp;&nbsp;&nbsp;(a) <u>Stock Market Price Method</u>: the Stock Market Price Method uses market prices as the relevant information for estimating the
economic value of companies, using for this purpose the stock market prices expressed in share prices recorded in intervals of time deemed
significant and on the assumption that there is a correlation between the prices expressed by the market for the shares of the companies
being valued and their economic value. The main characteristic of this methodology lies in the possibility of expressing in relative terms
the relationship existing between the values of the companies in question as perceived by the market.

In this specific case, it was deemed appropriate to apply this methodology by adopting the following criteria: (a) use of the official prices of the Offeror's and Mediobanca's shares recorded on the Reference Date; (b) use of the weighted average official prices in connection with the volumes of BMPS' and Mediobanca's shares (the so-called Volume Weighted Average Price) with reference periods of 1 month, 2 months, 3 months, 6 months and 1 year prior to the announcement date (i.e., 24 January 2025).

The following table shows (i) the implied exchange rates and (ii) the premiums that the Consideration incorporates based on the BMPS and Mediobanca Weighted Average Prices recorded on the Reference Date and in the periods indicated **below** prior to the Reference Date (included).

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| | **Weighted Average Price (Euro)** | **Weighted Average Price (Euro)** | **Implied Exchange<br> Ratio (x)** | **Implied Premium vs.<br> Market Prices** |
| <br>**Reference Period** | **BMPS** | **Mediobanca** | **Implied Exchange<br> Ratio (x)** | **Implied Premium vs.<br> Market Prices** |
| Values based on the prices as of 23 January 2025 | 6.953 | 15.227 | 2.190 | 5.03% |
| Values based on the weighted average prices over 1 month (including 23 January 2025) | 6.954 | 14.795 | 2.127 | 8.11% |

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| Values based on the weighted average prices over 2 months (including 23 January 2025) | 6.547 | 14.363 | 2.194 | 4.84% |
| Values based on the weighted average prices over 3 months (including 23 January 2025) | 6.099 | 14.508 | 2.379 | (3.31%) |
| Values based on the weighted average prices over 6 months (including 23 January 2025) | 5.567 | 14.703 | 2.641 | (12.91%) |
| Values based on the weighted average prices over 12 months (including 23 January 2025) | 4.724 | 13.928 | 2.948 | (21.99%) |

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&nbsp;&nbsp;&nbsp;&nbsp;(b) <u>Market Multiples Method</u>: according to the Market Multiples Method, the value of a company is determined by taking as a reference
the indications provided by the stock market with regard to companies with similar characteristics to the company being valued.

The criterion is based on the determination of multiples calculated as the ratio between stock market values and economic, asset and financial metrics of a selected sample of comparable companies. The multiples thus determined are applied, with the appropriate additions and adjustments, to the corresponding magnitudes of the company being evaluated, in order to estimate a range of values. For the purposes of the Offer and on the basis of the characteristics typical to the banking sector and market practice, the Price/Projected Earnings multiple in 2025 and 2026 was selected (the multiples for the years following 2026 were deemed to be of limited significance, considering the lower reliability and greater variability that generally characterize consensus estimates for prospective years further out in time).

The degree of reliability of the market multiples method of valuation depends on an appropriate adaptation of the method itself to the specific valuation in question. In this regard, the similarity, from an operational and financial point of view, between the companies included in the reference sample and the companies subject to valuation is particularly relevant. The significance of the results is, in fact, dependent on the comparability of the sample. The securities of the selected companies shall also present a good degree of liquidity and shall not concern companies whose prices could be influenced by particular contingent situations.

It should be noted that, given the differences between the business models of BMPS and Mediobanca, a specific sample was used in order to better reflect the peculiarities of each company's business. In particular, for the purpose of the evaluation of BMPS, Intesa Sanpaolo, UniCredit, Banco BPM, BPER, Credito Emiliano and Banca Popolare di Sondrio were taken into consideration, while for the purpose of the evaluation of Mediobanca, Intesa Sanpaolo, UniCredit, FinecoBank, Banca Generali and Banca Mediolanum were taken into consideration.

The market multiples were applied, for BMPS, to the 2025 and 2026 estimates derived from the 2024-28 Business Plan and, for Mediobanca, to the 2025 and 2026 consensus estimates from research analysts (as provided by the information provider FactSet as of the Reference Date).

The following table shows the Price/Projected Earnings multiples for 2025 and 2026 of the selected companies as of the Reference Date, based on the consensus estimates of research analysts for 2025 and 2026, as provided by the information provider FactSet as of the Reference Date. For illustrative purposes and completeness, the table also shows the multiples of Mediobanca based on the prices as of the Reference Date and on the implied valuation of the Consideration based on the BMPS price as of the Reference Date.2

<sup>2</sup> The content of the above table does not imply any judgment by BMPS on any of the banking companies listed therein, except for Mediobanca, nor does it represent any opinion regarding investment or divestment evaluations related to any financial instrument or security.

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| | **Projected Price / Earnings** | **Projected Price / Earnings** |
| <br>**Comparable Companies** | **2025** | **2026** |
| Intesa Sanpaolo | 8.2 x | 8.1 x |
| UniCredit | 7.5 x | 7.6 x |
| Banco BPM | 8.4 x | 8.6 x |
| BPER | 7.2 x | 7.1 x |
| Credito Emiliano | 7.8 x | 8.1 x |
| Banca Popolare di Sondrio | 8.8 x | 9.3 x |
| FinecoBank | 18.6 x | 17.8 x |
| Banca Generali | 15.3 x | 14.7 x |
| Banca Mediolanum | 10.7 x | 10.7 x |
| **Mediobanca** | **9.6** **x** | **9.2** **x** |
| **Mediobanca at the Consideration** | **10.0** **x** | **9.7** **x** |

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For the purposes of the valuation analysis of the Issuer, in light of the fact that a significant portion of the Issuer's profitability is generated by the qualified shareholding in Assicurazioni Generali S.p.A. (equal to 13.02% as of 30 June 2024), and considering that the latter company is listed, the market valuation has been used in this regard and the following approach was followed:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Mediobanca's prospective profit (based on consensus net profit estimates
by research analysts for 2025 and 2026, as provided by the info provider FactSet as of the Reference Date) was reduced by the amount relating
to the contribution of Assicurazioni Generali (also based on the same source as of the Reference Date) (the "**Prospective Profit Excluding Assicurazioni Generali** ");

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the average multiple of the companies belonging to the reference sample relating
to Mediobanca (Intesa Sanpaolo, UniCredit, Finecobank, Banca Generali and Banca Mediolanum) was applied to the Prospective Profit Excluding
Assicurazioni Generali, resulting in a valuation of Mediobanca that consequently excludes the value of the investment in Assicurazioni
Generali (the "**Valuation Excluding Assicurazioni Generali** ");

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the market value of the stake in Assicurazioni Generali (calculated by multiplying
the market capitalization of Assicurazioni Generali as of 23 January 2025 by the stake held by Mediobanca, equal to 13.02% as of
30 June 2024) was added to the Valuation Excluding Assicurazioni Generali, in order to obtain the overall valuation of Mediobanca
(the "**Overall Valuation** ").

<u>Market multiples method: use of a range of +/ - 15% of the average value</u>

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The range used in relation to the market multiples method (P/E 2025 and P/E 2026), equal to +/-15% of the exchange ratio calculated on the Reference Date, was estimated taking into account the fluctuations of the ratio itself in the twelve months prior to the Reference Date.

In particular, in the above time window, the deviation from the average minimum/maximum exchange ratio is +/- 12% using the P/E 2025 method and +/- 15% using the P/E 2026 method, respectively. Therefore, the range applied in the methodology presented in the Explanatory Report of the Board of Directors (+/- 15%) reflects the higher value between the two methods mentioned above.

&nbsp;&nbsp;&nbsp;&nbsp;(c) <u>Research analysts' target price method</u>: the target price method determines the value of a company based on the target
prices that financial analysts publish on the company. Target prices are indications of value that express an assumption about the price
that a share can reach on the stock market and are derived from multiple valuation methodologies used at the discretion of the individual
research analyst.

For the purpose of applying the target price methodology, the target prices of BMPS' and Mediobanca's ordinary shares as indicated by the research analysts relating to the companies, as available up to the Reference Date, and published following the release of BMPS' and Mediobanca's preliminary results as of 30 September 2024 (announced on 8 November 2024 and 12 November 2024, respectively) were used.

The valuation methodologies described above have been applied on an individual and business continuity basis for both BMPS and Mediobanca and also taking into account the specific features of the Offer.

In order to determine the exchange ratio, ranges of values were identified for each valuation method, *i.e.*: (i) for the market multiples method, a range of +/- 15% with respect to the average value and, (ii) for the target price method highlighted by research analysts, a minimum value calculated as the ratio between the minimum target prices of Mediobanca and BMPS and a maximum value calculated as the ratio between the maximum target prices of Mediobanca and BMPS.

On the basis of the analyses carried out according to the evaluation criteria described above, the following findings emerged.

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| | **Implied exchange ratio** | **Implied exchange ratio** |
| <br>**Methodology** | **Minimum** | **Maximum** |
| <u>Stock Market Price Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;Spot | 2.190x | 2.190x |
| &nbsp;&nbsp;&nbsp;1 month | 2.127x | 2.127x |
| &nbsp;&nbsp;&nbsp;2 months | 2.194x | 2.194x |
| &nbsp;&nbsp;&nbsp;3 months | 2.379x | 2.379x |
| &nbsp;&nbsp;&nbsp;6 months | 2.641x | 2.641x |
| &nbsp;&nbsp;&nbsp;12 months | 2.948x | 2.948x |
| <u>Market Multiples Method</u> |  |  |
| &nbsp;&nbsp;&nbsp;P/E 2025 | 1.937 x | 2.621 x |
| &nbsp;&nbsp;&nbsp;P/E 2026 | 1.880 x | 2.543 x |
| <u>Target price method highlighted by research analysts</u> | 2.046 x | 2.433 x |

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The Board of Directors of BMPS has determined an exchange ratio (*i.e.*, the number of BMPS Shares for each Mediobanca share tendered in acceptance of the Offer) equal to 2.300x. This specific value was determined taking into account (i) the

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ranges identified through the application of the above methodologies, (ii) the overall characteristics of the transaction at stake, and (iii) the premium implied in the exchange ratio that it was decided to recognize, also in light of items (i) and (ii) above, with respect to the official price of Mediobanca shares as of the Reference Date. As anticipated, the economic terms of the Offer have been kept unchanged even following the technical adjustment of the Consideration.

**4.** **DETERMINATION OF THE ISSUE PRICE OF THE NEWLY ISSUED SHARES** 

As mentioned in Paragraphs 1 and 2, the Capital Increase Reserved to the Offer provides for the issue of a maximum of No. 2,230,000,000 BMPS Shares for a total share capital amount of Euro 5.917 per newly issued BMPS Share (an amount corresponding to the implied nominal value, rounded to the third decimal number, of the issued BMPS shares, as recorded on the date of the Shareholders' Meeting Report) and, therefore, for a maximum share capital of Euro 13,194,910,000.00, plus share premium.

The Board of Directors, without prejudice to the exchange ratio described and examined below, must determine the share premium pursuant to and for the purposes of Article 2441, paragraph 6, of the Italian Civil Code, *i.e.*, the portion of the issue price not allocated to share capital but to the share premium reserve.

In the context of capital increase transactions entailing the exclusion of the option right, to be paid up by contribution in kind and related to a business aggregation, the applicable international accounting standards require to record, in exchange for the issue of new shares, a total increase in BMPS' net equity corresponding to the fair value of the BMPS shares to be allocated to the tendering shareholders in the context of the Offer, net of ancillary costs directly attributable to the issue of the new shares. More precisely, this fair value will correspond to the stock market price (reference price) of the BMPS share on the trading day prior to the date on which the exchange with the Mediobanca shares tendered in acceptance of the Offer shall become legally effective.

Therefore, in the context of the Offer, it is the current regulatory framework, including accounting regulations, that requires the unit issue price of BMPS shares, which by definition means the increase in net equity recorded in connection with the share issue, to coincide with the fair value, that in the present case will correspond to the stock exchange price (reference price) of the BMPS share on the trading day prior to: (i) the payment date of the Consideration (subject to the fulfilment or waiver, where applicable, of the "Conditions of Effectiveness of the Offer" as indicated in Paragraph 1.5 of the Offeror's Communication and in the Offer Document to be published and submitted for approval to Consob), and, where applicable, (ii) the subsequent payment date of the Consideration following the reopening of the acceptance period, as provided for in the Offer Document to be published and submitted for approval to Consob, as well as (iii) the subsequent payment date of the Consideration in execution of the sell-out and/or squeeze-out pursuant to Articles 108 and 111 of the TUF, as provided for in the Offer Document submitted for approval to Consob; in any case, therefore, upon execution of the contribution of the Mediobanca shares tendered in acceptance of the Offer. The price thus determined shall therefore be taken as the fair issue price.

However, without prejudice - with reference to the maximum issue price of the new BMPS shares reflected in the determination of the share capital and share premium - to the statutory limitation constituted by the value that the Independent Expert (as defined below), in the context of its appraisal or in updates thereto, has attributed or will attribute to the Mediobanca shares subject to contribution pursuant to Articles 2440, paragraph 2, and 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code, it is provided that, if the increase in BMPS' equity, as determined above on the basis of the fair value, exceeds the value recognized by the Independent Expert, the difference will be allocated to another capital reserve, in accordance with IFRS accounting standards.

Without prejudice to the above, the Board of Directors also notes that the aforementioned methodology is in line with standard professional practice regarding capital increases of companies with shares listed on regulated markets, where the Stock Market Price Method is commonly accepted and used, both at national and international level.

In an efficient market, stock market prices generally express the value attributed by the market to the shares being traded and, consequently, provide relevant information on the value of the company to which the shares refer, as they reflect the information available to analysts and investors, as well as their expectations regarding the Bank's economic and financial performance. For the purpose of applying the Stock Market Price Method, it is assumed that:

· the security is traded on efficient markets;

· there is a free float, in relation to the share
capital traded on financial markets, such as to guarantee a level of liquidity, in

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relation to the daily trading volume, that is significant compared to the metrics that characterize the main securities on the reference list;

· there is significant coverage by financial analysts,
such as to ensure that the market is promptly informed of any external or internal events, as communicated by the issuer, that may have
an impact on the security's performance.

Finally, it should be noted that, PricewaterhouseCoopers S.p.A., as the company entrusted with the statutory audit of BMPS' accounts, has been appointed, pursuant to Article 2441, paragraph 6, of the Italian Civil Code and Article 158 of the TUF, to issue its fairness opinion on the issue price of the BMPS shares to be offered in the Offer, which will be issued in the context of the resolution of the Board of Directors of BMPS in exercise of the Delegation and made available to the public. This opinion, having as its subject matter the criterion indicated above, will not require updating when, upon execution of the contribution of Mediobanca's shares and, therefore, on the date of payment of the Consideration (including in exercise of the reopening of the acceptance period and/or the sell-out and/or the squeeze-out pursuant to Articles 108 and 111 of the TUF, if applicable), the issue price will be automatically and definitively determined, based on the updated data available on that date and in accordance of the above criterion.

**5.** **VALUE OF THE CONTRIBUTED ASSETS REFERRED TO IN THE APPRAISAL PURSUANT TO ARTICLES 2440, PARAGRAPH 2, 2343- *TER*, PARAGRAPH 2, LETTER B), AND 2343- *QUATER* OF THE ITALIAN CIVIL CODE** 

As provided for by the applicable provisions of the Italian Civil Code for the hypotheses of contributions in kind, the value of the shares of Mediobanca to be contributed to BMPS must be subject to a specific valuation by an expert. In this regard, as already explained in the Offeror's Communication, in the Shareholders' Meeting Report and in the Information Document, the Board of Directors of BMPS resolved, pursuant to Article 2440, paragraph 2, of the Italian Civil Code, to rely on the provisions of Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code (also for the purposes of Articles 2343-*quater* and 2443, paragraph 4 of the Italian Civil Code) for the purpose of the valuation of the Mediobanca shares subject to the contribution in kind.

It should be noted that, these rules make it possible not to require a sworn appraisal of the assets subject to contribution to be prepared by an expert, appointed by the Court in the district where the contributing company has its registered office, in the event that, pursuant to Article 2343-*ter* of the Italian Civil Code, "*the value attributed, for the purposes of determining the share capital and any share premium, to the assets in kind [...] subject to contribution is equal to or lower [...] than the value resulting from a valuation referring to a date not more than six months prior to the contribution and in accordance with the generally recognised principles and criteria for the valuation of the assets to be contributed, provided that the valuation is made by an expert who is independent from the party making the contribution, from the company and from the shareholders who individually or jointly exercise control over the contributor or over the company itself, and is endowed with adequate and proven professionalism*".

The Bank has entrusted this task to KPMG Corporate Finance, a division of KPMG Advisory S.p.A. (the "**Independent Expert**"), which, on 14 March 2025, issued its appraisal on the valuation of Mediobanca's shares, which was made available to the public at the same time of the Shareholders' Meeting Report. The decision to use, in line with market practice in the case of public exchange offers, a valuation carried out by an independent expert pursuant to Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code, was also justified by the need to evaluate the contribution of a significant block of Mediobanca shares and not individual listed securities.

Upon request of the Bank, also in order to ensure that the Independent Expert's appraisal refers to a date not earlier than six months prior to the contribution, in accordance with Article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code, the Independent Expert issued a new appraisal, which was prepared taking into account the data and information available as of 31 March 2025 (and, therefore, with reference to the latter date), which thus constitutes the new reference date of the aforementioned appraisal.

In the new appraisal, issued on 26 June 2025, the Independent Expert concluded that, as of 26 June 2025, based on the economic and financial position as at 31 March 2025 and the elements and methods reported in its updated appraisal, the fair value of Mediobanca shares is not less than Euro 17.395 per each Mediobanca share, ex dividend, *i.e.*, net of Mediobanca's Interim Dividend.

In accordance with the law, the value attributed, for the purpose of determining the share capital and the share premium, to the Mediobanca shares tendered in acceptance of the Offer must be equal to or less than the value indicated in the

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aforementioned appraisal of the Independent Expert.

It should be noted that, in accordance with Article 2443, paragraph 4, of the Italian Civil Code, the board resolution exercising the Delegation and the Capital Increase Reserved to the Offer contains, for the purposes of registration in the Companies' Register, the declarations required by Article 2343-*quater*, paragraph 3, letters a), b), c) and e) of the Italian Civil Code, concerning: "*a) a description of the assets or receivables contributed for which the report of Article 2343, paragraph 1, has not been prepared; b) the value attributed to them, the source of such valuation and, where applicable, the valuation method; c) a statement that this value is at least equal to that attributed to them for the purpose of determining the share capital and any share premium; [...]; e) a declaration of compliance with the professional and independence requirements of the expert of Article 2343-ter, paragraph 2, letter b)*".

The declaration referred to in Article 2343-*quater*, paragraph 3, letter d), of the Italian Civil Code will instead be issued and filed for registration in the Companies' Register, within the terms provided for in Article 2443, paragraph 4, of the Italian Civil Code.

**6.** **STRUCTURE OF THE FINANCIAL INDEBTEDNESS FOLLOWING THE TRANSACTION** 

The contribution of the Mediobanca shares subject to the Offer is not expected to have any impact on the structure of BMPS' financial indebtedness.

**7.** **INFORMATION ON THE RESULTS OF THE LAST FINANCIAL YEAR AND GENERAL INDICATIONS ON THE PERFORMANCE OF THE BUSINESS AND THE OUTLOOK FOR THE CURRENT FINANCIAL YEAR** 

On 17 April 2025, the ordinary Shareholders' Meeting of BMPS approved the financial statements for the year ended as of 31 December 2024.

On 8 May 2025, the BMPS' Board of Directors approved the Bank's results as of 31 March 2025.

Please refer to the explanatory report of the Board of Directors with reference to items 1.1 and 1.2 on the agenda of the Shareholders' Meeting (ordinary session), to the financial statements (for the year ended as of 31 December 2024), as well as the documentation relating to the results as of 31 March 2025 and the press release dated 9 May 2025 (regarding the period ended as of 31 March 2025) – made available to the public in accordance with applicable regulations – for complete information on BMPS' results (including consolidated results), as well as for information on the performance of operations in the current financial year and on the expected outcome of the latter.

**8.** **UNDERWRITING AND/OR PLACEMENT SYNDICATES** 

In relation to the Capital Increase Reserved to the Offer, since it is a share capital serving a public exchange offer, no underwriting and/or placement syndicates are envisaged.

**9.** **ANY OTHER FORMS OF PLACEMENT ENVISAGED** 

No other forms of placement are envisaged.

**10.** **SHAREHOLDERS WHO HAVE EXPRESSED THEIR WILLINGNESS TO SUBSCRIBE TO THE NEWLY ISSUED SHARES** 

The subscription of the Capital Increase Reserved to the Offer may only occur as a result of the acceptance of the Offer itself, once the acceptance period has commenced, which, pursuant to Article 40, paragraph 2, letter b), of the Issuers' Regulation, will be agreed upon with Borsa Italiana and will last between a minimum of 15 and a maximum of 40 trading days, unless extended.

As of the date of this Report, there are no Mediobanca shareholders who have expressed their willingness to subscribe to BMPS shares as a result of their acceptance of the Offer.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

**11.** **TAX IMPLICATIONS OF THE TRANSACTION ON THE COMPANY** 

The contribution of the shares of Mediobanca subject to the Offer does not entail any tax burden whatsoever on BMPS as the contributing issuer.

**12.** **SHAREHOLDING STRUCTURE OF THE COMPANY FOLLOWING THE CAPITAL INCREASE IN KIND** 

In light of the nature of the Capital Increase Reserved to the Offer and of the variables connected to the results of the VEO itself, it is not possible to predict the composition of BMPS' shareholding structure at the end of the execution of such capital increase.

The percentage of dilution of existing shareholders in the share capital of BMPS will depend on the outcome of the Offer, as the number of new BMPS shares to be issued as part of the Capital Increase Reserved to the Offer will depend – as well as any adjustments to the Consideration (as illustrated below) – on the number of Mediobanca shares that will be tendered to the VEO itself.

In the event that BMPS issues the entire Maximum Share Amount (*i.e.*, No. 2,230,000,000 BMPS Shares), these shares will represent approximately 64% of BMPS' share capital, calculated on the basis of the number of BMPS shares issued as of the date of this Report.

For illustrative purposes only, the following table shows the composition of BMPS' shareholding structure in the event of issuance of the entire Maximum Share Amount.

---

| | |
|:---|:---|
| **Shareholder** | **Shareholding** |
| Delfin S.à r.l. | 15.7% |
| Caltagirone Francesco Gaetano | 5.3% |
| Ministero dell'Economia e delle Finanze | 4.2% |
| Banca Mediolanum S.p.A. | 2.1% |
| Banco BPM S.p.A. | 3.2% |
| Other shareholders | 69.5% |
| **Total** | **100%** |

---

As of the date of this Report, and to the best of BMPS' knowledge, there are no shareholders' agreements between BMPS shareholders, nor is there any natural or legal person exercising control over the Bank pursuant to Article 93 of the TUF.

**13.** **ECONOMIC, FINANCIAL AND CAPITAL EFFECTS OF THE CAPITAL INCREASE AND DILUTIVE EFFECTS** 

Given that this is a capital increase to be paid up by contribution in kind, current shareholders of the Bank are not entitled to any pre-emptive rights under applicable law. With regard to the number of new BMPS Shares to be issued under the Capital Increase Reserved to the Offer and, therefore, the dilution percentage of the current shareholders in the share capital of BMPS, please refer to the information provided in Paragraph 12 above.

With regard to the pro-forma effects of the aggregation between the MPS Group and the Mediobanca Group, please refer to the information provided in Paragraph 13 of the Shareholders' Meeting Report, as well as, in Paragraph 5 of the Information Document.

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

**14.** **AMENDMENTS TO THE BY-LAWS** 

The exercise of the Delegation for the Capital Increase Reserve to the Offer entails the amendment of Article 6 of the By- laws, relating to the delegation pursuant to Article 2443 of the Italian Civil Code.

The implementation of the Capital Increase Reserved to the Offer will also result in the amendment of Article 6, in the part relating to the amount of capital and the number of shares, depending on the extent of the subscriptions.

Below is a comparison of the aforementioned Article 6 in its current version and in the proposed version, with the text proposed for insertion highlighted in bold.

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| | |
|:---|:---|
| **Current text** | **Proposed text** |
| **Article 6** | **Article 6** |
| &nbsp;&nbsp;1. The Company's share capital amounts to Euro 7,453,450,788.44 (seven billion, four hundred fifty-three million, four hundred fifty thousand, seven hundred eighty-eight and forty-four cents) and is fully paid up. | &nbsp;&nbsp;*1. (Unchanged)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2. The Company's share capital is represented by no. 1,259,689,706 (one billion, two hundred fifty-nine million, six hundred eighty-nine thousand, seven hundred six) ordinary shares with no par value. All shares are issued in dematerialised form. Procedures for the circulation and legitimation of shares are governed by law.<br>Shareholders who did not participate in the approval of resolutions regarding the introduction or removal of constraints on the circulation of shares shall have no right of withdrawal. | &nbsp;&nbsp;2. *(Unchanged)* |
| &nbsp;&nbsp;3. Shares are registered and indivisible. Each share entitles the holder to a vote. | &nbsp;&nbsp;*3. (Unchanged)* |
| &nbsp;&nbsp;4. The extraordinary Shareholders' Meeting of 17 April 2025 granted the Board of Directors, pursuant to Article 2443 of the Italian Civil Code, the power, to be exercised by 31 December 2025, to increase the Company's share capital for cash, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a total amount of maximum Euro 13,194,910,000, plus any share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding at the issue date, to be paid up by contribution in kind to serve the public | &nbsp;&nbsp;*4. (Unchanged)* |

---

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;exchange offer concerning all the ordinary shares of Mediobanca - Banca di Credito Finanziario Società per Azioni, announced by the Company with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58/98, on 24 January 2025 and promoted on 13 February 2025. In the context of the exercise of the delegation, the Board of Directors shall, among other things, have the power to establish, in compliance with the above-mentioned limitations, the issue price of the newly issued ordinary shares (including any share premium), any other terms and conditions of the delegated capital increase, as well as any other necessary or appropriate element, within the limitations set forth by the applicable regulations and the resolutions passed by the same extraordinary Shareholders' Meeting. |  |
|  | 5. **The Board of Directors, in the meeting held on 26 June 2025, in exercise of the delegation granted pursuant to Article 2443 of the Italian Civil Code by the extraordinary Shareholders' Meeting of 17 April 2025, resolved to increase the Company's share capital against payment, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a maximum nominal amount of Euro 13,194,910,000, plus share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding as of the issue date, to be subscribed by 31 December 2025 and to be paid up by contribution in kind of the shares of Mediobanca – Banca di Credito Finanziario Società per Azioni tendered in acceptance of the public exchange offer for all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by the Company on 24 January 2025 with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58 of 24 February 1998, and promoted through the filing of the offer document with Consob on 13 February 2025 (including any voluntary reopening of the acceptance period and any fulfilment of the sell-out pursuant to Article 108, Legislative Decree No. 58 of 24 February 1998 and/or the squeeze-out pursuant to Article 111, Legislative Decree No. 58 of 24 February 1998, if applicable), in line with any restructuring and/or changes to the content and/or structure of the public exchange offer.** |

---

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

The amendments to the By-laws described above do not entitle shareholders to exercise their right of withdrawal pursuant to the law and the By-laws.

**15.** **AUTHORIZATIONS** 

As mentioned in Paragraph 1 and as announced to the market on 8 April 2025, the Bank has received the required authorizations from the European Central Bank for the Capital Increase Reserved to the Offer and, in particular, the authorizations regarding: (i) the verification that the amendments to the By-laws necessary for the transaction do not conflict with the sound and prudent management of the Bank, pursuant to and for the purposes of Articles 56 and 61 of Legislative Decree No. 385 of 1 September 1993, as subsequently amended (the "**TUB**"), and (ii) the eligibility of the new shares issued in the context of the Capital Increase Reserved to the Offer among BMPS' own funds as Common Equity Tier 1 (CET 1) capital, pursuant to Articles 26 and 28 of Regulation (EU) No. 575/2013 of the European Parliament and of the Council of 26 June 2013.

**16.** **COMPLIANCE AND TIMING** 

The Capital Increase Reserved to the Offer is expected to be executed by 31 December 2025, subject to the fulfilment of the conditions of effectiveness of the VEO indicated in Paragraph 1.5 of the Offeror's Communication, as well as in the Offer Document to be published and submitted for approval to Consob.

In particular, the Capital Increase Reserved to the Offer will be executed, by the previously mentioned deadline of 31 December 2025, in accordance with the timing provisions set forth in Articles 2343-*ter* and 2343-*quater* of the Italian Civil Code, on the payment date of the Consideration, and, if applicable, on the payment dates that may be determined in relation to any voluntary reopening of the acceptance period, or in relation to the sell-out and/or the squeeze-out pursuant to Articles 108 and 111 of the TUF.

\* \* \*

In light of the above, the Board of Directors is called upon to adopt the following resolutions:

"*The Board of Directors,*

- *having examined the explanatory report of the Board of Directors, approved during this meeting, and the proposals formulated therein;*

- *also recalling the explanatory report of the Board of Directors previously prepared for the Shareholders' Meeting of 17 April 2025, in extraordinary session;*

*having taken into account the fairness opinion on the issue price of the newly issued shares of the Company provided by PricewaterhouseCoopers S.p.A., in its capacity as independent auditor, pursuant to Article 2441, paragraph 6, of the Italian Civil Code and Article 158 of Legislative Decree No. 58 of 24 February 1998;*

*also referring to the report of PricewaterhouseCoopers S.p.A., made available to the Shareholders' Meeting, in extraordinary session, on 17 April 2025, which confirmed the reasonableness and non-discretionary nature of the criteria used by the Board of Directors to determine the exchange ratio envisaged for the public exchange offer referred to below;*

- *having taken note of the appraisal of the independent expert KPMG Advisory S.p.A., pursuant to Article 2440, paragraph 2, of the Italian Civil Code and Article 2343-ter, paragraph 2, letter b) of the Italian Civil Code, as updated on 26 June 2025;*

- *having acknowledged the statement by the Board of Statutory Auditors that the subscribed share capital has been fully paid up;*

- *having acknowledged the authorizations received from the competent authorities;*

- *referring to the delegation granted by the Shareholders' Meeting, in extraordinary session, on 17 April 2025 and therefore in the exercise of the same;*

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

- *having examined the other documents prepared with reference to the current item on the agenda;*

***RESOLVES***

*1)* *to increase the share capital against payment, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a maximum nominal amount of Euro 13,194,910,000, plus share premium, through the issuance of a maximum of No. 2,230,000,000 ordinary shares of BMPS, with no nominal value, having regular dividend rights and the same characteristics as the ordinary shares of BMPS outstanding as of the issue date, to be paid up by contribution in kind of the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**") tendered in acceptance of the public exchange offer concerning all the ordinary shares of Mediobanca, announced by BMPS on 24 January 2025 with a communication pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998, and launched through the filing of the offer document with Consob on 13 February 2025 (including any voluntary reopening of the acceptance period, any fulfilment of the sell-out pursuant to Article 108 of Legislative Decree No. 58 of 24 February 1998 and/or the squeeze-out pursuant to Article 111 of Legislative Decree No. 58 of 24 February 1998, if applicable), in line with any restructuring and/or changes to the content and/or structure of the public exchange offer itself; these new shares are therefore to be reserved for subscription by the holders of Mediobanca shares in accordance with the exchange ratio established in the above-mentioned offer, as adjusted on 20 May 2025, equal to No. 2.533 BMPS shares for each No. 1.000 Mediobanca shares tendered in acceptance of the offer (and as further adjusted, if necessary, in accordance with the provisions of the communication dated 24 January 2025 pursuant to Article 102, paragraph 1, of Legislative Decree No. 58 of 24 February 1998 and reported in the directors' explanatory report; and, in any case, without prejudice to any restructuring and/or changes to the content and/or structure of the public exchange offer on the shares of Mediobanca);*

*2)* *to establish that, without prejudice to the provisions of the item 1) above, the total issue price of the new BMPS shares resulting from the aforementioned capital increase shall be equal, in accordance with current regulations, to their fair value, which in turn corresponds to the stock exchange price (reference price) of BMPS shares recorded on the trading day prior to (i) the payment date of the consideration for the public exchange offer, and (ii) on the subsequent payment dates of the consideration in execution of the voluntary reopening of the acceptance period, of the sell-out pursuant to Article 108 of Legislative Decree No. 58 of 24 February 1998 and/or of the squeeze-out pursuant to Article 111 of Legislative Decree No. 58 of 24 February 1998, if applicable; all with the unitary amount of Euro 5.917 being allocated to share capital and the remaining part of the issue price to share premium reserve, without prejudice to the valuation limit pursuant to Article 2343-ter, paragraph 2, letter b), of the Italian Civil Code and any necessary updates thereto;*

*3)* *to establish, pursuant to Article 2439, paragraph 2, of the Italian Civil Code, that: (i) the deadline for the execution of the capital increase is set at 31 December 2025 (subject, where necessary, to an update of the appraisal by the independent expert KPMG Advisory S.p.A.), specifying that, if the capital increase is not fully subscribed by the aforementioned deadline, it shall remain valid and effective – in accordance with the provisions of the public exchange offer – within the limits of the subscriptions collected by that date in execution of the offer (and of the sell-out pursuant to Article 108 of Legislative Decree No. 58 of 24 February 1998 and/or the squeeze-out pursuant to Article 111 of Legislative Decree No. 58 of 24 February 1998, where the applicable legal requirements are met) and (ii) the new shares are issued (and the Company's share capital is increased accordingly) on the payment date of the offer consideration, as well as, on the subsequent dates of payment of the consideration in execution of the sell-out pursuant to Article 108 of Legislative Decree No. 58 of 24 February 1998 and/or the squeeze-out pursuant to Article 111 of Legislative Decree No. 58 of 24 February 1998, if applicable;*

*4)* *to amend Article 6 of the By-laws accordingly by including the following paragraph 5:*

*"The Board of Directors, in the meeting held on 26 June 2025, in exercise of the delegation granted pursuant to Article 2443 of the Italian Civil Code by the extraordinary Shareholders' Meeting of 17 April 2025, resolved to increase the Company's share capital against payment, in one or more tranches and in divisible form, excluding the option right pursuant to Article 2441, paragraph 4, first sentence, of the Italian Civil Code, for a maximum nominal amount of Euro 13,194,910,000, plus share premium, with issuance of a maximum number of 2,230,000,000 ordinary shares of the Company, with no par value, having regular dividend rights and the same features as of the ordinary shares of the Company outstanding as of the issue date, to be subscribed by 31 December 2025 and to be paid up by contribution in kind of the shares of Mediobanca – Banca di Credito Finanziario Società per Azioni tendered in acceptance of the public exchange offer for all the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, announced by the Company on 24 January 2025 with communication pursuant to Article 102, paragraph 1, Legislative Decree No. 58 of 24 February 1998, and promoted through the filing of the offer document with Consob on 13 February 2025 (including any voluntary reopening of the acceptance period and any fulfilment of the sell-out pursuant to Article 108, Legislative Decree No. 58 of 24 February 1998 and/or the squeeze-out pursuant to Article 111, Legislative Decree No. 58 of 24 February 1998, if applicable), in line with any restructuring and/or changes to the content and/or structure of the public exchange offer.";*

---

| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

*hereby also approving that, upon the effective execution of the capital increase, in accordance with the provisions of the shareholders' meeting resolution, the entire provisional clause included in Article 6 of the By-laws shall be repealed and, at the same time, the amount of the share capital and the number of shares shall be adjusted in Article 6 of the By-laws;*

*5)* *to grant the Chairman of the Board of Directors, the Chief Executive Officer, the Group General Counsel and the Chief Financial Officer of the Company, jointly and severally, the power to take all actions, including through special attorneys, as required, necessary or useful for the implementation of the adopted resolutions, including the power to take all necessary steps for the timely execution of the public exchange offer, the issue, delivery and admission to listing of the new shares of the Company in exchange for the contribution in kind of the ordinary shares of Mediobanca tendered in acceptance of the public exchange offer, as well as to comply with the relevant and necessary formalities, including the registration of the resolutions with the Companies' Register and the filing of the text of the new By- laws updated as a result of the capital increase, with the power to introduce any non-substantial amendments that may be required for this purpose, and in general everything necessary for their complete execution, with all and any powers necessary and appropriate, in compliance with applicable regulations;*

*6)* *finally, to acknowledge and declare, in accordance with the provisions of Article 2443, paragraph 4, of the Italian Civil Code, as follows: (i) the assets being contributed for which the report referred to in Article 2343, paragraph 1, of the Italian Civil Code has not been prepared are the ordinary shares of Mediobanca – Banca di Credito Finanziario Società per Azioni, listed on Euronext Milan managed by Borsa Italiana S.p.A.; (ii) the value attributed to these shares, the source of such valuation and the valuation method are those set out in the explanatory report of the Board of Directors issued today, in the appraisal of the independent expert KPMG Advisory S.p.A. and as referred to in the fairness opinion on the issue price by PricewaterhouseCoopers S.p.A., all of which are attached to the minutes of the current board meeting exercising the authorization to increase the share capital, as well as in the additional documentation (report of the Board of Directors and report of PricewaterhouseCoopers S.p.A. on the reasonableness and non-discretionary nature of the criteria used to determine the exchange ratio) previously submitted to the aforementioned shareholders' meeting of 17 April 2025, in extraordinary session, and attached hereto; all such attachments being considered an integral and substantial part of this resolution; (iii) this value, given the above resolution, is at least equal to that attributed to them for the purpose of determining the share capital and any share premium; (iv) the independent expert KPMG Advisory S.p.A. meets the appropriate professional and independence requirements in accordance with current regulations."*

\* \* \*

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| | |
|:---|:---|
| Siena, 26 June 2025 |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;For the Board of Directors |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mr. Nicola Maione |

---

\* \* \*

*The voluntary public exchange offer referred to in this Report shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA* – *Banca di Credito Finanziario Società per Azioni.*

*This Report does not constitute an offer to buy or sell the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni.*

*Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni shall carefully examine.*

*The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni. The Offer will be made in Italy as the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.*

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| | |
|:---|:---|
| *Explanatory Report of the Board of Directors* | ![](tm2518026d1_ex99-13img001.jpg) |

---

*The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").*

*Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.*

*Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.*

*This Report, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.*

*Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.*

*IMPORTANT INFORMATION*

*In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document, at Banca Monte dei Paschi di Siena S.p.A.'s website at <u>www.gruppomps.it/en/</u> and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.*

*This Report does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this Report may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.*

*The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.*

## Exhibit 99.14

**Exhibit 99.14**

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

![](tm2518026d1_ex99-14img001.jpg)

**AUDITOR'S REPORT PURSUANT TO ARTICLE 2441, PARAGRAPH 4, SENTENCE 1, AND PARAGRAPH 6 OF THE ITALIAN CIVIL CODE, AND ARTICLE 158, PARAGRAPH 1, OF LEGISLATIVE DECREE NO. 58/1998 ON THE ISSUE PRICE OF SHARES IN THE SHARE CAPITAL INCREASE WITH EXCLUSION OF OPTION RIGHTS**

To the Board of Directors of

Banca Monte dei Paschi di Siena SpA

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**1.** **Purpose and object of the engagement** 

In relation to the delegation granted by the shareholders' meeting, in extraordinary session, of 17 April 2025 (hereinafter the "Delegation") of Banca Monte dei Paschi di Siena SpA (hereinafter also the "Bank", or "BMPS" or the "Company") to the board of directors of BMPS (hereinafter the "Board of Directors" or the "Directors") pursuant to article 2443 of the Italian Civil Code regarding the power to increase the share capital with the exclusion of option rights pursuant to article 2441, paragraph 4, sentence 1 and paragraph 6 of the Italian Civil Code and article 158, paragraph 1, of Legislative Decree no. 58/1998 (hereinafter the "Italian Consolidated Law on Financial Intermediation" or "TUF"), we received from the Company the report of the Board of Directors prepared pursuant to article 2441, paragraph 6, of the Italian Civil Code and article 70, paragraph 7,letter a) of the issuers' regulation adopted with Consob resolution no. 11971 of 14 May 1999 as subsequently amended and supplemented (hereinafter the "Explanatory Report" or only the "Report") dated 26 June 2025, which describes the terms, conditions and reasons for the aforementioned proposed share capital increase without option rights, setting out in paragraph 4 the method adopted by the Board of Directors to determine the issue price of the newly issued shares*.*

The proposal of the Board of Directors, as described in the Explanatory Report, concerns the Bank share capital increase to be carried out through the issuance of a maximum of 2,230,000,000 new ordinary BMPS shares without nominal value, to be paid up through contribution in kind, pursuant to paragraph 4, sentence 1 of article 2441 of the Italian Civil Code, being the transaction reserved to the voluntary public exchange offer (hereinafter also "VEO" or the "Offer") announced on 24 January 2025 by the Bank and concerning all the ordinary shares of Mediobanca – Banca di Credito Finanziario SpA (hereinafter also "Mediobanca"), it being reserved to the shareholders of Mediobanca tendering in the Offer pursuant to paragraph 4, sentence 1, of article 2441 of the Italian Civil Code (hereinafter also the "Capital Increase Reserved to the Offer").

The Delegation provides that the Capital Increase Reserved to the Offer can be resolved by the Board of Directors within 31 December 2025, in one or more tranches, in divisible form, in an amount of share capital equal to Euro 5.917 for each newly issued share (amount corresponding to the implied par value, rounded to the third decimal number, of the outstanding BMPS shares, as recorded as at the date of the explanatory report prepared by the Directors in relation to the first item on the agenda of the shareholders' meeting of BMPS, called in extraordinary session, on 17 April 2025) and, therefore, for a maximum share capital amount equal to Euro 13,194,910,000.00, plus the share premium.

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KPMG Corporate Finance, a division of KPMG Advisory SpA in their capacity as independent expert appointed by the Bank pursuant to article 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code (hereinafter the "Independent Expert"), issued their report on 14 March 2025 concerning the evaluation of the attributable value to the shares of Mediobanca to be contributed, which was made available to the public in accordance with the procedures set out in applicable law during the shareholders' meeting of BMPS on 17 April 2025. The evaluation of the Independent Expert was updated through a report issued on 26 June 2025.

In connection with the transaction described above, the Board of Directors entrusted us with task of expressing, pursuant to article 2441, paragraph 4, sentence 1 and paragraph 6, of the Italian Civil Code and to article 158, paragraph 1 of the TUF, our opinion on the adequacy of the valuation method adopted by the Directors in order to determine the price of the newly issued BMPS shares, as reported in paragraph 4 "*Determination of the issue price of the newly issued shares*" of the Explanatory Report.

During the first part of the Board of Directors meeting held today, the Directors approved the Report in order to enable us to carry out our activities. Once the consistency between the Explanatory Report approved by the Board of Directors with the draft version previously provided to us, together with the documents necessary to perform our work, was verified, we issued this report in order to allow the Board of Directors to finalize the procedure required for the aforementioned Capital Increase Reserved to the Offer, during the second part of today's meeting.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**2.** **Overview of the transaction** 

As set out in the Explanatory Report, the VEO was announced to the market and to Consob (the Italian Stock Exchange Regulator) through a notice disseminated pursuant to article 102, paragraph 1, of TUF and article 37 of Consob regulation no. 11971 of 14 May 1999 as subsequently amended and supplemented (hereinafter the "Issuers' Regulation) on 24 January 2025 (hereinafter the "Offeror's Communication",) and launched on 13 February 2025 through a presentation – pursuant to article 37- *ter* of the Issuers' Regulation – to Consob, *inter alia*, of the offer document (hereinafter the "Offer Document").

According to what is set out in the Explanatory Report and as broadly illustrated in the Offeror's Communication and in item 1 of the agenda of the report of the BMPS shareholders' meeting called in extraordinary session on 17 April 2025, and made available to the public on 18 March 2025, as subsequently supplemented on request of Consob (hereinafter the "Shareholders' Meeting Report"), as well as in the information document under article 70 of the Issuers' Regulation, made available to the public on 2 April 2025 (hereinafter the "Information Document"), the acquisition of Mediobanca will make it possible to create a new Italian banking champion through the combination of two of the most distinctive brands in the financial services market. As highlighted in the above-mentioned documentation, BMPS deems that the Offer represents the ideal opportunity for a further development and growth for both institutions and offers a significant value creation for the shareholders of both companies and for all stakeholders. Furthermore, as reported in the Explanatory Report, the combination with Mediobanca, if completed, will create the third national banking operator in terms of total assets, loans to customers, direct deposits and total financial assets, a highly diversified resilient player with distinctive and complementary capabilities in each business area and a significant

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degree of innovation and support for growth, with a potential to compete with the leading Italian and European banks by fully leveraging its existing human capital.

The Offeror's Communication provided that BMPS would have recognised, as consideration to the participants to the VEO, subject to any adjustments, No. 23 newly issued ordinary shares of BMPS with the same characteristics as the ordinary shares of BMPS currently outstanding for each No. 10 Mediobanca shares tendered in acceptance of the Offer: and therefore a ratio of No. 2.300 newly issued ordinary shares of BMPS for each Mediobanca shares tendered in acceptance of the VEO. On 17 April 2025, the shareholders' meeting of BMPS, in extraordinary session, granted the Delegation to the Bank's board of directors for the purpose of a resolution on the Share Capital Increase Reserved to the Offer pursuant to article 2443 of the Italian Civil Code.

Specifically, the Delegation provides that the Capital Increase Reserved to the Offer may be resolved by the Board of Directors by 31 December 2025, even in one or more tranches and in divisible form, with the exclusion of the option right pursuant to article 2441, paragraph 4, sentence 1, of the Italian Civil Code, in an amount equal to Euro 5.917 for each newly issued share (amount corresponding to the implied par value, rounded to the third decimal number, of the outstanding shares of BMPS, as recorded on the date of the Shareholders' Meeting Report) and, therefore, for a maximum share capital of Euro 13,194,910,000.00, plus share premium, through the issuance of a maximum of No. 2,230,000,000 shares, without par value, with regular dividend rights and same characteristics of the BMPS ordinary shares already outstanding as of the issue date, and which will be listed on the Euronext Milan, to be paid up by contribution in kind as they are reserved to the VEO.

The foregoing notwithstanding, the Directors recalled that the aforementioned consideration (equal to no. 2.300 newly issued BMPS ordinary shares for each Mediobanca share tendered in acceptance of the VEO) had been determined by them on the basis of their analyses and considerations carried out with the advice and support of their financial advisors, on assumption that prior to the payment date of the Offer: *(i)* Mediobanca and /or BMPS did not approve or proceed with any ordinary distribution (including interim dividends) or extraordinary distribution of dividends drawn from profits and/or other reserves; and *(ii)* Mediobanca did not approve or proceed with any transaction on its share capital and /or on Mediobanca shares.

Again, the Offeror's Communication provided, *inter alia*, that "*If, prior to the Payment Date (as defined below), the Issuer and/or the Offeror should pay a dividend (including an interim dividend) and/or make a distribution of reserves to its shareholders, or in any event the ex coupon (cedola) relating to dividends resolved upon, but not yet paid by the Issuer and/or MPS, as the case may be, is detached from the Mediobanca shares and/or the MPS shares, the Consideration shall be adjusted to take into account the dividend distributed (or the interim dividend) of the reserve distributed*".

On 20 May 2025, the Bank announced to the market it had proceeded with a technical adjustment to the consideration equal to 0.233 shares of BMPS in order to reflect: (i) the dividend resolved by the shareholders' meeting of BMPS on 17 April 2025 (equal to Euro 0.860 per share of BMPS) and (ii) the interim dividend (based on the results at 31 December 2024) resolved upon by the board of directors of Mediobanca on 8 May 2025 (equal to Euro 0.560 per each Mediobanca share).

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It follows that, at the date of this document, the consideration, following the adjustment – subject to any further adjustments based on the information provided in the Offeror's Communication and/or any revisions and/or changes to the contents and/or structure of the Offer – is equal to 2.533 BMPS shares for each Mediobanca share tendered in acceptance of the offer.

The Report acknowledges that, the number of new BMPS shares to be issued will depend on the level of acceptances actually received during the Offer and may vary, subject to compliance with the maximum amount indicated above, also due to any changes that the Directors might make to the Offer in accordance with applicable regulations.

With reference to the prior authorizations required by the applicable legislation and sector regulations as referred to in article 102, paragraph 4, of TUF in relation to the Offer, the Explanatory Report includes, among other things, the following:

&nbsp;&nbsp;&nbsp;&nbsp;i. the authorization from the European Central Bank as to the recognition as Common Equity Tier 1 (CET 1) capital of the newly issued
shares as part of the Capitale Increase Reserved to the Offer, as well as those related and consequent amendments to the By-laws;

&nbsp;&nbsp;&nbsp;&nbsp;ii. the authorization from the Italian Insurance Supervisory Authority (IVASS) as to the acquisition by BMPS, through Mediobanca, of an
indirect qualifying holding in Assicurazioni Generali SpA;

&nbsp;&nbsp;&nbsp;&nbsp;iii. authorizations from the European Central Bank as regards the direct acquisition of a controlling interest in Mediobanca and an indirect
interest in Mediobanca Premier SpA and in Compass Banca SpA, as well as the acquisition of an equity interest in Mediobanca the value
of which exceeds 10% of the regulatory capital of the Group and in the significant indirect investments.

The Board of Directors points out that at the meeting of 26 June 2025 the Board is called upon to resolve in exercise of the Delegation, the Capital Increase Reserved to the Offer – so that the Offer may commence – subject to (i) the approval by Consob of the Offer Document, and (ii) the fulfilment (or waiver, including partial, where applicable) of the "Conditions for the Effectiveness of the Offer" set forth in paragraph 1.5 of the Offeror's Communication, as well as in the about to be published Offer Document submitted for approval to Consob.

The Report also points out that the Capital Increase Reserved to the Offer may also be carried out in several tranches and, in particular, near the payment date of the consideration, as well as, if the conditions are met, on the payment dates of the reopening of the acceptance period, and/or the payment dates in execution of the sell–out and/or squeeze–out pursuant to articles 108 and 111 of the TUF.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**3.** **Nature and scope of this report** 

As set out in the Explanatory Report, the issue price of the new shares shall be determined by the Board of Directors following the date of issue of this report, on the basis of the method identified by the Directors and described in paragraph 5 below.

Within this context, this fairness opinion issued pursuant to article 2441, paragraph 6, of the Italian Civil Code and article 158, paragraph 1, of TUF, has the aim of corroborating the information to the shareholders with the exclusion of the option right, pursuant to article 2441, paragraph 4, sentence 1,

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of the Italian Civil Code, as regards the method adopted by the Directors to determine the issue price of the shares for the purposes of the Capital Increase Reserved to the Offer.

In consideration of the above-outlined specific nature and characteristics of the transaction, as illustrated in the Explanatory Report, this fairness opinion therefore sets forth the method followed by the Directors to determine the issue price of the shares and the evaluation difficulties they may have encountered and includes our considerations about the adequacy of such method, from the point of view of their reasonableness and non-arbitrary nature, in the circumstances.

Therefore, this opinion is not aimed at expressing:

&nbsp;&nbsp;&nbsp;&nbsp;i. an economic valuation of the Bank that was solely carried out by the Directors;

&nbsp;&nbsp;&nbsp;&nbsp;ii. a valuation of the assets being contributed, which was performed pursuant to article 2343-ter of the Italian Civil Code by the Independent
Expert who issued its own report on 14 March 2025 and drew up a subsequent update on 26 June 2025;

&nbsp;&nbsp;&nbsp;&nbsp;iii. a conclusion on the fairness of the exchange ratio between the BMPS newly issued shares and the Mediobanca shares, determined by the
Directors and already covered in the "Independent Auditor's Report not issued pursuant to any legal requirements on the valuation
criteria adopted by the Directors of Banca Monte dei Paschi di Siena SpA to determine the exchange ratio in connection with the public
exchange offer launched by Banca Monte Dei Paschi di Siena SpA for all the shares of Mediobanca - Banca Di Credito Finanziario SpA"
we issued on 18 March 2025. Therefore, the content reported by the Directors in their Report in paragraph 3, titled "*Criteria for determining the exchange ratio between BMPS shares and Mediobanca shares and for the subsequent determination of the number of newly issued BMPS shares* ", is not the subject of this opinion.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**4.** **DOCUMENTATION USED** 

In performing our work, we obtained directly form the Company the documents and information deemed useful in the circumstance. More specifically, we obtained and analysed the following documentation:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· minutes of the extraordinary shareholders' meeting of BMPS, held on
17 April 2025, together with related annexes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· draft and final version of the Report approved by the Board of Directors
on 26 June 2025 prepared pursuant to article 2441, paragraph 6, of the Italian Civil Cod and article 70, paragraph 7, letter a),
of the Issuers' Regulation;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· current by-laws of the Bank;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· BMPS annual and consolidated financial statements as at 31 December 2023
and as at 31 December 2024 that we subjected to a statutory audit, in relation to which the independent auditor's reports were
issued on 18 March 2024 and on 24 March 2025, respectively;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· condensed consolidated interim financial statements at 31 March 2025
that we reviewed, the review report of which was issued on 9 May 2025;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· "*Business Plan 2024-2028* ", approved by the Board of Directors
of the Bank on 5 August 2024;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· document containing the budget forecasts at 31 December 2025, approved
by the Board of Directors;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· price trend of the BMPS shares recorded in the six months prior to the date
of the Explanatory Report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accounting, non-accounting and statistical elements, as well as any other
information deemed useful for the performance of our engagement;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· press releases related to the Offer.

Additionally, for information purposes only of the overall transaction, we obtained the report pursuant to article 2343*-ter*, paragraph 2, letter b) of the Italian Civil Code issued by the Independent Expert on 14 March 2025 regarding the valuation of the Mediobanca shares object of the Offer, and subsequent update issued on 26 June 2025.

Furthermore, we obtained a specific and explicit representation letter issued by the legal representative of the Company on 26 June 2025, which reported, to the best knowledge of the Directors and of the Management of BMPS, that no significant changes, events or circumstances have occurred requiring material changes to the assumptions underlying the drawing-up of the above- mentioned economic and financial plans, as well as the data and information we considered in performing our analyses and/or which could significantly impact the evaluations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**5.** **Valuation method adopted by the Board of Directors to determine the issue price of the shares** 

As anticipated, in the context of the planned transaction which, as mentioned several times, takes the legal form of a capital increase entailing the exclusion of the option right, pursuant to article 2441, paragraph 4, sentence 1 of the Italian Civil Code, the Directors did not provide the determination of an issue price calculated its absolute value in their Explanatory Report, but rather the method that the Board of Directors itself must follow in the subsequent phase of execution of the capital increase.

Assuming the exclusion of the option right pursuant to article 2441, paragraph 4, sentence 1, of the Italian Civil Code, paragraph 6 of the same article sets down that the issue price of the shares is determined by the Directors "*on the basis of the shareholders' equity, taking into account, for shares listed on the Stock Exchange, the share price trend in the last six months*".

As described in the Explanatory Report, under the Capital Increase Reserved to the Offer a maximum number of 2,230,000,000 BMPS shares is planned to be issued, for an amount of share capital equal to Euro 5.917 for each newly issued BMPS share (corresponding to the implied nominal value, rounded to the third decimal number of the BMPS issued shares as recorded on the date of the Shareholders' Meeting Report) and, therefore, for a maximum share capital equal to Euro 13,194,910,000.00, plus share premium.

The Board of Directors, without prejudice to the exchange ratio previously determined, must determine the share premium pursuant to and for the purposes of article 2441, paragraph 6, of the Italian Civil Code, i.e. the portion of the issue price not allocated to share capital but to the share premium reserve.

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The Directors reported that, in the context of capital increase transactions entailing the exclusion of the option right to be paid up by contribution in kind, and related to a business combination, the applicable international accounting standards require to record, in exchange for the issue of new shares, a total increase in the net equity of BMPS, corresponding to the fair value of the BMPS shares to be allocated to the participants in the Offer, net of ancillary costs directly attributable to the issue of the new shares. More precisely, this fair value will correspond to the stock market price (reference price) of the BMPS share on the trading day prior to the date on which the exchange with the Mediobanca shares tendered in acceptance of the Offer shall become legally effective.

Therefore, in the context of the Offer, it is the current regulatory framework, including accounting regulations, that requires the unit issue price of BMPS shares, which by definition means the increase in net equity recorded in connection with the share issue, to coincide with the fair value, that in the case in point will correspond, as indicated by the Directors, to the stock market price (reference price) of the BMPS share on the trading day prior to: (i) the payment date of the consideration (subject to the fulfilment or waiver, where applicable, of the "Conditions of Effectiveness of the Offer" as indicated in paragraph 1.5 of the Offeror's Communication as well as in the about to be published Offer Document submitted for approval to Consob), and, if applicable, (ii) the subsequent payment date of the consideration following the re-opening of the acceptance period, as provided for in the about to be published Offer Document and submitted for approval to Consob, as well as (iii) the subsequent payment date of the consideration in the execution of the sell-out and/or squeeze-out pursuant to articles 108 and 111 of the TUF, as provided for in the about to be published Offer Document submitted for approval to Consob; in any case, therefore, upon execution of the contribution of the Mediobanca shares tendered in acceptance of the Offer. The price thus determined shall therefore be taken by the Directors as the fair issue price.

The Directors also clarified that, without prejudice - with reference to the maximum issue price of the new BMPS shares reflected in the determination of the share capital and share premium - to the statutory limitation constituted by the value that the Independent Expert, in the context of its appraisal or in updates thereto, has attributed or will attribute to the Mediobanca shares subject to contribution pursuant to articles 2440, paragraph 2, and 2343-*ter*, paragraph 2, letter b) of the Italian Civil Code: therefore, it is provided that, if the increase in BMPS' equity, as determined above on the basis of the fair value, exceeds the value recognized by the Independent Expert, the difference will be allocated to another capital reserve, in accordance with IFRS accounting standards.

Without prejudice to the above, the Board of Directors also noted that the aforementioned methodology is in line with standard professional practice regarding capital increases of companies with shares listed on regulated markets, where the Stock Market Price Method is commonly accepted and used, both at national and international level. In an efficient market, stock market prices generally express the value attributed by the market to the shares being traded and, consequently, provide relevant information on the value of the company to which the shares refer, as they reflect the information available to analysts and investors, as well as their expectations regarding the Bank's economic and financial performance. For the purpose of applying the Stock Market Price Method, the Directors have assumed that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the security is treated on efficient markets;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· there is a free float, in relation to the share capital traded on financial
markets, such as to

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|:---|:---|
|  | guarantee a level of liquidity, in relation to the daily trading volume, that is significant compared to the metrics that characterize the main securities on the reference list; |
| · | there is significant coverage by financial analysts, such as to ensure that the market is promptly informed of any external or internal events, as communicated by the issuer, which may have an impact on the security's performance. |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**6.** **Valuation difficulties encountered by the Board of Directors** 

The Explanatory Report does not indicate any specific difficulties encountered by the Directors in the valuation referred to in the previous paragraph.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**7.** **Work performed** 

For the purpose of our engagement, we carried out the following main activities:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we examined the minutes of the extraordinary shareholders' meeting
of the Bank held on 17 April 2025 and related annexes;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we performed a critical analysis of the draft Explanatory Report that was
provided to us by the Bank ahead of its approval during the first part of today's meeting of the Board of Directors;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we verified that the Explanatory Report approved during the first part of
the today's meeting of the Board of Directors did not present substantial changes compared to the draft version of the report previously
provided to us, with specific reference to paragraph 4 "*Determination of the issue price of the newly issued shares* ";

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we analysed, for the purposes of this engagement, the BMPS current By-Laws;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we analysed, for information purposes only on the overall transaction, the
appraisal issued by the Independent Expert on 14 March 2025 and subsequently updated on 26 June 2025, pursuant to article 2343- *ter*,
paragraph 2, letter b) of the Italian Civil Code, related to the value of the Mediobanca shares being contributed;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we analysed, based on discussions held with the Management of BMPS, the work
performed by the Directors to identify the criterion for the determination of the issue price of the new shares of the Bank in order to
ascertain the adequacy of such method, as it is reasonable, grounded and non-arbitrary in the circumstances;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we verified the completeness and consistency of the reasons provided by the
Board of Directors regarding the valuation method they adopted to determine the issue price of the shares;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we analysed the elements necessary to assess whether such method was technically
appropriate, under the specific circumstances, to determine the issue price of the new shares;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we performed analysis on the trend in BMPS share prices in different time
intervals, during the last six months prior to the Explanatory Report;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we collected information, including publicly available one, and analysed
volumes and volatility of the share, features of its free float and liquidity;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we analysed the recommendations, in terms of target prices, reported in the
equity research reports published by the leading brokerage firms;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· we developed sensitivity analyses on the criterion adopted by the Board of
Directors as well as further independent assessments of the methos commonly used in the valuation practice in order to ascertain that
the method adopted by the Directors was technically suitable, in the specific circumstances, to determine the issue price of the new shares.

Within such context, we obtained confirmation, through a specific representation letter signed by the legal representative of the Bank, that there were no significant changes to the information used in carrying out our analysis that could have a significant impact on the data and information taken into consideration.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**8.** **Comments and clarifications on the adequacy of the valuation method adopted by the directors for the determination of the issue price of the shares** 

The Report prepared by the Directors to explain the capital increase transaction under analysis describes, in paragraph 4, the reasons underlying the methodological choices made by them and the logical process followed for determining the issue price of the shares in connection with the aforementioned capital increase.

In this regard, considering the characteristics of the transaction, we express below our considerations on the adequacy, in terms of reasonableness and non-arbitrary nature, of the valuation method adopted by the Directors for the purpose of identifying the issue price of the new BMPS shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· article 2441, paragraph 6, of the Italian Civil Code, envisages that the
issue price of the shares, in case of exclusion of the option right, is determined "*on the basis of the shareholders' equity, taking into account, for shares listed on the Stock Exchange, the share price trend in the last six months* ". In relation to
the use of the expression "*shareholders' equity* ", tenet believes that the legislator intended to refer to the
current value of the company's economic capital and not to the accounting reported value of the shareholders' equity. Practitioners
and tenet agree that the reference to the "*share price trend in the last six months*" should not be necessarily intended
as referred to a six-month average of the prices, but also to more limited or specific periods, depending on the circumstances and on
the specific characteristics of the stock;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· in order to determine the issue price of the newly issued shares under the
capital increase, with exclusion of the option right, the stock market price method identified by the Directors is commonly accepted and
used both at national and international level and is in line with the professional practice for companies with shares listed on regulated
stock exchanges. It is believed that, in an efficient market, stock prices provide significant information about the value of the company
to which the shares refer, since they represent the value attributed by the market to the shares traded. Stock prices reflect the information
available to analysts and investors, together with their expectations on the company's financial and operating performance. As mentioned
above, the stock market price method is also based on the provision of paragraph 6 of article 2441 of the Italian Civil Code. Considerations
made so far support the reasonableness and non-arbitrary nature, in the circumstances, of the adoption of the stock market price method;

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· as for the time frame for recording the prices, Directors chose to adopt
a method based on the identification of a specific reference price recorded on the trading day preceding the date in which the exchange
with the BMPS shares tendered in acceptance of the Offer will have legal effects. Even this choice of the Directors seems appropriate
in these circumstances, taking into account the specific characteristics of the BMPS stock. As acknowledged by tenet and the evaluation
practice, in analysing a stock, the more significant is the traded stock of the company being evaluated, the less extended the time horizon
could be, this occurs when the volumes traded and prices negotiated are the result of a large and continuous number of negotiations carried
out freely by shareholders and investors operating on the market in the absence of external influence;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the analyses that we performed on the free float, on the turnover ratio (i.e.
the ratio between average daily value of the trades and the free float), on the bid-ask spread (i.e. the price difference between the
demand and the offer at which the stock is traded on the market) and on the analysts' coverage of the stock, brought out that the
significant characteristics of the share prices can be verified with reference to the BMPS stock, and confirmed the reasonableness and
non-arbitrary nature, in the circumstances, of the Directors' choice to use the reference price of the share on a specific trading
day;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· in this case, the Directors' choice is also fully compliant with the
applicable accounting regulations. International accounting standards require the recognition, against the issue of new shares, of an
overall increase in the shareholders' equity of BMPS corresponding to the fair value of the shares of the Bank assigned to the participants
in the Offer, net of additional charges directly attributable to the issue of new shares. The correspondence between the issue price of
the new shares and their fair value is consistent with the accounting standards and confirms, in terms of reasonableness and non-arbitrary
nature, the methodological choice of the Directors to use a specific reference price recorded on the trading day prior to the date in
which the exchange with the Mediobanca shares tendered in acceptance of the Offer will have legal effects;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the need to make methodological choices consistent with the accounting regulations
mentioned above, led the Board of Directors not to use methods other than that of the stock market price, since these would have been
objectively difficult to apply in the circumstances. In light of the specific characteristics of the transaction, even this choice of
the Directors appears to be reasonable and not arbitrary.

The aspects commented on above were taken into duly consideration for the purpose of issuing this fairness opinion.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**9.** **Specific limitations encountered by the auditors and other possible significant aspects emerged in performing this engagement** 

We draw attention to the following.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· with reference to the market methods, although market prices reflect values
expressed by the market, they are subject to significant fluctuations due to market volatility and extraordinary or speculative events.
Specifically, the current market context is characterised by high volatility due to the uncertainty of the current economic outlook, together
with the announcement of

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|:---|:---|
|  | important transactions to consolidate and reorganise the Italian banking system and the recent geopolitical events. To date, the development of such context cannot be foreseeable, nor can any economic, financial, political and social consequence be estimated. Therefore, the application of market methods can lead to different values, to a more or less significant extent, depending on the moment on which the evaluation is carried out, it being understood that such considerations are general in nature and should be regarded in the context of the specific characteristics of the Capital Increase Reserved to the Offer; |
| · | as anticipated, the transaction structured by the Board of Directors envisages the issuance of shares by BMPS to be finalised through a capital increase with the exclusion of the option right pursuant to article 2441, paragraph 4, sentence 1, of the Italian Civil Code. Such shares will be issued - subject to: (i) the approval by Consob of the Offer Document and (ii) the fulfilment (or waiver, in whole or in part, where applicable) of the "Conditions for the Effectiveness of the Offer" set forth in paragraph 1.5 of the Offeror's Communication, as well as in the as well as in the about to be published Offer Document submitted for approval to Consob – for the purpose of the contribution in kind of the Mediobanca shares by the addressees of the Offer**.** The object of this report is exclusively represented by our considerations on the adequacy, in terms of reasonableness and non-arbitrary nature, in the circumstances, of the method to determine the issue price of the new BMPS shares described in paragraph 4 of the Explanatory Report; |

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· this report is exclusively issued on the valuation method indicated in paragraph
4 of the Explanatory Report and shall not require any update when, upon execution of the contribution of the Mediobanca shares, on the
payment date of the consideration of the Offer, the issue price will be determined by the Board of Directors of the Bank automatically
and definitively, on the basis of the updated data available on that date and in application of the chosen method;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the Directors determined the maximum number of new shares of BMPS to be issued
to service the Offer, on the basis of the exchange ratio calculated by them as a result of the methodological approach described in paragraph
3 of the Explanatory Report, which is not the subject of this fairness opinion;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· with reference to the maximum amount of the Capital Increase Reserved to
the Offer, the Directors pointed out in their Explanatory Report that what reported by the Independent Expert in its assessment of the
Mediobanca shares subject to contribution pursuant to article 2440, paragraph 2, and article 2343- *ter* of the Italian Civil Code
remains confirmed. When examining the method for determining the issue price of the shares adopted by the Directors, we did not carry
out an economic assessment of the Mediobanca shares which will be subject to a contribution in kind in the context of the Offer. As anticipated,
the value of the Mediobanca shares is exclusively subject to the assessment carried out by the Independent Expert appointed by the Bank
pursuant to article 2343- *ter*, paragraph 2, letter b) of the Italian Civil Code;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· any considerations on the Directors' decisions
upon the structure of the transaction, the related obligations (also from a legal and tax standpoint), the timing, the start and the execution
of the same transaction and the related choices are excluded from our scope of work;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· without prejudice to the provisions set out in articles 2343- *quater*,
paragraph 4, and 2443, paragraph 4, of the Italian Civil Code, the Explanatory Report does not show any temporal constraints regarding
the newly issued shares, with the subsequent full right for the holders of the Mediobanca shares, following the delivery by the Bank of
the new BMPS shares exchanged, to trade the aforesaid shares on the market.

11 of 12

![](tm2518026d1_ex99-14img001.jpg)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**10.** **Conclusions** 

Based on the documents examined and the procedures indicated above, and considering the nature and scope of our work, as reported in this fairness opinion, without prejudice to what is shown in paragraph 9 above*,* we believe that the method adopted by the Directors is adequate, as it is reasonable and not arbitrary in the circumstances, for the purposes of determining the issue price of a maximum number of 2,230,000,000 new shares of Banca Monte dei Paschi di Siena SpA in the context of the share capital increase with the exclusion of the option right reserved to the shareholders of Mediobanca – Banca di Credito Finanziario SpA.

Florence, 26 June 2025<br>

PricewaterhouseCoopers SpA** 

*Signed by*

Marco Palumbo <br> (Partner)

*This independent auditor's report has been translated into English solely for the convenience of international readers. Accordingly, only the original Italian version is authoritative.*

12 of 12

*\*\*\*\*\**

The voluntary public exchange offer referred to in this document shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

This document does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.

The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This document, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.

IMPORTANT INFORMATION

In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document,

at Banca Monte dei Paschi di Siena S.p.A.'s web site at *<u>www.gruppomps.it/en/</u>* and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.

This document does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this document may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.

The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.

## Exhibit 99.15

**Exhibit 99.15**

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

&nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-15img001.jpg)<br>

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&nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-15img013.jpg)<br>

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&nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-15img026.jpg)<br>

*\*\*\*\*\**

The voluntary public exchange offer referred to in this document shall be promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

This document does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, which the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni shall carefully examine.

The Offer will be made in Italy and will be addressed, on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

The Offer will be made in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and, without prejudice to the following, the Offer is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents to be issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This document, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors. The Offeror shall not be held liable for any breach by any person of any of the foregoing limitations.

IMPORTANT INFORMATION

In connection with the proposed voluntary public exchange offer, the required offer document will be sent to Commissione Nazionale per le Società e la Borsa ("**Consob**"). **Investors and shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are strongly advised to read the offer document and the exemption document, if and when available, and any other relevant documents sent to, or filed with, Consob, as well as any amendments or supplements to those documents, because they will contain important information**. If and when filed, investors may obtain free copies of the offer document and of the exemption document,

at Banca Monte dei Paschi di Siena S.p.A.'s web site at *<u>www.gruppomps.it/en/</u>* and will receive information at an appropriate time on how to obtain these transaction-related documents for free from the parties involved or from a duly appointed agent.

This document does not constitute an offer to purchase, sell or exchange or the solicitation of an offer to purchase, sell or exchange any securities, nor shall there be any offer to purchase, solicitation, sale or exchange of securities in any jurisdiction in which such offer, solicitation or sale or exchange would be unlawful prior to the registration or qualification under the laws of such jurisdiction. The distribution of this document may, in some countries, be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of and observe these restrictions. To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.

The Banca Monte dei Paschi di Siena S.p.A. securities referred to herein that will be issued in connection with the voluntary public exchange offer described herein may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 or pursuant to a valid exemption from registration.

## Exhibit 99.16

**Exhibit 99.16**

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img001.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A Clear and Simple Commercial Bank, Revolving Around Customers, Combining Technology With Human Touch Siena, 6th August 2024 2Q-24 & 1H-24 Results & Business Plan 2024-2028 |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img002.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 Disclaimer THIS DOCUMENT IS BEING PROVIDED TO YOU SOLELY FOR YOUR INFORMATION. THIS DOCUMENT, WHICH WAS PREPARED BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. (THE "COMPANY" OR "BMPS" AND TOGETHER WITH ITS CONSOLIDATED SUBSIDIARIES, THE "GROUP"), IS PRELIMINARY IN NATURE AND MAY BE SUBJECT TO UPDATING, REVISION AND AMENDMENT. IT MAY NOT BE REPRODUCED IN ANY FORM, FURTHER DISTRIBUTED OR PASSED ON, DIRECTLY OR INDIRECTLY, TO ANY OTHER PERSON, OR RE-PUBLISHED IN ANY MANNER, IN WHOLE OR IN PART, FOR ANY PURPOSE. ANY FAILURE TO COMPLY WITH THESE RESTRICTIONS MAY CONSTITUTE A VIOLATION OF APPLICABLE LAWS AND VIOLATE THE COMPANY'S RIGHTS. IMPORTANT: You must read the following before continuing. The following applies to this document, the oral presentation of the information in this document by the Company or any person on behalf of the Company, and any question-and-answer session that follows the oral presentation (collectively, the "Information"). In accessing the Information, you agree to be bound by the following terms and conditions. This document was prepared by the Company solely for information purposes and for use in presentations of the Group's strategies and financials. The Information contained herein provides a summary of the Group's 2024 half year financial statements ("1H-24"), which are subject to audit, and is not complete. 1H-24 complete interim financialstatements will be available on the Company's website at www.gruppomps.it. The information, statements and opinions contained in this presentation are for information purposes only and do not constitute (and are not intended to constitute) an offer of securities for sale, or solicitation of an offer to purchase or subscribe securities, nor shall it or any part of it form the basis of or be relied upon in connection with or act as any inducement or recommendation to enter into any contract or commitment or investment decision whatsoever. Neither this document nor any part of it nor the fact of its distribution may form the basis of or be relied upon in connection with any contract or investment decision in relation thereto. Any recipient is therefore responsible for his own independent investigations and assessments regarding the risks, benefits, adequacy and suitability of any operation carried out after the date of this document. Any securities referred to herein have not been registered and will not be registered in the United States under the U.S. Securities Act of 1933, as amended (the "Securities Act") or under the securities laws of any State or other jurisdiction of the United States or in United Kingdom, Australia, Canada or Japan or any other jurisdiction where such an offer or solicitation would be unlawful (the "Other Countries"). No securities may be offered or sold in the United States unless such securities are registered under the Securities Act, or an exemption from the registration requirements of the Securities Act is available. The Company does not intend to register or conduct any public offer of securities in the United States or in Other Countries. This document does not constitute or form a part of any offer or solicitation to purchase or subscribe for securities in the United States or in Other Countries. To the extent applicable, any industry and market data contained in this document has come from official or third-party sources. Third-party industry publications, studies and surveys generally state that the data contained therein has been obtained from sources believed to be reliable, but that there is no guarantee of the fairness, quality, accuracy, relevance, completeness or sufficiency of such data. The Company has not independently verified such data contained therein. In addition, some industry and market data contained in this document may come from the Company's own internal research and estimates, based on the knowledge and experience of the Company's management in the market in which the Company operates. Any such research and estimates, and their underlying methodology and assumptions, have not been verified by any independent source for accuracy or completeness and are subject to change without notice. Accordingly, undue reliance should not be placed on any of the industry or market data contained in this document. This document also contains a summary of the Group's 2024-2028 Business Plan and may include certain forward-looking statements, projections, objectives and estimates reflecting the current views of the management of the Company and the Group with respect to future events. Forward-looking statements, projections, objectives, estimates and forecasts are generally identifiable by the use of the words "may", "will", "should", "plan", "expect", "anticipate", "estimate", "believe", "intend", "project", "goal" or "target" or the negative of these words or other variations on these words or comparable terminology. These forward-looking statements include, but are not limited to, all statements other than statements of historical facts, including, without limitation, those regarding the Company's and/or Group's future financial position and results of operations, strategy, plans, objectives, goals and targets and future developments in the markets where the Group participates or is seeking to participate. Any forward-looking statements in this document are subject to a number of risks and uncertainties. Due to such uncertainties and risks, readers are cautioned not to place undue reliance on such forward-looking statements as a prediction of actual results. The Group's ability to achieve its projected objectives or results is dependent on many factors which are outside the Group's control. Actual results may differ materially from those projected or implied in the forward-looking statements. Such forward-looking information involves risks and uncertainties that could significantly affect expected results and is based on certain key assumptions. Moreover, such forward-looking information contained herein has been prepared on the basis of a number of assumptions which may prove to be incorrect and, accordingly, actual results may vary. All forward-looking statements included herein are based on information available to the Company as at the date hereof. The Company undertakes no obligation to update publicly or revise any forward-looking statement, whether as a result of new information, future events or otherwise, except as may be required by applicable law. Neither the Company nor any member of the Group nor any of its or their respective representatives, directors, or employees shall be liable at any time in connection with this presentation or any of its contents for any damages including, but not limited to, loss of profits or loss of opportunity, or any other liability whatsoever which may arise in connection with any use and/or reliance placed on this presentation. The Company, the Group and their representatives undertake no obligation to provide the recipients with access to any additional information or to update or revise this document or to correct any inaccuracies or omissions contained herein that may become apparent. This presentation shall remain the property of the Company. Pursuant to paragraph 2, article 154-bis of the Consolidated Finance Act, the Financial Reporting Officer, Mr. Nicola Massimo Clarelli, declares that the accounting information contained in this document corresponds to the document results, books and accounting records. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img003.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3 Agenda 1. 2Q-24 & 1H-24 Results 2. Business Plan 2024-2028 3. Closing Remarks and Q&A Session Appendix – Supporting Materials A. Our Evolving Journey: Strategic Highlights Luigi Lovaglio B. Updated Financial Targets Chief Executive Officer, General Manager |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img004.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 1. 2Q-24 & 1H-24 Results |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img005.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 2Q-24 & 1H-24 Executive Summary Notes: (1) Direct and indirect funding. (2) Ratio not comparable with the one on 1Q-24 (18.2%) due to the increased assumed pay-out ratio (from 50% to 75%). CET1 ratio includes first half net profit, reduced by the dividend, computability of which is subject to the approval of the European Central Bank. ▪ 1H-24 net profit at €1,159m (+87.3% y/y), of which €827m in 2Q-24, including a positive tax effect of €457m, confirming the Bank's capability to generate sustainable profits ▪ Gross operating profit in 1H-24 crossed €1.1bn, up +18.0% y/y, with €555m contribution in 2Q-24, driven by almost double-digit growth in revenues and effective cost management enabling to almost absorb the impact of labour contract renewal; 1H-24 cost/income at 46% reduced vs 49% in 1H-23 ▪ Operating income exceeding €2bn in 1H-24 (up +9.7% y/y) with strong growth in both NII (+8.3% y/y) and fee income (+9.8% y/y, driven by wealth management fees up +20% y/y). Quarterly positive dynamics (+0.5% q/q) thanks to resilient NII and further improvement in fees (+1.4% q/q) ▪ 1H-24 operating costs under control (+1.2% y/y), despite the impact of labour contract renewal, thanks to non-HR costs ongoing optimization (-6.7% y/y) ▪ Total commercial savings(1) confirming the growing trend, up €+6.5bn since Dec-23, of which €+2.7bn in 2Q-24; net customer loans confirming the level of year end and reflecting market trend ▪ 1H-24 cost of risk at 52bps in line with the guidance. Gross NPE ratio at 4.6% and net NPE ratio at 2.4%; NPE coverage at 49.8% ▪ Sound liquidity position with counterbalancing capacity above €33bn, LCR at 164% and NSFR at 134% ▪ CET1 FL ratio at 18.1%(2) , including a dividend pay-out of 75% on pre-tax profit, increased from previous ratio of 50%, with a buffer on Tier 1 ratio SREP 2024 requirement around 750bps |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img006.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 Net Profit 2.5x +87.3% Quarterly Evolution (€m) Yearly Evolution (€m) 333 370 827 619 706 1,159 positive net tax • 1H-24 net profit at €1,159m, up +87.3% y/y, including €453m of positive net tax • 2Q-24 net profit at €827m, including €457m of positive net tax, vs €333m in 1Q-24, thanks to further improvement in operational performance 1Q-24 2Q-24 1H-23 1H-24 457 453 370 706 |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img007.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 Gross Operating Profit Quarterly Evolution 551 555 Operating Income (€m) Gross Operating Profit (€m) Operating Costs (€m) 45% Core revenues (NII + Fees) Other financial revenues Cost/Income 46% +0.5% 462 463 +0.8% +0.2% 952 956 +0.4% 1,013 1,018 1Q-24 2Q-24 1Q-24 2Q-24 1Q-24 2Q-24 • 2Q-24 gross operating profit at €555m (+0.8% q/q), thanks to increased revenues and effective costs management • Cost/income further improving to 45% |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img008.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 Gross Operating Profit Yearly Evolution 937 1.106 1.753 1.908 Operating Income (€m) Gross Operating Profit (€m) Operating Costs (€m) 46% Core revenues (NII + Fees) Other financial revenues Cost/Income 49% +9.7% +18.0% +1.2% +8.9% 914 925 1,851 2,031 1H-23 1H-24 1H-23 1H-24 1H-23 1H-24 • 1H-24 gross operating profit at €1.1bn, up +18.0% y/y, driven by almost double-digit growth in revenues and effective costs management enabling to absorb the majority of impact of labour contract renewal • 1H-24 cost /income ratio at 46% reduced from 49% in 1H-23 |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img009.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 Net Interest Income 587 585 Lending rate Funding rate Spread 4.41% 1.24% 3.18% 4.46% 1.16% 3.30% Yearly Evolution (€m) 3.80% 0.49% 3.31% 4.44% 1.20% 3.24% -12bps -7bps +8.3% Quarterly Evolution (€m) -0.3% 1.083 1.172 1Q-24 2Q-24 1H-23 1H-24 • 1H-24 NII at €1,172m up +8.3% y/y, thanks to effective spread management and benefit from net ECB position • 2Q-24 NII at €585m, fairly stable q/q with higher cost of deposits following volumes expansion offset by benefits from net ECB position |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img010.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 Net Customer Loans Notes: (1) Loans presented net of repos and NPEs. 2023 figures have been recast on the basis of a different client segmentation and including the effect of the merger of MPS CS and L&F. 62,8 63,1 62,6 6,1 6,2 6,2 Dec-23 Mar-24 Jun-24 -0.2% -0.8% Net Loans(1) (€bn) 32.1 30.6 31.0 30.6 32.1 32.1 Small business & medium enterprises Retail Large Corporate & Other • Net customer loans confirming the level of year end reflecting market trend |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img011.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 Total Commercial Savings Notes: (1) Managerial data.Commercial savings, in indirect funding, not including certain institutional assets, as per business plan targets. Total Commercial Savings(1) (€bn) 71,4 71,8 74,4 29,9 32,1 31,8 56,6 57,8 58,3 Dec-23 Mar-24 Jun-24 Deposits AuC AuM +2.1% +0.8% Q/Q +3.0% vs Dec-23 +4.7% +4.1% 157.9 161.7 164.4 +1.7% • Total commercial savings confirming the growing trend, up €+6.5bn since Dec-23, of which €+2.7bn in 2Q-24 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img012.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12 Italian Govies Portfolio Notes: (1) Banking book: Amortized cost portfolio + Financial assets FVTOCI. FVTOCI credit spread sensitivity: before tax, for 1bp increase in the BTP/Bund spread. Figures from operational data management system. Nominal value for govies at AC; net position for govies at FVTPL. Italian Govies Portfolio Breakdown(1) (€bn) Italian Govies Portfolio at FVTOCI FVTOCI Duration (years) Jun-23 Jun-24 FVTOCI Credit spread sensitivity (€m) 6,6 7,7 8,0 2,8 1,6 1,5 1,9 1,2 Jun-23 Mar-24 Jun-24 Amortized cost portfolio Financial assets FVTOCI Financial assets FVTPL 11.4 8.9 ~1.9 ~2.5 -0.6 -0.4 10.7 ~2.6 Mar-24 -0.5 • Banking book portfolio (AC+FVTOCI) at €9.5bn, with a progressive remix towards bonds booked in AC and ongoing reduction of credit spread sensitivity of the FVTOCI portfolio • Q/q dynamics of FVTPL portfolio related to market-making activity on Italian government bonds |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img013.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 181 192 Net Fee and Commission Income Quarterly Evolution 184 179 Commercial Banking Fees (€m) Total Fees (€m) Wealth Management and Advisory Fees (€m) +1.4% 365 370 -2.8% +5.7% 1Q-24 2Q-24 1Q-24 2Q-24 1Q-24 2Q-24 • Total fees at €370m, up +1.4% q/q thanks to increased commercial banking fees (+5.7% q/q) driven by loans; wealth management and advisory fees at €179m, confirming positive performance of 1Q |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img014.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 Total Fees (€m) Notes: (1) The split of net fee and commission income for 1H-23 has been slightly changed compared to 2023 presentation to align with market best practices. 670 736 302 363 368 373 Commercial Banking Fees(1) (€m) Wealth Management and Advisory Fees(1) (€m) +9.8% +1.5% +20.0% Net Fee and Commission Income Yearly Evolution 1H-23 1H-24 1H-23 1H-24 1H-23 1H-24 • 1H-24 total fees at €736m up +9.8% y/y, with increase driven by both wealth management and advisory fees (+20.0% y/y) and commercial banking fees (+1.5% y/y), despite lower contribution from current accounts, due to the reduction of account maintenance fees charged to customers |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img015.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15 Operating Costs Quarterly Evolution 157 159 HR Costs (€m) Operating Costs (€m) Non-HR Costs (€m) 462 463 305 304 -0.3% +1.1% +0.2% 1Q-24 2Q-24 1Q-24 2Q-24 1Q-24 2Q-24 • 2Q-24 operating costs stable (+0.2% q/q) both in HR and Non-HR components |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img016.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 339 317 -7.2% 574 608 HR Costs (€m) Operating Costs (€m) Non-HR Costs (€m) 914 925 +1.2% -6.7% +5.9% Operating Costs Yearly Evolution 1H-23 1H-24 1H-23 1H-24 1H-23 1H-24 • 1H-24 operating costs at €925m, under control (+1.2% y/y) thanks to Non-HR costs ongoing optimization (-6.7% y/y) almost offsetting the impact of labour contract renewal |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img017.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 Notes: (1) NPE ratio calculated as ratio of gross non-performing exposures to customers on total gross exposures to customers (no government securities). 1,4 1,5 1,5 2,1 2,2 2,2 Dec-23 Mar-24 Jun-24 Bad loan UTP + Past due 3,5 3,6 3,7 Dec-23 Mar-24 Jun-24 Gross NPE Stock (€bn) Breakdown by Category (€bn) Gross NPE ratio(1) 4.6% Net NPE ratio 2.4% 4.4% 2.3% 3.6 3.5 4.5% 2.3% 3.7 41% Bad loans/ Total NPEs Gross NPE Stock • Gross NPE stock at €3.7bn • Gross NPE ratio at 4.6% and Net NPE ratio at 2.4% |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img018.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 NPE Coverage Breakdown Cost of Risk (bps) 49,1% 49,5% 49,8% Dec-23 Mar-24 Jun-24 Total NPE Coverage 68,1% 37,6% 21,7% 67,8% 37,8% 21,3% 67,5% 38,1% 23,1% Bad loan Coverage UTP Coverage Past Due Coverage Dec-23 Mar-24 Jun-24 57 54 50 1H-24 CoR 52bps Coverage and Cost of Risk FY-23 1Q-24 2Q-24 • Cost of risk at 50bps in 2Q-24 and at 52bps after 6 months, in line with 2024 guidance • Ongoing increase in NPE coverage up to 49.8% in June, up +30bps q/q and +70bps since Dec-23 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img019.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 130% 129% 134% Dec-23 Mar-24 Jun-24 163% 163% 164% Dec-23 Mar-24 Jun-24 9% 9% Dec-23 Mar-24 Jun-24 Funding & Liquidity NSFR Evolution Reduced Reliance on ECB funding (ECB Funding/Total Liabilities) LCR Evolution 11% • Solid liquidity position, with counterbalancing capacity above €33bn, LCR at 164% and NSFR at 134% • Access to the institutional market funding continued, with the issuance of a €750m social European covered bond (Premium) in July |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img020.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 18,2% 18,1% +1.7% -0.4% -0.4% -1.1% +0.1% Mar-24 2Q-24 net profit 2Q-24 dividend (pay-out: 50%) 1H-24 dividend: (pay-out: 75%) DTA deductions RWA and other Jun-24 Capital Notes: (1) Dec-23 capital ratios net of €315m of dividend distribution. Mar-24 capital ratios include net profit of the period net of dividend (calculated on the basis of a pay-out ratio of 50% of the pre-tax profit). Jun-24 capital ratios include first half net profit, reduced by the dividend (calculated on the basis of a pay-out of 75% of the pre-tax profit), computability of which is subject to the approval of the European Central Bank. RWA Fully Loaded (€bn) 48,1 48,5 48,3 Dec-23 Mar-24 Jun-24 Fully Loaded Capital Ratios(1) CET1 ratio (%) Jun-24 SREP 2024 Tier 1 ratio (%) Total capital ratio (%) 18,1% 18,2% 18,1% 8,6% Dec-23 Mar-24 Jun-24 SREP 2024 CET1 Ratio Fully Loaded(1) CET1 Ratio Fully Loaded: Quarterly Dynamics(1) Dec-23 Mar-24 18.1% 18.1% 21.4% 8.57% 10.58% 13.27% 18.1% 18.1% 21.6% 18.2% 18.2% 21.6% • CET1 FL ratio at 18.1%, including first half net profit net of dividends with a payout ratio increased from the previous guidance of 50% to 75%; Buffer on Tier 1 ratio around 750bps |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img021.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 Actual 1H-24 Results vs. 2024E Figures Setting the Base for Financial Targets of Business Plan 2024-2028 1H-24 2024E 2024E Selected P&L Items (€m) Operating Income 2,031 3,880 3,840 o/w Net Interest Income 1,172 2,279 2,247 o/w Net Fees and Commission Income 736 1,410 1,402 Operating Costs (925) (1891) (1868) Gross Operating Profit 1,106 1,989 1,972 LLPs (209) (427) (421) Net Operating Profit 897 1,562 1,551 Pre-Tax Profit 706 1,311 1,300 Including MP Banque Excluding MP Banque(1) Notes: (1) 2024E P&L takes into account the classification of MP Banque as a "discontinued operation" in accordance with IFRS5 below the line. The business is expected to be sold by year-end. Starting point for P&L projections of Business Plan 2024-2028 Preliminary estimate of detailed 2024E year-end figures (to be considered as directional in nature for illustration purposes) to create the baseline for Business Plan 2024-2028 financial targets on a comparable perimeter basis, i.e. excluding MP Banque(1) |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img022.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 2. Business Plan 2024-2028 Notes: in the following slides, where applicable, 2024E P&L takes into account the classification of MP Banque as a "discontinued operation" in accordance with IFRS5 below the line. No contribution of MP Banque envisaged from 2025E onwards as the business is expected to be sold by year-end. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img023.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 A clear and simple commercial Bank, revolving around customers, combining technology with human touch " " " " Enrich business model sustainability through enhancing and innovating initiatives, underpinned by digitalisation and new technologies, leveraging our strong historic franchise and talented people driven by our ESG culture Business Plan 2024-2028 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img024.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 A Clear and Simple Commercial Bank, Revolving Around Customers, Combining Technology With Human Touch Business Plan 2024-2028: Selected Financial Targets Notes: (1) Please refer to following pages for additional details on projected CET1 Ratio evolution and related assumptions. +€125m by 2026E +€260m by 2028E 51% in 2026E 50% in 2028E 44bps in 2026E 34bps in 2028E Above 18%(1) over 2024-28E €1.4bn in 2026E €1.7bn in 2028E Net Fee & Commission (Delta vs. 2024E) Cost/Income Ratio Cost of Risk Pre-Tax Profit CET1 Ratio  |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img025.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 2. Business Plan 2024-2028 A. Our Evolving Journey: Strategic Highlights Notes: in the following slides, where applicable, 2024E P&L takes into account the classification of MP Banque as a "discontinued operation" in accordance with IFRS5 below the line. No contribution of MP Banque envisaged from 2025E onwards as the business is expected to be sold by year-end. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img026.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26 BMPS: An Historic Franchise Delivering a New Success Story Most of Business Plan Targets for 2026 Already Surpassed in Less than 2 Years, Supported by Interest Rates Environment… Since 2022 BMPS has also improved its rating Moody's(5) from Caa1 Stable to Ba2 Stable Fitch(6) from B Evolving to BB Stable DBRS(7) Morningstar from B (high) Stable To BB (high) Positive 2026E Target (2022-2026 Business Plan) Actual Results (2023A, if not otherwise stated) Selected P&L Items (€m) Operating Income 3,286 3,797 Operating Costs (1885) (1843) Gross Operating Profit 1,401 1,954 Pre-tax Profit 909 1,231(1) Selected KPIs Cost / Income Ratio 57% 49% Cost of Risk <50bps 57bps Net NPE Ratio 1.4% 2.4% (2Q-24) CET1 Ratio 15.4% 18.1% (2Q-24) RoATE(2) 8.7% 14.5%(3) Pay-out Ratio 30% on 2025-26 Net Profit ~25% (2023A)(3) / ~75% (2024E)(4) Notes: (1) Adjusted to exclude the non-recurring positive impact from the net release of provisions for legal risks. (2) RoATE calculated considering pre-tax profit an average tangible book value. (3) Based on adjusted pre-tax profit of €1,231m. (4) 2024E guidance based on pre-tax profit. (5) For Moody's Long Term Senior Unsecured Debt ratings as of 18 March 2022 and 15 May 2024. (6) For Fitch Long Term Issuer Default ratings as of 1 December 2021 and 10 November 2023. (7) For DBRS Long Term Senior Unsecured Debt ratings as of 15 July 2022 and 15 April 2024. ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ~ ~ |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img027.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 BMPS: An Historic Franchise Delivering a New Success Story (Cont'd) …And the Successful Implementation of Launched Initiatives Selected Initiatives Selected Highlights • Simplify Group structure • Optimise and redeploy workforce • Implement highly rigorous and disciplined G&A cost management • Develop an advanced household financing offering ✓ Completed successful merger of subsidiaries ✓ ~4k voluntary FTE exits through "Solidarity Fund" ✓ Significant rationalisation of Non-HR costs, notwithstanding strong inflationary pressure ✓ Implemented BMPS in-house consumer finance platform • Reduce and proactively manage NPE stock also via disposals • Align underwriting to new business lending priorities • Reduce ECB funding "dependency" and maintain a strong liquidity position throughout the Business Plan • Achieve sustainable CET1 position with sizeable capital buffer vs. SREP ✓ Sold >€1bn of NPEs, above levels envisaged in the Business Plan, while strengthening workout and destocking capabilities ✓ Set-up of dedicated Retail Underwriting Unit ✓ Reduced reliance on ECB funding, well below the Business Plan target for 2024 ✓ Best-in-class CET1 ratio across the Italian banking sector, above 18% • Maintain an adequate provisioning level against legal risks • Implement determined and clear data-driven approach in managing extraordinary legal claims, in particular extrajudicial ones ✓ Addressed legal risks legacy, resulting in massive downgrading, refocusing towards an "ordinary management" approach Achieve business model sustainability 1 Build a solid and resilient balance sheet 2 Tackle the legacy issues 3 Strategic Pillars of 2022-2026 Business Plan |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img028.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 Backdrop Has Continued to Change Since Announcement of 2022 Business Plan, Requiring to Evolve Our Sustainable Way to Do Banking Macro Environment Customer Preferences and Needs Industry Dynamics and Trends Inflation dynamics Inflation expected to remain stable around the ECB target (2%) in the medium term Interest rate contraction Interest rates, which have positively contributed to sector's top-line so far, expected to contract in short to medium-term Lower rates environment expected to support customers' shift towards wealth management products Focus on fee-based activities Focus on strengthening fee-based businesses to diversify revenue sources in light of expected changes to rates environment (e.g., strengthening of wealth-management offering / activities) Accelerating technological innovation Access to technological innovations available at lower cost, enabling reduction of "technical gap" and adoption of new technologies (e.g., Advanced Analytics, GenAI) Interest in hybrid and digital journey Customer preferences for different channels based on needs, digital for daily banking, physical (or hybrid) for more complex products, which have to be seamlessly integrated Evolving clients' needs Customers demanding higher degree of product customisation across their "life-cycle", as well as access to more diversified investment solutions |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img029.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 Vision A clear and simple commercial Bank, revolving around customers, combining technology with human touch The Evolution of BMPS' Journey is Rooted in Our Strategic Clarity on Enhancing and Innovating Initiatives Enablers Enhancing & Innovating Initiatives Evolution of fee-based proposition New dedicated service models for value-added activities Enhancement of household lending solutions and development of new verticals for SMEs Platform revamp and optimisation Zero-based approach to risk Our Historic Franchise and Brand Our Talented and Committed People Driven by Our ESG Culture Digitalisation and Innovation via New Technologies |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img030.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 Enhancing and Innovating Initiatives to Enrich Our Business Model Sustainability Evolution of fee-based proposition • Enhancement of wealth management advisory capabilities • Innovation of non-life insurance offering, for holistic coverage of clients' needs • Build-up of Widiba platform at scale, through targeted hiring strategy • Strengthening fee-based proposition for corporate clients, from transactional banking to more sophisticated solutions • Further enhancement of Athena platform's functionalities to better support customers' wealth planning • Development of Advanced Analytics and Artificial Intelligence tools for proactive product offering and targeting of "hidden" value clients • Advanced CRM system for Widiba • Use of digital / hybrid channels (e.g. Digital Branch and Modular Platform for Enterprises) enhancing role of "face-to-face" interactions • Web collaboration and remote advisory tools for integrated customer "journeys", end-to-end from onboarding to post-sale support • New Upper Affluent segment with appointment of dedicated RMs • New "Wealth Management Center & Advisory" to develop tailored investment solutions • Tailored customer journeys across multi-channels with evolved role of branches and "face-to-face" interactions: – Digital / remote channel for simple transactions and proactive offering – Physical branches for client-facing, value-added / more complex activities New dedicated service models for value-added activities ~€260m increase in total fees over 2024-28E, of which ~€185m in Wealth Management & Protection fees Enhancing and Innovating Initiatives Key Financials Digital and Technological Key Actions Enablers & Accelerators |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img031.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 • Upgraded proposition for households, with focus on mortgages as "hook and anchor" product for ensuring and acquiring full relationships across clients' life-cycle • Acceleration in consumer finance, continuing to tap existing underpenetrated client base • New specialised Agrifood and Green Energy verticals for SMEs, with tailored product offering and dedicated commercial organisation (Centers with experts) • Digitalisation of guaranteed and subsidised finance platform, from screening opportunities stemming from NRRP to application and settlement process • Enhanced product offering and processes, ranging from "fast-lending" for microbusinesses to digital factoring for SMEs • Enhanced digital mortgage journey, with automated processes and shortened "time-to-decision" • Enriched scoring system through Advanced Analytics for consumer finance • Direct digital work-flow with corporate clients' systems, supporting identification of deserving customers as well as pre-scoring processes for faster credit approval Evolution of NII (decrease of ~€80m over 2024-28E) with new lending priorities / volumes growth mitigating expected rates contraction dynamic Substantially flat NII related to commercial activities(1) over 2024-28E Enhancement of household lending solutions and development of new verticals for SMEs Enhancing and Innovating Initiatives to Enrich Business Model Sustainability (Cont'd) Notes: (1) Commercial NII related to commercial activities, excluding items related to the purchase activity of tax credit / "Ecobonus" and other accounting items. Enhancing and Innovating Initiatives Key Financials Digital and Technological Key Actions Enablers & Accelerators |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img032.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32 • Strengthened credit underwriting, through alignment to new lending priorities • Enhancement of monitoring and early warning systems, also through enrichment of digital scoring tools • Acceleration of credit recovery via evolved framework for the assessment, classification and collection activities • Proactive management of NPEs also via disposals • Development of algorithmic capabilities for retail credit origination • Adoption of AI-enabled scoring systems • Advanced Analytics technologies for early workflow management / monitoring and active portfolio strategy Cost of risk from ~54bps in 2024E to ~44bps in 2026E and ~34bps in 2028E Zero-based approach to risk • Continuation of strong trajectory in G&A discipline, while investing in transformation • New central dedicated unit for "project governance" to steer strategic investments and ensure timely execution / quality delivery • Optimisation of "cost-to-serve" via digitalisation and innovation • Strengthening of IT infrastructure by maximising speed of execution and improving security across the Bank • Natural generational change of the workforce, supported by hiring young talented professionals, coupled with broader upskilling / reskilling initiatives Platform revamp and optimisation • Advanced Analytics enabled cost and investment governance • Digital automation of back-end activities and low-value transactions • Digital / hybrid channels to increase efficiency and focus resources on high-value client-facing activities • Enhancement / upgrade of network services, hardware and licenses Operating expenses at ~€2.0bn in 2028E (vs. ~€1.9bn in 2024E), with initiatives partially offsetting impact of labour contract renewal, inflation and incremental transformation costs Enhancing and Innovating Initiatives to Enrich Business Model Sustainability (Cont'd) Enhancing and Innovating Initiatives Key Financials Digital and Technological Key Actions Enablers & Accelerators |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img033.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 The Virtuous and Sustainable Circle Enabled by the Combination of Strategic Clarity, Technology Innovation and Human Capital Potential Cost of Risk ~44bps in 2026E ~34bps in 2028E ~54bps in 2024E Cost/Income Ratio ~51% in 2026E ~50% in 2028E Net Fee & Commission (Delta vs. 2024E) +€125m by 2026E +€260m by 2028E Pre-Tax Profit ~€1.4bn in 2026E ~€1.7bn in 2028E ~€1.3bn in 2024E Notes: (1) Commercial revenues defined as sum of NII related to commercial activities (excluding items related to the purchase activity of tax credit / "Ecobonus" and other accounting items) and Net Fee & Commission. Net Interest Income (Delta vs. 2024E) -€151m by 2026E -€79m by 2028E Selected Financial Targets Recap ~49% in 2024E The "Virtuous and Sustainable Circle" Sustainable Earnings Generation Zero-Base Approach to Risk Leveraging Advanced Analytics & AI Enhancement of Value-Added Activities Increase in Efficiencies / Optimisation of Cost-to-Serve Full Valorisation of Human Capital Potential Investments in Innovations and New Technologies Capital Generation to Fund Business Growth / Evolution and Strategic Capital Allocation Operating Income (Delta vs. 2024E) +€5m by 2026E +€216m by 2028E |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img034.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 Embedding Value Distribution and Creation in our Proactive Capital Management Strategy Significant strategic optionality to pursue value-accretive alternatives, in light of projected excess capital in excess of €2bn over 2025-28E (post illustratively assumed cash dividend distributions) vs. 14% CET1 ratio management target ~€1.3bn Pre-tax Profit 2024E Guidance 75% Pay-out Ratio(1) (vs. ~25% in 2023) CET1 ratio projected above 18% over 2025-28E ~18% CET1 Ratio 2025-28E Projected Capital Evolution Strategic Capital Allocation Optionality Notes: (1) Based on pre-tax profit. (2) 75% of pre-tax profit, but not higher than 75% of net profit (as per current statutory provisions) in case net profit lower than pre-tax profit in future years due to net negative tax effect. Assuming for illustration purposes cash dividends in line with 2024E(2) Not yet reflecting the benefit at CET1 level of "off-balance sheet" and "on-balance sheet" tax losses carry forward DTAs (~€2.4bn at the end of Business Plan), to be fully captured progressively after 2028E >€950m Cash Dividend |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img035.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 Financial Targets Underpinned By a Comprehensive Investment Plan to Introduce Innovations and New Technologies… Technology Innovation Strategy Highlights Focus on Key Initiatives • €500m plan of Capex over the 2024-28E period, of which €420m Change Capex • Annual average of Change Capex over 2025-2028 more than 2.6x the annual average for 2022-2023 • Adoption of best-of-breed approach, focusing IT resources on higher-impact activities and high-returns projects, while leveraging market solutions for low-value components • Recurring sustained profitability allows BMPS to finance any further investment needs beyond 2028 40 100 30 80 60 190 500 Evolution of digital channels proposition, including Digital Branch and Modular Platform for Enterprises, enabling 100% self-experiences as well as comprehensive remote capabilities, seamlessly integrated with physical channels Development of Advanced Analytics modelling to deliver proactive and customised commercial offering as well as to identify "hidden" value clients, across key areas such as wealth management (e.g. Athena platform), consumer finance and protection 100% digital journeys and optimised customer experiences for key products such as household mortgages with automated assessment processes, near-real-time monitoring and shortened "time-to-decision" Algorithmic "skills" center for retail credit origination leveraging advanced AI-enabled scoring and innovation of early management workflow platform (also though Advanced Analytics) Cumulated IT Capex 2024-28E (€m) • o/w Change Capex: €420m • o/w Run Capex: €80m Commercial Business enhancement through AI Widiba evolution Technological operational platforms for innovation "Zero based" approach to risk management Upgrading operational architecture / enhancement of systems Security, cyber and regulatory requirement Total IT Capex Security and performance by design, also through infrastructure modernisation and upgrade of hardware / licenses |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img037.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37 An Historic and Strong Franchise, A Future-Ready Way to do Banking… Our Distinctive & Strong Roots Our Distinctive Way to do Banking Our 550+ Years of History Our Renowned Brand Our People & Culture Our Locally Entrenched Network Bank for Families and Businesses in the Territories Where We Operate… …Combining Technology with Human Touch… …Revolving Around Customers Based on Their Needs and Preferences Customer Journey / Experience Fully Digital Hybrid Channels "Face-to-Face"/ "In-branch" |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img038.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 E • Strengthening of commercial focus on green products offering for individuals, in line with strategic business priorities (e.g., green mortgages, sustainability-linked loans and green loans) and setting-up an incentive framework for customers • Support to SMEs in the green energy transition (e.g. financing energy efficiency and self-consumption initiatives), with focus on agrifood sector • Enrichment of wealth management offering with ESG investment solutions and specialised expertise • New issuance of green and social bonds • New Advanced Analytics technologies to meet Net-Zero goals on BMPS operations by 2030 G • Integration of ESG components across planning, compensation systems, risk management models and monitoring tools • Career paths and flexibility options to support women in leadership roles S • Social role of the Bank for people and businesses in the territories where we operate • Financial education programs, pension advice and financial planning • Micro-finance solutions for borrowers delivering positive social impact …Deeply Rooted in Our Strong ESG Culture Selected Examples From 2024E >40% Selected Highlights Notes: (1) Sectors with high emissions intensity (oil and gas, iron and steel, energy production and distribution, aluminium, cement, real estate, transports and agriculture). Issuances of Green / Social Bonds (€bn) AuM Invested in ESG Products as % Total UCITS AuM (%) ESG Financing in % of New Lending 17% 30% 2023A 2028E ~2x Green Loans to NZBA sectors(1) over Total Lending to NZBA sectors (%) 1,5% 7,6% 2024E 2028E ~25% of total issuances to be carried out over the period 2024-28E |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img039.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 2. Business Plan 2024-2028 B. Updated Financial Targets Notes: in the following slides, where applicable, 2024E P&L takes into account the classification of MP Banque as a "discontinued operation" in accordance with IFRS5 below the line. No contribution of MP Banque envisaged from 2025E onwards as the business is expected to be sold by year-end. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img040.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 Overview of Macroeconomic Assumptions Underlying Updated Financial Targets for 2024-28E Key Macroeconomic Assumptions(1) 366 273 260 260 260 2024E 2025E 2026E 2027E 2028E 0,7% 0,9% 0,7% 0,5% 0,6% 2024E 2025E 2026E 2027E 2028E 1,8% 2,1% 2,0% 1,9% 1,9% 2024E 2025E 2026E 2027E 2028E Euribor 3 months (bps) Real GDP Growth (YoY %) Inflation (%) (1) Source: Prometeia as of March 2024. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img041.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 Updated Financial Targets Recap Sustainable revenues with improved mix Enhanced structural efficiency at operating level Sustained improvement in risk profile Strong capital and sound liquidity Sustainable profitability throughout the plan 2024E 2026E 2028E 24-26E 24-28E Selected P&L Items (€m) CAGR CAGR Operating Income 3,840 3,844 4,056 0.1% 1.4% Operating Costs (1868) (1967) (2034) 2.6% 2.2% Gross Operating Profit 1,972 1,878 2,022 (2.4%) 0.6% LLPs(1) (421) (353) (280) (8.4%) (9.7%) Net Operating Profit 1,551 1,525 1,742 (0.8%) 2.9% Pre-tax Profit(2) 1,300 1,420 1,657 4.5% 6.2% Selected KPIs D D Cost / Income Ratio 49% 51% 50% 2.5pts 1.5pts Cost of Risk (bps) 54bps 44bps 34bps (9bps) (20bps) Gross NPE Ratio 4.5% 4.3% 3.7% (0.2pts) (0.7pts) NPE Coverage 49.0% 51.9% 54.8% 2.9pts 5.8pts CET1 Ratio 18.1% 18.1% 18.5% 0.0pts 0.5pts Stated RoATE(3) 12.4% 12.2% 13.3% (0.2pts) 0.9pts Notes: (1) Also including net impairment losses for other financial assets of €7m in 2024E. (2) Including projected reduction in systemic charges, extraordinary restructuring costs and FV adjustments over 2024-28E. (3) RoATE calculated considering pre-tax profit an average tangible book value.  |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img042.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42 Focus on Operating Income: Evolution and Breakdown o/w Net Interest Income o/w Net Fee and Commission Income o/w Other Income(1) 3.840 3.844 4.056 2024E 2026E 2028E 2.247 2.097 2.168 2024E 2026E 2028E 1.402 1.527 1.662 2024E 2026E 2028E 191 221 227 2024E 2026E 2028E +1.4% (0.9%) +4.3% +4.4% Operating Income Evolution (€m) Operating Income CAGR 2024E-28E CAGR 2024E-28E CAGR 2024E-28E CAGR 2024E-28E • Operating Income projected to grow at a 1.4% CAGR 2024-28E, driven by increase in Net Fee and Commission income offsetting the decrease in Net Interest Income • Net Interest Income slightly decreasing at -0.9% CAGR 2024- 28E, with new lending priorities / volumes growth mitigating the expected impact from decrease in interest rates • Net Fee & Commission income growing at +4.3% CAGR 2024- 28E, mostly driven by Wealth Management and Protection products Notes: (1) Other income includes pro-rata earnings for AXA MPS stake, trading & other items. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img043.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 Focus on Net Interest Income • Net interest income component related to commercial activities(1) negatively impacted by expected rates dynamics (over the period 2024-26E), to be offset by the envisaged commercial volumes growth following new lending priorities (especially over the period 2026-28E) • The combination of increase in institutional funding coupled with progressively reduced reliance on ECB funding expected to result in slightly higher net interest expenses for these components • Envisaged net positive contribution of ALM & Treasury activities Net Interest Income Evolution (€m) (190) 51 (23) 45 (34) 4 135 (23) 24 (68) 2.247 2.097 2.168 NII 2024E Rates impact Volumes impact Instit. & ECB funding ALM & Treasury Other NII 2026E Rates impact Volumes impact Instit. & ECB funding ALM & Treasury Other NII 2028E (€139m) +€140m Commercial NII(1) Evolution Commercial NII(1) Evolution Substantially flat Notes: (1) Commercial NII related to commercial activities, excluding items related to the purchase activity of tax credit / "Ecobonus" and other accounting items. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img044.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 Focus on Commercial Volumes Commercial Direct Savings Mix(1) (€bn) 46,9 48,2 50,0 22,2 21,3 21,7 3,6 3,1 3,1 72,7 72,5 74,7 1H-24 2026E 2028E Retail Deposits SME Deposits Large Corporate Deposits • Commercial loans stock projected to grow at 2.1% CAGR over the period 1H24-28E, driven by the planned commercial initiatives with regards to household lending and new verticals for SMEs • Commercial direct savings projected to grow at 0.6% CAGR over the period 1H24-28E, mainly driven by increase in retail deposits over the period CAGR 1H-24-'28E: 0.6% CAGR 1H-24-'26E: -0.1% (3) Commercial Loans Mix(1) (€bn) 31,3 32,6 34,9 0,7 2,1 2,9 30,2 30,4 30,8 4,0 4,0 66,2 4,2 69,1 72,8 1H-24 2026E 2028E Titolo del grafico Mortgages & Other Retail Consumer Finance SME Large Corporates CAGR 1H-24-'28E: 2.1% CAGR 1H-24-'26E: 1.7% (2) Notes: (1) Delta with 2Q-24 stock due to MP Banque and other loans / deposits not segmented. (2) Includes c.€0.7bn of other retail loans throughout the projection period. (3) Includes Retail, Private and Widiba customer deposits. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img045.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 642 728 828 760 799 834 1.402 1.527 1.662 2024E 2026E 2028E Wealth Management & Protection Transactional Banking Focus on Net Fee & Commission Income: Evolution and Breakdown +6.5% +2.5% +6.6% +2.3% CAGR '24E-'26E CAGR '24E-'28E +4.4% +4.3% (1) (2) Net Fee & Commission Income Composition (€m) • Growth in net fee & commission income at +4.3% CAGR over the period 2024-28E driven by both: ‒ Wealth Management & Protection (AuM, AuC, Life Insurance and Protection) growing at a +6.6% CAGR ‒ Transactional Banking fees growing at a +2.3% CAGR Notes: (1) Wealth Management & Protection fees based on managerial view. Includes net fee & commission income from AuM, AuC, Life Insurance and Protection. (2) Includes net fee & commission income from loans, payments & cards, CA maintenance and other.  |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img046.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 437 499 579 162 176 191 44 52 58 642 728 828 2024E 2026E 2028E AuM + AuC Life Insurance Protection 33,2 41,4 50,2 24,8 26,1 27,5 31,7 35,1 89,7 37,4 102,7 115,1 1H-24 2026E 2028E AuM Life Insurance AuC Focus on Net Fee & Commission Income: Evolution of Wealth Management & Protection Fees Indirect Funding Growth(2) Wealth Management & Protection Fees (€bn) (1) (€m) +9.6% +2.3% +9.3% +2.2% • Projected sustained growth in wealth management & protection fees (+6.6% CAGR over the period 2024-28E), driven by: ‒ Envisaged indirect funding growth at +5.7% CAGR 1H24- 28E, as a result of commercial focus coupled with expected positive impact of market performance ‒ Shift in penetration from AuC into AuM + Life insurance (from ~65% to ~68%) supported by combination of strategic initiatives coupled with expected lower rates environment CAGR '24E-'28E: +6.6% CAGR '24E-'26E: +6.5% CAGR 1H24A-2026E +5.7% +5.6% +3.7% +4.2% Notes: (1) Wealth Management & Protection fees based on managerial view. Includes net fee & commission income from AuM, AuC, Life Insurance and Protection. (2) Indirect funding not including certain corporate deposits for securities transactions and internal pension funds. Delta with 2Q-24 stock due to MP Banque. CAGR 1H24A-2028E |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img047.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 Focus on Net Fee & Commission Income: Evolution of Wealth Management & Protection Fees (Cont'd) • Wealth Management & Protection fees evolution driven by: – Significant commercial focus on Retail initiatives, especially through the introduction of the Upper Affluent segment (for clients with TFA(1) of €250-500k) – Continuous development of the Private segment, benefitting from the overall enhancement of Wealth Management advisory capabilities – Launch of the evolved Advisory-Only proposition, to meet more complex client needs – Growth of the Widiba platform, through targeted hiring strategy – Upgrade of Protection offering, including modular covers and digital small tickets offering 45 15 4 9 9 4 58 17 6 11 6 3 642 728 828 Wealth Management & Protection Fees 2024E Retail Private Evolved Advisory-only Services Widiba Protection Other Wealth Management & Protection Fees 2026E Retail Private Evolved Advisory-only Services Widiba Protection Other Wealth Management & Protection Fees 2028E Wealth Management & Protection Fees Evolution (€m) • Upper Affluent: €21m • Lower Affluent: €14m • Valore: €10m • Upper Affluent: €30m • Lower Affluent: €20m • Valore: €8m Notes: (1) Total Financial Assets. (2) Net fee and commission income for Widiba. (3) Including Business clients and other items. (2) (2) (3) (3) |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img048.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48 Focus on Net Fee & Commission Income: Build-up of Widiba's Platform at Scale Financial Advisors (#) Total Clients Assets (€bn) Growth of network and channels • Accelerated recruiting of financial advisors (mainly mid-sized, but also some with large portfolios), focusing on geographic areas with higher potential • Evolution of digital channels (e.g., App) in line with the best practices and enhancement of digital marketing, with targeted investments to accelerate acquisition New service models • Creation of a new service model with remote RMs to develop "self" clients • Distinctive value proposition (e.g., product, brand) for "Private" segment Product and service offering • Expansion of product range (e.g., alternatives, bancassurance, certificates) and enhancement of advisory services in order to accelerate conversion of direct deposits into AuM/ AuC Synergies with BMPS • Enrichment of Widiba's product offering leveraging synergies with BMPS also thanks to the recently developed "Wealth Management & Advisory Center" • Strengthened geographic footprint, leveraging synergies with BMPS network Enhancement of innovation • Enhancement of evolved CRM skills thanks to adoption of Advanced Analytics to identify higher potential clients and generate leads for advisors and RMs • Creation of an «innovation lab» to identify and seize innovation opportunities in the relationship between clients and advisors, enabled by new technologies 2024E 2028E ~820 ~590 +39% 50% 58% 2024E 2028E +8pts 11 18 2024E 2028E +62% Share of AuM on Total (%) 80 146 Gross Commissions (€m) 2024E 2028E +16% CAGR Notes: (1) Including direct and indirect deposits. 21 41 +19% CAGR Net commissions |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img049.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49 Focus on Operating Costs: Evolution and Breakdown o/w HR o/w G&A o/w D&A 1.868 1.967 2.034 2024E 2026E 2028E 1.222 1.289 1.332 2024E 2026E 2028E 473 482 490 2024E 2026E 2028E 173 195 212 2024E 2026E 2028E +2.2% +2.2% +0.9% +5.3% Operating Costs Evolution (€m) Operating Costs CAGR 2024-28E CAGR 2024-28E CAGR 2024-28E CAGR 2024-28E 49% 51% 50% Cost-Income Ratio • Operating Costs at ~€2.0bn in 2026-28E (vs. ~€1.9bn in 2024E), with initiatives partially offsetting impact of labour contract renewal, inflation and incremental transformation costs • Expected increase in HR costs over the period 2024-28E (+2.2% CAGR), mostly driven by labour contract renewal • Expected evolution of G&A costs (+0.9% CAGR) reflecting strong cost discipline and management, in line with proven track record of effective expense management / reduction • Projected D&A increase reflecting the effects of the envisaged investments over the period 2024-28E, especially in relation to IT capex |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img050.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50 Focus on Operating Costs: Evolution and Breakdown (Cont'd) • Expected increase in HR costs over the period 2024-28E (+2.2% CAGR), as the planned decrease in total FTEs is more than offset by the impacts of labour contract renewal, inflation and increase in incentive system • Recruitment of ~800 young talented professional (22) 89 (24) 67 1.222 1.289 1.332 HR Costs 2024E FTE Development National Banking Contract & Remuneration HR Costs 2026E FTE Development National Banking Contract & Remuneration HR Costs 2028E Also reflecting upgrade of the incentive system HR Costs Evolution (€m) • Envisaged impacts from inflation G&A Evolution (€m) dynamics and bank transformation initiatives partially offset by cost optimisation drivers, nearly reabsorbing cost increments coming from inflation, e.g.: ‒ Zero-based management ‒ Cost-to-serve optimisation ‒ New central dedicated unit for "project governance" 11 9 (11) 11 6 (9) 473 482 490 Operating Costs 2024E Inflationary dynamics Bank transformation Optimisation levers Operating Costs 2026E Inflationary dynamics Bank transformation Optimisation levers Operating Costs 2028E |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img051.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 Focus on Non-Performing Exposures: Evolution Gross NPE Stock 2028E (€bn) Default Rate 1,7% 1,2% 0,9% 2024E 2026E 2028E Collection Rate 6,6% 8,5% 11,6% 2024E 2026E 2028E Cure Rate 9,4% 10,2% 9,6% 2024E 2026E 2028E Disposals ~€2bn NPE Disposals expected in 2024-28E 1,5 2,1 0,1 0,9 0,7 1,0 1,1 3,7 3,7 By Classification By Type Gross NPE Stock Jun-24 (€bn) Bad Loans UTP Past due Secured by State Guarantee Forborne mortgages(1) Other real estate guaranteed Unsecured • Collection rate supported, among other things, by the stock of loans secured by State guarantees (~€0.9bn as of Jun-2024), coupled with strong track record of the Bank in recovery / collection • Cure rate supported, among other things, by the expected completion of forbearance period for forborne mortgages (~€0.7bn(1) as of Jun-2024, on which recovery and restructuring levers have already been proactively activated), as well as initiatives for assessment, classification and collection • Default rate reduction driven by set of already activated levers (e.g., retail mortgage switch / rebalancing from variable to fixed rates) and enabled by the evolving macroeconomic scenario 50% 23% 38% 68% 1,6 1,5 0,1 3,2 By Classification Bad Loans UTP Past due 55% 30% 40% 71% 50% 73% 53% 21% 41% Notes: Including MP Banque in 2024, as the IFRS5 classification of MP Banque as a "discontinued operation" does not impact asset quality indicators. (1) Excluding forborne mortgages with State Guarantee. Cash coverage |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img052.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 Focus on Non-Performing Exposures: Evolution of Key Asset Quality Indicators Gross NPE Ratio NPE Coverage 4,5% 4,3% 3,7% 2024E 2026E 2028E Net NPE Ratio 2,3% 2,1% 1,7% 2024E 2026E 2028E Cost of Risk expected to further improve at 44bps in 2026E and 34bps in 2028E (from 54bps in 2024E) 49% 52% 55% 2024E 2026E 2028E Bad loans 67% 70% 71% UTP 39% 39% 40% PD 23% 27% 30% Notes: (1) Excluding forborne mortgages with State Guarantee. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img053.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 Clear Funding Strategy Group Ample Liquidity Buffer and Diversified Funding Strategy • Significant LCR and NSFR target buffer MREL • Solid MREL position across the plan with buffer vs. target including CBR Funding Mix (€bn) • Stable mix with further reduction of exposure to ECB 36% 38% 38% 20% 19% 19% 9% 7% 6% 8% 9% 9% 26% 28% 28% 1H-24 2026E 2028E Retail Deposits SME & Corp. Deposits ECB Funding Institutional Bonds Other Institutional Bonds Evolution (€bn) • Total funding reimbursement in 2H24-28E at €9.2bn • Total funding issuance in 2H24-28E at €11.3bn 4,2 4,8 4,3 6,9 1,8 0,8 0.6 2.6 (1.0) 10,2 12,4 Institutional Bonds 1H-24 ∆ Senior Preferred Bonds ∆ Covered Bonds ∆ Subordinated Bonds Institutional Bonds 2028E Senior Preferred Bonds Covered Bonds Subordinated Bonds LCR and NSFR 2024E 2026E 2028E MREL Target + CBR 26.9% 27.3% 27.3% Buffer 2.0% 1.8% 1.7% MREL 28.9% 29.1% 29.0% 2024E – 2028E LCR ~160% NSFR ~140% |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img054.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 Significant Value Creation Potential from DTA Other Non Convertible DTAs Convertible DTAs DTAs on Tax Losses Carry Forward DTAs Not Recorded On Balance Sheet Current Stock of DTA (2Q-24) 2024E 2026E 2028E Income Statement Pre-tax profit 1.3 1.4 1.7 Net tax impact(1) 0.4 (0.1) (0.2) Implied effective tax rate n.m. 8% 11% Net Profit 1.7 1.3 1.5 DTA Stock 2024E 2026E 2028E DTA on Balance Sheet 2.2 2.3 2.2 DTA off Balance Sheet 1.8 1.1 0.5 DTA Stock Evolution and Net Tax Impact at P&L (€bn) €0.6bn €0.4bn €1.3bn €1.9bn • Expected ~€2.4bn of "on and off-balance sheet" tax losses carry forward at the end of projection period, NOT yet captured by CET1 ratio at YE 2028E • Significant unrealised value and core capital creation potential stemming from DTAs beyond 2028E Notes: (1) Including reassessment of "off-balance sheet" DTAs. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img055.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55 Regulatory Capital Evolution 18.1% 5.2% (3.9%) (0.4%) (0.9%) 18.1% 5.7% (4.3%) (0.4%) (0.6%) 18.5% CET1 Position 2024E Stated Net Profit Generation Cash Dividends RWA Evolution DTA Deductions & Other Impacts CET1 Position 2026E Stated Net Profit Generation Cash Dividends RWA Evolution DTA Deductions & Other Impacts CET1 Position 2028E 14% CET1 Ratio Management Target 8.9 2.6 (1.9) -- (0.4) 9.1 2.9 (2.2) -- (0.3) 9.5 49.1 -- -- 1.0 -- 50.1 -- -- 1.1 -- 51.3 CET1 Capital (€bn) RWA (€bn) CET1 Capital Ratio Evolution (%) • Capital ratios evolution, assuming for illustration purposes cash dividends related to 2025-28E in line with 2024E(1) • Sustained capital generation between 2024E and 2028E, resulting in CET1 ratio above 18% throughout projection period • Expected amount of DTAs (tax losses carry forward "on and off" balance sheet) of ~€2.4bn at the end of 2028E NOT captured by CET1 Ratio projection • First time adoption impact of CRR3 estimated at ~€1.3bn of lower RWAs as at year-end 2025E, more than offsetting the impact of the update of AIRB models for ~€0.8bn higher RWAs Notes: (1) 75% of pre-tax profit, but not higher than 75% of net profit (as per current statutory provisions) in case net profit lower than pre-tax profit in future years due to net negative tax effect. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img056.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 3. Closing Remarks and Q&A Session |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img057.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 The Evolving Journey of BMPS: from the "Renaissance" to the Future RoATE: 14.5%(1) CET1 ratio: 18.1%(2) Original Payout Guidance 2024E: 50%(3) Today RoATE: 4.6%(1) CET1 ratio: 11.0% Dividends: Capital injection needed Legacy from the Past ▪ Mixed track record ▪ Undercapitalised ▪ Overhang from legacy risks "The Renaissance": A Clear and Simple Commercial Bank… ✓ Business model sustainability ✓ Significant excess capital ✓ Return to shareholder remuneration 2021 ✓ Innovation and technology coupled with human capital strengthening sustainability ✓ Fortress balance sheet ✓ Value distribution and creation …Revolving Around Customers, Combining Technology With Human Touch The Future Beyond 2028+ Future-ready Bank with an efficient and agile platform to meet evolving needs RoATE: >12%(1) CET1 ratio: >18% Dividend Payout: ~75% in 2024E 2024-2028 Notes: (1) RoATE calculated considering pre-tax profit and average tangible book value. Today RoATE based on 2023 normalised pre-tax profit. (2) As of Jun-24. (3) Guidance for FY2024E cash dividend pay-out ratio announced in the context of FY2023 Results. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img058.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 Appendix – Supporting Materials of 2Q-24 & 1H-24 Results |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img059.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 Focus on DTAs Other non-convertible DTAs DTAs on Tax loss carryforwards Convertible DTAs Dec-23 ▪ Following the approval of the new financial targets and the expected improved capability of the Bank to generate sustainable profits, in 2Q reassessment of DTA on Tax loss carryforwards from "off - balance sheet" to "on - balance sheet" for €0.6bn was performed ▪ Stock of DTAs not recorded in Balance Sheet at €1.9bn, almost entirely composed by DTAs on tax loss carryforwards ▪ Current Italian fiscal regulations do not set any time limit to the use of tax loss carryforwards against the taxable income of subsequent years On and Off Balance Sheet DTAs (€bn) DTAs not recorded in balance sheet Total on balance sheet DTAs 0.5 0.7 0.6 2.6 1.8 Mar-24 0.5 0.8 0.6 2.5 1.9 0.4 1.3 0.6 1.9 2.4 Jun-24 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img060.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60 Extraordinary Litigations and Extrajudicial Claims 0,66 0,66 0,64 0,23 0,22 0,22 Gross Petitum(1) (€bn) Other civil litigations Extrajudicial claims 0,0 0,0 0,0 0,45 0,45 0,45 Dec-23 Mar-24 Jun-24 Alken civil litigation (2nd degree positive) ▪ Extraordinary litigations and extrajudicial claims stable since December 2023 ▪ The positive trend of civil sentences on disclosure of financial information 2008-2017 NPE proceedings is continuing; such trend includes the cluster of NPE proceedings ▪ 1 st degree verdict, issued on May-24 in favor of the Bank, regarding litigation commenced by institutional investors for an amount of approximately €186m, concerning, inter alia, NPE issue Notes: (1) Excluding remote risk litigations, in line with IAS 37.86. Criminal proceedings |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img061.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61 Reclassified Income Statement (€m) 2Q-24 1Q-24 1H-24 1H-23 2Q-24/ 1Q-24 (%) 1H-24/ 1H-23 (%) Net Interest Income 585 587 1,172 1,083 -0.3% +8.3% Net fees and commission income 370 365 736 670 +1.4% +9.8% Core Revenues 956 952 1,908 1,753 +0.4% +8.9% Profit (loss) of equity-accounted investments (AXA) 1 2 1 5 2 8 4 2 -19.6% -34.1% Financial revenues 5 1 3 8 8 9 5 8 +35.4% +52.5% Other operating net income -1 7 6 -2 n.m. n.m. Operating Income 1,018 1,013 2,031 1,851 +0.5% +9.7% Personnel expenses -304 -305 -608 -574 -0.3% +5.9% Other administrative expenses -117 -115 -232 -253 +1.9% -8.1% Depreciations/amortisations and net impairment losses on PPE -42 -42 -84 -87 -0.9% -2.4% Operating Costs -463 -462 -925 -914 +0.2% +1.2% Gross operating profit 555 551 1,106 937 +0.8% +18.0% Net impairment losses for credit risk -98 -106 -204 -205 -7.0% -0.4% Net impairment losses for other financial assets -4 -1 -5 2 n.m. n.m. Net operating profit 453 444 897 734 +1.9% +22.2% Net gains/losses on equity investments, PPE and intangible assets at FV, and disposal of investments -23 -6 -29 -30 n.m. -2.7% Systemic funds contribution 0 -75 -75 -59 -99.5% +28.7% DTA Fee -15 -15 -31 -31 +0.0% -2.9% Net accruals to provisions for risks and charges -11 -4 -15 -2 n.m. n.m. Restructuring costs / one-off costs -34 -8 -41 4 n.m. n.m. Pre-tax profit (loss) 370 336 706 615 +9.9% +14.7% Income taxes 457 -4 453 4 n.m. n.m. Profit (loss) for the period 827 333 1,159 619 n.m. +87.3% (1) Notes: (1) Financial revenues include: dividends, trading/disposal/valuation/hedging of financial assets. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img062.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62 Balance Sheet Notes: (1) Other assets include: cash and cash equivalents, derivatives assets, equity investments, tax assets, other assets. Other liabilities include: financial liabilities held for cash trading, derivatives, provisions, tax liabilities, other liabilities. Total Assets(1) (€m) Total Liabilities(1) (€m) Jun-23 Dec-23 Mar-24 Jun-24 QoQ% YoY% Loans to Central banks 544 527 832 566 -32.0% 4.1% Loans to banks 2,238 2,582 2,313 2,671 15.5% 19.3% Loans to customers 76,056 76,816 78,423 77,975 -0.6% 2.5% Securities assets 19,590 17,277 18,176 18,399 1.2% -6.1% Tangible and intangible assets 2,496 2,483 2,423 2,356 -2.8% -5.6% Other assets 19,878 22,930 24,608 26,734 8.6% 34.5% Total Assets 120,801 122,614 126,775 128,701 1.5% 6.5% Jun-23 Dec-23 Mar-24 Jun-24 QoQ% YoY% Deposits from customers 74,727 80,558 83,204 86,180 3.6% 15.3% Securities issued 9,416 10,081 9,514 10,342 8.7% 9.8% Deposits from central banks 15,283 13,148 11,629 12,010 3.3% -21.4% Deposits from banks 1,898 1,351 1,304 1,114 -14.6% -41.3% Other liabilities 10,977 7,497 10,816 8,260 -23.6% -24.8% Group net equity 8,500 9,979 10,307 10,795 4.7% 27.0% Non-controlling interests 1 1 1 0 -33.3% -50.0% Total Liabilities 120,801 122,614 126,775 128,701 1.5% 6.5% |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-16img063.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63 Lending & Direct Funding Total Lending (€m) Direct Funding (€m) Jun-23 Dec-23 Mar-24 Jun-24 QoQ% YoY% Current accounts 3,073 2,756 2,668 2,634 -1.3% -14.3% Medium-long term loans 53,330 51,838 52,047 51,579 -0.9% -3.3% Other forms of lending 14,341 14,219 14,628 14,659 0.2% 2.2% Reverse repurchase agreements 3,657 6,230 7,241 7,225 -0.2% 97.6% Impaired loans 1,656 1,774 1,838 1,877 2.1% 13.4% Total 76,056 76,816 78,423 77,975 -0.6% 2.5% Jun-23 Dec-23 Mar-24 Jun-24 QoQ% YoY% Current accounts 63,006 65,446 64,459 66,640 3.4% 5.8% Time deposits 4,762 5,948 7,353 7,715 4.9% 62.0% Repos 4,394 6,565 8,769 9,179 4.7% n.m. Bonds 9,416 10,081 9,514 10,342 8.7% 9.8% Other forms of direct funding 2,565 2,599 2,623 2,646 0.9% 3.1% Total 84,142 90,639 92,718 96,522 4.1% 14.7% |

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## Exhibit 99.17

**Exhibit 99.17**

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img001.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MEDIOBANCA "ONE BRAND – ONE CULTURE" Strategic plan rolling to FY28 Milan, 27 June 2025 |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img002.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2 DISCLAIMER The economic and financial projections for the period 2025-2028 have been prepared on a stand-alone basis and do not take into account the effects of the acquisition of Banca Generali, announced on 28 April 2025 and expected to be finalized by the end of the year. Furthermore, the aforementioned projections do not reflect the impact of external or unforeseeable events at the time the Plan was prepared, including any negative effects deriving from the public exchange offer launched on MB by MPS, transaction which, as already communicated, does not have any industrial logic, does not create value for Mediobanca's shareholders and risks compromising the Bank's profitable and sustainable growth strategy. In the event that the acquisition of Banca Generali is completed, the Group will prepare a Plan for the combined entity, which will reflect the new configuration and consolidated objectives of the resulting scope. |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img003.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Section 1. MB investment case Section 2. Group ambitions & financials Section 3. Divisional ambitions 3.1 Wealth Management 3.2 Corporate & Investment Banking 3.3 Consumer Finance Section 4. Closing remarks Annexes |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img004.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4 "ONE BRAND – ONE CULTURE" STRATEGIC ROAD MAP Growth in Wealth Management as a priority Mediobanca is now a strong player in the WM segment, with above market average growth rates due to a synergistic approach with CIB, an accelerated process of attracting bankers and HNWI clients and has announced a public tender offer for Banca Generali to double its size CIB increasingly synergistic with WM CIB has delivered some of the best profitability in the European sector thanks to the strength of its enhanced Private & Investment Banking and growth in capital-light business High sustainable contribution from CF Compass is the most profitable Consumer Finance operator in the Italian market, delivering high margins leveraging its well-recognized multichannel distribution and risk assessment capability Capital re-allocation opportunities in INS INS offers a source of high income and dividends uncorrelated with core banking business and capital re-allocation opportunities now envisaged in the Banca Generali offer Wealth Management ("WM"), Corporate & Investment Banking ("CIB"), Consumer Finance ("CF"), Insurance ("INS") MB investment case Section 1 Unique business model delivering best-in-class growth, remuneration and value creation for all stakeholders with a further acceleration embedded in Banca Generali offer |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img005.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5 EUR 3M (avg) 0.1% -0.3% 0.2% 3.3% Revenue €1.6bn to €2bn up to €2.5bn up to €3.3bn €3.7bn EPS up to €0.69 up to €0.93 up to €1.21 >€1.6 ROTE 7% 10% 13% 14% CET1 12% 14% 16% ~15% Capital Distribution Total 3Y = €0.5bn Total 3Y = €1.3bn Total 4Y = €2.2bn Total 2Y = ~€2.4bn2 Other Equity disposal Launch of WM Digital/ESG upgrade RWA optimization ✓ COHERENT AND STABLE STRATEGY, CONSISTENTLY OVER-DELIVERING ON TARGETS ✓ ✓ ✓ ✓ ✓ BP 2016-19 "Long-Term Value Player" BP 2019-23 "Distinctive Growth Player" BP 2013-16 "From Holding to Banking Group" BP 2023-26 "One Brand – One Culture" June 25E1 (Y2) ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ 1) Based on Preclosing 2025 2) Including €0.6bn buybacks executed from June 23 to June 25 out of total €1bn SBB announced for 23/26 MB investment case Section 1 |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img006.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6 BEST IN CLASS TOTAL RETURN FOR SHAREHOLDERS MB investment case Section 1 10Y Market performance and Total Shareholders Return (TSR) 0 2 4 6 8 10 12 14 16 18 20 22 MB 182,6% EU banks 45% ITA banks 99,7% Mediobanca: +183% (TSR: +379%) EU Banks: +45% (TSR: +137%) Ita Banks: +100% (TSR: +210%) |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img007.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7 MACRO CHALLENGES AND OPPORTUNITIES Low GDP growth, decreasing rates in 25/26, then modest recovery under fiscal stimulus Digitalization, AI and cybersecurity at the core EU to set up policies to respond to geo/trade challenges, energy transition, defense issues Ageing population /generational changes, unprecedented wealth transfers in next 5/10 years Pressure on NII especially up until end-2026 Margin compression on commoditized banking services/products Asset quality deterioration in some sectors, especially on SMEs Stronger competition in specialized, value-added products Need for comprehensive, digitally/AI integrated advice for private investors and corporates Regulation/digitalization driven costs BANKING IMPACT MACRO MB investment case Section 1 MEDIOBANCA WELL POSITIONED TO BENEFIT FROM MACRO AND INDUSTRY TRENDS DUE TO DISTINCTIVE BUSINESS MODEL CENTERED ON SPECIALIZED HIGHER MARGINS BUSINESS |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img008.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8 Wealth Management Consumer Finance Corporate & Inv. Banking MB EFFECTIVE BUSINESS MODEL STRONG POSITIONING AND DISTINCTIVE STRENGHTS TO CAPITALIZE ON MARKET OPPORTUNITIES NII1 50% Fees1 30% Other1 20% Opportunity: vast financial wealth of Italian households (€6tr), largely unmanaged and growing MB positioning: fast growing thanks to its positioning on the high end of the market MB Strenghts: brand, PIB model, attractiveness for Bankers/IFAs Opportunity: high volumes of large/mid corporate activity in Europe MB positioning: IB leader in Italy and Southern EU with an established K-light platform, centered on advisory services MB Strenghts : brand, PIB model, diversification, focus on advisory, strong control of costs/risks Opportunity: among the few segments in the EU with profitable loan growth MB positioning: leader in Italy, front runner in digital/BNPL segment MB Strenghts : proprietary/variable costs distribution, unrivalled pricing/risk management proven across all cycles 1) Revenues breakdown 12M Jun-25 Net interest income growth supported by gearing on CF representing 60% of group NII Fee income growth driven by WM and CIB thanks to unique Private & Investment Banking model Fee driver Fee driver NII driver MB investment case Section 1 |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img009.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9 Revenues/RWA FY25E FY28E 3 1 FY25E Banking INS FY28E Growing revenues RWA profitability up to 9% >4.4 Growing TFAs TFAs up €30bn+ over 3Y Growing loans stock RWA up €4bn, Loans up €8bn in 3Y 27% <25% 73% >75% FY25E FY28E (Group TFAs, €bn, %) 1) 3YCAGR 2025-28 >110 143 +9%¹ 46 50 +3%¹ 3.7 AUM/AUA +11%¹ Deposits +4%¹ MB investment case Section 1 IN THE NEXT 3Y WE WILL DELIVER STRONG & CAPITAL EFFICIENT GROWTH (Group RWAs, €bn) (Group revenues, €bn) 8% 9% +6%¹ |

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| | |
|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img010.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10 In the last decade we have doubled revenues to €3.7bn, consistently achieving our targets, continuously growing, rising ambitions. All business segments have been enlarged, contributing positively to growth and profitability Revenue quality enhanced by broader diversification and growing contribution from capital-light activities In the next 3Y, the MB Group expects to deliver ~ €4.4bn revenues, up ~20% from FY25 or +6%¹ Revenues trend (€bn) … CONTINUING OUR «ONE BRAND- ONE CULTURE» LONG-TERM VALUE-DRIVEN JOURNEY MB investment case Section 1 BP 2016-19 BP 2019-23 0.9 1.0 1.1 1.3 1.5 0.3 0.5 0.8 1.0 1.2 0.6 0.6 0.7 0.9 1.0 FY16 FY19 FY23 FY25E FY28E CF WM CIB INS HF&Other 2.5 3.3 4.4 2.0 +2x 3.7 up ~20% «One Brand- One Culture» - BP 23-28 1) 3YCAGR 2025-28 |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img011.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11 1.7 FY16 FY19 FY23 FY25E FY28E Recurring (1) Non recurring (1) 0.8 1.0 1.9 0.6 In the last 10Y we have doubled net profit to €1.3bn, with a 30% recurring growth expected in next 3Y Net profit quality has been enhanced by diversification and growing contribution from capital-light activities (WM) In the next 3Y, the MB Group expects to reach ~ €1.9bn stated net profit¹, up 45% from FY25 Net profit trend (€bn) …BOOSTING OUR EARNINGS THROUGH –THE - CYCLE 1.3 MB investment case Section 1 BP 2016-19 BP 2019-23 «One Brand- One Culture» - BP 23-28 +2x +45% 1) FY28E net profit stated > €1.9bn, recurring at €1.7bn (net of gains from real estate project in Monaco, see slide 23) +30% 0.2 |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img012.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12 In next 3Y EPS28¹ recurring up 30% to €2.1; EPS28 stated expected to increase by 45% to €2.4 In next 3Y ROTE28 recurring up to 17% (from 14%, up 3pp); ROTE28 stated will be boosted to ~20% Positive profitability (RORWA) trend in all segments: WM up to 5.2% (+120bps) – CIB up to 2.2% (+30bps) – CF resilient at 2.9% – Ins up to 4.7% (+110bps) CET1 will remain solid and optimized at ~14%. Tier 1 capital up to 15.5% after AT1 issuance 0.93 1.21 >1.6 2.11 2.41 10% 13% 14% 17% ~20% 14% 16% 15% ~14% ~14% -20% -15% -10% -5% 0% 5% 10% 15% 20% 0% 50% 100% 150% 200% 250% 300% 350% 400% FY19 FY23 FY25E FY28 recurring FY28 stated EPS (€) ROTE CET1 EPS, CET1 and ROTE trend (%, €) …WITH STRONG IMPROVEMENT IN ROTE (UP TO 17%) AND EPS28 (UP 30% TO €2.1) MB investment case Section 1 1.2% 1.9% 2.2% 2.9% 3.10% 4.0% 5.2% 3.20% 3.6% 4.7% 2.4% 2.9% 3.5%1 FY23 FY25E FY28E CIB CF WM INS Group RORWA trend (%) CET1 1)FY28E stated: net profit at €1.9bn, EPS at €2.4, ROTE ~20%, RoRWA 4% - FY28E recurring: net profit at €1.7bn, EPS at €2.1, ROTE at 17%, RoRWA 3,5%. Real estate project in Monaco, included in HF segment, excluded in recurring figures ROTE: TBV calculated as Shareholders' equity (including Group Stated Profit of the period) less intangible assets, less AT1 component ROTE |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img013.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13 0.85 1.07 1.12¹ 1.7 1.9 2.1 FY23 FY24 FY25 FY26 FY27 FY28 Cash DPS Cash DPS trajectory (€) Next 3Y: ~€5bn cumulative distribution, equal to 30% of current MB market capitalization: €4.5bn cash dividends: cash pay-out at 100% of ordinary net profit for FY26, FY27, FY28 €0.4bn SBB² to be executed in FY25/26 (paid out of FY25 earnings) DPS: +50% in FY26 (to €1.7) and doubling in FY28 (to €2.1) Interim dividend confirmed … ENABLING €5BN DISTRIBUTIONS, >30% CUMULATIVE YIELD IN 3Y AND DPS DOUBLING IN 3Y MB investment case Section 1 1) €0.56 interim dividend paid in May 25 annualized 2) Third and last tranche of SBB announced in May 23 for total €1bn (€0.6bn already executed), already accounted for on FY25 payout/ CET1, subject to ECB and AGM authorization, to be executed in FY25/26 3) Pay-out calculated gross of AT1 coupons 100% 100% 100% 3Y Total distribution: €5bn Cash dividend: €4.5bn + SBB (€0.4bn²) 70% 70% 70% Total pay-out 100% o.w. cash pay-out 70% Cash ordinary pay-out 100% 2x Cash pay-out |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img014.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14 Group ROTE¹ up to 17% FY25E FY28E recurring FY28E stated 17% ~14% Solid CET1 optimized at 14% FY25E FY28E +3pp ~14% ~15% EPS up to €2.1 FY25E FY28E recurring FY28E stated >1.6 TBVPS2 above €12 TBVPS+ cumulative DPS = €18-19 p.s. +9% 3YCAGR FY25E FY28E FY28E €12 €5bn next 3Y cumulative distribution Cumulative yield 30%² 2.2 2.4 ~5bn 4Y FY20/21/22/23 2Y FY24/25 3Y FY26/27/28 30% (ROTE, %) (EPS, €) (DIV+SBB, €bn) (€) (CET1, %) TBVPS TBVPS TBVPS DIV Cumulative €18-19 yield CLEAR AND DELIVERABLE VALUE CREATION ROTE UP TO 17% TBVPS + 3Y CUMULATIVE DPS: UP TO €18-19 p.s. Net profit >€1.9bn MB investment case Section 1 >€12 2.1 1)FY28E stated: net profit at €1.9bn, EPS at €2.4, ROTE ~20%, RoRWA 4% - FY28E recurring: net profit at €1.7bn, EPS at €2.1, ROTE at 17%, RoRWA 3,5%. Real estate project in Monaco, included in HF segment, excluded in recurring figures ROTE: TBV calculated as Shareholders' equity (including Group Stated Profit of the period) less intangible assets, less AT1 component 2) On 24 June 25 price 15.5% Tier1 capital CET1 20% Net profit >€1.7bn 2.4 |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img015.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Section 1. MB investment case Section 2. Group ambitions & financials Section 3. Divisional ambitions 3.1 Wealth Management 3.2 Corporate & Investment Banking 3.3 Consumer Finance Section 4. Closing remarks Annexes |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img016.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 REVENUES UP TO €4.4BN (+6%¹) ALL BUSINESSES AND INCOME SOURCES GROWING 3.7 4.4 0.25 0.25 0.2 June 25E NII Fees Other June 28E Group revenues by source (€bn) +6%1 1.0 1.2 FY25E FY28E 1.3 1.5 FY25E FY28E 0.9 1.0 FY25E FY28E Group ambitions and financials Section 2 1) 3YCAGR 2025-28 2) Coherently with the refocused mission (retail NPLs management) MBCredit Solution moved from CIB to CF; after the acquisition of full control of Selma, leasing activities moved from HF to CIB together with Facta in Specialty Finance 3) INS based on AG consensus (Nasdaq IR) prudentially weighted 95% CAGR +4% CAGR +7% Group revenues up 6%¹ driven by NII (+4%¹) and Fees (+7%¹) Group revenues up >€700m or ~20% over 3Y, WM as first growth contributor WM: up >€0.2bn (+8%¹) driven by double digit growth of fees/AUM&AUA CIB2 : up >€0.1bn (+5%¹) on balanced growth of all products CF: up €0.2bn (+5%¹), driven by high single digit growth of NII INS3 : up 0.2bn (+10%¹) including contribution of seed capital/PE HF: down 15m, minor impact in FY26, then reverting WM: up > €0.2bn CIB: up > €0.1bn CF: up €0.2bn |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img017.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17 2025-28 NII UP TO >€2.2BN (+4%¹) HIGH SINGLE DIGIT IN CONSUMER FINANCE Group ambitions and financials Section 2 <2.0bn >2.2bn 40 40 200 (15) Preclosing June 25E WM CIB CF HF June 28E Group NII by segment (€m) Group NII up >€200m over 3Y to >€2.2bn (+4%¹), driven by volume growth (+5%1) CF steady growth, 6%1 Contribution from other divisions visible from FY27 with upward trend in rates expected NII resilient in FY26, high single digit growth in FY27 and FY28 supported by rising yields on loans and less than proportional increase in cost of deposits 20 24 17 21 16 18 June 25E June 28E CIB WM CF Other Group loans by segment3 Group loan yield2 and deposit costs2 5.5% 5.1% 5.2% 5.5% 1.8% 1.3% 1.3% 1.5% 2.8% 1.9% 2.3% 2.6% FY25E FY26E FY27E FY28E Loan yield Deposit cost EUR3M 1) 3YCAGR 2025-28 2) Excluding hedging 3) CIB loans including €1bn of leasing loans in FY28. After the acquisition of full control of Selma, leasing activities moved from HF to CIB together with Facta in Specialty Finance 54 63 +4%1 +5%¹ |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img018.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18 DIVERSIFIED FUNDING STRATEGY €6/7BN ANNUAL ISSUANCES @110BPS VS EUR3M 1) Including Certificates at FVO 2) Spread vs Eur 3M Funding up €13bn with deposits growing and bond issuance with strong and diversified mkt access and capital instrument optimization Capital instrument optimization with up to €750m AT1 issuances 2 transactions envisaged (Capital instrument issuances, €bn) 1.0 1.0 0.6 0.3 0.75 Issued in FY24 & FY25 FY25-28 Funding Plan SNP T2 AT1 1.6 >2.0 SNP 1.0 T2&AT1 1.0 ABS/SRT 3.3 Covered 3.0 SP to third-party banks 3.1 SP to MB networks 1.0 SP to institutionals 7.9 FY26-28 bond issuances: €20bn @110 bps (€bn) (€bn) 30.1 33.3 31.5 37.1 7.6 12.0 June 25E June 28E WM deposits MB securities Banks & Other 69 82 1 Bond maturities/Issuances per year €6/7bn bond issuance at ~110bps (vs €6bn maturities) 6/7 ~6 Bonds to be issued FY26/28 Bonds maturing FY26/28 ~110 ~124 Bond CoF2 Group ambitions and financials Section 2 (Debt instrument issuances, €bn) |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img019.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19 FEE INCOME UP TO >€1.3BN (+7%1) DOUBLE DIGIT GROWTH IN WM Group ambitions and financials Section 2 <1.1bn >1.3bn 210 65 (60) 30 30 (15) - Preclosing June 25E WM mgt fees WM banking,upfront, carried interest WM passive fees IB advisory Capmkt & lending fees CF fees June 28E +7%1 Group fee by sources (€m) WM+215m +11%1 CIB+60m +5%1 Group fees up >€250m over 3Y to >€1.3bn (7%1) WM1 double digit growth (11%1), driven by NNM (€10-11bn per year, ROA up 3bps due to improved asset mix, in–house products). Ongoing sustainable flow of structured and private markets products CIB: mid single digit growth (5%1), with sound trend in advisory volumes (after record FY25), growing capmkt and lending fees CF: modest reduction due to shift between Fees and NII in BNPL in line with EU directive in place from 2026 1) 3YCAGR 2025-28 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img020.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20 GOP RISK ADJ. UP TO >€2.3BN (+7%1) EFFICIENCY AND SCALE BENEFITS OFFSETTING COR NORMALIZATION <1.9 ~2.3 700 (160) (140) Preclosing June 25E Revenues Costs LLPs June 28E Group GOP1 risk adjusted trend (€m) +7%1 Group ambitions and financials Section 2 Cost/Income down from 43% to 40% 1) 3YCAGR 2025-28 COR From <50 to 60bps Group GOP risk adj up to almost €2.3bn (7%1), including over €700m growth in revenues €160m increase in costs, with Group cost/income ratio enhancing from 43% to 40%, mainly driven by WM larger scale and efficiency €140m higher LLPs due to CoR normalization in CF (asset quality control and progressive normalization of CoR to 200bps) and remaining low in CIB (strong asset and rating profile preserved, with CoR at 5bps) |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img021.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21 FY25E WM CIB CF Ins & other FY28E MB Group cost/income evolution (%) RCB Cost base growth (up by 3%1) more than offset by revenue growth (cost/income down from 43% to 40%) driven by: WM: cost/income down 10pp (from 66% to 56%) due to operational leverage as a result of scale, efficiencies, growth more focused on FAs, offsetting ongoing investments in technology and volumes growth CIB: cost/income stable (46%) with international development, investment in new products and talent retention/hiring CF: cost/income down from 31% to 30% driven by material leverage of digital distribution Positive contribution from Ins revenue growth over 3Y and efficiency in HF function C/I @43% C/I @40% C/I @56% Down 10pp C/I@46% Stable ↑ Tech develop. ↑ Physical network growth ↑ Volumes growth costs ↓ Process efficiency/AI ↓ Growth more focused on FAs ↑ Strong competition on talent ↑ Tech develp. ↑ New products in MKt division and international growth ↓ Process efficiency/AI ↓ Selective new hiring ↑ Digital international presence ↑ Recovery costs ↑ Tech dev. ↓ Distribution enhancement at variable costs ↓ Process efficiency/AI Group ambitions & targets Section 2 COST/INCOME RATIO DOWN TO @40% LEVERAGING SCALE IN WM AND DIGITAL IN CF 1) 3YCAGR 2025-28 C/I@30% down 1pp |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img022.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22 CoR UNDER CONTROL (60BPS) DRIVEN BY NORMALIZATION IN CF AND GRADUAL OVERLAY RELEASE FY28E Group CoR at 60bps, with overlay stock down by ~€170m in 3Y, driven by: CF: CoR normalizing (up ~30bps in 3Y from ~175bps to ~200bps); overlay stock fully deployed; excluding overlay deployment, cost of risk would grow by ~25bps (from ~190bps to ~215bps) CIB and WM: CoR remaining immaterial (in the region of 0-5bps) driven by selective new production and in CIB high rating profile and no SME exposure 52 48 <50 ~60 145 168 ~175 ~200 149 191 ~190 215 0 50 100 150 200 FY23 FY24 FY25E FY28E Group CoR trend (bps) 209 175 ~145 60 47 June 23 June 24 June 25E June 28E CF Other 268 222 ~190 Total overlay trend (€m) ~20 CF stated Group CF ex overlays ~ |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img023.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23 VALUING A REAL ESTATE PROJECT IN MONACO WORTH €500M Group ambitions and financials Section 2 ✓ CMB Monaco will build its new head office by 2028. The project includes the disposal of the residential floors, which will be promoted from the first half of 2026 ✓ The project includes 24 levels above ground totalling 17,400 m² (net surface including terraces), and 8 levels underground. ✓ CMB will keep the first 7 floors (3,700m²) regrouping its private banking business ✓ The total contribution to MB PBT (proceeds from the disposal net of capex) is expected to exceed €0.5bn, to be accounted from 2026 to end 2028 25 500 150 325 FY26 FY27 FY28 Total FY26-FY28 Monaco real estate project contribution to MB Group PBT1 (€m) 1) Profit included in HF division with a tax rate of approx. 23% |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img024.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24 MB Group annual average K generation (bps) Enhanced capital generation: 280bps, vs 220bps in BP23-26 and 150bps in BP19-23 Higher earnings contribution (350bps), lower but achievable optimization/regulation (+30bps, including new PD model in CIB, SRT and AT1 issuance1 , neutral FRTB introduction) Stronger organic growth (55bps) and capital absorbed by AG (40bps) due to BV growth Net earnings (2) Optimization/ Regulation Business growth AG deduction & other K generation FY25-28 avg. annual CET1 generation +180bps (10)bps (20)bps neutral +150bps +350bps +30bps (55)bps +280bps BP19-23 (45)bps +30% Group ambitions & targets Section 2 AVERAGE ANNUAL CAPITAL GENERATION UP TO 280BPS +40% +250bps (30)bps (40)bps +40bps +220bps BP23-26 1) €750m AT1 issuance included, SRT transactions for total €1.7bn RWA relief, ow €0.8bn in CF 2) Including Monaco real estate project gains 000 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img025.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25 CET1 SOLID AT ~14% - T1 AT 15.5% WITH €750M AT1 ISSUANCE ~15% ~14.0% +350bps (55)bps ~15.5% +30bps (45bps) 315bps 150bps CET1 June 25E Earnings (3) Business growth Regulat/ Optim. AG& Other Avg annual CET1 distribution CET1 June 28E AT1 issuance T1 June 28E Group CET1 average annual evolution CET1 optimized at ~14%, with issuance of AT1 of €750m. MDA buffer ~400bps Annual capital generation: 280bps, including 350bps from earnings,(55)bps from RWA growth partially offset by optimization (SRT, AT1 issuance1) and regulation (PD model revalidation in CIB, neutral FRTB). AG absorbing 40bps p.a., due to BV growth Average annual distributions: 315bps Total distribution: €5bn cumulative in 3Y FY26/27/28: €4.5bn cash distribution over 3Y FY26/27/28 (315bps average p.a.) + €0.4bn SBB, subject to ECB and AGM authorization, to be executed in FY26 100% pay-out of recurring earnings in 3Y FY26/27/28 Average annual capital creation: 280bps Group ambitions and financials Section 2 1) €750m AT1 issuance included 2) Overall capital requirement 9.17%, including AT1 shortfall (30bps) and T2 shortfall (40bps) 3) Including Monaco real estate project gains MDA: 9.9%2 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img026.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Section 1. MB investment case Section 2. Group ambitions & financials Section 3. Divisional ambitions 3.1 Wealth Management 3.2 Corporate & Investment Banking 3.3 Consumer Finance Section 4. Closing remarks Annexes |

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|:---|:---|
| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img027.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 MB WEALTH MANAGEMENT 821 ~975 1.2bn 32 88 >110 143 -100.0 -50.0 0.0 50.0 100.0 150.0 FY16 FY19 FY23 FY24 FY25E BP28E 0 1000 334 WM revenue (€m) and TFA (€bn) trend 162 >225 ~370 0.8% 3.1% 4.0% 5.2% -0.5% 0.5% 1.5% 2.5% 3.5% 4.5% 5.5% FY16 FY19 FY23 FY24 FY25E BP28E 0 50 100 150 200 250 300 350 400 450 500 WM net profit and profitability trend (€m) RoRWA WM positioning Lead positioning in Private & Investment Banking ("PIB"), leveraging high MB Brand awareness and IB capabilities, focus on high-end clients accelerated after MB Premier repositioning Attractive for Bankers and IFAs given the brand and the PIB offer Digital footprint and multichannel offering Above average growth and productivity due also to the PIB model and the double gearing on entrepreneurs and HNWIs FY25-28 trajectory Avg NNM p.a.: €10-11bn, mainly in AUM/A Recruitment:+330 salespeople, driven by FA's Revenues ~€1.2bn by June 28 C/I down from 66% to 56% Net profit up to ~€370m TFAs Divisional ambitions - WM Section 3.1 In the next 3Y MBWM will become the largest contributor to the MB Group's growth, capitalizing on the benefits of scale, further repositioning and greater efficiency |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img028.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28 WM DELIVERY IN FY24 & FY25 WM Strategic path ➢ Main growth option and priority for MB Group ➢ Scaling up and further repositioning as a leader in the Italian market ➢ Leveraging the One Brand approach and successful PIB model Last 2Y KPIs (FY24 & FY25): ➢ TFAs: >€110bn, up >€22bn ➢ Revenues: ~€975m, up ~19% ➢ Net profit: >€225m, up >40% ➢ RoRWA up 90bps to 4.0% MBWM: "ONE FRANCHISE" approach leveraging the Mediobanca brand ➢ New products launched in liquid assets (new asset allocation products and delegated funds) ➢ Polus new credit alternatives funds (+1bn in last 2Y) and ongoing CLO activity (€1.2bn CLO placed in last 2Y, US CLO market entered with 2 placements) Exploiting inhouse expertise <€3bn NNM in last 2Y ➢ >€2bn liquidity events gathered by MBPB in last 2Y, approx. 50% in synergy with CIB ➢ 18 M&A mandates co-originated ➢ Flagship initiatives launched in Private Markets in collaboration with top tier partners ➢ Customized solutions for structured products and discretionary mandates Effective PIB model >€7bn NNM in last 2Y ➢ Strong reaction with recruitment increasing (>240 new professionals hired in last 2Y) ➢ Upgrade in customer base by shifting toward Premier segment: +7.5k new HNWI clients in 24M, over 50k retail accounts exited ➢ Acceleration of offer repositioning towards in house guided platform Launch of Mediobanca Premier >€8bn NNM in last 2Y Divisional ambitions - WM Section 3.1 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img029.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29 WM "ONE BRAND–ONE CULTURE" PATH TO FY28 Leverage PIB across all networks Exploit potential of existing franchise Strong recruitment of IFAs/Bankers Rationalize common functions, cost centres and marginal activities Leverage digital footprint and AI Expand advisory services Internalize AM capabilities Expand offer to next wealth gen KEEP GROWING AT INDUSTRY LEADING STRANDARDS COMPLETE REPOSITIONING EXPLOIT SCALE EFFICIENCIES WM: main growth option and priority for MB Group Divisional ambitions - WM Section 3.1 PEOPLE: +330 salespeople, mainly FAs 30 profiles upskilling in 3Y NNM: 8-10% p.a. Over €1bn liquidity event p.a. COST/INCOME RATIO: 56% (down 10pp) RORWA up to 5.2% TFA: €143bn (up 9%1) AUM/AUA >75% (up 11%1 at €110bn) GROSS MGT FEE MARGIN up 3bps REVENUES: €1.2bn (up 8%1) 1) 3YCAGR 2025-28 KPIs - June 28E |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img030.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30 FY25E Revenues Labor costs Administrative expenses Efficiency FY28E WM cost/income evolution (%, bps) RCB Cost/income down by 10pp driven by scale, in details: Revenue growth contributing positively by leveraging operational scale Labor costs driven by hiring (focus on Financial Advisors) with headcount up to ~2.4k (+1.5%1 vs 2% in previous 2Y) Administrative expenses driven by technology (expected to normalize after previous 2Y investments), moderate increase in operations and control function driven by growing volumes Centralization of business processes ad IT efficiencies by implementing RPA e AI C/I @66% C/I @56% Cost/income ratio down 10pps (13.5pp) +4.5pp +1.5pp ↑ Headcount growth ↑ Technology dev. ↑ Branches, network and operation Divisional ambitions - WM Section 3.1 WM COST/INCOME DOWN 10PP DRIVEN BY LEVERAGING SCALE (2.5pp) ↓ Centralization of processes 85% Fees 25% NII 1) 3YCAGR 2025-28 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img031.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31 60 >80 110 FY23 FY25E FY28E (C/I,%) WM FINANCIALS AUM/AUA (€bn) and with a more efficient platform… Cost/income ratio down 10pp 68% 66% 56% FY23 FY25E FY28E -10pp 55% 57% 63% FY23 FY25E FY28E will drive revenues to €1.2bn (+8%1) … Fees +11%1 2YCAGR +9% (Revenues, €bn) 3YCAGR +8% Net profit will increase and RoRWA will be enhanced to 5.2% 162 >225 ~370 3.1% 4.0% 5.2% FY23E FY25E FY28E (RoRWA, %; Net profit, €m) 1.00% 1.00% 1.03% FY23 FY25E FY28E up 3bps 88 >110 143 FY23 FY25E FY28E with stable gross mgt fee margin… Slightly improving to 103bps Sustained growth in TFAs… +9%1 to >€143bn mostly driven by AUM/AUA… +11%1 , >75% of TFAs (TFA, €bn) (AUM/AUA, €bn) 2YCAGR +12% 2YCAGR +16% 3YCAGR +9% 3YCAGR +11% (Franchise gross management fee/AUM+AUA) Divisional ambitions - WM Section 3.1 1) 3YCAGR 2025-28 % fees 3Y CAGR +11% |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img032.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Section 1. MB investment case Section 2. Group ambitions & financials Section 3. Divisional ambitions 3.1 Wealth Management 3.2 Corporate & Investment Banking 3.3 Consumer Finance Section 4. Closing remarks Annexes |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img033.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33 MB CORPORATE & INVESTMENT BANKING Positioning MB CIB has undertaken a profound reshape in terms of mix of revenues and RWA intensity Diversified: balanced business mix across advisory services, lending and markets International: >50% of CIB revenues; ~65% of advisory revenues (from 30% in FY16) K-light: revenues/RWAs up from 2.3% to more than 6.0% in last 10Y Synergistic with MB Group: PIB model Sustainable: strong risk profile, low volatility of earnings FY25-28 trajectory Revenues ~€1.0bn by June 28 C/I ratio mantained <50% Net profit ~ €330m Loans up €4bn1 (RWAs up <€2bn) RoRWA up to 2,2% 625 569 712 <0.9bn 2.3% ~1bn 2.9% 6.0% 6.5% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% FY16 FY19 FY23 FY25E FY28E 0 200 400 600 800 1000 1200 CIB revenues trend (€m) Revenues/RWAs 15 17 20 20 24 (1) 27 19 19 14 >15 FY16 FY19 FY23 FY25E FY28E 0 5 10 15 20 25 30 Loans RWA Divisional ambitions - CIB Section 2.2 CIB loans & RWA trend (€bn) CIB is now a well positioned, advisory-focused, more international platform. The transformation carried out will allow MBCIB in the next 3Y to capitalize on the strong FY25 results and deliver an increasing RORWA ~36% fees >45% fees >45% fees down by 40% 1) €1bn refers to leasing loans. After the acquisition of full control of Selma, leasing activities moved from HF to CIB together with Facta in Specialty Finance |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img034.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34 CIB DELIVERY IN FY24 & FY25 NET PROFIT UP BY 20%, RWA DOWN BY 25% ➢ Arma Partners partnership in Tech/Digital well ahead of acquisition plan ➢ Energy Transition strong transaction track record in Italy and Spain; Private Capital activity acceleration across the franchise ➢ Sustained mid-market activity in Italy, driven also by PB collaboration; start of Mid International in Germany and Spain ➢ BTP specialist fully operational with raising ranking of MB; CO2 trading on track Sources of K optimization for MB Group 1) Period on Period (FY 25&24 vs FY 23&22) Delivery across businesses ➢ In Advisory growth driven by international (45% of total transactions) and private capital (74% of total) ➢ 172 transactions announced incl. Arma; 12% PoP1 increase excl. Arma ➢ In Lending, despite lower volumes, achieved revenues stability thanks to fees driving RoRWA higher ➢ In Markets, growth with increasing RoRWA Successful execution of new initiatives ➢ Selective corporate lending with enhanced focus on return-driven capital allocation whilst maintaining risk discipline ➢ RWAs down €4bn since June 23, due to Basel IV, increased use of risk mitigating measures and disciplined capital allocation CIB strategic path: ➢ Fee driven, K-light, more international diversified Investment Bank; ➢ Growth matched with strong RWA reduction to drive up profitability ➢ Leveraging new initiatives to expand CIB franchise Last 2Y KPIs (FY24 & FY25): ➢ Revenues: >€870m, up >20% ➢ Net profit: >€270m, up >20% ➢ RWAs down €4bn or 20% ➢ RoRWA up 70bps to ~1.9% Divisional ambitions - CIB Section 2.2 CIB delivery across all businesses, new initiatives and K-light strategy |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img035.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35 CIB: "ONE BRAND–ONE CULTURE" STRATEGIC PATH Diversify fee sources RWA optimization: new PD model, SRT opportunities ROAC discipline in Lending with focus on cross-selling with advisory, DCM and Markets products New asset classes in Market Division: Gold and Crypto Debt Advisory New products to increase Private Capital penetration (Continuation Funds, Private Credit partnership) Expansion of advisory in international core geographies Expand international midcap platform New geographies in Markets: Middle East and US Broaden PIB model across large and mid cap K-LIGHT GROWTH MODEL ENHANCE INTERNATIONAL/ CLIENT COVERAGE DEVELOP NEW PRODUCTS Loans up €41bn, RWA up <€2bn COR @5bps Cost/Income ratio: flat 46% RoRWA up to over 2% Revenue up to €1bn (up by 5%2) Fees up by 5%2 Divisional ambitions - CIB Section 2.2 CIB growth: capital-light, more diversified by geographies, new products KPIs - June 28E 1) €1bn refers to leasing loans. After the acquisition of full control of Selma, leasing activities moved from HF to CIB together with Facta in Specialty Finance 2) 3YCAGR 2025-28 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img036.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36 CIB FINANCIALS2 Divisional ambitions - CIB Section 2.2 20 20 24 5 7 9 11 13 15 17 19 21 23 25 FY23 FY25E FY28E 225 272 ~330 1.2% 1.9% 2.2% FY23 FY25E FY28E 19 14 15 5 7 9 11 13 15 17 19 21 FY23 FY25E FY28E …expected to increase the net profit and boost RoRWA to over 2% …maintaining capital efficiency… RWA up 3%1 …with lending volume growth… Loans up 5%1 which, along with strong cost control… Cost/Income ratio flat at 46% 3YCAGR +5%2 (Loan book, €bn) (RWA, €bn) (Cost/Income, %) (RoRWA, %; Net profit, €bn) 46% 46% 46% FY23 FY25E FY28E Revenue growth driven by fees… (Revenues, €bn) 41% 46% 47% FY23 FY25 FY28E % fees 3YCAGR +5% 0.9 0.7 3YCAGR +3% 1) 3YCAGR 2025-28 2) MBCS reclassified from CIB to CF from June 25. Leasing business transferred from HF to CIB; €1bn refers to leasing loans. 1.0 > |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img037.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Section 1. MB investment case Section 2. Group ambitions & financials Section 3. Divisional ambitions 3.1 Wealth Management 3.2 Corporate & Investment Banking 3.3 Consumer Finance Section 4. Closing remarks Annexes |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img038.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38 CONSUMER FINANCE 873 1,027 1,121 <1.3bn 1.5bn FY16 FY19 FY23 FY25E FY28E CF revenues trend (€m) 154 336 373 383 ~410 ~450 1.5% 2.7% 2.9% 2.9% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% FY16 FY19 FY23 FY24 FY25E FY28E 0 100 200 300 400 500 600 CF net profit and profitability trend (€m) RoRWA Positioning CF Top3 in Italy1 , #1 by profitability with best risk management and ability to grow profitably through-the-cycle Solid approach to innovation to deploy technology on product, distribution and operational efficiency Broad product capabilities leveraging digital distribution (BNPL and personal loans) Broad & integrated multichannel distribution network (>300 branches, ½ o/w at variable cost) Value-driven approach to business (new production driven solely by risk-adj returns and long-term profitability) FY25-28 trajectory Revenues €1.5bn by June 28 Resilient profitability up to 2.9% RORWA 1) Market share as at April 25: 13.8%. Source Assofin Divisional ambitions - CF Section 3.3 In next 3Y Compass is expected to deliver net profit growth despite COR normalization/overlays zeroed, thanks to valuable loan growth/marginality |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img039.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39 CF DELIVERY IN FY24 & FY25 CF strategic path: ➢ Strong investments in multichannel approach to feed direct distribution, scale up digital platforms, deliver NII growth ➢ Leadership in terms of new business, risk profile and sustainable high profitability ➢ BNPL to become a long-term profitable credit product by leveraging Compass's distinctive capabilities Last 2Y KPIs (FY24 & FY25): ➢ Loans: €16bn, up €1.5bn ➢ NII: ~€1.130m, up 15% ➢ Revenues: ~€1.280m, up 14% ➢ Net profit: ~€410m, up ~10% ➢ RoRWA stable at 2.9% Sustainable and profitable growth leveraging direct and digital distribution ➢ HeyLight: the new international BNPL eco-system for credit solutions, upgrading merchant and client user experience; ready to cope with regulation (subject to consumer credit regulation following the application of CDD by end-2026) ➢ Powerful instrument for new customer acquisition representing ~40% of total Compass monthly new clients ➢ Swiss new loans up to 100m in FY25 ➢ Enlarging distribution: 35k physical o/w 1.9k online POS (>15k as at June 23) BNPL to become a long-term profitable credit product by leveraging Compass's distinctive capabilities ➢ Proprietary distribution network up to 335 branches (up 23 in 2Y) ➢ Personal loans originated by direct network up 20% in 2Y (~80% of total personal loans), with digital @40% Scaling up direct distribution and digital platforms NII driver for the Group, highly profitable ➢ New loans up to €9bn (up >1bn in 2Y) ➢ Marginality resilient after risk (NII-LLPs/avg. loans: 5.5%) ➢ Asset quality under control with NPLs stable <2% ➢ ~€145m overlays still to be deployed (~€65m used in 2Y) Divisional ambitions - CF Section 3.3 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img040.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40 CF: "ONE BRAND–ONE CULTURE" STRATEGIC PATH Digital footprint enhancement Physical footprint development focusing on variable cost-based solution Further Swiss market penetration with higher BNPL volumes and widening of product offer Application of technology (AI) for activities involving: documents (verification, antifraud etc.) client interaction (customer service and claims classification) Digital personal loans enhancement (website, app and instant lending) Consolidation of HeyLight in the domestic market Launch of HeyLight APP Distribution Products Efficiency CF: a leading multichannel player Branches up by 11% from 335 to 373 Growth of BNPL business in Switzerland (~4X FY25 volumes) RORWA at 2.9% resilient despite interest rate decline C/I ratio: 30% (down 2pp) 47% of new direct personal loans distributed digitally (from 40%) HeyLight volumes (GMV) almost doubled (from 0.6bn to 1.1bn) KPIs - June 28E Divisional ambitions - CF Section 3.3 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img041.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;41 145 ~175 ~200 149 ~190 ~215 FY23E FY25E FY28E 15 16 18 FY23 FY25E FY28E CF FINANCIALS will revert to valuable loan growth and revenue/NII growth… and stable high net profitability (Loan book, €bn) (Revenues2 , €m) COR stated (2) 3Y CAGR +4% 1.0 1.1 1.3 FY23 FY25E FY28E NII Fees & other 3Y CAGR +5% 374 ~410 ~450 2.9% 2.9% 2.9% FY23 FY25E FY28E …able to absorb COR normalization (Cost of Risk, bps) 2Y CAGR +7% 1) 3YCAGR 2025-28 2) Including the full release of Consumer Finance overlays and MBCS reclassified from CIB to CF from June 25 7.8 9.0 10.6 FY23 FY25E FY28E Strong commercial flows (New loans, €bn) 3Y CAGR +6% COR without overlay release (RoRWA, %) 1.1 1.3 1.5 …providing high marginality 5.5% 5.5% 5.5% FY23 FY25E FY28E ((NII-LLPs)/avg. loans, %) 3Y CAGR +6% Divisional ambitions - CF Section 3.3 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img042.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Section 1. MB investment case Section 2. Group ambitions & financials Section 3. Divisional ambitions 3.1 Wealth Management 3.2 Corporate & Investment Banking 3.3 Consumer Finance Section 4. Closing remarks Annexes |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img043.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43 ROTE2 recurring up to 17% ROTE2 stated up to 20% CET1 ~14%, T1 ~15.5% Annual K generation: 280bps Shareholder remuneration Cumulative €5bn in 3Y €4.5bn cash + 0.4bn SBB DPS doubling from €>1.1ps to €2.1ps Cumulative yield ~30%3 Targeting industry-leading performance with low execution risk Stronger industrial footprint driving high and sustainable growth Superior capital generation High cash distributions REVENUES +6%1 to €4.4bn EPS recurring +9%1 to €2.1 EPS stated +14%1 to €2.4 TBVPS2 + 3YDPS: +15%1 to €18-19 Closing remarks Section 4 KEY BENEFITS FOR SHAREHOLDERS 1) 3YCAGR 2025-28 2) ROTE stated at ~20%, ROTE adj for non recurring 17%. Tangible equity: shareholders' equity net of intangibles, dividend accrual for the period, minorities and AT1 capital. TBVPS calculated on tangible equity divided by number of shares after deletion of shares bought back 3) On 24 June 25 price |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img044.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44 HIGH RETURNS FOR MB INVESTORS >30%MB Peer1 Peer2 Peer3 Peer4 Peer5 Peer6 Peer7 Peer8 Peer9 Peer10 Peer11 Peer12 Peer13 Peer14 Peer15 Peer16 Peer17 Peer18 Peer19 Avg: ~20% EU TOP20 banks ranked by cumulative dividends '25E-28E / Market cap Almost 100% MB Peer1 Peer2 Peer3 Peer4 Peer5 Peer6 Peer7 Peer8 Peer9 Peer10 Peer11 Peer12 Peer13 Peer14 Peer15 Peer16 Peer17 Peer18 Peer19 MB: Top ranked for cash yield… 280 bps Peer1 Peer2 Peer3 Peer4 Peer5 MB Peer6 Peer7 Peer8 Peer9 Peer10 Peer11 Peer12 Peer13 Peer14 Peer15 Peer16 Peer17 Peer18 Peer19 …and cash pay-out …thanks to best in class capital generation Avg: ~40% TOP20 banks ranked by avg annual CET1 change before distribution FY25-28 (bps) Avg: ~200 bps Closing remarks Section 4 TOP20 banks ranked by cumulative dividends '25E-28E / Net profit Source: MB Research, coverage of 42 EU banking stocks |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img045.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;45 Significant capital reallocation from INS to WM Focus MB on faster growing, capital light WM business Enhance size, quality and visibility of revenues and profits … TO BE FURTHER ENHANCED WITH BANCA GENERALI UNIQUE EQUITY STORY ACCRETIVE TRANSACTION UNLOCK SYNERGIES Mediobanca: a fast growing, leading Wealth Manager with a unique positioning and yield in European market Closing remarks Section 4 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img046.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46 … IN A VALUE ACCRETIVE JOURNEY Revenues (€bn,%), ROTE (%) 26% <30% ~50% 24% >20% ~20% 34% <35% ~30% 15% ~15% FY25E FY28E MB FY28E + BG FY24 WM CIB CF INS& Other Other +synergies 3.7 ~€5bn Closing remarks Section 3 TFA >€110bn >€140bn >€250bn ROTE 14% 17% >20% 4.4 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img047.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47 BUILDING A CHAMPION IN WEALTH MANAGEMENT A UNIQUE STORY FOR GROWTH, BUSINESS MIX, YIELD Source: Nasdaq; market data as of 20 June 2025. Company public information. MEDIOBANCA: Mediobanca + Banca Generali pro-forma Ranking of European Banks with Market Cap > €10bn MB: the only EU player with >€170bn AUM/AUC, >50% revenues from WM, >8% dividend yield (FY26) UBS UCGISP BNP BBVA ING CaixaDB Credit Agricole Nordea SocGen DNB KBC Commerzbank SEB Erste Danske Bank Swedbank Svenska Handel. MEDIOBANCA PKO ABN OTP AIB BBPM Sabadell Bank of Ireland Fineco Julius Baer Santander Polska Pekao 108 89 87 86 84 74 57 53 49 47 43 38 36 34 34 31 Santander 29 25 22 22 21 19 16 29 15 15 12 12 11 11 11 16 AuM / AuC >€170bn ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ AM Revenues at least 50% of total ✓ ✓ ✓ ✓ FY26 Dividend Yield >8% ✓ ✓ ✓ ✓ ✓ ✓ ✓ ✓ Closing remarks Section 4 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img048.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48 ➢ Specialized financial player with strong potential in high growth segments ➢ Capital-light model ➢ Low interest rate / credit risk sensitivity ➢ Attractive earnings mix MEDIOBANCA STAND ALONE HAS MUCH BETTER OUTLOOK VS MPS+MB (AND EVEN MORE WITH BG) MEDIOBANCA STAND ALONE MEDIOBANCA INTEGRATED INTO MPS ➢ Undifferentiated mid-size commercial bank with low growth potential in current macro ➢ Capital-intensive model ➢ High interest rate / credit risk sensitivity ➢ Unattractive earnings mix FINANCIALS ➢ Stated EPS growth: +14%2 3YCAGR ➢ Recurring EPS growth: +9%2 3YCAGR ➢ Yield: 30% cumulative cash yield with low execution risk ➢ ROTE: from 14% to 17% ➢ ~14% CET1, best in class K generation (+280bps p.a.) ➢ Potential multiple rerating ➢ EPS: double digit dilutive also due to dissynergies ➢ Yield: no enhancement vs. MB stand alone, DPS dilution including dissynergies, high execution risk ➢ Strong dependence on DTA usage ➢ Sustainable ROTE/ CET1 and pay-out to be verified, due to risks to franchise resilience, NII/CoR headwinds in current macro (SMEs), legal/fiscal issues (on MPS balance sheet) INDUSTRIALS MEDIOBANCA SHAREHOLDER VIEW Closing remarks Section 3 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img049.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Q&A MEDIOBANCA "ONE BRAND – ONE CULTURE" Strategic plan rolling to FY28 Milan, 27 June 2025 |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img050.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGENDA Annexes 1. Group key projections 2. Macro scenario 3. ESG targets 4. Digital agenda 5. Glossary |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img051.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51 GROUP FINANCIALS SUMMARY Financial projections based on current regulatory requirements and Group scope of consolidation Group Target June 25E June 28E 3Y CAGR Revenues (€bn) 3.7 4.4 +6% EPS (€) >1.6 2.12 +9%1 ROTE 14% 17%2 +3pp RORWA 2.9% 3.5%2 +60bps CET1 ratio 15% 14% -1pp Tier 1 capital 15% 15.5% +50bps Total capital 18% 17.5% -50bps TFAs (€bn) >110 143 +9% RWA (€bn) 46 50 +3% Divisional Target June 25E June 28E 3Y CAGR Revenues (€bn) Wealth Management 1.0 1.2 +8% Corp. & Inv. Banking 0.9 1.0 +4% Consumer Finance 1.3 1.5 +5% RORWA (%) Wealth Management 4.0% 5.2% +120bps Corp. & Inv. Banking 1.9% 2.1% +20bps Consumer Finance 2.9% 2.9% flat 1) 3Y CAGR, including treasury shares cancellation 2) FY28E stated: net profit at €1.9bn, EPS at €2.4, ROTE ~20%, RoRWA 4.0% - FY28E recurring: net profit at €1.7bn, EPS at €2.1, ROTE at 17%, RoRWA 3.5%. Real estate project in Monaco, included in HF segment, excluded in recurring figures. ROTE: TBV calculated as shareholders' equity (including Group stated profit of the period) less intangible assets, less AT1 component. Group key projections Annex Remuneration3 Dividend: 100% ordinary cash pay-out Buyback >€4.5bn cumulative over 3Y FY26/FY27/FY28 Execution of residual €0.4bn SBB (completion of total €1bn plan) |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img052.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52 ASSETS & LIABILITIES Financial projections based on current regulatory requirements and Group scope of consolidation Assets June 25E June 28E 3Y CAGR Loans (€bn) 54 63 +5% CIB 20 24 +5%1 CF 16 18 +4% WM 17 21 +6% Banking book (€bn) 10.2 10.7 +5% Divisional Target June 25E June 28E 3Y CAGR Funding (€bn) 69 82 +6% Deposits 30 33 +3% MB bonds 32 37 +6% Banks and other 8 12 +16% Indicators LCR 150% 150% - NSFR 116% 121% +5pp MREL 45% 47% +2pp Leverage ratio 7% 7% - Group key projections Annex Other €6/7bn bond issuances p.a, including: up to €750m AT1, €300m T2, €1bn SNP SRT transactions for total €1.7bn RWA relief, ow €0.8bn in CF 1) MBCS reclassified from CIB to CF from June 25. Leasing business transferred from HF to CIB; €1bn refers to leasing loans.  |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img053.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 IT GDP (y/y) EA GDP (y/y) IT Inflation (y/y) IT Core Infl. (y/y) IT Unemp. Rate Euribor 3M IT 10Y yield BTP-Bund spread (1) GDP and CPI are annual % change; Unemployment rate is the yearly average; IT 10Y yield and BTP-Bund spread are the 2Q daily average in each year; Euribor 3M is the 2Q end value; Scenario BP23-26: 2026 growth and inflation are 2026h1/2025h1; 2026 Unemp. is 1Q and 2Q average MACRO SCENARIO AHEAD UNCERTAINTY WEIGHS ON GROWTH EARLY IN THE FORECAST HORIZON Macro scenario Annex June 2025 Scenario 20251 2026 2027 2028 0.5% 0.6% 0.8% 0.8% 0.9% 0.9% 1.6% 1.6% 1.8% 1.8% 1.9% 2.0% 1.8% 2.1% 2.3% 2.2% 6.0% 6.5% 6.9% 6.9% 2.0% 1.9% 2.4% 2.7% 3.6% 4.1% 4.6% 4.7% 95bp 90bp 90bp 90bp 3.00 1.75 2.25 2.50 3.00 2.25 0.0 1.0 2.0 3.0 4.0 5.0 2022 Q4 2023 Q2 2023 Q4 2024 Q2 2024 Q4 2025 Q2 2025 Q4 2026 Q2 2026 Q4 2027 Q2 2027 Q4 2028 Q2 June 2025 Scenario BP23-26 Scenario ➢ Tariff uncertainty looms ahead ➢ Growth is softer than pre-tariff uncertainty ➢ ECB lowerS rates to 1.75% in 4Q25 to ensure against growth softening ➢ Robust public spending in infrastructure and defence (particularly in Germany) consolidated EZ growth from 2H26 ➢ The ECB removes the insurance in 3Q26 and leans against lively economic activity in 3Q27 ➢ BTP-Bund spread benefits from further EU integration and EA economic resilience |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img054.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54 BUSINESS 2025-2028 ESG TARGETS PEOPLE AND COMMUNITY 1) Financed emission intensity in CIB lending (excluding Specialty Finance) and proprietary investment portfolio in all markets. 2) To be published in September 2025. Confirmed commitment towards net-zero greenhouse gas emissions by 2050 (intensity target1 -35% by 2030) >33% female talent in managerial roles by 2028 +15% average hours of training per employee delivered by Mediobanca Academy by 2028 >€20 million support to projects with social and environmental impact At least three sustainability bond issuances over the three-year period 2025-2028 Maintaining the 50% share of ESG products in clients' portfolios €5bn of ESG finance1 originated by the Group over the three-year period 2025-2028 TARGET SCOPE ESG bonds origination (share of the issuance attributable to Mediobanca), ESG loans (Mediobanca CIB and Compass) and green mortgages (Mediobanca Premier and CMB) granted by the Group. Amount on a cumulative basis % of ESG qualified funds (SFDR Articles 8 & 9 funds) out of total funds in client portfolio With baseline on 30/06/2025 (see Sustainability Statement 20252) With baseline on 30/06/2025 (see Sustainability Statement 20252) >€20 million cumulative over the three-year period 2025-2028 ESG targets Annex |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img056.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56 Accelerating Innovation in CIB Innovation plan aimed at strengthening business competitiveness with data valorization, AI-based automation and cutting-edge platforms Digitally Driven Consumer Finance Intelligent Automation Platform Data valorization platform Development of a shared technology platform to support all smart automation (RPA, AI, Low Code) and dematerialization initiatives (e.g. electronic signatures) Consolidation of the Group's data platform, with real-time analytics and AI, to improve business development, cross-selling, ESG integration and compliance with regulatory requirements Strengthening the digital offering through new channels (e.g. BNPL), new products (e.g. instant lending) and new platforms to strengthen the resilience of the service. Consolidation of the Swiss market (e.g. acquisition of HeidiPay) DESCRIPTION MAIN PROGRAMMES Digital Platform for Wealth Technology consolidation to maximize synergies between companies and improve the overall digital level. Customized Management Account (CMA) platform to offer personalized wealth management to the client Journey to Cloud Advancement of the evolutionary path aimed at seizing the main advantages of the Cloud (e.g. reduction of time-to-market, on-demand capacity, ...), with a multi-cloud provider approach in line with market best practices Cross-divisional programmes Division-specific vertical programmes 25 Programmes 3 Years ~300 Projects The IT strategic plan is structured over a 3-year period and is made up of 25 programs that include more than 300 projects, with a focus on both specific businesses and cross-Group needs PROJECTS INVESTMENTS €260m IT STRATEGIC PLAN AND KEY INITIATIVES BY DIVISION Digital agenda Annex |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img057.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57 GLOSSARY MEDIOBANCA BUSINESS SEGMENT CIB Corporate and investment banking WB Wholesale banking SF Specialty finance CF Consumer finance WM Wealth management INS Insurance AG Assicurazioni Generali HF Holding functions PROFIT & LOSS (P&L) and BALANCE SHEET AIRB Advanced Internal Rating-Based ALM Asset and liabilities management AUA Asset under administration AUM Asset under management BVPS Book value per share C/I Cost /Income CBC Counter Balancing Capacity CET1 Phase-in Calculation considering the Danish Compromise benefit (~100bps) as permanent CET1 Fully Loaded Including FL impact from equity exposure (different from AG), excluding FRTB CET1 SREP requirement Includes: 56.25% of P2R (1.75%), Capital Conservation Buffer (2.5%), Counter-Cyclical Buffer (0.14%), O-SII buffer (0.25%) and Systemic Risk Buffer (0.8%) CoF Cost of funding CoR Cost of risk DGS Deposit guarantee scheme DPS Dividend per share EPS Earnings per share EPS adj. Earnings per share adjusted1 PROFIT & LOSS (P&L) and BALANCE SHEET ESG Environmental, Social, Governance FAs Financial Advisors FVOCI Fair Value to Other Comprehensive Income GOP Gross operating profit Leverage ratio CET1 / Total Assets (FINREP definition) Ls Loans LLPs Loan loss provisions MDA Maximum distributable amount. The MDA level reflects the shortfall of AT1/T2 instruments M&A Merger and acquisitions NAV Net asset value Net profit adjusted GOP net of LLPs, minorities and taxes, with normalized tax rate. For ROTE calculation excluding AT1 coupon NII Net Interest income NNM Net new money (AUM/AUA/Deposits) NP Net profit NPLs Group NPLS net of NPLs purchased PBT Profit before taxes RM Relationship managers RORWA Adjusted return1 on RWAs2 ROTE Adjusted return on tangible equity (book value)1 RWA Risk weighted asset SRF Single resolution fund TBV Shareholders' equity net of: intangibles, dividend accrual for the period, minorities and AT1 capital TBVPS TBV per share TC Total capital TFA AUM+ AUA+ Deposits Notes 1) Based on net profit adjusted (see above) 2) INS RWA include K absorption for concentration limit Comparison periods have been recast, with negligible impacts, after the eighth update of Bank of Italy circular 262/2005 came into force, incorporating the introduction of the new IFRS 17 – Insurance Contracts. |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img058.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58 DISCLAIMER & DECLARATION OF HEAD OF FINANCIAL REPORTING Disclaimer This document includes certain projections, estimates, forecasts and consequent targets which reflect the current views of Mediobanca – Banca di Credito Finanziario S.p.A. (the "Company") with regard to future events ("forward-looking statements"). These forward-looking statements include, but are not limited to, all statements other than actual data, historical or current, including those regarding the Group's future financial position and operating results, strategy, plans, objectives and future developments in the markets where the Group operates or is intending to operate. All forward-looking statements, based on information available to the Company as of the date hereof, rely on scenarios, assumptions, expectations and projections regarding future events which are subject to uncertainties because dependent on factors most of which are beyond the Company's control. Such uncertainties may cause actual results and performances that differ, including materially, from those projected in or implied by the data present; therefore the forward-looking statements are not a reliable indicator of future performances. The information and opinions included in this document refer to the date hereof and accordingly may change without notice. The Company, however, undertakes no obligation to publicly update or revise any forward-looking statement, whether as a result of new information, future events or otherwise, except as may be required by applicable law. Due to the risks and uncertainties described above, readers are advised not to place undue reliance on such forward-looking statements as a prediction of actual results. No decision as to whether to execute a contract or subscribe to an investment should be based or rely on this document, or any part thereof, or the fact of its having been distributed. Declaration by Head of Company Financial Reporting As required by Article 154-bis, paragraph 2 of Italian Legislative Decree 58/98, the undersigned hereby declares that the stated accounting information contained in this report conforms to the documents, account ledgers and book entries of the company. Head of Company Financial Reporting Emanuele Flappini |

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| &nbsp;&nbsp;![GRAPHIC](tm2518026d1_ex99-17img059.jpg) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59 INVESTOR CONTACT DETAILS Mediobanca Group Investor Relations Piazzetta Cuccia 1, 20121 Milan, Italy Email: investor.relations@mediobanca.com +39 02 8829 860/647 http://www.mediobanca.com |

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## Exhibit 99.18

**Exhibit 99.18**

![](tm2518026d1_ex99-18img01.jpg)

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

**VOLUNTARY PUBLIC EXCHANGE OFFER LAUNCHED BY BANCA MONTE DEI**

**PASCHI DI SIENA S.P.A. ON ALL THE ORDINARY SHARES OF MEDIOBANCA** **–**

**BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI**

**\* \* \* \* \* \***

**PRESS RELEASE**

**THE OFFER DOCUMENT HAS BEEN APPROVED BY CONSOB**

**ACCEPTANCE PERIOD FROM 14 JULY 2025 TO 8 SEPTEMBER 2025**

*Siena, 2 July 2025 –* With reference to the voluntary public exchange offer (the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**TUF**") launched by Banca Monte dei Paschi di Siena S.p.A. ("**BMPS**" or the "**Offeror**") on all the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), including treasury shares directly and/or indirectly held by Mediobanca from time to time, the Offeror announces that, on the date hereof, by resolution No. 23623 of 2 July 2025, CONSOB approved, pursuant to Article 102, paragraph 4, of the TUF, the offer document relating to the Offer (the "**Offer Document**").

*<u>Consideration</u>*: for each Mediobanca share tendered in acceptance of the Offer, BMPS will pay a unit consideration consisting of No. 2.533 (<sup>1</sup>) newly issued ordinary shares of the Offeror, with no nominal value, with regular dividend rights and the same characteristics as the ordinary shares of BMPS already outstanding as of the issue date, without prejudice to any further adjustments to the aforementioned consideration, as described in the Offer Document (the "**Consideration**").

*<u>Acceptance period</u>:* pursuant to Article 40, paragraph 2, of the regulation adopted by Consob with Resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented (the "**Issuers' Regulation**"), the period for the acceptance of the Offer (the "**Acceptance Period**"), agreed with

<sup>1</sup> It should be noted that the consideration for the Offer originally set by BMPS in the communication pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the Issuers' Regulation was equal to No. 2.300 BMPS shares for each Mediobanca share tendered in acceptance of the Offer. On 20 May 2025, BMPS announced to the market that, following the detachment of the coupons and the subsequent payments of the BMPS' dividend (approved by the ordinary shareholders' meeting of BMPS on 17 April 2025, equal to Euro 0.86 per BMPS share outstanding and entitled to the dividend payment) and of the interim dividend on Mediobanca's results as of 31 December 2024 (which Mediobanca's Board of Directors, at its meeting on 8 May 2025, resolved to distribute, amounting to Euro 0.56 per each Mediobanca share outstanding and entitled to the dividend payment), it had made the resulting technical adjustment and, therefore, the consideration (following the above technical adjustment) is equal to 2.533 newly issued ordinary shares of the Offeror for each Mediobanca share tendered in acceptance of the Offer.

![](tm2518026d1_ex99-18img02.jpg)

Borsa Italiana S.p.A., will start at 8:30 a.m. (Italian time) on 14 July 2025 and will end at 5:30 p.m. (Italian time) on 8 September 2025 (unless extended) and, therefore, it will be equal to 40 trading days.

The Consideration will be paid on the payment date, *i.e.* 15 September 2025, unless the Acceptance Period is extended in accordance with applicable regulations.

*<u>Possible reopening of the Acceptance Period</u>*: if the conditions set forth in Article 40-*bis*, paragraph 1, letter a) of the Issuers' Regulation are met by the trading day following the payment date, the Acceptance Period may be reopened for 5 trading days and, specifically, unless the Acceptance Period is extended, for the trading sessions on 16, 17, 18, 19 and 22 September 2025 (the "**Reopening of the Acceptance Period**"). The Consideration will be paid to the Mediobanca's shareholders who accepted the Offer during the Reopening of the Acceptance Period on 20 September 2025, unless the Acceptance Period is extended in accordance with applicable regulations.

\* \* \* \* \* \*

The Offer Document will be filed with CONSOB and will be made available for public consultation at:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the registered
 office of the Offeror, in Piazza Salimbeni, 3, Siena;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the
 registered office of the intermediaries appointed to coordinate the collection of acceptances:
 in Milan, Viale Eginardo, 29, and in Siena, Piazza Salimbeni, 3;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) the
 registered offices of the appointed intermediaries;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) the
 Offeror's website, <u>https://www.gruppomps.it/en/</u> <u>,</u> where the privacy policy, provided in accordance with EU Regulation 2016/679 ()"**GDPR** "),
 relating to the processing of the tendering shareholders' personal data can also be
 consulted, <u>https://gruppomps.it/static/upload/inf/information-notice-pursuant-to-article-13-ops-eng.pdf</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v) the website
 of the global information agent, Georgeson S.r.l.

Please note that the Issuer's press release, which will be prepared by the Issuer itself in accordance with Articles 103, paragraphs 3 and 3-*bis*, of the TUF and Article 39 of the Issuers' Regulation, will not be attached to the Offer Document. This press release will be disclosed by Mediobanca to the market in accordance with the terms and conditions set out in Article 39 of the Issuers' Regulation.

At the same time of the Offer Document, the exemption document prepared by BMPS will be published pursuant to Article 34-*ter*, paragraph 2, letter a), and Article 57, paragraph 1, of the Issuers' Regulation, for the purposes of the exemption from the obligation to publish the prospectus in accordance with Article 1, paragraphs 4, letter f), and 5, letter e), of Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017, as subsequently amended and supplemented.

The Offeror will inform the public of the availability of the Offer Document and the exemption document by issuing a specific press release.

Pending the publication of the Offer Document and the exemption document, for any further information regarding the Offer, please refer to the communication published on 24 January 2025, pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the Issuers' Regulation, and published on the BMPS website at <u>https://www.gruppomps.it/static/upload/str/stradebianche--- notice-102_final--eng-.pdf</u>, which sets out the legal grounds, terms, conditions, and key aspects of the Offer.

![](tm2518026d1_ex99-18img03.jpg)

\* \* \* \* \* \*

*This press release will be available on the website at* <u>www.gruppomps.it/en/</u>

**For further information:**

**Banca Monte dei Paschi di Siena S.p.A.**

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|:---|:---|
| **Media Relations** | **Investors Relations** |
| Tel. +39 0577 296634 | Tel: +39 0577 299350 |
| <u>ufficio.stampa@mps.it</u> | *<u>investor.relations@mps.it</u>* |
| **Image Building** |  |
| Cristina Fossati, Anna Pirtali |  |
| Tel +39 02 89011300 |  |
| <u>mps@imagebuilding.it</u> |  |

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*\*\*\*\*\**

**Information for U.S. Persons**

The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") or pursuant to a valid exemption from registration.

The Offer is being made for the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni by Banca Monte dei Paschi di Siena S.p.A., each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the offer document or the exemption document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies.

It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since Banca Monte dei Paschi di Siena S.p.A. and MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.

The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Ac**t") provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni in the U.S. and no other person has any claims under such laws.

To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices

![](tm2518026d1_ex99-18img04.jpg)

or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, which may include purchases or arrangements to purchase such securities.

Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the acceptance period, in various asset management, brokerage, banking-related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.

**IMPORTANT INFORMATION**

The voluntary public exchange offer referred to in this press release has been promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

This press release does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, to be carefully examined by the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

The Offer has been launched in Italy and is made, on a non-discriminatory basis and on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer has been promoted in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This press release, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

This press release may only be accessed in or from the United Kingdom (i) by persons having professional experience in matters relating to investments falling within the scope of Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as subsequently amended (the "**Order**"), or (ii) by

![](tm2518026d1_ex99-18img05.jpg)

companies having high net assets and by persons to whom the press release can be legitimately transmitted because they fall within the scope of Article 49(2) paragraphs from (a) to (d) of the Order (all these persons are jointly defined "**Relevant Persons**"). Securities described in this press release are made available only to Relevant Persons (and any solicitation, offer, agreement to subscribe, purchase or otherwise acquire such financial instruments will be directed exclusively at such persons). Any person who is not a Relevant Person should not act or rely on this press release or any of its contents.

Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors.

To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.

## Exhibit 99.19

**Exhibit 99.19**

![](tm2518026d1_ex99-19img01.jpg)

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

**VOLUNTARY PUBLIC EXCHANGE OFFER LAUNCHED BY BANCA MONTE DEI**

**PASCHI DI SIENA S.P.A. ON ALL THE ORDINARY SHARES OF MEDIOBANCA –**

**BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI**

**\* \* \* \* \* \***

**PRESS RELEASE**

**OBTAINMENT OF THE ANTITRUST AUTHORIZATION**

*Siena, 2 July 2025 –* With reference to the voluntary public exchange offer (the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**TUF**") launched by Banca Monte dei Paschi di Siena S.p.A. ("**BMPS**" or the "**Offeror**") on all the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**" or the "**Issuer**"), including treasury shares directly and/or indirectly held by Mediobanca from time to time, the Offeror hereby announces the following.

On the date hereof, BMPS has received unconditional approval from the Italian Competition and Market Authority for the acquisition of control of Mediobanca, in accordance with Law No. 287 of 10 October 1990. Such authorization, referred to in Paragraph 1.5(ii) (the "**Antitrust Condition**") of the communication issued on 24 January 2025 pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the regulation adopted by CONSOB with Resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented, has been fulfilled in advance of the deadline set out in the aforementioned communication (*i.e.* by the second trading day prior to the payment date of the consideration).

Pending the publication of the offer document, for any further information regarding the Offer, please refer to the Communication 102, published on the BMPS website at <u>https://www.gruppomps.it/static/upload/str/stradebianche---notice-102_final--eng-.pdf</u><u>,</u> which sets out the legal grounds, terms, conditions, and key aspects of the Offer.

\* \* \* \* \* \*

*This press release will be available on the website at* <u>www.gruppomps.it/en/</u>

---

| | |
|:---|:---|
| **For further information:** |  |
| **Banca Monte dei Paschi di Siena S.p.A.** |  |
|  | **Investors Relations** |
| **Media Relations** | Tel: +39 0577 299350 |
| Tel. +39 0577 296634 | *<u>investor.relations@mps.it</u>* |
| <u>ufficio.stampa@mps.it</u> |  |

---

![](tm2518026d1_ex99-19img02.jpg)

**Image Building**

Cristina Fossati, Anna Pirtali

Tel +39 02 89011300

*<u>mps@imagebuilding.it</u>*

*\*\*\*\*\**

**Information for U.S. Persons**

The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") or pursuant to a valid exemption from registration.

The Offer is being made for the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni by Banca Monte dei Paschi di Siena S.p.A., each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the offer document or the exemption document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies.

It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since Banca Monte dei Paschi di Siena S.p.A. and MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.

The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Ac**t") provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni in the U.S. and no other person has any claims under such laws.

To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, which may include purchases or arrangements to purchase such securities.

Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the acceptance period, in various asset management, brokerage, banking-

![](tm2518026d1_ex99-19img03.jpg)

related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.

**IMPORTANT INFORMATION**

The voluntary public exchange offer referred to in this press release has been promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

This press release does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, to be carefully examined by the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

The Offer has been launched in Italy and is made, on a non-discriminatory basis and on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer has been promoted in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This press release, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

This press release may only be accessed in or from the United Kingdom (i) by persons having professional experience in matters relating to investments falling within the scope of Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as subsequently amended (the "**Order**"), or (ii) by companies having high net assets and by persons to whom the press release can be legitimately transmitted because they fall within the scope of Article 49(2) paragraphs from (a) to (d) of the Order (all these persons are jointly defined "**Relevant Persons**"). Securities described in this press release are made available only to Relevant Persons (and any solicitation, offer, agreement to subscribe, purchase or otherwise acquire such financial instruments will be directed exclusively at such persons). Any person who is not a Relevant Person should not act or rely on this press release or any of its contents.

Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to

![](tm2518026d1_ex99-19img04.jpg)

comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors.

To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.

## Exhibit 99.20

**Exhibit 99.20**

![](tm2518026d1_montedei1472.jpg)

NOT FOR RELEASE, PUBLICATION OR DISTRIBUTION, IN WHOLE OR IN PART, DIRECTLY OR INDIRECTLY IN AUSTRALIA, CANADA OR JAPAN (OR IN ANY OTHER COUNTRIES, INTO OR FROM ANY JURISDICTION WHERE TO DO SO WOULD CONSTITUTE A VIOLATION OF THE RELEVANT LAWS OR REGULATIONS OF SUCH JURISDICTION). THE INFORMATION PROVIDED IN THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER TO SELL ANY SECURITIES OR A SOLICITATION OF AN OFFER TO BUY ANY SECURITIES IN ANY COUNTRY OR JURISDICTION IN WHICH SUCH AN OFFER OR SOLICITATION IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS NOT LAWFUL TO MAKE SUCH AN OFFER OR SOLICITATION.

**VOLUNTARY PUBLIC EXCHANGE OFFER LAUNCHED BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. ON ALL THE ORDINARY SHARES OF MEDIOBANCA - BANCA DI CREDITO FINANZIARIO SOCIETÀ PER AZIONI**

**\* \* \* \* \* \***

**PRESS RELEASE**

**pursuant to Article 38, paragraph 2, of the Regulation adopted by Consob with resolution No. 11971 of 14 May 1999, as subsequently amended and supplemented (the "Issuers' Regulation")**

**PUBLICATION OF THE OFFER DOCUMENT AND THE EXEMPTION DOCUMENT**

*Siena, 3 July 2025 –* With reference to the voluntary public exchange offer (the "**Offer**") pursuant to Articles 102 and 106, paragraph 4, of Legislative Decree No. 58 of 24 February 1998, as subsequently amended and supplemented (the "**TUF**") launched by Banca Monte dei Paschi di Siena S.p.A. ("**BMPS**" or the "**Offeror**") on all the shares of MEDIOBANCA – Banca di Credito Finanziario Società per Azioni ("**Mediobanca**"), including treasury shares directly and/or indirectly held by Mediobanca from time to time, the Offeror announces that, on the date hereof, the following have been published:

---

| |
|:---|
| the offer document relating to the Offer, approved by Consob with resolution No. 23623 of 2 July 2025 (the "**Offer Document**"), |
| the acceptance form to accept the Offer, and |
| the exemption document prepared by BMPS for the purposes of the exemption from the obligation to publish the prospectus in accordance with Article 1, paragraphs 4, letter f), and 5, letter e), of Regulation (EU) 2017/1129 of the European Parliament and the Council of 14 June 2017, as subsequently amended and supplemented (the "**Exemption Document**"). |

---

The publication follows the press release issued on 2 July 2025 relating to the approval of the Offer Document by Consob.

The Offer Document has been made available for public consultation at:

---

| |
|:---|
| the registered office of the Offeror, in Piazza Salimbeni, 3, Siena; |
| the registered offices of the intermediaries appointed to coordinate the collection of acceptances: in Milan, Viale Eginardo, 29, and in Siena, Piazza Salimbeni, 3; |
| the registered offices of the appointed intermediaries; |
| the Offeror's website (<u>https://www.gruppomps.it/en/</u>), where the privacy policy, provided in accordance with EU Regulation 2016/679 ("**GDPR**"), relating to the processing of the |

---

![](tm2518026d1_montedei1472.jpg)

tendering shareholders' personal data can also be consulted (<u>information-notice-pursuant-to- article-13-ops-eng.pdf</u>); <br> - the website of the global information agent, Georgeson S.r.l.

The Exemption Document, available on the BMPS' website (<u>https://www.gruppomps.it/en/</u>) and prepared on the basis of the essential information required by Delegated Regulation (EU) No. 2021/528, does not constitute a prospectus pursuant to Regulation (EU) 2017/1129 and has not been submitted to Consob for review and approval in accordance with Article 1, paragraph 6-*bis*, letter a) of Regulation (EU) 2017/1129.

Please note the Offer Document does not include the Issuer's press release, which will be prepared by Mediobanca pursuant to Articles 103, paragraphs 3 and 3-*bis*, of the TUF and 39 of the Issuer's Regulation. This press release will be issued by Mediobanca in accordance with the terms and conditions set out in Article 39 of the Issuers' Regulation. The Offer is subject to the fulfillment (or waiver, as applicable) of each of the conditions of effectiveness set out in Warning A.1 of Section A of the Offer Document.

To enable shareholders of Mediobanca to form a well-founded judgment on the Offer, they are encouraged to consult and review the Offer Document, to which reference is made.

The principal elements of the Offer, as more fully described in the Offer Document, are outlined below.

*<u>Financial Instruments over which the Offer is launched</u>*: the Offer is made for a maximum of No. 833,279,689 ordinary shares of Mediobanca, *i.e.* all of Mediobanca's ordinary shares outstanding as of the Offer Document date, including the treasury shares held by Mediobanca, as well as a maximum of No. 16,178,862 additional shares that may be issued and allocated by Mediobanca under certain existing incentive plans, all as better described in the Offer Document.

*<u>Consideration</u>*: for each Mediobanca share tendered in acceptance of the Offer, BMPS will pay a unit consideration consisting of No. 2.533 <sup>(1)</sup> newly issued ordinary shares of the Offeror, with no nominal value, with regular dividend rights and the same characteristics as the ordinary shares of BMPS already outstanding as of the issue date, without prejudice to any further adjustments to the aforementioned consideration, as described in the Offer Document (the "**Consideration**").

*<u>Acceptance Period</u>*: pursuant to Article 40, paragraph 2, of the Issuers' Regulation, the period for the acceptance of the Offer (the "**Acceptance Period**"), agreed with Borsa Italiana S.p.A., will start at 8:30 a.m. (Italian time) on **14 July 2025** and will end at 5:30 p.m. (Italian time) on **8 September 2025** (unless extended) and, therefore, it will be equal to 40 trading days.

The Consideration will be paid on the payment date, *i.e.* **15 September 2025**, unless the Acceptance Period is extended in accordance with applicable regulations.

<sup>1</sup> It should be noted that the consideration for the Offer originally set by BMPS in the communication pursuant to Article 102, paragraph 1, of the TUF and Article 37 of the Issuers' Regulation was equal to No. 2.300 BMPS shares for each Mediobanca share tendered in acceptance of the Offer. On 20 May 2025, BMPS announced to the market that, following the detachment of the coupons and the subsequent payments of the BMPS' dividend (approved by the ordinary shareholders' meeting of BMPS on 17 April 2025, equal to Euro 0.86 per BMPS share outstanding and entitled to the dividend payment) and of the interim dividend on Mediobanca's results as of 31 December 2024 (which Mediobanca's Board of Directors, at its meeting on 8 May 2025, resolved to distribute, amounting to Euro 0.56 per each Mediobanca share outstanding and entitled to the dividend payment), it had made the resulting technical adjustment and, therefore, the consideration (following the above technical adjustment) is equal to 2.533 newly issued ordinary shares of the Offeror for each Mediobanca share tendered in acceptance of the Offer.

![](tm2518026d1_montedei1472.jpg)

*<u>Possible reopening of the acceptance period</u>*: if the conditions set forth in Article 40-*bis*, paragraph 1, letter a) of the Issuers' Regulation are met, by the trading day following the payment date, the Acceptance Period may be reopened for 5 trading days and, specifically, unless the Acceptance Period is extended, for the trading sessions on **16, 17, 18, 19 and 22 September 2025** (the "**Reopening of the Acceptance Period**"). The Consideration will be paid to the Mediobanca's shareholders who accepted the Offer during the Reopening of the Acceptance Period on **29 September 2025**, unless the Acceptance Period is extended in accordance with applicable regulations.

*<u>Global information agent</u>*: Georgeson has been appointed by BMPS as global information agent, *i.e.* the entity responsible for providing information relating to the Offer to all Mediobanca shareholders. For the purposes of carrying out its activities in relation to the Offer, the global information agent has set up a dedicated email address (<u>ops-mediobanca@georgeson.com</u>) and a toll-free number in Italy (800 189 911) and, alternatively, from abroad (+39 06 45212909). These channels will be active from Monday to Friday from 9:00 a.m. to 6:00 p.m. (Central European Time). The Global Information Agent's website is <u>www.georgeson.com</u>.

\* \* \* \* \* \*

*This press release will be available on the website at* <u>www.gruppomps.it/en/</u>

---

| | |
|:---|:---|
| **For further information: <br> Banca Monte dei Paschi di Siena S.p.A.** |  |
|  | **Investors Relations** |
| **Media Relations**<br> Tel. +39 0577 296634<br> *<u>ufficio.stampa@mps.it</u>* | Tel: +39 0577 299350<br> *<u>investor.relations@mps.it</u>* |
| **Image Building**<br> Cristina Fossati, Anna Pirtali<br> Tel +39 02 89011300<br> *<u>mps@imagebuilding.it</u>* |  |

---

*\*\*\*\*\**

**Information for U.S. Persons**

The shares to be issued in connection with the Offer may not be offered or sold in the United States except pursuant to an effective registration statement under the U.S. Securities Act of 1933 (the "**U.S. Securities Act**") or pursuant to a valid exemption from registration.

The Offer is being made for the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni by Banca Monte dei Paschi di Siena S.p.A., each of which is a company incorporated in Italy. Information distributed in connection with the Offer is subject to Italian disclosure requirements that are different from those of the United States. Financial statements and financial information included in the offer document or the exemption document, if any, have been prepared in accordance with the international accounting standards issued by the International Accounting Standards Board and may not be comparable to the financial statements or financial information of U.S. companies.

It may be difficult for you to enforce your rights and any claim you may have arising under U.S. federal securities laws in respect of the Offer, since Banca Monte dei Paschi di Siena S.p.A. and MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are located in Italy, and some or all of their officers and directors may be residents of Italy or other countries outside the U.S. You may not be able to sue a company incorporated outside the U.S. or its officers or directors in a non-U.S. court for violations of U.S. securities laws. It may be difficult to compel a company incorporated outside the U.S. and its affiliates to subject themselves to a U.S. court's judgment.

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The Offer will not be submitted to the review or registration procedures of any regulator outside of Italy and has not been approved or recommended by any governmental securities regulator. The Offer will be made in the U.S. pursuant to the exemptions from (i) the "U.S. tender offer rules" under the United States Securities Exchange Act of 1934 (the "**U.S. Exchange Ac**t") provided by Rule 14d-1(c) thereunder and (ii) the registration requirements of the U.S. Securities Act provided by Rule 802 thereunder. These exemptions permit a bidder to satisfy certain substantive and procedural U.S. Exchange Act rules governing tender offers by complying with home jurisdiction law or practice, and exempt the bidder from compliance with certain other U.S. Exchange Act rules. As a result, the Offer will be made in accordance with the applicable regulatory, disclosure and procedural requirements under Italian law, including with respect to withdrawal rights, offer timetable, settlement procedures and timing of payments, that are different from those applicable in the U.S. To the extent that the Offer is subject to the U.S. securities laws, such laws only apply to holders of the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni in the U.S. and no other person has any claims under such laws.

To the extent permissible under applicable law or regulation in Italy, and pursuant to the exemptions available under Rule 14e-5(b) under the U.S. Exchange Act, the Offeror and its affiliates or brokers (acting as agents for the Offeror or its affiliates, as applicable) may from time to time, and other than pursuant to the Offer, directly or indirectly purchase, or arrange to purchase, the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, that are the subject of the Offer or any securities that are convertible into, exchangeable for or exercisable for such shares, including purchases in the open market at prevailing prices or in private transactions at negotiated prices outside the U.S. To the extent information about such purchases or arrangements to purchase is made public in Italy, if any such purchases are made, such information will be disclosed by means of a press release or other means reasonably calculated to inform U.S. shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni of such information. In addition, the financial advisors to the Offeror, may also engage in ordinary course trading activities in securities of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni, which may include purchases or arrangements to purchase such securities.

Since the announcement of the Offer, the Offeror and certain of its affiliates have engaged, and intend to continue to engage throughout the acceptance period, in various asset management, brokerage, banking- related, collateral-taking, estates and trusts services, and custody-related activities involving the Offeror common shares outside the United States. Among other things, the Offeror or one or more of its affiliates intends to engage in trades in the Offeror common shares for the accounts of its customers for the purpose of effecting brokerage transactions for its customers and other customer facilitation transactions in respect of the Offeror common shares. Further, certain of Offeror's asset management affiliates may buy and sell the Offeror common shares or indices including the Offeror common shares, outside the United States as part of their ordinary, discretionary investment management activities on behalf of their customers. Certain of Offeror's affiliates may continue to (a) engage in the marketing and sale to customers of funds that include the Offeror common shares, providing investment advice and financial planning guidance to customers that may include information about the Offeror common shares, (b) transact in the Offeror common shares as trustees and/or personal representatives of trusts and estates, (c) provide custody services relating to the Offeror common shares and (d) engage in accepting the Offeror common shares as collateral for loans. These activities occur outside of the United States and the transactions in the Offeror common shares may be effected on the Euronext Milan, other exchanges or alternative trading systems and in the over-the-counter market.

**IMPORTANT INFORMATION**

The voluntary public exchange offer referred to in this press release has been promoted by Banca Monte dei Paschi di Siena S.p.A. on all the ordinary shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

This press release does not constitute an offer to buy or sell the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

Prior to the commencement of the acceptance period, as required under applicable regulations, the Offeror shall publish an offer document and an exemption document, to be carefully examined by the shareholders of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni.

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The Offer has been launched in Italy and is made, on a non-discriminatory basis and on equal terms, to all holders of shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni. The Offer has been promoted in Italy as the shares of MEDIOBANCA - Banca di Credito Finanziario Società per Azioni are listed on Euronext Milan, a regulated market organized and managed by Borsa Italiana S.p.A. and is subject to the obligations and procedural requirements provided for by Italian law.

The Offer is not being made or disseminated in Canada, Japan and Australia, or any other country in which such Offer is not authorized, or to any person to whom such offer or solicitation is not permitted by law (the "**Excluded Countries**").

Partial or complete copies of any documents issued by the Offeror in connection with the Offer shall not be sent, nor shall they be transmitted, or otherwise distributed, directly or indirectly, in the Excluded Countries. Any person receiving such documents shall not distribute, send or dispatch them (whether by post or by any other means or instrumentality of communication or commerce) in the Excluded Countries.

Any acceptances of the Offer resulting from solicitation activities carried out in violation of the above limitations will not be accepted.

This press release, as well as any other document issued by the Offeror in connection with the Offer, shall not constitute or form part of any offer to purchase or exchange, or any solicitation of offers to sell or exchange, securities in any of the Excluded Countries.

This press release may only be accessed in or from the United Kingdom (i) by persons having professional experience in matters relating to investments falling within the scope of Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as subsequently amended (the "**Order**"), or (ii) by companies having high net assets and by persons to whom the press release can be legitimately transmitted because they fall within the scope of Article 49(2) paragraphs from (a) to (d) of the Order (all these persons are jointly defined "**Relevant Persons**"). Securities described in this press release are made available only to Relevant Persons (and any solicitation, offer, agreement to subscribe, purchase or otherwise acquire such financial instruments will be directed exclusively at such persons). Any person who is not a Relevant Person should not act or rely on this press release or any of its contents.

Acceptance to the Offer by persons resident in countries other than Italy may be subject to specific obligations or restrictions provided for by laws or regulations. It is the sole responsibility of the addressees of the Offer to comply with such regulations and, therefore, before accepting the Offer, to verify their existence and applicability by contacting their advisors.

To the fullest extent permitted by applicable law, the companies involved in the proposed voluntary public exchange offer disclaim any responsibility or liability for the violation of such restrictions by any person.